Manganelli, Simone


  • Head of Division

Fields of interest:

  • Financial markets, financial econometrics


  • 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
2116The portfolio of euro area fund investors and ECB monetary policy announcementsBubeck, Johannes, Habib, Maurizio Michael, Manganelli, Simone
1947Asset allocation with judgmentManganelli, Simone
1886Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro areaManganelli, Simone, Heider, Florian, Hoerova, Marie, Garcia-de-Andoain, Carlos
1814VAR for VaR: measuring tail dependence using multivariate regression quantilesManganelli, Simone, White, Halbert, Kim, Tae-Hwan
1755Fragmentation in the euro overnight unsecured money marketManganelli, Simone, Hoffmann, Peter, Garcia-de-Andoain, Carlos
1642A high frequency assessment of the ECB securities markets programmeManganelli, Simone, Idier, Julien, Vergote, Olivier, Ghysels, Eric
1394Bank risk during the financial crisis: do business models matter?Manganelli, Simone, Altunbas, Yener, Marqués-Ibáñez, David
1259Finance and diversificationManganelli, Simone, Popov, Alexander
957Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaRManganelli, Simone, White, Halbert, Kim, Tae-Hwan
906The impact of the euro on equity markets: a country and sector decompositionCappiello, Lorenzo, Manganelli, Simone, Kadareja, Arjan
745Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?Manganelli, Simone, Wolswijk, Guido
723Asset allocation by penalized least squaresManganelli, Simone
683Financial integration of new EU Member StatesCappiello, Lorenzo, Gérard, Bruno, Kadareja, Arjan, Manganelli, Simone
598The impact of the euro on financial marketsCappiello, Lorenzo, Manganelli, Simone, Hördahl, Peter, Kadareja, Arjan
584A new theory of forecastingManganelli, Simone
501Measuring comovements by regression quantilesCappiello, Lorenzo, Manganelli, Simone, Gérard, Bruno
230The euro area financial system: structure, integration and policy initiativesHartmann, Philipp, Maddaloni, Angela, Manganelli, Simone
226The central bank as a risk manager: quantifying and forecasting inflation risksKilian, Lutz, Manganelli, Simone
194Sensitivity analysis of volatility: a new tool for risk managementCeci, Vladimiro, Manganelli, Simone, Vecchiato, Walter
125Duration, volume and volatility impact of tradesManganelli, Simone
75Value at risk models in financeEngle, Robert F., Manganelli, Simone
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