Wagner Piazza Gaglianone : Citation Profile


Are you Wagner Piazza Gaglianone?

Banco Central do Brasil

7

H index

5

i10 index

129

Citations

RESEARCH PRODUCTION:

13

Articles

27

Papers

2

Chapters

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 9
   Journals where Wagner Piazza Gaglianone has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 12 (8.51 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga306
   Updated: 2019-04-13    RAS profile: 2018-10-19    
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Relations with other researchers


Works with:

Issler, João (6)

Guillén, Osmani (2)

Rodrigues Figueiredo, Francisco (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)

Zakrajsek, Egon (4)

Caporin, Massimiliano (4)

Flôres Junior, Renato (4)

Lee, Chien-Chiang (3)

Liu, Xiaochun (3)

Hurlin, Christophe (3)

Ruiz, Esther (3)

Machado, Vicente (3)

Tabak, Benjamin (2)

Cites to:

Lima, Luiz (33)

West, Kenneth (21)

Timmermann, Allan (21)

Goldfajn, Ilan (20)

Minella, André (17)

Christoffersen, Peter (17)

Xiao, Zhijie (16)

Reis, Ricardo (15)

Mankiw, N. Gregory (14)

Diebold, Francis (14)

Clark, Todd (12)

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 Department16
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / FGV EPGE - Escola Brasileira de Economia e Finanas, Getulio Vargas Foundation (Brazil)5
MPRA Paper / University Library of Munich, Germany2

Recent works citing Wagner Piazza Gaglianone (2018 and 2017)


YearTitle of citing document
2018Conditional 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.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian. In: Papers. RePEc:arx:papers:1704.02213.

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2017Bayesian 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.

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2018Regression Based Expected Shortfall Backtesting. (2018). Bayer, Sebastian ; Dimitriadis, Timo . In: Papers. RePEc:arx:papers:1801.04112.

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2018Semi-parametric Dynamic Asymmetric Laplace Models for Tail Risk Forecasting, Incorporating Realized Measures. (2018). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1805.08653.

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2018A 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.

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2017A Financial Conditions Index for the CEE economies. (2017). Auer, Simone. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1145_17.

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2018Markov-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.

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2017Equity 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.

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2018Measuring 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.

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2018Macro 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.

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2017Quantile 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.

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2018The 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.

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2018Recent 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.

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2017Does 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.

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2019Black 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.

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2017An 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.

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2017Stress 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.

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

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2017Pro-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.

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2018How 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.

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2018Assessing 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.

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2018A novel approach to modelling the distribution of financial returns. (2018). Cai, Yuzhi ; Li, Guodong. In: Working Papers. RePEc:swn:wpaper:2018-22.

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2017Semi-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.

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2017Forecasting 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.

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2018On 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.

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2018Investigation 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.

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Works by Wagner Piazza Gaglianone:


YearTitleTypeCited
2017Inattention in individual expectations In: Economia.
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article2
2015Inattention in Individual Expectations.(2015) In: Working Papers Series.
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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.
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paper50
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: 50
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: 50
paper
2008Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 50
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: 50
paper
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: 50
article
2008Evaluating Asset Pricing Models in a Fama-French Framework In: Working Papers Series.
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paper1
2009An Econometric Cntribution to the Intertemporal Approach of the Current Account In: Working Papers Series.
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paper0
2011Macro Stress Testing of Credit Risk Focused on the Tails In: Working Papers Series.
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paper15
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: 15
article
2012Financial Stability in Brazil In: Working Papers Series.
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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.
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paper0
2014Microfounded Forecasting In: Working Papers Series.
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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
2015Local Unit Root and Inflationary Inertia in Brazil In: Working Papers Series.
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2016Financial Conditions Indicators for Brazil In: Working Papers Series.
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paper1
2017Financial Conditions Indicator for Brazil.(2017) In: IDB Publications (Working Papers).
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This paper has another version. Agregated cites: 1
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2016Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation In: Working Papers Series.
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paper0
2017Applying a microfounded-forecasting approach to predict Brazilian inflation.(2017) In: Empirical Economics.
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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil In: Working Papers Series.
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paper1
2017Evaluation of exchange rate point and density forecasts: An application to Brazil.(2017) In: International Journal of Forecasting.
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2017Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model In: Working Papers Series.
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2017Empirical Findings on Inflation Expectations in Brazil: a survey In: Working Papers Series.
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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression In: Working Papers Series.
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2018Incentive-driven Inattention In: Working Papers Series.
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2010Survey-based inflation expectations in Brazil In: BIS Papers chapters.
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chapter2
2012Evaluating Asset Pricing Models in a Simulated Multifactor Approach In: Brazilian Review of Finance.
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article0
2005An Essay on the Foreign Exchange Rate Expectations in Brazil In: Brazilian Review of Finance.
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article0
2008Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach In: Journal of Development Economics.
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article15
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: 15
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2018Estimating inflation persistence by quantile autoregression with quantile-specific unit roots In: Economic Modelling.
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article0
2017Estimating the credibility of Brazilian monetary policy using a Kalman filter approach In: Research in International Business and Finance.
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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).
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2012Constructing Density Forecasts from Quantile Regressions In: Journal of Money, Credit and Banking.
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article13
2012Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers).
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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: 10
article
2005Um ensaio sobre expectativas da taxa de câmbio no Brasil In: MPRA Paper.
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2006Stochastic simulation of a DSGE model for Brazil In: MPRA Paper.
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paper3

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