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
17332012
Value-at-risk: a multivariate switching regime approach
M Billio, L Pelizzon
Journal of Empirical Finance 7 (5), 531-554, 2000
2542000
Measuring sovereign contagion in Europe
M Caporin, L Pelizzon, F Ravazzolo, R Rigobon
Journal of Financial Stability 34, 150-181, 2018
2392018
Econometric measures of systemic risk in the finance and insurance sectors
M Billio, M Getmansky, AW Lo, L Pelizzon
National Bureau of Economic Research, 2010
1982010
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
1642003
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
1632010
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
1082012
Crises and hedge fund risk
M Billio, M Getmansky Sherman, L Pelizzon
University Ca'Foscari of Venice, Dept. of Economics Research Paper Series, 07-14, 2010
1072010
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
1022016
Mutual excitation in Eurozone sovereign CDS
Y At-Sahalia, RJA Laeven, L Pelizzon
Journal of Econometrics 183 (2), 151-167, 2014
912014
Are household portfolios efficient? An analysis conditional on housing
L Pelizzon, G Weber
Journal of Financial and Quantitative Analysis, 401-431, 2008
822008
How does P2P lending fit into the consumer credit market?
C De Roure, L Pelizzon, P Tasca
Bundesbank Discussion Paper, 2016
782016
P2P lenders versus banks: Cream skimming or bottom fishing?
C De Roure, L Pelizzon, AV Thakor
SAFE Working Paper, 2019
662019
Efficient portfolios when housing needs change over the life cycle
L Pelizzon, G Weber
Journal of Banking & Finance 33 (11), 2110-2121, 2009
632009
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
572013
Credit derivatives, capital requirements and opaque OTC markets
A Nicolo, L Pelizzon
Journal of Financial Intermediation 17 (4), 444-463, 2008
572008
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
512013
Banking beyond banks and money
P Tasca, T Aste, L Pelizzon, N Perony
Springer, 2016
492016
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
402013
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