PELIZZON Loriana

Qualifica Professoressa Ordinaria
Telefono 041 234 9157
E-mail pelizzon@unive.it
emif@unive.it - Economia dei mercati e degli investimenti finanziari
qem-venice@unive.it - Master Erasmus Mundus
financial.economics2@unive.it - PELIZZON Loriana
Fax 041 234 9176
Sito web www.unive.it/persone/pelizzon (scheda personale)
Struttura Dipartimento di Economia
Sito web struttura: http://www.unive.it/dip.economia
Sede: San Giobbe
Incarichi Delegata ai sistemi di valutazione e ai ranking nazionali ed internazionali

Pubblicazioni per tipologia

Monografia o trattato scientifico
Articolo su rivista
  • Bedin, A.; Billio, M.; Costola, M.; Pelizzon, L. (2019), Credit Scoring in SME Asset-Backed Securities: An Italian Case Study in JOURNAL OF RISK AND FINANCIAL MANAGEMENT, vol. 12, pp. 89 (ISSN 1911-8074)
    Link al documento: 10278/3715456
  • Caporin, Massimiliano; Pelizzon, Loriana; Ravazzolo, Francesco; Rigobon, Roberto (2018), Measuring sovereign contagion in Europe in JOURNAL OF FINANCIAL STABILITY, vol. 34, pp. 150-181 (ISSN 1572-3089)
    Link DOIURL correlato Link al documento: 10278/3697876 abstract
  • Schneider, M.; Lillo, F.; Pelizzon, L. (2017), Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market in QUANTITATIVE FINANCE, vol. 18, pp. 1-11 (ISSN 1469-7688)
    Link DOIURL correlato Link al documento: 10278/3697878 abstract
  • Billio, Monica; Frattarolo, Lorenzo; Pelizzon, Loriana (2016), Hedge Fund Tail Risk: An investigation in stressed markets in THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 18, pp. 109-124 (ISSN 1520-3255)
    Link DOI Link al documento: 10278/3676334
  • Pelizzon, Loriana; Subrahmanyam, Marti G.; Tomio, Davide; Uno, Jun (2016), Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? in JOURNAL OF FINANCIAL ECONOMICS, vol. 122, pp. 86-115 (ISSN 0304-405X)
    Link DOIURL correlato Link al documento: 10278/3685526 abstract
  • M. Billio; L. Frattarolo; L. Pelizzon (2014), A time varying performance evaluation of hedge fund strategies through aggregation in RB BANKERS, MARKETS, INVESTORS, vol. 129, pp. 38-56 (ISSN 2101-9304)
    Link al documento: 10278/42425
  • Bressan S.; Pace N.; Pelizzon L. (2014), Health status and portfolio choice: is their relationship economically relevant? in INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, vol. 32, pp. 109-122 (ISSN 1057-5219)
    Link DOI Link al documento: 10278/39441 abstract
  • Castiglionesi F.; Feriozzi F.; Loranth G.; Pelizzon L. (2014), Liquidity Coinsurance and Bank Capital in JOURNAL OF MONEY, CREDIT, AND BANKING, vol. 46, pp. 409-443 (ISSN 0022-2879)
    Link DOI Link al documento: 10278/41084 abstract
  • Ait-Sahlia Y.; Laeven R.; Pelizzon L. (2014), Mutual excitation in Eurozone sovereign CDS in JOURNAL OF ECONOMETRICS, vol. 183, pp. 151-167 (ISSN 0304-4076)
    Link DOI Link al documento: 10278/41079 abstract
  • L. Pelizzon; D. Sartore (2013), Deciphering the libor and euribor spreads during the subprime crisis in THE NORTH AMERICAN JOURNAL OF ECONOMICS AND FINANCE, vol. 26, pp. 565-585 (ISSN 1062-9408)
    Link DOI Link al documento: 10278/37507 abstract
  • Merton R.C.; M. Billio; M. Getmansky; D. Gray; A.W. Lo; L. Pelizzon (2013), On a New Approach for Analyzing and Managing Macrofinancial Risks in THE FINANCIAL ANALYSTS JOURNAL, vol. 69, pp. 22-33 (ISSN 0015-198X)
    Link DOI Link al documento: 10278/37656 abstract
  • Billio M.; Getmansky M.; Pelizzon L. (2012), Dynamic Risk Exposure in Hedge Funds in COMPUTATIONAL STATISTICS & DATA ANALYSIS, vol. 56, pp. 2937-2953 (ISSN 0167-9473)
    Link DOI Link al documento: 10278/33682 abstract
  • BILLIO M.; GETMANSKI M.; LO A.; PELIZZON L. (2012), Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors in JOURNAL OF FINANCIAL ECONOMICS, vol. 104, pp. 535-559 (ISSN 0304-405X)
    Link DOI Link al documento: 10278/23501 abstract
  • Billio M.; Pelizzon L. (2012), Efficienza, interconnessione e rischio sistemico in STATISTICA & SOCIETÀ, vol. 1/3, pp. 42-44 (ISSN 1722-8506)
    Link al documento: 10278/37487 abstract
  • BRESSAN S.; PACE N.; PELIZZON L. (2012), Health Status and Portfolio Choice: Does Feeling Better Affect your Attitude Towards Risk? in GENEVA ASSOCIATION INFORMATION NEWSLETTER. HEALTH AND AGEING, vol. 26 Geneva Association Newsletter, pp. 9-13 (ISSN 1605-8283)
    Link al documento: 10278/33432
  • Lorenzon I.; Lucchetta M.; Pelizzon L. (2011), Bank Credit to Medium-Sized Enterprises in Italy: The Trends Before and During the Crisis in BANCARIA, vol. 2 2011, pp. 17-39 (ISSN 0005-4623)
    Link al documento: 10278/28375 abstract
  • PELIZZON L.; WEBER G (2009), Efficient Portfolios when Housing Needs Change over the Life-Cycle in JOURNAL OF BANKING & FINANCE, vol. 33, pp. 2110-2121 (ISSN 0378-4266)
    Link al documento: 10278/30119 abstract
  • BILLIO M.; M. GETMANSKY; L. PELIZZON (2009), Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data in THE JOURNAL OF ALTERNATIVE INVESTMENTS, vol. 12/1, pp. 21-38 (ISSN 1520-3255)
    Link al documento: 10278/21741
  • PELIZZON L.; G. WEBER (2008), Are Household Portfolios Efficient? an Analysis Conditional on Housing. in JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, vol. 43, pp. 401-431 (ISSN 0022-1090)
    Link DOI Link al documento: 10278/30120 abstract
  • NICOLO' A; PELIZZON L. (2008), Credit Derivatives: Capital Requirements and Opaque OTC Markets in JOURNAL OF FINANCIAL INTERMEDIATION, vol. 17, pp. 444-463 (ISSN 1042-9573)
    Link al documento: 10278/29131 abstract
  • PARIGI B; PELIZZON L. (2008), Diversification and Ownership Structure in JOURNAL OF BANKING & FINANCE, vol. 32, pp. 1743-1753 (ISSN 0378-4266)
    Link al documento: 10278/23177 abstract
  • CASARIN R; PIVA A; PELIZZON L. (2008), Italian Equity Funds: Efficiency and Performance Persistence in THE ICFAI JOURNAL OF FINANCIAL ECONOMICS, vol. 6, pp. 7-28 (ISSN 0972-9151)
    Link al documento: 10278/25531 abstract
  • CASARIN R; LAZZARIN M; PELIZZON L; SARTORE D. (2005), Relative benchmark rating and persistence analysis: Evidence from Italian equity funds in EUROPEAN JOURNAL OF FINANCE, vol. 11, pp. 297-308 (ISSN 1351-847X)
    Link DOI Link al documento: 10278/31185 abstract
  • PELIZZON L.; SOTTANA E.; RETTORE E. (2004), Retail Mortgage Backed Securities, Commercial Asset Backed Securities and Corporate Bonds: a Credit Spread Comparison in RIVISTA INTERNAZIONALE DI SCIENZE ECONOMICHE E COMMERCIALI, vol. 51, pp. 477-496 (ISSN 0035-6751)
    Link al documento: 10278/14642
  • BILLIO M.; PELIZZON L. (2003), Contagion and Interdependence in Stock Markets: Have they been misdiagnosed? in JOURNAL OF ECONOMICS AND BUSINESS, vol. 55, 5/6, pp. 405-426 (ISSN 0148-6195)
    Link al documento: 10278/11443
  • BILLIO M.; PELIZZON L. (2003), Volatility and shocks spillover before and after EMU in Europe stock markets in JOURNAL OF MULTINATIONAL FINANCIAL MANAGEMENT, vol. 13, 4/5, pp. 323-340 (ISSN 1042-444X)
    Link al documento: 10278/11444
  • BISON G.; PELIZZON L.; SARTORE D. (2002), La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati in MONETA E CREDITO, vol. 56/217, pp. 55-75 (ISSN 0026-9611)
    Link al documento: 10278/14527
  • GRAVA T.; PELIZZON L.; SARTORE D. (2000), La style Analysis nel mercato Azionario Italiano in RIVISTA ITALIANA DEGLI ECONOMISTI, vol. 3, pp. 387-412 (ISSN 1593-8662)
    Link al documento: 10278/14604
  • BILLIO M.; PELIZZON L. (2000), Value-at-Risk: a multivariate switching regime approach in JOURNAL OF EMPIRICAL FINANCE, vol. 7, pp. 531-554 (ISSN 0927-5398)
    Link al documento: 10278/11440
  • CITTADINI A.; FANTINO S.; PELIZZON L. (1999), Requisiti patrimoniali: modello standard e modello interno a confronto in RIVISTA BANCARIA. MINERVA BANCARIA, vol. 55/01, pp. 44-50 (ISSN 1594-7556)
    Link al documento: 10278/14605
  • PELIZZON L.; WEBER G. (1994), The Italian Term Structure and the Currency Devaluation of September 1992: a FACTOR-ARCH Analysis in STATISTICA, vol. 65, pp. 313-327 (ISSN 0390-590X)
    Link al documento: 10278/14641
Articolo su libro
  • Billio, Monica; Getmansky, M.; Pelizzon, Loriana (2017), Financial Crises and the Evaporation of Diversification Benefits of Hedge Funds , Hedge Funds: Structure, Strategies, and Performance, New York, Oxford University Press, vol. Chap 24 (ISBN 9780190607371)
    Link DOI Link al documento: 10278/3676338
  • Loriana Pelizzon, Max Riedel, Paolo Tasca (2016), Classification of Crowdfunding in the Financial System in Pelizzon L, M. Riedel, P, Tasca, Banking Beyond Banks and Money. A Guide to Banking Services in the Twenty-First Century, Switzerland, SPRINGER, pp. 5-16 (ISBN 978-3-319-42446-0)
    Link DOI Link al documento: 10278/3685527 abstract
  • Billio, Monica; Costola, Michele; Panzica, Roberto Calogero; Pelizzon, Loriana (2016), Systemic risk and financial interconnectedness: network measures and the impact of the indirect effect. in Billio M. ,Pelizzon L., Savona R., SYSTEMIC RISK TOMOGRAPHY SIGNALS, MEASUREMENTS AND TRANSMISSION CHANNELS, ISTE - Elsevier (ISBN 9781785480850)
    Link DOI Link al documento: 10278/3678257 abstract
  • M. Billio; M. Caporin; L. Pelizzon; D. Sartore (2013), CDS Industrial Sector Indices, credit and liquidity risk , Credit Portfolio Securitisations and Derivatives, John Wiley & Sons, pp. 307-323 (ISBN 9781119963967)
    Link DOI Link al documento: 10278/32458
  • M. Billio; K.Y. Mamo; L. Pelizzon (2013), Crises and Fund of Hedge Funds Tail Risk , RECONSIDERING FUNDS OF HEDGE FUNDS: THE FINANCIAL CRISIS AND BEST PRACTICES IN UCITS, TAIL RISK, PERFORMANCE, AND DUE DILIGENCE, Amsterdam Netherlands: Elsevier -link esterno , Fax: 011 31 20 4853598, pp. 425-449 (ISBN 9780124016996)
    Link DOI Link al documento: 10278/36218 abstract
  • Monica Billio; Gregory Mathieu Jannin; Bertrand Bruno Maillet; Loriana Pelizzon (2013), Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure , 2013-22, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 13-22, pp. 1-34 (ISSN 1827-3580)
    Link al documento: 10278/44063
  • PELIZZON L.; CAPORIN M. (2012), Market volatility, optimal portfolios and naive asset allocations in C. Wehn, C. Hoppe, G. Gregoriou, Rithinking Valuation and Pricing Models, Elsevier, pp. 1-40 (ISBN 9780124158757)
    Link DOI Link al documento: 10278/34218 abstract
  • PARIGI B.; PELIZZON L.; VONTHADDEN E. (2011), Stock Market Returns and CorporateGovernance in Capital MarketEquilibrium , WP Dip. of Economics, Department of Economics, Universita' Ca Foscari Venezia, pp. 1-40 (ISSN 1827-3580)
    Link al documento: 10278/29968 abstract
  • NICOLO' A; PELIZZON L. (2008), Asymetric Information and Opacity in Credit Derivatives Markets in GREGORIOU G.; ALI P., The Credit Derivatives Handbook: Global Perspectives, Innovations and Market Drivers, NEW YORK, McGraw-Hill, pp. 57-75 (ISBN 9780071549523)
    Link al documento: 10278/19729
  • BILLIO M.; GETMANSKY M; PELIZZON L (2008), Calculating VaR for Hedge Funds in GREG N. GREGORIOU, The VAR Implementation Handbook. Financial Risk and Measurement, and Modeling, McGraw Hill, pp. 3-24 (ISBN 9780071615136)
    Link al documento: 10278/24311 abstract
  • CASARIN R; PIVA A; PELIZZON L. (2008), Italian Equity Funds: Efficiency and Performance Persistence , WORKING PAPER, DEPARTMENT OF ECONOMICS, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 12/WP/2008, pp. 1-23 (ISSN 1827-3580)
    Link al documento: 10278/31308
  • GIACOMELLI A; PELIZZON L. (2008), Operational Risk based on Complementary Loss Evaluations in GREGORIOU G., Operational Risk: Best Practices and Issues in Modelling, HOBOKEN, John Wiley and Sons, pp. 69-84 (ISBN 9780470390146)
    Link al documento: 10278/25583 abstract
  • BILLIO M.; GETMANSKY M; PELIZZON L (2006), Phase-Locking and Switching Volatility in Hedge Funds , 5406, Venezia, Dipartimento di Economia, Università Ca' Foscari Venezia, vol. 5406, pp. 1-45 (ISSN 1827-3580)
    Link al documento: 10278/18655
  • PELIZZON L.; S. SCHAEFER (2006), Pillar 1 vs Pillar 2 under risk management in M. CAREY AND R. STULZ, Risks of Financial Institutions, Oxford Press (ISBN 9780226092850)
    Link al documento: 10278/9142
  • CASARIN R.; PELIZZON L.; PIVA A. (2003), Italian Equity Funds: Efficiency and Performance Persistence in BASSO A.; PIANCA F., Rendiconti per gli Studi Economici Quantitativi
    Link al documento: 10278/9141
  • PELIZZON L. (1999), Derivati: le scelte di convenienza in SARTORE D., Gli strumenti derivati: Analizzare, prevedere e coprire i rischi finanziari nelle imprese, MILANO, IPSOA, pp. 57-69
    Link al documento: 10278/9138
  • BERARDI A.; PELIZZON L. (1999), LE OPZIONI in SARTORE D., Gli strumenti derivati: Analizzare, prevedere e coprire i rischi finanziari nelle imprese, MILANO, IPSOA, pp. 23-33
    Link al documento: 10278/9139
  • BILLIO M; PELIZZON L. (1997), Pricing Options with Switching Volatility in HIPP C., Money, Finance, Banking and Insurance, BADEN-BADEN, Nomos Verlang, pp. 24-42 (ISBN 9783884876497)
    Link al documento: 10278/9140
Articolo in Atti di convegno
  • L. Frattarolo; M. Billio; M.Caporin; L. Pelizzon (2013), Proximity-structured multivariate volatility models for systemic risk , Advances in Latent Variables, Milano, Vita e Pensiero, Convegno: SIS 2013 (ISBN 9788834325568)
    Link al documento: 10278/42537
  • CASARIN R.;PELIZZON L.;PIVA A. (2003), Italian Equity Funds: Efficiency and Performance Persistence , Atti della giornata di studio Metodi Numerici per la Finanza, Applied Mathematics Department, University of Venice, vol. UNICO, Convegno: giornata di studio Metodi Numerici per la Finanza, 2003-30 Maggio (ISBN 9788888037066)
    Link al documento: 10278/4392
  • BILLIO M; PELIZZON L. (1998), A Switching Volatility Approach to Estimate Value-at-Risk , Proceedings, Chicago Risk Management Conference, Convegno: Chicago Risk Management Conference, MAGGIO
    Link al documento: 10278/8602
Working paper
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