Pasquale Della Corte

Imperial College Business School

Associate Professor of Finance

South Kensington Campus

Exhibition Road

London, SW7 2AZ

United Kingdom

http://sites.google.com/view/pasqualedellacorte

Centre for Economic Policy Research (CEPR)

Research Affiliate

London

United Kingdom

SCHOLARLY PAPERS

13

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CITATIONS
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161

Scholarly Papers (13)

1.
Downloads 1,754 ( 8,919)
Citation 26

Volatility Risk Premia and Exchange Rate Predictability

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 71 Posted: 16 Mar 2013 Last Revised: 01 Jun 2015
Pasquale Della Corte, Tarun Ramadorai and Lucio Sarno
Imperial College Business School, Imperial College London and City University London - Sir John Cass Business School
Downloads 1,754 (8,754)
Citation 8

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Exchange Rates, Volatility Risk Premium, Predictability, Minimum-Variance Currency Portfolio

Volatility Risk Premia and Exchange Rate Predictability

CEPR Discussion Paper No. DP9549
Number of pages: 80 Posted: 09 Jul 2013
Pasquale Della Corte, Tarun Ramadorai and Lucio Sarno
Imperial College Business School, Imperial College London and City University London - Sir John Cass Business School
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Citation 2
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Exchange Rate, Hedgers, Order Flow, Predictability, Speculators, Volatility Risk Premium

2.

Exchange Rates and Sovereign Risk

Number of pages: 85 Posted: 15 Nov 2013 Last Revised: 10 Aug 2018
Pasquale Della Corte, Lucio Sarno, Maik Schmeling and Christian Wagner
Imperial College Business School, City University London - Sir John Cass Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1,334 (13,882)
Citation 2

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Exchange rates, currency risk premium, currency options, sovereign risk, CDS spreads.

3.
Downloads 1,233 ( 15,679)
Citation 19

Currency Premia and Global Imbalances

Winner of the Kepos Capital Award for the Best Paper on Investments at the 2013 WFA Meeting, 28th Australasian Finance and Banking Conference
Number of pages: 72 Posted: 20 Jun 2013 Last Revised: 18 Oct 2017
Pasquale Della Corte, Steven Riddiough and Lucio Sarno
Imperial College Business School, University of Melbourne and City University London - Sir John Cass Business School
Downloads 1,232 (15,402)
Citation 3

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Currency Risk Premium; Global Imbalances; Foreign Exchange Excess Returns; Carry Trade

Currency Premia and Global Imbalances

CEPR Discussion Paper No. DP11129
Number of pages: 73 Posted: 18 Apr 2016
Pasquale Della Corte, Steven Riddiough and Lucio Sarno
Imperial College Business School, University of Melbourne and City University London - Sir John Cass Business School
Downloads 1 (681,517)
Citation 13
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carry trade, currency risk premium, foreign exchange excess returns, global imbalances

4.

The Cross-Section of Currency Volatility Premia

Number of pages: 96 Posted: 13 Jan 2017 Last Revised: 20 Oct 2018
Pasquale Della Corte, Roman Kozhan and Anthony Neuberger
Imperial College Business School, University of Warwick - Warwick Business School and City University London - Faculty of Finance
Downloads 433 (65,774)
Citation 3

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Currency Volatility Risk Premia, Forward Volatility Agreement, Foreign Exchange Volatility, Term Structure

5.

Macro Uncertainty and Currency Premia

Number of pages: 85 Posted: 01 Mar 2017 Last Revised: 10 Mar 2019
Pasquale Della Corte and Aleksejs Krecetovs
Imperial College Business School and Imperial College London
Downloads 285 (105,983)
Citation 4

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analyst forecasts, carry trade, currency risk premium, global imbalances, macro uncertainty,

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

FRB of St. Louis Working Paper No. 2006-061B
Number of pages: 42 Posted: 06 Dec 2006
Pasquale Della Corte, Lucio Sarno and Daniel L. Thornton
Imperial College Business School, City University London - Sir John Cass Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 218 (138,888)
Citation 2

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Expectation Hypothesis, Term Structure of Interest Rates, Vector Autoregression, Economic Value

The Expectation Hypothesis of the Term Structure of Very Short-Term Rates: Statistical Tests and Economic Value

CEPR Discussion Paper No. DP6445
Number of pages: 39 Posted: 30 May 2008
Pasquale Della Corte, Lucio Sarno and Daniel L. Thornton
Imperial College Business School, City University London - Sir John Cass Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 3 (655,884)
Citation 2
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economic value, expectation hypothesis, term structure of interest rates, vector autoregression

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

Review of Economics and Statistics, Forthcoming
Number of pages: 54 Posted: 07 Oct 2010 Last Revised: 19 Jan 2016
Pasquale Della Corte, Lucio Sarno and Giulia Sestieri
Imperial College Business School, City University London - Sir John Cass Business School and Banque de France
Downloads 134 (213,708)

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foreign exchange, predictability, global imbalances, fundamentals

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

Review of Economics and Statistics, Forthcoming, Banque de France Working Paper No. 313
Number of pages: 41 Posted: 12 Jan 2011
Pasquale Della Corte, Lucio Sarno and Giulia Sestieri
Imperial College Business School, City University London - Sir John Cass Business School and Banque de France
Downloads 52 (386,042)

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foreign exchange, predictability, global imbalances, fundamentals

The Predictive Information Content of External Imbalances for Exchange Rate Returns: How Much is it Worth?

CEPR Discussion Paper No. DP8045
Number of pages: 56 Posted: 22 Nov 2010
Pasquale Della Corte, Lucio Sarno and Giulia Sestieri
Imperial College Business School, City University London - Sir John Cass Business School and Banque de France
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foreign exchange, fundamentals, global imbalances, predictability

8.
Downloads 102 (260,295)
Citation 6

Currency Mispricing and Dealer Balance Sheets

Number of pages: 63 Posted: 12 Feb 2019
Gino Cenedese, Pasquale Della Corte and Tianyu Wang
Fulcrum Asset Management, Imperial College Business School and Tsinghua University
Downloads 64 (348,057)
Citation 4

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Exchange rates, dollar basis covered interest parity condition, arbitrage opportunities

Currency Mispricing and Dealer Balance Sheets

Bank of England Working Paper No. 779
Number of pages: 55 Posted: 19 Feb 2019
Gino Cenedese, Pasquale Della Corte and Tianyu Wang
Fulcrum Asset Management, Imperial College Business School and Tsinghua University
Downloads 38 (439,942)
Citation 2

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exchange rates, dollar basis covered interest parity condition, arbitrage opportunities

9.

Best Short

Number of pages: 50 Posted: 15 Aug 2019
Pasquale Della Corte, Robert Kosowski and Nikolaos Rapanos
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 56 (370,211)

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Disclosure, Short-Sale Performance, Anomalies, Hedge Funds

10.

A Credit-Based Theory of the Currency Risk Premium

Number of pages: 69 Posted: 03 Jul 2019
Pasquale Della Corte, Alexandre Jeanneret and Ella Patelli
Imperial College Business School, HEC Montréal and HEC Montréal
Downloads 55 (370,211)

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exchange rate, predictability, risk premium, credit risk, sovereign default

An Economic Evaluation of Empirical Exchange Rate Models

CEPR Discussion Paper No. DP6598
Number of pages: 43 Posted: 06 Jun 2008
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College Business School, City University London - Sir John Cass Business School and University of Guelph
Downloads 4 (646,980)
Citation 4
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Bayesian MCMC Estimation, Bayesian Model Averaging, Economic Value, Exchange Rates, Forward Premium, Monetary Fundamentals, Volatility

An Economic Evaluation of Empirical Exchange Rate Models

The Review of Financial Studies, Vol. 22, Issue 9, pp. 3491-3530, 2009
Posted: 08 Sep 2009
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College Business School, City University London - Sir John Cass Business School and University of Guelph

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F31, F37, G11

12.
Downloads 3 (626,678)
Citation 3

Spot and Forward Volatility in Foreign Exchange

CEPR Discussion Paper No. DP7893
Number of pages: 42 Posted: 19 Jul 2010
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College Business School, City University London - Sir John Cass Business School and University of Guelph
Downloads 3 (655,884)
Citation 3
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Foreign Exchange, Forward Volatility Agreement, Implied Volatility, Unbiasedness, Volatility Speculation

Spot and Forward Volatility in Foreign Exchange

EFA 2009 Bergen Meetings Paper
Posted: 16 Feb 2009 Last Revised: 02 May 2012
Pasquale Della Corte, Lucio Sarno and Ilias Tsiakas
Imperial College Business School, City University London - Sir John Cass Business School and University of Guelph

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Implied Volatility, Foreign Exchange, Forward Volatility Agreement, Unbiasedness, Volatility Speculation

13.

Market Closure and Short-Term Reversal

Asian Finance Association (AsianFA) 2016 Conference
Posted: 11 Feb 2016
Pasquale Della Corte, Robert Kosowski and Tianyu Wang
Imperial College Business School, Imperial College Business School and Tsinghua University

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Short-term reversal, Liquidity, Market closure