Zobrazeno 1 - 10
of 11
pro vyhledávání: '"Lorenzo Prosperi"'
Publikováno v:
Risk Management Magazine, Vol 15, Iss 3, Pp 33-47 (2020)
There is growing evidence that ESG investments have demonstrated higher resiliency to the COVID-19 pandemic shock. While the performance of mutual funds is largely documented, there is limited evidence on stocks, especially in the European market. In
Externí odkaz:
https://doaj.org/article/8fddde27e2ff4a5e8bbeece3c3630646
Publikováno v:
Quantitative Finance. 22:1927-1954
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::ee6c08a91cb791cf1a6551ebf2643668
https://doi.org/10.1080/14697688.2022.2090420
https://doi.org/10.1080/14697688.2022.2090420
Autor:
Prometeia, Alessio Iacopino, Giovanni Maria Bonagura, Laura D'Amico, Lea Zicchino, Lorenzo Prosperi
Publikováno v:
Risk Management Magazine, Vol 15, Iss 3, Pp 33-47 (2020)
There is growing evidence that ESG investments have demonstrated higher resiliency to the COVID-19 pandemic shock. While the performance of mutual funds is largely documented, there is limited evidence on stocks, especially in the European market. In
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::1827a926f99c9917354b99379797ade7
https://www.aifirm.it/wp-content/uploads/2021/04/RMM-2020-03-Excerpt-4.pdf
https://www.aifirm.it/wp-content/uploads/2021/04/RMM-2020-03-Excerpt-4.pdf
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::709bd69222ebbe9a6c248e6f7f6cf45d
https://doi.org/10.2139/ssrn.3473025
https://doi.org/10.2139/ssrn.3473025
Publikováno v:
SSRN Electronic Journal.
We propose a new data-rich environment model of the yield curve, the macroeconomy, monetary policies and effective exchange rates for a panel of 11 countries: the iDREAM. The endogenous variables are observable (short- and long-term interest rates, e
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::3bdb5e3725c89adbf7e0007e0d01f2b4
https://doi.org/10.2139/ssrn.3198687
https://doi.org/10.2139/ssrn.3198687
Publikováno v:
SSRN Electronic Journal.
Could a Fed rate hike affect Turkish banks' stock prices? Could it lead to an increase in the exposure to interest rate risk of Turkish banks, generating negative spillover effects? By means of a new data-rich environment IVAR model with both observa
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::47fa3c48eea22fd77b4abf6dbe471a30
https://doi.org/10.2139/ssrn.3309671
https://doi.org/10.2139/ssrn.3309671
Autor:
Lorenzo Prosperi
Publikováno v:
SSRN Electronic Journal.
Sovereign default models successfully explain business cycle in emerging economies by matching the stylized facts of main economic aggregates in normal and default periods but they usually fail to reproduce both the large levels of debt and spread ob
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::be742a1eacbc31d7a5bc115dd45e8fdb
https://doi.org/10.2139/ssrn.2871843
https://doi.org/10.2139/ssrn.2871843
This paper studies the impact of changes in the dynamic of correlation coefficients between asset returns on portfolio choices. Using weekly data from February 2002 to October 2011 on four different European asset classes, we obtain three main result
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::cd2a65cd23f0a663478e8902f3b14440
http://hdl.handle.net/11379/524093
http://hdl.handle.net/11379/524093
Publikováno v:
Rivista Bancaria - Minerva Bancaria. (1-2)
This paper studies the impact of changes in the dynamics ofthe correlation coefficients between asset returns on portfolio choices. Using weekly data from February 2002 to October 2011 on four different European asset classes, we obtain three main re
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=od_______645::7c8186e5e0e397a00280e308da494ddc
http://rivistabancaria.it/Articoli/movements-and-co-movements-across-european-asset-classes-portfolio-allocations-and-policy-i
http://rivistabancaria.it/Articoli/movements-and-co-movements-across-european-asset-classes-portfolio-allocations-and-policy-i
Autor:
Lorenzo Prosperi, Michael Donadelli
This paper investigates the impact of liquidity on emerging markets' stock prices. Particular attention is given to the estimation of Jensen's alpha and the quantity of risk. Our empirical analysis gives rise to two main issues. The first is related
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::27a24616542d314c92452cce93248fb4
http://hdl.handle.net/11379/524126
http://hdl.handle.net/11379/524126