Wagner Piazza Gaglianone : Citation Profile

Are you Wagner Piazza Gaglianone?

Banco Central do Brasil

7

H index

5

i10 index

203

Citations

RESEARCH PRODUCTION:

17

Articles

35

Papers

2

Chapters

RESEARCH ACTIVITY:

   17 years (2005 - 2022). See details.
   Cites by year: 11
   Journals where Wagner Piazza Gaglianone has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 19 (8.56 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga306
   Updated: 2022-09-24    RAS profile: 2022-08-03    
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Relations with other researchers

Works with:

Issler, João (10)

Skreta, Vasiliki (3)

Giacomini, Raffaella (3)

Klotzle, Marcelo (3)

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)

Liu, Xiaochun (5)

Sokol, Andrej (5)

Covas, Francisco (4)

Zakrajšek, Egon (4)

Lahiri, Kajal (4)

Flôres Junior, Renato (4)

Caporin, Massimiliano (4)

Machado, Vicente (3)

Hurlin, Christophe (3)

Lee, Chien-Chiang (3)

Cites to:

Lima, Luiz (38)

Kilian, Lutz (30)

West, Kenneth (25)

Goldfajn, Ilan (24)

Timmermann, Allan (23)

Issler, João (22)

Christoffersen, Peter (20)

Minella, André (20)

Clark, Todd (18)

Engle, Robert (18)

Elliott, Graham (18)

Main data

Where Wagner Piazza Gaglianone has published?

Journals with more than one article published# docs
Brazilian Review of Finance2
Energy Economics2

Working Papers Series with more than one paper published# docs
Working Papers Series / Central Bank of Brazil, Research Department21
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 (2022 and 2021)

YearTitle of citing document
2021Basic Hyperparameters Tuning Methods for Classification Algorithms. (2021). Antal-Vaida, Claudia. In: Informatica Economica. RePEc:aes:infoec:v:25:y:2021:i:2:p:64-74.

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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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2021Testing 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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2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2022A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2022Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9687.

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2022A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction. (2022). Wilfling, Bernd ; Monschang, Verena. In: CQE Working Papers. RePEc:cqe:wpaper:9722.

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2021Fan charts 2.0: flexible forecast distributions with expert judgement. (2021). Sokol, Andrej. In: Working Paper Series. RePEc:ecb:ecbwps:20212624.

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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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2021Probabilistic forecasts of the distribution grid state using data-driven forecasts and probabilistic power flow. (2021). Faulwasser, Timm ; Waczowicz, Simon ; Dupmeier, Clemens ; Kuhnapfel, Uwe ; Akmak, Huseyin ; Liu, Jianlei ; Braun, Eric ; Muhlpfordt, Tillmann ; Appino, Riccardo Remo ; Gonzalez-Ordiano, Jorge Angel ; Hagenmeyer, Veit ; Mikut, Ralf. In: Applied Energy. RePEc:eee:appene:v:302:y:2021:i:c:s0306261921008837.

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2021Oil price shocks and inflation rate persistence: A Fractional Cointegration VAR approach. (2021). Ogbonna, Ahamuefula ; Lakhani, Noman ; Adedeji, Abdulfatai A ; Oloko, Tirimisiyu F. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:70:y:2021:i:c:p:259-275.

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2022A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37.

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2022Breaks, trends and correlations in commodity prices in the very long-run. (2022). Smyth, Russell ; Ivanovski, Kris ; Inekwe, John ; Awaworyi-Churchill, Sefa. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001116.

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2021Pan-African banks, banking interconnectivity: A new systemic risk measure in the WAEMU. (2021). Kanga, Kouame Desire ; Sene, Babacar ; Saidane, Dhafer. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001220.

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2022Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model. (2022). Lee, Kevin ; Shields, Kalvinder ; Aristidou, Chrystalleni. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560622000043.

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2021Fractional cointegration between gold price and inflation rate: Implication for inflation rate persistence. (2021). Ogbonna, Ahamuefula ; Lakhani, Noman ; Adedeji, Abdulfatai A ; Oloko, Tirimisiyu F. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003780.

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2021Is inflation persistent? Evidence from a time-varying unit root model. (2021). , Lasitha ; Harischandra, P. K. G., ; Sharma, Susan Sunila ; Devpura, Neluka. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x21000846.

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2021Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:95-100.

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2021Global liquidity and commodity market interactions: Macroeconomic effects on a commodity exporting emerging market. (2021). Fry-McKibbin, Renee ; da Silva, Rodrigo. In: International Review of Economics & Finance. RePEc:eee:reveco:v:76:y:2021:i:c:p:781-800.

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2022Tail Forecasting with Multivariate Bayesian Additive Regression Trees. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Huber, Florian ; Clark, Todd ; Koop, Gary. In: Working Papers. RePEc:fip:fedcwq:90366.

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2021Measuring Uncertainty of a Combined Forecast and Some Tests for Forecaster Heterogeneity. (2021). Lahiri, Kajal ; Sheng, Xuguang Simon ; Peng, Huaming. In: Working Papers. RePEc:gwc:wpaper:2021-005.

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2021Effects of fiscal credibility on inflation expectations: evidence from an emerging economy. (2021). Galvis Ciro, Juan Camilo ; Galvis-Ciro, Juan Camilo ; Anzoategui-Zapata, Juan Camilo. In: Public Sector Economics. RePEc:ipf:psejou:v:45:y:2021:i:1:p:125-148.

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2021Rationality and anchoring of inflation expectations: An assessment from survey?based and market?based measures. (2021). de Mendonça, Helder ; deMendona, Helder Ferreira ; Machado, Jose Valentim ; Garcia, Pedro Mendes ; de Mendona, Helder Ferreira. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:6:p:1027-1053.

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2021System-wide and banks internal stress tests: Regulatory requirements and literature review. (2021). Pliszka, Kamil. In: Discussion Papers. RePEc:zbw:bubdps:192021.

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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]		paper72
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: 72		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: 72		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: 72		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: 72		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: 72		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]		paper22
2012Macro stress testing of credit risk focused on the tails.(2012) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 22		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]		paper5
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: 5		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]		paper2
2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression In: Working Papers Series.
[Full Text][Citation analysis]		paper1
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]		paper1
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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This paper has another version. Agregated cites: 1		article
2020Commodity Prices and Global Economic Activity: a derived-demand approach In: Working Papers Series.
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2021Commodity prices and global economic activity: A derived-demand approach.(2021) In: Energy Economics.
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This paper has another version. Agregated cites: 2		article
2021Machine Learning and Oil Price Point and Density Forecasting In: Working Papers Series.
[Full Text][Citation analysis]		paper1
2021Machine learning and oil price point and density forecasting.(2021) In: Energy Economics.
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This paper has another version. Agregated cites: 1		article
2021Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2022Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2010Survey-based inflation expectations in Brazil In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter4
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]		article4
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]		article25
2012Constructing Density Forecasts from Quantile Regressions.(2012) In: Journal of Money, Credit and Banking.
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2012Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers).
[Full Text][Citation analysis]		paper20
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: 20		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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