Simone Manganelli, Ph.D.
Affiliations: | 2000 | University of California, San Diego, La Jolla, CA |
Area:
FinanceGoogle:
"Simone Manganelli"Parents
Sign in to add mentor| Robert Fry Engle | grad student | 2000 | UCSD | |
| (Conditional autoregressive value at risk and other essays in financial econometrics.) | ||||
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Publications
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| Bubeck J, Habib MM, Manganelli S. (2018) The portfolio of euro area fund investors and ECB monetary policy announcements Journal of International Money and Finance. 89: 103-126 |
| Ghysels E, Idier J, Manganelli S, et al. (2017) A High Frequency Assessment of the ECB Securities Markets Programme Journal of the European Economic Association. 15: 218-243 |
| Altunbas Y, Manganelli S, Marques-Ibanez D. (2017) Realized bank risk during the great recession Journal of Financial Intermediation. 32: 29-44 |
| Garcia-de-Andoain C, Heider F, Hoerova M, et al. (2016) Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area Journal of Financial Intermediation |
| Manganelli S, Popov A. (2015) Financial development, sectoral reallocation, and volatility: International evidence Journal of International Economics. 96: 323-337 |
| White HL, Kim T, Manganelli S. (2015) VAR for VaR: Measuring tail dependence using multivariate regression quantiles ! Journal of Econometrics. 187: 169-188 |
| Garcia-de-Andoain C, Hoffmann P, Manganelli S. (2014) Fragmentation in the Euro Overnight Unsecured Money Market Economics Letters. 125: 298-302 |
| Cappiello L, Gérard B, Kadareja A, et al. (2014) Measuring Comovements by Regression Quantiles Journal of Financial Econometrics. 12: 645-678 |
| Manganelli S. (2009) Forecasting With Judgment Journal of Business & Economic Statistics. 27: 553-563 |
| Manganelli S, Wolswijk G. (2009) What Drives Spreads in the Euro Area Government Bond Market Economic Policy. 24: 191-240 |