This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Information about:
Simone Manganelli

Personal Details | Affiliation | Works
This is information that was supplied by Simone Manganelli in registering through RePEc. If you are Simone Manganelli , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

Other registered authors

Personal Details

First Name: Simone
Middle Name:
Last Name: Manganelli
Suffix:

RePEc Short-ID: pma142

Email:
Homepage: http://www.simonemanganelli.org
Postal Address: European Central Bank DG-Research Kaiserstrasse 29 60311 Frankfurt am Main GERMANY
Phone:

Affiliation

(in no particular order)

Works

| Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Lorenzo Cappiello & Arjan Kadareja & Simone Manganelli, 2008. "The impact of the euro on equity markets - a country and sector decomposition," Working Paper Series 906, European Central Bank. [Downloadable!]

  2. Markus Baltzer & Lorenzo Cappiello & Roberto A. De Santis & Simone Manganelli, 2008. "Measuring financial integration in new EU member states," Occasional Paper Series 81, European Central Bank. [Downloadable!]

  3. Simone Manganelli, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank. [Downloadable!]

  4. Kilian, Lutz & Manganelli, Simone, 2007. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," CEPR Discussion Papers 6031, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
    Published as:

  5. Simone Manganelli & Guido Wolswijk, 2007. "Market discipline, financial integration and fiscal rules - what drives spreads in the euro area government bond market?," Working Paper Series 745, European Central Bank. [Downloadable!]

  6. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank. [Downloadable!]

  7. Lorenzo Cappiello & Peter Hördahl & Arjan Kadareja & Simone Manganelli, 2006. "The impact of the euro on financial markets," Working Paper Series 598, European Central Bank. [Downloadable!]

  8. Simone Manganelli, 2006. "A new theory of forecasting," Working Paper Series 584, European Central Bank. [Downloadable!]

  9. Lorenzo Cappiello & Bruno Gérard & Simone Manganelli, 2005. "Measuring comovements by regression quantiles," Working Paper Series 501, European Central Bank. [Downloadable!]

  10. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society. [Downloadable!]

  11. Kilian, Lutz & Manganelli, Simone, 2003. "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers 3918, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)

  12. Philipp Hartmann & Simone Manganelli & Angela Maddaloni, 2003. "The Euro area financial system: structure, integration and policy initiatives," Working Paper Series 230, European Central Bank. [Downloadable!]
    Published as:

  13. Lutz Kilian & Simone Manganelli, 2003. "The Central Bank as a risk manager: quantifying and forecasting fnflation risks," Working Paper Series 226, European Central Bank. [Downloadable!]

  14. Simone Manganelli & Vladimiro Ceci & Walter Vecchiato, 2002. "Sensitivity analysis of volatility - a new tool for risk management," Working Paper Series 194, European Central Bank. [Downloadable!]

  15. Simone Manganelli, 2002. "Duration: volume and volatility impact of trades," Working Paper Series 125, European Central Bank. [Downloadable!]
    Published as:

  16. Simone Manganelli & Robert F. Engle, 2001. "Value at risk models in finance," Working Paper Series 075, European Central Bank. [Downloadable!]

  17. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  18. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series 99-20, Department of Economics, UC San Diego. [Downloadable!]
    Other versions:
    Published as:

Articles

  1. Lutz Kilian & Simone Manganelli, 2008. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1103-1129, 09. [Downloadable!] (restricted)
    Other versions:

  2. Lutz Kilian & Simone Manganelli, 2007. "Quantifying the Risk of Deflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 561-590, 03. [Downloadable!] (restricted)

  3. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November. [Downloadable!] (restricted)
    Other versions:

  4. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October. [Downloadable!] (restricted)
    Other versions:

  5. Simone Manganelli, 2004. "Asset Allocation by Variance Sensitivity Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 2(3), pages 370-389. [Downloadable!] (restricted)

  6. Philipp Hartmann & Angela Maddaloni & Simone Manganelli, 2003. "The Euro-area Financial System: Structure, Integration, and Policy Initiatives," Oxford Review of Economic Policy, Oxford University Press, vol. 19(1), pages 180-213.
    Other versions:

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (1) 2006-11-18
  2. NEP-CBA: Central Banking (4) 2006-05-06 2007-01-28 2007-05-04 2008-05-05 Author is listed
  3. NEP-ECM: Econometrics (2) 1999-11-08 2006-02-12
  4. NEP-EEC: European Economics (5) 2006-05-06 2006-11-18 2007-05-04 2008-05-05 2008-07-20 Author is listed
  5. NEP-ETS: Econometric Time Series (2) 1999-11-08 2006-02-12
  6. NEP-FIN: Finance (6) 1999-11-08 2003-07-13 2004-10-30 2005-10-04 2006-02-12 2006-05-06 Author is listed
  7. NEP-FMK: Financial Markets (2) 2006-02-12 2006-05-06
  8. NEP-FOR: Forecasting (1) 2006-02-12
  9. NEP-MAC: Macroeconomics (3) 2006-05-06 2007-01-28 2007-05-04 Author is listed
  10. NEP-MON: Monetary Economics (4) 2003-07-13 2006-05-06 2007-01-28 2007-05-04 Author is listed
  11. NEP-RMG: Risk Management (3) 2003-07-13 2006-05-06 2007-02-10 Author is listed
  12. NEP-TRA: Transition Economics (1) 2006-11-18
  13. NEP-UPT: Utility Models & Prospect Theory (1) 2007-02-10
Did you know? You can use IDEAS to provide links to papers and articles in your course syllabus.

This page was last updated on 2009-11-28.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.