Michiel De Pooter : Citation Profile


Are you Michiel De Pooter?

Federal Reserve Board (Board of Governors of the Federal Reserve System)

10

H index

10

i10 index

302

Citations

RESEARCH PRODUCTION:

5

Articles

22

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 18
   Journals where Michiel De Pooter has often published
   Relations with other researchers
   Recent citing documents: 38.    Total self citations: 4 (1.31 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pde371
   Updated: 2020-10-17    RAS profile: 2020-03-07    
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Relations with other researchers


Works with:

Pruitt, Seth (3)

Wu, Jason (2)

Fleming, Michael (2)

Rodrigues, Anthony (2)

Martin, Robert (2)

Shachar, Or (2)

Favara, Giovanni (2)

Modugno, Michele (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Michiel De Pooter.

Is cited by:

van Dijk, Herman (14)

Grassi, Stefano (11)

McAleer, Michael (11)

Asai, Manabu (10)

Ravazzolo, Francesco (10)

Santucci de Magistris, Paolo (10)

Caporin, Massimiliano (9)

Baştürk, Nalan (8)

Medeiros, Marcelo (6)

Bollerslev, Tim (6)

Diebold, Francis (6)

Cites to:

Diebold, Francis (21)

van Dijk, Herman (16)

Bollerslev, Tim (13)

Piazzesi, Monika (13)

Ang, Andrew (10)

Rudebusch, Glenn (8)

Andersen, Torben (8)

Lunde, Asger (8)

Hansen, Peter (8)

Watson, Mark (8)

Nelson, Charles (8)

Main data


Where Michiel De Pooter has published?


Working Papers Series with more than one paper published# docs
Tinbergen Institute Discussion Papers / Tinbergen Institute5
International Finance Discussion Papers / Board of Governors of the Federal Reserve System (U.S.)5
Econometric Institute Research Papers / Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute4
Liberty Street Economics / Federal Reserve Bank of New York2

Recent works citing Michiel De Pooter (2020 and 2019)


YearTitle of citing document
2019Is market liquidity less resilient after the financial crisis? Evidence for us treasuries. (2019). Lamas, Matías ; Broto, Carmen. In: Working Papers. RePEc:bde:wpaper:1917.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2019Efectos de los anuncios de política monetaria y la credibilidad sobre las expectativas de inflación: evidencia para Colombia. (2019). Anzoátegui Zapata, Juan ; Anzoategui-Zapata, Juan Camilo ; Galvis, Juan Camilo. In: Revista Apuntes del Cenes. RePEc:col:000152:017358.

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2019Inflation Expectations: Review and Evidence. (2019). Panizza, Ugo ; Matsuoka, Hideaki ; Kose, Ayhan ; Vorisek, Dana . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13601.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: Working Paper Series. RePEc:ecb:ecbwps:20192225.

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2019Tracing the impact of the ECB’s asset purchase programme on the yield curve. (2019). Lemke, Wolfgang ; Eser, Fabian ; Vladu, Andreea Liliana ; Radde, Soren ; Nyholm, Ken. In: Working Paper Series. RePEc:ecb:ecbwps:20192293.

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2019A tale of two decades: the ECB’s monetary policy at 20. (2019). Rostagno, Massimo ; Altavilla, Carlo ; Yiangou, Jonathan ; Guilhem, Arthur Saint ; Motto, Roberto ; Lemke, Wolfgang ; Carboni, Giacomo. In: Working Paper Series. RePEc:ecb:ecbwps:20192346.

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2020Monetary policy and bank stability: the analytical toolbox reviewed. (2020). Popov, Alexander ; Marques-Ibanez, David ; Albertazzi, Ugo ; Barbiero, Francesca ; Marques-Ibaez, David ; Dacri, Costanza Rodriguez ; Vlassopoulos, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20202377.

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2020Central banks in parliaments: a text analysis of the parliamentary hearings of the Bank of England, the European Central Bank and the Federal Reserve. (2020). Jamet, Jean-Francois ; Fraccaroli, Nicolò ; Giovannini, Alessandro. In: Working Paper Series. RePEc:ecb:ecbwps:20202442.

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2020The simpler the better: measuring financial conditions for monetary policy and financial stability. (2020). Arrigoni, Simone ; Venditti, Fabrizio ; Bobasu, Alina. In: Working Paper Series. RePEc:ecb:ecbwps:20202451.

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2019A dynamic Nelson–Siegel model with forward-looking macroeconomic factors for the yield curve in the US. (2019). Fernandes, Marcelo ; Vieira, Fausto. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:106:y:2019:i:c:4.

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2020Economic policy uncertainty and the Chinese stock market volatility: Novel evidence. (2020). Zhang, Yaojie ; Ma, Feng ; Li, Tao. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:24-33.

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2020Volatility forecasting using related markets’ information for the Tokyo stock exchange. (2020). Su, Jen-Je ; Li, Bin ; Todorova, Neda ; Jayawardena, Nirodha I. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:143-158.

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2020Prediction of volatility based on realized-GARCH-kernel-type models: Evidence from China and the U.S.. (2020). Yu, Jing ; Zhu, Yanjian ; Jiang, Yuexiang ; Wang, Jiazhen. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:428-444.

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2019Good, bad cojumps and volatility forecasting: New evidence from crude oil and the U.S. stock markets. (2019). Ma, Feng ; Chen, Yixiang ; Zhang, Yaojie. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:52-62.

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2020Intraday market making with overnight inventory costs. (2020). Zhang, Hongzhong ; Vogt, Erik ; Fleming, Michael ; Capponi, Agostino ; Adrian, Tobias. In: Journal of Financial Markets. RePEc:eee:finmar:v:50:y:2020:i:c:s1386418120300331.

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2019The effects of conventional and unconventional monetary policy on exchange rates. (2019). Inoue, Atsushi ; Rossi, Barbara. In: Journal of International Economics. RePEc:eee:inecon:v:118:y:2019:i:c:p:419-447.

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2020The term structure of volatility predictability. (2020). Zakamulin, Valeriy. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:723-737.

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2020A Model Confidence Set approach to the combination of multivariate volatility forecasts. (2020). Amendola, Alessandra ; Storti, Giuseppe ; Candila, Vincenzo ; Braione, Manuela. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:873-891.

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2019Decomposing global yield curve co-movement. (2019). Korobilis, Dimitris ; Cao, Shuo ; Byrne, Joseph P. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:106:y:2019:i:c:p:500-513.

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2019A capital structure channel of monetary policy. (2019). Streitz, Daniel ; Steffen, Sascha ; Grosse-Rueschkamp, Benjamin. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:2:p:357-378.

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2019Forecasting the U.S. stock volatility: An aligned jump index from G7 stock markets. (2019). Zhang, Yaojie ; Wahab, M. I. M., ; Ma, Feng. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:54:y:2019:i:c:p:132-146.

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2019Uncertainty and oil volatility: New evidence. (2019). Cao, Xiang ; Zeng, Qing ; Mei, Dexiang ; Diao, Xiaohua. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:525:y:2019:i:c:p:155-163.

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2019Improved strategies for the maritime industry to target vessels for inspection and to select inspection priority areas. (2019). Heij, C ; Knapp, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:118656.

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2019The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

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2020Monetary Policy Strategies and Tools: Financial Stability Considerations. (2020). Prescott, Edward ; Klee, Elizabeth ; Wood, Paul R ; Goldberg, Jonathan E. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-74.

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2020What is Certain about Uncertainty?. (2020). Sarisoy, Cisil ; Rodriguez, Marius ; Rogers, John ; Ma, Sai ; Jahan-Parvar, Mohammad ; Grishchenko, Olesya ; Datta, Deepa ; Cascaldi-Garcia, Danilo ; del Giudice, Marius ; Loria, Francesca ; Londono, Juan M ; Revil, Thiago ; Zer, Ilknur. In: International Finance Discussion Papers. RePEc:fip:fedgif:1294.

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2019Inflation Expectations: Review and Evidence. (2019). Panizza, Ugo ; Matsuoka, Hideaki ; Kose, Ayhan ; Vorisek, Dana . In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:1904.

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2020Monetary Policy Transmission to Russia and Eastern Europe. (2020). Grigoriadis, Theocharis ; Stann, Carsten M. In: Comparative Economic Studies. RePEc:pal:compes:v:62:y:2020:i:2:d:10.1057_s41294-020-00114-3.

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2019Realized Volatility Forecasting with Neural Networks. (2019). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:95443.

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2019Forecasting Local Currency Bond Risk Premia of Emerging Markets: The Role of Cross-Country Macro-Financial Linkages. (2019). GUPTA, RANGAN ; Yilmaz, Hasan M ; Guney, Ethem I ; Cepni, Oguzhan. In: Working Papers. RePEc:pre:wpaper:201957.

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2020.

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2019Modified residual CUSUM test for location-scale time series models with heteroscedasticity. (2019). Lee, Sangyeol ; Oh, Haejune . In: Annals of the Institute of Statistical Mathematics. RePEc:spr:aistmt:v:71:y:2019:i:5:d:10.1007_s10463-018-0679-4.

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2019Forecasting Realized Volatility: The role of implied volatility, leverage effect, overnight returns and volatility of realized volatility. (2019). Tsakou, Katerina ; McMillan, David ; Kambouroudis, Dimos. In: Working Papers. RePEc:swn:wpaper:2019-03.

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2020Prospects, Risks, and Vulnerabilities in Emerging and Developing Economies : Lessons from the Past Decade. (2020). Ruch, Franz Ulrich. In: Policy Research Working Paper Series. RePEc:wbk:wbrwps:9181.

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2020On long memory origins and forecast horizons. (2020). Veravaldes, Eduardo J. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:5:p:811-826.

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2019Monetary policy transmission to Russia & Eastern Europe. (2019). Grigoriadis, Theocharis ; Stann, Carsten M. In: Discussion Papers. RePEc:zbw:fubsbe:20196.

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2019Spillovers of asset purchases within the real sector: Win-win or joy and sorrow?. (2019). Sondershaus, Talina. In: IWH Discussion Papers. RePEc:zbw:iwhdps:222019.

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Works by Michiel De Pooter:


YearTitleTypeCited
2010Term structure forecasting using macro factors and forecast combination In: Working Paper.
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paper15
2010Term structure forecasting using macro factors and forecast combination.(2010) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 15
paper
2018The Liquidity Effects of Official Bond Market Intervention In: Journal of Financial and Quantitative Analysis.
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article28
2015The Liquidity Effects of Official Bond Market Intervention.(2015) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 28
paper
2009Forecasting S&P 500 volatility: Long memory, level shifts, leverage effects, day-of-the-week seasonality, and macroeconomic announcements In: International Journal of Forecasting.
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article84
2010An improved methodology to measure flag performance for the shipping industry In: Marine Policy.
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article6
2008Bayesian near-boundary analysis in basic macroeconomic time series models In: Econometric Institute Research Papers.
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paper20
2009A method to measure flag performance for the shipping industry In: Econometric Institute Research Papers.
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paper0
2004Testing for changes in volatility in heteroskedastic time series - a further examination In: Econometric Institute Research Papers.
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paper15
2006Gibbs sampling in econometric practice In: Econometric Institute Research Papers.
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paper1
2020Monetary Policy Uncertainty and Monetary Policy Surprises In: Finance and Economics Discussion Series.
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paper2
2018Monetary Policy Surprises and Monetary Policy Uncertainty In: FEDS Notes.
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paper1
2014Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile and Mexico? In: International Finance Discussion Papers.
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paper24
2014Are Long-Term Inflation Expectations Well Anchored in Brazil, Chile, and Mexico?.(2014) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 24
article
2015Cheap Talk and the Efficacy of the ECB’s Securities Market Programme: Did Bond Purchases Matter? In: International Finance Discussion Papers.
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paper1
2018Measuring Monetary Policy Spillovers between U.S. and German Bond Yields In: International Finance Discussion Papers.
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paper0
2016International Spillovers of Monetary Policy In: IFDP Notes.
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paper9
2018Unlocking the Treasury Market through TRACE In: Liberty Street Economics.
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paper0
2018Breaking Down TRACE Volumes Further In: Liberty Street Economics.
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paper2
2007Predicting the term structure of interest rates incorporating parameter uncertainty, model uncertainty and macroeconomic information In: MPRA Paper.
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paper18
2007Predicting the Term Structure of Interest Rates: Incorporating Parameter Uncertainty, Model Uncertainty and Macroeconomic Information.(2007) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 18
paper
2004Learning the Shape of the Likelihood of Typical Econometric Models using Gibbs Sampling In: Computing in Economics and Finance 2004.
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paper0
2008Predicting the Daily Covariance Matrix for S&P 100 Stocks Using Intraday Data—But Which Frequency to Use? In: Econometric Reviews.
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article41
2006Predicting the Daily Covariance Matrix for S&P 100 Stocks using Intraday Data - But which Frequency to use?.(2006) In: Tinbergen Institute Discussion Papers.
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This paper has another version. Agregated cites: 41
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2004Modeling and Forecasting S&P 500 Volatility: Long Memory, Structural Breaks and Nonlinearity In: Tinbergen Institute Discussion Papers.
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paper22
2006On the Practice of Bayesian Inference in Basic Economic Time Series Models using Gibbs Sampling In: Tinbergen Institute Discussion Papers.
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paper0
2007Examining the Nelson-Siegel Class of Term Structure Models In: Tinbergen Institute Discussion Papers.
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paper13

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