{"id":"https://openalex.org/W2292793172","doi":"https://doi.org/10.1016/j.srfe.2015.12.001","title":"Systemic liquidity risk and portfolio theory: An application to the Italian financial markets","display_name":"Systemic liquidity risk and portfolio theory: An application to the Italian financial markets","publication_year":2016,"publication_date":"2016-01-01","ids":{"openalex":"https://openalex.org/W2292793172","doi":"https://doi.org/10.1016/j.srfe.2015.12.001","mag":"2292793172"},"language":"en","primary_location":{"id":"doi:10.1016/j.srfe.2015.12.001","doi":"https://doi.org/10.1016/j.srfe.2015.12.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.srfe.2015.12.001","pdf_url":null,"source":{"id":"https://openalex.org/S2898591975","display_name":"The Spanish Review of Financial Economics","issn_l":"2173-1268","issn":["2173-1268","2340-3381"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","cwts-core","poland-40"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Spanish Review of Financial Economics","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://doi.org/10.2139/ssrn.2489885","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5021933227","display_name":"Eleonora Iachini","orcid":null,"observed_orcids":[]},"institutions":[{"id":"https://openalex.org/I103737770","display_name":"Bank of Italy","ror":"https://ror.org/03v2nbx43","country_code":"IT","type":"funder","lineage":["https://openalex.org/I103737770"]}],"countries":["IT"],"is_corresponding":false,"raw_author_name":"Eleonora Iachini","raw_affiliation_strings":["Bank of Italy \u2013 Market and Payment System Oversight, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bank of Italy \u2013 Market and Payment System Oversight, Italy","institution_ids":["https://openalex.org/I103737770"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5038073224","display_name":"Stefano Nobili","orcid":"https://orcid.org/0000-0001-7020-8614","observed_orcids":["https://orcid.org/0000-0001-7020-8614"]},"institutions":[{"id":"https://openalex.org/I103737770","display_name":"Bank of Italy","ror":"https://ror.org/03v2nbx43","country_code":"IT","type":"funder","lineage":["https://openalex.org/I103737770"]}],"countries":["IT"],"is_corresponding":true,"raw_author_name":"Stefano Nobili","raw_affiliation_strings":["Bank of Italy \u2013 Market Operations, Italy"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Bank of Italy \u2013 Market Operations, Italy","institution_ids":["https://openalex.org/I103737770"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":1,"corresponding_author_ids":["https://openalex.org/A5038073224"],"corresponding_institution_ids":["https://openalex.org/I103737770"],"apc_list":null,"apc_paid":null,"fwci":2.0391,"has_fulltext":true,"cited_by_count":18,"citation_normalized_percentile":{"value":0.87729928,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":87,"max":97},"biblio":{"volume":"14","issue":"1","first_page":"5","last_page":"14"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8895999789237976,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.8895999789237976,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10127","display_name":"Banking stability, regulation, efficiency","score":0.06369999796152115,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.006800000090152025,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/systemic-liquidity-risk","display_name":"systemic liquidity risk","score":0.9990000128746033},{"id":"https://openalex.org/keywords/liquidity-stress","display_name":"liquidity stress","score":0.8679999709129333},{"id":"https://openalex.org/keywords/portfolio-theory","display_name":"portfolio theory","score":0.906000018119812},{"id":"https://openalex.org/keywords/risk-aggregation","display_name":"risk aggregation","score":0.5529999732971191},{"id":"https://openalex.org/keywords/multivariate-garch","display_name":"multivariate GARCH","score":0.9010000228881836},{"id":"https://openalex.org/keywords/dynamic-correlation","display_name":"dynamic correlation","score":0.921999990940094},{"id":"https://openalex.org/keywords/italian-financial-market","display_name":"Italian financial market","score":0.8450000286102295}],"concepts":[{"id":"https://openalex.org/C144587487","wikidata":"https://www.wikidata.org/wiki/Q1369234","display_name":"Systemic risk","level":3,"score":0.6743156909942627},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.6110724210739136},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.5582140684127808},{"id":"https://openalex.org/C183582576","wikidata":"https://www.wikidata.org/wiki/Q184783","display_name":"Market liquidity","level":2,"score":0.5115295648574829},{"id":"https://openalex.org/C73283319","wikidata":"https://www.wikidata.org/wiki/Q1416617","display_name":"Financial system","level":1,"score":0.5044981241226196},{"id":"https://openalex.org/C189259953","wikidata":"https://www.wikidata.org/wiki/Q1042259","display_name":"Liquidity risk","level":3,"score":0.4782634973526001},{"id":"https://openalex.org/C144133560","wikidata":"https://www.wikidata.org/wiki/Q4830453","display_name":"Business","level":0,"score":0.4539799392223358},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.44214388728141785},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.4085765480995178},{"id":"https://openalex.org/C2778300220","wikidata":"https://www.wikidata.org/wiki/Q114380","display_name":"Financial crisis","level":2,"score":0.3778471052646637},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.24210533499717712},{"id":"https://openalex.org/C165556158","wikidata":"https://www.wikidata.org/wiki/Q83937","display_name":"Keynesian economics","level":1,"score":0.10385212302207947}],"mesh":[],"locations_count":5,"locations":[{"id":"doi:10.1016/j.srfe.2015.12.001","doi":"https://doi.org/10.1016/j.srfe.2015.12.001","is_oa":false,"landing_page_url":"https://doi.org/10.1016/j.srfe.2015.12.001","pdf_url":null,"source":{"id":"https://openalex.org/S2898591975","display_name":"The Spanish Review of Financial Economics","issn_l":"2173-1268","issn":["2173-1268","2340-3381"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-c","cwts-core","poland-40"],"host_organization":"https://openalex.org/P4310320990","host_organization_name":"Elsevier BV","host_organization_lineage":["https://openalex.org/P4310320990"],"host_organization_lineage_names":["Elsevier BV"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"The Spanish Review of Financial Economics","raw_type":"journal-article"},{"id":"doi:10.2139/ssrn.2489885","doi":"https://doi.org/10.2139/ssrn.2489885","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2489885","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},{"id":"pmh:oai:RePEc:bdi:opques:qef_217_14","doi":null,"is_oa":true,"landing_page_url":"https://www.bancaditalia.it/pubblicazioni/qef/2014-0217/QEF_217.pdf","pdf_url":"https://www.bancaditalia.it/pubblicazioni/qef/2014-0217/QEF_217.pdf","source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"mag:3122475826","doi":null,"is_oa":false,"landing_page_url":"https://EconPapers.repec.org/RePEc:bdi:opques:qef_217_14","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"mag:3123645376","doi":null,"is_oa":false,"landing_page_url":"https://ideas.repec.org/p/bdi/opques/qef_217_14.html","pdf_url":null,"source":{"id":"https://openalex.org/S4306525206","display_name":"Questioni di Economia e Finanza (Occasional Papers)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"journal"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"Questioni di Economia e Finanza (Occasional Papers)","raw_type":null}],"best_oa_location":{"id":"doi:10.2139/ssrn.2489885","doi":"https://doi.org/10.2139/ssrn.2489885","is_oa":true,"landing_page_url":"https://doi.org/10.2139/ssrn.2489885","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"posted-content"},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2292793172.pdf","grobid_xml":"https://content.openalex.org/works/W2292793172.grobid-xml"},"referenced_works_count":54,"referenced_works":["https://openalex.org/W113044790","https://openalex.org/W195875438","https://openalex.org/W600354665","https://openalex.org/W1492458785","https://openalex.org/W1498362041","https://openalex.org/W1510473854","https://openalex.org/W1511405554","https://openalex.org/W1550350651","https://openalex.org/W1727659491","https://openalex.org/W1885931450","https://openalex.org/W1916345114","https://openalex.org/W1972275932","https://openalex.org/W1973948212","https://openalex.org/W1977480757","https://openalex.org/W2022943116","https://openalex.org/W2023240121","https://openalex.org/W2041300034","https://openalex.org/W2046519558","https://openalex.org/W2050031929","https://openalex.org/W2062296937","https://openalex.org/W2071126638","https://openalex.org/W2104456410","https://openalex.org/W2114493251","https://openalex.org/W2130126755","https://openalex.org/W2139233780","https://openalex.org/W2140585983","https://openalex.org/W2155797117","https://openalex.org/W2162765294","https://openalex.org/W2168880228","https://openalex.org/W2170860824","https://openalex.org/W2172160388","https://openalex.org/W2173892922","https://openalex.org/W2607195701","https://openalex.org/W2955080903","https://openalex.org/W3021190191","https://openalex.org/W3089136439","https://openalex.org/W3121257572","https://openalex.org/W3121364726","https://openalex.org/W3121401171","https://openalex.org/W3121453935","https://openalex.org/W3121630491","https://openalex.org/W3122031244","https://openalex.org/W3122420083","https://openalex.org/W3123085324","https://openalex.org/W3123129688","https://openalex.org/W3123899576","https://openalex.org/W3124583439","https://openalex.org/W3125382965","https://openalex.org/W3126113144","https://openalex.org/W4206220145","https://openalex.org/W4245403689","https://openalex.org/W4298222310","https://openalex.org/W6630809924","https://openalex.org/W6631759896"],"related_works":["https://openalex.org/W147285839","https://openalex.org/W7220351041","https://openalex.org/W1730353167","https://openalex.org/W2329377551","https://openalex.org/W4233491631","https://openalex.org/W3124583439","https://openalex.org/W4318821172","https://openalex.org/W7043977655","https://openalex.org/W2071126638","https://openalex.org/W2366727654"],"abstract_inverted_index":null,"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":4},{"year":2024,"cited_by_count":2},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":2},{"year":2016,"cited_by_count":2},{"year":2015,"cited_by_count":1}],"updated_date":"2026-11-09T13:22:03.289127","created_date":"2016-06-24T00:00:00"}
