7
H index
5
i10 index
129
Citations
Wagner Piazza Gaglianone : Citation Profile
Banco Central do Brasil | RESEARCH PRODUCTION: 13 Articles 27 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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13 years (2005 - 2018). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Wagner Piazza Gaglianone. | Is cited by:
| Cites to:
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Main data
Where Wagner Piazza Gaglianone has published?
| Journals with more than one article published | # docs |
|---|---|
| Brazilian Review of Finance | 2 |
Recent works citing Wagner Piazza Gaglianone (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2018 | Conditional Distributions of Crop Yields: A Bayesian Approach for Characterizing Technological Change. (2018). Ramsey, A. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277253. Full description at Econpapers || Download paper |
| 2017 | A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213. Full description at Econpapers || Download paper |
| 2017 | Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian. In: Papers. RePEc:arx:papers:1707.03715. Full description at Econpapers || Download paper |
| 2018 | Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112. Full description at Econpapers || Download paper |
| 2018 | Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653. Full description at Econpapers || Download paper |
| 2018 | A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422. Full description at Econpapers || Download paper |
| 2017 | A Financial Conditions Index for the CEE economies. (2017). Auer, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1145_17. Full description at Econpapers || Download paper |
| 2018 | Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4. Full description at Econpapers || Download paper |
| 2017 | Equity market information and credit risk signaling: A quantile cointegrating regression approach. (2017). Gatfaoui, Hayette. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:48-59. Full description at Econpapers || Download paper |
| 2018 | Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138. Full description at Econpapers || Download paper |
| 2018 | Macro stress testing the U.S. banking system. (2018). Molyneux, Philip ; Kanas, Angelos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:54:y:2018:i:c:p:204-227. Full description at Econpapers || Download paper |
| 2017 | Quantile regression forecasts of inflation under model uncertainty. (2017). Korobilis, Dimitris. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:11-20. Full description at Econpapers || Download paper |
| 2018 | The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469. Full description at Econpapers || Download paper |
| 2018 | Recent advances in electricity price forecasting: A review of probabilistic forecasting. (2018). Weron, Rafał ; Nowotarski, Jakub. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:81:y:2018:i:p1:p:1548-1568. Full description at Econpapers || Download paper |
| 2017 | Does gold hedge stock market, inflation and exchange rate risks? An econometric investigation. (2017). Iqbal, Javed. In: International Review of Economics & Finance. RePEc:eee:reveco:v:48:y:2017:i:c:p:1-17. Full description at Econpapers || Download paper |
| 2019 | Black swan events in Chinas stock markets: Intraday price behaviors on days of volatility. (2019). Lin, Wen-Yuan ; Tsai, I-Chun ; I-Chun Tsai, . In: International Review of Economics & Finance. RePEc:eee:reveco:v:59:y:2019:i:c:p:395-411. Full description at Econpapers || Download paper |
| 2017 | An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98. Full description at Econpapers || Download paper |
| 2017 | Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression. (2017). Fischer, Matthias ; Czado, Claudia ; Pfeuffer, Marius ; Kraus, Daniel . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:38-:d:105140. Full description at Econpapers || Download paper |
| 2019 | Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375. Full description at Econpapers || Download paper |
| 2017 | Pro-cyclical fiscal policy in Brazil: long- and short-term relationships using cointegration and error correction model (2005-2015). (2017). Moreira, Ricardo Ramalhete. In: International Journal of Economic Policy in Emerging Economies. RePEc:ids:ijepee:v:10:y:2017:i:2:p:171-184. Full description at Econpapers || Download paper |
| 2018 | How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y. Full description at Econpapers || Download paper |
| 2018 | Assessing the extent of contagion of sovereign credit risk among BRICS countries. (2018). Bonga-Bonga, Lumengo ; Manguzvane, Mathias Mandla. In: MPRA Paper. RePEc:pra:mprapa:89200. Full description at Econpapers || Download paper |
| 2018 | A novel approach to modelling the distribution of financial returns. (2018). Cai, Yuzhi ; Li, Guodong. In: Working Papers. RePEc:swn:wpaper:2018-22. Full description at Econpapers || Download paper |
| 2017 | Semi-parametric Bayesian tail risk forecasting incorporating realized measures of volatility. (2017). Gerlach, Richard ; Wang, Chao ; Walpole, Declan. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:199-215. Full description at Econpapers || Download paper |
| 2017 | Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140. Full description at Econpapers || Download paper |
| 2018 | On a quest for robustness: About model risk, randomness and discretion in credit risk stress tests. (2018). Siemsen, Thomas ; Vilsmeier, Johannes. In: Discussion Papers. RePEc:zbw:bubdps:312018. Full description at Econpapers || Download paper |
| 2018 | Investigation of the Relationship between the Intensity of International Trade and the Volatility of Paired Exchange Rates of the Russian Federation and its Trading Partners. (2018). Rey, Alexey ; Ponomarev, Yuriy ; Radchenko, Darya. In: Working Papers. RePEc:rnp:wpaper:061823. Full description at Econpapers || Download paper |
Works by Wagner Piazza Gaglianone:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2017 | Inattention in individual expectations In: Economia. [Full Text][Citation analysis] | article | 2 |
| 2015 | Inattention in Individual Expectations.(2015) In: Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2016 | Inattention in Individual Expectations.(2016) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2008 | Evaluating Value-at-Risk Models via Quantile Regressions In: Working Papers Series. [Full Text][Citation analysis] | paper | 50 |
| 2011 | Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | article | |
| 2009 | Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
| 2008 | Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
| 2010 | Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
| 2011 | Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | article | |
| 2008 | Evaluating Asset Pricing Models in a Fama-French Framework In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
| 2009 | An Econometric Cntribution to the Intertemporal Approach of the Current Account In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Macro Stress Testing of Credit Risk Focused on the Tails In: Working Papers Series. [Full Text][Citation analysis] | paper | 15 |
| 2012 | Macro stress testing of credit risk focused on the tails.(2012) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | article | |
| 2012 | Financial Stability in Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 7 |
| 2013 | Financial stability in Brazil.(2013) In: Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | chapter | |
| 2014 | Risk Assessment of the Brazilian FX Rate In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Microfounded Forecasting In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2015 | Microfounded forecasting.(2015) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | Local Unit Root and Inflationary Inertia in Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Financial Conditions Indicators for Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Financial Conditions Indicator for Brazil.(2017) In: IDB Publications (Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2016 | Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Applying a microfounded-forecasting approach to predict Brazilian inflation.(2017) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 2016 | Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
| 2017 | Evaluation of exchange rate point and density forecasts: An application to Brazil.(2017) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2017 | Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Empirical Findings on Inflation Expectations in Brazil: a survey In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Incentive-driven Inattention In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Survey-based inflation expectations in Brazil In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 2 |
| 2012 | Evaluating Asset Pricing Models in a Simulated Multifactor Approach In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2005 | An Essay on the Foreign Exchange Rate Expectations in Brazil In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
| 2008 | Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach In: Journal of Development Economics. [Full Text][Citation analysis] | article | 15 |
| 2006 | Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach.(2006) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2018 | Estimating inflation persistence by quantile autoregression with quantile-specific unit roots In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2017 | Estimating the credibility of Brazilian monetary policy using a Kalman filter approach In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 0 |
| 2005 | Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantÃlico auto-regressivo (QAR) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 9 |
| 2012 | Constructing Density Forecasts from Quantile Regressions In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 13 |
| 2012 | Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers). [Full Text][Citation analysis] | paper | 10 |
| 2014 | CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2005 | Um ensaio sobre expectativas da taxa de câmbio no Brasil In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Stochastic simulation of a DSGE model for Brazil In: MPRA Paper. [Full Text][Citation analysis] | paper | 3 |
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