Raffaella Calabrese : Citation Profile

Are you Raffaella Calabrese?

University of Essex

6

H index

3

i10 index

109

Citations

RESEARCH PRODUCTION:

16

Articles

13

Papers

1

Chapters

RESEARCH ACTIVITY:

   7 years (2010 - 2017). See details.
   Cites by year: 15
   Journals where Raffaella Calabrese has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 13 (10.66 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca878
   Updated: 2019-10-15    RAS profile: 2019-01-09    
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Relations with other researchers

Works with:

Giudici, Paolo (4)

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

Is cited by:

Lu, Yang (6)

Seidler, Jakub (5)

Belyaev, Konstantin (5)

Konecny, Tomas (5)

Leymarie, Jérémy (4)

Hurlin, Christophe (4)

Keijsers, Bart (3)

Kole, Erik (3)

Zinde-Walsh, Victoria (3)

Papanikolaou, Nikolaos (3)

Ahelegbey, Daniel Felix (2)

Cites to:

Giudici, Paolo (4)

Koetter, Michael (4)

Zenga, Michele (4)

Tasche, Dirk (4)

Zanin, Luca (4)

Mussida, Chiara (4)

Dermine, jean (4)

Arena, Marco (4)

Anselin, Luc (3)

Pacelli, Lia (3)

Lelyveld, Iman (3)

Main data

Where Raffaella Calabrese has published?

Journals with more than one article published# docs
European Journal of Operational Research3
Journal of the Operational Research Society3
Journal of Applied Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / Geary Institute, University College Dublin9
Papers / arXiv.org2
DEM Working Papers Series / University of Pavia, Department of Economics and Management2

Recent works citing Raffaella Calabrese (2019 and 2018)

YearTitle of citing document
2017THE FINANCIAL CRISIS RESPONSE. COMPARATIVE ANALYSIS BETWEEN EUROPEAN UNION AND USA. (2017). Melnic, Florentina. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2017:j:19:melnicf.

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2018Estimating Interdependence Across Space, Time and Outcomes in Binary Choice Models Using Pseudo Maximum Likelihood Estimators. (2018). Kachi, Aya ; Hunziker, Philipp ; Bormann, Nils-Christian ; Wucherpfennig, Julian. In: Working papers. RePEc:bsl:wpaper:2018/11.

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2017The time dimension of the links between loss given default and the macroeconomy. (2017). Seidler, Jakub ; Konecny, Tomas ; Belyaev, Konstantin ; Belyaeva, Aelita ; Konen, Toma . In: Working Paper Series. RePEc:ecb:ecbwps:20172037.

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2019Estimating Peer Effects on Career Choice: A Spatial Multinomial Logit Approach. (2019). Li, Bolun ; Williams, Jenny ; Sickles, Robin C. In: Working Papers. RePEc:ecl:riceco:19-001.

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2018Geographical factors and business failure: An empirical study from the Madrid metropolitan area. (2018). Mate-Sanchez, Mariluz ; Rodriguez, Christian Camilo ; Lopez-Hernandez, Fernando. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:275-283.

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2018Asymmetric, closed-form, finite-parameter models of multinomial choice. (2018). Brathwaite, Timothy ; Walker, Joan L. In: Journal of choice modelling. RePEc:eee:eejocm:v:29:y:2018:i:c:p:78-112.

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2017Fuzzy decision fusion approach for loss-given-default modeling. (2017). Nazemi, Abdolreza ; Fabozzi, Frank J ; Heidenreich, Konstantin ; Pour, Farnoosh Fatemi . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:780-791.

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2017Enhancing two-stage modelling methodology for loss given default with support vector machines. (2017). Yao, Xiao ; Andreeva, Galina ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:679-689.

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2018Loss functions for Loss Given Default model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:348-360.

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2018Liquidity tail risk and credit default swap spreads. (2018). Irresberger, Felix ; Gabrysch, Sandra. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1137-1153.

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2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions. (2018). Nazemi, Abdolreza ; Fabozzi, Frank J ; Heidenreich, Konstantin. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:664-675.

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2018Systematic Effects among Loss Given Defaults and their Implications on Downturn Estimation. (2018). Betz, Jennifer ; Rosch, Daniel ; Kellner, Ralf . In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:3:p:1113-1144.

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2019News-based forecasts of macroeconomic indicators: A semantic path model for interpretable predictions. (2019). Feuerriegel, Stefan ; Gordon, Julius. In: European Journal of Operational Research. RePEc:eee:ejores:v:272:y:2019:i:1:p:162-175.

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2019Deep learning models for bankruptcy prediction using textual disclosures. (2019). Mai, Feng ; Lee, Chihoon ; Tian, Shaonan. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:2:p:743-758.

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2019Sharp asymptotics for large portfolio losses under extreme risks. (2019). Yang, Yang ; Tang, Zhaofeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:2:p:710-722.

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2018Business failure, efficiency, and volatility: Evidence from the European insurance industry. (2018). Eling, Martin ; Jia, Ruo. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:58-76.

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2018To be bailed out or to be left to fail? A dynamic competing risks hazard analysis. (2018). Papanikolaou, Nikolaos. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:61-85.

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2017A limit distribution of credit portfolio losses with low default probabilities. (2017). Shi, Xiaojun ; Yuan, Zhongyi ; Tang, Qihe. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:156-167.

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2018Forecasting distress in cooperative banks: The role of asset quality. (2018). Migliardo, Carlo ; Forgione, Antonio Fabio . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:678-695.

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2017Downturn LGD modeling using quantile regression. (2017). Kruger, Steffen ; Rosch, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:42-56.

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2018Loss given default adjusted workout processes for leases. (2018). Miller, Patrick ; Tows, Eugen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:189-201.

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2018A reinforced urn process modeling of recovery rates and recovery times. (2018). Cheng, Dan ; Cirillo, Pasquale. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:1-17.

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2018Bankruptcy prediction in the agribusiness sector: Lessons from quantitative and qualitative approaches. (2018). Boratyska, Katarzyna ; Grzegorzewska, Emilia. In: Journal of Business Research. RePEc:eee:jbrese:v:89:y:2018:i:c:p:175-181.

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2019Latent factor models for credit scoring in P2P systems. (2019). Ahelegbey, Daniel Felix ; Hadji-Misheva, Branka ; Giudici, Paolo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:522:y:2019:i:c:p:112-121.

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2019Forecasting SMEs credit risk in supply chain finance with an enhanced hybrid ensemble machine learning approach. (2019). Wang, Gang-Jin ; Xie, Chi ; Zhou, LI ; Zhu, You ; Nguyen, Truong V. In: International Journal of Production Economics. RePEc:eee:proeco:v:211:y:2019:i:c:p:22-33.

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2017Approximate likelihood estimation of spatial probit models. (2017). Martinetti, Davide ; Geniaux, Ghislain. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:64:y:2017:i:c:p:30-45.

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2018Financial data science. (2018). Giudici, Paolo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:136:y:2018:i:c:p:160-164.

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2017What’s So Spatial about Diversification in Nigeria?. (2017). Radchenko, Natalia ; Corral Rodas, Paul. In: World Development. RePEc:eee:wdevel:v:95:y:2017:i:c:p:231-253.

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2017The Time Dimension of the Links Between Loss Given Default and the Macroeconomy. (2017). Seidler, Jakub ; Konecny, Tomas ; Belyaev, Konstantin ; Belyaeva, Aelta. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:6:p:462-491.

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2019Modelling Recovery Rates for Non-Performing Loans. (2019). Bellotti, Anthony ; Ye, Hui. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:1:p:19-:d:207676.

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2019The Time-Spatial Dimension of Eurozone Banking Systemic Risk. (2019). Angelini, Eliana ; Foglia, Matteo. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:75-:d:246287.

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2019An Urn-Based Nonparametric Modeling of the Dependence between PD and LGD with an Application to Mortgages. (2019). Cirillo, Pasquale ; Cheng, Dan. In: Risks. RePEc:gam:jrisks:v:7:y:2019:i:3:p:76-:d:246367.

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2018Financial Risk Measurement and Prediction Modelling for Sustainable Development of Business Entities Using Regression Analysis. (2018). Valaskova, Katarina ; Adamko, Peter ; Svabova, Lucia ; Kliestik, Tomas. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:7:p:2144-:d:154028.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: Working Papers. RePEc:hal:wpaper:hal-02089698.

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2018Loss functions for LGD model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: Working Papers. RePEc:hal:wpaper:halshs-01516147.

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2018The pyramid of Okun’s coefficient for Italy. (2018). Zanin, Luca. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:1:d:10.1007_s10663-016-9343-5.

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2019Predicting Loss Distributions for Small-Size Defaulted-Debt Portfolios Using a Convolution Technique that Allows Probability Masses to Occur at Boundary Points. (2019). Hwang, Ruey-Ching ; Chu, Chih-Kang. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:56:y:2019:i:1:d:10.1007_s10693-018-0289-6.

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2017Local logit regression for recovery rate. (2017). GAO, Jiti ; Silvapulle, Param ; Sopitpongstorn, Nithi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-19.

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2017Sustainable technology adoption: a spatial analysis of the Irish Dairy Sector. (2017). O'Donoghue, Cathal ; Odonoghue, Cathal ; Lacombe, Donald J ; Holloway, Garth ; Lapple, Doris. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:44:y:2017:i:5:p:810-835..

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2018The cost of floods in developing countries’ megacities: A hedonic price analysis of the Jakarta housing market, Indonesia. (2018). Resosudarmo, Budy P ; Alvarez, Jose Cobian. In: Departmental Working Papers. RePEc:pas:papers:2018-05.

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2018Latent Factor Models for Credit Scoring in P2P Systems. (2018). Ahelegbey, Daniel Felix ; Hadji-Misheva, Branka ; Giudici, Paolo. In: MPRA Paper. RePEc:pra:mprapa:92636.

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2019Bank loans recovery rate in commercial banks: A case study of non-financial corporations. (2019). nehrebecka, natalia. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:37:y:2019:i:1:p:139-172.

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2017Reinsurance Demand and Liquidity Creation. (2017). Dionne, Georges ; Desjardins, Denise. In: Working Papers. RePEc:ris:crcrmw:2017_003.

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2018МОДЕЛЬ ОЦЕНКИ ВЕРОЯТНОСТИ ОТЗЫВА ЛИЦЕНЗИИ У РОССИЙСКОГО БАНКА // MODEL FOR ASSESSING THE PROBABILITY OF REVOCATION OF A LICENSE FROM THE RUSSIAN B. (2018). Bidzhoyan, D ; Д. Биджоян С., . In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2018:i:2:p:26-37.

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2018Efficient MCMC estimation of inflated beta regression models. (2018). Li, Phillip. In: Computational Statistics. RePEc:spr:compst:v:33:y:2018:i:1:d:10.1007_s00180-017-0747-x.

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2017Bad neighbors? How co-located Chinese and World Bank development projects impact local corruption in Tanzania. (2017). Brazys, Samuel ; Kelly, Gina ; Elkink, Johan A. In: The Review of International Organizations. RePEc:spr:revint:v:12:y:2017:i:2:d:10.1007_s11558-017-9273-4.

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2018Two-scale spatial models for binary data. (2018). Hardouin, Cecile ; Cressie, Noel. In: Statistical Methods & Applications. RePEc:spr:stmapp:v:27:y:2018:i:1:d:10.1007_s10260-017-0391-1.

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2017Cyclicality in Losses on Bank Loans. (2017). Kole, Erik ; Keijsers, Bart ; Diris, Bart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150050.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: CEPN Working Papers. RePEc:upn:wpaper:2019-05.

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2017Variable selection in high‐dimensional regression: a nonparametric procedure for business failure prediction. (2017). Amendola, Alessandra ; Restaino, Marialuisa ; Parrella, Maria Lucia ; Giordano, Francesco. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:33:y:2017:i:4:p:355-368.

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2017PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES. (2017). Chellathurai, Thamayanthi. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500236.

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2017IS SOCIAL CAPITAL IMPORTANT IN FORMAL-INFORMAL SECTOR LINKAGES?. (2017). Koto, Prosper Senyo . In: Journal of Developmental Entrepreneurship (JDE). RePEc:wsi:jdexxx:v:22:y:2017:i:02:n:s108494671750008x.

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2018The Benefits and Costs of the TARP Bailouts: A Critical Assessment. (2018). Berger, Allen N. In: Quarterly Journal of Finance (QJF). RePEc:wsi:qjfxxx:v:08:y:2018:i:02:n:s2010139218500118.

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Works by Raffaella Calabrese:

YearTitleTypeCited
2014Modelling cross-border systemic risk in the European banking sector: a copula approach In: Papers.
[Full Text][Citation analysis]		paper0
2014A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models In: Papers.
[Full Text][Citation analysis]		paper3
2016A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models.(2016) In: European Journal of Operational Research.
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This paper has another version. Agregated cites: 3		article
2014ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY In: Journal of Regional Science.
[Full Text][Citation analysis]		article11
2012Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study.(2012) In: Working Papers.
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2013A probabilistic scheme with uniform correlation structure In: Statistics in Transition new series.
[Full Text][Citation analysis]		article0
2014Downturn Loss Given Default: Mixture distribution estimation In: European Journal of Operational Research.
[Full Text][Citation analysis]		article10
2017The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach In: European Journal of Operational Research.
[Full Text][Citation analysis]		article7
2010Bank loan recovery rates: Measuring and nonparametric density estimation In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article42
2013Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme In: Statistics & Probability Letters.
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2012Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme.(2012) In: Working Papers.
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2016Estimating Binary Spatial Autoregressive Models for Rare Events In: Advances in Econometrics.
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2015Estimating bank default with generalised extreme value regression models In: Journal of the Operational Research Society.
[Full Text][Citation analysis]		article7
2016Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model In: Journal of the Operational Research Society.
[Full Text][Citation analysis]		article4
2017Measuring bank contagion in Europe using binary spatial regression models In: Journal of the Operational Research Society.
[Full Text][Citation analysis]		article1
2014Measuring Bank Contagion in Europe Using Binary Spatial Regression Models.(2014) In: DEM Working Papers Series.
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2013Estimating bank default with generalised extreme value models In: DEM Working Papers Series.
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2017Interaction effects of region-level GDP per capita and age on labour market transition rates in Italy In: IZA Journal of Labor Economics.
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2013Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model In: Journal of Applied Statistics.
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2014Optimal cut-off for rare events and unbalanced misclassification costs In: Journal of Applied Statistics.
[Full Text][Citation analysis]		article1
2011Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults In: Working Papers.
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2011Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs In: Working Papers.
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2012Improving Classifier Performance Assessment of Credit Scoring Models In: Working Papers.
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2012Regression Model for Proportions with Probability Masses at Zero and One In: Working Papers.
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2012Single-name concentration risk in credit portfolios: a comparison of concentration indices In: Working Papers.
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2012Estimating bank loans loss given default by generalized additive models In: Working Papers.
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2012Modelling Downturn Loss Given Default In: Working Papers.
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2014Predicting bank loan recovery rates with a mixed continuous‐discrete model In: Applied Stochastic Models in Business and Industry.
[Full Text][Citation analysis]		article8
2015Improving Forecast of Binary Rare Events Data: A GAM‐Based Approach In: Journal of Forecasting.
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2019“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults In: Risk Analysis.
[Full Text][Citation analysis]		article1

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