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Information about:
Lorenzo Cappiello

Personal Details | Affiliation | Works
This is information that was supplied by Lorenzo Cappiello in registering through RePEc. If you are Lorenzo Cappiello , 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.

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Personal Details

First Name: Lorenzo
Middle Name:
Last Name: Cappiello
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RePEc Short-ID: pca410

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

  2. 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!]

  3. Lorenzo Cappiello & Stéphane Guéné, 2005. "Measuring market and inflation risk premia in France and in Germany," Working Paper Series 436, European Central Bank. [Downloadable!]

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

  5. Lorenzo Cappiello & Nikolaos Panigirtzoglou, 2005. "Estimates of Foreign Exchange Risk Premia: A Pricing Kernel Approach," Working Papers 547, Queen Mary, University of London, Department of Economics. [Downloadable!]

  6. Elizaveta Krylova & Lorenzo Cappiello & Roberto A. De Santis, 2005. "Explaining exchange rate dynamics - the uncovered equity return parity condition," Working Paper Series 529, European Central Bank. [Downloadable!]

  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. [Downloadable!]

  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. [Downloadable!]

  9. Kevin Sheppard & Robert F. Engle & Lorenzo Cappiello, 2003. "Asymmetric dynamics in the correlations of global equity and bond returns," Working Paper Series 204, European Central Bank. [Downloadable!]
    Published as:

  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. [Downloadable!]

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, Oxford University Press, vol. 4(4), pages 537-572. [Downloadable!] (restricted)
    Other versions:

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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This page was last updated on 2009-11-20.

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.