PUBLICATIONS

by Giulio Palomba

JOURNAL ARTICLES:

2024: Giulio Palomba and Marco Tedeschi, GEOPOLITICAL RISKS' SPILLOVERS ACROSS COUNTRIES AND ON COMMODITY MARKETS. A DYNAMIC ANALYSIS, Energy Research Letters, Vol. 5, APAEA, doi: 10.46557/001c.121262.

2024: Riccardo Lucchetti, Mihaela Nicolau, Giulio Palomba e Luca Riccetti, RECONCILING TRACKING ERROR VOLATILITY AND VALUE-AT-RISK IN ACTIVE PORTFOLIO MANAGEMENT: A NEW FRONTIER, Computational Economics, Springer, doi: 10.1007/s10614-024-10684-4.

2024: Giulio Palomba and Marco Tedeschi, CONTAGION AMONG EUROPEAN FINANCIAL INDICES, EVIDENCE FROM A QUANTILE VAR APPROACH, Economic Systems, Vol. 48, No. 2, article 101183 (20 pages), Elsevier, doi: 10.1016/j.ecosys.2024.101183.

2024: Fitim Deari and Giulio Palomba, DOES THE CASH CONVERSION CYCLE AFFECT FIRM PROFITABILITY? SOME EMPIRICAL EVIDENCE FROM LISTED FIRMS IN NORTH MACEDONIA, Zagreb International Review of Economics and Business, Vol. 27, No. 1, pp. 63-77, Sciendo, doi: 10.2478/zireb-2024-0003.

2023: Matteo Foglia, Giulio Palomba and Marco Tedeschi, DISENTANGLING THE GEOPOLITICAL RISK AND ITS EFFECTS ON COMMODITIES. EVIDENCE FROM A PANEL OF G8 COUNTRIES, Resources Policy, Vol. 85, part B, article 104056 (13 pages), Elsevier, doi: 10.1016/j.resourpol.2023.104056.
Special issue Geopolitical Risk Implications for Natural Resources Governance and Conflict Resolution.

2023: Andrea Bucci, Giulio Palomba e Eduardo Rossi, THE ROLE OF UNCERTAINTY IN FORECASTING VOLATILITY COMOVEMENTS ACROSS STOCK MARKETS, Economic Modelling, Vol. 125, article 106309 (19 pages), Elsevier, doi: 10.1016/j.econmod.2023.106309.

2022: Andrea Bucci, Giulio Palomba e Eduardo Rossi, STARVARS: AN R PACKAGE FOR ANALYSING NON-LINEARITIES IN MULTIVARIATE TIME SERIES, The R Journal Vol. 14, No. 1, pp. 208-226, doi: 10.32614/RJ-2022-018.

2021: Giovanni Busetta, Fabio Fiorillo e Giulio Palomba, THE IMPACT OF ATTRACTIVENESS ON JOB OPPORTUNITIES IN ITALY: A GENDER FIELD EXPERIMENT, Economia Politica Vol. 38, pp. 171-201, Springer. doi: 10.1007/s40888-020-00194-5.

2020: Massimiliano Caporin, Riccardo Lucchetti and Giulio Palomba, ANALYTICAL GRADIENTS OF DYNAMIC CONDITIONAL CORRELATION MODELS, Journal of Risk and Financial Management Vol. 13, No. 3, pp. 49-70, MDPI doi: 10.3390/jrfm13030049.

2019: Giulio Palomba and Luca Riccetti, ASSET MANAGEMENT WITH TEV AND VAR CONSTRAINTS: THE CONSTRAINED EFFICIENT FRONTIERS, Studies in Economics and Finance, Vol. 36, No. 3, pp. 492-516, Emerald Insight, doi: 10.1108/SEF-09-2017-0255 (Routines).

2015: Mihaela Nicolau and Giulio Palomba, DYNAMIC RELATIONSHIPS BETWEEN SPOT AND FUTURES PRICES. THE CASE OF ENERGY AND GOLD COMMODITIES, Resources Policy Vol. 45, pp. 130-143, Elsevier, doi: 10.1016/j.resourpol.2015.04.004.
Article awarded by the Executive Unit for Financing Higher Education, Research, Development and Innovation (UEFISCDI) - Ministry of Scientific Research, Romania, PN-II-RU-PRECISI-9 "Premierea Rezultatelor Cercetarii - Articole (Research Results Awards - Articles)", List 6, article 184 (click here).

2012: Giulio Palomba and Luca Riccetti, PORTFOLIO FRONTIERS WITH RESTRICTIONS TO TRACKING ERROR VOLATILITY AND VALUE AT RISK, Journal of Banking and Finance Vol. 36, No. 9, pp. 2604-2615, Elsevier, doi: 10.1016/j.jbankfin.2012.05.014 (Routines).

2011: Luca Fanelli and Giulio Palomba, SIMULATION-BASED TESTS OF FORWARD-LOOKING MODELS UNDER VAR LEARNING DYNAMICS, Journal of Applied Econometrics, Vol. 26, No. 5, pp. 762-782, John Wiley & Sons, doi: 10.1002/jae.1138.

2011: Nicoletta Marinelli and Giulio Palomba, A MODEL FOR PRICING THE ITALIAN CONTEMPORARY ART PAINTINGS AT AUCTION, Quarterly Review of Economics and Finance, Vol. 51, No. 2, pp. 212-224, Elsevier, doi: 10.1016/j.qref.2011.02.001.

2009: Riccardo Lucchetti, Giulio Palomba, NONLINEAR ADJUSTMENT IN US BOND YIELDS: AN EMPIRICAL MODEL WITH CONDITIONAL HETEROSKEDASTICITY, Economic Modelling, Vol. 26, No. 3, pp. 659-667, Elsevier, doi: 10.1016/j.econmod.2009.01.013.

2009: Giulio Palomba, Emma Sarno, Alberto Zazzaro, TESTING SIMILARITIES OF SHORT-RUN INFLATION DYNAMICS AMONG EU COUNTRIES AFTER THE EURO, Empirical Economics, Vol. 37, No. 2, pp. 231-270, Springer, doi: 10.1007/s00181-008-0228-8.

2008: Giulio Palomba, MULTIVARIATE GARCH MODELS AND BLACK-LITTERMAN APPROACH FOR TRACKING ERROR CONSTRAINED PORTFOLIOS: AN EMPIRICAL ANALYSIS, Global Business & Economics Review, Vol. 10, No. 4, pp. 379-413, Inderscience Publishers, doi: 10.1504/GBER.2008.020592.
Article awarded as the "Best Paper of 2008 in Global Business & Economics Review".

2008: Caterina Lucarelli, Camilla Mazzoli, Giulio Palomba, A CROSS-COUNTRY MODEL FOR THE INFLUENCE OF THE PRE-TRADE TRANSPARENCY ON MARKET LIQUIDITY AND PRICE VOLATILITY, The Journal of Trading, Vol. 3, No. 3, summer 2008, doi: 10.3905/jot.2008.708837. (Download).

2007: Caterina Lucarelli, Giulio Palomba, INVESTORS' BEHAVIOUR IN THE CHINESE STOCK EXCHANGES: EMPIRICAL EVIDENCE IN A SYSTEMIC APPROACH, Journal of Business and Policy Research, vol. 3, No. 2, pp. 110-127, World Business Institute, Melbourne, Australia, ISSN: 1449-387x. (Download)
Articolo vincitore del "Best Paper Award" at the 5th International Business Research Conference, Dubai, United Arab Emirates, april 26th-27th.

2006: Mario De Grassi, Alessandro Carbonari, Giulio Palomba, A STATISTICAL APPROACH OF THE THERMAL BEHAVIOR OF DRY ASSEMBLED PCM CONTAINING WALLS, Building and Environment, vol. 41, No. 4, pp. 448-485, Elsevier, doi: .



IN BOOK:

2011: Caterina Lucarelli and Giulio Palomba, THE INDICATORS OF RISK, in Caterina Lucarelli and Gianni Brighetti (eds.), Risk Tolerance in Financial Decision Making, Palmgrave MacMillan, ISBN: 978-0-230-28113-4. (View)

2011: Giulio Palomba, LE SCELTE DI PORTAFOGLIO CON PIÙ TITOLI (appendix to chapter V), in Pietro Alessandrini, Economia e Politica della Moneta, Il Mulino, ISBN: 978-88-15-23265-6. (View Cover)

2009: Giulio Palomba, LA FORMAZIONE E IL LAVORO, in Francesco Albertini, Alberto Niccoli, Francesca G.M. Sica, Luciano Vizioli (eds.), La competitività territoriale, il governo dei fattori-chiave nel Piceno, Franco Angeli, Milano, ISBN: 978-88-568-1631-O. (View Cover)

2005: Fabio Fiorillo and Giulio Palomba, UN MODELLO CGE PER L'ANALISI DEL FEDRALISMO FISCALE ALL'ITALIANA, in Fabio Fiorillo (ed.), Equilibrio economico generale e modelli computazionali per le politiche economiche regionali, Franco Angeli, Milano, ISBN: 88-464-6916-X. (View)



BOOKS:

2023: Giulio Palomba and Stefano Staffolani, MICROECONOMIA, Mac Graw Hill, Milano, February, ISBN: 978-88-386-5924-9, pages: 600, Price: 47 € (View Cover, View contents)

2004: Giulio Palomba, ELEMENTI DI STATISTICA PER L'ECONOMETRIA, Edizioni CLUA, Ancona, March, pages: 199 (not available for sale).
    2nd Edition: February 2010, ISBN: 978-88-87965-60-5, pages: 317 (not available for sale)
    3rd Edition: November 2015, ISBN: 978-88-87965-80-3, pages: 385, Price: 23 € (View Cover, View contents)



PROCEEDINGS:

2019: Giulio Palomba, THE CALZOLARI PACKAGE (1.0 VERSION), presented at the 6th Gretl Conference, Napoli (Italy), 13rd-14th June (download here).

2013: Mihaela Nicolau, Giulio Palomba and Ilaria Traini, ARE FUTURES PRICES INFLUENCED BY SPOT PRICES OR VICE-VERSA? A CRUDE OIL, NATURAL GAS AND GOLD MARKETS ANALYSIS, presented at the 3rd Gretl Conference, Oklahoma City, 20th-21st June.

2013: Giulio Palomba and Luca Riccetti, ASSET MANAGEMENT WITH TEV AND VAR CONSTRAINTS: HOW MANAGERS SHOULD FIX BOUNDS, presented at the 3rd Gretl Conference, Oklahoma City, 20th-21st June.

2009: Nicoletta Marinelli and Giulio Palomba, A MODEL FOR PRICING THE ITALIAN CONTEMPORARY ART PAINTINGS AT AUCTION, in Ignacio Dìaz-Emparanza, Petr Mariel, Marìa Victoria Esteban (eds.), Econometrics with Gretl - Proceedings of the Gretl Conference 2009, Bilbao, Spain, 28th-29th may (Download)

2005: Mario De Grassi, Giulio Palomba, Alessandro Carbonari, THERMAL BEHAVIOR OF PCM CONTAINING WALLS: A TIME SERIES MODEL BASED ON COINTEGRATED PROCESSES AND CONDITIONAL HETEROSKEDASTICITY, in André De Villiers, Oktay Ural, Amira Osman (eds.), Proceedings of the XXXIII IAHS World Congress: Transforming Housing Environments through design, Pretoria, South Africa, 27th september - 1st octtober (Download)

2004: Mario De Grassi, Giulio Palomba, Alessandro Carbonari, A STATISTICAL APPROACH FOR THE ANALYSIS OF THERMAL CONTRIBUTION OF ARTIFICIAL PROGRAMMABLE INERTIA WALLS, in Oktay Ural, Antonio Frattari, Rossano Albatici (eds.), Proceedings of the XXXII IAHS World Congress: Sunstainability of the Housing Projects, Trento, 21th-25th september



WORKING PAPERS:

2024: Rostand Arland Yebetchou Tchounkeu, Raffaella Santolini, Giulio Palomba, Elvina Merkaj, HEALTHCARE EFFICIENCY AND ELDERLY MORTALITY IN ITALY, Dipartimento di Scienze Economiche e Sociali (DISES), Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 485 (Download)

2023: Giulio Palomba e Marco Tedeschi, GEOPOLITICAL RISKS' SPILLOVERS ACROSS COUNTRIES AND ON COMMODITY MARKETS. A DYNAMIC ANALYSIS, SSRN Research Papers (Download from SSRN).

2022: Riccardo Lucchetti, Mihaela Nicolau, Giulio Palomba and Luca Riccetti, RECONCILING TEV AND VAR IN ACTIVE PORTFOLIO MANAGEMENT: A NEW FRONTIER, Dipartimento di Scienze Economiche e Sociali (DISES), Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 461 (Download, Download from SSRN, Routines)

2019: Andrea Bucci, Giulio Palomba and Eduardo Rossi, DOES MACROECONOMICS HELP IN PREDICTING STOCK MARKETS VOLATITLITY COMOVEMENTS? A NONLINEAR APPROACH, Dipartimento di Scienze Economiche e Sociali (DISES), Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 440 (Download)

2013: Mihaela Nicolau, Giulio Palomba and Ilaria Traini, ARE FUTURES PRICES INFLUENCED BY SPOT PRICES OR VICE-VERSA? AN ANALYSIS OF CRUDE OIL, NATURAL GAS AND GOLD MARKETS, Dipartimento di Scienze Economiche e Sociali (DISES), Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 394 (Download)

2013: Giulio Palomba and Luca Riccetti, ASSET MANAGEMENT WITH TEV AND VAR CONSTRAINTS: THE CONSTRAINED EFFICIENT FONTIERS, Dipartimento di Scienze Economiche e Sociali (DISES), Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 392 (Download, Download from SSRN, Routines)

2011: Giulio Palomba, Luca Riccetti, PORTFOLIO FRONTIERS WITH RESTRICTIONS TO TRACKING ERROR VOLATILITY AND VALUE AT RISK, Dipartimento di Economia, Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 358 (Download, Routines)

2008: Riccardo Lucchetti, Giulio Palomba, MODELLING US BOND YIELDS AT WEEKLY FREQUENCY: A NONLINEAR ADJUSTMENT MULTIVARIATE MODEL WITH CONDITIONAL HETEROSKEDASTICITY, MPRA Paper 11571, University Library of Munich, Germany (Download)

2008: Nicoletta Marinelli, Giulio Palomba, A MODEL FOR PRICING THE ITALIAN CONTEMPORARY ART PAINTINGS AT AUCTION, Dipartimento di Economia,Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 316 (Download)

2007: Luca Fanelli, Giulio Palomba, SIMULATION-BASED TESTS OF FORWARD-LOOKING MODELS UNDER VAR LEARNING DYNAMICS, Dipartimento di Economia, Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 298 (Download)

2007: Caterina Lucarelli, Giulio Palomba, INVESTORS' BEHAVIOUR IN THE CHINESE STOCK EXCHANGES: EMPIRICAL EVIDENCE IN A SYSTEMIC APPROACH, Dipartimento di Economia, Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 297 (Download)

2007: Giulio Palomba, Emma Sarno, Alberto Zazzaro, TESTING SIMILARITIES OF SHORT-RUN INFLATION DYNAMICS AMONG EU COUNTRIES AFTER THE EURO, Dipartimento di Economia, Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 289 (Download)

2006: Giulio Palomba, MULTIVARIATE GARCH MODELS AND BLACK-LITTERMAN APPROACH FOR TRACKING ERROR CONSTRAINED PORTFOLIOS: AN EMPIRICAL ANALYSIS, Dipartimento di Economia, Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 267 (Download)

2006: Riccardo Lucchetti, Giulio Palomba, FORECASTING US BOND YIELDS AT WEEKLY FREQUENCY, Dipartimento di Economia, Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 261 (Download)

2003: Giulio Palomba, GARCH MULTIVARIATI E APPROCCIO DI BLACK E LITTERMAN NELL'ASSET ALLOCATION TATTICA: UN'ANALISI EMPIRICA, Dipartimento di Economia, Università Politecnica delle Marche, Ancona, Quaderno di ricerca n. 185 (Download)

2001: Fabio Fiorillo, Giulio Palomba, UN MODELLO CGE PER L'ANALISI DEL FEDRALISMO FISCALE ALL'ITALIANA, Dipartimento di Economia, Università di Ancona, Quaderno di ricerca n. 153 (Download)