Zobrazeno 1 - 10
of 23
pro vyhledávání: '"Pierangelo De Pace"'
Autor:
Silvio Contessi, Pierangelo De Pace
Publikováno v:
Finance Research Letters
We identify periods of mildly explosive dynamics and collapses in the stock markets of 18 major countries during the first wave of the COVID-19 pandemic of 2020. We find statistical evidence of instability transmission from the Chinese stock market t
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::31f33bd4d59571b486422862ff45b885
https://pubmed.ncbi.nlm.nih.gov/34566529
https://pubmed.ncbi.nlm.nih.gov/34566529
Autor:
Jayant Rao, Pierangelo De Pace
Publikováno v:
SSRN Electronic Journal.
We analyze the extent of comovement between daily price returns of nine major cryptocurrencies during the first three main phases of their development, from April 2013 to November 2018. We assess its evolution using bivariate and multivariate modelin
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::03d87aa9e3153802247527a6841cd16b
https://doi.org/10.2139/ssrn.3523993
https://doi.org/10.2139/ssrn.3523993
Publikováno v:
Federal Reserve Bank of Dallas, Globalization Institute Working Papers. 2017
We use a recently developed right-tail variation of the Augmented Dickey-Fuller unit root test to identify and date-stamp periods of mildly explosive behavior in the weekly time series of eight U.S. fixed income yield spreads between September 2002 a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::f4ab4ee5d6726acdd6fa51c24036151f
https://doi.org/10.24149/gwp324r1
https://doi.org/10.24149/gwp324r1
Publikováno v:
Energy Economics. 57:28-41
Using monthly data between 1970 and 2013, we provide a comprehensive analysis of the extent of co-movement (measured by correlation coefficients) among the nominal price returns of 11 major energy, agricultural, and food commodities. We study the deg
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::26955d76c8e0a160de42c7d18d4b046b
https://doi.org/10.1016/j.eneco.2016.04.012
https://doi.org/10.1016/j.eneco.2016.04.012
Autor:
Silvio Contessi, Pierangelo De Pace
Publikováno v:
SSRN Electronic Journal.
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::cc1c7272374faee9fde90a05d325298d
https://doi.org/10.2139/ssrn.3015040
https://doi.org/10.2139/ssrn.3015040
Publikováno v:
Scopus-Elsevier
Several commentators have been concerned about the possibility that the euro area may be experiencing disinflation with the risk of deflation. However, the euro area is not the only economy navigating the risky waters of low inflation. Several other
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::30bb25e62dd2f474381ea28a8f493dbd
https://files.stlouisfed.org/files/htdocs/publications/review/2014/q3/contessi.pdf
https://files.stlouisfed.org/files/htdocs/publications/review/2014/q3/contessi.pdf
Autor:
Pierangelo De Pace
Publikováno v:
Macroeconomic Dynamics. 17:646-680
Since the 1970s, the characteristics of international business cycles have changed, and deeper economic integration has modified the features of cross-country comovement. We formally test for correlation shifts in measures of real economic activity a
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::6318325e6aec8a75b10a0d0d29645893
https://doi.org/10.1017/s1365100511000423
https://doi.org/10.1017/s1365100511000423
Autor:
Pierangelo De Pace
Publikováno v:
International Journal of Finance & Economics. 18:1-24
We use time-varying-parameter models and real-time data to describe the evolution of the leading properties of the yield spread for output growth in five European economies and in the USA over the last decades and until the third quarter of 2010. We
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::5ab9593bd4027d5ba9754301efda371d
https://doi.org/10.1002/ijfe.453
https://doi.org/10.1002/ijfe.453
Publikováno v:
Co-Movement of Major Commodity Price Returns: Time-Series Assessment
This paper provides a comprehensive analysis of the degree of co-movement among the nominal price returns of 11 major energy, agricultural and food commodities based on monthly data between 1970 and 2013. A uniform-spacings testing approach, a multiv
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::75cf5ccab1fda46900ca2be66de1edf3
https://doi.org/10.1596/1813-9450-6845
https://doi.org/10.1596/1813-9450-6845
Autor:
Pierangelo De Pace, Kyle D. Weber
Publikováno v:
SSRN Electronic Journal.
We study the leading properties of 30 U.S. high yield spreads for economic growth between 1996 and 2012 and show that they disappeared in the second half of the 2000s. Our empirical fi ndings demonstrate the unreliability of high yield spreads as lea
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::502332d88d8ae7fd420c0654eb312831
https://doi.org/10.2139/ssrn.2236096
https://doi.org/10.2139/ssrn.2236096