Energy Economics
The Asymmetric Effetcs of oil Shocks on Output Growth: a Markov-Switching Analysis for the G-7 Countries (with Alessandro Cologni), Economic Modelling (2009)
In this paper we specify and estimate different Markov-switching (MS) regime autoregressive models. The empirical...
Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries (with Alessandro Cologni), Energy Economics (2008)
On the Robustness of Robustness Checks of the Environmental Kuznets Curve (with Marzio Galeotti and Alessandro Lanza), IEFE - Centre for research on Energy and Environmental Economics and Policy, Bocconi University, IEFE Working Paper n. 11 (2008)
Since its first inception in the debate on the relationship between environment and growth in...
Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index (with Elisa Scarpa), Journal of Futures Markets (2008)
In this paper we discuss a simple strategy for pricing and hedging a swap on...
Industrial Coal Demand in China: a Provincial Analysis (with Cristina Cattaneo and Elisa Scarpa), FEEM Working Paper n. 8 (2008)
On the robustness of robustness checks of the Environmental Kuznets Curve (with Marzio Galeotti and Alessandro Lanza), Environmental and Resource Economics (2008)
Modelling Electricity Prices: From the State of the Art to a Draft of a New Proposal (with Massimiliano Serati and Michele Plotegher), Liuc Papers n. 210, Series Economics and Business, 56, suppl. to november 2007 (2007)
In the last decades a liberalization of the electric market has started; prices are now...
Efficienza Energetica. Tendenze e Prospettive (with Andrea Bigano, Alessandro Lanza, Michele Plotegher, and Fabio Sferra) (2007)
Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship (with Margherita Grasso), Energy Policy (2007)
Econometric Models of Asymmetric Price Transmission (with Giliola Frey), Journal of Economic Surveys (2007)
Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting (with Chiara Longo, Anil Markandya, and Elisa Scarpa), Fondazione Eni Enrico Mattei Working Paper n. 4 (2007)
The relevance of oil in the world economy explains why considerable effort has been devoted...
The Impact of Financial Markets on the Price of Oil - The OPEC's View, Fondazione Eni Enrico Mattei Newsletter (2007)
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants (with Massimo Giovannini, Margherita Grasso, and Alessandro Lanza), Empirica (2006)
Effetti Macroeconomici di Variazioni del Prezzo del Petrolio (with Alessandro Cologni), L'Italia nell'Economia Internazionale. Rapporto ICE 2005-2006 (2006)
On the Robustness of Robustness Checks of the Environmental Kuznets Curve (with Marzio Galeotti and Alessandro Lanza), Fondazione Eni Enrico Mattei Working Paper n. 22 (2006)
Since its first inception in the debate on the relationship between environment and growth in...
Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index (with Elisa Scarpa), Fondazione Eni Enrico Mattei Working Paper n. 130 (2006)
In this paper we discuss a simple econometric strategy for pricing and hedging illiquid financial...
The Asymmetric Effects of Oil Shocks on Output Growth: a Markov-Switching Analysis for the G-7 Countries (with Alessandro Cologni), Fondazione Eni Enrico Mattei Working Paper n. 29 (2006)
In this paper we specify and estimate different Markov-switching (MS) regime autoregressive models. The empirical...
Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship (with Margherita Grasso), Fondazione Eni Enrico Mattei Working Paper n. 75 (2005)
The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical...
Econometric Models of Asymmetric Price Transmission (with Giliola Frey), Fondazione Eni Enrico Mattei Working Paper n. 100 (2005)
In this paper we review the existing empirical literature on price asymmetries in commodities, providing...
Long-run Models of Oil Stock Prices (with Alessandro Lanza, Massimo Giovannini, and Margherita Grasso), Environmental Modelling and Software (2005)
Modelling and Forecasting Cointegrated Relationships Among Heavy Oil and Product Prices (with Alessandro Lanza and Massimo Giovannini), Energy Economics (2005)
Modelling the Load Curve of Aggregate Electricity Consumption Using Principal Components (with Angelo Marzullo), Environmental Modelling and Software (2005)
Oil Prices, Inflation and Interest Rates in a Sstructural Cointegrated VAR Model for the G-7 Countries (with Alessandro Cologni), Fondazione Eni Enrico Mattei Working Paper n. 101 (2005)
Sharp increases in the price of oil are generally seen as a major contributor to...
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants (with Massimo Giovannini, Margherita Grasso, and Alessandro Lanza), Fondazione Eni Enrico Mattei Working Paper n. 71 (2004)
The identification of the forces that drive stock returns and the dynamics of their associated...
Modelling Dynamic Conditional Correlations in the Volatility of Spot and Forward Oil Price Returns (with Michael McAleer and Margherita Grasso), iEMSs 2004 International Congress: "Complexity and Integrated Resources Management" (2004)
Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns (with Alessandro Lanza and Micheal McAleer), Fondazione Eni Enrico Mattei Working Paper n. 72 (2004)
This paper estimates the dynamic conditional correlations in the returns on WTI oil onemonth forward...
Long-run Models of Oil Stock Prices (with Alessandro Lanza, Massimo Giovannini, and Margherita Grasso), Fondazione Eni Enrico Mattei Working Paper n. 96 (2003)
The identification of the forces that drive oil stock prices is extremely important given the...
Modelling the Load Curve of Aggregate Electricity Consumption Using Principal Components (with Angelo Marzullo), Fondazione Eni Enrico Mattei Working Paper n. 95 (2003)
Since oil is a non-renewable resource with a high environmental impact, and its most common...
Oil and Product Price Dynamics in International Petroleum Markets (with Alessandro Lanza and Massimo Giovannini), Fondazione Eni Enrico mattei Working Paper n. 81 (2003)
In this paper we investigate crude oil and products price dynamics. We present a comparison...
Rockets and Feathers Revisited: an International Comparison on European Gasoline Markets (with Marzio Galeotti and Alessandro Lanza), Energy Economics (2003)
STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US (with Giorgio Busetti), Fondazione Eni Enrico Mattei Working Paper n. 43 (2003)
We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia,...
Price Asymmetries in International Gasoline Markets (with Marzio Galeotti and Alessandro Lanza), Integrated Assesment and Decision Support. Proceedings of the First Biennial Meeting of the International Environmental Modelling and Software Society (2002)
Rockets and Feathers Revisited: an International Comparison on European Gasoline Markets (with Marzio Galeotti and Alessandro Lanza), Fondazione Eni Enrico Mattei Working Paper n. 6 (2002)
This paper re-examines the issue of asymmetries in the transmission of shocks to crude oil...
Applied Econometrics
The Asymmetric Effetcs of oil Shocks on Output Growth: a Markov-Switching Analysis for the G-7 Countries (with Alessandro Cologni), Economic Modelling (2009)
In this paper we specify and estimate different Markov-switching (MS) regime autoregressive models. The empirical...
Oil Prices, Inflation and Interest Rates in a Structural Cointegrated VAR Model for the G-7 Countries (with Alessandro Cologni), Energy Economics (2008)
On the Robustness of Robustness Checks of the Environmental Kuznets Curve (with Marzio Galeotti and Alessandro Lanza), IEFE - Centre for research on Energy and Environmental Economics and Policy, Bocconi University, IEFE Working Paper n. 11 (2008)
Since its first inception in the debate on the relationship between environment and growth in...
Industrial Coal Demand in China: a Provincial Analysis (with Cristina Cattaneo and Elisa Scarpa), FEEM Working Paper n. 8 (2008)
On the robustness of robustness checks of the Environmental Kuznets Curve (with Marzio Galeotti and Alessandro Lanza), Environmental and Resource Economics (2008)
Efficienza Energetica. Tendenze e Prospettive (with Andrea Bigano, Alessandro Lanza, Michele Plotegher, and Fabio Sferra) (2007)
Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship (with Margherita Grasso), Energy Policy (2007)
Econometric Models of Asymmetric Price Transmission (with Giliola Frey), Journal of Economic Surveys (2007)
Evaluating the Empirical Performance of Alternative Econometric Models for Oil Price Forecasting (with Chiara Longo, Anil Markandya, and Elisa Scarpa), Fondazione Eni Enrico Mattei Working Paper n. 4 (2007)
The relevance of oil in the world economy explains why considerable effort has been devoted...
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants (with Massimo Giovannini, Margherita Grasso, and Alessandro Lanza), Empirica (2006)
Forecasting Patent Filings in the Telecommunication Industry (with Mario Calderini, Giuseppe Scellato, and Andrea Vezzulli) (2006)
Modeling Factor Demand Systems with SEM and VAR: an Empirical Comparison, Journal of Productivity Analysis (2006)
Modelling Time-varying Conditional Correlations in the Volatility of Tapis Oil Spot and Forward Returns (with Michael McAleer and Margherita Grasso), Applied Financial Economics (2006)
On the Robustness of Robustness Checks of the Environmental Kuznets Curve (with Marzio Galeotti and Alessandro Lanza), Fondazione Eni Enrico Mattei Working Paper n. 22 (2006)
Since its first inception in the debate on the relationship between environment and growth in...
The Asymmetric Effects of Oil Shocks on Output Growth: a Markov-Switching Analysis for the G-7 Countries (with Alessandro Cologni), Fondazione Eni Enrico Mattei Working Paper n. 29 (2006)
In this paper we specify and estimate different Markov-switching (MS) regime autoregressive models. The empirical...
Asymmetric Error Correction Models for the Oil-Gasoline Price Relationship (with Margherita Grasso), Fondazione Eni Enrico Mattei Working Paper n. 75 (2005)
The existing literature on price asymmetries does not systematically investigate the sensitivity of the empirical...
Econometric Models of Asymmetric Price Transmission (with Giliola Frey), Fondazione Eni Enrico Mattei Working Paper n. 100 (2005)
In this paper we review the existing empirical literature on price asymmetries in commodities, providing...
Empirical Factor Demands and Flexible Functional Forms: a Bayesian Approach (with Bruno Sitzia), Economic Systems Research (2005)
Long-run Models of Oil Stock Prices (with Alessandro Lanza, Massimo Giovannini, and Margherita Grasso), Environmental Modelling and Software (2005)
Modeling Factor Demand Systems with SEM and VAR: an Empirical Comparison, Fondazione Eni Enrico Mattei Working Paper n. 47 (2005)
The empirical analysis of the economic interactions between factors of production, output and corresponding prices...
Modelling and Forecasting Cointegrated Relationships Among Heavy Oil and Product Prices (with Alessandro Lanza and Massimo Giovannini), Energy Economics (2005)
Modelling the Load Curve of Aggregate Electricity Consumption Using Principal Components (with Angelo Marzullo), Environmental Modelling and Software (2005)
Oil Prices, Inflation and Interest Rates in a Sstructural Cointegrated VAR Model for the G-7 Countries (with Alessandro Cologni), Fondazione Eni Enrico Mattei Working Paper n. 101 (2005)
Sharp increases in the price of oil are generally seen as a major contributor to...
Testing Multiple Non-nested Factor Demand Systems (with Michael McAleer), Bulletin of Economic Research (2005)
Modelli Dinamici di Domanda di Fattori Produttivi: un Confronto tra gli Approcci SEM e VAR, Studi in Ricordo di Marco Martini (2004)
Modelling the Load Curve of Aggregate Electricity Consumption Using Principal Components (with Angelo Marzullo), Fondazione Eni Enrico Mattei Working Paper n. 95 (2003)
Since oil is a non-renewable resource with a high environmental impact, and its most common...
Oil and Product Price Dynamics in International Petroleum Markets (with Alessandro Lanza and Massimo Giovannini), Fondazione Eni Enrico mattei Working Paper n. 81 (2003)
In this paper we investigate crude oil and products price dynamics. We present a comparison...
Rockets and Feathers Revisited: an International Comparison on European Gasoline Markets (with Marzio Galeotti and Alessandro Lanza), Energy Economics (2003)
Econometrics, Journal of Economics (2002)
Book review: Econometrics, by Fumio Hayashi, Princeton, Princeton University Press, 2000
Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models (with Giancarlo Forte), Fondazione Eni Enrico Mattei Working Paper n. 98 (2002)
This paper investigates the forecasting performance of three popular variants of the nonlinear GARCH models,...
Price Asymmetries in International Gasoline Markets (with Marzio Galeotti and Alessandro Lanza), Integrated Assesment and Decision Support. Proceedings of the First Biennial Meeting of the International Environmental Modelling and Software Society (2002)
Rockets and Feathers Revisited: an International Comparison on European Gasoline Markets (with Marzio Galeotti and Alessandro Lanza), Fondazione Eni Enrico Mattei Working Paper n. 6 (2002)
This paper re-examines the issue of asymmetries in the transmission of shocks to crude oil...
Testing Misspecified Non-nested Factor Demand Systems: Some Monte Carlo Results, Empirical Economics (2002)
An Empirical Analysis on the Financial Structure of Italian Firms (with Carlo Bellavite Pellegrini), Rivista Internazionale di Scienze Economiche e Commerciali (2001)
Stabilità ed Efficienza del Sistema Finanziario Italiano: una Verifica Empirica (with Carlo Bellavite Pellegrini), Rivista Internazionale di Scienze Sociali (2001)
La Contrattazione di Secondo Livello fra Antichi Schemi e Novità Radicali. Il Caso dell'Industria Metalmeccanica Piemontese (with Emilio Paolucci and Sergio Rossetto), Lavoro e Relazioni Industriali (1999)
Testing Non-nested Systems of Factor Demand Equations (with Michael McAleer), Proceedings of the International Congress on Modelling and Simulation (1999)
Non-nested Tests, Encompassing and IV Estimation: Evidence From a Monte Carlo Study, Giornale degli Economisti (1995)
Factor Demands and Substitution in the Italian Manufacturing Sector: a Dynamic Duality Model, Ricerche Economiche (1994)
Domande Dinamiche di Fattori, Sostituibilità e Produttività nel Settore Manifatturiero Italiano: Alcune Stime Disaggregate, Rivista di Politica Economica (1993)
Multivariate Non-nested tests for Comparing the Empirical Performance of Alternative Factor Demand Systems, Giornale degli Economisti (1991)
Financial Econometrics
Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index (with Elisa Scarpa), Journal of Futures Markets (2008)
In this paper we discuss a simple strategy for pricing and hedging a swap on...
Foreword to "International Tourism Demand and Country Risk for Small Island Tourism Economies", International Tourism Demand and Country Risk for Small Island Tourism Economies, by Shareef R., Hoti S., McAleer M. (2007)
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants (with Massimo Giovannini, Margherita Grasso, and Alessandro Lanza), Empirica (2006)
Modeling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns (with Alessandro Lanza and Michael McAleer), Finance Research Letters (2006)
Modelling Time-varying Conditional Correlations in the Volatility of Tapis Oil Spot and Forward Returns (with Michael McAleer and Margherita Grasso), Applied Financial Economics (2006)
Pricing and Hedging Illiquid Energy Derivatives: an Application to the JCC Index (with Elisa Scarpa), Fondazione Eni Enrico Mattei Working Paper n. 130 (2006)
In this paper we discuss a simple econometric strategy for pricing and hedging illiquid financial...
STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US (with Giorgio Busetti), International Finance and Monetary Policy (2006)
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants (with Massimo Giovannini, Margherita Grasso, and Alessandro Lanza), Fondazione Eni Enrico Mattei Working Paper n. 71 (2004)
The identification of the forces that drive stock returns and the dynamics of their associated...
Modelling Dynamic Conditional Correlations in the Volatility of Spot and Forward Oil Price Returns (with Michael McAleer and Margherita Grasso), iEMSs 2004 International Congress: "Complexity and Integrated Resources Management" (2004)
Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns (with Alessandro Lanza and Micheal McAleer), Fondazione Eni Enrico Mattei Working Paper n. 72 (2004)
This paper estimates the dynamic conditional correlations in the returns on WTI oil onemonth forward...
Long-run Models of Oil Stock Prices (with Alessandro Lanza, Massimo Giovannini, and Margherita Grasso), Fondazione Eni Enrico Mattei Working Paper n. 96 (2003)
The identification of the forces that drive oil stock prices is extremely important given the...
STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US (with Giorgio Busetti), Fondazione Eni Enrico Mattei Working Paper n. 43 (2003)
We investigate the financial interactions between countries in the Pacific Basin region (Korea, Singapore, Malaysia,...
Forecasting Volatility in European Stock Markets with Non-Linear GARCH Models (with Giancarlo Forte), Fondazione Eni Enrico Mattei Working Paper n. 98 (2002)
This paper investigates the forecasting performance of three popular variants of the nonlinear GARCH models,...
Empirical Finance
The Impact of Financial Markets on the Price of Oil - The OPEC's View, Fondazione Eni Enrico Mattei Newsletter (2007)
Hunting the Living Dead: a 'Peso Problem' in Corporate Liabilities Data (with Umberto Cherubini), ICFAI Journal of Financial Risk Management (2006)
Modeling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns (with Alessandro Lanza and Michael McAleer), Finance Research Letters (2006)
Modelling Time-varying Conditional Correlations in the Volatility of Tapis Oil Spot and Forward Returns (with Michael McAleer and Margherita Grasso), Applied Financial Economics (2006)
STAR-GARCH Models for Stock Market Interactions in the Pacific Basin Region, Japan and US (with Giorgio Busetti), International Finance and Monetary Policy (2006)
Hunting the Living Dead: a 'Peso Problem' in Corporate Liabilities Data (with Umberto Cherubini), Fondazione Eni Enrico Mattei Working Paper n. 76 (2005)
Recent literature has pointed out that information asymmetries may be the reason for the poor...
Disavventure di un Matematico in Borsa, Il Sole 24 Ore (2004)
Book review: A Mathematician Plays the Stock Market, by John Allen Paulos, New York, Basic...
Conditional Correlations in the Returns on Oil Companies Stock Prices and Their Determinants (with Massimo Giovannini, Margherita Grasso, and Alessandro Lanza), Fondazione Eni Enrico Mattei Working Paper n. 71 (2004)
The identification of the forces that drive stock returns and the dynamics of their associated...
Modelling Dynamic Conditional Correlations in WTI Oil Forward and Futures Returns (with Alessandro Lanza and Micheal McAleer), Fondazione Eni Enrico Mattei Working Paper n. 72 (2004)
This paper estimates the dynamic conditional correlations in the returns on WTI oil onemonth forward...
An Empirical Analysis on the Financial Structure of Italian Firms (with Carlo Bellavite Pellegrini), Rivista Internazionale di Scienze Economiche e Commerciali (2001)
Stabilità ed Efficienza del Sistema Finanziario Italiano: una Verifica Empirica (with Carlo Bellavite Pellegrini), Rivista Internazionale di Scienze Sociali (2001)
Microeconomics
Modeling Factor Demand Systems with SEM and VAR: an Empirical Comparison, Journal of Productivity Analysis (2006)
Empirical Factor Demands and Flexible Functional Forms: a Bayesian Approach (with Bruno Sitzia), Economic Systems Research (2005)
Modeling Factor Demand Systems with SEM and VAR: an Empirical Comparison, Fondazione Eni Enrico Mattei Working Paper n. 47 (2005)
The empirical analysis of the economic interactions between factors of production, output and corresponding prices...
Testing Multiple Non-nested Factor Demand Systems (with Michael McAleer), Bulletin of Economic Research (2005)
Modelli Dinamici di Domanda di Fattori Produttivi: un Confronto tra gli Approcci SEM e VAR, Studi in Ricordo di Marco Martini (2004)
Testing Misspecified Non-nested Factor Demand Systems: Some Monte Carlo Results, Empirical Economics (2002)
La Contrattazione di Secondo Livello fra Antichi Schemi e Novità Radicali. Il Caso dell'Industria Metalmeccanica Piemontese (with Emilio Paolucci and Sergio Rossetto), Lavoro e Relazioni Industriali (1999)
Testing Non-nested Systems of Factor Demand Equations (with Michael McAleer), Proceedings of the International Congress on Modelling and Simulation (1999)
Non-nested Tests, Encompassing and IV Estimation: Evidence From a Monte Carlo Study, Giornale degli Economisti (1995)
Factor Demands and Substitution in the Italian Manufacturing Sector: a Dynamic Duality Model, Ricerche Economiche (1994)
Domande Dinamiche di Fattori, Sostituibilità e Produttività nel Settore Manifatturiero Italiano: Alcune Stime Disaggregate, Rivista di Politica Economica (1993)
Multivariate Non-nested tests for Comparing the Empirical Performance of Alternative Factor Demand Systems, Giornale degli Economisti (1991)
Risk Management
Foreword to "International Tourism Demand and Country Risk for Small Island Tourism Economies", International Tourism Demand and Country Risk for Small Island Tourism Economies, by Shareef R., Hoti S., McAleer M. (2007)
Hunting the Living Dead: a 'Peso Problem' in Corporate Liabilities Data (with Umberto Cherubini), ICFAI Journal of Financial Risk Management (2006)
Economic Theory
Organisation Design, Corporate Governance, and Regulation, Fondazione Eni Enrico Mattei Newsletter (2003)
Microeconometrics
Industrial Economics
Forecasting Patent Filings in the Telecommunication Industry (with Mario Calderini, Giuseppe Scellato, and Andrea Vezzulli) (2006)
La Contrattazione di Secondo Livello fra Antichi Schemi e Novità Radicali. Il Caso dell'Industria Metalmeccanica Piemontese (with Emilio Paolucci and Sergio Rossetto), Lavoro e Relazioni Industriali (1999)
Factor Demands and Substitution in the Italian Manufacturing Sector: a Dynamic Duality Model, Ricerche Economiche (1994)
Domande Dinamiche di Fattori, Sostituibilità e Produttività nel Settore Manifatturiero Italiano: Alcune Stime Disaggregate, Rivista di Politica Economica (1993)
Economics of Crime
Il Rischio Usura nelle Province Italiane (with Lucia Dalla Pellegrina, Giuseppe Macis, and Donato Masciandaro) (2004)
L'Usura nelle Province Italiane: un'Analisi Econometrica (with Lucia Dalla Pellegrina), Il Rischio Usura nelle Province Italiane (2004)
L'Analisi Empirica. L'Esercizio Econometrico, La Giustizia Civile è Efficiente? Costi ed Effetti per il Mercato del Credito, le Famiglie e le Imprese (2000)
Il Rischio Criminalità: l'Esercizio Econometrico, Quale Economia Contro la Criminalità? Il Caso Basilicata (1999)
No subject area