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Forecasting financial crises and contagion in Asia using dynamic factor analysis

Cipollini, A.; Kapetanios, G. - In: Journal of Empirical Finance 16 (2009) 2, pp. 188-200

In this paper we use principal components analysis to obtain vulnerability indicators able to predict financial turmoil. Probit modelling through principal components and also stochastic simulation of a Dynamic Factor model are used to produce the corresponding probability forecasts regarding...

Persistent link: https://www.econbiz.de/10005198996

Volatility co-movements : a time-scale decomposition analysis

Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Journal of empirical finance 34 (2015), pp. 34-44

Persistent link: https://www.econbiz.de/10011556988

Housing market shocks in italy : a GVAR approach

Cipollini, Andrea; Parla, Fabio - In: Journal of housing economics 50 (2020), pp. 1-16

Persistent link: https://www.econbiz.de/10012653443

Financial distress and real economic activity in Lithuania : a Granger causality test based on mixed-frequency VAR

Cipollini, Andrea; Mikaliunaite, Ieva - In: Empirical economics : a quarterly journal of the … 61 (2021) 2, pp. 855-881

Persistent link: https://www.econbiz.de/10012616911

Predicting bond betas using macro-finance variables

Aslanidis, Nektarios; Christiansen, Charlotte; … - In: Finance research letters 29 (2019), pp. 193-199

Persistent link: https://www.econbiz.de/10012418702

Risk aversion connectedness in five European countries

Cipollini, Andrea; Lo Cascio, Iolanda; Muzzioli, Silvia - In: Economic modelling 71 (2018), pp. 68-79

Persistent link: https://www.econbiz.de/10012062452

Credit demand and supply shocks in Italy during the Great Recession

Cipollini, Andrea; Parla, Fabio - In: Applied economics 50 (2018) 53, pp. 5795-5813

Persistent link: https://www.econbiz.de/10012062911

Asymmetric semi-volatility spillover effects in EMU stock markets

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: International review of financial analysis 57 (2018), pp. 221-230

Persistent link: https://www.econbiz.de/10012006352

How do normalization schemes affect net spillovers? : a replication of the Diebold and Yilmaz (2012) study

Caloia, Francesco Giuseppe; Cipollini, Andrea; … - In: Energy economics 84 (2019), pp. 1-13

Persistent link: https://www.econbiz.de/10012183350

Macro-uncertainty and financial stress spillovers in the Eurozone

Cipollini, Andrea; Mikaliunaite, Ieva - In: Economic modelling 89 (2020), pp. 546-558

Persistent link: https://www.econbiz.de/10012426244