Simone Manganelli
Simone Manganelli
Head of Financial Research, European Central Bank
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CAViaR: Conditional autoregressive value at risk by regression quantiles
RF Engle, S Manganelli
Journal of business & economic statistics 22 (4), 367-381, 2004
Bank risk during the financial crisis: do business models matter?
Y Altunbas, S Manganelli, D Marques-Ibanez
ECB working paper, 2011
The Euro‐area financial system: Structure, integration, and policy initiatives
P Hartmann, A Maddaloni, S Manganelli
Oxford Review of Economic Policy 19 (1), 180-213, 2003
Value at risk models in finance
S Manganelli, RF Engle
ECB working paper, 2001
What drives spreads in the euro area government bond market?
S Manganelli, G Wolswijk
Economic Policy 24 (58), 191-240, 2009
VAR for VaR: Measuring tail dependence using multivariate regression quantiles
H White, TH Kim, S Manganelli
Journal of econometrics 187 (1), 169-188, 2015
Duration, volume and volatility impact of trades
S Manganelli
Journal of Financial markets 8 (4), 377-399, 2005
A high-frequency assessment of the ECB Securities Markets Programme
E Ghysels, J Idier, S Manganelli, O Vergote
Journal of the European Economic Association 15 (1), 218-243, 2017
The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets
J Beirne, L Dalitz, J Ejsing, M Grothe, S Manganelli, F Monar, B Sahel, ...
ECB occasional paper, 2011
Measuring financial integration in new EU member states
M Baltzer, L Cappiello, RA De Santis, S Manganelli
ECB Occasional Paper, 2008
Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area
C Garcia-de-Andoain, F Heider, M Hoerova, S Manganelli
Journal of Financial Intermediation 28, 32-47, 2016
CAViaR: conditional value at risk by quantile regression
RF Engle III, S Manganelli
National bureau of economic research, 1999
Value at risk models in finance
RF Engle, S Manganelli
ECB Working Paper, 2001
The impact of the euro on financial markets
L Cappiello, P Hördahl, A Kadareja, S Manganelli
ECB working paper, 2006
Central bank macroeconomic forecasting during the global financial crisis: The European Central Bank and Federal Reserve Bank of New York experiences
L Alessi, E Ghysels, L Onorante, R Peach, S Potter
Journal of Business & Economic Statistics 32 (4), 483-500, 2014
The central banker as a risk manager: Estimating the Federal Reserve's preferences under Greenspan
L Kilian, S Manganelli
Journal of Money, Credit and Banking 40 (6), 1103-1129, 2008
Financial integration of new EU member states
L Cappiello, A Kadareja, B Gerard, S Manganelli
ECB Working Paper, 2006
Realized bank risk during the great recession
Y Altunbas, S Manganelli, D Marques-Ibanez
Journal of Financial Intermediation 32, 29-44, 2017
Forecasting and stress testing with quantile vector autoregression
S Chavleishvili, S Manganelli
Journal of Applied Econometrics 39 (1), 66-85, 2024
Market discipline, financial integration and fiscal rules: What drives spreads in the euro area government bond market?
S Manganelli, G Wolswijk
ECB Working paper, 2007
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