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Giulio Cifarelli

Personal Details

First Name:Giulio
Middle Name:
Last Name:Cifarelli
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RePEc Short-ID:pci45

Affiliation

Dipartimento di Scienze per l'Economia e l'Impresa
Scuola di Economia e Management
Università degli Studi di Firenze

Firenze, Italy
http://www.disei.unifi.it/
RePEc:edi:defirit (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Leonardo Bargigli & Giulio Cifarelli, 2020. "Endogenous and Exogenous Volatility in the Foreign Exchange Market," Working Papers - Economics wp2020_17.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  2. Leonardo BARGIGLI & Giulio CIFARELLI, 2020. "Structural Interdependence of Price and Demand in a Model of the Foreign Exchange Market with Heterogeneous Speculators: Evidence from High-frequency Data," Working Papers - Economics wp2020_04.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  3. Cifarelli, Giulio & Paesani, Paolo, 2018. "Navigating the oil bubble: A non-linear heterogeneous-agent dynamic model of futures oil pricing," MPRA Paper 90470, University Library of Munich, Germany.
  4. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain exchange rate behaviour? A nonlinear econometric investigation," MPRA Paper 83894, University Library of Munich, Germany.
  5. Giulio Cifarelli & Giovanna Paladino, 2018. "Sovereign - bank risk interconnections during the Greek financial crisis and the role of the Italian debt," Working Papers - Economics wp2018_01.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  6. Cifarelli, Giulio & Paesani, Paolo, 2017. "On the difficulty of interpreting market behaviour in an uncertain world: the case of oil futures pricing between 2003 and 2016," MPRA Paper 84009, University Library of Munich, Germany.
  7. Giulio Cifarelli & Giovanna Paladino, 2017. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Working Papers - Economics wp2017_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  8. Giulio Cifarelli & Giovanna Paladino, 2016. "The impact of unconventional monetary policy on the sovereign bank nexus within and across EU countries. A time-varying conditional correlation analysis," Working Papers - Economics wp2016_10.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  9. Giulio Cifarelli & Giovanna Paladino, 2014. "One size does not fit all. A non-linear analysis of European monetary transmission," Working Papers - Economics wp2014_22.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  10. Giulio Cifarelli & Paolo Paesani, 2013. "Speculative Cotton Pricing in the 1920s. A Nonlinear Tale of Noise Traders and Fundamentalists," Working Papers - Economics wp2013_04.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  11. Giulio Cifarelli & Paolo Paesani, 2012. "An Assessment of the Theory of Storage: Has the Relationship between Commodity Price Volatility and Market Fundamentals Changed Over Time?," Working Papers - Economics wp2012_12.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  12. Giulio Cifarelli, 2011. "Nonlinear Regime Shifts in Oil Price Hedging Dynamics," Working Papers - Economics wp2011_13.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  13. Cifarelli, Giulio & Paladino, Giovanna, 2011. "Hedging vs. speculative pressures on commodity futures returns," MPRA Paper 28229, University Library of Munich, Germany.
  14. Giulio Cifarelli & Giovanna Paladino, 2010. "Commodity Futures Returns: A Non Linear Markov Regime Switching Model of Hedging and Speculative Pressures," Working Papers - Economics wp2010_13.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  15. Giulio Cifarelli & Giovanna Paladino, 2009. "Is Oil A Financial Asset? An Empirical Investigation Spanning the Last Fifteen Years," Working Papers - Economics wp2009_12.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  16. Filippo Cesarano & Giulio Cifarelli & Gianni Toniolo, 2009. "Exchange Rate Regimes and Reserve Policy on the Periphery: The Italian Lira 1883-1911," Working Papers - Economics wp2009_11.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  17. Cifarelli, Giulio & Paladino, Giovanna, 2009. "Oil and portfolio risk diversification," MPRA Paper 28293, University Library of Munich, Germany, revised Nov 2010.
  18. Giulio Cifarelli & Giovanna Paladino, 2008. "Oil price Dynamics and Speculation. A Multivariate Financial Approach," Working Papers - Economics wp2008_15.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  19. Giulio Cifarelli & Giovanna Paladino, 2007. "The buffer stock model redux? An analysis of the dynamics of foreign reserve accumulation," Working Papers - Economics wp2007_02.rdf, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  20. Giulio, Cifarelli, 2004. "Yes, implied volatilities are not informationally efficient: an empirical estimate using options on interest rate futures contracts," MPRA Paper 28655, University Library of Munich, Germany.
  21. Cifarelli, giulio, 2002. "The information content of implied volatilities of options on eurodeposit futures traded on the LIFFE: is there long memory?," MPRA Paper 28538, University Library of Munich, Germany.

Articles

  1. Giulio Cifarelli and Paolo Paesani, 2021. "Navigating the Oil Bubble: A Non-linear Heterogeneous-agent Dynamic Model of Futures Oil Pricing," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
  2. Cifarelli, Giulio & Paladino, Giovanna, 2020. "A non-linear analysis of the sovereign bank nexus in the EU," The Journal of Economic Asymmetries, Elsevier, vol. 21(C).
  3. Cifarelli, Giulio & Paladino, Giovanna, 2018. "Can the interaction between a single long-term attractor and heterogeneous trading explain the exchange rate conundrum?," Research in International Business and Finance, Elsevier, vol. 46(C), pages 313-323.
  4. Cifarelli, Giulio & Paladino, Giovanna, 2016. "Time-varying mark-up and the ECB monetary policy transmission in a highly non linear framework," International Review of Economics & Finance, Elsevier, vol. 45(C), pages 247-262.
  5. Giulio Cifarelli & Paolo Paesani, 2016. "Speculative pricing in the Liverpool cotton futures market: a nonlinear tale of noise traders and fundamentalists from the 1920s," Cliometrica, Journal of Historical Economics and Econometric History, Association Française de Cliométrie (AFC), vol. 10(1), pages 31-54, january.
  6. Cifarelli, Giulio & Paladino, Giovanna, 2015. "A dynamic model of hedging and speculation in the commodity futures markets," Journal of Financial Markets, Elsevier, vol. 25(C), pages 1-15.
  7. Cifarelli, Giulio, 2013. "Smooth transition regime shifts and oil price dynamics," Energy Economics, Elsevier, vol. 38(C), pages 160-167.
  8. Giulio Cifarelli & Giovanna Paladino, 2012. "Can oil diversify away the unpriced risk of a portfolio?," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(1), pages 73-88, January.
  9. Filippo Cesarano & Giulio Cifarelli & Gianni Toniolo, 2012. "Exchange Rate Regimes and Reserve Policy: The Italian Lira, 1883–1911," Open Economies Review, Springer, vol. 23(2), pages 253-275, April.
  10. Cifarelli, Giulio & Paladino, Giovanna, 2010. "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, vol. 32(2), pages 363-372, March.
  11. Giulio Cifarelli & Giovanna Paladino, 2009. "The Buffer Stock Model Redux? An Analysis of the Dynamics of Foreign Reserve Accumulation," Open Economies Review, Springer, vol. 20(4), pages 525-543, September.
  12. Giulio Cifarelli & Giovanna Paladino, 2008. "Reserve overstocking in a highly integrated world. New evidence from Asia and Latin America," The European Journal of Finance, Taylor & Francis Journals, vol. 14(4), pages 315-336.
  13. Cifarelli, Giulio & Paladino, Giovanna, 2006. "Volatility co-movements between emerging sovereign bonds: Is there segmentation between geographical areas?," Global Finance Journal, Elsevier, vol. 16(3), pages 245-263, March.
  14. Cifarelli, Giulio & Paladino, Giovanna, 2005. "Volatility linkages across three major equity markets: A financial arbitrage approach," Journal of International Money and Finance, Elsevier, vol. 24(3), pages 413-439, April.
  15. Cifarelli, Giulio & Paladino, Giovanna, 2004. "The impact of the Argentine default on volatility co-movements in emerging bond markets," Emerging Markets Review, Elsevier, vol. 5(4), pages 427-446, December.
  16. Cifarelli, Giulio & Paladino, Giovanna, 2003. "Spreads on Emerging-Market Debt: Global vs. Regional Factors," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 56(2), pages 255-286.
  17. Giulio Cifarelli, 2001. "Introduction," The European Journal of Finance, Taylor & Francis Journals, vol. 7(4), pages 286-288.
  18. Giulio Cifarelli & Giovanna Paladino, 2001. "Volatility spillovers and the role of leading financial centres," BNL Quarterly Review, Banca Nazionale del Lavoro, vol. 54(216), pages 37-71.
  19. Giulio Cifarelli & Anna Calamia, 1998. "The BTP Futures Contracts: Interest Rate Risk Hedging and Exchange Rate Crises," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 57(2), pages 189-211, September.
  20. Giulio Cifarelli, 1998. "The exchange rate crisis of September 1992 and the pricing of Italian financial futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 18(7), pages 827-849, October.
  21. Giulio Cifarelli, 1995. "Fundamentals, regime shifts, and dollar behavior in the 1980s," Open Economies Review, Springer, vol. 6(1), pages 29-48, January.
  22. Cifarelli, Giulio, 1992. "Exchange Rate Market Efficiency Tests and Cointegration Analysis," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, vol. 45(2), pages 197-208.

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Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 16 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ENE: Energy Economics (6) 2008-11-18 2009-11-14 2011-09-22 2018-02-12 2018-02-19 2019-01-14. Author is listed
  2. NEP-MAC: Macroeconomics (4) 2007-08-08 2014-11-12 2016-07-02 2018-03-05
  3. NEP-MON: Monetary Economics (4) 2009-10-17 2014-11-12 2016-07-02 2018-02-12
  4. NEP-CBA: Central Banking (3) 2009-10-17 2014-11-12 2016-07-02
  5. NEP-EEC: European Economics (3) 2014-11-12 2016-07-02 2018-03-05
  6. NEP-ETS: Econometric Time Series (2) 2011-09-22 2020-11-30
  7. NEP-HIS: Business, Economic and Financial History (2) 2009-10-17 2013-03-16
  8. NEP-MST: Market Microstructure (2) 2020-06-15 2020-11-30
  9. NEP-ORE: Operations Research (2) 2020-06-15 2020-11-30
  10. NEP-AGR: Agricultural Economics (1) 2012-05-29
  11. NEP-BAN: Banking (1) 2018-03-05
  12. NEP-BEC: Business Economics (1) 2008-11-18
  13. NEP-CWA: Central and Western Asia (1) 2011-09-22
  14. NEP-IFN: International Finance (1) 2009-10-17
  15. NEP-SEA: South East Asia (1) 2007-08-08

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