Raffaella Calabrese : Citation Profile


Are you Raffaella Calabrese?

University of Edinburgh

8

H index

8

i10 index

200

Citations

RESEARCH PRODUCTION:

21

Articles

13

Papers

2

Chapters

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 18
   Journals where Raffaella Calabrese has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 16 (7.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca878
   Updated: 2022-10-01    RAS profile: 2021-07-26    
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Relations with other researchers


Works with:

Zanin, Luca (2)

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

Is cited by:

Giudici, Paolo (8)

Zanin, Luca (7)

Lu, Yang (6)

Punzo, Antonio (5)

Konecny, Tomas (5)

Belyaev, Konstantin (5)

Seidler, Jakub (5)

Liberati, Caterina (4)

Hurlin, Christophe (4)

Crosato, Lisa (4)

Leymarie, Jérémy (4)

Cites to:

Giudici, Paolo (5)

Zenga, Michele (5)

Arena, Marco (5)

Lelyveld, Iman (5)

Manganelli, Simone (5)

Mussida, Chiara (4)

Tasche, Dirk (4)

Liedorp, Franka (4)

Zanin, Luca (4)

de Vries, Casper (4)

Gropp, Reint (4)

Main data


Where Raffaella Calabrese has published?


Journals with more than one article published# docs
European Journal of Operational Research5
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
DEM Working Papers Series / University of Pavia, Department of Economics and Management2
Papers / arXiv.org2

Recent works citing Raffaella Calabrese (2022 and 2021)


YearTitle of citing document
2021Look Whos Talking: Interpretable Machine Learning for Assessing Italian SMEs Credit Default. (2021). Liberati, Caterina ; Repetto, Marco ; Crosato, Lisa. In: Papers. RePEc:arx:papers:2108.13914.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2021Time matters: How default resolution times impact final loss rates. (2021). Rosch, Daniel ; Kellner, Ralf ; Betz, Jennifer. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:70:y:2021:i:3:p:619-644.

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2021US government TARP bailout and bank lottery behavior. (2021). Kasanen, Eero ; del Viva, Luca ; Trigeorgis, Lenos ; Saunders, Anthony. In: Journal of Corporate Finance. RePEc:eee:corfin:v:66:y:2021:i:c:s0929119920302212.

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2022Predicting the portfolio risk of high-dimensional international stock indices with dynamic spatial dependence. (2022). Liu, Xing ; Tan, Chunzhi ; Zhang, Wei Guo ; Mo, Guoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001765.

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2021Predicting SME’s default: Are their websites informative?. (2021). Liberati, Caterina ; Crosato, Lisa ; Domenech, Josep. In: Economics Letters. RePEc:eee:ecolet:v:204:y:2021:i:c:s0165176521001658.

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2021Addressing systemic risk using contingent convertible debt – A network analysis. (2021). Lu, Yueliang ; Wang, Runzu ; Gupta, Aparna. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:1:p:263-277.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2021The value of text for small business default prediction: A Deep Learning approach. (2021). Bravo, Cristian ; Mues, Christophe ; Stevenson, Matthew. In: European Journal of Operational Research. RePEc:eee:ejores:v:295:y:2021:i:2:p:758-771.

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2022A class of categorization methods for credit scoring models. (2022). Magalhes, Tiago M. In: European Journal of Operational Research. RePEc:eee:ejores:v:296:y:2022:i:1:p:323-331.

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2022Intertemporal defaulted bond recoveries prediction via machine learning. (2022). Fabozzi, Frank J ; Baumann, Friedrich ; Nazemi, Abdolreza. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:3:p:1162-1177.

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2022Dynamic large financial networks via conditional expected shortfalls. (2022). Caporin, Massimiliano ; Maillet, Bertrand B ; Bonaccolto, Giovanni. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:1:p:322-336.

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2022Benchmarking forecast approaches for mortgage credit risk for forward periods. (2022). Scheule, Harald ; Luong, Thi Mai. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:750-767.

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2022Fat tails, serial dependence, and implied volatility index connections. (2022). Ellington, Michael. In: European Journal of Operational Research. RePEc:eee:ejores:v:299:y:2022:i:2:p:768-779.

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2022Are tenants willing to pay for energy efficiency? Evidence from a small-scale spatial analysis in Germany. (2022). Stelzer, Franziska ; Stelk, Ines ; Marz, Steven. In: Energy Policy. RePEc:eee:enepol:v:161:y:2022:i:c:s0301421521006194.

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2021Banking research in the time of COVID-19. (2021). Demirguc-Kunt, Asli ; Demirgu-Kunt, Asli ; Berger, Allen N. In: Journal of Financial Stability. RePEc:eee:finsta:v:57:y:2021:i:c:s157230892100098x.

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2022Deep learning for modeling the collection rate for third-party buyers. (2022). Hochstotter, Markus ; Fabozzi, Frank J ; Rezazadeh, Hani ; Nazemi, Abdolreza. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:240-252.

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2021Local logit regression for loan recovery rate. (2021). GAO, Jiti ; Sopitpongstorn, Nithi ; Fenech, Jean-Pierre ; Silvapulle, Param. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:126:y:2021:i:c:s0378426621000510.

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2022Opening the black box – Quantile neural networks for loss given default prediction. (2022). Rosch, Daniel ; Nagl, Maximilian ; Kellner, Ralf. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002855.

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2021Industry 4.0 and intellectual capital in the age of FinTech. (2021). Wang, Rong ; Khan, Tahseen Mohsan ; Sadiq, Ramla. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:166:y:2021:i:c:s0040162521000305.

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2021CatBoost model and artificial intelligence techniques for corporate failure prediction. (2021). ben Arfi, Wissal ; Mefteh-Wali, Salma ; Gharib, Cheima ; ben Jabeur, Sami. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:166:y:2021:i:c:s0040162521000901.

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2021Bankruptcy prediction of small- and medium-sized enterprises in Poland based on the LDA and SVM methods. (2021). Ptak-Chmielewska, Aneta. In: Statistics in Transition New Series. RePEc:exl:29stat:v:22:y:2021:i:1:p:179-195.

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2021Predicting Extreme Daily Regime Shifts in Financial Time Series Exchange/Johannesburg Stock Exchange—All Share Index. (2021). Moroke, Ntebogang ; Makatjane, Katleho. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:9:y:2021:i:2:p:18-:d:523945.

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2021.

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2022Explaining Aggregated Recovery Rates. (2022). Min, Aleksey ; Hocht, Stephan ; STEPHAN HÖCHT, ; Zagst, Rudi ; Wieczorek, Jakub. In: Risks. RePEc:gam:jrisks:v:10:y:2022:i:1:p:18-:d:721934.

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2021What Best Predicts Corporate Bank Loan Defaults? An Analysis of Three Different Variable Domains. (2021). Lukason, Oliver ; Kohv, Keijo. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:2:p:29-:d:486527.

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2021Dynamic Large Financial Networks via Conditional Expected Shortfalls. (2021). Caporin, Massimiliano ; Maillet, Bertrand ; Bonaccolto, Giovanni. In: Post-Print. RePEc:hal:journl:hal-03287947.

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2021Bank Survival Around the World A Meta?Analytic Review. (2021). Kočenda, Evžen ; Iwasaki, Ichiro ; Koenda, Even. In: CEI Working Paper Series. RePEc:hit:hitcei:2021-02.

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2021Dependence in the Banking Sector of the United States and Mexico: A Copula Approach. (2021). Pacheco, Christian Bucio ; de Jesus, Raul ; Villanueva, Luis. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:tnea:a:2.

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2021Predicting the Loss Given Default Distribution with the Zero-Inflated Censored Beta-Mixture Regression that Allows Probability Masses and Bimodality. (2021). Yu, Kaizhi ; Chu, Chih-Kang ; Hwang, Ruey-Ching. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:59:y:2021:i:3:d:10.1007_s10693-020-00333-w.

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2021Understanding corporate default using Random Forest: The role of accounting and market information. (2021). Modina, Michele ; Filomeni, Stefano ; Bitetto, Alessandro. In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0205.

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2021Crypto price discovery through correlation networks. (2021). Giudici, Paolo ; Polinesi, Gloria. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03282-3.

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2021Beyond Okun’s law: output growth and labor market flows. (2021). Ours, Jan C ; Dixon, Robert ; Lim, G C. In: Empirical Economics. RePEc:spr:empeco:v:60:y:2021:i:3:d:10.1007_s00181-019-01794-2.

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2021A Bayesian spatial autoregressive logit model with an empirical application to European regional FDI flows. (2021). Krisztin, Tamás ; Piribauer, Philipp. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01856-w.

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2021Fintech platforms: Lax or careful borrowers’ screening?. (2021). Gallo, Serena. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-021-00272-y.

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2022Consistent EM algorithm for a spatial autoregressive probit model. (2022). Cheng, Wei. In: Journal in Spatial Econometrics. RePEc:spr:jospat:v:3:y:2022:i:1:d:10.1007_s43071-022-00022-x.

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2021Rethinking SME default prediction: a systematic literature review and future perspectives. (2021). Marzi, Giacomo ; giannozzi, alessandro ; Altman, Edward I ; Ciampi, Francesco. In: Scientometrics. RePEc:spr:scient:v:126:y:2021:i:3:d:10.1007_s11192-020-03856-0.

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2021Systemic risk and macroeconomic forecasting: A globally applicable copula?based approach. (2021). Ashraf, Dawood ; Rizwan, Muhammad Suhail ; Ahmad, Ghufran. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:8:p:1420-1443.

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Works by Raffaella Calabrese:


YearTitleTypeCited
2014Modelling cross-border systemic risk in the European banking sector: a copula approach In: Papers.
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paper1
2014A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models In: Papers.
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paper7
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: 7
article
2019A joint scoring model for peer?to?peer and traditional lending: a bivariate model with copula dependence In: Journal of the Royal Statistical Society Series A.
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article3
2014ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY In: Journal of Regional Science.
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article15
2012Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 15
paper
2013A probabilistic scheme with uniform correlation structure In: Statistics in Transition new series.
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article0
2014Downturn Loss Given Default: Mixture distribution estimation In: European Journal of Operational Research.
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article17
2017The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach In: European Journal of Operational Research.
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article16
2019A new approach to measure systemic risk: A bivariate copula model for dependent censored data In: European Journal of Operational Research.
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article7
2020Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients In: European Journal of Operational Research.
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article1
2010Bank loan recovery rates: Measuring and nonparametric density estimation In: Journal of Banking & Finance.
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article54
2019Mortgage default decisions in the presence of non-normal, spatially dependent disturbances In: Regional Science and Urban Economics.
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article0
2013Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme In: Statistics & Probability Letters.
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article0
2012Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2016Estimating Binary Spatial Autoregressive Models for Rare Events In: Advances in Econometrics.
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chapter1
2015Estimating bank default with generalised extreme value regression models In: Journal of the Operational Research Society.
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article19
2016Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model In: Journal of the Operational Research Society.
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article11
2017Measuring bank contagion in Europe using binary spatial regression models In: Journal of the Operational Research Society.
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article4
2014Measuring Bank Contagion in Europe Using Binary Spatial Regression Models.(2014) In: DEM Working Papers Series.
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This paper has another version. Agregated cites: 4
paper
2017Access to Bank Credit: The Role of Awareness of Government Initiatives for UK SMEs In: Palgrave Macmillan Studies in Banking and Financial Institutions.
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chapter0
2013Estimating bank default with generalised extreme value models In: DEM Working Papers Series.
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paper2
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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article5
2021What affects bank debt rejections? Bank lending conditions for UK SMEs In: The European Journal of Finance.
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article0
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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article12
2014Optimal cut-off for rare events and unbalanced misclassification costs In: Journal of Applied Statistics.
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article1
2011Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults In: Working Papers.
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paper2
2011Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs In: Working Papers.
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paper0
2012Improving Classifier Performance Assessment of Credit Scoring Models In: Working Papers.
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paper0
2012Regression Model for Proportions with Probability Masses at Zero and One In: Working Papers.
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paper2
2012Single-name concentration risk in credit portfolios: a comparison of concentration indices In: Working Papers.
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paper1
2012Estimating bank loans loss given default by generalized additive models In: Working Papers.
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paper3
2012Modelling Downturn Loss Given Default In: Working Papers.
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paper0
2014Predicting bank loan recovery rates with a mixed continuous?discrete model In: Applied Stochastic Models in Business and Industry.
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article14
2015Improving Forecast of Binary Rare Events Data: A GAM?Based Approach In: Journal of Forecasting.
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article0
2019“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults In: Risk Analysis.
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article2

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