Marcello Pericoli
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- Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test (RePEc:ags:yaleeg:28420)
by Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo - An assessment of recent trends in market-based expected iflation in the euro area (RePEc:bdi:opques:qef_542_19)
by Marcello Pericoli - Sovereign spreads and economic fundamentals: an econometric analysis (RePEc:bdi:opques:qef_713_22)
by Donato Ceci & Marcello Pericoli - Fiscal Policy and Macroeconomic Imbalances (RePEc:bdi:workpa:sec_16)
by Emanuele Baldacci & Sanjeev Gupta & Carlos Mulas-Granados & Fabio Balboni & Mirko Licchetta & Alexander Klemm & Luca Agnello & Gilles Dufr�not & Ricardo M. Sousa & Raffaela Giordano & Marcello Peric - Forecaster heterogeneity, surprises and financial markets (RePEc:bdi:wptemi:td_1020_15)
by Marcello Pericoli & Giovanni Veronese - Decomposing euro area sovereign spreads: credit, liquidity and convenience (RePEc:bdi:wptemi:td_1021_15)
by Marcello Pericoli & Marco Taboga - Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model (RePEc:bdi:wptemi:td_1023_15)
by Marcello Pericoli & Marco Taboga - Monetary policy surprises over time (RePEc:bdi:wptemi:td_1102_17)
by Marcello Pericoli & Giovanni Veronese - Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models (RePEc:bdi:wptemi:td_1189_18)
by Marcello Pericoli & Marco Taboga - Macroeconomics determinants of the correlation between stocks and bonds (RePEc:bdi:wptemi:td_1198_18)
by Marcello Pericoli - An analysis of objective inflation expectations and inflation risk premia (RePEc:bdi:wptemi:td_1380_22)
by Sara Cecchetti & Adriana Grasso & Marcello Pericoli - The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates (RePEc:bdi:wptemi:td_358_99)
by Fabio Fornari & Carlo Monticelli & Marcello Pericoli & Massimo Tivegna - Stock Values and Fundamentals; Link or Irrationality? (RePEc:bdi:wptemi:td_378_00)
by Fabio Fornari & Marcello Pericoli - A Primer on Financial Contagion (RePEc:bdi:wptemi:td_407_01)
by Marcello Pericoli & Massimo Sbracia - Correlation Analysis of Financial Contagion: What One Should Know before Running a Test (RePEc:bdi:wptemi:td_408_01)
by Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia - Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area (RePEc:bdi:wptemi:td_545_05)
by Marcello Pericoli - Canonical term-structure models with observable factors and the dynamics of bond risk premiums (RePEc:bdi:wptemi:td_580_06)
by Marcello Pericoli & Marco Taboga - The CAPM and the risk appetite index; theoretical differences and empirical similarities (RePEc:bdi:wptemi:td_586_06)
by Marcello Pericoli & Massimo Sbracia - Bond risk premia, macroeconomic fundamentals and the exchange rate (RePEc:bdi:wptemi:td_699_09)
by Marcello Pericoli & Marco Taboga - Real term structure and inflation compensation in the euro area (RePEc:bdi:wptemi:td_841_12)
by Marcello Pericoli - Expected inflation and inflation risk premium in the euro area and in the United States (RePEc:bdi:wptemi:td_842_12)
by Marcello Pericoli - Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis (RePEc:bdi:wptemi:td_904_13)
by Raffaela Giordano & Marcello Pericoli & Pietro Tommasino - Macroeconomic and monetary policy surprises and the term structure of interest rates (RePEc:bdi:wptemi:td_927_13)
by Marcello Pericoli - Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems (RePEc:bla:intfin:v:12:y:2009:i:2:p:123-150)
by Marcello Pericoli & Massimo Sbracia - Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis (RePEc:bla:intfin:v:16:y:2013:i:2:p:131-160)
by Raffaela Giordano & Marcello Pericoli & Pietro Tommasino - On risk factors of the stock–bond correlation (RePEc:bla:intfin:v:23:y:2020:i:3:p:392-416)
by Marcello Pericoli - A Primer on Financial Contagion (RePEc:bla:jecsur:v:17:y:2003:i:4:p:571-608)
by Marcello Pericoli & Massimo Sbracia - Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion (RePEc:cpr:ceprdp:3310)
by Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo - The impact of news on the exchange rate of the lira and long-term interest rates (RePEc:eee:ecmode:v:19:y:2002:i:4:p:611-639)
by Fornari, Fabio & Monticelli, Carlo & Pericoli, Marcello & Tivegna, Massimo - 'Some contagion, some interdependence': More pitfalls in tests of financial contagion (RePEc:eee:jimfin:v:24:y:2005:i:8:p:1177-1199)
by Corsetti, Giancarlo & Pericoli, Marcello & Sbracia, Massimo - Bond risk premia, macroeconomic fundamentals and the exchange rate (RePEc:eee:reveco:v:22:y:2012:i:1:p:42-65)
by Pericoli, Marcello & Taboga, Marco - Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test (RePEc:egc:wpaper:822)
by Giancarlo Corsetti & Marcello Pericoli & Massimo Sbracia - Stock Values and Fundamentals: Link or Irrationality? (RePEc:fth:banita:378)
by Fornari, F. & Pericoli, M. - Real Term Structure and Inflation Compensation in the Euro Area (RePEc:ijc:ijcjou:y:2014:q:1:a:1)
by Marcello Pericoli - Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia (RePEc:mcb:jmoncb:v:40:y:2008:i:7:p:1471-1488)
by Marcello Pericoli & Marco Taboga - Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models
[Pricing the Term Structure with Linear Regressions] (RePEc:oup:jfinec:v:20:y:2022:i:5:p:807-838.)
by Marcello Pericoli & Marco Taboga - A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors (RePEc:pra:mprapa:4969)
by Marcello, Pericoli & Marco, Taboga - Bond risk premia, macroeconomic fundamentals and the exchange rate (RePEc:pra:mprapa:9523)
by Taboga, Marco & Pericoli, Marcello - Single Market Emu and Widening. Responses to Three Institutional Shocks in the European Community (RePEc:trn:utwpde:9208)
by Pier Carlo Padoan & Marcello Pericoli - Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia (RePEc:wly:jmoncb:v:40:y:2008:i:7:p:1471-1488)
by Marcello Pericoli & Marco Taboga - Monetary Policy Surprises over Time (RePEc:wsi:qjfxxx:v:08:y:2018:i:01:n:s2010139218400025)
by Marcello Pericoli & Giovanni Veronese