Auflistung LIF-SAFE Working Papers nach Autor "Panzica, Roberto Calogero"

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    • Estimation and Model-Based Combination of Causality Networks 

      Bonaccolto, Giovanni; Caporin, Massimiliano; Panzica, Roberto Calogero (2017-01-31)
      Causality is a widely-used concept in theoretical and empirical economics. The recent financial economics literature has used Granger causality to detect the presence of contemporaneous links between financial institutions ...

    • Idiosyncratic Volatility Puzzle: The Role of Assets' Interconnections 

      Panzica, Roberto Calogero (2018-08-08)
      The paper investigates the determinants of the idiosyncratic volatility puzzle by allowing linkages across asset returns. The first contribution of the paper is to show that portfolios sorted by increasing indegree computed ...

    • The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification 

      Billio, Monica; Caporin, Massimiliano; Panzica, Roberto Calogero; Pelizzon, Loriana (2016-10-01)
      We show that property damages from weather-related natural disasters significantly weaken the stability of banks with business activities in affected regions, as reflected in lower z-scores, higher probabilities of default, ...