Zobrazeno 1 - 10
of 45
pro vyhledávání: '"Andrea Cipollini"'
Publikováno v:
Cogent Economics & Finance, Vol 4, Iss 1 (2016)
Our paper offers evidence that the print media can affect stock prices by covering public information. After price-to-book value figures of Italian listed shares were first published on the major national financial newspaper, the prices of value stoc
Externí odkaz:
https://doaj.org/article/3d8e0224c2e649eea3f89e9dd3016337
Publikováno v:
Papers in Regional Science. 102:3-30
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::12cd8aab4b517eb13b2365c3472ceaf4
https://doi.org/10.1111/pirs.12712
https://doi.org/10.1111/pirs.12712
Autor:
Andrea Cipollini
Publikováno v:
UNIPA Springer Series ISBN: 9783030886219
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5a7342d327529132f97278ef363039c5
https://doi.org/10.1007/978-3-030-88622-6_6
https://doi.org/10.1007/978-3-030-88622-6_6
Autor:
Andrea Cipollini, Ieva Mikaliunaite
In this paper, we extend the monthly financial stress index for Lithuania, computed by the European Central Bank, to a daily frequency and we also include banking sector stress among its constituents, beyond bond, equity and foreign exchange markets.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::06bc125c360dbe794a2e8726d4aa33ef
http://hdl.handle.net/10447/535578
http://hdl.handle.net/10447/535578
Autor:
Ieva Mikaliunaite, Andrea Cipollini
This paper studies macro-uncertainty and financial distress spillovers within the Eurozone. We propose a novel methodology to derive the indices of spillovers, by using a Global Vector autoregressive model fitted to data sampled at mixed-frequencies.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f5e6a884fe297de81e2b6a77528846f8
http://hdl.handle.net/10447/388030
http://hdl.handle.net/10447/388030
Autor:
Fabio Parla, Andrea Cipollini
In this paper, we use a Global Vector Autoregression (GVAR) model to assess the spatio-temporal mechanism of house price spillovers, also known as “ripple effect”, among 93 Italian provincial housing markets, over the period 2004 − 2016 . In or
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::3e8bf5752784da9b75edcca1cadb82c7
http://hdl.handle.net/10447/534562
http://hdl.handle.net/10447/534562
Autor:
Fabio Parla, Andrea Cipollini
Publikováno v:
Applied Economics. 50:5795-5813
In this article, we use Structural VAR analysis to disentangle credit demand and supply shocks and their effect on real economic activity in Italy during the 2008 to 2014 crisis period. The three endogenous variables considered are the loan interest
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7c146f9c47816592385d10b1ceff80f3
https://doi.org/10.1080/00036846.2018.1488066
https://doi.org/10.1080/00036846.2018.1488066
Publikováno v:
Caloia, F G, Cipollini, A & Muzzioli, S 2018, ' Asymmetric semi-volatility spillover effects in EMU stock markets ', International Review of Financial Analysis, vol. 57, pp. 221-230 . https://doi.org/10.1016/j.irfa.2018.03.001
International Review of Financial Analysis, 57, 221-230. Elsevier Inc.
International Review of Financial Analysis, 57, 221-230. Elsevier Inc.
The aim of this paper is to quantify the strength and the direction of semi-volatility spillovers between five EMU stock markets over the 2000–2016 period. We use upside and downside semi-volatilities as proxies for downside risk and upside opportu
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::4d64b936f568493e9e543b70722ade94
https://research.vu.nl/en/publications/32514fc1-f3cd-437a-9b71-ee41460f207c
https://research.vu.nl/en/publications/32514fc1-f3cd-437a-9b71-ee41460f207c
Publikováno v:
Economic Modelling. 71:68-79
In this paper we compute an aggregate index of risk aversion and indices of vulnerability and the contribution to systemic risk aversion for five European countries. The variance risk premium proxies risk aversion. The contribution to the literature
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::8bd5fffd1215e495d369e5f829a60468
https://doi.org/10.1016/j.econmod.2017.12.003
https://doi.org/10.1016/j.econmod.2017.12.003
Publikováno v:
Aslanidis, N, Christiansen, C & Cipollini, A 2019, ' Predicting bond betas using macro-finance variables ', Finance Research Letters, vol. 29, pp. 193-199 . https://doi.org/10.1016/j.frl.2018.07.007
Aarhus University
Aarhus University
We conduct in-sample and out-of-sample forecasting using the new approach of combining explanatory variables through complete subset regressions (CSR). We predict bond CAPM betas and bond returns conditioning on various macro-finance variables. We ex
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::b0d922b8e8e15e52b7f5ab4fdc7eaaa6
https://pure.au.dk/portal/da/publications/predicting-bond-betas-using-macrofinance-variables(3eecf7fa-b931-4861-af88-51c69a686889).html
https://pure.au.dk/portal/da/publications/predicting-bond-betas-using-macrofinance-variables(3eecf7fa-b931-4861-af88-51c69a686889).html