Loriana Pelizzon
Cited by
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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
Inside the ESG ratings:(Dis) agreement and performance
M Billio, M Costola, I Hristova, C Latino, L Pelizzon
Corporate Social Responsibility and Environmental Management 28 (5), 1426-1445, 2021
Measuring sovereign contagion in Europe
M Caporin, L Pelizzon, F Ravazzolo, R Rigobon
Journal of Financial Stability 34, 150-181, 2018
Value-at-risk: a multivariate switching regime approach
M Billio, L Pelizzon
Journal of Empirical Finance 7 (5), 531-554, 2000
P2P lenders versus banks: Cream skimming or bottom fishing?
C De Roure, L Pelizzon, A Thakor
The Review of Corporate Finance Studies 11 (2), 213-262, 2022
The COVID-19 shock and equity shortfall: Firm-level evidence from Italy
E Carletti, T Oliviero, M Pagano, L Pelizzon, MG Subrahmanyam
The Review of Corporate Finance Studies 9 (3), 534-568, 2020
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
Measuring systemic risk in the finance and insurance sectors
M Billio, M Getmansky, AW Lo, L Pelizzon
Manuscript, MIT 8, 16, 2010
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
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
Dynamic risk exposures in hedge funds
M Billio, M Getmansky, L Pelizzon
Computational Statistics & Data Analysis 56 (11), 3517-3532, 2012
How does P2P lending fit into the consumer credit market?
C De Roure, L Pelizzon, P Tasca
Bundesbank Discussion Paper, 2016
Mutual excitation in Eurozone sovereign CDS
Y At-Sahalia, RJA Laeven, L Pelizzon
Journal of econometrics 183 (2), 151-167, 2014
Crises and hedge fund risk
M Billio, M Getmansky Sherman, L Pelizzon
UMASS-Amherst Working Paper, Yale ICF Working Paper, 10-08, 2010
Portfolio similarity and asset liquidation in the insurance industry
G Girardi, KW Hanley, S Nikolova, L Pelizzon, MG Sherman
Journal of Financial Economics 142 (1), 69-96, 2021
Are household portfolios efficient? An analysis conditional on housing
L Pelizzon, G Weber
Journal of Financial and Quantitative Analysis 43 (2), 401-431, 2008
Banking beyond banks and money
P Tasca, T Aste, L Pelizzon, N Perony
Springer, 2016
Efficient portfolios when housing needs change over the life cycle
L Pelizzon, G Weber
Journal of Banking & Finance 33 (11), 2110-2121, 2009
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
Machine learning sentiment analysis, COVID-19 news and stock market reactions
M Costola, O Hinz, M Nofer, L Pelizzon
Research in international business and finance 64, 101881, 2023
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