Via Chiabrera, 199
Rome, 00145
Italy
University of Roma Tre
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VaR, expected shortfall, stable Paretian laws, extreme value theory
Optimal monetary policy, Asset pricing, Recursive utility, Long-run risk, Production-based economy
FDI, business cycle, output volatility, interest rate volatility, exchange rate volatility
The Fama-French Factors, Size Effect, Value Premium, GMM, Momentum Anomaly
Tax Elasticity, Tax Policy Discretionary Change, Business Cycle, European Economy, Markov-Switching Regimes
Tax elasticity, Tax policy discretionary change, Business cycle, European economy, Markov-switching regimes
Consumption Based Asset Pricing, Information Quality, Business Cycle, Regime Switching
Managers’ Turnover, Firing Decision, Governance Mechanisms, Logit Models, Duration Models
Taylor rule; European monetary integration; Regime switching models; Interest rate smoothing.
Taylor rule, European monetary integration, Regime switching models, Interest rate smoothing
Fama-French factors, GMM, Asset Pricing, Carhart model
Habit formation, Equity premium, Business cycles, Markov-switching VAR models
Habit formation, Equity premium, Business cycles, Markov-switching models, Regime-dependent impulse response functions
FDI, business cycle, cyclical output, exchange rate volatility
Recursive preferences, Epstein-Zin preferences, Uncertainty aversion, Information processing, Time inconsistency
Time Varying Beta, Kalman Filter, GRID Computing, Value at Risk
Habit formation, Equity premium, Business cycles, Markov-switching models,Time-varying VAR, Regime-dependent impulse response functions
DSGE Model, Heterogeneous Agents, Wealth Distribution, Consumption Behavior, Saving Behavior, Increasing Elasticity of Substitution
Option pricing, Hermite functions, Heston model, variance-gamma model.
Affine Pricing Models, Stock-Bond Correlations, G-7 Countries
