Wagner Piazza Gaglianone : Citation Profile

Are you Wagner Piazza Gaglianone?

Banco Central do Brasil

7

H index

5

i10 index

176

Citations

RESEARCH PRODUCTION:

15

Articles

32

Papers

2

Chapters

RESEARCH ACTIVITY:

   15 years (2005 - 2020). See details.
   Cites by year: 11
   Journals where Wagner Piazza Gaglianone has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 16 (8.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pga306
   Updated: 2021-02-20    RAS profile: 2021-02-17    
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Relations with other researchers

Works with:

Issler, João (8)

Areosa, Waldyr (2)

Oliveira, Fernando (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wagner Piazza Gaglianone.

Is cited by:

Korobilis, Dimitris (8)

Covas, Francisco (4)

Zakrajšek, Egon (4)

Flôres Junior, Renato (4)

Caporin, Massimiliano (4)

Eguren Martin, Fernando (3)

YAPI, Joseph (3)

Ruiz, Esther (3)

Sokol, Andrej (3)

Liu, Xiaochun (3)

Machado, Vicente (3)

Cites to:

Lima, Luiz (34)

West, Kenneth (23)

Timmermann, Allan (22)

Kilian, Lutz (20)

Goldfajn, Ilan (20)

Issler, João (19)

Minella, André (17)

Christoffersen, Peter (17)

Engle, Robert (16)

Xiao, Zhijie (16)

Reis, Ricardo (15)

Main data

Where Wagner Piazza Gaglianone has published?

Journals with more than one article published# docs
Brazilian Review of Finance2

Working Papers Series with more than one paper published# docs
Working Papers Series / Central Bank of Brazil, Research Department18
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)7
MPRA Paper / University Library of Munich, Germany2

Recent works citing Wagner Piazza Gaglianone (2021 and 2020)

YearTitle of citing document
2021A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Chen, Qian ; Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1807.02422.

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2020Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2020Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020Encompassing Tests for Value at Risk and Expected Shortfall Multi-Step Forecasts based on Inference on the Boundary. (2020). Schnaitmann, Julie ; Liu, Xiaochun ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2009.07341.

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2020Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2020). Sheng, Xuguang ; Peng, Huaming ; Lahiri, Kajal. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8810.

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2020Growth-at-Risk: Bayesian Approach. (2020). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2020/3.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020Forecasting Value-at-Risk and Expected Shortfall in Large Portfolios: a General Dynamic Factor Approach. (2020). Hallin, Marc ; Trucios, Carlos. In: Working Papers ECARES. RePEc:eca:wpaper:2013/315983.

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2020Attention to the tail(s): global financial conditions and exchange rate risks. (2020). Sokol, Andrej ; Eguren-Martin, Fernando. In: Working Paper Series. RePEc:ecb:ecbwps:20202387.

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2021Predicting risk in energy markets: Low-frequency data still matter. (2021). Výrost, Tomᚠ; Vrost, Toma ; Todorova, Neda ; Lyocsa, Tefan. In: Applied Energy. RePEc:eee:appene:v:282:y:2021:i:pa:s0306261920315567.

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2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738.

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2020Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506.

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2020Monetary policy and food inflation in South Africa: A quantile regression analysis. (2020). Alagidede, Imhotep Paul ; Iddrisu, Abdul-Aziz . In: Food Policy. RePEc:eee:jfpoli:v:91:y:2020:i:c:s0306919219306384.

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2020Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:87375.

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2020Nowcasting Tail Risks to Economic Activity with Many Indicators. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:87955.

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2020Rational Inattention via Ignorance Equivalence. (2020). Stangebye, Zachary ; Müller-Itten, Michèle ; Armenter, Roc ; Muller-Itten, Michele. In: Working Papers. RePEc:fip:fedpwp:88228.

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2020Fiscal Sustainability in Aging Societies: Evidence from Euro Area Countries. (2020). Sosvilla-Rivero, Simon ; del Carmen, Maria. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:24:p:10276-:d:459061.

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2020Backtesting Expected Shortfall via Multi-Quantile Regression. (2019). Leymarie, Jérémy ; Couperier, Ophelie. In: Working Papers. RePEc:hal:wpaper:halshs-01909375.

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2020A New Robust Inference for Asset Return Predictability Via Quantile Regression. (2020). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202002.

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2020Model and estimation risk in credit risk stress tests. (2020). Grundke, Peter ; Tuchscherer, Michael ; Pliszka, Kamil. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:1:d:10.1007_s11156-019-00840-5.

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2020A Dynamic Evaluation of Central Bank Credibility. (2020). Çakmaklı, Cem ; Demiralp, Selva. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2015.

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2020Comparing business cycles in the Eurozone and in Poland: a Bayesian DSGE approach. (2020). Cieślik, Andrzej ; Cielik, Andrzej ; Teresiski, Jan. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:51:y:2020:i:4:p:317-366.

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2020Should we be afraid of powerful banks? The trade-off between bank power and liquidity buffer. (2020). Kozlowski, Lukasz ; Hryckiewicz, Aneta. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:51:y:2020:i:4:p:437-466.

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2020Exploiting resampling techniques for model selection in forecasting: an empirical evaluation using out-of-sample tests. (2020). Sarris, Dimitrios ; Assimakopoulos, Vassilios ; Spiliotis, Evangelos. In: Operational Research. RePEc:spr:operea:v:20:y:2020:i:2:d:10.1007_s12351-017-0347-0.

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2020Encompassing tests for value at risk and expected shortfall multi-step forecasts based on inference on the boundary. (2020). Liu, Xiaochun ; Dimitriadis, Timo ; Schnaitmann, Julie. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:112020.

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2020Testing forecast rationality for measures of central tendency. (2020). Patton, Andrew J ; Dimitriadis, Timo ; Schmidt, Patrick W. In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:122020.

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Works by Wagner Piazza Gaglianone:

YearTitleTypeCited
2017Inattention in individual expectations In: Economia.
[Full Text][Citation analysis]		article2
2015Inattention in Individual Expectations.(2015) In: Working Papers Series.
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This paper has another version. Agregated cites: 2		paper
2016Inattention in individual expectations.(2016) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 2		paper
2008Evaluating Value-at-Risk Models via Quantile Regressions In: Working Papers Series.
[Full Text][Citation analysis]		paper70
2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 70		article
2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 70		paper
2008Evaluating 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: 70		paper
2010Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 70		paper
2011Evaluating 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: 70		article
2008Evaluating Asset Pricing Models in a Fama-French Framework In: Working Papers Series.
[Full Text][Citation analysis]		paper2
2009An Econometric Cntribution to the Intertemporal Approach of the Current Account In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2011Macro Stress Testing of Credit Risk Focused on the Tails In: Working Papers Series.
[Full Text][Citation analysis]		paper18
2012Macro 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: 18		article
2012Financial Stability in Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper7
2013Financial stability in Brazil.(2013) In: Chapters.
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This paper has another version. Agregated cites: 7		chapter
2014Risk Assessment of the Brazilian FX Rate In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2014Microfounded Forecasting In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2015Microfounded forecasting.(2015) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 0		paper
2019Microfounded forecasting.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 0		paper
2015Local Unit Root and Inflationary Inertia in Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2016Financial Conditions Indicators for Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper1
2018Financial Conditions Indicator for Brazil.(2018) In: IDB Publications (Working Papers).
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This paper has another version. Agregated cites: 1		paper
2016Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2017Applying a microfounded-forecasting approach to predict Brazilian inflation.(2017) In: Empirical Economics.
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This paper has another version. Agregated cites: 0		article
2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper4
2017Evaluation of exchange rate point and density forecasts: An application to Brazil.(2017) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 4		article
2017Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model In: Working Papers Series.
[Full Text][Citation analysis]		paper1
2017Empirical Findings on Inflation Expectations in Brazil: a survey In: Working Papers Series.
[Full Text][Citation analysis]		paper1
2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2018Incentive-driven Inattention In: Working Papers Series.
[Full Text][Citation analysis]		paper1
2019Incentive-driven Inattention.(2019) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 1		paper
2019Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 1		paper
2019Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2020Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics.
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2020Commodity Prices and Global Economic Activity: a derived-demand approach In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2010Survey-based inflation expectations in Brazil In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter3
2012Evaluating Asset Pricing Models in a Simulated Multifactor Approach In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2005An Essay on the Foreign Exchange Rate Expectations in Brazil In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2008Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach In: Journal of Development Economics.
[Full Text][Citation analysis]		article16
2006Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach.(2006) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 16		paper
2018Estimating inflation persistence by quantile autoregression with quantile-specific unit roots In: Economic Modelling.
[Full Text][Citation analysis]		article1
2017Estimating the credibility of Brazilian monetary policy using a Kalman filter approach In: Research in International Business and Finance.
[Full Text][Citation analysis]		article0
2005Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantílico auto-regressivo (QAR) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
[Full Text][Citation analysis]		paper9
2012Constructing Density Forecasts from Quantile Regressions In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article21
2012Constructing Density Forecasts from Quantile Regressions.(2012) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 21		article
2012Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers).
[Full Text][Citation analysis]		paper14
2014CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS.(2014) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 14		article
2005Um ensaio sobre expectativas da taxa de câmbio no Brasil In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2006Stochastic simulation of a DSGE model for Brazil In: MPRA Paper.
[Full Text][Citation analysis]		paper5

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