Stefano d'Addona


Associate Professor of Economics
University of Roma Tre
Via G. Chiabrera, 199 00145 Rome.
Ph:+39 (06) 5733 5331; Fax:+39 (06) 5733 5280
Voip:+1 (646) 257 3803 mail: daddona[at]uniroma3.it

Curriculum Vitae:

Short version

Detailed version


Research Interests:

Work in progress:



Published Papers:

"Output stabilization in fixed and floating regimes: does trade of new products matter?" (with Lilia Cavallari)
Economic Modelling, forthcoming. PDF File
Elsevier Journals.

"Long run risk and money market rates: an empirical assessment"
Macroeconomic Dynamics, 2016. PDF File
Cambridge University Press.

"Exchange rates as shock absorbers: the role of export margins" (with Lilia Cavallari)
Research in Economics, Vol. 69 (4) 2015. PDF File
Elsevier Journals.

"Asset pricing and the role of macroeconomic volatility" (with Christos Giannikos)
Annals of Finance, Vol. 10 (2) 2014. PDF File
Springer Journals.

"Forced Manager Turnovers in English Soccer Leagues: A Long-Term Perspective" (with Axel Kind)
Journal of Sports Economics,Vol. 15 (2) 2014. PDF File
Sage Journals.

"The British Opt-Out from the European Monetary Union: Empirical Evidence from Monetary Policy Rules" (with Ilaria Musumeci)
Applied Financial Economics, Vol. 23 (3) 2013. PDF File
Taylor and Francis Group.

"The Determinants of Risk Premia on the Italian Stock Market: Empirical Evidence on Common Factors in Asset Pricing Models" (with Paola Brighi and Antonio Della Bina)
Economic Notes, Vol. 42 (2) 2013. PDF File
Wiley-Blackwell.

"Business cycle determinants of US foreign direct investments" (with Lilia Cavallari)
Applied Economics Letters, Vol. 20 (10) 2013. PDF File
Taylor and Francis Group.

"Is Ignorance Bliss? The Cost of Business-Cycle Uncertainty " (with Frode Brevik)
Macroeconomic Dynamics, 2013 Vol. 17, Issue 04, pp. 728-746. PDF File
Cambridge University Press.

"Nominal and real volatility as determinants of FDI" (with Lilia Cavallari)
Applied Economics, Vol. 45 (18) 2013. PDF File
Taylor and Francis Group.

"Multivariate heavy-tailed models for Value-at-Risk estimation" (with Carlo Marinelli and Zari Rachev)
International Journal of Theoretical and Applied Finance, Vol. 15 (04) June 2012. PDF File
World Scientific Publishing Company.

"Information Quality and Stock Return Revisited " (with Frode Brevik)
Journal of Financial and Quantitative Analysis, Vol. 45 (6) December 2010 pp.1419-1446. PDF File
Cambridge University Press.

"A comparison of some univariate models for Value-at-Risk and expected shortfall" (with Carlo Marinelli and Zari Rachev)
International Journal of Theoretical and Applied Finance, Vol. 10 (6) September 2007 pp.1043-1075. PDF File
World Scientific Publishing Company.

"Time Varying Sensitivities on a GRID Architecture " (with Mattia Ciprian).
International Journal of Theoretical and Applied Finance, Vol. 10 (2) March 2007 pp.307-329. PDF File
World Scientific Publishing Company.

"International Stock-Bond Correlations in a Simple Affine Asset Pricing Model" (with Axel Kind).
Journal of Banking and Finance, Vol. 30 (10) October 2006 pp. 2747-2765. PDF File
Elsevier.

Working Papers:

"Nonparametric estimates of pricing functionals" (with Carlo Marinelli)
[Version: Sep 2016] PDF File

"Testing habits in an asset pricing model" (with Melisso Boschi and Aditya Goenka)
[Version: Mar 2012] PDF File

"Rational ignorance in long-run risk models" (with Frode Brevik)
[Version: Aug 2009] PDF File

VQR 2011-2014 (ANVUR Webpage)


Prodotto [Article] Valutazione [Valuation]
D'ADDONA S, BREVIK F (2013). Is Ignorance Bliss? The Cost of Business Cycle Uncertainty. MACROECONOMIC DYNAMICS, vol. 17, p. 728-746, ISSN: 1365-1005 0.7
D'ADDONA S, MARINELLI C, S. RACHEV (2012). Multivariate heavy-tailed models for Value-at-Risk estimation. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, ISSN: 0219-0249 0.7

Legenda punteggi [Points definition]
Eccellente [Excellent] 1
Elevato [High] 0.7
Discreto [Fair] 0.4
Accettabile [Acceptable] 0.1
Limitato [Limited] 0

VQR 2004-2010 (ANVUR Webpage)


Prodotto [Article] Valutazione [Valuation]
D'ADDONA S, BREVIK F (2010). Information Quality and Stock Return Revisited. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, vol. 45(6), p. 1419-1446, ISSN: 0022-1090 1
D'ADDONA S, KIND A (2006). International Stock-Bond Correlations in a Simple Affine Asset Pricing Model. JOURNAL OF BANKING & FINANCE, vol. 30, p. 2747-2765, ISSN: 0378-4266 1
D'ADDONA S, MARINELLI C, RACHEV Z (2007). A comparative study of some univariate models for Value-at-Risk. INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE, vol. 10 (6), p. 1043-1075, ISSN: 0219-0249 0.8

Legenda punteggi [Points definition]
Eccellente [Excellent] 1
Buono [Good] 0.8
Accettabile [Acceptable] 0.5
Limitato [Limited] 0

Teaching:

Economia Politica 2015/16;

Economia Internazionale 2014; Valutazione Studenti (Teaching Evaluation)
Economia Politica 2014; Valutazione Studenti (Teaching Evaluation)
Economia Internazionale 2013; Valutazione Studenti (Teaching Evaluation)
Economia Politica 2013; Valutazione Studenti (Teaching Evaluation)
Economia Internazionale 2012; Valutazione Studenti (Teaching Evaluation)
Economia Politica 2012; Valutazione Studenti (Teaching Evaluation)
Economia Internazionale 2011; Valutazione Studenti (Teaching Evaluation)
Economia Politica 2011; Valutazione Studenti (Teaching Evaluation)
Economia Internazionale 2010; Valutazione Studenti (Teaching Evaluation)
Economia Internazionale 2009; Valutazione Studenti (Teaching Evaluation)
Economia Internazionale 2008; Valutazione Studenti (Teaching Evaluation)
Economia Internazionale 2007; Valutazione Studenti (Teaching Evaluation)
Economia Internazionale 2006; Valutazione Studenti (Teaching Evaluation)




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