Publications

by members of

Centro Studi di Banca e Finanza (CEFIN)
Facoltà di Economia "Marco Biagi"
Università degli Studi di Modena e Reggio Emilia
Modena, Italy

(Center for Studies in Banking and Finance, Faculty of Economics, )

Working papers

2009

1. Andrea Cipollini & Franco Fiordelisi, 2009. "The impact of bank concentration on financial distress: the case of the European banking system," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09021, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
2. Bertocchi, Graziella & Brunetti, Marianna & Torricelli, Costanza, 2009. "Marriage and Other Risky Assets: A Portfolio Approach," IZA Discussion Papers 3975, Institute for the Study of Labor (IZA). [Downloadable!]
3. Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2009. "Marriage and Other Risky Assets: A Portfolio Approach," Center for Economic Research (RECent) 030, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
4. Bertocchi, Graziella & Brunetti, Marianna & Torricelli, Costanza, 2009. "Marriage and Other Risky Assets: A Portfolio Approach," CEPR Discussion Papers 7162, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
5. Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2009. "Marriage and Other Risky Assets: A Portfolio Approach," CHILD Working Papers wp03_09, CHILD - Centre for Household, Income, Labour and Demographic economics - ITALY. [Downloadable!]
6. Costanza Torricelli, 2009. "Models For Household Portfolios And Life-Cycle Allocations In The Presence Of Labour Income And Longevity Risk," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09033, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
7. Elisabetta Gualandri & Andrea Landi & Valeria Venturelli, 2009. "Financial Crisis And New Dimensions Of Liquidity Risk: Rethinking Prudential Regulation And Supervision," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09011, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
8. Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2009. "Optimization Heuristics for Determining Internal Rating Grading Scales," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09031, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
9. Thiemo Krink & Stefan Mittnik & Sandra Paterlini, 2009. "Differential Evolution and Combinatorial Search for Constrained Index Tracking," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 09032, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]

2008

1. Giuseppe Marotta, 2008. "Structural breaks in the lending interest rate pass-through and the euro," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08031, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
2. Giuseppe Marotta, 2008. "Lending interest rate pass-through in the euro area. A data-driven tale," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08101, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
3. Maria Cecilia Guerra & Paolo Silvestri, 2008. "Novità e tendenze nel quadro normativo della finanza dei comuni: entrate tributarie e patto di stabilità," Department of Economics 603, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
4. Riccardo Ferretti & Francesco Pattarin, 2008. "Is public information really public? The role of newspapers," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08013, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
5. Andrea Cipollini & George Kapetanios, 2008. "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Center for Economic Research (RECent) 014, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
6. Andrea Cipollini & Giuseppe Missaglia, 2008. "Measuring bank capital requirements through Dynamic Factor analysis," Center for Economic Research (RECent) 010, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
7. Simona Castellani & Chiara Pederzoli & Costanza Torricelli, 2008. "Indebtedness, macroeconomic conditions and banks’ loan losses: evidence from Italy," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08014, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
8. Chiara Pederzoli & Costanza Torricelli & Dimitrios P. Tsomocos, 2008. "Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework," OFRC Working Papers Series 2008fe27, Oxford Financial Research Centre. [Downloadable!]
9. Graziella Bertocchi & Marianna Brunetti & Costanza Torricelli, 2008. "Marriage and Other Risky Assets: A Portfolio Approach," Department of Economics 0606, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
10. Elisabetta Gualandri & Valeria Venturelli, 2008. "Assessing and measuring the equity gap and the equity requirements for innovative SMEs," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08011, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
11. Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 08012, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
12. Thiemo Krink & Sandra Paterlini, 2008. "Differential Evolution for Multiobjective Portfolio Optimization," Center for Economic Research (RECent) 021, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
13. Marianna Lyra & Johannes Paha & Sandra Paterlini & Peter Winker, 2008. "Optimization Heuristics for Determining Internal Rating Grading Scales," Center for Economic Research (RECent) 023, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]

2007

1. cipollini, andrea & missaglia, giuseppe, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," MPRA Paper 3582, University Library of Munich, Germany. [Downloadable!]
2. Andrea Cipollini & Nektarios Aslanidis, 2007. "Leading indicator properties of US high-yield credit spreads," Center for Economic Research (RECent) 006, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
3. Andrea Cipollini & Giuseppe Missaglia, 2007. "Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling," Center for Economic Research (RECent) 007, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]
4. Marianna Brunetti & Costanza Torricelli, 2007. "The Effect of Population Ageing on Household Portfolio Choices in Italy," Heterogeneity and monetary policy 0702, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
5. Marianna Brunetti & Costanza Torricelli, 2007. "The role of demographic variables in explaining financial returns in Italy," Heterogeneity and monetary policy 0701, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
6. Michele Bonollo & Davide Morandi & Chiara Pederzoli & Costanza Torricelli, 2007. "Model risk and techniques for controlling market parameters. The experience in Banco Popolare," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07102, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
7. Marianna Brunetti & Costanza Torricelli, 2007. "The Effect of Population Ageing on Household Portfolio Choices in Italy," Department of Economics 545, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
8. Marianna Brunetti, 2007. "Population ageing, household portfolios and financial asset returns: A survey of the literature," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07051, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
9. Marianna Brunetti & Costanza Torricelli, 2007. "The Effect of Population Ageing on Household Portfolio Choices in Italy," Department of Economics 0545, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
10. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 07071, Universita di Modena e Reggio Emilia, Facoltà di Economia "Marco Biagi". [Downloadable!]
11. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Department of Economics 555, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
12. Davide Ferrari & Sandra Paterlini, 2007. "The Maximum Lq-Likelihood Method: an Application to Extreme Quantile Estimation in Finance," Center for Economic Research (RECent) 001, University of Modena and Reggio E., Dept. of Economics. [Downloadable!]

2006

1. Gianluca Di Lorenzo & Giuseppe Marotta, 2006. "Multiple breaks in lending rate pass-through A cross country study for the euro area," Heterogeneity and monetary policy 0602, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
2. Giuseppe Marotta, 2006. "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Heterogeneity and monetary policy 0612, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
3. Giuseppe Marotta, 2006. "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Department of Economics 549, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
4. Gianluca Di Lorenzo & Giuseppe Marotta, 2006. "Multiple breaks in lending rate pass-through A cross country study for the euro area," Department of Economics 524, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
5. Giuseppe Marotta, 2006. "Structural breaks in the interest rate pass-through and the euro. A cross-country study in the euro area and the UK," Department of Economics 0549, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
6. Gianluca Di Lorenzo & Giuseppe Marotta, 2006. "Multiple breaks in lending rate pass-through A cross country study for the euro area," Department of Economics 0524, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
7. Andrea Cipollini & George Kapetanios, 2006. "Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis," Computing in Economics and Finance 2006 477, Society for Computational Economics. [Downloadable!]
8. Chiara Pederzoli & Costanza Torricelli, 2006. "Optimal banks behaviour and procyclicality," Computing in Economics and Finance 2006 349, Society for Computational Economics.
9. Costanza Torricelli & Marianna Brunetti, 2006. "Economic activity and Recession Probabilities: spread predictive power in Italy," Computing in Economics and Finance 2006 350, Society for Computational Economics.
10. Gualandri, Elisabetta & Grasso, Alessandro Giovanni, 2006. "Towards a new Approach to Regulation and Supervision in the EU: Post-FSAP and Comitology," MPRA Paper 1780, University Library of Munich, Germany. [Downloadable!]

2005

1. Gianluca Di Lorenzo & Giuseppe Marotta, 2005. "A less effective monetary transmission in the wake of EMU? Evidence from lending rates pass-through," Heterogeneity and monetary policy 0503, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
2. Giuseppe Marotta & Chiara Pederzoli & Costanza Torricelli, 2005. "Forward-looking estimation of default probabilities with Italian data," Heterogeneity and monetary policy 0504, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
3. Gianluca Di Lorenzo & Giuseppe Marotta, 2005. "A less effective monetary transmission in the wake of EMU? Evidence from lending rates pass-through," Department of Economics 482, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
4. Gianluca Di Lorenzo & Giuseppe Marotta, 2005. "A less effective monetary transmission in the wake of EMU? Evidence from lending rates pass-through," Department of Economics 0482, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
5. rea cipollini & giuseppe missaglia, 2005. "Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis," Finance 0502010, EconWPA. [Downloadable!]
6. Andrea Cipollini & George Kapetanios, 2005. "Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis," Working Papers 538, Queen Mary, University of London, Department of Economics. [Downloadable!]
7. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing For Financial Contagion Between Developed And Emerging Markets During The 1997 East Asian Crisis," Economics and Finance Discussion Papers 05-08, Economics and Finance Section, School of Social Sciences, Brunel University. [Downloadable!]
8. Brunetti M. & Torricelli C., 2005. "The internal efficiency of Index Option Markets," Computing in Economics and Finance 2005 158, Society for Computational Economics. [Downloadable!]
9. Vittorio Moriggia & Silvia Muzzioli & Costanza Torricelli, 2005. "The no arbitrage condition in option implied trees: evidence from the Italian index options market," Department of Economics 491, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
10. Costanza Torricelli & Marianna Brunetti, 2005. "Economic Growth Rates and Recession Probabilities:the predictive power of the term spread in Italy," Department of Economics 518, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
11. Costanza Torricelli & Marianna Brunetti, 2005. "The aim of the present work is to test the predictive power of the term spread in forecasting real economic growth rates and recession probabilities in Italy. According to the most recent literature, ," Department of Economics 0518, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

2004

1. Andrea Cipollini & George Kapetanios, 2004. "A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data," Working Papers 506, Queen Mary, University of London, Department of Economics. [Downloadable!]
2. Costanza Torricelli & Marianna Brunetti, 2004. "The internal efficiency of Index Option Markets:Tests on the Italian Market," Department of Economics 472, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
3. Costanza Torricelli & Chiara Pederzoli, 2004. "A forward-looking model for time-varying capital requirements and the New Basel Capital Accord," Department of Economics 453, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
4. Costanza Torricelli & Marianna Brunetti, 2004. "The internal efficiency of Index Option Markets:Tests on the Italian Market," Department of Economics 0472, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

2003

1. Giuseppe Marotta, 2003. "When do trade credit discounts matter? Evidence from Italian firm-level data," Heterogeneity and monetary policy 0303, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]
2. Andrea Cipollini & George Kapetanios, 2003. "A Dynamic Factor Analysis of Financial Contagion in Asia," Working Papers 498, Queen Mary, University of London, Department of Economics. [Downloadable!]
3. Costanza Torricelli & Marianna Brunetti, 2003. "The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market," Department of Economics 436, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
4. Vittorio Moriggia & Silvia Muzzioli & Costanza Torricelli, 2003. "Call and put implied volatilities and the derivation of option implied trees," Department of Economics 448, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]
5. Costanza Torricelli & Marianna Brunetti, 2003. "The Put-Call Parity in the Index Options Markets: Further results for the Italian Mib30 Options market," Department of Economics 0436, University of Modena and Reggio E., Faculty of Economics "Marco Biagi". [Downloadable!]

2002

1. Paolo Bosi & Maria Cecilia Guerra, 2002. "The Role of Tax Incentives in Voluntary Pensions Schemes in Italy: what can other Countries learn from this?," Center for the Analysis of Public Policies (CAPP) 0012, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]

2001

1. Giuseppe Marotta, 2001. "Is trade credit more expensive than bank loans? Evidence from Italian firm-level data," Heterogeneity and monetary policy 0103, Universita di Modena e Reggio Emilia, Dipartimento di Economia Politica. [Downloadable!]

2000

1. Giuseppe Marotta, 2000. "Trade credit in Italy: Evidence from individual firm data," Finance 0004004, EconWPA. [Downloadable!]
2. Guglielmo Maria Caporale & Andrea Cipollini & Panicos Demetriades, 2000. "Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity," Discussion Papers in Economics 00/11, Department of Economics, University of Leicester, revised Feb 2002. [Downloadable!]

1999

1. Gianna Boero & C. Torricelli, 1999. "The Information in the Term of Structure: further Results for Germany," Working Paper CRENoS 199912, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]

1998

1. Boero, G. & Torricelli, C., 1998. "Tests of the Expectations Hypothesis and Policy Reaction to the Term Spread: Some Comparative Evidence," The Warwick Economics Research Paper Series (TWERPS) 512, University of Warwick, Department of Economics. [Downloadable!]

1997

1. Gianna Boero & C. Torricelli, 1997. "The expectations hypothesis of the term structure: Evidence for Germany," Working Paper CRENoS 199704, Centre for North South Economic Research, University of Cagliari and Sassari, Sardinia. [Downloadable!]

Undated

1. D. Mercurio & C. Torricelli, . "Estimation and Arbitrage Opportunities for Exchange Rate Baskets," Sonderforschungsbereich 373 2001-37, Humboldt Universitaet Berlin.

Journal articles

2009

1. Marotta, Giuseppe, 2009. "Structural breaks in the lending interest rate pass-through and the euro," Economic Modelling, Elsevier, vol. 26(1), pages 191-205, January. [Downloadable!] (restricted)
2. Davide Pietroni & Gerben Kleef & Enrico Rubaltelli & Rino Rumiati, 2009. "When happiness pays in negotiation," Mind and Society: Cognitive Studies in Economics and Social Sciences, Fondazione Rosselli, vol. 8(1), pages 77-92, June. [Downloadable!] (restricted)
3. Cipollini, A. & Kapetanios, G., 2009. "Forecasting financial crises and contagion in Asia using dynamic factor analysis," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 188-200, March. [Downloadable!] (restricted)
4. Andrea Cipollini & Bassam Fattouh & Kostas Mouratidis, 2009. "Fiscal Readjustments In The United States: A Nonlinear Time-Series Analysis," Economic Inquiry, Western Economic Association International, vol. 47(1), pages 34-54, 01. [Downloadable!] (restricted)
5. Moriggia, V. & Muzzioli, S. & Torricelli, C., 2009. "On the no-arbitrage condition in option implied trees," European Journal of Operational Research, Elsevier, vol. 193(1), pages 212-221, February. [Downloadable!] (restricted)
6. Marianna Brunetti & Costanza Torricelli, 2009. "Economic activity and recession probabilities: information content and predictive power of the term spread in Italy," Applied Economics, Taylor and Francis Journals, vol. 41(18), pages 2309-2322. [Downloadable!] (restricted)

2008

1. Enrico Rubaltelli & Paul Slovic, 2008. "Affective reactions and context-dependent processing of negations," Judgment and Decision Making, Society for Judgment and Decision Making, vol. 3(8), pages 607-618, December. [Downloadable!]
2. Cipollini, A. & Kapetanios, G., 2008. "A stochastic variance factor model for large datasets and an application to S&P data," Economics Letters, Elsevier, vol. 100(1), pages 130-134, July. [Downloadable!] (restricted)
3. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2008. "The optimal structure of PD buckets," Journal of Banking & Finance, Elsevier, vol. 32(10), pages 2275-2286, October. [Downloadable!] (restricted)

2007

1. M. Brunetti & C. Torricelli, 2007. "The internal and cross market efficiency in index option markets: an investigation of the Italian market," Applied Financial Economics, Taylor and Francis Journals, vol. 17(1), pages 25-33, January. [Downloadable!] (restricted)
2. V. Moriggia, S. Muzzioli, C. Torricelli, 2007. "Call an Put Implied Volatilities and the Derivation of Option Implied Trees," Frontiers in Finance and Economics, Lille Graduate School of Management, vol. 4(1), pages 35-64, June. [Downloadable!]
3. Krink, Thiemo & Paterlini, Sandra & Resti, Andrea, 2007. "Using differential evolution to improve the accuracy of bank rating systems," Computational Statistics & Data Analysis, Elsevier, vol. 52(1), pages 68-87, September. [Downloadable!] (restricted)

2006

1. Gianluca Di Lorenzo & Giuseppe Marotta, 2006. "A Less Effective Monetary Transmission In The Wake Of European Monetary Union (Emu)? Evidence From Lending Rates Pass-Through," Icfai University Journal of Monetary Economics, Icfai Press, vol. 0(2), pages 6-31, May.
2. Paterlini, Sandra & Krink, Thiemo, 2006. "Differential evolution and particle swarm optimisation in partitional clustering," Computational Statistics & Data Analysis, Elsevier, vol. 50(5), pages 1220-1247, March. [Downloadable!] (restricted)
3. Chiara Pederzoli, 2006. "Stochastic Volatility and GARCH: a Comparison Based on UK Stock Data," European Journal of Finance, Taylor and Francis Journals, vol. 12(1), pages 41-59, January. [Downloadable!] (restricted)

2005

1. Giuseppe Marotta, 2005. "When do trade credit discounts matter? Evidence from Italian firm-level data," Applied Economics, Taylor and Francis Journals, vol. 37(4), pages 403-416, March. [Downloadable!] (restricted)
2. Caporale, Guglielmo Maria & Cipollini, Andrea & Demetriades, Panicos O., 2005. "Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity," Journal of International Money and Finance, Elsevier, vol. 24(1), pages 39-53, February. [Downloadable!] (restricted)
3. Philip Arestis & Guglielmo Maria Caporale & Andrea Cipollini & Nicola Spagnolo, 2005. "Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 10(4), pages 359-367. [Downloadable!]
4. Caporale, Guglielmo Maria & Cipollini, Andrea & Spagnolo, Nicola, 2005. "Testing for contagion: a conditional correlation analysis," Journal of Empirical Finance, Elsevier, vol. 12(3), pages 476-489, June. [Downloadable!] (restricted)
5. Pederzoli, Chiara & Torricelli, Costanza, 2005. "Capital requirements and business cycle regimes: Forward-looking modelling of default probabilities," Journal of Banking & Finance, Elsevier, vol. 29(12), pages 3121-3140, December. [Downloadable!] (restricted)
6. Brunetti, Marianna & Torricelli, Costanza, 2005. "Put-call parity and cross-markets efficiency in the index options markets: evidence from the Italian market," International Review of Financial Analysis, Elsevier, vol. 14(5), pages 508-532. [Downloadable!] (restricted)
7. Muzzioli, S. & Torricelli, C., 2005. "The pricing of options on an interval binomial tree. An application to the DAX-index option market," European Journal of Operational Research, Elsevier, vol. 163(1), pages 192-200, May. [Downloadable!] (restricted)

2004

1. Francesco Pattarin & Riccardo Ferretti, 2004. "The Mib30 index and futures relationship: econometric analysis and implications for hedging," Applied Financial Economics, Taylor and Francis Journals, vol. 14(18), pages 1281-1289, December. [Downloadable!] (restricted)
2. Philip Arestis & Andrea Cipollini & Bassam Fattouh, 2004. "Threshold Effects in the U.S. Budget Deficit," Economic Inquiry, Oxford University Press, vol. 42(2), pages 214-222, April. [Downloadable!] (restricted)
3. Muzzioli, Silvia & Torricelli, Costanza, 2004. "A multiperiod binomial model for pricing options in a vague world," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 861-887, February. [Downloadable!] (restricted)
4. Pattarin, Francesco & Paterlini, Sandra & Minerva, Tommaso, 2004. "Clustering financial time series: an application to mutual funds style analysis," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 353-372, September. [Downloadable!] (restricted)
5. Roverato, Alberto & Paterlini, Sandra, 2004. "Technological modelling for graphical models: an approach based on genetic algorithms," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 323-337, September. [Downloadable!] (restricted)

2003

1. Danilo Mercurio & Costanza Torricelli, 2003. "Estimation and arbitrage opportunities for exchange rate baskets," Applied Economics, Taylor and Francis Journals, vol. 35(15), pages 1689-1698, October. [Downloadable!] (restricted)

2002

1. Arestis, Philip & Caporale, Guglielmo Maria & Cipollini, Andrea, 2002. "Does Inflation Targeting Affect the Trade-Off between Output Gap and Inflation Variability?," Manchester School, University of Manchester, vol. 70(4), pages 528-45, Special I. [Downloadable!] (restricted)
2. Guglielmo Maria Caporale & Andrea Cipollini, 2002. "The Euro and Monetary Policy Transparency," Eastern Economic Journal, Eastern Economic Association, vol. 28(1), pages 59-70, Winter. [Downloadable!]
3. Gianna Boero & Costanza Torricelli, 2002. "The information in the term structure of German interest rates," European Journal of Finance, Taylor and Francis Journals, vol. 8(1), pages 21-45, March. [Downloadable!] (restricted)

2001

1. Cipollini, Andrea, 2001. "Testing for Government Intertemporal Solvency: A Smooth Transition Error Correction Model Approach," Manchester School, University of Manchester, vol. 69(6), pages 643-55, December. [Downloadable!] (restricted)
2. Muzzioli, Silvia & Torricelli, Costanza, 2001. "A Model For Pricing An Option With A Fuzzy Payoff," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), vol. 0(1), pages 49-87, May.

1997

1. Marotta, Giuseppe, 1997. "Does Trade Credit Redistribution Thwart Monetary Policy? Evidence from Italy," Applied Economics, Taylor and Francis Journals, vol. 29(12), pages 1619-29, December. [Downloadable!] (restricted)
2. Giuseppe Marotta, 1997. "Does trade credit redistribution thwart monetary policy? Evidence from Italy," Applied Economics, Taylor and Francis Journals, vol. 29(12), pages 1619-1629, December. [Downloadable!] (restricted)

1996

1. Boero, G. & Torricelli, C., 1996. "A comparative evaluation of alternative models of the term structure of interest rates," European Journal of Operational Research, Elsevier, vol. 93(1), pages 205-223, August. [Downloadable!] (restricted)

1994

1. Torricelli, Costanza, 1994. "Futures market and spot price volatility: A model for a storable commodity," European Journal of Political Economy, Elsevier, vol. 10(2), pages 339-355, July. [Downloadable!] (restricted)

Books

2007

1. Ignazio Visco & Barry Eichengreen & Gilles Mourre & Declan Costello & Giuseppe Carone & Nuria Diez Guardia & Bartosz Przywara & Aino Salomäki & Vincenzo Galasso & Mark Weth & Sebastian Schich & Etien, 2007. "Money, Finance and Demography: The Consequences of Ageing," SUERF Colloquium Volumes, SUERF - The European Money and Finance Forum, number 1 edited by Morten Balling & Ernest Gnan & Frank Lierman, November.

This page was last updated on 2009-11-1.