Concepedia

Simone Manganelli

SM

38

Publications

4.6K

Citations

27

H-Index

1999

Active since

Affiliations

European Central Bank(Current)

New York University

BI Norwegian Business School

Centre for Economic Policy Research

National Bureau of Economic Research

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

Top concepts

Publications per year

1999–2023

38

Publications

38

CAViaR

Robert F. Engle, Simone Manganelli · Journal of Business and Economic Statistics · 2004 · 2.1K citations

, , +11

VAR for VaR: Measuring tail dependence using multivariate regression quantiles

Halbert White, Tae‐Hwan Kim, Simone Manganelli · Journal of Econometrics · 2015 · 363 citations

, , +7

What drives spreads in the euro area government bond market?

Simone Manganelli, Guido Wolswijk · Economic Policy · 2009 · 309 citations

Duration, volume and volatility impact of trades

Simone Manganelli · Journal of Financial Markets · 2005 · 189 citations

, , +6

CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles

Robert F. Engle, Simone Manganelli · eScholarship (California Digital Library) · 1999 · 172 citations · Full text

, , +17

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