IDEAS home Printed from https://ideas.repec.org/e/pnu74.html
   My authors  Follow this author

Federico Nucera

Personal Details

First Name:Federico
Middle Name:
Last Name:Nucera
Suffix:
RePEc Short-ID:pnu74
http://docenti.luiss.it/nucera/

Affiliation

(99%) Dipartimento di Economia e Finanza (DEF)
Libera Università Internazionale degli Studi Sociali Guido Carli (LUISS)

Roma, Italy
http://ricerca.economiaefinanza.luiss.it/

: 06 85225.550
06 85225.973
Viale Romania 32 - 00197 Roma
RePEc:edi:deluiit (more details at EDIRC)

(1%) Rimini Centre for Economic Analysis (RCEA)

Rimini, Italy
http://www.rcea.org/

: +390541434142
+39054155431
Via Patara, 3, 47921 Rimini (RN)
RePEc:edi:rcfeait (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Working Paper Series 2098, European Central Bank.
  2. Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.
  3. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.

Articles

  1. Nucera, Federico & Lucas, André & Schaumburg, Julia & Schwaab, Bernd, 2017. "Do negative interest rates make banks less safe?," Economics Letters, Elsevier, vol. 159(C), pages 112-115.
  2. Nucera, Federico, 2017. "Unemployment fluctuations and the predictability of currency returns," Journal of Banking & Finance, Elsevier, vol. 84(C), pages 88-106.
  3. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
  4. Carlo A. Favero & Federico Nucera, 2014. "How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 1-19, February.
  5. Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
  6. Federico Nucera, 2012. "The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area," Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 6, 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. Federico Nucera & Bernd Schwaab & Siem Jan Koopman & André Lucas, 2015. "The Information in Systemic Risk Rankings," Tinbergen Institute Discussion Papers 15-070/III/DSF94, Tinbergen Institute.

    Cited by:

    1. Edward M. H. Lin & Edward W. Sun & Min-Teh Yu, 2018. "Systemic risk, financial markets, and performance of financial institutions," Annals of Operations Research, Springer, vol. 262(2), pages 579-603, March.
    2. van de Leur, Michiel C.W. & Lucas, André & Seeger, Norman J., 2017. "Network, market, and book-based systemic risk rankings," Journal of Banking & Finance, Elsevier, vol. 78(C), pages 84-90.
    3. Kräussl, Roman & Lehnert, Thorsten & Stefanova, Denitsa, 2016. "The European sovereign debt crisis: What have we learned?," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 363-373.
    4. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.

  2. Federico Nucera & Giorgio Valente, 2013. "Carry Trades and the Performance of Currency Hedge Funds," Working Papers 032013, Hong Kong Institute for Monetary Research.

    Cited by:

    1. Gueorgui Konstantinov, 2016. "Capturing short-term and long-term alpha of global bond portfolios: evidence from EUR-investors’ perspective," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 30(3), pages 337-365, August.
    2. Ahmed, Shamim & Liu, Xiaoquan & Valente, Giorgio, 2016. "Can currency-based risk factors help forecast exchange rates?," International Journal of Forecasting, Elsevier, vol. 32(1), pages 75-97.
    3. Luo, Ji & Tee, Kai-Hong & Li, Baibing, 2017. "Timing liquidity in the foreign exchange market: Did hedge funds do it?," Journal of Multinational Financial Management, Elsevier, vol. 40(C), pages 47-62.

Articles

  1. Nucera, Federico & Schwaab, Bernd & Koopman, Siem Jan & Lucas, André, 2016. "The information in systemic risk rankings," Journal of Empirical Finance, Elsevier, vol. 38(PA), pages 461-475.
    See citations under working paper version above.
  2. Carlo A. Favero & Federico Nucera, 2014. "How Much Does the Stock Market Risk Decline with the Investment Horizon? A Cross-Country Comparison," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 43(1), pages 1-19, February.

    Cited by:

    1. Laimutė Urbšienė & Andrius Bugajevas & Marekas Pipiras, 2016. "The Impact Of Investment Horizon On The Return And Risk Of Investments In Securities In Lithuania," Organizations and Markets in Emerging Economies, Faculty of Economics, Vilnius University, vol. 7(2).

  3. Nucera, Federico & Valente, Giorgio, 2013. "Carry trades and the performance of currency hedge funds," Journal of International Money and Finance, Elsevier, vol. 33(C), pages 407-425.
    See citations under working paper version above.
  4. Federico Nucera, 2012. "The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area," Rivista Bancaria - Minerva Bancaria, Istituto di Cultura Bancaria Francesco Parrillo, issue 6, December.

    Cited by:

    1. Fratzscher, Marcel & Rieth, Malte, 2015. "Monetary policy, bank bailouts and the sovereign-bank risk nexus in the euro area," CEPR Discussion Papers 10370, C.E.P.R. Discussion Papers.
    2. Papafilis, Michalis-Panayiotis & Psillaki, Maria & Margaritis, Dimitris, 2015. "Interdependence between Sovereign and Bank CDS Spreads in Eurozone during the European Debt Crisis - The PSI Effect," MPRA Paper 68037, University Library of Munich, Germany.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (4) 2015-06-13 2016-02-12 2017-05-07 2017-09-17. Author is listed
  2. NEP-CBA: Central Banking (4) 2015-06-13 2016-02-12 2017-05-07 2017-09-17. Author is listed
  3. NEP-RMG: Risk Management (2) 2015-06-13 2016-02-12. Author is listed
  4. NEP-CFN: Corporate Finance (1) 2015-06-13. Author is listed

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Federico Nucera should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.