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Smooth transition regime shifts and pil price dynamics

Cifarelli, Giulio - In: Energy economics 38 (2013), pp. 160-167

Persistent link: https://www.econbiz.de/10009764597

Commodity pricing volatility shifts in a highly turbulent time period : a time-varying transition probability Markov switching analysis

Cifarelli, Giulio - 2023

Persistent link: https://www.econbiz.de/10014539008

Volatility co-movements between emerging sovereign bonds : is there segmentation between geographical areas?

Cifarelli, Giulio; Paladino, Giovanna - In: Global finance journal 16 (2006) 3, pp. 245-263

Persistent link: https://www.econbiz.de/10003322319

Can oil diversify away the unpriced risk of a portfolio?

Cifarelli, Giulio; Paladino, Giovanna - In: International journal of finance & economics : IJFE 17 (2012) 1, pp. 73-88

Persistent link: https://www.econbiz.de/10009507849

A dynamic model of hedging and speculation in the commodity futures markets

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of financial markets 25 (2015), pp. 1-15

Persistent link: https://www.econbiz.de/10011477250

Volatility linkages across three major equity markets : a financial arbitrage approach

Cifarelli, Giulio; Paladino, Giovanna - In: Journal of international money and finance 24 (2005) 3, pp. 413-439

Persistent link: https://www.econbiz.de/10002738497

Stock market exuberance : linkages between the US and the European markets

Cifarelli, Giulio; Paladino, Giovanna - 2000

Persistent link: https://www.econbiz.de/10001604060

Volatility spillovers and the role of leading financial centres

Cifarelli, Giulio; Paladino, Giovanna - In: Quarterly review / Banca Nazionale del Lavoro, Roma 54 (2001), pp. 37-71

Persistent link: https://www.econbiz.de/10001579434

An Assessment of the Theory of Storage : Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?

Cifarelli, Giulio - 2012

In this paper we investigate the relationship between commodity price volatility and market fundamentals comparing the 1920s with the present decade and focusing on cotton and tin. The theory of storage provides the theoretical reference for the analysis. Our first result is to find that the...

Persistent link: https://www.econbiz.de/10013105681

Speculative Cotton Pricing in the 1920s : A Nonlinear Tale of Noise Traders and Fundamentalists

Cifarelli, Giulio - 2013

The paper investigates the role of speculation in the Liverpool cotton futures market between 1921 and 1929. The analysis is based on historical descriptions of the working of speculation in commodity markets and is related to the tenets of behavioural finance. The model posits the existence of...

Persistent link: https://www.econbiz.de/10013085214