7
H index
5
i10 index
176
Citations
Banco Central do Brasil | 7 H index 5 i10 index 176 Citations RESEARCH PRODUCTION: 15 Articles 32 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: |
Journals with more than one article published | # docs |
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Brazilian Review of Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers Series / Central Bank of Brazil, Research Department | 18 |
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, Germany | 2 |
Year | Title of citing document |
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2021 | A 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. Full description at Econpapers || Download paper |
2020 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper |
2020 | Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655. Full description at Econpapers || Download paper |
2020 | Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147. Full description at Econpapers || Download paper |
2020 | Encompassing 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. Full description at Econpapers || Download paper |
2020 | Measuring 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. Full description at Econpapers || Download paper |
2020 | Growth-at-Risk: Bayesian Approach. (2020). Szabo, Milan. In: Working Papers. RePEc:cnb:wpaper:2020/3. Full description at Econpapers || Download paper |
2020 | Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16. Full description at Econpapers || Download paper |
2020 | Forecasting 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. Full description at Econpapers || Download paper |
2020 | Attention 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. Full description at Econpapers || Download paper |
2021 | Predicting 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. Full description at Econpapers || Download paper |
2020 | Reducing 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. Full description at Econpapers || Download paper |
2020 | Semi-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. Full description at Econpapers || Download paper |
2020 | Monetary 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. Full description at Econpapers || Download paper |
2020 | Capturing Macroeconomic Tail Risks with Bayesian Vector Autoregressions. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:87375. Full description at Econpapers || Download paper |
2020 | Nowcasting Tail Risks to Economic Activity with Many Indicators. (2020). Marcellino, Massimiliano ; Clark, Todd ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:87955. Full description at Econpapers || Download paper |
2020 | Rational Inattention via Ignorance Equivalence. (2020). Stangebye, Zachary ; Müller-Itten, Michèle ; Armenter, Roc ; Muller-Itten, Michele. In: Working Papers. RePEc:fip:fedpwp:88228. Full description at Econpapers || Download paper |
2020 | Fiscal 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. Full description at Econpapers || Download paper |
2020 | 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 |
2020 | A 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. Full description at Econpapers || Download paper |
2020 | Model 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. Full description at Econpapers || Download paper |
2020 | A Dynamic Evaluation of Central Bank Credibility. (2020). Çakmaklı, Cem ; Demiralp, Selva. In: Koç University-TUSIAD Economic Research Forum Working Papers. RePEc:koc:wpaper:2015. Full description at Econpapers || Download paper |
2020 | Comparing 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. Full description at Econpapers || Download paper |
2020 | Should 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. Full description at Econpapers || Download paper |
2020 | Exploiting 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. Full description at Econpapers || Download paper |
2020 | Encompassing 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. Full description at Econpapers || Download paper |
2020 | Testing 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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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 | 70 |
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: 70 | 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: 70 | 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: 70 | 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: 70 | 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: 70 | article | |
2008 | Evaluating Asset Pricing Models in a Fama-French Framework In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
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 | 18 |
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: 18 | 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 | |
2019 | Microfounded forecasting.(2019) 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 |
2018 | Financial Conditions Indicator for Brazil.(2018) 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 | 4 |
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: 4 | 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 | 1 |
2017 | Empirical Findings on Inflation Expectations in Brazil: a survey In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
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 | 1 |
2019 | Incentive-driven Inattention.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
2019 | Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2020 | Commodity Prices and Global Economic Activity: a derived-demand approach 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 | 3 |
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 | 16 |
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: 16 | paper | |
2018 | Estimating inflation persistence by quantile autoregression with quantile-specific unit roots In: Economic Modelling. [Full Text][Citation analysis] | article | 1 |
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 quantílico 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 | 21 |
2012 | Constructing Density Forecasts from Quantile Regressions.(2012) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
2012 | Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers). [Full Text][Citation analysis] | paper | 14 |
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: 14 | 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 | 5 |
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