IDEAS home Printed from https://ideas.repec.org/f/pma1377.html
   My authors  Follow this author

Roberto Marfe

Personal Details

First Name:Roberto
Middle Name:
Last Name:Marfe
Suffix:
RePEc Short-ID:pma1377
http://robertomarfe.altervista.org/

Affiliation

(50%) Collegio Carlo Alberto
Università degli Studi di Torino

Torino, Italy
https://www.carloalberto.org/
RePEc:edi:fccaait (more details at EDIRC)

(50%) Dipartimento di Scienze Economico-Sociali e Matematico-Statistiche
Università degli Studi di Torino

Torino, Italy
http://www.esomas.unito.it/
RePEc:edi:dstorit (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Stefano Colonnello & Roberto Marfè & Qizhou Xiong, 2021. "Housing Yields," Working Papers 2021:21, Department of Economics, University of Venice "Ca' Foscari".
  2. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
  3. Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.
  4. Matthijs Breugem & Raffaele Corvino & Roberto Marfè & Lorenzo Schönleber, 2020. "Pandemic Tail Risk," Carlo Alberto Notebooks 623, Collegio Carlo Alberto.
  5. Matthijs Breugem & Roberto Marfè & Francesca Zucchi, 2020. "Corporate Policies and the Term Structure of Risk," Carlo Alberto Notebooks 627, Collegio Carlo Alberto.
  6. Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
    • Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
  7. Roberto Marfè, 2016. "Labor Rigidity, In ation Risk and Bond Returns," Carlo Alberto Notebooks 461, Collegio Carlo Alberto.
  8. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
  9. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
  10. Roberto Marfè, 2015. "Survey Expectations and the Equilibrium Risk-Return Trade Off," Carlo Alberto Notebooks 408, Collegio Carlo Alberto.
  11. Roberto Marfè, 2015. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 429, Collegio Carlo Alberto.
  12. Roberto Marfè, 2015. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 407, Collegio Carlo Alberto.
  13. Roberto Marfè, 2015. "Corporate Fraction and the Equilibrium Term-Structure of Equity Risk," Carlo Alberto Notebooks 409, Collegio Carlo Alberto.

Articles

  1. Breugem, Matthijs & Marfè, Roberto, 2020. "Long-run versus short-run news and the term structure of equity," Finance Research Letters, Elsevier, vol. 36(C).
  2. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.
  3. Roberto Marfè, 2017. "Income Insurance and the Equilibrium Term Structure of Equity," Journal of Finance, American Finance Association, vol. 72(5), pages 2073-2130, October.
  4. Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
  5. Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
  6. Roberto Marfè, 2012. "A Multivariate Pure-Jump Model With Multi-Factorial Dependence Structure," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(04), pages 1-30.
  7. Roberto Marfè, 2012. "A generalized variance gamma process for financial applications," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 75-87, June.
  8. Roberto Marf�, 2011. "Multivariate L�vy processes with dependent jump intensity," Quantitative Finance, Taylor & Francis Journals, vol. 14(8), pages 1383-1398, July.

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. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.

    Cited by:

    1. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".

  2. Roberto Marfè & Julien Pénasse, 2020. "Measuring Macroeconomic Tail Risk," Carlo Alberto Notebooks 621, Collegio Carlo Alberto.

    Cited by:

    1. Sönksen, Jantje & Grammig, Joachim, 2021. "Empirical asset pricing with multi-period disaster risk: A simulation-based approach," Journal of Econometrics, Elsevier, vol. 222(1), pages 805-832.

  3. Matthijs Breugem & Roberto Marfè & Francesca Zucchi, 2020. "Corporate Policies and the Term Structure of Risk," Carlo Alberto Notebooks 627, Collegio Carlo Alberto.

    Cited by:

    1. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".

  4. Matthijs Breugem & Stefano Colonnello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Carlo Alberto Notebooks 626, Collegio Carlo Alberto.
    • Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Matthijs Breugem & Roberto Marfè & Francesca Zucchi, 2020. "Corporate Policies and the Term Structure of Risk," Carlo Alberto Notebooks 627, Collegio Carlo Alberto.

  5. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.

    Cited by:

    1. Marlène Isoré, 2018. "Changes in Natural Disaster Risk: Macroeconomic Responses in Selected Latin American Countries," Economies, MDPI, vol. 6(1), pages 1-12, February.
    2. Marlène Isoré & Urszula Szczerbowicz, 2015. "Disaster Risk and Preference Shifts in a New Keynesian Model," Working Papers 2015-16, CEPII research center.

  6. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.

    Cited by:

    1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
    2. Ravi Bansal & Shane Miller & Dongho Song & Amir Yaron, 2019. "The Term Structure of Equity Risk Premia," NBER Working Papers 25690, National Bureau of Economic Research, Inc.
    3. David K. Backus & Nina Boyarchenko & Mikhail Chernov, 2016. "Term structures of asset prices and returns," Staff Reports 774, Federal Reserve Bank of New York.
    4. Ai, Hengjie & Croce, Mariano Massimiliano & Diercks, Anthony & Li, Kai, 2018. "News Shocks and the Production-Based Term Structure of Equity Returns," CEPR Discussion Papers 12661, C.E.P.R. Discussion Papers.
    5. Davide E. Avino & Andrei Stancu & Chardin Wese Simen, 2021. "Dissecting Macroeconomic News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1047-1077, August.
    6. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    7. Adem Atmaz & Suleyman Basak, 2022. "Stock Market and No‐Dividend Stocks," Journal of Finance, American Finance Association, vol. 77(1), pages 545-599, February.
    8. Roberto Marfè, 2016. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 460, Collegio Carlo Alberto.
    9. Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
    10. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    11. Patricia M. Dechow & Ryan D. Erhard & Richard G. Sloan & And Mark T. Soliman, 2021. "Implied Equity Duration: A Measure of Pandemic Shutdown Risk," Journal of Accounting Research, Wiley Blackwell, vol. 59(1), pages 243-281, March.
    12. Niels Joachim Gormsen, 2021. "Time Variation of the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(4), pages 1959-1999, August.
    13. Roberto Marfè & Julien Penasse, 2016. "The Time-Varying Risk of Macroeconomic Disasters," Carlo Alberto Notebooks 463, Collegio Carlo Alberto.
    14. Borovicka, J. & Hansen, L.P., 2016. "Term Structure of Uncertainty in the Macroeconomy," Handbook of Macroeconomics, in: J. B. Taylor & Harald Uhlig (ed.), Handbook of Macroeconomics, edition 1, volume 2, chapter 0, pages 1641-1696, Elsevier.
    15. Breugem, Matthijs & Marfè, Roberto, 2020. "Long-run versus short-run news and the term structure of equity," Finance Research Letters, Elsevier, vol. 36(C).
    16. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    17. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
    18. Ghaderi, Mohammad & Kilic, Mete & Seo, Sang Byung, 2022. "Learning, slowly unfolding disasters, and asset prices," Journal of Financial Economics, Elsevier, vol. 143(1), pages 527-549.
    19. Taeyoung Doh & Shu Wu, 2016. "The Equilibrium Term Structure of Equity and Interest Rates," Research Working Paper RWP 16-11, Federal Reserve Bank of Kansas City.
    20. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.

  7. Roberto Marfè, 2015. "Labor Rigidity and the Dynamics of the Value Premium," Carlo Alberto Notebooks 429, Collegio Carlo Alberto.

    Cited by:

    1. Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905.
    2. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    3. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.

  8. Roberto Marfè, 2015. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 407, Collegio Carlo Alberto.

    Cited by:

    1. Martin Lettau & Sydney C. Ludvigson & Sai Ma, 2019. "Capital Share Risk in U.S. Asset Pricing," Journal of Finance, American Finance Association, vol. 74(4), pages 1753-1792, August.
    2. Ai, Hengjie & Croce, Mariano Massimiliano & Diercks, Anthony & Li, Kai, 2018. "News Shocks and the Production-Based Term Structure of Equity Returns," CEPR Discussion Papers 12661, C.E.P.R. Discussion Papers.
    3. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    4. TAKAMIZAWA, Hideyuki & 高見澤, 秀幸, 2018. "An Equilibrium Model of Term Structures of Bonds and Equities," Working Paper Series G-1-19, Hitotsubashi University Center for Financial Research.
    5. Wagner, Konstantin, 2020. "Competition, cost structure, and labour leverage: Evidence from the U.S. airline industry," IWH Discussion Papers 21/2020, Halle Institute for Economic Research (IWH).
    6. Pierlauro Lopez, 2021. "Welfare Implications of Asset Pricing Facts: Should Central Banks Fill Gaps or Remove Volatility?," Working Papers 21-16, Federal Reserve Bank of Cleveland.
    7. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
    8. Mahlstedt, Robert & Weber, Rüdiger, 2020. "Risk Sharing Within and Outside the Firm: The Disparate Effects of Wrongful Discharge Laws on Expected Stock Returns," IZA Discussion Papers 13941, Institute of Labor Economics (IZA).
    9. Greenwald, Daniel L. & Lettau, Martin & Ludvigson, Sydney, 2019. "How the Wealth Was Won: Factor Shares as Market Fundamentals," CEPR Discussion Papers 14200, C.E.P.R. Discussion Papers.

  9. Roberto Marfè, 2015. "Corporate Fraction and the Equilibrium Term-Structure of Equity Risk," Carlo Alberto Notebooks 409, Collegio Carlo Alberto.

    Cited by:

    1. Andrei S. Gonçalves, 2021. "Reinvestment Risk and the Equity Term Structure," Journal of Finance, American Finance Association, vol. 76(5), pages 2153-2197, October.
    2. Michael Hasler & Roberto Marfè, 2015. "Disaster Recovery and the Term Structure of Dividend Strips," Carlo Alberto Notebooks 410, Collegio Carlo Alberto.
    3. Matthijs Breugem & Stefano Colonello & Roberto Marfè & Francesca Zucchi, 2020. "Dynamic Equity Slope," Working Papers 2020:21, Department of Economics, University of Venice "Ca' Foscari".
    4. Roberto Marfè, 2016. "Income Insurance and the Equilibrium Term-Structure of Equity," Carlo Alberto Notebooks 459, Collegio Carlo Alberto.
    5. van Binsbergen, Jules H. & Koijen, Ralph S.J., 2017. "The term structure of returns: Facts and theory," Journal of Financial Economics, Elsevier, vol. 124(1), pages 1-21.
    6. Michael Hasler & Mariana Khapko & Roberto Marfè, 2020. "Rational Learning and the Term Structures of Value and Growth Risk Premia," Carlo Alberto Notebooks 622, Collegio Carlo Alberto.
    7. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.

Articles

  1. Hasler, Michael & Khapko, Mariana & Marfè, Roberto, 2019. "Should investors learn about the timing of equity risk?," Journal of Financial Economics, Elsevier, vol. 132(3), pages 182-204.

    Cited by:

    1. Davide E. Avino & Andrei Stancu & Chardin Wese Simen, 2021. "Dissecting Macroeconomic News," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 53(5), pages 1047-1077, August.
    2. Lioui, Abraham & Tarelli, Andrea, 2020. "Factor Investing for the Long Run," Journal of Economic Dynamics and Control, Elsevier, vol. 117(C).

  2. Roberto Marfè, 2017. "Income Insurance and the Equilibrium Term Structure of Equity," Journal of Finance, American Finance Association, vol. 72(5), pages 2073-2130, October.
    See citations under working paper version above.
  3. Hasler, Michael & Marfè, Roberto, 2016. "Disaster recovery and the term structure of dividend strips," Journal of Financial Economics, Elsevier, vol. 122(1), pages 116-134.
    See citations under working paper version above.
  4. Roberto Marfè, 2016. "Corporate Fraction and the Equilibrium Term Structure of Equity Risk," Review of Finance, European Finance Association, vol. 20(2), pages 855-905. See citations under working paper version above.
  5. Roberto Marfè, 2012. "A generalized variance gamma process for financial applications," Quantitative Finance, Taylor & Francis Journals, vol. 12(1), pages 75-87, June.

    Cited by:

    1. Marwa Belhaj Salem & Mitra Fouladirad & Estelle Deloux, 2021. "Prognostic and Classification of Dynamic Degradation in a Mechanical System Using Variance Gamma Process," Mathematics, MDPI, vol. 9(3), pages 1-25, January.
    2. Elisa Luciano & Marina Marena & Patrizia Semeraro, 2013. "Dependence Calibration and Portfolio Fit with FactorBased Time Changes," Carlo Alberto Notebooks 307, Collegio Carlo Alberto, revised 2015.
    3. Vilca, Filidor & Balakrishnan, N. & Zeller, Camila Borelli, 2014. "Multivariate Skew-Normal Generalized Hyperbolic distribution and its properties," Journal of Multivariate Analysis, Elsevier, vol. 128(C), pages 73-85.

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 15 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-MAC: Macroeconomics (10) 2015-05-22 2015-10-04 2017-05-28 2017-05-28 2017-06-04 2017-06-04 2017-06-04 2020-08-10 2021-03-29 2021-03-29. Author is listed
  2. NEP-RMG: Risk Management (6) 2015-07-18 2017-05-28 2017-06-04 2021-03-29 2021-03-29 2021-03-29. Author is listed
  3. NEP-UPT: Utility Models & Prospect Theory (4) 2015-07-18 2015-10-04 2017-06-04 2021-03-29
  4. NEP-DCM: Discrete Choice Models (3) 2017-06-04 2017-06-04 2017-06-04
  5. NEP-CFN: Corporate Finance (2) 2015-07-18 2015-10-04
  6. NEP-DGE: Dynamic General Equilibrium (2) 2015-05-16 2015-05-22
  7. NEP-CWA: Central & Western Asia (1) 2021-03-29
  8. NEP-EUR: Microeconomic European Issues (1) 2021-09-20
  9. NEP-GEO: Economic Geography (1) 2021-09-20
  10. NEP-IAS: Insurance Economics (1) 2015-05-22
  11. NEP-ISF: Islamic Finance (1) 2021-09-20
  12. NEP-URE: Urban & Real Estate Economics (1) 2021-09-20

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, Roberto Marfe 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.