Simone Manganelli - Concepedia

Author

Simone Manganelli

European Central Bank

Also Known As

Andrea Falconio, David Marques-Ibanez, Manganelli, Simone, SIMONE MANGANELLI, Simone Manganelli

102

Publications

5.1K

Citations

H-Index

Concepts

All Affiliations

European Central Bank New York University BI Norwegian Business School Centre for Economic Policy Research National Bureau of Economic Research

About

Simone Manganelli is an author at European Central Bank specializing in business, finance, and economics.

Top Concepts

#	Concept	H-Index	Publications	Citations
1	Business	17	19	3.4K
2	Management	7	7	2.6K
3	Engineering	2	2	216
4	Accounting	1	1	43
5	Biostatistics	1	1	363

Simone Manganelli

Publications

4.6K

Citations

H-Index

Page 1

	Year	Citations
CAViaR Robert F. Engle, Simone Manganelli Journal of Business and Economic Statistics Empirical FinanceEconomicsVolatility ModelingAsset PricingMarket Risk	2004	2.1K
VAR for VaR: Measuring tail dependence using multivariate regression quantiles Halbert White, Tae‐Hwan Kim, Simone Manganelli Journal of Econometrics Tail DependenceEstimation StatisticBusinessEconometricsBiostatistics	2015	363
What drives spreads in the euro area government bond market? Simone Manganelli, Guido Wolswijk Economic Policy	2009	309
Duration, volume and volatility impact of trades Simone Manganelli Journal of Financial Markets Volatility ModelingFinancial EconomicsAsset PricingHigh-frequency TradingTrade	2005	189
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles Robert F. Engle, Simone Manganelli eScholarship (California Digital Library) EngineeringRare Event EstimationRisk MetricRegression QuantilesProbabilistic Forecasting	1999	172
Value at Risk Models in Finance Simone Manganelli, Robert F. Engle SSRN Electronic Journal	2001	129
The Impact of the Eurosystem's Covered Bond Purchase Programme on the Primary and Secondary Markets John Beirne, Lars Dalitz, Jacob Ejsing, SSRN Electronic Journal	2011	96
Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area Carlos Garcia-de-Andoain, Florian Heider, Marie Hoerova, Journal of Financial Intermediation EconomicsFinancial SystemInterbank MarketCentral BankingFinancial Intermediation	2016	89
The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan Lutz Kilian, Simone Manganelli Journal of money credit and banking Risk ManagerFinancial Risk ManagementFederal ReserveCentral BankingCentral Banker	2008	84
The Euro Area Financial System: Structure, Integration and Policy Initiatives Ángela Maddaloni, Simone Manganelli SSRN Electronic Journal	2003	78

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