Giacomo Morelli | Ricerc@Sapienza

Pubblicazioni

Titolo	Pubblicato in	Anno
Energy ETF performance: The role of fossil fuels	ENERGY ECONOMICS	2024
Stochastic ordering of systemic risk in commodity markets	ENERGY ECONOMICS	2023
Responsible investing and portfolio selection: a shapley - CVaR approach	ANNALS OF OPERATIONS RESEARCH	2023
Structural estimation of counterparty credit risk under recovery risk	JOURNAL OF BANKING & FINANCE	2022
Are the green ETFs really green?		2022
Energy ETF performance: the role of fossil fuels		2022
Emission Trading System: prices, reduction, and trade		2022
Variance Risk Premium in Energy Markets: Ex-Ante and Ex-Post Perspectives	THE ENERGY JOURNAL	2022
The network of commodity risk	ENERGY SYSTEMS	2022
Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach	RISKS	2021
GDP Forecasting: Machine Learning, Linear or Autoregression?	FRONTIERS IN ARTIFICIAL INTELLIGENCE	2021
Responsible investments reduce market risks	DECISIONS IN ECONOMICS AND FINANCE	2021
Option Pricing, Zero Lower Bound, and COVID-19	RISKS	2021
Multivariate Analysis of Energy Commodities during the COVID-19 Pandemic: Evidence from a Mixed-Frequency Approach	RISKS	2021
GLASSO Estimation of Commodity Risks		2020
Volatility tail risk under fractionality	JOURNAL OF BANKING & FINANCE	2019
Liquidity drops	ANNALS OF OPERATIONS RESEARCH	2019
Fair prices under a unified lattice approach for interest rate derivatives	ANNALS OF OPERATIONS RESEARCH	2019