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The impact of systemic and illiquidity risk on financing with risky collateral
Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 50 (2015), pp. 180-202
Persistent link: https://www.econbiz.de/10010486947
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Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction
Di Gangi, Domenico; Lillo, Fabrizio; Pirino, Davide - In: Journal of economic dynamics & control 94 (2018), pp. 117-141
Persistent link: https://www.econbiz.de/10012004377
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Cluster analysis for portfolio optimization
Tola, Vincenzo; Lillo, Fabrizio; Gallegati, Mauro; … - In: Journal of economic dynamics & control 32 (2008) 1, pp. 235-258
Persistent link: https://www.econbiz.de/10003622751
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Why is equity order flow so persistent?
Tóth, Bence; Palit, Imon; Lillo, Fabrizio; Farmer, J. Doyne - In: Journal of economic dynamics & control 51 (2015), pp. 218-239
Persistent link: https://www.econbiz.de/10011474393
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Do firms share the same functional form of their growth rate distribution? : a statistical test
Lunardi, José T.; Miccichè, Salvatore; Lillo, Fabrizio; … - In: Journal of economic dynamics & control 39 (2014), pp. 140-164
Persistent link: https://www.econbiz.de/10010388784
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Wright meets Markowitz : how standard portfolio theory changes when assets are technologies following experience curves
Way, Rupert; Lafond, François; Lillo, Fabrizio; … - In: Journal of economic dynamics & control 101 (2019), pp. 211-238
Persistent link: https://www.econbiz.de/10012131054
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Tail Granger causalities and where to find them : extreme risk spillovers vs spurious linkages
Mazzarisi, Piero; Zaoli, Silvia; Campajola, Carlo; … - In: Journal of economic dynamics & control 121 (2020), pp. 1-20
Persistent link: https://www.econbiz.de/10012504161