Browsing All of EconStor by Author Manganelli, Simone

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Year of PublicationTitleAuthor(s)
2001 Value at risk models in financeEngle, Robert F.; Manganelli, Simone
2002 Sensitivity analysis of volatility: a new tool for risk managementManganelli, Simone; Ceci, Vladimiro; Vecchiato, Walter
2002 Duration, volume and volatility impact of tradesManganelli, Simone
2003 The central bank as a risk manager: quantifying and forecasting inflation risksKilian, Lutz; Manganelli, Simone
2003 The euro area financial system: structure, integration and policy initiativesManganelli, Simone; Hartmann, Philipp; Maddaloni, Angela
2005 Measuring comovements by regression quantilesCappiello, Lorenzo; Gérard, Bruno; Manganelli, Simone
2006 Financial integration of new EU Member StatesCappiello, Lorenzo; Gérard, Bruno; Kadareja, Arjan; Manganelli, Simone
2006 A new theory of forecastingManganelli, Simone
2006 The impact of the euro on financial marketsCappiello, Lorenzo; Hördahl, Peter; Kadareja, Arjan; Manganelli, Simone
2007 Asset allocation by penalized least squaresManganelli, Simone
2007 Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?Manganelli, Simone; Wolswijk, Guido
2008 Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaRWhite, Halbert; Kim, Tae-Hwan; Manganelli, Simone
2008 The impact of the euro on equity markets: a country and sector decompositionCappiello, Lorenzo; Kadareja, Arjan; Manganelli, Simone
2008 Measuring financial integration in new EU member statesBaltzer, Markus; Cappiello, Lorenzo; De Santis, Roberto A.; Manganelli, Simone
2010 Finance and diversificationManganelli, Simone; Popov, Alexander
2011 Bank risk during the financial crisis: do business models matter?Altunbas, Yener; Marqués-Ibáñez, David; Manganelli, Simone
2011 The impact of the Eurosystem's covered bond purchase programme on the primary and secondary marketsBeirne, John; Dalitz, Lars; Ejsing, Jacob; Grothe, Magdalena; Manganelli, Simone; Monar, Fernando; Sahel, Benjamin; Sušec, Matjaž; Tapking, Jens; Vong, Tana
2014 A high frequency assessment of the ECB securities markets programmeGhysels, Eric; Idier, Julien; Manganelli, Simone; Vergote, Olivier
2014 Fragmentation in the euro overnight unsecured money marketGarcia-de-Andoain, Carlos; Hoffmann, Peter; Manganelli, Simone
2015 VAR for VaR: measuring tail dependence using multivariate regression quantilesWhite, Halbert; Kim, Tae-Hwan; Manganelli, Simone