Mario Maggi

University of Pavia - Department of Economics and Management

University of Pavia - Department of Economics and Management

SCHOLARLY PAPERS

11

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2,491

CITATIONS

3

Scholarly Papers (11)

1.

A New Approach for Firm Value and Default Probability Estimation Beyond Merton Models

Computational Economics, Forthcoming
Number of pages: 23 Posted: 12 Dec 2007
Moscow School of Economics, Moscow State University, University of Pavia - Department of Political Economy and Quantitative Methods and University of Pavia - Department of Economics and Management
Downloads 1,011 (20,979)
Citation 1

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Firm value, No arbitrage, Structural models, Bivariate option, Copula, Default Probability

2.

A Copula-VAR-X Approach for Industrial Production Modelling and Forecasting

Applied Economics, Forthcoming
Number of pages: 18 Posted: 08 Apr 2008 Last Revised: 23 Dec 2011
Moscow School of Economics, Moscow State University, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management and affiliation not provided to SSRN
Downloads 591 (44,186)

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Forecasting, Industrial Production, Copula, VAR models, Vector Auto Regression

3.

VIX Index Strategies: Shorting Volatility As a Portfolio Enhancing Strategy

Number of pages: 49 Posted: 25 Jan 2018
Alberto Dondoni, Dennis Montagna and Mario Maggi
Banca IMI, University of Pavia - Department of Economics and Business Sciences and University of Pavia - Department of Economics and Management
Downloads 438 (64,400)

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VIX Index, VIX Futures, equity volatility, trading, asset allocation, cross-correlation, portfolio enhancement

4.

Discrete-Time Affine Term Structure Models: An ARCH Formulation

International Journal of Risk Assessment and Management, Forthcoming
Number of pages: 15 Posted: 20 Jan 2010
University of Pavia - Department of Economics and Management, Moscow School of Economics, Moscow State University and affiliation not provided to SSRN
Downloads 251 (120,217)
Citation 2

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Discrete-time Affine Term Structure Models, ARCH, VAR, Maximum Likelihood Estimation, Affine Models, Term Structure Models, Inverse Gaussian

5.

Analysis of Equity β Principal Components in Low Risk Framework: New Results and Prospectives

Number of pages: 37 Posted: 15 Nov 2017
Intermonte Sim, University of Pavia - Department of Economics and Business Sciences and University of Pavia - Department of Economics and Management
Downloads 110 (245,155)

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Asset Allocation, Quantitative Portfolio Management, CAPM, High Beta, Low Beta, Hedge Funds, Correlation, Linear Regression

6.

Risk Seeking or Risk Aversion? Phenomenology and Perception

Number of pages: 16 Posted: 01 Feb 2016
Università Politecnica delle Marche, University of Pavia - Department of Economics and Management and Università degli Studi di Genova - Department of Economics and Quantitative Methods (DIEM)
Downloads 72 (320,221)
Citation 1

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Risk aversion, Heterogeneity, Risk Measures, Subjective Values, Model Evaluation and Selection, Skin Conductance Response

7.

A Normative Analysis of Local Public Utilities: Investments in Water Networks

Number of pages: 39 Posted: 20 May 2015
University of Pavia - Department of Economics and Management, University of Pavia - Department of Economics and Management and Università Federico II di Napoli - Dipartimento di Scienze Economiche e Statistiche
Downloads 18 (526,732)

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Price-cap regulation, mixed firms, partial privatization, water networks, inelastic demand, natural monopoly

8.

Computing Reliable Default Probabilities in Turbulent Times

Rethinking Valuation and Pricing Models, pp. 241-255, Academic Press - Elsevier, 2013, Forthcoming
Posted: 02 Dec 2012
Dean Fantazzini and Mario Maggi
Moscow School of Economics, Moscow State University and University of Pavia - Department of Economics and Management

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credit ratings, credit default, default probabilities, probability of default, financial crises, firm value, KMV, Lehman, Merton, no arbitrage, option pricing, structural models, Zero price probability, ZPP

9.

Short Selling in Emerging Markets: A Comparison of Market Performance During the Global Financial Crisis

HANDBOOK OF SHORT SELLING, pp. 339-352, Elsevier, 2012
Posted: 16 Nov 2011
Dean Fantazzini and Mario Maggi
Moscow School of Economics, Moscow State University and University of Pavia - Department of Economics and Management

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Exogenous liquidity, Market liquidity, Market volatility, Maximum drawdown, Mean volatility, Sharpe ratio, Skewness

10.

Small Sample Properties of Copula-GARCH Modelling: A Monte Carlo Study

Applied Financial Economics, Forthcoming
Posted: 20 Sep 2011 Last Revised: 02 Oct 2017
University of Pavia - Department of Economics and Management, University of Pavia - Department of Political Economy and Quantitative Methods, Moscow School of Economics, Moscow State University and University of Pavia - Department of Economics and Management

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Copulas, Copula-GARCH models, Maximum Likelihood, Simulation, Small Sample Properties

11.

Copula-VAR and Copula-VAR-GARCH Modelling: Dangers for Value at Risk and Impulse Response Functions

THE RISK MODELING EVALUATION HANDBOOK, McGraw-Hill, pp. 321-338, 2010
Posted: 11 May 2010
University of Pavia - Department of Economics and Management, University of Pavia - Department of Political Economy and Quantitative Methods, University of Pavia - Department of Economics and Management and Moscow School of Economics, Moscow State University

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