Manganelli, Simone

Research
Division
Current position
Head of Division
Fields of interest
Mathematical and Quantitative Methods,
Financial Economics,
Microeconomics
Education
Professional experience
Teaching experience
Awards
ECB Working Paper Series
2021
2020
2019
2018
2017
2016
2015
2014
2011
2010
2008
2007
2006
2005
2003
2002
2001
ECB Occasional Paper Series
Journal publications
2020
2017
Bank risk during the financial crisis: do business models matter?
Journal of Financial Intermediation, Vol. 32(C), pp. 29-44
A high frequency assessment of the ECB Securities Markets Programme
Journal of the European Economic Association, Vol. 15, pp. 218-243
2016
Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market Functioning in the Euro Area
Journal of Financial Intermediation, Vol. 28, pp. 32-47
2015
Financial development, sectoral reallocation, and volatility: international evidence
Journal of International Economics, Vol. 96, pp. 323-337
VAR for VaR: measuring tail dependence using multivariate regression quantiles
Journal of Econometrics, Vol. 187, pp. 169-188
2014
Discussion of 'Central bank macroeconomic forecasting during the global financial crisis: the European Central Bank and Federal Reserve Bank of New York experiences' by Alessi, L. Ghysels, E. Onorante, L. Peach, R. and Potter, S.
Journal of Business and Economic Statistics, Vol. 32 (4), pp. 506-509
Fragmentation in the euro overnight unsecured money market
Economics Letters, Vol. 125, pp. 298-302
Measuring comovements by regression quantiles
Journal of Financial Econometrics, Vol. 12 (4), pp. 645-678
2010
The impact of the euro on equity markets
Journal of Financial and Quantitative Analysis, Vol. 45(2), pp. 473-502
2009
Forecasting with judgment
Journal of Business and Economic Statistics, Vol. 27(4), pp. 553-563
What drives spreads in the euro area government bond market?
Economic Policy, Vol. 58, pp. 191-240
2008
The central banker as a risk manager: estimating the Federal Reserve's preferences under Greenspan
Journal of Money, Credit, and Banking, Vol. 40, pp. 1103-1129
2007
Quantifying the risk of deflation
Journal of Money, Credit, and Banking, Vol. 39, pp. 561-590
2005
Duration, volume and volatility impact of trades
Journal of Financial Markets, Vol. 8, pp. 377-399
2004
CAViaR: conditional autoregressive value at risk by regression quantiles
Journal of Business and Economic Statistics, Vol. 22(4), pp. 367-381
Asset allocation by variance sensitivity analysis
Journal of Financial Econometrics, Vol. 2(3), pp. 370-389
2003
EMU and the European financial system: structure, integration and policy initiatives
Oxford Review of Economic Policy, Vol. 19(1), pp. 180-213
Other publications
2017
Achieving Financial Stability Challenges to Prudential Regulation
World Scientific Books
2004
Risk management for central bank foreign reserves
European Central Bank, Frankfurt am Main
2008
Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR
Volatility and time series econometrics: essays in honour of Robert F. Engle, Editor Watson, M., Bollerslev, T. and Russell, J.
2004
A comparison of value at risk models in finance
Risk measures for the 21st century, Editor Giorgio Szego, Wiley Finance