Stefano d'Addona

University of Rome 3

Via Chiabrera, 199

Rome, 00145

Italy

SCHOLARLY PAPERS

16

DOWNLOADS
Rank 24,957

SSRN RANKINGS

Top 24,957

in Total Papers Downloads

1,416

CITATIONS
Rank 40,114

SSRN RANKINGS

Top 40,114

in Total Papers Citations

4

Scholarly Papers (16)

1.

A Comparison of Some Univariate Models for Value-at-Risk and Expected Shortfall

Number of pages: 38 Posted: 22 Jan 2007
Carlo Marinelli, Stefano d'Addona and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik, University of Rome 3 and Stony Brook University
Downloads 390 (55,296)
Citation 1

Abstract:

VaR, expected shortfall, stable Paretian laws, extreme value theory

2.

Too Small or Too Low? New Evidence on the 4-Factor Model

Number of pages: 36 Posted: 16 Dec 2010
University of Bologna - Department of Management, University of Rome 3 and University of Bologna - Department of Management
Downloads 123 (172,631)

Abstract:

The Fama-French Factors, Size Effect, Value Premium, GMM, Momentum Anomaly

3.

Multivariate Heavy-Tailed Models for Value-at-Risk Estimation

Number of pages: 48 Posted: 17 May 2010 Last Revised: 19 Dec 2011
Carlo Marinelli, Stefano d'Addona and Svetlozar Rachev
University of Bonn - Institut fuer Angewandte Mathematik, University of Rome 3 and Stony Brook University
Downloads 114 (188,319)

Abstract:

The British Opt-Out from the European Monetary Union: Empirical Evidence from Monetary Policy Rules

Number of pages: 37 Posted: 28 Jul 2011 Last Revised: 10 Mar 2012
Stefano d'Addona and Ilaria Musumeci
University of Rome 3 and University of Rome III
Downloads 54 (306,339)

Abstract:

Taylor rule; European monetary integration; Regime switching models; Interest rate smoothing.

The British Opt-Out from the European Monetary Union: Empirical Evidence from Monetary Policy Rules

CEIS Working Paper No. 225
Number of pages: 38 Posted: 26 Mar 2012
Stefano d'Addona and Ilaria Musumeci
University of Rome 3 and University of Rome III
Downloads 35 (367,852)

Abstract:

Taylor rule, European monetary integration, Regime switching models, Interest rate smoothing

The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models

Number of pages: 37 Posted: 02 Dec 2012
University of Bologna - Department of Management, University of Rome 3 and University of Bologna - Department of Management
Downloads 86 (235,969)

Abstract:

Fama-French factors, GMM, Asset Pricing, Carhart model

The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models

Economic Notes, Vol. 42, Issue 2, pp. 103-133, 2013
Number of pages: 31 Posted: 21 Jun 2013
University of Bologna - Department of Management, University of Rome 3 and University of Bologna - Department of Management
Downloads 0

Abstract:

6.

Asset Pricing and the Role of Macroeconomic Volatility

Number of pages: 50 Posted: 06 Mar 2008 Last Revised: 29 Jul 2011
Stefano d'Addona and Christos I. Giannikos
University of Rome 3 and CUNY - Baruch College
Downloads 86 (229,100)

Abstract:

7.

Nominal and Real Volatility as Determinants of FDI

Number of pages: 17 Posted: 17 Feb 2011 Last Revised: 25 Nov 2011
Lilia Cavallari and Stefano d'Addona
University of Rome III - DIPES and University of Rome 3
Downloads 84 (213,561)
Citation 1

Abstract:

FDI, business cycle, output volatility, interest rate volatility, exchange rate volatility

8.

Information Quality and Stock Returns Revisited

Number of pages: 42 Posted: 05 Mar 2007 Last Revised: 03 Nov 2008
Frode Brevik and Stefano d'Addona
University of St. Gallen - SEPS: Economics and Political Sciences and University of Rome 3
Downloads 67 (260,311)
Citation 1

Abstract:

Consumption Based Asset Pricing, Information Quality, Business Cycle, Regime Switching

9.

Forced Manager Turnovers in English Soccer Leagues: A Long-Term Perspective

Number of pages: 40 Posted: 30 Nov 2011
Stefano d'Addona and Axel H. Kind
University of Rome 3 and University of Basel
Downloads 62 (242,857)

Abstract:

Managers’ Turnover, Firing Decision, Governance Mechanisms, Logit Models, Duration Models

10.

Time Varying Sensitivities on a GRID architecture

Number of pages: 25 Posted: 18 Nov 2005
Stefano d'Addona and Mattia Ciprian
University of Rome 3 and UniversitĂ  degli Studi di Trieste
Downloads 56 (291,714)

Abstract:

Time Varying Beta, Kalman Filter, GRID Computing, Value at Risk

11.
Downloads 48 (318,523)
Citation 1

Testing Habits in an Asset Pricing Model

Number of pages: 30 Posted: 15 Mar 2010 Last Revised: 17 Mar 2011
Melisso Boschi, Stefano d'Addona and Aditya Goenka
Centre for Applied Macroeconomic Analysis (CAMA), University of Rome 3 and affiliation not provided to SSRN
Downloads 33 (375,783)
Citation 1

Abstract:

Habit formation, Equity premium, Business cycles, Markov-switching VAR models

Testing Habits in an Asset Pricing Model

Number of pages: 41 Posted: 16 Mar 2012
Stefano d'Addona, Melisso Boschi and Aditya Goenka
University of Rome 3, Centre for Applied Macroeconomic Analysis (CAMA) and affiliation not provided to SSRN
Downloads 15 (468,676)
Citation 1

Abstract:

Habit formation, Equity premium, Business cycles, Markov-switching models, Regime-dependent impulse response functions

12.

Business Cycle Determinants of US Foreign Direct Investments

Number of pages: 10 Posted: 01 Dec 2012
Lilia Cavallari and Stefano d'Addona
University of Rome III - DIPES and University of Rome 3
Downloads 37 (333,307)

Abstract:

FDI, business cycle, cyclical output, exchange rate volatility

13.

Information Processing with Recursive Utility: Some Intriguing Results

University of St. Gallen, Department of Economics Discussion Paper No. 2007-40
Number of pages: 20 Posted: 23 Nov 2007
Stefano d'Addona and Frode Brevik
University of Rome 3 and University of St. Gallen - SEPS: Economics and Political Sciences
Downloads 35 (356,266)

Abstract:

Recursive preferences, Epstein-Zin preferences, Uncertainty aversion, Information processing, Time inconsistency

14.

Testing External Habits in an Asset Pricing Model

CAMA Working Papaer No. 20/2012
Number of pages: 33 Posted: 17 May 2012
Melisso Boschi, Stefano d'Addona and Aditya Goenka
Centre for Applied Macroeconomic Analysis (CAMA), University of Rome 3 and affiliation not provided to SSRN
Downloads 9 (476,598)

Abstract:

Habit formation, Equity premium, Business cycles, Markov-switching models,Time-varying VAR, Regime-dependent impulse response functions

15.

Asset Prices and Optimal Monetary Policy

Number of pages: 31 Posted: 16 Jul 2016 Last Revised: 02 Dec 2016
Venoo Kakar, Stefano d'Addona and Marcelle Chauvet
San Francisco State University, University of Rome 3 and Independent
Downloads 0 (318,523)

Abstract:

Optimal monetary policy, Asset pricing, Recursive utility, Long-run risk

16.

International Stock-Bond Correlations in a Simple Affine Asset Pricing Model

Journal of Banking and Finance, Vol. 30, No. 10, 2006
Posted: 23 Feb 2005 Last Revised: 17 Apr 2013
Stefano d'Addona and Axel H. Kind
University of Rome 3 and University of Basel

Abstract:

Affine Pricing Models, Stock-Bond Correlations, G-7 Countries