Arianna Agosto : Citation Profile


Are you Arianna Agosto?

Università degli Studi di Pavia

4

H index

1

i10 index

37

Citations

RESEARCH PRODUCTION:

9

Articles

8

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 3
   Journals where Arianna Agosto has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 6 (13.95 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pag213
   Updated: 2022-01-15    RAS profile: 2021-06-24    
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Relations with other researchers


Works with:

Giudici, Paolo (7)

Ahelegbey, Daniel Felix (3)

Moretto, Enrico (2)

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

Is cited by:

Rahbek, Anders (4)

Cavaliere, Giuseppe (3)

Lin, Boqiang (2)

Giudici, Paolo (2)

Ahelegbey, Daniel Felix (2)

Okorie, David (2)

Koopman, Siem Jan (1)

Francq, Christian (1)

Aysan, Ahmet (1)

Bartolucci, Francesco (1)

Caporale, Guglielmo Maria (1)

Cites to:

Rahbek, Anders (6)

Kristensen, Dennis (5)

Billio, Monica (4)

Moretto, Enrico (3)

Cavaliere, Giuseppe (3)

Diebold, Francis (3)

Yilmaz, Kamil (3)

Leland, Hayne (3)

merton, robert (3)

Engle, Robert (2)

Schwaab, Bernd (2)

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 (2021 and 2020)


YearTitle of citing document
2020A review of the Dividend Discount Model: from deterministic to stochastic models. (2020). de Blasis, Riccardo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2001.00465.

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2021Specification tests for GARCH processes. (2021). Rahbek, Anders ; Perera, Indeewara ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2105.14081.

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2021The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20. (2021). Spagnolo, Nicola ; Kang, Woo-Young ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9299.

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2021Bitcoin and the South Sea Company: A comparative analysis. (2021). Fernandez, Amilcar Orlian ; Demmler, Michael . In: Revista Finanzas y Politica Economica. RePEc:col:000443:019660.

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2021Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory. (2021). Wang, Xunhong ; Li, Yiou ; Yuan, Ying. In: Economic Modelling. RePEc:eee:ecmode:v:94:y:2021:i:c:p:401-414.

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2021A model-based index for systemic risk contribution measurement in financial networks. (2021). Zhu, LI ; Zhang, Ziqing ; Deng, Yang. In: Economic Modelling. RePEc:eee:ecmode:v:95:y:2021:i:c:p:35-48.

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2021Default clustering of the nonfinancial sector and systemic risk: Evidence from China. (2021). Shen, Jie ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:96:y:2021:i:c:p:196-208.

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2021Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic. (2021). Lin, Boqiang ; Okorie, David. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:57:y:2021:i:c:s1062940821000322.

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2021Tail risk measurement in crypto-asset markets. (2021). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302477.

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2021Stock markets and the COVID-19 fractal contagion effects. (2021). Lin, Boqiang ; Okorie, David Iheke. In: Finance Research Letters. RePEc:eee:finlet:v:38:y:2021:i:c:s1544612320305638.

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2021Semiparametric time series models driven by latent factor. (2021). Ombao, Hernando ; de Souza, Fernando ; Barreto-Souza, Wagner ; de Oliveira, Gisele. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1463-1479.

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2021Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach. (2021). Xu, Fuwei ; Su, Zhi. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:60:y:2021:i:c:s1042444x21000050.

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2021.

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2020Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?. (2020). de Giuli, Maria Elena ; DeGiuli, Maria Elena ; Pagnottoni, Paolo ; Resta, Marina. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:2:p:44-:d:354452.

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2020First Quarter Chronicle of COVID-19: An Attempt to Measure Governments’ Responses. (2020). Constantinescu, Corina ; del Carmen, Maria ; Ahin, Ule ; Zhu, Wei ; Wang, Jing ; Henshaw, Kira ; Eisenberg, Julia. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:4:p:115-:d:439377.

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2021Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak. (2021). Aysan, Ahmet ; Topuz, Humeyra ; Ul, Asad. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:74-:d:535495.

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2021The Use of Discriminant Analysis to Assess the Risk of Bankruptcy of Enterprises in Crisis Conditions Using the Example of the Tourism Sector in Poland. (2021). Wieprow, Joanna ; Gawlik, Agnieszka. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:4:p:78-:d:537746.

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2021Specification tests for GARCH processes. (2021). Cavaliere, Giuseppe ; Rahbek, Anders ; Perera, Indeewara. In: Discussion Papers. RePEc:kud:kuiedp:2106.

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2020Tail Risk Measurement In Crypto-Asset Markets. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Mojtahedi, Fatemeh. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0186.

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2020On the use of growth models to understand epidemic outbreaks with application to COVID-19 data. (2020). Kakai, Romain Glele ; Lokonon, Bruno Enagnon ; Tovissode, Chenangnon Frederic. In: PLOS ONE. RePEc:plo:pone00:0240578.

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2020Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model. (2020). Bartolucci, Francesco ; Ametrano, Ferdinando ; Forte, Gianfranco ; Pennoni, Fulvia. In: MPRA Paper. RePEc:pra:mprapa:106150.

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2020Self-excited hysteretic negative binomial autoregression. (2020). Liu, Mengya ; Zhu, Fukang. In: AStA Advances in Statistical Analysis. RePEc:spr:alstar:v:104:y:2020:i:3:d:10.1007_s10182-019-00360-6.

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2021Investigating the relationship between volatilities of cryptocurrencies and other financial assets. (2021). Jeribi, Ahmed ; Ghorbel, Achraf . In: Decisions in Economics and Finance. RePEc:spr:decfin:v:44:y:2021:i:2:d:10.1007_s10203-020-00312-9.

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2021COVID-19 pandemic risk and probability of loan default: evidence from marketplace lending market. (2021). Shams, Syed ; Nigmonov, Asror. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00300-x.

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2020Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects. (2020). Koopman, Siem Jan ; Gorgi, Paolo. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20200004.

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Works by Arianna Agosto:


YearTitleTypeCited
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
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paper14
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 14
article
2013Variance matters (in stochastic dividend discount models) In: Papers.
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paper5
2015Variance matters (in stochastic dividend discount models).(2015) In: Annals of Finance.
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This paper has another version. Agregated cites: 5
article
2017Covariance of random stock prices in the Stochastic Dividend Discount Model In: Papers.
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paper0
2020Tree networks to assess financial contagion In: Economic Modelling.
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article5
2020Tree Networks to assess Financial Contagion.(2020) In: MPRA Paper.
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This paper has another version. Agregated cites: 5
paper
2020Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market In: Risks.
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article7
2020A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics In: Risks.
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article3
2020A Poisson autoregressive model to understand COVID-19 contagion dynamics.(2020) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 3
paper
2010Applying default probabilities in an exponential barrier structural model In: Economics and Quantitative Methods.
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paper0
2020A rank graduation accuracy measure In: DEM Working Papers Series.
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paper0
2020Default count-based network models for credit contagion In: DEM Working Papers Series.
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paper1
2020COVID-19 contagion and digital finance In: Digital Finance.
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article1
2019Stochastic dividend discount model: covariance of random stock prices In: Journal of Economics and Finance.
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article1
2021Financial contagion through space-time point processes In: Statistical Methods & Applications.
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article0
2012Exploiting default probabilities in a structural model with nonconstant barrier In: Applied Financial Economics.
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article0

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