1 citations · 1 across the 7 of their papers we have counts for
8 papers
Illiquidity at Risk
Demetrio Lacava, Paolo Santucci de Magistris
Market efficiency relies fundamentally on stable liquidity. Consequently, forecasting liquidity dynamics is a priority for both investors and regulators. We introduce a new tail-ri…
Shifting Correlations: How Trade Policy Uncertainty Alters stock-T bill Relationships
Demetrio Lacava
This paper examines how trade policy uncertainty influences the correlation between U.S. stock indices and short-term government bonds. The objective is to assess whether policy-re…
Modeling and Forecasting Tail Risk Spillovers: A Component-Based CAViaR Approach
Demetrio Lacava
This paper introduces a new extension of the Conditional Autoregressive Value at Risk (CAViaR) model aimed at improving tail risk forecasting across assets. The proposed component-…
Electoral Polls and Economic Uncertainty: an Analysis of the Last Two U.S. Presidential Elections
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
This paper examines the dynamic relationship between electoral polls and indicators of economic and financial uncertainty during the last two U.S. presidential elections (2020 and…
Trade uncertainty impact on stock-bond correlations: Insights from conditional correlation models
Demetrio Lacava, Edoardo Otranto
This paper investigates the impact of Trade Policy Uncertainty (TPU) on stock-bond correlation dynamics in the United States. Using daily data on major U.S. stock indices and the 1…
Volatility jumps and the classification of monetary policy announcements
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
Central Banks interventions are frequent in response to exogenous events with direct implications on financial market volatility. In this paper, we introduce the Asymmetric Jump Mu…
On Classifying the Effects of Policy Announcements on Volatility
Giampiero M. Gallo, Demetrio Lacava, Edoardo Otranto
The financial turmoil surrounding the Great Recession called for unprecedented intervention by Central Banks: unconventional policies affected various areas in the economy, includi…
Unconventional Policies Effects on Stock Market Volatility: A MAP Approach
Demetrio Lacava, Giampiero M. Gallo, Edoardo Otranto
Taking the European Central Bank unconventional policies as a reference, we suggest a class of Multiplicative Error Models (MEM) taylored to analyze the impact such policies have o…