Monica Billio, Bertrand B. Maillet, Loriana Pelizzon | A Meta-Measure of Performance Related to Both Investors and Investments Characteristics Annals of Operations Research |
Financial Markets
| 2022 |
Monica Billio, Massimiliano Caporin, Lorenzo Frattarolo, Loriana Pelizzon | Networks in Risk Spillovers: A Multivariate GARCH Perspective Econometrics and Statistics |
Financial Intermediation,
Systemic Risk Lab
| 2023 |
Katja Langenbucher, Loriana Pelizzon | Short Selling – On Ethics, Politics, and Culture Zeitschrift für Bankrecht und Bankwirtschaft |
Financial Markets
| 2021 |
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | Buildings' Energy Efficiency and the Probability of Mortgage Default: The Dutch Case Journal of Real Estate Finance and Economics |
Financial Markets,
Systemic Risk Lab
| 2022 |
Monica Billio, Michele Costola, Iva Hristova, Carmelo Latino, Loriana Pelizzon | Inside the ESG Ratings: (Dis)agreement and Performance Corporate Social Responsibility and Environmental Management, Special Issue on Environmental, Social, Governance: Implications for Businesses and Effects for Stakeholders |
Financial Markets
| 2021 |
Mila Getmansky Sherman, Ravi Jagannathan, Loriana Pelizzon, Ernst Schaumburg, Darya Yuferova | Recovery from Fast Crashes: Role of Mutual Funds Journal of Financial Markets |
Financial Markets,
Systemic Risk Lab,
Data Center
| 2022 |
Monica Billio, Lorenzo Frattarolo, Loriana Pelizzon | A Time Varying Performance Evaluation of Hedge Fund Strategies through Aggregation Bankers, Markets and Investors |
Financial Intermediation,
Systemic Risk Lab
| 2014 |
Silvia Bressan, Noemi Pace, Loriana Pelizzon | Health Status and Portfolio Choice: Is Their Relationship Economically Relevant? International Review of Financial Analysis |
Household Finance,
Systemic Risk Lab
| 2014 |
Loriana Pelizzon, Domenico Sartore | Deciphering the Libor and Euribor Spreads during the Subprime Crisis North American Journal of Economics and Finance |
Financial Intermediation,
Systemic Risk Lab
| 2013 |
Mila Getmansky Sherman, Giulio Girardi, Stanislava Nikolova, Loriana Pelizzon, Kathleen Weiss Hanley | Portfolio Similarity and Asset Liquidation in the Insurance Industry Journal of Financial Economics |
Financial Markets,
Systemic Risk Lab
| 2021 |
Loriana Pelizzon, Marti Subrahmanyam, Davide Tomio, Jun Uno | Sovereign Credit Risk, Liquidity, and ECB Intervention: Deus Ex Machina? Journal of Financial Economics |
Financial Markets,
Systemic Risk Lab
| 2016 |
Michele Costola, Oliver Hinz, Michael Nofer, Loriana Pelizzon | Machine Learning Sentiment Analysis, COVID-19 News and Stock Market Reactions Research in International Business and Finance |
Financial Markets
| 2023 |
Mario Bellia, Loriana Pelizzon, Marti Subrahmanyam, Darya Yuferova | Market Liquidity and Competition Among Designated Market Makers forthcoming in Management Science |
Financial Markets,
Systemic Risk Lab
| 2023 |
Loriana Pelizzon, Max Riedel, Zorka Simon, Marti Subrahmanyam | Collateral Eligibility of Corporate Debt in the Euro-system forthcoming in Journal of Financial Economics |
Financial Markets,
Macro Finance,
Systemic Risk Lab
| 2023 |
Mila Getmansky Sherman, Christian Kubitza, Loriana Pelizzon | Loss Sharing in Central Clearinghouses: Winners and Losers forthcoming in Review of Asset Pricing Studies |
Financial Markets,
Systemic Risk Lab
| 2023 |
Yalin Gündüz, Giorgio Ottonello, Loriana Pelizzon, Michael Schneider, Marti Subrahmanyam | Lighting up the Dark: Liquidity in the German Corporate Bond Market Journal of Fixed Income |
Financial Markets,
Systemic Risk Lab
| 2023 |
Gianluca Anese, Marco Corazza, Michele Costola, Loriana Pelizzon | Impact of Public News Sentiment on Stock Market Index Return and Volatility Computational Management Science |
Financial Markets
| 2023 |
Monica Billio, Massimiliano Caporin, Roberto Panzica, Loriana Pelizzon | The Impact of Network Connectivity on Factor Exposures, Asset Pricing and Portfolio Diversification International Review of Economics & Finance |
Financial Markets,
Systemic Risk Lab
| 2023 |
Monica Billio, Michele Costola, Loriana Pelizzon, Max Riedel | Creditworthiness and Buildings’ Energy Efficiency in the Italian Mortgage Market Climate Investing: New Strategies and Implementation Challenges |
Financial Markets
| 2023 |
Pietro Dindo, Andrea Modena, Loriana Pelizzon | Risk Pooling, Intermediation Efficiency, and the Business Cycle Journal of Economic Dynamics & Control |
Financial Markets,
Macro Finance
| 2022 |
Loriana Pelizzon, Anjan Thakor, Calebe de Roure | P2P Lenders versus Banks: Cream Skimming or Bottom Fishing? The Review of Corporate Finance Studies |
Household Finance
| 2022 |
Monica Billio, Loriana Pelizzon | Systemic Risk Tomography Systemic Risk Tomography: Signals, Measurement and Transmission Channels (ISTE Press - Elsevier) |
Systemic Risk Lab
| 2016 |
Fabio Castiglionesi, Fabio Feriozzi, Gyöngyi Lóránth, Loriana Pelizzon | Liquidity Coinsurance and Bank Capital Journal of Money, Credit and Banking |
Financial Intermediation,
Systemic Risk Lab
| 2014 |
Elena Carletti, Tommaso Oliviero, Marco Pagano, Loriana Pelizzon, Marti Subrahmanyam | The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy The Review of Corporate Finance Studies |
Financial Markets
| 2020 |
Monica Billio, Mila Getmansky Sherman, Loriana Pelizzon | Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data Journal of Alternative Investments |
Financial Markets
| 2009 |
Tomaso Aste, Loriana Pelizzon, Nicolas Perony, Paolo Tasca | Banking Beyond Banks and Money. A Guide to Banking Services in the Twenty-First Century Banking Beyond Banks and Money: A Guide to Banking Services in the Twenty-First Century (Springer) |
Financial Intermediation,
Systemic Risk Lab
| 2016 |
Massimiliano Caporin, Loriana Pelizzon, Francesco Ravazzolo, Roberto Rigobon | Measuring Sovereign Contagion in Europe Journal of Financial Stability |
Financial Markets,
Systemic Risk Lab
| 2018 |
Andrea Bedin, Monica Billio, Michele Costola, Loriana Pelizzon | Credit Scoring in SME Asset-Backed Securities: An Italian Case Study Journal of Risk and Financial Management |
Systemic Risk Lab
| 2019 |
Yacine Aït-Sahalia, Roger J. A. Laeven, Loriana Pelizzon | Mutual Excitation in Eurozone Sovereign CDS Journal of Econometrics |
Financial Markets,
Macro Finance,
Systemic Risk Lab
| 2014 |
Monica Billio, Michele Costola, Roberto Panzica, Loriana Pelizzon | Systemic Risk and Financial Interconnectedness: Network Measures and the Impact of the Indirect Effect Systemic Risk Tomography: Signals, Measurement and Transmission Channels (ISTE Press - Elsevier) |
Financial Intermediation,
Systemic Risk Lab
| 2016 |
Fabrizio Lillo, Loriana Pelizzon, Michael Schneider | Modelling Illiquidity Spillovers with Hawkes Processes: An Application to the Sovereign Bond Market Quantitative Finance |
Financial Markets,
Systemic Risk Lab
| 2018 |