Riccardo Colacito

University of North Carolina Kenan-Flagler Business School

Assistant Professor of Finance

Kenan-Flagler Business School

Chapel Hill, NC 27599-3490

United States

http://www.unc.edu/~colacitr

SCHOLARLY PAPERS

22

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CITATIONS
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152

Scholarly Papers (22)

1.

Risks for the Long-Run and the Real Exchange Rate

Journal of Political Economy, Vol. 119, No. 1, 2011
Number of pages: 34 Posted: 14 Mar 2008 Last Revised: 03 Oct 2012
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 1,289 (8,443)
Citation 39

Abstract:

Exchange rates, international financial markets, long-run risks

2.
Downloads 1,018 ( 16,358)
Citation 3

International Asset Pricing with Recursive Preferences

Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53 Posted: 23 Jul 2010 Last Revised: 10 Mar 2017
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 528 (40,718)
Citation 3

Abstract:

International Asset Pricing with Recursive Preferences

Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53 Posted: 14 Mar 2012 Last Revised: 10 Mar 2017
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 490 (44,767)
Citation 3

Abstract:

Recursive preferences, risk-sharing, exchange rate

3.

A Component Model for Dynamic Correlations

Journal of Econometrics, Forthcoming
Number of pages: 51 Posted: 09 Mar 2009 Last Revised: 15 Nov 2013
Riccardo Colacito, Robert F. Engle and Eric Ghysels
University of North Carolina Kenan-Flagler Business School, New York University - Leonard N. Stern School of Business - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 614 (28,110)
Citation 11

Abstract:

4.

Testing and Valuing Dynamic Correlations for Asset Allocation

Journal of Business and Economic Statistics, Vol. 24, N. 2,, pp. 238-253, April 2006
Number of pages: 48 Posted: 15 Sep 2008
Robert F. Engle and Riccardo Colacito
New York University - Leonard N. Stern School of Business - Department of Economics and University of North Carolina Kenan-Flagler Business School
Downloads 533 (38,790)
Citation 29

Abstract:

GARCH, DCC, Forecast Evaluation

5.

BKK the EZ Way: International Long-Run Growth News and Capital Flows

Number of pages: 75 Posted: 18 Nov 2012 Last Revised: 10 Mar 2017
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, Columbia University, Graduate School of Arts and Sciences, Department of Economics and Wake Forest University - School of Business
Downloads 480 (32,401)

Abstract:

International Investment Flows, Long-Run Growth News, Recursive Preferences

6.

International Asset Pricing with Risk-Sensitive Agents

Number of pages: 41 Posted: 05 Feb 2010 Last Revised: 03 Oct 2012
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 316 (74,054)
Citation 1

Abstract:

Recursive Preferences, time-varying volatility, international finance, exchange rates

7.

The Short- and Long-Run Benefits of Financial Integration

American Economic Review, Papers and Proceedings, May 2010
Number of pages: 5 Posted: 04 Feb 2010
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 300 (70,605)
Citation 2

Abstract:

8.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory

Number of pages: 56 Posted: 06 Dec 2012 Last Revised: 22 Aug 2015
Riccardo Colacito, Eric Ghysels, Jinghan Meng and Wasin Siwasarit
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 292 (42,365)
Citation 2

Abstract:

Skewness, Consumption, Macro-Finance, Recursive Preferences

9.

The Term Structures of Co-Entropy in International Financial Markets

Fisher College of Business Working Paper No. 2013-03-17, Charles A. Dice Center Working Paper No. 2013-17
Number of pages: 77 Posted: 24 Oct 2013 Last Revised: 31 Jan 2017
Fousseni Chabi-Yo and Riccardo Colacito
University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School
Downloads 237 (69,907)
Citation 1

Abstract:

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

THE KNOWN, THE UNKNOWN AND THE UNKNOWABLE IN FINANCIAL RISK MANAGEMENT, F.X. Diebold, ed., Forthcoming
Number of pages: 25 Posted: 14 Sep 2008
Riccardo Colacito and Robert F. Engle
University of North Carolina Kenan-Flagler Business School and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 137 (173,167)
Citation 2

Abstract:

Term Structure of Risk, the Role of Known and Unknown Risks and Non-Stationary Distributions

NYU Working Paper No. FIN-08-040
Number of pages: 25 Posted: 09 Mar 2009
Riccardo Colacito and Robert F. Engle
University of North Carolina Kenan-Flagler Business School and New York University - Leonard N. Stern School of Business - Department of Economics
Downloads 96 (226,290)
Citation 2

Abstract:

11.

Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics

Number of pages: 57 Posted: 23 Jul 2010 Last Revised: 15 May 2017
Riccardo Colacito, Mariano Massimiliano Croce and Zhao Liu
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School and Duke University, Department of Economics, Students
Downloads 218 (81,198)

Abstract:

12.

'O Sole Mio: An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions

Number of pages: 38 Posted: 12 Nov 2011 Last Revised: 30 Nov 2013
Anna Bassi, Riccardo Colacito and Paolo Fulghieri
UNC Chapel Hill, University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 196 (109,969)
Citation 4

Abstract:

Experiments, Risk Aversion, Weather, Sunshine

13.

International Robust Disagreement

American Economic Review, Vol. 102, No. 2, May 2012
Number of pages: 5 Posted: 14 Jan 2012
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 181 (118,829)
Citation 3

Abstract:

Robustness, Disagreement, International

14.

Currency Risk Factors in a Recursive Multi-Country Economy

INSEAD Working Paper No. 2015/40/FIN, Simon Business School Working Paper No. FR 15-10
Number of pages: 77 Posted: 24 Dec 2014 Last Revised: 16 May 2017
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, INSEAD and University of Rochester - Simon Business School
Downloads 168 (61,182)

Abstract:

Recursive Risk Sharing, Carry Trade, Currency Risk Factors

15.

Risks for the Long Run and the Real Exchange Rate: Technical Appendix

Number of pages: 16 Posted: 14 Sep 2008
Riccardo Colacito and Mariano Massimiliano Croce
University of North Carolina Kenan-Flagler Business School and University of North Carolina Kenan-Flagler Business School
Downloads 123 (169,746)
Citation 36

Abstract:

16.

On the Existence of the Exchange Rate When Agents Have Complete Home Bias and Non-Time Separable Preferences

Number of pages: 9 Posted: 14 Sep 2008
Riccardo Colacito
University of North Carolina Kenan-Flagler Business School
Downloads 96 (199,078)
Citation 2

Abstract:

17.

Temperatures and Growth: A Panel Analysis of the United States

Number of pages: 57 Posted: 10 Jan 2015 Last Revised: 06 May 2016
Riccardo Colacito, Bridget Hoffmann and Toan Phan
University of North Carolina Kenan-Flagler Business School, Inter-American Development Bank and University of North Carolina (UNC) at Chapel Hill
Downloads 88 (128,647)

Abstract:

temperatures, growth, climate change, industry analysis

18.

Robustness and U.S. Monetary Policy Experimentation

Journal of Money, Credit, and Banking, Forthcoming
Number of pages: 29 Posted: 18 Sep 2008
Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School, University of Chicago - Department of Economics and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 81 (226,354)
Citation 8

Abstract:

Learning, model uncertainty, Bayes' law, Phillips curve, experimentation, robustness, pessimism, entropy

19.

Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas

Journal of Money, Credit, and Banking, Vol. 39, No. 2, 2007
Number of pages: 34 Posted: 15 Sep 2008
Timothy Cogley, Riccardo Colacito and Thomas J. Sargent
Leonard N. Stern School of Business - Department of Economics, University of North Carolina Kenan-Flagler Business School and New York University (NYU) - Department of Economics, Leonard N. Stern School of Business
Downloads 44 (322,363)
Citation 11

Abstract:

20.

Skewness in Expected Macro Fundamentals and the Predictability of Equity Returns: Evidence and Theory. Online Appendix.

Number of pages: 61 Posted: 02 Apr 2015 Last Revised: 22 Aug 2015
Riccardo Colacito, Eric Ghysels, Jinghan Meng and Wasin Siwasarit
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Hong Kong and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 35 (218,672)
Citation 2

Abstract:

Skewness, Consumption, Macro-Finance, Recursive Preferences

21.

Buy Global, Sell Local. Consumption Heterogeneity, Regional Risk-Sharing, and the Cross-Section of Equity Returns

Number of pages: 46 Posted: 17 Oct 2016
Riccardo Colacito and Stanislav Khrapov
University of North Carolina Kenan-Flagler Business School and New Economic School (NES)
Downloads 0 (474,333)

Abstract:

geography, risk spread, industry returns

22.

Volatility Risk Pass-Through

Number of pages: 56 Posted: 27 Nov 2015
University of North Carolina Kenan-Flagler Business School, University of North Carolina Kenan-Flagler Business School, University of Pennsylvania and University of Wisconsin - Madison
Downloads 0 (165,945)

Abstract: