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

  • Imperial College Business School

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    • Tel: +44(0)20 759 49331

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

17

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13,978

TOTAL CITATIONS
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Top 2,153

in Total Papers Citations

281

Scholarly Papers (17)

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1.

Volatility Risk Premia and Exchange Rate Predictability

Downloads 2,746 (10,538)
Citation 53

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 University of Cambridge - Judge Business School
Downloads 2,703 (10,606)
Citation 16

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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 University of Cambridge - Judge Business School
Downloads 43 (912,460)
Citation 37
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Exchange Rate, Hedgers, Order Flow, Predictability, Speculators, Volatility Risk Premium

2.

Exchange Rates and Sovereign Risk

Downloads 2,318 (13,808)
Citation 21

Exchange Rates and Sovereign Risk

Number of pages: 121 Posted: 15 Nov 2013 Last Revised: 20 Apr 2021
Pasquale Della Corte, Lucio Sarno, Maik Schmeling and Christian Wagner
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 2,317 (13,554)
Citation 12

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

Exchange Rates and Sovereign Risk

CEPR Discussion Paper No. DP16058
Number of pages: 125 Posted: 14 May 2021
Pasquale Della Corte, Lucio Sarno, Maik Schmeling and Christian Wagner
Imperial College Business School, University of Cambridge - Judge Business School, Goethe University Frankfurt - Department of Finance and WU Vienna University of Economics and Business
Downloads 1 (1,377,894)
Citation 9
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3.

Currency Premia and Global Imbalances

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Citation 39

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 Toronto and University of Cambridge - Judge Business School
Downloads 1,779 (20,685)
Citation 10

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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 Toronto and University of Cambridge - Judge Business School
Downloads 3 (1,363,906)
Citation 29
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carry trade, currency risk premium, foreign exchange excess returns, global imbalances

4.

FX Option Volume

Number of pages: 87 Posted: 23 Nov 2021 Last Revised: 19 Jun 2023
Robert Czech, Pasquale Della Corte, Shiyang Huang and Tianyu Wang
Bank of England, Imperial College Business School, The University of Hong Kong - Faculty of Business and Economics and Tsinghua University, School of Economics and Management
Downloads 1,058 (45,383)
Citation 3

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Exchange rates, Currency Returns, Foreign Exchange Option, Informed Trading, Dollar Demand.

5.

The Cross-Section of Currency Volatility Premia

Number of pages: 108 Posted: 13 Jan 2017 Last Revised: 24 Dec 2019
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 951 (52,701)
Citation 15

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

6.

Currency Mispricing and Dealer Balance Sheets

Downloads 857 (60,820)
Citation 80

Currency Mispricing and Dealer Balance Sheets

Journal of Finance, Forthcoming
Number of pages: 89 Posted: 12 Feb 2019 Last Revised: 12 Dec 2020
Gino Cenedese, Pasquale Della Corte and Tianyu Wang
Fulcrum Asset Management, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 464 (131,265)
Citation 10

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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, School of Economics and Management
Downloads 376 (167,609)
Citation 15

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

Currency Mispricing and Dealer Balance Sheets

CEPR Discussion Paper No. DP15569
Number of pages: 92 Posted: 23 Dec 2020
Gino Cenedese, Pasquale Della Corte and Tianyu Wang
Fulcrum Asset Management, Imperial College Business School and Tsinghua University, School of Economics and Management
Downloads 17 (1,217,359)
Citation 55
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7.

A Credit-Based Theory of the Currency Risk Premium

Number of pages: 117 Posted: 03 Jul 2019 Last Revised: 16 Aug 2021
Pasquale Della Corte, Alexandre Jeanneret and Ella Patelli
Imperial College Business School, UNSW Business School and UBC - Sauder School of Business
Downloads 813 (65,559)
Citation 10

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

8.

Current Account Uncertainty and Currency Premia

Number of pages: 81 Posted: 01 Mar 2017 Last Revised: 07 Oct 2022
Pasquale Della Corte and Aleksejs Krecetovs
Imperial College Business School and Imperial College London
Downloads 799 (66,872)
Citation 7

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

9.

The Double-Edged Sword of The 2020 European Short-Selling Bans

Number of pages: 80 Posted: 15 Sep 2020 Last Revised: 14 Jun 2024
Pasquale Della Corte, Robert Kosowski, Dimitris Papadimitriou and Nikolaos Rapanos
Imperial College Business School, Imperial College Business School, King's College London and Imperial College Business School
Downloads 703 (79,195)
Citation 1

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short selling, ban, liquidity, price discovery, COVID

10.

Best Short

Downloads 574 (102,407)

Best Short

Number of pages: 92 Posted: 15 Aug 2019 Last Revised: 26 Sep 2022
Pasquale Della Corte, Robert Kosowski and Nikolaos Rapanos
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 569 (102,193)

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Disclosure, Regulation, Short-sale Performance, Anomalies, Hedge Funds

Best Short

CEPR Discussion Paper No. DP16319
Number of pages: 83 Posted: 14 Jul 2021
Pasquale Della Corte, Robert Kosowski and Nikolaos Rapanos
Imperial College Business School, Imperial College Business School and Imperial College Business School
Downloads 5 (1,352,294)
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11.

Presidential Cycles and Exchange Rates

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2024
Number of pages: 56 Posted: 15 Apr 2024 Last Revised: 13 Nov 2024
Pasquale Della Corte and Hsuan Fu
Imperial College Business School and Université Laval
Downloads 433 (144,963)

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Presidential Cycles, Foreign Exchange, Currency Risk Premia, Tariff, Trade Policy Uncertainty.

12.

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

Downloads 287 (226,510)
Citation 11

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, University of Cambridge - Judge Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 282 (229,030)
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, University of Cambridge - Judge Business School and Federal Reserve Bank of St. Louis - Research Division
Downloads 5 (1,352,294)
Citation 9
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economic value, expectation hypothesis, term structure of interest rates, vector autoregression

13.

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

Downloads 285 (228,169)
Citation 2

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, University of Cambridge - Judge Business School and Banque de France
Downloads 182 (351,587)

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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, University of Cambridge - Judge Business School and Banque de France
Downloads 98 (582,315)

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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, University of Cambridge - Judge Business School and Banque de France
Downloads 5 (1,352,294)
Citation 2
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foreign exchange, fundamentals, global imbalances, predictability

14.

Information in Cross Currency Options

Number of pages: 71 Posted: 11 Dec 2022 Last Revised: 10 Feb 2025
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 263 (247,738)

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Currency options, Arbitrage, Implied Volatility, Cross-currency

15.

Beyond Bilateral Flows: Indirect Connections and Exchange Rates

Number of pages: 75 Posted: 15 Oct 2024
Saleem Bahaj, Pasquale Della Corte, Daniele Massacci and Eduard Seyde
UCL Economics, Imperial College Business School, King's College London and Imperial College London
Downloads 70 (703,722)

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Exchange Rates, Currency Returns, Imperfect Financial Markets

16.

Spot and Forward Volatility in Foreign Exchange

Downloads 26 (1,066,286)
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, University of Cambridge - Judge Business School and University of Guelph
Downloads 26 (1,096,975)
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, University of Cambridge - Judge Business School and University of Guelph

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

17.

An Economic Evaluation of Empirical Exchange Rate Models

Downloads 13 (1,226,793)
Citation 36

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, University of Cambridge - Judge Business School and University of Guelph
Downloads 13 (1,271,205)
Citation 36
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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, University of Cambridge - Judge Business School and University of Guelph

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F31, F37, G11