Research

Publications in refereed international journals/books

  • Mutual Funds Dynamics and Economic Predictors (with Gianni Amisano), Journal of Financial Econometrics 15(2), 2017, 302-330.
  • “Systemic Risk: Measures and Warnings” (with Monica Billio and Loriana Pelizzon), in (eds.) Billio M., L. Pelizzon, R. Savona. Systemic Risk Tomography – Signals, Measurement and Transmission Channels, ISTE-Elsevier, 2017, xi-xxi.
  • “Danger Zones For The Financial System” (with Paolo Manasse and Marika Vezzoli), in (eds.) Billio M., L. Pelizzon, R. Savona. Systemic Risk Tomography – Signals, Measurement and Transmission Channels, ISTE-Elsevier, 2017, 169-190.
  • “Danger Zones for Banking Crises in Emerging Markets” (with Paolo Manasse and Marika Vezzoli), International Journal of Finance & Economics, 2016, forthcoming.
  • “Sovereign and Hedge Fund Systemic Risks” (with Enrico Ciavolino), Journal of Alternative Investments, 2016, Spring 2016, Vol. 18, No 4, pp: 98-108.
  • “Corporate Default Prediction Model Averaging: A Normative Linear Pooling Approach” (with Silvia Figini and Marika Vezzoli), Intelligent Systems in Accounting, Finance and Management, Vol. 23, Issue 1-2, 6-20.
  • “Financial Symmetry and Moods in the Market” (with Maxence Soumare, Jorgen Vitting Andersen), PLoS ONE, 10(4): e0118224, 2015, 1-21.
  • “Mutual Fund Risk” (with Oreste Auleta and Filippo Stefanini), in eds. H. Kent Baker, Greg Filbeck, Halil Kiymaz, Mutual Funds - Building Blocks for Investment Portfolios, Oxford University Press, 2016, 380-398.
  • “Detecting Early Warnings for Hedge Fund Contagion”, Bankers, Markets and Investors, Number 129, March-April 2014, 60-73.
  • “Hedge Fund Systemic Risk Signals”, European Journal of Operational Research, 2014, 236, 282-291.
  • “Risk and Beta Anatomy in the Hedge Fund Industry”, The European Journal of Finance, 2014, 20 (1), 1-32.
  • “Fitting and Forecasting Sovereign Defaults Using Multiple Risk Signals” (with Vezzoli, M.), Oxford Bulletin of Economics and Statistics, 77 (1), 2015, 66-92.
  • “Multidimensional Distance to Collapse Point and Sovereign Default Prediction” (with Marika Vezzoli), Intelligent Systems in Accounting, Finance and Management, 2012, Volume 19, number 4, 205-228.
  • “Measuring Systemic Risk From Country Fundamentals: A Data Mining Approach” (with Marika Vezzoli), in eds. When, C., Hoppe, C., Gregoriou, G. N. Rethinking Valuation and Pricing Models: Lessons Learned from the Crisis and Future Challenges, Elsevier, 2012, 223-240.
  • “Hedge Fund Cloning Through State Space Models”, in eds. Gregoriou, G.N. and M. Kooli. Hedge Fund Replication, Palgrave-MacMillan December, 2011, 106-118.
  • “Asset-Based Style Factors”, in eds. Greg N. Gregoriou, Encyclopedia of Alternative Investments, Chapman Hall-CRC/Taylor Francis Group, 2008, 29-30.
  • “Imperfect Predictability and Mutual Fund Dynamics: How Managers Use Predictors in Changing Systematic Risk” (with G. Amisano), European Central Bank, Working Paper No. 881, March 2008, 1-53. Also in CAREFIN – Università Bocconi, Working Paper no 2/2008.
  • “Performance Idiosyncrasy in the Italian Mutual Fund Industry”, in eds. Greg N. Gregoriou, Performance of Mutual Funds: An International Perspective, Palgrave Macmillan, 2007, 63-84.
  • “On the Supposed Foreign Superiority: the Italian Tax Puzzle”, in eds. Greg N. Gregoriou, Diversification and Portfolio Management of Mutual Funds, Palgrave Macmillan, 2007, 312-333.
  • “Tax-induced Dissimilarities Between Domestic and Foreign Mutual Funds in Italy”, Economic Notes, 35 (2) 2006, 173-202.
  • “Do Mutual funds Styles Reflect a Country-Specific Investment Philosophy? The Italian Case”, Applied Financial Economics, 16 (4) 2006, 303-318.
  • “Outsourcing strategies in asset management industry”, (with Basile, I.), in (eds.) De Laurentis, G., Performances measurements frontiers in financial services industry, Egea, Milan, 2004, 15-43.

Research papers - International

  • “The Forecasting side of Sovereign Risk: a Generalized Cross Entropy Approach” (with Enrico Ciavolino), in CLADAG 2013 9th scientific meeting of the Classification and Data Analysis Group of the Italian Statistical Society - Book of Abstract, CLEUP, pp. 105-108, 2013.
  • “Assessing Model Accuracy Using a Two-Dimensional Loss Function” (with M. Vezzoli), in Book of Abstract GfKI - CLADAG 2010, pp. 267-268, Joint meeting of German Classification Society (GfKl) and Classification and Data Analysis Group (CLADAG), Università di Firenze, Polo delle Scienze Sociali, 8-10 Settembre 2010.
  • “Taming Financial Inaccessibility with Bayesian State Space Models” (with G. Amisano), in Book of Short Papers CLADAG 2009, CLEUP, pp. 405-408. Seventh scientific meeting of the Classification and Data Analysis Group (CLADAG) of the Italian Statistical Society, Università degli Studi di Catania 09-11 Settembre 2009.
  • "Dissimilarities between domestic and foreign money management at home: evidence from Italy", Newfin Working Paper n. 4/04, 2004, 1-44.
  • "Management Styles of Italian Equity Mutual Funds" (with Basile, I., Doninelli, N.), Dipartimento di Economia Aziendale - Università degli Studi di Brescia, Working Paper no 14, 2001.

Publications journals/books - Italian

  • “La valutazione della performance degli hedge fund”, in (eds.) Basile I. and P. Ferrari, Asset Management e Investitori Istituzionali, Pearson Italia, 2013, 285-300.
  • “Le politiche di gestione delle diverse categorie di investitori istituzionali” (with Basile I., and P. Ferrari), in (eds.) Basile I. and P. Ferrari, Asset Management e Investitori Istituzionali, Pearson, 2013, 379-427.
  • “Strategie, rischio e rendimento degli hedge fund” (with I. Basile), Bancaria, 9, 2007, 85-89.
  • “Gli hedge fund e le strategie di gestione di portafoglio” (with I. Basile), Bancaria, 11, 2007, 68-72.
  • “Fusioni e acquisizioni bancarie in Italia, 1989-1997: analisi empirica sulla reattività dei prezzi azionari”, Bancaria, 1, 2002, 31-52.
  • “Le strategie competitive delle banche italiane di dimensioni medio/piccole nell’attività di asset management” (with Basile, I.), Banche e Banchieri, 1, 2002, 43-57. Also in Risparmio, 1, 2002, 179-209.
  • “Un’analisi dell’efficienza dei benchmark del mercato azionario italiano”, in (eds.) Basile, I., Benchmark e performance dei portafogli azionari e obbligazionari, Bancaria Editrice, 2002, 41-70.
  • “L’impiego dei benchmark nella gestione e nella valutazione dei portafogli azionari”, in (eds.) Basile, I., Benchmark e performance dei portafogli azionari e obbligazionari, Bancaria Editrice, 2002, 71-115.
  • “I benchmark obbligazionari: caratteristiche fondamentali e profili di efficienza”, in (eds.) Basile, I., Benchmark e performance dei portafogli azionari e obbligazionari, Bancaria Editrice, 2002, 139-162.
  • “L’utilizzo dei benchmark nella gestione dei portafogli obbligazionari”, in (eds.) Basile, I., Benchmark e performance dei portafogli azionari e obbligazionari, Bancaria Editrice, 2002, 163-189.
  • “I volatility swap”, in NEWFIN, Nuove frontiere dei mercati finanziari e delle securities industry - Osservatorio sull’innovazione finanziaria 2001, Bancaria Editrice, Roma, 2001, 239-254.
  • “Portafogli di strumenti derivati e gestione del rischio di interesse: gli interest rate swap”, Apb news, 3, 2000, 33-48.

Books - English

  • Systemic Risk Tomography – Signals, Measurement and Transmission Channels (edited book with M. Billio and Loriana Pelizzon), Elsevier-ISTE, 2017.

Books - Italian

  • Banking Book – Misurazione e gestione dei rischi finanziari (with M. Raudaschl), LUISS University Press, Roma, 2015, 156 pp.
  • Gli hedge fund – Rendimento, rischio e valutazione della performance (with I. Basile), Bancaria Editrice, Roma, 2007, 176 pp.

Research papers - Italian

  • Gli investimenti alternativi: asset allocation, strategie di gestione, valutazione delle performance (with Basile, I.), Newfin Ricerche n° 94, Università Bocconi, Milano, 2005, 3-198.
  • Efficienza dei benchmark obbligazionari e politiche di gestione e misurazione delle performance degli investitori istituzionali, Newfin Ricerche n° 80, Università Bocconi, Milano, 2001, 27-86.
  • Efficienza dei benchmark azionari e politiche di gestione e misurazione delle performance degli investitori istituzionali (with Doninelli, N.), Newfin Ricerche n° 73, Università Bocconi, Milano, 2000, 3-76.

Other publications - Italian

  • “Prevenzione, gestione e risoluzione delle crisi sistemiche”, Brescia & Futuro, 2, 2015, 55-58.
  • “Struttura finanziaria, innovazione finanziaria e merito creditizio”, Brescia & Futuro, 1, 2006, 63-69.
  • "Il benchmarking nelle politiche di gestione di portafoglio", PhD Dissertation, Università degli Studi di Udine, 2001.