2024
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.2023.104793DOI: 10.1016/j.jedc.2023.104793
2023
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.2023.101859DOI: 10.1016/j.intfin.2023.101859
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.2023.100834DOI: 10.1016/j.finmar.2023.100834
2022
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_01003DOI: 10.1162/rest_a_01003
2021
Striking the implied volatility of US drone companies (Journal article)
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.2021.101832DOI: 10.1016/j.irfa.2021.101832
Bevilacqua, M., & Tunaru, R. (2021). The SKEW index: Extracting what has been left. JOURNAL OF FINANCIAL STABILITY, 53. doi:10.1016/j.jfs.2020.100816DOI: 10.1016/j.jfs.2020.100816
2020
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.2019.101417DOI: 10.1016/j.irfa.2019.101417
2019
The determinants of the model-free positive and negative volatilities (Journal article)
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.2018.12.003DOI: 10.1016/j.jimonfin.2018.12.003
