Manganelli, Simone


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
1947Asset allocation with judgmentSimone Manganelli
1886Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro areaSimone Manganelli, Florian Heider, Marie Hoerova, Carlos Garcia-de-Andoain
1814VAR for VaR: measuring tail dependence using multivariate regression quantilesSimone Manganelli, Halbert White, Tae-Hwan Kim
1755Fragmentation in the euro overnight unsecured money marketSimone Manganelli, Peter Hoffmann, Carlos Garcia-de-Andoain
1642A high frequency assessment of the ECB securities markets programmeSimone Manganelli, Julien Idier, Olivier Vergote, Eric Ghysels
1394Bank risk during the financial crisis: do business models matter?Simone Manganelli, Yener Altunbas, David Marqués-Ibáñez
1259Finance and diversificationSimone Manganelli, Alexander Popov
957Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaRSimone Manganelli, Halbert White, Tae-Hwan Kim
906The impact of the euro on equity markets: a country and sector decompositionLorenzo Cappiello, Simone Manganelli, Arjan Kadareja
745Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?Simone Manganelli, Guido Wolswijk
723Asset allocation by penalized least squaresSimone Manganelli
683Financial integration of new EU Member StatesLorenzo Cappiello, Bruno Gérard, Arjan Kadareja, Simone Manganelli
598The impact of the euro on financial marketsLorenzo Cappiello, Simone Manganelli, Peter Hördahl, Arjan Kadareja
584A new theory of forecastingSimone Manganelli
501Measuring comovements by regression quantilesLorenzo Cappiello, Simone Manganelli, Bruno Gérard
230The euro area financial system: structure, integration and policy initiativesPhilipp Hartmann, Angela Maddaloni, Simone Manganelli
226The central bank as a risk manager: quantifying and forecasting inflation risksLutz Kilian, Simone Manganelli
194Sensitivity analysis of volatility: a new tool for risk managementVladimiro Ceci, Simone Manganelli, Walter Vecchiato
125Duration, volume and volatility impact of tradesSimone Manganelli
75Value at risk models in financeRobert F. Engle, Simone Manganelli
Title Authors Where
Measuring Comovements by Regression Quantiles Lorenzo Cappiello, Bruno Gerard, Arjan Kadareja, Simone Manganelli Journal of Financial Econometrics, 2014, 12 (4): 645-678
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
Forecasting with Judgment Simone Manganelli Journal of Business and Economic Statistics, 2009, 27(4): 553-563
What Drives Spreads in the Euro Area Government Bond Market? Simone Manganelli, Guido Wolswijk Economic Policy, 2009, 58: 191-240
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
Quantifying the Risk of Deflation Lutz Kilian, Simone Manganelli Journal of Money, Credit, and Banking, 2007, 39: 561-590
Duration, Volume and Volatility Impact of Trades Simone Manganelli Journal of Financial Markets, 2005, 8: 377-399
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
Asset Allocation by Variance Sensitivity Analysis Simone Manganelli Journal of Financial Econometrics, 2004, 2(3):370-389
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