Riccardo Colacito : Citation Profile


Are you Riccardo Colacito?

University of North Carolina-Chapel-Hill

10

H index

10

i10 index

562

Citations

RESEARCH PRODUCTION:

10

Articles

9

Papers

RESEARCH ACTIVITY:

   8 years (2005 - 2013). See details.
   Cites by year: 70
   Journals where Riccardo Colacito has often published
   Relations with other researchers
   Recent citing documents: 67.    Total self citations: 4 (0.71 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pco212
   Updated: 2018-06-16    RAS profile: 2014-11-25    
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Relations with other researchers


Works with:

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

Is cited by:

Kollmann, Robert (35)

Caporin, Massimiliano (22)

McAleer, Michael (20)

Donadelli, Michael (13)

Christiansen, Charlotte (11)

Gavazzoni, Federico (10)

Asgharian, Hossein (9)

Bauwens, Luc (8)

Lustig, Hanno (8)

Schaling, Eric (8)

Williams, Noah (7)

Cites to:

Obstfeld, Maurice (10)

Engle, Robert (9)

Epstein, Larry (6)

Anderson, Evan (6)

Sheppard, Kevin (5)

Zin, Stanley (5)

Bansal, Ravi (4)

Jagannathan, Ravi (4)

Hansen, Lars (4)

Tallarini, Thomas (3)

Gabaix, Xavier (3)

Main data


Where Riccardo Colacito has published?


Journals with more than one article published# docs
Journal of Money, Credit and Banking2
American Economic Review2

Working Papers Series with more than one paper published# docs
2005 Meeting Papers / Society for Economic Dynamics2
2008 Meeting Papers / Society for Economic Dynamics2

Recent works citing Riccardo Colacito (2018 and 2017)


YearTitle of citing document
2017Long- and Short-Run Components of Factor Betas: Implications for Equity Pricing. (2017). Christiansen, Charlotte ; Asgharian, Hossein ; Wang, Weining ; Jun, AI. In: CREATES Research Papers. RePEc:aah:create:2017-34.

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2018Economic Policy Uncertainty and Long-Run Stock Market Volatility and Correlation. (2018). Christiansen, Charlotte ; Jun, AI ; Asgharian, Hossein. In: CREATES Research Papers. RePEc:aah:create:2018-12.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Amado, Cristina ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: CREATES Research Papers. RePEc:aah:create:2018-14.

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2017Growth-Rate and Uncertainty Shocks in Consumption: Cross-Country Evidence. (2017). Sergeyev, Dmitriy ; Nakamura, Emi ; Steinsson, Jon. In: American Economic Journal: Macroeconomics. RePEc:aea:aejmac:v:9:y:2017:i:1:p:1-39.

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2017MIDAS models in banking sector – systemic risk comparison. (2017). Mestel, Roland ; Gurgul, Henryk ; Syrek, Robert. In: Managerial Economics. RePEc:agh:journl:v:18:y:2017:i:2:p:165-181.

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2018A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017LIQUIDITY RISK AND TIME-VARYING CORRELATION BETWEEN EQUITY AND CURRENCY RETURNS. (2017). Mo, Kuk . In: Economic Inquiry. RePEc:bla:ecinqu:v:55:y:2017:i:2:p:898-919.

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2018Distortion risk measures, ROC curves, and distortion divergence. (2018). Schumacher, Johannes ; Johannes, Schumacher. In: Statistics & Risk Modeling. RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:35-50:n:3.

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2018Nonlinearities and Regimes in Conditional Correlations with Different Dynamics. (2018). Bauwens, L ; Otrando, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:201803.

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2017Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel. (2017). Kollmann, Robert. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11911.

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2017Ambiguity-aversion in a Single Auction Market. (2017). Vitale, Paolo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00375.

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2017Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel. (2017). Kollmann, Robert. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248464.

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2017Composite habits and international transmission of business cycles. (2017). Dmitriev, Alexandre. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:1-34.

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2017Three types of robust Ramsey problems in a linear-quadratic framework. (2017). Miao, Jianjun ; Kwon, Hyosung . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:76:y:2017:i:c:p:211-231.

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2017International endogenous growth, macro anomalies, and asset prices. (2017). Grüning, Patrick ; Gruning, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:78:y:2017:i:c:p:118-148.

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2018Level and slope of volatility smiles in long-run risk models. (2018). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:95-122.

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2017The effect of economic policy uncertainty on the long-term correlation between U.S. stock and bond markets. (2017). Fang, Libing ; Li, Lei ; Yu, Honghai. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:139-145.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2018What determines the long-term correlation between oil prices and exchange rates?. (2018). Yang, Lu ; Hamori, Shigeyuki ; Cai, Xiaojing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:140-152.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc. In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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2017Cholesky realized stochastic volatility model. (2017). Shirota, Shinichiro ; Piao, Haixiang ; Lopes, Hedibert F ; Omori, Yasuhiro. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:34-59.

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2017Impact of pension system structure on international financial capital allocation. (2017). Staveley-Ocarroll, James . In: European Economic Review. RePEc:eee:eecrev:v:95:y:2017:i:c:p:1-22.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2017Co-movement of exchange rates with interest rate differential, risk premium and FED policy in “fragile economies”. (2017). Yılmaz, Erdal ; Ozmen, Utku ; Yilmaz, Erdal. In: Emerging Markets Review. RePEc:eee:ememar:v:33:y:2017:i:c:p:173-188.

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2017Oil price volatility and macroeconomic fundamentals: A regime switching GARCH-MIDAS model. (2017). Pan, Zhiyuan ; Yin, Libo ; Wu, Chongfeng ; Wang, Yudong. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:130-142.

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2017Dynamic spillover effects among crude oil, precious metal, and agricultural commodity futures markets. (2017). Yoon, Seong-Min ; McIver, Ron ; Kang, Sang Hoon. In: Energy Economics. RePEc:eee:eneeco:v:62:y:2017:i:c:p:19-32.

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2018Investor sentiment and the price of oil. (2018). Qadan, Mahmoud ; Nama, Hazar. In: Energy Economics. RePEc:eee:eneeco:v:69:y:2018:i:c:p:42-58.

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2017How EPU drives long-term industry beta. (2017). Yu, Honghai ; Yan, Panpan ; Du, Donglei ; Fang, Libing. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:249-258.

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2018The effect of economic policy uncertainty on the long-run correlation between crude oil and the U.S. stock markets. (2018). Fang, Libing ; Xiong, Cheng ; Yu, Honghai ; Chen, Baizhu . In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:56-63.

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2017Common and country specific economic uncertainty. (2017). Theodoridis, Konstantinos ; mumtaz, haroon. In: Journal of International Economics. RePEc:eee:inecon:v:105:y:2017:i:c:p:205-216.

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2017Disaster risk and asset returns: An international perspective. (2017). Liu, Edith ; Lewis, Karen K. In: Journal of International Economics. RePEc:eee:inecon:v:108:y:2017:i:s1:p:s42-s58.

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2017Which market integration measure?. (2017). Paradiso, Antonio ; Donadelli, Michael ; Billio, Monica ; Riedel, M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:150-174.

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2017Are correlations constant? Empirical and theoretical results on popular correlation models in finance. (2017). Füss, Roland ; Gluck, Thorsten ; Adams, Zeno ; Fuss, Roland ; ROLAND FSS, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:84:y:2017:i:c:p:9-24.

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2017Variance risk premiums and the forward premium puzzle. (2017). Londono, Juan M ; Zhou, Hao. In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:2:p:415-440.

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2017Confidence, bond risks, and equity returns. (2017). Zhao, Guihai. In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:668-688.

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2017Optimal real estate capital durability and localized climate change disaster risk. (2017). Kahn, Matthew ; Bunten, Devin. In: Journal of Housing Economics. RePEc:eee:jhouse:v:36:y:2017:i:c:p:1-7.

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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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2017Systematic consumption risk in currency returns. (2017). Hoffmann, Mathias ; Studer-Suter, Rahel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:187-208.

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2017The first arrow hitting the currency target: A long-run risk perspective. (2017). Kano, Takashi ; Wada, Kenji . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:337-352.

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2018International risk sharing and financial shocks. (2018). Rouillard, Jean-François. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:26-44.

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2017After the tide: Commodity currencies and global trade. (2017). Roussanov, Nikolai ; Ward, Colin ; Ready, Robert . In: Journal of Monetary Economics. RePEc:eee:moneco:v:85:y:2017:i:c:p:69-86.

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2018Oil consumption, economic growth, and oil futures: The impact of long-run oil supply uncertainty on asset prices. (2018). Ready, Robert C. In: Journal of Monetary Economics. RePEc:eee:moneco:v:94:y:2018:i:c:p:1-26.

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2017Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel. (2017). Kollmann, Robert. In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:307.

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2017Why Are Exchange Rates So Smooth? A Household Finance Explanation. (2017). Naknoi, Kanda ; Lustig, Hanno ; Chien, YiLi. In: Working Papers. RePEc:fip:fedlwp:2015-039.

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2017ROBUST GOOD-DEAL BOUNDS IN INCOMPLETE MARKETS: THE CASE OF TAIWAN. (2017). Chen, Jun-Home ; Chang, Jow-Ran ; Huang, Yu-Lieh . In: Hitotsubashi Journal of Economics. RePEc:hit:hitjec:v:58:y:2017:i:1:p:53-67.

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2017Competition and Subsequent Risk-Taking Behaviour: Heterogeneity across Gender and Outcomes. (2017). Gioia, Francesca ; Filippin, Antonio. In: IZA Discussion Papers. RePEc:iza:izadps:dp10792.

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2017Global Macro Risks in Currency Excess Returns. (2017). Mark, Nelson ; Berg, Kimberly. In: NBER Working Papers. RePEc:nbr:nberwo:23764.

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2017Gravity in FX R-Squared: Understanding the Factor Structure in Exchange Rates. (2017). Lustig, Hanno ; Richmond, Robert J. In: NBER Working Papers. RePEc:nbr:nberwo:23773.

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2018Models with Multiplicative Decomposition of Conditional Variances and Correlations. (2018). Amado, Cristina ; Terasvirta, Timo ; Silvennoinen, Annastiina. In: NIPE Working Papers. RePEc:nip:nipewp:07/2018.

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2017Model Uncertainty and the Direction of Fit of the Postwar U.S. Phillips Curve(s). (2017). Rondina, Francesca. In: Working Papers. RePEc:ott:wpaper:1702e.

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2017Combining Multivariate Volatility Forecasts: An Economic-Based Approach. (2017). Santos, Andre ; Moura, Guilherme ; Nogales, Francisco J ; Caldeira, Joo F. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:15:y:2017:i:2:p:247-285..

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2017Explaining International Business Cycle Synchronization: Recursive Preferences and the Terms of Trade Channel. (2017). Kollmann, Robert. In: MPRA Paper. RePEc:pra:mprapa:77558.

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2017Determinants of stock-bond market comovement in the Eurozone under model uncertainty. (2017). Skintzi, Vasiliki. In: MPRA Paper. RePEc:pra:mprapa:78278.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2018Extrapolative Beliefs and Exchange Rate Markets. (2018). Bunsupha, Sarita. In: PIER Discussion Papers. RePEc:pui:dpaper:84.

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2018Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences. (2018). Swanson, Eric. In: Review of Economic Dynamics. RePEc:red:issued:13-261.

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2018Real Exchange Variability in a Two-Country Business Cycle Model. (2018). Tretvoll, Hakon. In: Review of Economic Dynamics. RePEc:red:issued:13-34.

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2017Explaining International Business Cycle Synchronization. (2017). Kollmann, Robert. In: 2017 Meeting Papers. RePEc:red:sed017:1489.

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2017Why Are Exchange Rates So Smooth? A Heterogeneous Portfolio Explanation. (2017). Naknoi, Kanda ; Chien, YiLi ; Lustig, Hanno. In: 2017 Meeting Papers. RePEc:red:sed017:214.

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2017General Aspects of Risk and Uncertainty in Making Financial – Economic Decisions. (2017). Diaconu, Aurelian ; Avram, Doina . In: Romanian Statistical Review Supplement. RePEc:rsr:supplm:v:65:y:2017:i:6:p:40-50.

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2017Risk, Uncertainty, and the Dynamics of Inequality. (2017). Lei, Xiaowen ; Kasa, Kenneth. In: Discussion Papers. RePEc:sfu:sfudps:dp17-06.

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2018Option implied ambiguity and its information content: Evidence from the subprime crisis. (2018). Driouchi, Tarik ; Trigeorgis, Lenos. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2079-y.

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2017Why Are Exchange Rates So Smooth? A Household Finance Explanation. (2017). Naknoi, Kanda ; Lustig, Hanno ; Chien, YiLi. In: Working papers. RePEc:uct:uconnp:2017-20.

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2017Level and slope of volatility smiles in Long-Run Risk Models. (2017). Branger, Nicole ; Schlag, Christian ; Rodrigues, Paulo. In: SAFE Working Paper Series. RePEc:zbw:safewp:186.

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2017Large dynamic covariance matrices. (2017). Wolf, Michael ; Ledoit, Olivier ; Engle, Robert. In: ECON - Working Papers. RePEc:zur:econwp:231.

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2017Direct nonlinear shrinkage estimation of large-dimensional covariance matrices. (2017). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:264.

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Works by Riccardo Colacito:


YearTitleTypeCited
2010The Short and Long Run Benefits of Financial Integration In: American Economic Review.
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article27
2012International Robust Disagreement In: American Economic Review.
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article2
2006Testing and Valuing Dynamic Correlations for Asset Allocation In: Journal of Business & Economic Statistics.
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article86
2013International Asset Pricing with Recursive Preferences In: Journal of Finance.
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article59
2012International Asset Pricing with Recursive Preferences.(2012) In: 2012 Meeting Papers.
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This paper has another version. Agregated cites: 59
paper
2013The Term Structures of Co-entropy in International Financial Markets In: Working Paper Series.
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paper1
2011A component model for dynamic correlations In: Journal of Econometrics.
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article89
2005Benefits from U.S. monetary policy experimentation in the days of Samuelson and Solow and Lucas In: Proceedings.
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article34
2007Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson and Solow and Lucas.(2007) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 34
article
2008Robustness and U.S. Monetary Policy Experimentation In: Journal of Money, Credit and Banking.
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article51
2013O Sole Mio: An Experimental Analysis of Weather and Risk Attitudes in Financial Decisions In: Review of Financial Studies.
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article12
2005Benefits from U.S. Monetary Policy Experimentation in the Days of Samuelson In: 2005 Meeting Papers.
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paper10
2005Risks For The Long Run And The Real Exchange Rate In: 2005 Meeting Papers.
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paper159
2011Risks for the Long Run and the Real Exchange Rate.(2011) In: Journal of Political Economy.
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This paper has another version. Agregated cites: 159
article
2008Robustness and US Monetary In: 2008 Meeting Papers.
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paper23
2008Risk sharing for the long-run. The benefits from financial integration. In: 2008 Meeting Papers.
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paper0
2009Risk sensitive allocations with multiple goods in international finance. Existence, survivorship, and dynamics. In: 2009 Meeting Papers.
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paper0
2010International Asset Pricing with Risk-Sensitive Rare Events In: 2010 Meeting Papers.
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paper0
2013BKK the EZ way. An International Production Economy with Recursive Preferences. In: 2013 Meeting Papers.
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paper9

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