andrea cipollini : Citation Profile


Are you andrea cipollini?

Università degli Studi di Palermo (90% share)
Università degli Studi di Modena e Reggio Emilia (5% share)
Università degli Studi di Modena e Reggio Emilia (5% share)

10

H index

10

i10 index

335

Citations

RESEARCH PRODUCTION:

21

Articles

19

Papers

RESEARCH ACTIVITY:

   17 years (2001 - 2018). See details.
   Cites by year: 19
   Journals where andrea cipollini has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 6 (1.76 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pci12
   Updated: 2019-10-15    RAS profile: 2018-06-13    
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Relations with other researchers


Works with:

Christiansen, Charlotte (2)

Muzzioli, Silvia (2)

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

Is cited by:

Rigobon, Roberto (14)

Dungey, Mardi (10)

Piergallini, Alessandro (8)

Kim, Hyeongwoo (8)

Caporale, Guglielmo Maria (8)

Flavin, Thomas (7)

Panopoulou, Ekaterini (7)

McAleer, Michael (7)

Fry-McKibbin, Renee (7)

Spagnolo, Nicola (6)

Arestis, Philip (6)

Cites to:

Diebold, Francis (24)

Bollerslev, Tim (22)

Reichlin, Lucrezia (19)

Forni, Mario (17)

Lippi, Marco (17)

Pesaran, M (15)

Watson, Mark (12)

Stock, James (12)

Reinhart, Carmen (12)

Bekaert, Geert (12)

Andersen, Torben (11)

Main data


Where andrea cipollini has published?


Journals with more than one article published# docs
Journal of Empirical Finance3
Manchester School2
International Review of Financial Analysis2

Working Papers Series with more than one paper published# docs
Center for Economic Research (RECent) / University of Modena and Reggio E., Dept. of Economics "Marco Biagi"6
Department of Economics / University of Modena and Reggio E., Faculty of Economics "Marco Biagi"2
Working Papers / Universitat Rovira i Virgili, Department of Economics2

Recent works citing andrea cipollini (2018 and 2017)


YearTitle of citing document
2017Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2017-03.

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2019Forecasting Financial Stress Indices in Korea: A Factor Model Approach. (2019). Kim, Hyeongwoo ; Shi, Wen. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2019-02.

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2019Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2019). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Auburn Economics Working Paper Series. RePEc:abn:wpaper:auwp2019-03.

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2018Measuring the dynamics of APEC output connectedness. (2018). Ogbuabor, Jonathan E ; Charles, Manasseh O ; Aneke, Gladys C ; Eigbiremolen, Godastime O. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:32:y:2018:i:1:p:29-44.

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2017Improving Forecast Accuracy of Financial Vulnerability: Partial Least Squares Factor Model Approach. (2017). Kim, Hyeongwoo ; Ko, Kyunghwan. In: Working Papers. RePEc:bok:wpaper:1714.

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2017Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; Hanson, Jesper ; Giuliodori, Massimo ; de Jong, Frank. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11932.

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2019Exchange Rates, Foreign Currency Exposure and Sovereign Risk. (2019). Bernoth, Kerstin ; Herwartz, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1792.

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2017Bid-to-cover and yield changes around public debt auctions in the euro area. (2017). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Working Paper Series. RePEc:ecb:ecbwps:20172056.

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2017An Early Warning System for Currency Crisis: A Comparative Study for the Case of Jordan and Egypt. (2017). Al-Assaf, Ghazi . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-7.

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2018The Impact of Profitability on Market Value Added: Evidence from Turkish Informatics and Technology Firms. (2018). AKGUN, Ali Ihsan ; Oztop, Ali Osman ; Samiloglu, Famil. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-04-13.

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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

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2018Debt dynamics in Europe: A Network General Equilibrium GVAR approach. (2018). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Tsionas, Efthymios G. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:93:y:2018:i:c:p:175-202.

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2018Modelling stock price–exchange rate nexus in OECD countries: A new perspective. (2018). Salisu, Afees ; Ndako, Umar. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:105-123.

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2017The impacts of competition and shadow banking on profitability: Evidence from the Chinese banking industry. (2017). Tan, Yong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:89-106.

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2019A systematic review of sovereign connectedness on emerging economies. (2019). Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen ; Ballester, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:157-163.

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2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

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2017Heterogeneous market structure and systemic risk: Evidence from dual banking systems. (2017). Giudici, Paolo ; Hashem, Shatha Qamhieh ; Abedifar, Pejman. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:96-119.

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2018Risk, competition and efficiency in banking: Evidence from China. (2018). Floros, Christos ; Tan, Yong. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:223-236.

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2018Sovereign credit rating determinants under financial crises. (2018). , Joo ; Jose , ; Manuel, . In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:1-13.

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2017Financial market implications of monetary policy coincidences: Evidence from the UK and Euro Area government-bond markets. (2017). Arestis, Philip ; Phelps, Peter . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:49:y:2017:i:c:p:88-102.

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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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2018Bid-to-cover and yield changes around public debt auctions in the euro area. (2018). Beetsma, Roel ; de Jong, Frank ; Hanson, Jesper ; Giuliodori, Massimo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:118-134.

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2018Downside risk and stock returns in the G7 countries: An empirical analysis of their long-run and short-run dynamics. (2018). Chen, Cathy Yi-Hsuan ; Hardle, Wolfgang Karl ; Chiang, Thomas C. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:93:y:2018:i:c:p:21-32.

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2017Regionally integrated asset pricing on the African stock markets: Evidence from the Fama French and Carhart models. (2017). Boamah, Nicholas Addai ; Loudon, Geoffrey ; Watts, Edward . In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:29-44.

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2017European equity market integration and joint relationship of conditional volatility and correlations. (2017). Virk, Nader ; Javed, Farrukh . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:71:y:2017:i:c:p:53-77.

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2019Inflation targeting and output-inflation tradeoffs. (2019). Wang, Xiu Hua ; Yeh, Chih-Chuan ; Huang, Ho-Chuan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:102-120.

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2018Game changer? The impact of the VW emission-cheating scandal on the interrelation between large automakers’ equity and credit markets. (2018). Griffin, Paul A ; Lont, David H. In: Journal of Contemporary Accounting and Economics. RePEc:eee:jocaae:v:14:y:2018:i:2:p:179-196.

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2017Intraday industry-specific spillover effect in European equity markets. (2017). Mateus, Cesario ; Chinthalapati, Raju . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:278-298.

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2017Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications. (2017). Polinori, Paolo ; Bollino, Carlo Andrea ; Bigerna, Simona ; Ciferri, Davide . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:68:y:2017:i:p1:p:199-211.

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2017Realized volatility transmission from crude oil to equity sectors: A study with economic significance analysis. (2017). Kumar, Dilip. In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:149-167.

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2017What drives dynamic comovements of stock markets in the Pacific Basin region?: A quantile regression approach. (2017). Lee, Hyunchul ; Mo, Seung. In: International Review of Economics & Finance. RePEc:eee:reveco:v:51:y:2017:i:c:p:314-327.

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2018Is there a bubble component in government debt? New international evidence. (2018). Chen, Shyh-Wei ; Wu, An-Chi . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:467-486.

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2017The dynamics of the relative global sector effects and contagion in emerging markets equity returns. (2017). Boamah, Nicholas Addai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:433-453.

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2017The impacts of risk-taking behaviour and competition on technical efficiency: Evidence from the Chinese banking industry. (2017). Tan, Yong ; Anchor, John . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:90-104.

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2018Chemical industry disasters and the sectoral transmission of financial market contagion. (2018). Corbet, Shaen ; McMullan, Caroline ; Larkin, Charles. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:490-501.

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2017Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models. (2017). McAleer, Michael ; Kobayashi, M ; Chen, J. In: Econometric Institute Research Papers. RePEc:ems:eureir:99788.

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2018Contagion Effect of Natural Disaster and Financial Crisis Events on International Stock Markets. (2018). Lee, Kuo-Jung ; Shih, You ; Lu, Su-Lien. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:16-:d:138939.

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2019Equity Market Contagion in Return Volatility during Euro Zone and Global Financial Crises: Evidence from FIMACH Model. (2019). Jienwatcharamongkhol, Viroj ; Uddin, Reaz ; A. M. M. Shahiduzzaman Quoreshi, . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:2:p:94-:d:237782.

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2018The Credit Default Swap market contagion during recent crises: International evidence. (2018). Sabkha, Saker ; Hmaied, Dorra ; de Peretti, Christian. In: Post-Print. RePEc:hal:journl:hal-01572510.

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2017The Credit Default Swap market contagion during recent crises: International evidence. (2017). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01572510.

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2018Logistics and stock market inter-dependence: the case of China. (2018). Cai, Jinghan ; Li, Xiaobing. In: International Journal of Logistics Economics and Globalisation. RePEc:ids:injleg:v:7:y:2018:i:3:p:292-306.

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2018Free Trade Agreements and Volatility of Stock Returns and Exchange Rates: Evidence from NAFTA. (2018). Daelemans, Bram ; Nourzad, Farrokh ; Daniels, Joseph P. In: Open Economies Review. RePEc:kap:openec:v:29:y:2018:i:1:d:10.1007_s11079-017-9472-x.

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2019The Credit Default Swap market contagion during recent crises: international evidence. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0741-6.

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2018On the financial connectedness of the commodity market: a replication of the Diebold and Yilmaz (2012) study. (2018). Caloia, Francesco ; Muzzioli, Silvia ; Cipollini, Andrea. In: Department of Economics. RePEc:mod:depeco:0131.

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2017Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems. (2017). Giudici, Paolo ; Abedifar, Pejman ; Hashem, Shatha . In: DEM Working Papers Series. RePEc:pav:demwpp:demwp0134.

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2017Bank Stability and Competition: Evidence from Albanian Banking Market. (2017). Shijaku, Gerti. In: MPRA Paper. RePEc:pra:mprapa:79891.

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2017Is the Thai Government Revenue-Spending Nexus Asymmetric?. (2017). Jiranyakul, Komain. In: MPRA Paper. RePEc:pra:mprapa:83163.

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2018Nonlinear Policy Behavior, Multiple Equilibria and Debt-Deflation Attractors. (2018). Piergallini, Alessandro. In: MPRA Paper. RePEc:pra:mprapa:88336.

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2018Improving Forecast Accuracy of Financial Vulnerability: PLS Factor Model Approach. (2018). Kim, Hyeongwoo ; Ko, Kyunghwan. In: MPRA Paper. RePEc:pra:mprapa:89449.

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2018Forecasting Financial Vulnerability in the US: A Factor Model Approach. (2018). Kim, Hyeongwoo ; Shi, Wen. In: MPRA Paper. RePEc:pra:mprapa:89766.

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2018Forecasting Financial Stress Indices in Korea: A Factor Model Approach. (2018). Kim, Hyeongwoo ; Shi, Wen. In: MPRA Paper. RePEc:pra:mprapa:89768.

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2018Debt Crisis in Europe (2001-2015): A Network General Equilibrium GVAR approach. (2018). Michaelides, Panayotis ; Konstantakis, Konstantinos ; Tsionas, Efthymios G. In: MPRA Paper. RePEc:pra:mprapa:89998.

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2019Market concentration and bank M&As: Evidence from the European sovereign debt crisis. (2019). Pyrgiotakis, Emmanouil G ; Leledakis, George N. In: MPRA Paper. RePEc:pra:mprapa:95739.

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2017Risk Spillover between the US and the Remaining G7 Stock Markets Using Time-Varying Copulas with Markov Switching: Evidence from Over a Century of Data. (2017). Ji, Qiang ; GUPTA, RANGAN ; Cunado, Juncal ; Liu, Bing-Yue. In: Working Papers. RePEc:pre:wpaper:201759.

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2019Testing for Shift-Contagion Vulnerability Among MENA Stock Markets During the Turkish Financial Crisis. (2019). Badr, Osama M ; Khallouli, Wajih . In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:6:y:2019:i:1:p:53-63.

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2017How Does Competition Affect Bank Stability After the Global Crises in the Case of the Albanian Banking System?. (2017). Shijaku, Gerti. In: South-Eastern Europe Journal of Economics. RePEc:seb:journl:v:15:y:2017:i:2:p:175-208.

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2018On the relation between exchange rates and stock prices: a non-linear ARDL approach and asymmetry analysis. (2018). Bahmani-Oskooee, Mohsen ; Saha, Sujata. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:42:y:2018:i:1:d:10.1007_s12197-017-9388-8.

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2017Dramatic Declines in Higher Education Appropriations: State Conditions for Budget Punctuations. (2017). Li, Amy Y. In: Research in Higher Education. RePEc:spr:reihed:v:58:y:2017:i:4:d:10.1007_s11162-016-9432-0.

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2017Testing for Volatility Co-movement in Bivariate Stochastic Volatility Models. (2017). McAleer, Michael ; Kobayashi, Masahito ; Chen, Jinghui . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170022.

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2017Testing for volatility co-movement in bivariate stochastic volatility models. (2017). McAleer, Michael ; Chen, Jinghui ; Kobayashi, Masahito . In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1710.

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2018Identifying contagion. (2018). Dungey, Mardi ; Renault, Eric. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:33:y:2018:i:2:p:227-250.

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2018A structural approach to identify financial transmission in distinguished scenarios of crises. (2018). Herwartz, Helmut ; Roestel, Jan. In: Economics Working Papers. RePEc:zbw:cauewp:201808.

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Works by andrea cipollini:


YearTitleTypeCited
2017Predicting Bond Betas using Macro-Finance Variables In: CREATES Research Papers.
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paper0
2018Predicting Bond Betas using Macro-Finance Variables.(2018) In: Working Papers.
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2009FISCAL READJUSTMENTS IN THE UNITED STATES: A NONLINEAR TIME‐SERIES ANALYSIS In: Economic Inquiry.
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article10
2001Testing for Government Intertemporal Solvency: A Smooth Transition Error Correction Model Approach. In: Manchester School.
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article17
2002Does Inflation Targeting Affect the Trade-Off between Output Gap and Inflation Variability? In: Manchester School.
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article19
2011Exchange Rates and Stock Prices in the MENA Countries: What Role for Oil? In: Review of Development Economics.
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article2
2018Risk aversion connectedness in five European countries In: Economic Modelling.
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article0
2008A stochastic variance factor model for large datasets and an application to S&P data In: Economics Letters.
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article10
2004A Stochastic Variance Factor Model for Large Datasets and an Application to S&P Data.(2004) In: Working Papers.
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This paper has another version. Agregated cites: 10
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2005Testing for contagion: a conditional correlation analysis In: Journal of Empirical Finance.
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article135
2009Forecasting financial crises and contagion in Asia using dynamic factor analysis In: Journal of Empirical Finance.
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article16
2008Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis.(2008) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 16
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2005Forecasting Financial Crises and Contagion in Asia Using Dynamic Factor Analysis.(2005) In: Working Papers.
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2006Forecasting Financial Crises and Contagion in Asia using Dynamic Factor Analysis.(2006) In: Computing in Economics and Finance 2006.
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2015Volatility co-movements: A time-scale decomposition analysis In: Journal of Empirical Finance.
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article1
2012Switching to floating exchange rates, devaluations, and stock returns in MENA countries In: International Review of Financial Analysis.
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article3
2018Asymmetric semi-volatility spillover effects in EMU stock markets In: International Review of Financial Analysis.
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article2
2012Economic value, competition and financial distress in the European banking system In: Journal of Banking & Finance.
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article15
2005Monetary policy and the exchange rate during the Asian crisis: identification through heteroscedasticity In: Journal of International Money and Finance.
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article45
2002Monetary Policy and the Exchange Rate During the Asian Crisis Identification Through Heteroscedasticity.(2002) In: Discussion Papers in Economics.
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This paper has another version. Agregated cites: 45
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2010Leading indicator properties of US high-yield credit spreads In: Journal of Macroeconomics.
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2007Leading indicator properties of US high-yield credit spreads.(2007) In: Center for Economic Research (RECent).
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This paper has another version. Agregated cites: 0
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2009Leading indicator properties of US high-yield credit spreads.(2009) In: Working Papers.
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2002The Euro and Monetary Policy Transparency In: Eastern Economic Journal.
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article4
2005Testing for financial contagion between developed and emerging markets during the 1997 East Asian crisis In: International Journal of Finance & Economics.
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article2
2007Leading indicator properties of the US corporate spreads In: Money Macro and Finance (MMF) Research Group Conference 2006.
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2014Volatility risk premia and financial connectedness In: Department of Economics.
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2016A note on normalization schemes:The case of generalized forecast error variance decompositions In: Department of Economics.
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2007Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling In: Center for Economic Research (RECent).
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2007Dynamic Factor analysis of industry sector default rates and implication for Portfolio Credit Risk Modelling.(2007) In: MPRA Paper.
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2008Measuring bank capital requirements through Dynamic Factor analysis In: Center for Economic Research (RECent).
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2010Testing for Contagion: a Time-Scale Decomposition In: Center for Economic Research (RECent).
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2014Volatility risk premia and financial connectedness In: Center for Economic Research (RECent).
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paper1
2004Threshold Effects in the U.S. Budget Deficit In: Economic Inquiry.
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article26
2003A Dynamic Factor Analysis of Financial Contagion in Asia In: Working Papers.
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2010Stock Returns and Exchange Rate Volatility Spillovers in the MENA Region In: Journal of Emerging Market Finance.
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article2
2008Evaluating currency crises: the case of the European monetary system In: Empirical Economics.
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2015The European sovereign debt market: from integration to segmentation In: The European Journal of Finance.
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article12
2016Can an unglamorous non-event affect prices? The role of newspapers In: Cogent Economics & Finance.
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2005Business cycle effects on Portfolio Credit Risk: scenario generation through Dynamic Factor analysis In: Finance.
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paper2

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