LUISS

Research

Research Areas of Interest:

International Finance; Systemic Risk; Asset Management; Banking & Financial Stability; Empirical Asset Pricing; Credit Risk;

Main Publications

  • Carry trades and the performance of currency hedge funds, (Journal of International Money and Finance, 2013, Elsevier, vol. 33(C), pages 407-425) with Giorgio Valente
  • The information in systemic risk rankings, ECB wp n. 1875,  (Journal of Empirical Finance,  2016, vol.38(C),  pages, 461-475)with A.Lucas, S.J.Koopman and B.Schwaab. Summarized in the ECB’s Financial Stability Review Fall 2015, p. 80-82
  • Do negative interest rates make banks less safe?, ECB wp n.2098, (Economics Letters2017, Elsevier, vol. 159pages 112-115with A. Lucas, J. Schaumburg and B. Schwaab. Summarized in the ECB’s Financial Stability Review Fall 2017
  • Unemployment fluctuations  and the predictability of currency returns, (Journal of Banking and Finance, 2017Elsevier, vol. 84pages 88-106)
  • Can hedge funds time the market? (forthcoming, International Review of Finance) with M.W. Brandt and G. Valente

Other Publications

  • The co-movement between sovereign and bank credit risk during the financial crisis: the case of the Euro Area, ( Rivista Bancaria, 2012, issue 6)
  • How much does the stock market risk decline with the investment horizon? A cross-country comparison (Economic Notes, 2014, vol. 43, issue 1 ) with Carlo A. Favero
  • Risk-managed momentum: the effect of leverage constraints, (forthcoming, Rivista Bancaria, 2017, issue 6)
  • I tassi di interesse negativi e la performance delle banche europee: alcune considerazioni preliminari (forthcoming, Banche e Banchieri, 2017, issue 4) with Giorgio Di Giorgio
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