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Citations of
Paolo Vanini

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
    Published as:

    Cited by:

    1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Siddiqi, Hammad, 2009. "Ambiguity, Infra-Marginal Investors, and Market Prices," MPRA Paper 13514, University Library of Munich, Germany. [Downloadable!]
    3. Claudio Campanale, . "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics. [Downloadable!] (restricted)
    4. Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009. [Downloadable!]

Articles

  1. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," Review of Financial Studies, Oxford University Press for Society for Financial Studies, vol. 21(6), pages 2565-2597, November. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August. [Downloadable!] (restricted)

    Cited by:

    1. Antonella Basso & Riccardo Gusso, 2008. "A credit contagion model for the dynamics of the rating transitions in a SME bank loan portfolio," Working Papers 162, Department of Applied Mathematics, University of Venice. [Downloadable!]
    2. Fabio Gobbi & Cecilia Mancini, 2006. "Identifying the covariation between the diffusion parts and the co-jumps given discrete observations," Quantitative Finance Papers math/0610621, arXiv.org, revised Jul 2008. [Downloadable!]
    3. Diana Barro & Antonella Basso, 2006. "A credit contagion model for loan portfolios in a network of firms with spatial interaction," Working Papers 143, Department of Applied Mathematics, University of Venice. [Downloadable!]
    4. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer, vol. 26(2), pages 161-191, October. [Downloadable!] (restricted)
    5. Diana Barro & Antonella Basso, 2008. "A network of business relations to model counterparty risk," Working Papers 171, Department of Applied Mathematics, University of Venice. [Downloadable!]
    6. Didier Rulli\`ere & Diana Dorobantu, 2009. "An extension of Davis and Lo's contagion model," Quantitative Finance Papers 0904.1653, arXiv.org. [Downloadable!]
    7. Diana Barro & Antonella Basso, 2008. "Credit contagion in a network of firms with spatial interaction," Working Papers 186, Department of Applied Mathematics, University of Venice. [Downloadable!]

  3. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August. [Downloadable!] (restricted)

    Cited by:

    1. Enrico De Giorgi, . "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers iewwp185, Institute for Empirical Research in Economics - IEW. [Downloadable!]
      Other versions:
    2. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)

  4. Dobeli, Barbara & Vanini, Paolo, 2004. "An analysis of IMF-induced moral hazard," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2933-2956, December. [Downloadable!] (restricted)

    Cited by:

    1. Ilan Noy, 2004. "Do IMF Bailouts Result in Moral Hazard? An Events-Study Approach," Working Papers 200402, University of Hawaii at Manoa, Department of Economics. [Downloadable!]

  5. Fabio Trojani & Paolo Vanini, 2004. "Robustness and Ambiguity Aversion in General Equilibrium," Review of Finance, Springer, vol. 8(2), pages 279-324. [Downloadable!]

    Cited by:

    1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Fabio Trojani & Roberto G. Ferretti, 2005. "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005 2005-02, Department of Economics, University of St. Gallen. [Downloadable!]
    3. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:

  6. Trojani, Fabio & Vanini, Paolo, 2002. "A note on robustness in Merton's model of intertemporal consumption and portfolio choice," Journal of Economic Dynamics and Control, Elsevier, vol. 26(3), pages 423-435, March. [Downloadable!] (restricted)

    Cited by:

    1. Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2007. "Ambiguity Aversion and the Term Structure of Interest Rates," University of St. Gallen Department of Economics working paper series 2007 2007-29, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:
    2. Sbuelz, A. & Trojani, F., 2002. "Equilibrium asset pricing with time-varying pessimism," Discussion Paper 102, Tilburg University, Center for Economic Research. [Downloadable!]
    3. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen. [Downloadable!]
      Other versions:

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This page was last updated on 2009-12-13.

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