Giulio Cifarelli

DISEI University of Florence

Giulio Cifarelli

via delle Pandette 9

Florence 50127

Italy

SCHOLARLY PAPERS

20

DOWNLOADS
Rank 21,225

SSRN RANKINGS

Top 21,225

in Total Papers Downloads

2,336

SSRN CITATIONS
Rank 33,575

SSRN RANKINGS

Top 33,575

in Total Papers Citations

13

CROSSREF CITATIONS

6

Ideas:
“  I am currently working on the impact of the Greek financial crisis on the conditional correlations between sovereign and bank bonds CDS of core and peripheral EMU countries using smooth transmission conditional correlation techniques.  ”

Scholarly Papers (20)

1.

Oil Price Dynamics and Speculation: A Multivariate Financial Approach

Number of pages: 28 Posted: 04 Nov 2008
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 537 (52,719)
Citation 13

Abstract:

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oil price dynamics, feedback trading, speculation, multivariate

2.

An Empirical Analysis of the Co-Movement Among Spreads on Emerging-Market Debt

U of Florence Economics Working Paper No. 127
Number of pages: 43 Posted: 19 Apr 2002
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 334 (93,157)
Citation 3

Abstract:

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spreads, emerging bond markets, PCA, VAR, contagion

3.

The International Reserves Glut: Is it for Real?

University of Florence Economics Working Paper No. 142
Number of pages: 40 Posted: 07 Feb 2006
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 210 (150,577)
Citation 1

Abstract:

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Emerging Markets' International Reserves, Cointegration Analysis, Principal Components Analysis.

4.

Commodity Futures Returns: A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures

University of Florence Department of Economics Working Paper No. 13/2010
Number of pages: 34 Posted: 20 Nov 2010
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 191 (164,468)

Abstract:

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Commodity Spot and Futures Markets, Hedging, Speculation

5.

The Impact of the Argentine Default on Volatility Co-Movements in Emerging Bond Markets

Number of pages: 45 Posted: 25 Mar 2004
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 165 (187,145)
Citation 1

Abstract:

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Bond yields, O-GARCH, O-EWMA, contagion

6.

Stock Market Exuberance: Linkages between U.S. And the European Markets

Quaderni di Ricerca LUISS Working Paper No. 121
Number of pages: 27 Posted: 22 Jun 2004
Giovanna Paladino and Giulio Cifarelli
IntesaSanpaolo and DISEI University of Florence
Downloads 139 (215,857)
Citation 2

Abstract:

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Equity market, arbitrage, GARCH

7.

The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation

Collana Ricerche Economics Department Working Paper
Number of pages: 29 Posted: 27 Feb 2007
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 128 (230,359)
Citation 2

Abstract:

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Emerging markets reserves, cointegration, P-T components decomposition, asymmetric adjustment

8.

Is Oil a Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years

Università degli Studi di Firenze, Dipartimento di Scienze Economiche Working Paoer No. 12/2009
Number of pages: 29 Posted: 03 Nov 2009
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 103 (269,445)
Citation 1

Abstract:

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oil price dynamics, feedback trading, multivariate GARCH-M, portfolio allocation

9.

Yes, Implied Volatilities are Not Informationally Efficient. An Empirical Estimate Using Options on Interest Rate Futures Contracts.

University of Florence Economics Working Paper No. 137
Number of pages: 38 Posted: 03 Feb 2005
Giulio Cifarelli
DISEI University of Florence
Downloads 102 (271,268)

Abstract:

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Options, Stochastic Volatility, Long Memory, Panel Data Analysis

10.

One Size Does Not Fit All. A Non-Linear Analysis of European Monetary Transmission

Number of pages: 36 Posted: 04 Nov 2014 Last Revised: 25 Jun 2016
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 100 (274,964)

Abstract:

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Interest rate pass-through, Cointegration, ESTAR/LSTAR parameterization, EMU

11.

An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?

Dipartimento do Scienze Economiche Universita degli Studi de Firenze Working Paper No. 12/2012
Number of pages: 30 Posted: 04 Jun 2012
Giulio Cifarelli and Paolo Paesani
DISEI University of Florence and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 92 (290,232)
Citation 2

Abstract:

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commodities, theory of storage, multivariate GARCH

12.

Speculative Cotton Pricing in the 1920s: A Nonlinear Tale of Noise Traders and Fundamentalists

Università degli Studi di Firenze, Dipartimento di Scienze Economiche Working Paper N. 04/2013
Number of pages: 30 Posted: 14 Mar 2013
Giulio Cifarelli and Paolo Paesani
DISEI University of Florence and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 58 (375,924)

Abstract:

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behavioral finance, speculation, historical cotton futures markets

13.

The Impact of Unconventional Monetary Policy on the Sovereign Bank Nexus within and Across EU Countries. A Time-Varying Conditional Correlation Analysis

Number of pages: 35 Posted: 20 Jun 2016 Last Revised: 23 Jun 2016
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 53 (392,158)

Abstract:

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CDS spreads, Unconventional monetary policy, STCC-GARCH correlation analysis

14.

Nonlinear Regime Shifts in Oil Price Hedging Dynamics

Number of pages: 26 Posted: 20 Sep 2011
Giulio Cifarelli
DISEI University of Florence
Downloads 31 (479,664)
Citation 1

Abstract:

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Oil price dynamics, dynamic hedging, logistic smooth transition, multivariate GARCH

15.

Sovereign – Bank Risk Interconnections During the Greek Financial Crisis and the Role of the Italian Debt

DISEI - Università degli Studi di Firenze Working Paper N. 01/2018
Number of pages: 28 Posted: 23 Jan 2018
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 30 (484,578)

Abstract:

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CDS Spreads, Greek Financial Crisis, STCC- and DSTCC-GARCH Correlation Analysis, Contagion

16.

Navigating the Oil Bubble: A Non-Linear Heterogeneous-Agent Dynamic Model of Futures Oil Pricing

MPRA Paper No. 90470
Number of pages: 32 Posted: 31 Dec 2018
Giulio Cifarelli and Paolo Paesani
DISEI University of Florence and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 27 (500,173)

Abstract:

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Oil Pricing, Bubble, Speculation, Dynamic Hedging, Logistic Smooth Transition, Multivariate GARCH

17.

Can the Interaction between a Single Long-Term Attractor and Heterogeneous Trading Explain the Exchange Rate Conundrum?

Number of pages: 29 Posted: 29 Jul 2017
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo
Downloads 26 (505,748)

Abstract:

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Exchange Rates, Heterogeneous Agents, Nonlinearity, LSTAR–GARCH Model

18.

On the Difficulty of Interpreting Market Behavior in an Uncertain World: The Case of Oil Futures Pricing between 2003 and 2016.

DISEI, Working Papers-Economics, Working Paper No. 16/2017
Number of pages: 33 Posted: 13 Oct 2017
Giulio Cifarelli and Paolo Paesani
DISEI University of Florence and University of Rome - Tor Vergata - Department of Economics and Institutions
Downloads 10 (604,283)

Abstract:

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Oil pricing, Speculation, Dynamic hedging, Logistic smooth transition, Multivariate GARCH

19.

Time-Varying Mark-Up and the ECB Monetary Policy Transmission in a Highly Non Linear Framework

Forthcoming International Review of Economics and Finance, doi:10.1016/j.iref.2016.06.001
Posted: 25 Jun 2016
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo

Abstract:

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Interest rate pass-through, Cointegration, ESTAR/LSTAR parameterization, EMU

20.

A Dynamic Model of Hedging and Speculation in the Commodity Futures Markets

Journal of Financial Markets, Vol. 25, 2015, pp1-15 doi:10.1016/j.finmar.2015.07.002
Posted: 07 Mar 2016
Giulio Cifarelli and Giovanna Paladino
DISEI University of Florence and IntesaSanpaolo

Abstract:

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Commodity spot and futures markets, Dynamic hedging, Speculation, non-linear GARCH, Markov regime switching