Publications

Our people

Filter publications

What type of publication do you want to show?

All

Journals

Conference papers

Chapters

Books

Other

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