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2024

Dynamic industry uncertainty networks and the business cycle

Baruník, J., Bevilacqua, M., & Faff, R. (2024). Dynamic industry uncertainty networks and the business cycle. Journal of Economic Dynamics and Control, 159, 104793. doi:10.1016/j.jedc.2023.104793

DOI: 10.1016/j.jedc.2023.104793
: Journal article

2023

The impact of COVID-19 related policy interventions on international systemic risk

Bevilacqua, M., Duygun, M., & Vioto, D. (2023). The impact of COVID-19 related policy interventions on international systemic risk. Journal of International Financial Markets, Institutions and Money, 89, 101859. doi:10.1016/j.intfin.2023.101859

DOI: 10.1016/j.intfin.2023.101859
: Journal article

Options-based systemic risk, financial distress, and macroeconomic downturns

Bevilacqua, M., Tunaru, R., & Vioto, D. (2023). Options-based systemic risk, financial distress, and macroeconomic downturns. JOURNAL OF FINANCIAL MARKETS, 65. doi:10.1016/j.finmar.2023.100834

DOI: 10.1016/j.finmar.2023.100834
: Journal article

2022

Asymmetric Network Connectedness of Fears

Barunik, J., Bevilacqua, M., & Tunaru, R. (2022). Asymmetric Network Connectedness of Fears. REVIEW OF ECONOMICS AND STATISTICS, 104(6), 1304-1316. doi:10.1162/rest_a_01003

DOI: 10.1162/rest_a_01003
: Journal article

2021

Striking the implied volatility of US drone companies

Bevilacqua, M., Morelli, D., & Uzan, P. S. R. (2021). Striking the implied volatility of US drone companies. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 77. doi:10.1016/j.irfa.2021.101832

DOI: 10.1016/j.irfa.2021.101832
: Journal article

The SKEW index: Extracting what has been left

Bevilacqua, M., & Tunaru, R. (2021). The SKEW index: Extracting what has been left. JOURNAL OF FINANCIAL STABILITY, 53. doi:10.1016/j.jfs.2020.100816

DOI: 10.1016/j.jfs.2020.100816
: Journal article

2020

Asymmetric implied market volatility and terrorist attacks

Bevilacqua, M., Morelli, D., & Uzan, P. S. R. (2020). Asymmetric implied market volatility and terrorist attacks. INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, 67. doi:10.1016/j.irfa.2019.101417

DOI: 10.1016/j.irfa.2019.101417
: Journal article

2019

The determinants of the model-free positive and negative volatilities

Bevilacqua, M., Morelli, D., & Tunaru, R. (2019). The determinants of the model-free positive and negative volatilities. JOURNAL OF INTERNATIONAL MONEY AND FINANCE, 92, 1-24. doi:10.1016/j.jimonfin.2018.12.003

DOI: 10.1016/j.jimonfin.2018.12.003
: Journal article