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Lorenzo Cappiello

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This is information that was supplied by Lorenzo Cappiello in registering through RePEc. If you are Lorenzo Cappiello , 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: Lorenzo
Middle Name:
Last Name: Cappiello
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RePEc Short-ID: pca410

Email: [This author has chosen not to make the email address public]
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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. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 0683, European Central Bank.
  2. Cappiello, Lorenzo & Hördahl, Peter & Kadareja, Arjan & Manganelli, Simone, 2006. "The impact of the euro on financial markets," Working Paper Series 0598, European Central Bank.
  3. Cappiello, Lorenzo & De Santis, Roberto A., 2005. "Explaining exchange rate dynamics: the uncovered equity return parity condition," Working Paper Series 0529, European Central Bank.
  4. Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2005. "Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach," Working Papers 547, Queen Mary, University of London, School of Economics and Finance.
  5. Cappiello, Lorenzo & Gérard, Bruno & Manganelli, Simone, 2005. "Measuring comovements by regression quantiles," Working Paper Series 0501, European Central Bank.
  6. Cappiello, Lorenzo & Guéné, Stéphane, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series 0436, European Central Bank.
  7. 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.
  8. Andrea Enria & Lorenzo Cappiello & Frank Dierick & Sergio Grittini & Andrew Haralambous & Angela Maddaloni & Philippe Molitor & Fatima Pires & Paolo Poloni, 2004. "Fair value accounting and financial stability," Occasional Paper Series 13, European Central Bank.
  9. Sheppard, Kevin & Cappiello, Lorenzo & Engle, Robert F., 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 0204, European Central Bank.
  10. Lorenzo CAPPIELLO & Tom A. Fearnley, 2000. "International CAPM with Regime Switching GARCH Parameters," FAME Research Paper Series rp17, International Center for Financial Asset Management and Engineering.

Articles

  1. Lorenzo Cappiello & Robert F. Engle & Kevin Sheppard, 2006. "Asymmetric Dynamics in the Correlations of Global Equity and Bond Returns," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 4(4), pages 537-572.

NEP Fields

8 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 (1) 2006-05-06
  3. NEP-CFN: Corporate Finance (1) 2005-12-01
  4. NEP-EEC: European Economics (4) 2005-10-04 2005-11-12 2006-05-06 2006-11-18. Author is listed
  5. NEP-FIN: Finance (7) 2004-10-30 2005-10-04 2005-10-04 2005-10-15 2005-11-12 2005-12-01 2006-05-06. Author is listed
  6. NEP-FMK: Financial Markets (4) 2005-10-15 2005-11-12 2005-12-01 2006-05-06. Author is listed
  7. NEP-FOR: Forecasting (1) 2005-11-12
  8. NEP-IFN: International Finance (3) 2005-10-04 2005-10-15 2005-11-12. Author is listed
  9. NEP-MAC: Macroeconomics (2) 2005-10-04 2006-05-06. Author is listed
  10. NEP-MON: Monetary Economics (2) 2005-10-04 2006-05-06. Author is listed
  11. NEP-RMG: Risk Management (2) 2005-10-15 2006-05-06. Author is listed
  12. NEP-TRA: Transition Economics (1) 2006-11-18

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