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Marcello Pericoli · Study
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Author
Marcello Pericoli
19 works
· latest 2022
· 1 institutions
cluster: provisional
ORCID 0000-0002-3054-8582
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Citations
3,023
Works here
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Most cited in this library
‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion
2005 · 791 citations
A Primer on Financial Contagion
2003 · 696 citations
The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems
2009 · 241 citations
Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia
2008 · 204 citations
Real Term Structure and Inflation Compensation in the Euro Area
2012 · 149 citations
Works
19 shown
Negative Interest Rate Policy and the Yield Curve
RePEc: Research Papers in Economics
·
2022
·
2 authors
34
citations
Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models
Journal of Financial Econometrics
·
2020
·
2 authors
·
Open access
76
citations
Monetary Policy Surprises Over Time
SSRN Electronic Journal
·
2017
·
2 authors
·
preprint
·
Open access
24
citations
Understanding Policy Rates at the Zero Lower Bound: Insights from a Bayesian Shadow Rate Model
SSRN Electronic Journal
·
2016
·
2 authors
·
preprint
·
Open access
26
citations
Pure or Wake‐up‐Call Contagion? Another Look at the EMU Sovereign Debt Crisis
International Finance
·
2013
·
3 authors
115
citations
Real Term Structure and Inflation Compensation in the Euro Area
SSRN Electronic Journal
·
2012
·
1 author
·
preprint
·
Open access
149
citations
'Pure' or 'Wake-Up-Call' Contagion? Another Look at the EMU Sovereign Debt Crisis
SSRN Electronic Journal
·
2012
·
3 authors
·
preprint
·
Open access
48
citations
Expected Inflation and Inflation Risk Premium in the Euro Area and in the United States
SSRN Electronic Journal
·
2012
·
1 author
·
preprint
·
Open access
25
citations
Bond risk premia, macroeconomic fundamentals and the exchange rate
International Review of Economics & Finance
·
2011
·
2 authors
134
citations
Correlation Analysis of Financial Contagion
·
2011
·
3 authors
·
other
37
citations
The CAPM and the Risk Appetite Index: Theoretical Differences, Empirical Similarities, and Implementation Problems
SSRN Electronic Journal
·
2009
·
2 authors
·
preprint
·
Open access
241
citations
Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate
SSRN Electronic Journal
·
2009
·
2 authors
·
preprint
·
Open access
125
citations
Bond Risk Premia, Macroeconomic Fundamentals and the Exchange Rate
SSRN Electronic Journal
·
2009
·
2 authors
·
preprint
·
Open access
30
citations
Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia
Journal of money credit and banking
·
2008
·
2 authors
204
citations
Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premiums
SSRN Electronic Journal
·
2006
·
2 authors
·
preprint
·
Open access
72
citations
‘Some contagion, some interdependence’: More pitfalls in tests of financial contagion
Journal of International Money and Finance
·
2005
·
3 authors
791
citations
A Primer on Financial Contagion
Journal of Economic Surveys
·
2003
·
2 authors
696
citations
The impact of news on the exchange rate of the lira and long-term interest rates
Economic Modelling
·
2002
·
3 authors
123
citations
Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test
RePEc: Research Papers in Economics
·
2001
·
3 authors
·
preprint
·
Open access
73
citations