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Portfolio similarity and asset liquidation in the insurance industry
Girardi, Giulio; Hanley, Kathleen Weiss; Nikolova, … - 2020
Persistent link: https://www.econbiz.de/10012244899
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Phase-locking and switching volatility in hedge funds
Billio, Monica (contributor); Getmansky, Mila (contributor);  … - 2006
Persistent link: https://www.econbiz.de/10003397556
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Buildings' energy efficiency and the probability of mortgage default : the Dutch case
Billio, Monica; Costola, Michele; Pelizzon, Loriana; … - 2020
Persistent link: https://www.econbiz.de/10012244758
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Coming early to the party
Bellia, Mario; Pelizzon, Loriana; Subrahmanyam, Marti G.; … - 2020
Persistent link: https://www.econbiz.de/10012244860
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Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina?
Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; … - Research Center SAFE (Sustainable Architecture for … - 2015
This paper examines the dynamic relationship between credit risk and liquidity in the sovereign bond market in the … context of the European Central Bank (ECB) interventions. Using a comprehensive set of liquidity measures obtained from a … risk, as measured by the Italian sovereign credit default swap (CDS) spread, generally drive the liquidity of the market: a …
Persistent link: https://www.econbiz.de/10011252511
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Crises and hedge fund risk
Billio, Monica; Getmansky, Mila; Pelizzon, Loriana - 2008
Persistent link: https://www.econbiz.de/10003912698
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Deciphering the Libor and Euribor spreads during the subprime crisis
Pelizzon, Loriana; Sartore, Domenico - 2013
Persistent link: https://www.econbiz.de/10011631748