Below you can find a list of my research papers.
Scientific articles published in refereed journals
2014 “What is a prime bank? A Euribor-OIS spread perspective”, International Finance, forthcoming. Download.
2014 “The riskiness of corporate bonds”, Journal of Money Credit and Banking, forthcoming. Download.
2012 “Bond risk premia, macroeconomic fundamentals and the exchange rate”, with Marcello Pericoli, International Review of Economics and Finance, 22, 42-65. Download.
2011 “Under/over-valuation of the stock market and cyclically adjusted earnings”, International Finance, 14, 135-164. Download.
2009 “Macro-finance VARs and bond risk premia: a caveat”, Review of Financial Economics, 18, 163-171 (lead article). Download.
2009 “Portfolio selection with monotone mean-variance preferences”, with Fabio Maccheroni, Massimo Marinacci and Aldo Rustichini, Mathematical Finance, 19, 487-521. Download.
2008 “Canonical term-structure models with observable factors and the dynamics of bond risk premia”, with Marcello Pericoli, Journal of Money Credit and Banking, 40, 1471-1488. Download.
2006 “Robust portfolio selection with and without relative entropy”, The B.E. Journal of Theoretical Economics, 6-1 (Topics), 1-25. Download.
2005 “Portfolio selection with two-stage preferences”, Finance Research Letters, 2, 152-164. Download.
2004 “The equity premium in the long run”, Applied Financial Economics, 14, 645-650. Download.
2012 “Recent estimates of sovereign risk premia for euro-area countries”, with Antonio Di Cesare, Giuseppe Grande and Michele Manna, Occasional Papers, 128, Bank of Italy. Download.
2009 “An assessment of financial sector rescue programmes”, with Thomas Faeh, Giuseppe Grande, Corrinne Ho, Michael King, Aviram Levy, Fabio Panetta, Federico M. Signoretti and Andrea Zaghini, BIS Papers, 48, Bank for International Settlements. Download.
2011 “Bayesian analysis of coefficient instability in dynamic regressions”, with Emanuela Ciapanna. Download.
Work in progress
2013 “Sectoral differences in managers' compensation: insights from a matching model”, with Emanuela Ciapanna and Eliana Viviano.
2013 “Credit and liquidity risk premia in euro area sovereign spreads”, with Marcello Pericoli.
Previous versions of the book above were circulated as:
2010 Lectures on probability, statistics and econometrics, http://www.statlect.com.
2010 Lectures on probability and statistics, http://www.statlect.com.