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Simone Manganelli

Personal Details

First Name:Simone
Middle Name:
Last Name:Manganelli
Suffix:
RePEc Short-ID:pma142
[This author has chosen not to make the email address public]
http://www.simonemanganelli.org
European Central Bank, DG-Research, Sonnemannstrasse 29, 60314, Frankfurt am Main GERMANY
Terminal Degree:2000 Department of Economics; University of California-San Diego (UCSD) (from RePEc Genealogy)

Affiliation

European Central Bank

Frankfurt am Main, Germany
http://www.ecb.europa.eu/
RePEc:edi:emieude (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Engle, Robert F. & Emambakhsh, Tina & Manganelli, Simone & Parisi, Laura & Pizzeghello, Riccardo, 2023. "Estimating systemic risk for non-listed euro-area banks," Working Paper Series 2856, European Central Bank.
  2. Manganelli, Simone, 2023. "Double conditioning: the hidden connection between Bayesian and classical statistics," Working Paper Series 2786, European Central Bank.
  3. Chavleishvili, Sulkhan & Engle, Robert F. & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "The risk management approach to macro-prudential policy," Working Paper Series 2565, European Central Bank.
  4. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A risk management perspective on macroprudential policy," Working Paper Series 2556, European Central Bank.
  5. Manganelli, Simone, 2021. "Statistical decision functions with judgment," Working Paper Series 2512, European Central Bank.
  6. Gelain, Paolo & Manganelli, Simone, 2020. "Monetary policy with judgment," Working Paper Series 2404, European Central Bank.
  7. Falconio, Andrea & Manganelli, Simone, 2020. "Financial conditions, business cycle fluctuations and growth at risk," Working Paper Series 2470, European Central Bank.
  8. Manganelli, Simone & Piras, Francesco & Agnoletti, Mauro, 2020. "Covid-19 and rural landscape: the case of Italy," Working Paper Series 2478, European Central Bank.
  9. Simone Manganelli, 2019. "Deciding with Judgment," Papers 1903.06980, arXiv.org.
  10. Chavleishvili, Sulkhan & Manganelli, Simone, 2019. "Forecasting and stress testing with quantile vector autoregression," Working Paper Series 2330, European Central Bank.
  11. Manganelli, Simone, 2018. "Selecting models with judgment," Working Paper Series 2188, European Central Bank.
  12. Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2017. "The portfolio of euro area fund investors and ECB monetary policy announcements," Working Paper Series 2116, European Central Bank.
  13. G. Horny & M. Manganelli & B. Mojon, 2016. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," Working papers 582, Banque de France.
  14. Manganelli, Simone & Heider, Florian & Hoerova, Marie & Garcia-de-Andoain, Carlos, 2016. "Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area," Working Paper Series 1886, European Central Bank.
  15. Heider, Florian & Manganelli, Simone & Hoerova, Marie & Garcia-de-Andoain, Carlos, 2015. "Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in," CEPR Discussion Papers 10901, C.E.P.R. Discussion Papers.
  16. Yener Altunbas & Simone Manganelli & David Marques-Ibanez, 2015. "Realized Bank Risk during the Great Recession," International Finance Discussion Papers 1140, Board of Governors of the Federal Reserve System (U.S.).
  17. Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2015. "VAR for VaR: measuring tail dependence using multivariate regression quantiles," Working Paper Series 1814, European Central Bank.
  18. Manganelli, Simone & Hoffmann, Peter & Garcia-de-Andoain, Carlos, 2014. "Fragmentation in the euro overnight unsecured money market," Working Paper Series 1755, European Central Bank.
  19. Ghysels, Eric & Manganelli, Simone & , & Idier, Julien, 2013. "A high frequency assessment of the ECB Securities Markets Programme," CEPR Discussion Papers 9778, C.E.P.R. Discussion Papers.
  20. Yener Altunbas & Simone Manganelli & David Marques-Ibanez, 2012. "Bank Risk during the Financial Crisis: Do business models matter?," Working Papers 12003, Bangor Business School, Prifysgol Bangor University (Cymru / Wales).
  21. Beirne, John & Tapking, Jens & Sahel, Benjamin & Sušec, Matjaž & Monar, Fernando & Manganelli, Simone & Grothe, Magdalena & Ejsing, Jacob & Dalitz, Lars & Vong, Tana, 2011. "The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets," Occasional Paper Series 122, European Central Bank.
  22. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2010. "VAR for VaR: measuring systemic risk using multivariate regression quantiles," MPRA Paper 35372, University Library of Munich, Germany.
  23. Lutz KILIAN & Simone MANGANELLI, 2010. "Quantifying the Risk of Deflation," EcoMod2004 330600076, EcoMod.
  24. Manganelli, Simone & Popov, Alexander, 2010. "Finance and diversification," Working Paper Series 1259, European Central Bank.
  25. Cappiello, Lorenzo & Manganelli, Simone & Kadareja, Arjan, 2008. "The impact of the euro on equity markets: a country and sector decomposition," Working Paper Series 906, European Central Bank.
  26. Manganelli, Simone & White, Halbert & Kim, Tae-Hwan, 2008. "Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR," Working Paper Series 957, European Central Bank.
  27. De Santis, Roberto A. & Cappiello, Lorenzo & Baltzer, Markus & Manganelli, Simone, 2008. "Measuring financial integration in new EU Member States," Occasional Paper Series 81, European Central Bank.
  28. Manganelli, Simone, 2007. "Asset allocation by penalized least squares," Working Paper Series 723, European Central Bank.
  29. Manganelli, Simone & Wolswijk, Guido, 2007. "Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market?," Working Paper Series 745, European Central Bank.
  30. Kilian, Lutz & Manganelli, Simone, 2007. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," CEPR Discussion Papers 6031, C.E.P.R. Discussion Papers.
  31. Cappiello, Lorenzo & Manganelli, Simone & Hördahl, Peter & Kadareja, Arjan, 2006. "The impact of the euro on financial markets," Working Paper Series 598, European Central Bank.
  32. Manganelli, Simone, 2006. "A new theory of forecasting," Working Paper Series 584, European Central Bank.
  33. Cappiello, Lorenzo & Gérard, Bruno & Kadareja, Arjan & Manganelli, Simone, 2006. "Financial integration of new EU Member States," Working Paper Series 683, European Central Bank.
  34. Cappiello, Lorenzo & Manganelli, Simone & Gérard, Bruno, 2005. "Measuring comovements by regression quantiles," Working Paper Series 501, European Central Bank.
  35. Simone Manganelli & Lorenzo Cappiello & Bruno Gerard, 2004. "The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles," Econometric Society 2004 Latin American Meetings 77, Econometric Society.
  36. Kilian, Lutz & Manganelli, Simone, 2003. "The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks," CEPR Discussion Papers 3918, C.E.P.R. Discussion Papers.
  37. Hartmann, Philipp & Maddaloni, Angela & Manganelli, Simone, 2003. "The euro area financial system: structure, integration and policy initiatives," Working Paper Series 230, European Central Bank.
  38. Vladimiro Ceci, & Simone Manganelli & Walter Vecchiato, 2002. "Sensitivity Analysis of GARCH Models," Computing in Economics and Finance 2002 31, Society for Computational Economics.
  39. Manganelli, Simone, 2002. "Duration, volume and volatility impact of trades," Working Paper Series 125, European Central Bank.
  40. Ceci, Vladimiro & Manganelli, Simone & Vecchiato, Walter, 2002. "Sensitivity analysis of volatility: a new tool for risk management," Working Paper Series 194, European Central Bank.
  41. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
  42. Simone Manganelli & Robert F. Engle, 1999. "Modeling a Time-Varying Order Statistic," Computing in Economics and Finance 1999 952, Society for Computational Economics.
  43. Engle, Robert F & Manganelli, Simone, 1999. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," University of California at San Diego, Economics Working Paper Series qt06m3d6nv, Department of Economics, UC San Diego.
  44. Robert F. Engle & Simone Manganelli, 1999. "CAViaR: Conditional Value at Risk by Quantile Regression," NBER Working Papers 7341, National Bureau of Economic Research, Inc.
    repec:ecb:ecbdps:202114 is not listed on IDEAS

Articles

  1. Sulkhan Chavleishvili & Simone Manganelli, 2024. "Forecasting and stress testing with quantile vector autoregression," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(1), pages 66-85, January.
  2. Chavleishvili, Sulkhan & Fahr, Stephan & Kremer, Manfred & Manganelli, Simone & Schwaab, Bernd, 2021. "A novel risk management perspective for macroprudential policy," Research Bulletin, European Central Bank, vol. 87.
  3. Bubeck, Johannes & Habib, Maurizio Michael & Manganelli, Simone, 2018. "The portfolio of euro area fund investors and ECB monetary policy announcements," Journal of International Money and Finance, Elsevier, vol. 89(C), pages 103-126.
  4. Guillaume Horny & Simone Manganelli & Benoit Mojon, 2018. "Measuring Financial Fragmentation in the Euro Area Corporate Bond Market," JRFM, MDPI, vol. 11(4), pages 1-19, October.
  5. Eric Ghysels & Julien Idier & Simone Manganelli & Olivier Vergote, 2017. "A High-Frequency assessment of the ECB Securities Markets Programme," Journal of the European Economic Association, European Economic Association, vol. 15(1), pages 218-243.
  6. Altunbas, Yener & Manganelli, Simone & Marques-Ibanez, David, 2017. "Realized bank risk during the great recession," Journal of Financial Intermediation, Elsevier, vol. 32(C), pages 29-44.
  7. Garcia-de-Andoain, Carlos & Heider, Florian & Hoerova, Marie & Manganelli, Simone, 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, Elsevier, vol. 28(C), pages 32-47.
  8. Horny, G. & Manganelli, S. & Mojon, B., 2016. "Changes in financial fragmentation in the euro area since 2008," Rue de la Banque, Banque de France, issue 28, july..
  9. White, Halbert & Kim, Tae-Hwan & Manganelli, Simone, 2015. "VAR for VaR: Measuring tail dependence using multivariate regression quantiles," Journal of Econometrics, Elsevier, vol. 187(1), pages 169-188.
  10. Manganelli, Simone & Popov, Alexander, 2015. "Financial development, sectoral reallocation, and volatility: International evidence," Journal of International Economics, Elsevier, vol. 96(2), pages 323-337.
  11. Garcia-de-Andoain, Carlos & Hoffmann, Peter & Manganelli, Simone, 2014. "Fragmentation in the Euro overnight unsecured money market," Economics Letters, Elsevier, vol. 125(2), pages 298-302.
  12. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2014. "Measuring Comovements by Regression Quantiles," Journal of Financial Econometrics, Oxford University Press, vol. 12(4), pages 645-678.
  13. Kirstin Hubrich & Simone Manganelli, 2014. "Comment," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 32(4), pages 506-509, October.
  14. Manganelli, Simone & Popov, Alexander, 2013. "Financial dependence, global growth opportunities, and growth revisited," Economics Letters, Elsevier, vol. 120(1), pages 123-125.
  15. Simone Manganelli, 2012. "The impact of the Securities Markets Programme," Research Bulletin, European Central Bank, vol. 17, pages 2-5.
  16. Stefano Corradin & Simone Manganelli & Bernd Schwaab, 2011. "New methodologies for systemic risk measurement," Research Bulletin, European Central Bank, vol. 12, pages 2-6.
  17. Cappiello, Lorenzo & Kadareja, Arjan & Manganelli, Simone, 2010. "The Impact of the Euro on Equity Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(2), pages 473-502, April.
  18. Simone Manganelli & Guido Wolswijk, 2009. "What drives spreads in the euro area government bond market? [‘What “hides” behind sovereign debt ratings?’]," Economic Policy, CEPR, CESifo, Sciences Po;CES;MSH, vol. 24(58), pages 191-240.
  19. Manganelli, Simone, 2009. "Forecasting With Judgment," Journal of Business & Economic Statistics, American Statistical Association, vol. 27(4), pages 553-563.
  20. Lutz Kilian & Simone Manganelli, 2008. "The Central Banker as a Risk Manager: Estimating the Federal Reserve's Preferences under Greenspan," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 40(6), pages 1103-1129, September.
  21. Lorenzo Cappiello & Simone Manganelli, 2007. "Financial integration and capital flows in the new EU Member States," Research Bulletin, European Central Bank, vol. 6, pages 5-7.
  22. Lutz Kilian & Simone Manganelli, 2007. "Quantifying the Risk of Deflation," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 39(2-3), pages 561-590, March.
  23. Manganelli, Simone, 2005. "Duration, volume and volatility impact of trades," Journal of Financial Markets, Elsevier, vol. 8(4), pages 377-399, November.
  24. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
  25. Simone Manganelli, 2004. "Asset Allocation by Variance Sensitivity Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 2(3), pages 370-389.
  26. Philipp Hartmann & Angela Maddaloni & Simone Manganelli, 2003. "The Euro-area Financial System: Structure, Integration, and Policy Initiatives," Oxford Review of Economic Policy, Oxford University Press and Oxford Review of Economic Policy Limited, vol. 19(1), pages 180-213.

Chapters

  1. Lorenzo Cappiello & Bruno Gérard & Arjan Kadareja & Simone Manganelli, 2006. "Equity Market Integration of New EU Member States," Chapters, in: Klaus Liebscher & Josef Christl & Peter Mooslechner & Doris Ritzberger-Grünwald (ed.), Financial Development, Integration and Stability, chapter 25, Edward Elgar Publishing.

Books

  1. Douglas D Evanoff & George G Kaufman & Agnese Leonello & Simone Manganelli (ed.), 2017. "Achieving Financial Stability:Challenges to Prudential Regulation," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10529, August.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Distinct Works, Weighted by Simple Impact Factor
  3. Number of Distinct Works, Weighted by Recursive Impact Factor
  4. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  5. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  6. Number of Citations
  7. Number of Citations, Discounted by Citation Age
  8. Number of Citations, Weighted by Simple Impact Factor
  9. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  10. Number of Citations, Weighted by Recursive Impact Factor
  11. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Number of Authors
  13. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  15. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  18. h-index
  19. Number of Registered Citing Authors
  20. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  21. Euclidian citation score
  22. Closeness measure in co-authorship network
  23. Wu-Index

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 35 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-CBA: Central Banking (11) 2007-01-28 2011-11-14 2012-09-16 2014-04-05 2015-08-25 2015-11-01 2016-03-10 2017-12-18 2020-06-15 2021-05-24 2023-11-06. Author is listed
  2. NEP-RMG: Risk Management (11) 2003-01-27 2003-07-13 2011-11-14 2012-09-16 2012-11-24 2015-07-04 2015-08-25 2019-11-25 2021-05-24 2021-06-14 2023-11-06. Author is listed
  3. NEP-EEC: European Economics (10) 2003-06-16 2014-04-05 2014-06-02 2015-01-31 2015-08-25 2015-11-01 2016-03-10 2016-03-17 2017-12-18 2023-11-06. Author is listed
  4. NEP-MON: Monetary Economics (10) 2003-06-16 2003-07-13 2007-01-28 2014-04-05 2015-01-31 2015-11-01 2016-03-10 2017-12-18 2020-06-15 2020-06-22. Author is listed
  5. NEP-MAC: Macroeconomics (9) 2007-01-28 2014-04-05 2015-08-25 2015-11-01 2016-03-17 2019-11-25 2020-06-15 2020-06-22 2020-10-05. Author is listed
  6. NEP-ECM: Econometrics (8) 1999-07-12 1999-11-08 2012-11-24 2016-10-02 2018-11-05 2020-06-15 2021-02-01 2023-03-20. Author is listed
  7. NEP-BAN: Banking (7) 2011-11-14 2012-09-16 2012-11-24 2015-07-04 2015-11-01 2016-03-10 2023-11-06. Author is listed
  8. NEP-FMK: Financial Markets (6) 2001-11-21 2002-03-14 2003-01-27 2012-09-16 2015-08-25 2016-03-17. Author is listed
  9. NEP-FIN: Finance (5) 1999-07-12 1999-11-08 2003-01-27 2003-07-13 2004-10-30. Author is listed
  10. NEP-ETS: Econometric Time Series (4) 1999-07-12 1999-11-08 2012-11-24 2019-11-25
  11. NEP-CFN: Corporate Finance (3) 2003-01-27 2003-06-16 2015-08-25
  12. NEP-FDG: Financial Development and Growth (3) 2020-10-05 2021-05-24 2021-06-14
  13. NEP-ORE: Operations Research (3) 2019-11-25 2020-06-15 2020-06-22
  14. NEP-UPT: Utility Models and Prospect Theory (3) 2016-10-02 2019-03-25 2023-03-20
  15. NEP-DGE: Dynamic General Equilibrium (2) 2020-06-15 2020-06-22
  16. NEP-MST: Market Microstructure (2) 2014-04-05 2014-06-02
  17. NEP-CWA: Central and Western Asia (1) 2021-06-14
  18. NEP-ENV: Environmental Economics (1) 2020-10-19
  19. NEP-EXP: Experimental Economics (1) 2019-03-25
  20. NEP-FOR: Forecasting (1) 2019-11-25

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