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Simone Manganelli


Functions:

  • Head of Division

Fields of interest:

  • Financial markets, financial econometrics

Education:

  • University of California, San Diego (PhD economics, 2000)
  • University of Siena (Dottorato in economia, 1999)
  • Bocconi University, Milan (BA economics, 1994)

Professional experience:

  • Head of Financial Research Division, European Central Bank (2013 - present)
  • Adviser, European Central Bank (2012 - 2013)
  • Principal Economist, European Central Bank (2007 - 2012)
  • Senior Economist, European Central Bank (2004 - 2006)
  • Economist, European Central Bank (2000 - 2003)

Teaching experience:

  • Teaching Assistant, University of California, San Diego (1997 - 2000)
  • Teaching Assistant, Bocconi University (1995)
No. Title Authors
1947 Asset allocation with judgment Simone Manganelli
1886 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, Simone Manganelli
1814 VAR for VaR: measuring tail dependence using multivariate regression quantiles Halbert White, Tae-Hwan Kim, Simone Manganelli
1755 Fragmentation in the euro overnight unsecured money market Carlos Garcia-de-Andoain, Peter Hoffmann, Simone Manganelli
1642 A high frequency assessment of the ECB securities markets programme Eric Ghysels, Julien Idier, Simone Manganelli, Olivier Vergote
1394 Bank risk during the financial crisis: do business models matter? Yener Altunbas, David Marqués-Ibáñez, Simone Manganelli
1259 Finance and diversification Simone Manganelli, Alexander Popov
957 Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR Halbert White, Tae-Hwan Kim, Simone Manganelli
906 The impact of the euro on equity markets: a country and sector decomposition Lorenzo Cappiello, Arjan Kadareja, Simone Manganelli
745 Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? Simone Manganelli, Guido Wolswijk
723 Asset allocation by penalized least squares Simone Manganelli
683 Financial integration of new EU Member States Lorenzo Cappiello, Bruno Gérard, Arjan Kadareja, Simone Manganelli
598 The impact of the euro on financial markets Lorenzo Cappiello, Peter Hördahl, Arjan Kadareja, Simone Manganelli
584 A new theory of forecasting Simone Manganelli
501 Measuring comovements by regression quantiles Lorenzo Cappiello, Bruno Gérard, Simone Manganelli
230 The euro area financial system: structure, integration and policy initiatives Philipp Hartmann, Angela Maddaloni, Simone Manganelli
226 The central bank as a risk manager: quantifying and forecasting inflation risks Lutz Kilian, Simone Manganelli
194 Sensitivity analysis of volatility: a new tool for risk management Simone Manganelli, Vladimiro Ceci, Walter Vecchiato
125 Duration, volume and volatility impact of trades Simone Manganelli
75 Value at risk models in finance Robert F. Engle, Simone Manganelli
Title Authors Where Date
Measuring Comovements by Regression Quantiles Lorenzo Cappiello, Bruno Gerard, Arjan Kadareja, Simone Manganelli Journal of Financial Econometrics, 2014, 12 (4): 645-678 2014-09-01
The Impact of the Euro on Equity Markets Lorenzo Cappiello, Arjan Kadareja, Simone Manganelli Journal of Financial and Quantitative Analysis, 2010, 45(2): 473-502 2010-04-16
Forecasting with Judgment Simone Manganelli Journal of Business and Economic Statistics, 2009, 27(4): 553-563 2009-09-01
What Drives Spreads in the Euro Area Government Bond Market? Simone Manganelli, Guido Wolswijk Economic Policy, 2009, 58: 191-240 2009-10-30
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, 2008, 40: 1103-1129 2008-06-01
Quantifying the Risk of Deflation Lutz Kilian, Simone Manganelli Journal of Money, Credit, and Banking, 2007, 39: 561-590 2007-06-01
Duration, Volume and Volatility Impact of Trades Simone Manganelli Journal of Financial Markets, 2005, 8: 377-399 2005-06-01
CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles Robert F. Engle, Simone Manganelli Journal of Business and Economic Statistics, 2004, 22(4): 367-381 2004-06-01
Asset Allocation by Variance Sensitivity Analysis Simone Manganelli Journal of Financial Econometrics, 2004, 2(3):370-389 2004-06-01
EMU and the European Financial System: Structure, Integration and Policy Initiatives Philipp Hartmann, Angela Maddaloni, Simone Manganelli Oxford Review of Economic Policy, 2003, 19(1): 180-213 2003-06-01