Loriana Pelizzon
Title
Cited by
Cited by
Year
Econometric measures of connectedness and systemic risk in the finance and insurance sectors
M Billio, M Getmansky, AW Lo, L Pelizzon
Journal of financial economics 104 (3), 535-559, 2012
19672012
Value-at-risk: a multivariate switching regime approach
M Billio, L Pelizzon
Journal of Empirical Finance 7 (5), 531-554, 2000
2512000
Measuring sovereign contagion in Europe
M Caporin, L Pelizzon, F Ravazzolo, R Rigobon
Journal of Financial Stability 34, 150-181, 2018
2462018
Contagion and interdependence in stock markets: Have they been misdiagnosed?
M Billio, L Pelizzon
Journal of economics and business 55 (5-6), 405-426, 2003
1612003
Measuring systemic risk in the finance and insurance sectors
M Billio, M Getmansky, AW Lo, L Pelizzon
Cambridge, MA; Alfred P. Sloan School of Management, Massachusetts Institute…, 2010
1472010
Volatility and shocks spillover before and after EMU in European stock markets
M Billio, L Pelizzon
Journal of Multinational Financial Management 13 (4-5), 323-340, 2003
1372003
Dynamic risk exposures in hedge funds
M Billio, M Getmansky, L Pelizzon
Computational Statistics & Data Analysis 56 (11), 3517-3532, 2012
1102012
Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina?
L Pelizzon, MG Subrahmanyam, D Tomio, J Uno
Journal of Financial Economics 122 (1), 86-115, 2016
1082016
Crises and hedge fund risk
M Billio, M Getmansky Sherman, L Pelizzon
UMASS-Amherst Working Paper, Yale ICF Working Paper, 10-08, 2010
1082010
Mutual excitation in Eurozone sovereign CDS
Y At-Sahalia, RJA Laeven, L Pelizzon
Journal of Econometrics 183 (2), 151-167, 2014
972014
How does P2P lending fit into the consumer credit market?
C De Roure, L Pelizzon, P Tasca
Bundesbank Discussion Paper, 2016
842016
P2P lenders versus banks: Cream skimming or bottom fishing?
C De Roure, L Pelizzon, AV Thakor
SAFE Working Paper, 2021
802021
Are household portfolios efficient? An analysis conditional on housing
L Pelizzon, G Weber
Journal of Financial and Quantitative Analysis 43 (2), 401-431, 2008
792008
Efficient portfolios when housing needs change over the life cycle
L Pelizzon, G Weber
Journal of Banking & Finance 33 (11), 2110-2121, 2009
642009
Credit derivatives, capital requirements and opaque OTC markets
A Nicolo, L Pelizzon
Journal of Financial Intermediation 17 (4), 444-463, 2008
582008
Banking beyond banks and money
P Tasca, T Aste, L Pelizzon, N Perony
Springer, 2016
552016
On a new approach for analyzing and managing macrofinancial risks (corrected)
RC Merton, M Billio, M Getmansky, D Gray, AW Lo, L Pelizzon
Financial Analysts Journal 69 (2), 22-33, 2013
542013
Sovereign, bank and insurance credit spreads: Connectedness and system networks
M Billio, M Getmansky, D Gray, A Lo, RC Merton, L Pelizzon
Sloan School of Management Working Paper, Massachusetts Institute of Technology, 2013
522013
The microstructure of the European sovereign bond market: A study of the Euro-zone crisis
L Pelizzon, MG Subrahmanyam, D Tomio, J Uno
Unpublished working paper. New York University, New York, NY, 2013
422013
The COVID-19 shock and equity shortfall: Firm-level evidence from Italy
E Carletti, T Oliviero, M Pagano, L Pelizzon, MG Subrahmanyam
The Review of Corporate Finance Studies 9 (3), 534-568, 2020
362020
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Articles 1–20