Stefano d'Addona

Associate Professor of Economics
University of Rome III
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:

Aggregate behavior and asset pricing
Macro-finance
Financial risk measurement and management

Work in progress:

The value of information (with Frode Brevik)
Asset pricing implications of an RBC model (with Christos Giannikos)
Asset pricing in open economies (with Melisso Boschi and Aditya Goenka)
Financial risk measures (with Carlo Marinelli)
Turnover (with Axel Kind)

Published Papers:

"Forced Manager Turnovers in English Soccer Leagues: A Long-Term Perspective" (with Axel Kind)
Journal of Sport Economics, forthcoming. PDF File
© Sage Journals.

"Output and interest rate volatility as determinants of FDI" (with Lilia Cavallari)
Applied Economics, forthcoming. 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, forthcoming. PDF File
© World Scientific Publishing Company.

"Is Ignorance Bliss? The Cost of Business-Cycle Uncertainty " (with Frode Brevik)
Macroeconomic Dynamics, forthcoming. PDF File
© Cambridge University Press.

"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:

"The British Opt-Out from the European Monetary Union: Empirical Evidence from Monetary Policy Rules" (with Ilaria Musumeci)
[Version: Mar 2012] PDF File

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

"Too small or too low? New evidence on the 4-factor model" (with Paola Brighi and Antonio Della Bina)
[Version: Oct 2011] PDF File

"Asset pricing and the role of macroeconomic volatility" (with Christos Giannikos)
(The previous version of this paper was circulated as "Asset pricing implications in a production economy with regimes")
[Version: Apr 2011] PDF File

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

Teaching:

Economia Internazionale 2012;
Economia Politica 2012;
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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