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Realized bank risk during the great recession

Altunbaş, Yener; Manganelli, Simone; Marqués … - 2015

Persistent link: https://www.econbiz.de/10011326744

Financial dependence, global growth opportunities, and growth revisited

Manganelli, Simone; Popov, Alexander - In: Economics letters 120 (2013) 1, pp. 123-125

Persistent link: https://www.econbiz.de/10009760438

A high frequency assessment of the ECB Securities Markets Programme

Ghysels, Eric; Idier, Julien; Manganelli, Simone; … - 2013

Persistent link: https://www.econbiz.de/10010243713

A high frequency assessment of the ECB Securities Markets Programme

Ghysels, Eric; Idier, Julien; Manganelli, Simone; … - 2014

Persistent link: https://www.econbiz.de/10010380070

Measuring financial fragmentation in the euro area corporate bond market

Horny, Guillaume; Manganelli, Simone; Mojon, Benoît - 2016

Persistent link: https://www.econbiz.de/10011566761

Fragmentation in the Euro overnight unsecured money market

Garcia de Andoain, Carlos; Hoffmann, Peter; Manganelli, … - In: Economics letters 125 (2014) 2, pp. 298-302

Persistent link: https://www.econbiz.de/10010505303

Fragmentation in the euro overnight unsecured money market : macroprudential research network

Garcia de Andoain, Carlos; Hoffmann, Peter; Manganelli, … - 2014

Persistent link: https://www.econbiz.de/10010482452

Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - 2008

Engle and Manganelli (2004) propose CAViaR, a class of models suitable for estimating conditional quantiles in dynamic settings. Engle and Manganelli apply their approach to the estimation of Value at Risk, but this is only one of many possible applications. Here we extend CAViaR models to...

Persistent link: https://www.econbiz.de/10003803300

Lending-of-last-resort is as lending-of-last-resort does : central bank liquidity provision and interbank market functioning in the euro area

Garcia de Andoain, Carlos; Heider, Florian; Hoerova, Marie - 2016

Persistent link: https://www.econbiz.de/10011448928

VAR for VaR: measuring tail dependence using multivariate regression quantiles

White, Halbert; Kim, Tae-hwan; Manganelli, Simone - In: Journal of econometrics 187 (2015) 1, pp. 169-188

Persistent link: https://www.econbiz.de/10011498808