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Alessandro Palandri

Personal Details

First Name:Alessandro
Middle Name:
Last Name:Palandri
Suffix:
RePEc Short-ID:ppa483
http://www.palandri.eu

Affiliation

Finance Group
Warwick Business School
University of Warwick

Coventry, United Kingdom
http://www.wbs.ac.uk/faculty/subjects/fin.cfm
RePEc:edi:afwbsuk (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Alessandro Palandri, 2009. "The Effects of Interest Rate Movements on Assets’ Conditional Second Moments," CREATES Research Papers 2009-32, Department of Economics and Business Economics, Aarhus University.

Articles

  1. Palandri, Alessandro, 2015. "Do negative and positive equity returns share the same volatility dynamics?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 486-505.
  2. Palandri, Alessandro, 2014. "Risk-free rate effects on conditional variances and conditional correlations of stock returns," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 95-111.
  3. Jana P. Fidrmuc & Alessandro Palandri & Peter Roosenboom & Dick van Dijk, 2013. "When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?," Review of Finance, European Finance Association, vol. 17(3), pages 1099-1139.
  4. Palandri, Alessandro, 2009. "Sequential conditional correlations: Inference and evaluation," Journal of Econometrics, Elsevier, vol. 153(2), pages 122-132, December.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Alessandro Palandri, 2009. "The Effects of Interest Rate Movements on Assets’ Conditional Second Moments," CREATES Research Papers 2009-32, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Markopoulou, Chryssa & Skintzi, Vasiliki & Refenes, Apostolos, 2016. "On the predictability of model-free implied correlation," International Journal of Forecasting, Elsevier, vol. 32(2), pages 527-547.

Articles

  1. Palandri, Alessandro, 2015. "Do negative and positive equity returns share the same volatility dynamics?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 486-505.

    Cited by:

    1. Paresh Kumar Narayan & Seema Narayan & Siroos Khademalomoom & Dinh Hoang Bach Phan, 2018. "Do Terrorist Attacks Impact Exchange Rate Behavior? New International Evidence," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 547-561, January.
    2. Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
    3. BenSaïda, Ahmed, 2019. "Good and bad volatility spillovers: An asymmetric connectedness," Journal of Financial Markets, Elsevier, vol. 43(C), pages 78-95.
    4. Yarovaya, Larisa & Brzeszczyński, Janusz & Lau, Chi Keung Marco, 2017. "Asymmetry in spillover effects: Evidence for international stock index futures markets," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 94-111.
    5. Ahmed, Walid M.A., 2021. "Stock market reactions to upside and downside volatility of Bitcoin: A quantile analysis," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    6. Markus Vogl, 2022. "Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008–2019)," SN Business & Economics, Springer, vol. 2(12), pages 1-69, December.
    7. Alshater, Muneer M. & Alqaralleh, Huthaifa & El Khoury, Rim, 2023. "Dynamic asymmetric connectedness in technological sectors," The Journal of Economic Asymmetries, Elsevier, vol. 27(C).
    8. Ahmed, Walid M.A., 2021. "How do Islamic equity markets respond to good and bad volatility of cryptocurrencies? The case of Bitcoin," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    9. Siddique, Md Abubakar & Nobanee, Haitham & Karim, Sitara & Naz, Farah, 2023. "Do green financial markets offset the risk of cryptocurrencies and carbon markets?," International Review of Economics & Finance, Elsevier, vol. 86(C), pages 822-833.
    10. Ahmed BenSaïda, 2021. "The Good and Bad Volatility: A New Class of Asymmetric Heteroskedastic Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 83(2), pages 540-570, April.

  2. Jana P. Fidrmuc & Alessandro Palandri & Peter Roosenboom & Dick van Dijk, 2013. "When Do Managers Seek Private Equity Backing in Public-to-Private Transactions?," Review of Finance, European Finance Association, vol. 17(3), pages 1099-1139.

    Cited by:

    1. Mao, Yaping & Renneboog, Luc, 2015. "Do managers manipulate earnings prior to management buyouts?," Journal of Corporate Finance, Elsevier, vol. 35(C), pages 43-61.
    2. Hammer, Benjamin & Mettner, Sven & Schweizer, Denis & Wünsche, Norbert, 2023. "Management buyouts in times of economic policy uncertainty," Finance Research Letters, Elsevier, vol. 52(C).
    3. Kamoto, Shinsuke, 2017. "Managerial innovation incentives, management buyouts, and shareholders' intolerance of failure," Journal of Corporate Finance, Elsevier, vol. 42(C), pages 55-74.
    4. Mittoo, Usha & Ng, Dennis & Yan, Meng, 2020. "Managerial ownership, credit market conditions, undervaluation and offer premiums in management (MBOs) and leveraged buyouts (LBOs)," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 65(C).
    5. Baschieri, Giulia & Carosi, Andrea & Mengoli, Stefano, 2015. "Local IPOs, local delistings, and the firm location premium," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 67-83.
    6. Renneboog, Luc & Vansteenkiste, Cara, 2017. "Leveraged Buyouts : A Survey of the Literature," Discussion Paper 2017-015, Tilburg University, Center for Economic Research.
    7. Yost, Benjamin P., 2023. "Do tax-based proprietary costs discourage public listing?," Journal of Accounting and Economics, Elsevier, vol. 75(2).

  3. Palandri, Alessandro, 2009. "Sequential conditional correlations: Inference and evaluation," Journal of Econometrics, Elsevier, vol. 153(2), pages 122-132, December.

    Cited by:

    1. Alp, Tansel & Demetrescu, Matei, 2010. "Joint forecasts of Dow Jones stocks under general multivariate loss function," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2360-2371, November.
    2. LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," LIDAM Discussion Papers CORE 2010025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    3. Kris Boudt & Sébastien Laurent & Asger Lunde & Rogier Quaedvlieg & Orimar Sauri, 2017. "Positive semidefinite integrated covariance estimation, factorizations and asynchronicity," Post-Print hal-01505775, HAL.
    4. R. Khalfaoui & M. Boutahar, 2012. "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers halshs-00793068, HAL.
    5. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.
    6. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
    7. Alessandro Palandri, 2009. "The Effects of Interest Rate Movements on Assets’ Conditional Second Moments," CREATES Research Papers 2009-32, Department of Economics and Business Economics, Aarhus University.
    8. Xiaoning Kang & Xinwei Deng & Kam‐Wah Tsui & Mohsen Pourahmadi, 2020. "On variable ordination of modified Cholesky decomposition for estimating time‐varying covariance matrices," International Statistical Review, International Statistical Institute, vol. 88(3), pages 616-641, December.
    9. Palandri, Alessandro, 2015. "Do negative and positive equity returns share the same volatility dynamics?," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 486-505.
    10. Priscilla Liang, 2007. "Explaining the Risk/Return Mismatch of the MSCI China Index: A Systematic Risk Analysis," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 10(01), pages 63-80.
    11. Philippe Charlot & Vêlayoudom Marimoutou, 2008. "Hierarchical hidden Markov structure for dynamic correlations: the hierarchical RSDC model," Working Papers halshs-00285866, HAL.
    12. S.T. Boris Choy & Cathy W.S. Chen & Edward M.H. Lin, 2014. "Bivariate asymmetric GARCH models with heavy tails and dynamic conditional correlations," Quantitative Finance, Taylor & Francis Journals, vol. 14(7), pages 1297-1313, July.
    13. Yertai Tanai & Kuan-Pin Lin, 2013. "Mongolian and World Equity Markets: Volatilities and Correlations," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 3(2), pages 136-164, December.
    14. Savva, Christos S., 2009. "International stock markets interactions and conditional correlations," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 645-661, October.
    15. Dimitrios Thomakos & Johannes Klepsch & Dimitris N. Politis, 2020. "Model Free Inference on Multivariate Time Series with Conditional Correlations," Stats, MDPI, vol. 3(4), pages 1-26, November.
    16. Palandri, Alessandro, 2014. "Risk-free rate effects on conditional variances and conditional correlations of stock returns," Journal of Empirical Finance, Elsevier, vol. 25(C), pages 95-111.
    17. Cipollini, Fabrizio & Gallo, Giampiero M. & Palandri, Alessandro, 2021. "A dynamic conditional approach to forecasting portfolio weights," International Journal of Forecasting, Elsevier, vol. 37(3), pages 1111-1126.
    18. Ruey S. Tsay, 2007. "Multivariate volatility models," Papers math/0702815, arXiv.org.

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