Loughborough University
Leicestershire, UK
LE11 3TU
+44 (0)1509 263171
Loughborough University

Loughborough University Research Publications


Publications for Giovanni Calice

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Journal Articles

Ahmed, K and Calice, G (2022) The Effects of Supervisory Stress Testing on Bank Lending: Examining Large UK Banks, Journal of Banking Regulation, pp.1-20, ISSN: 1465-4830. DOI: 10.1057/s41261-022-00195-3.

Calice, G and Gam, YK (2022) US National Banks and Local Economic Fragility, Journal of Financial Services Research, ISSN: 0920-8550. DOI: 10.1007/s10693-022-00382-3.

Calice, G and Lin, M-T (2021) Exploring Risk Premium Factors for Country Equity Returns, Journal of Empirical Finance, 63, pp.294-322, ISSN: 0927-5398. DOI: 10.1016/j.jempfin.2021.07.003.

Alsubaiei, B, Calice, G, Vivian, A (2021) Sovereign CDS and Mutual Funds: Global Evidence, Journal of International Financial Markets, Institutions and Money, 73, 101354, ISSN: 1042-4431. DOI: 10.1016/j.intfin.2021.101354.

Alsubaiei, B, Calice, G, Vivian, A (2020) How Does Mutual Fund Flow Respond to Oil Market Volatility?, The European Journal of Finance, pp.1-25, ISSN: 1351-847X. DOI: 10.1080/1351847X.2020.1842784.

Calice, G, Chen, J, Williams, J (2020) Forecasting Options Prices Using Discrete Time Volatility Models Estimated at Mixed Timescales, The Journal of Derivatives, 27(3), pp.45-74, ISSN: 1074-1240. DOI: 10.3905/jod.2019.1.094.

Calice, G and Zeng, M (2019) The Term Structure of Sovereign Credit Default Swap and the Cross‐Section of Exchange Rate Predictability, International Journal of Finance & Economics, 26(1), pp.445-458, ISSN: 1076-9307. DOI: 10.1002/ijfe.1798.

Calice, G, Kutlu, L, Zeng, M (2019) Understanding US Firm Efficiency and its Asset Pricing Implications, Empirical Economics, pp.1-25, ISSN: 0377-7332. DOI: 10.1007/s00181-019-01775-5.

Calice, G, Ioannidis, C, Miao, R (2016) A Markov Switching Unobserved Component Analysis of the CDX Index Term Premium, International Review of Financial Analysis, 44, pp.189-204, ISSN: 1057-5219. DOI: 10.1016/j.irfa.2016.01.020.

Calice, G, Miao, R, Sterba, F, Vasicek, B (2015) Short-Term Determinants of the Idiosyncratic Sovereign Risk Premium: A Regime-Dependent Analysis for European Credit Default Swaps, Journal of Empirical Finance, 33, pp.174-189, ISSN: 0927-5398. DOI: 10.1016/j.jempfin.2015.03.018.

Calice, G (2014) CDX and iTraxx and their Relation to the Systemically Important Financial Institutions: Evidence from the 2008-2009 Financial Crisis, Journal of International Financial Markets, Institutions and Money, 32(1), pp.20-37, ISSN: 1042-4431. DOI: 10.1016/j.intfin.2014.03.011.

Calice, G, Chen, J, Williams, J (2013) Are There Benefits to Being Naked? The Returns and Diversification Impact of Capital Structure Arbitrage, European Journal of Finance, 19(9), pp.815-840, ISSN: 1351-847X. DOI: 10.1080/1351847X.2011.637115.

Calice, G, Chen, J, Williams, J (2013) Liquidity Spillovers in Sovereign Bond and CDS Markets: An Analysis of the Eurozone Sovereign Debt Crisis, Journal of Economic Behavior and Organization, 85(1), pp.122-143, ISSN: 0167-2681. DOI: 10.1016/j.jebo.2011.10.013.

Calice, G and Ioannidis, C (2012) An Empirical Analysis of the Impact of the Credit Default Swap Index Market on Large Complex Financial Institutions, International Review of Financial Analysis, 25, pp.117-130, ISSN: 1057-5219. DOI: 10.1016/j.irfa.2012.06.006.

Calice, G, Ioannidis, C, Williams, J (2012) Credit Derivatives and the Default Risk of Large Complex Financial Institutions, Journal of Financial Services Research, 42(1-2), pp.85-107, ISSN: 0920-8550. DOI: 10.1007/s10693-011-0121-z.

Calice, G (2011) The Subprime Asset-Backed Securities Market and the Equity Prices of Large Complex Financial Institutions, Journal of International Financial Markets, Institutions and Money, 21(4), pp.585-604, ISSN: 1042-4431. DOI: 10.1016/j.intfin.2011.04.001.



Chapters

Calice, G, Chen, J, Williams, J (2016) Are there benefits to being naked? The returns and diversification impact of capital structure arbitrage. In Contemporary Issues in Financial Institutions and Markets, pp.5-30, ISBN: 9781317610038.

Calice, G, Chen, J, Williams, J (2013) Liquidity spillovers in credit markets during the Eurozone crisis. In Financial Crisis Containment and Government Guarantees, pp.230-248, ISBN: 9781781004999.



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Leicestershire
LE11 3TU
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