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Marco Taboga - Research

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, 17, 51-75. Download.
2014
The riskiness of corporate bonds
, Journal of Money Credit and Banking, 46, 693-713. 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.

Policy papers
 
2014 Macroeconomic impact assessment of OTC derivatives regulatory reforms”, with the MAGD (Macroeconomic Assessment Group on Derivatives).
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.

Working papers

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.


Books
 
2012 Lectures on probability theory and mathematical statistics, CreateSpace Independent Publishing Platform. Book page.
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.


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