Arianna Agosto : Citation Profile

Are you Arianna Agosto?

Università degli Studi di Pavia

5

H index

3

i10 index

94

Citations

RESEARCH PRODUCTION:

9

Articles

8

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 8
   Journals where Arianna Agosto has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 6 (6 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pag213
   Updated: 2024-11-08    RAS profile: 2021-06-24    
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Relations with other researchers

Works with:

Giudici, Paolo (7)

Ahelegbey, Daniel Felix (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Arianna Agosto.

Is cited by:

Cavaliere, Giuseppe (6)

Rahbek, Anders (4)

Giudici, Paolo (2)

Okorie, David (2)

Lin, Boqiang (2)

De Angelis, Luca (2)

Ahelegbey, Daniel Felix (2)

Bartolucci, Francesco (2)

Koopman, Siem Jan (2)

Pennoni, Fulvia (2)

Ferreira, Paulo (1)

Cites to:

Giudici, Paolo (8)

Rahbek, Anders (7)

Kristensen, Dennis (6)

Cavaliere, Giuseppe (4)

Billio, Monica (4)

merton, robert (4)

Moretto, Enrico (4)

Engle, Robert (3)

Yilmaz, Kamil (3)

Leland, Hayne (3)

Diebold, Francis (3)

Main data

Where Arianna Agosto has published?

Journals with more than one article published# docs
Risks2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management3
Papers / arXiv.org2

Recent works citing Arianna Agosto (2024 and 2023)

YearTitle of citing document
2023Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2019). Kristensen, Dennis ; Lee, Young Jun. In: Papers. RePEc:arx:papers:1904.05209.

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2024Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2023Parameter Estimation Methods of Required Rate of Return. (2023). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2305.19708.

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2024Dividend based risk measures: A Markov chain approach. (2024). de Blasis, Riccardo ; D'Amico, Guglielmo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:471:y:2024:i:c:s0096300324000833.

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2024Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962.

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2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

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2023Beta observation-driven models with exogenous regressors: A joint analysis of realized correlation and leverage effects. (2023). Koopman, Siem Jan ; Gorgi, P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407621002165.

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2023Structural models for fog computing based internet of things architectures with insurance and risk management applications. (2023). Zhao, Peng ; Su, Jianxi ; Xu, Maochao ; Zhang, Xiaoyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1273-1291.

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2023Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328.

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2023A new way of measuring effects of financial crisis on contagion in currency markets. (2023). Cook, Samantha ; Wit, Ernst-Jan Camiel ; Rigana, Katerina. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923002806.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2023The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19. (2023). Çevik, Emrah ; Yildirim, Durmu Ari ; Dibooglu, Sel ; Gunay, Samet ; Cevik, Emrah Ismail. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001411.

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2023What drives DeFi market returns?. (2023). Jimenez-Garces, Sonia ; Dumas, Jean-Guillaume ; Oiman, Florentina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000549.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). Jawadi, Fredj ; Bastidon, Cecile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2023Bitcoin market networks and cyberattacks. (2023). Sousa, Ricardo ; Costantini, Mauro ; Mishra, Tapas ; Maaitah, Ahmad. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123007203.

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2023Exploring the spatial linkage network of peer-to-peer lending in China. (2023). Wei, Xiaolin ; Chong, Zhaohui. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:630:y:2023:i:c:s0378437123008348.

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2024Global economic policy uncertainty and the stability of cryptocurrency returns: The role of liquidity volatility. (2024). Xu, Kunpeng ; Kong, Deli ; Zhang, Pengcheng ; Qi, Jiayin. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s027553192300291x.

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2023Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317.

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2023.

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2023.

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2023The Efficiency of Value-at-Risk Models during Extreme Market Stress in Cryptocurrencies. (2023). Wiwattanalamphong, Karawan ; Pinmanee, Chakrin ; Chudasring, Pan ; Likitratcharoen, Danai. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:5:p:4395-:d:1084627.

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2023Disentangling the effect of measures, variants, and vaccines on SARS-CoV-2 infections in England: a dynamic intensity model. (2023). Madeira, Joao ; Cornea-Madeira, Adriana ; Boldea, Otilia. In: The Econometrics Journal. RePEc:oup:emjrnl:v:26:y:2023:i:3:p:444-466..

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2023Are DeFi tokens a separate asset class from conventional cryptocurrencies?. (2023). Corbet, Shaen ; Kaskaloglu, Kerem ; Gunay, Samet ; Goodell, John W. In: Annals of Operations Research. RePEc:spr:annopr:v:322:y:2023:i:2:d:10.1007_s10479-022-05150-z.

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2023Gazing through the bubble: an experimental investigation into financial risk-taking using eye-tracking. (2023). Miyakoshi, Makoto ; Kubinschi, Matei Nicolae ; Cepoi, Cosmin-Octavian ; Toma, Filip-Mihai. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00444-4.

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2023A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5.

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2023A new grey system approach to forecast closing price of Bitcoin, Bionic, Cardano, Dogecoin, Ethereum, XRP Cryptocurrencies. (2023). Bose, S C ; Pandey, Alok Kumar ; Singh, Pawan Kumar. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01463-0.

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2023Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9.

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Works by Arianna Agosto:

YearTitleTypeCited
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper29
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		article
2013Variance matters (in stochastic dividend discount models) In: Papers.
[Full Text][Citation analysis]		paper7
2015Variance matters (in stochastic dividend discount models).(2015) In: Annals of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2017Covariance of random stock prices in the Stochastic Dividend Discount Model In: Papers.
[Full Text][Citation analysis]		paper0
2020Tree networks to assess financial contagion In: Economic Modelling.
[Full Text][Citation analysis]		article15
2020Tree Networks to assess Financial Contagion.(2020) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2020Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market In: Risks.
[Full Text][Citation analysis]		article29
2020A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics In: Risks.
[Full Text][Citation analysis]		article6
2020A Poisson autoregressive model to understand COVID-19 contagion dynamics.(2020) In: DEM Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2010Applying default probabilities in an exponential barrier structural model In: Economics and Quantitative Methods.
[Full Text][Citation analysis]		paper0
2020A rank graduation accuracy measure In: DEM Working Papers Series.
[Full Text][Citation analysis]		paper0
2020Default count-based network models for credit contagion In: DEM Working Papers Series.
[Full Text][Citation analysis]		paper2
2020COVID-19 contagion and digital finance In: Digital Finance.
[Full Text][Citation analysis]		article1
2019Stochastic dividend discount model: covariance of random stock prices In: Journal of Economics and Finance.
[Full Text][Citation analysis]		article3
2021Financial contagion through space-time point processes In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article2
2012Exploiting default probabilities in a structural model with nonconstant barrier In: Applied Financial Economics.
[Full Text][Citation analysis]		article0

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