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Simone Manganelli · Study
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Author
Simone Manganelli
29 works
· latest 2023
· 3 institutions
cluster: provisional
Works
29 shown
Forecasting and stress testing with quantile vector autoregression
Journal of Applied Econometrics
·
2023
·
2 authors
57
citations
Double Conditioning: The Hidden Connection between Bayesian and Classical Statistics
SSRN Electronic Journal
·
2023
·
1 author
·
preprint
·
Open access
1
citations
Forecasting and Stress Testing with Quantile Vector Autoregression
SSRN Electronic Journal
·
2019
·
2 authors
·
preprint
·
Open access
71
citations
Measuring Financial Fragmentation in the Euro Area Corporate Bond Market
Journal of risk and financial management
·
2018
·
3 authors
·
Open access
45
citations
The portfolio of euro area fund investors and ECB monetary policy announcements
Journal of International Money and Finance
·
2018
·
3 authors
·
Open access
22
citations
Realized bank risk during the great recession
Journal of Financial Intermediation
·
2017
·
3 authors
77
citations
Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area
Journal of Financial Intermediation
·
2016
·
4 authors
86
citations
Financial development, sectoral reallocation, and volatility: International evidence
Journal of International Economics
·
2015
·
2 authors
41
citations
VAR for VaR: Measuring tail dependence using multivariate regression quantiles
Journal of Econometrics
·
2015
·
3 authors
383
citations
A High Frequency Assessment of the ECB Securities Markets Programme
Journal of the European Economic Association
·
2014
·
4 authors
·
Open access
159
citations
Financial dependence, global growth opportunities, and growth revisited
Economics Letters
·
2013
·
2 authors
39
citations
Bank Risk During the Financial Crisis: Do Business Models Matter?
SSRN Electronic Journal
·
2011
·
3 authors
·
preprint
·
Open access
224
citations
The Impact of the Eurosystem's Covered Bond Purchase Programme on the Primary and Secondary Markets
SSRN Electronic Journal
·
2011
·
9 authors
·
preprint
·
Open access
149
citations
Modeling Autoregressive Conditional Skewness and Kurtosis with Multi‐Quantile CAViaR
Oxford University Press eBooks
·
2010
·
3 authors
·
chapter
·
Open access
42
citations
The Impact of the Euro on Equity Markets
Journal of Financial and Quantitative Analysis
·
2010
·
3 authors
41
citations
What drives spreads in the euro area government bond market?
Economic Policy
·
2009
·
2 authors
301
citations
The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan
Journal of money credit and banking
·
2008
·
2 authors
87
citations
Measuring Financial Integration in New EU Member States
SSRN Electronic Journal
·
2008
·
4 authors
·
preprint
·
Open access
75
citations
Modeling Autoregressive Conditional Skewness and Kurtosis with Multi-Quantile CAViaR
SSRN Electronic Journal
·
2008
·
3 authors
·
preprint
·
Open access
57
citations
Quantifying the Risk of Deflation
Journal of money credit and banking
·
2007
·
2 authors
48
citations
Market Discipline, Financial Integration and Fiscal Rules: What Drives Spreads in the Euro Area Government Bond Market?
SSRN Electronic Journal
·
2007
·
2 authors
·
preprint
·
Open access
64
citations
Financial Integration of New EU Member States
SSRN Electronic Journal
·
2006
·
4 authors
·
preprint
·
Open access
60
citations
The Impact of the Euro on Financial Markets
SSRN Electronic Journal
·
2006
·
3 authors
·
preprint
·
Open access
46
citations
Duration, volume and volatility impact of trades
Journal of Financial Markets
·
2005
·
1 author
182
citations
CAViaR
Journal of Business and Economic Statistics
·
2004
·
2 authors
2,210
citations
Value at Risk Models in Finance
SSRN Electronic Journal
·
2003
·
2 authors
·
preprint
·
Open access
210
citations
Duration, Volume and Volatility Impact of Trades
SSRN Electronic Journal
·
2002
·
1 author
·
preprint
·
Open access
53
citations
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles
RePEc: Research Papers in Economics
·
1999
·
2 authors
·
preprint
·
Open access
166
citations
CAViaR: Conditional Value at Risk by Quantile Regression
National Bureau of Economic Research
·
1999
·
2 authors
·
report
·
Open access
109
citations