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Simone Manganelli

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

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

European Central Bank
Location: Frankfurt am Main, Germany
Homepage: http://www.ecb.int/
Email:
Phone: +49 69 1344 0
Fax: +49 69 1344 6000
Postal: Kaiserstraße 29, D-60311 Frankfurt am Main
Handle: RePEc:edi:emieude (more details at EDIRC)

Works

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Working papers

  1. Ghysels, Eric & Idier, Julien & Manganelli, Simone & Vergote, Olivier, 2014. "A high frequency assessment of the ECB securities markets programme," Working Paper Series 1642, European Central Bank.
  2. Habert white & Tae-Hwan Kim & Simone Manganelli, 2012. "VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles," Working papers 2012rwp-45, Yonsei University, Yonsei Economics Research Institute.
  3. Altunbas, Yener & Marqués-Ibáñez, David & Manganelli, Simone, 2011. "Bank risk during the financial crisis: do business models matter?," Working Paper Series 1394, European Central Bank.
  4. Beirne, John & Dalitz, Lars & Ejsing, Jacob & Grothe, Magdalena & Manganelli, Simone & Monar, Fernando & Sahel, Benjamin & Sušec, Matjaž & Tapking, Jens & Vong, Tana, 2011. "The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets," Occasional Paper Series 122, European Central Bank.
  5. Manganelli, Simone & Popov, Alexander, 2010. "Finance and diversification," Working Paper Series 1259, European Central Bank.
  6. Cappiello, Lorenzo & Kadareja, Arjan & Manganelli, Simone, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 0906, European Central Bank.
  7. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2008. "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series 0957, European Central Bank.
  8. 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.
  9. Manganelli, Simone & Wolswijk, Guido, 2007. "Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?," Working Paper Series 0745, European Central Bank.
  10. Manganelli, Simone, 2007. "Asset allocation by penalized least squares," Working Paper Series 0723, European Central Bank.
  11. 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.
  12. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 0683, European Central Bank.
  13. Cappiello, Lorenzo & Hördahl, Peter & Kadareja, Arjan & Manganelli, Simone, 2006. "The impact of the euro on financial markets," Working Paper Series 0598, European Central Bank.
  14. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 0584, European Central Bank.
  15. Cappiello, Lorenzo & Gérard, Bruno & Manganelli, Simone, 2005. "Measuring comovements by regression quantiles," Working Paper Series 0501, European Central Bank.
  16. 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.
  17. Manganelli, Simone & Hartmann, Philipp & Maddaloni, Angela, 2003. "The euro area financial system: structure, integration and policy initiatives," Working Paper Series 0230, European Central Bank.
  18. Kilian, Lutz & Manganelli, Simone, 2003. "The central bank as a risk manager: quantifying and forecasting inflation risks," Working Paper Series 0226, European Central Bank.
  19. Vladimiro Ceci, & Simone Manganelli & Walter Vecchiato, 2002. "Sensitivity Analysis of GARCH Models," Computing in Economics and Finance 2002 31, Society for Computational Economics.
  20. Manganelli, Simone & Ceci, Vladimiro & Vecchiato, Walter, 2002. "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series 0194, European Central Bank.
  21. Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 0125, European Central Bank.
  22. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 0075, European Central Bank.
  23. Robert Engle & Simone Manganelli, 2000. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Econometric Society World Congress 2000 Contributed Papers 0841, Econometric Society.
  24. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
  25. Simone Manganelli & Robert F. Engle, 1999. "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999 952, Society for Computational Economics.

Articles

  1. Manganelli, Simone & Popov, Alexander, 2013. "Financial dependence, global growth opportunities, and growth revisited," Economics Letters, Elsevier, vol. 120(1), pages 123-125.
  2. Cappiello, Lorenzo & Kadareja, Arjan & Manganelli, Simone, 2010. "The Impact of the Euro on Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(02), pages 473-502, April.
  3. Simone Manganelli & Guido Wolswijk, 2009. "What drives spreads in the euro area government bond market?," Economic Policy, CEPR & CES & MSH, vol. 24, pages 191-240, 04.
  4. Manganelli, Simone, 2009. "Forecasting With Judgment," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 553-563.
  5. 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.
  6. 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.
  7. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
  8. Simone Manganelli, 2004. "Asset Allocation by Variance Sensitivity Analysis," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 2(3), pages 370-389.
  9. 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.
  10. 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.

NEP Fields

20 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (4) 2006-11-18 2011-11-14 2012-09-16 2012-11-24
  2. NEP-CBA: Central Banking (8) 2006-05-06 2007-01-28 2007-05-04 2008-05-05 2011-01-30 2011-11-14 2012-09-16 2014-04-05. Author is listed
  3. NEP-ECM: Econometrics (5) 1999-07-12 1999-11-08 2006-02-12 2008-12-01 2012-11-24. Author is listed
  4. NEP-EEC: European Economics (8) 2006-05-06 2006-11-18 2007-05-04 2008-05-05 2008-07-20 2011-01-30 2014-04-05 2014-06-02. Author is listed
  5. NEP-ETS: Econometric Time Series (5) 1999-07-12 1999-11-08 2006-02-12 2008-12-01 2012-11-24. Author is listed
  6. NEP-FIN: Finance (7) 1999-07-12 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 (3) 2006-02-12 2006-05-06 2012-09-16
  8. NEP-FOR: Forecasting (1) 2006-02-12
  9. NEP-MAC: Macroeconomics (4) 2006-05-06 2007-01-28 2007-05-04 2014-04-05
  10. NEP-MON: Monetary Economics (6) 2003-07-13 2006-05-06 2007-01-28 2007-05-04 2011-01-30 2014-04-05. Author is listed
  11. NEP-MST: Market Microstructure (2) 2014-04-05 2014-06-02
  12. NEP-RMG: Risk Management (6) 2003-07-13 2006-05-06 2007-02-10 2011-11-14 2012-09-16 2012-11-24. Author is listed
  13. NEP-TRA: Transition Economics (1) 2006-11-18
  14. NEP-UPT: Utility Models & Prospect Theory (1) 2007-02-10

Statistics

This author is among the top 5% authors according to these criteria:
  1. Number of Citations
  2. Number of Citations, Discounted by Citation Age
  3. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  4. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  5. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  6. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  7. h-index
  8. Number of Registered Citing Authors
  9. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  10. Closeness measure in co-authorship network

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Co-authorship network on CollEc

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