activity
20202026
most citedVolatility jumps and the classification of monetary policy announcements

1 citations · 1 across the 7 of their papers we have counts for

collaborators

8 papers

q-fin.RM2026

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…

q-fin.RM2026

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…

q-fin.RM2026

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-…

econ.GN2026

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…

q-fin.ST2026

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…

econ.GN2023★ 1 cited

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…

q-fin.GN2020

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…

q-fin.ST2020

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…