Here you can download working papers
and other documents of the SYRTO project

Policy Briefs

• First Policy Brief, March 2014
• Second Policy Brief, April 2015
• Final Policy Brief, February 2016

Technical reports on data integration, data quality, and metadata management

• SYRTO project – data quality framework – Carini C.

Working papers on missing data imputation

• A proposal for the treatment of “don’t know” responses – Manisera M., Zuccolotto P.
• Imputing missing values in multivariate data sets with mixed-type variables – Carpita M., Manisera M.

Working papers regarding the identification of the fundamental risk sources

• Measuring credit risk in a large banking system: econometric modeling and empirics – Lucas A., Schwaab B., Zhang X.
• Conditional euro area sovereign default risk – Lucas A., Schwaab B, Zhang X.
• Is there light in “dark trading”? A GARCH analysis of transactions in dark pools – De Peretti P., Tapiero O.J.
• Dominant and Competitive Models for better Ensembles in Credit Risk Modeling – Figini S., Vezzoli M.
• Financial Symmetry and Moods in the Market – Savona R., Soumare M., Vitting-Andersen J.
• Communication impacting financial markets – Vitting-Andersen J., Vrontos I., Dellaportas P., Galam S.
• Liquidity Coinsurance and Bank Capital – Castiglionesi F., Feriozzi F., Loranth G., Pelizzon L.
• Volatility prediction based on scheduled macroeconomic announcements – Petralias A., Dellaportas P.
• Generalized runs tests to detect randomness in hedge funds returns – Hentati-Kaffel R., De Peretti P.
• A GARCH analysis of dark-pool trades – De Peretti P., Tapiero O.J.
• A Socio-Finance Model: Inference and empirical application – Vitting-Andersen J., Vrontos I.D., Dellaportas P., Galam S.
• The Information in Systemic Risk Rankings – Nucera F., Schwaab B., Koopman S.J., Lucas A.
  
• Investigating Linkages between U.S. CDS Spreads and both Equity Market Price and Equity Market Volatility Channels: A Quantile Cointegrating Regression Approach – Gatfaoui H.
• Unobserved components in corporate defaults and bond prices – Barra I., Lucas A.
• Filtering With Confidence: In-sample Confidence Bands For GARCH Filters – Zamojski M.
• Contagion in the world’s stock exchanges seen as a set of coupled oscillators – Bellenzier L., Vitting Andersen J., Rotundo G.
• Synchronization in human decision making – Liu Y.F., Vitting Andersen J., Frolov M., de Peretti P.
• Network, Market, and Book-Based Systemic Risk Rankings – van de Leur M., Lucas A.

Working papers aiming at exploring the bivariate risk connections among the system S-BFIs-C

• Parallel Sequential Monte Carlo for Efficient Density Combination: The DeCo Matlab Toolbox – Casarin R., Grassi S., Ravazzolo F., Van Dijk H. K.
• Finding number of groups using a penalized internal cluster quality index – Manisera M., Vezzoli M.
• Adaptive Sticky Generalized Metropolis – Casarin, R. Martino, L., Luengo, D.
• Forecasting Systemic Impact in Financial Networks – Hautsch N., Schaumburg J., Schienle M.
• Financial Network Systemic Risk Contributions – Hautsch N., Schaumburg J., Schienle M.
• A Quantile Regression Approach to Equity Premium Prediction – Meligkotsidou L., Panopoulou E., Vrontos I.D., Vrontos S.D.
• Spillover Dynamics for Systemic Risk Measurement Using Spatial Financial Time Series Models – Blasques F., Koopman S.J., Lucas A., Schaumburg J.
• Out-of-sample equity premium prediction: A complete subset quantile regression approach – Meligkotsidou L., Panopoulou E., Vrontos I.D., Vrontos S.D.
• Bayesian Nonparametric Calibration and Combination of Predictive Distributions – Bassetti F., Casarin R., Ravazzolo F.
• A Bayesian Beta Markov Random Field Calibration of the Term structure of implied risk neutral densities – Casarin R., Leisen F., Molina G., Ter Horst E.
• Rational learning for risk-averse investors by conditioning on behavioral choices – Costola M., Caporin M.
• Coupling direction of the European banking and insurance sectors using inter-system recurrence networks – Addo P.M.
• Risk Dynamics in the Eurozone: A New Factor Model for Sovereign CDS and Equity Returns – Dellaportas P., Meligkotsidou L., Savona R., Vrontos I.D.
• Interbank Loans, Collateral and Modern Monetary Policy – Wolski M., van de Leur M.

Working papers regarding linkages and vulnerability of the financial system

• Bayesian Markov Switching Stochastic Correlation Models – Casarin R., Sartore D., Tronzano M.
  
• A Bayesian Markov-swithcing stochastic correlation model: an application to exchange rate contagion – Casarin R., Sartore D., Tronzano M.
• Markov Switching GARCH models for Bayesian Hedging on Energy Futures Markets – Billio, M., Casarin, R. and Osuntuyi, A.
• Nowcasting and Forecasting Global Financial Sector Stress and Credit Market Dislocation – Schwaab B., Koopman S.J., Lucas A.
• Measuring Sovereign Contagion in Europe – Caporin M., Pelizzon L., Ravazzolo F., Rigobon R.
• Multi-Jumps – Caporin M., Kolokolov A., Renò R.
• Chasing volatility, A persistent multiplicative error model with jumps – Caporin M., Rossi E., Santucci de Magistris P.
• Dynamic Principal Components: a New Class of Multivariate GARCH Models – Caporin M., Aielli G.
  
• Measuring Flight-to-Quality with Granger-Causality Tail Risk Networks – Corsi F., Lillo F., Pirino D.
• A note on Tractable State-Space Model for Symmetric Positive-Definite Matrices – Casarin R.
  
• Insights to the European debt crisis using recurrence quantification and network analysis – Addo P.M.
  
• Global Credit Risk: World, Country and Industry Factors – Schwaab B., Koopman S.J., Lucas A.
  
• Scalable inference for a full multivariate stochastic volatility model – Della Portas P., Plataniotis A., Titsias M.K.
• Are critical slowing down indicators useful to detect Financial crises? – Gatfaoui H., Nagot I., de Peretti P.
• Clustering in Dynamic Causal Networks as a Measure of Systemic Risk on the Euro Zone – Billio M., Frattarolo L., Gatfaoui H., de Peretti P.

Working papers investigating the connection between financial-economic linkages and shocks

• Sovereign, Bank and Insurance Credit Spreads: Connectedness and System Networks – Billio M., Getmansky M., Gray D., Lo A., Merton R., Pelizzon, L.
• Misure econometriche di connettività e rischio sistemico nel settore finanziario e assicurativo – Billio M., Pelizzon L.
• Mutual Funds Dynamics and Economic Predictors – Amisano G., Savona R.
• The kiss of information theory that captures systemic risk – Addo P.M., Gatfaoui H., De Peretti P., Runge J.
  
• Sparse Graphical Vector Autoregression: A Bayesian approach – Ahelegbey D.F., Billio M., Casarin R.
• Sovereign and Hedge Fund Systemic Risk Nexus – Ciavolino E., Savona R.
  

Working papers regarding the early warning system

• Fitting and Forecasting Sovereign Defaults using Multiple Risk Signals – Savona R., Vezzoli M.
• Hedge fund systemic risk signals – Savona R.
• Rules of Thumb for Banking Crises in Emerging Markets – Manasse P., Savona R., Vezzoli M.
• A Data-Driven Explanation of Country Risk: Emerging Markets vs. Eurozone Debt Crises – Savona R., Vezzoli M., Ciavolino E.
• Modeling Contagion and Systemic Risk – Bianchi D., Billio M., Casarin R., Guidolin M.
• An entropy-based early warning indicator for systemic risk – Billio M., Casarin R., Costola M., Pasqualini A.
• European Sovereign Systemic Risk Zones – Arakelian V., Dellaportas P., Savona R., Vezzoli M.
  

• The SYRTO code: Policy Lessons from Systemic Risk Modeling and Measurement – Siegmann A.

 
Working papers aiming at identify potential areas of improvement of the macroprudential policy making process

• Sovereign Credit Risk, Liquidity and ECB Intervention: Deux ex Machina? – Pelizzon L., Subrahmanyam M., Tomio D., Uno J.
• Nonlinear CUB models – Manisera M., Zuccolotto P.
• Investigating the Role of Real Divisia Money in Persistence-Robust Econometric Models – Mattson R.S., De Peretti P.
• Defining Money Using Stochastic Semi-Nonparametric Tests for Weak Separability: An Empirical Study on US data – Mattson R.S., De Peretti P.
• Limits to Arbitrage in Sovereign Bonds Price and Liquidity Discovery in High-Frequency Quote-Driven Markets – Pelizzon L., Subrahmanyam M., Tomio D., Uno J.
• Oil Price Shocks, Financial Frictions and TFP Dynamics – Lucchetta M., Paradiso A., Savona R.
  
• On the Prediction of the Economic Public Opinions in Europe – Carpita M., Ciavolino E., Nitti M.
  
• MEM and SEM in the GME framework: Statistical Modelling of Perception and Satisfaction – Carpita M., Ciavolino E.