Manfred Gilli : Citation Profile


Are you Manfred Gilli?

Université de Genève

12

H index

13

i10 index

536

Citations

RESEARCH PRODUCTION:

24

Articles

35

Papers

1

Books

RESEARCH ACTIVITY:

   39 years (1978 - 2017). See details.
   Cites by year: 13
   Journals where Manfred Gilli has often published
   Relations with other researchers
   Recent citing documents: 33.    Total self citations: 15 (2.72 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgi21
   Updated: 2020-09-14    RAS profile: 2019-01-05    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Manfred Gilli.

Is cited by:

Roventini, Andrea (31)

Winker, Peter (26)

Grazzini, Jakob (26)

Richiardi, Matteo (19)

Hommes, Cars (17)

Westerhoff, Frank (14)

Lamperti, Francesco (12)

Fagiolo, Giorgio (11)

Lyra, Marianna (11)

Savin, Ivan (8)

Li, Youwei (8)

Cites to:

Winker, Peter (18)

Kontoghiorghes, Erricos (12)

Schumann, Enrico (5)

Pauletto, Giorgio (5)

Taylor, Mark (3)

Markowitz, Harry (3)

Boucekkine, Raouf (3)

Kilian, Lutz (3)

Taylor, John (3)

Fair, Ray (3)

Tesfatsion, Leigh (3)

Main data


Where Manfred Gilli has published?


Journals with more than one article published# docs
Journal of Economic Dynamics and Control6
Computational Statistics & Data Analysis3
Computational Economics2
Computer Science in Economics & Management2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute9
Working Papers / COMISEF8
FAME Research Paper Series / International Center for Financial Asset Management and Engineering3
Computing in Economics and Finance 2002 / Society for Computational Economics3
Computing in Economics and Finance 2001 / Society for Computational Economics2
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Manfred Gilli (2020 and 2019)


YearTitle of citing document
2019A Comparison of Economic Agent-Based Model Calibration Methods. (2019). Platt, Donovan. In: Papers. RePEc:arx:papers:1902.05938.

Full description at Econpapers || Download paper

2019A changepoint approach for the identification of financial extreme regimes. (2019). Leonelli, Manuele ; Lattanzi, Chiara. In: Papers. RePEc:arx:papers:1902.09205.

Full description at Econpapers || Download paper

2019A neural network-based framework for financial model calibration. (2019). Oosterlee, Cornelis W ; Grzelak, Lech A ; Borovykh, Anastasia ; Liu, Shuaiqiang. In: Papers. RePEc:arx:papers:1904.10523.

Full description at Econpapers || Download paper

2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

Full description at Econpapers || Download paper

2019Rising to the Challenge: Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models. (2019). Grazzini, Jakob ; Delli Gatti, Domenico. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7894.

Full description at Econpapers || Download paper

2019The Detrimental Effect of Job Protection on Employment: Evidence from France. (2019). Prat, Julien ; Malherbet, Franck ; Cahuc, Pierre. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13767.

Full description at Econpapers || Download paper

2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

Full description at Econpapers || Download paper

2020Macroeconomic simulation comparison with a multivariate extension of the Markov information criterion. (2020). Barde, Sylvain. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919301927.

Full description at Econpapers || Download paper

2020Do ‘complex’ financial models really lead to complex dynamics? Agent-based models and multifractality. (2020). Kukacka, Jiri ; Krištoufek, Ladislav. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300257.

Full description at Econpapers || Download paper

2020A comparison of economic agent-based model calibration methods. (2020). Platt, Donovan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300294.

Full description at Econpapers || Download paper

2019Energy storage race: Has the monopoly of pumped-storage in Europe come to an end?. (2019). Madani, Kaveh ; Gaudard, Ludovic. In: Energy Policy. RePEc:eee:enepol:v:126:y:2019:i:c:p:22-29.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019An approach to identifying micro behavior: How banks’ strategies influence financial cycles. (2019). Recchioni, Maria Cristina ; Tedeschi, Gabriele ; Berardi, Simone. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:329-346.

Full description at Econpapers || Download paper

2019Metaheuristics for rich portfolio optimisation and risk management: Current state and future trends. (2019). Polat, Onur ; Fito, Angels ; Juan, Angel A ; Kizys, Renatas ; Doering, Jana. In: Operations Research Perspectives. RePEc:eee:oprepe:v:6:y:2019:i:c:s2214716019300399.

Full description at Econpapers || Download paper

2020Representing external hazard initiating events using a Bayesian approach and a generalized extreme value model. (2020). Smith, Curtis L. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:193:y:2020:i:c:s0951832019302790.

Full description at Econpapers || Download paper

2019The Benefits of Variable Speed Operation in Hydropower Plants Driven by Francis Turbines. (2019). Bernardes, Jose ; Bragana, Rafael ; Siniscalchi, Roberto ; Pinto, Luciano ; Rezek, Angelo ; Villa-Nova, Helcio ; Viana, Augusto ; de Souza, Zulcy ; Bortoni, Edson. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:19:p:3719-:d:271886.

Full description at Econpapers || Download paper

2020A Conceptual Framework to Classify and Manage Risk, Uncertainty and Ambiguity: An Application to Energy Policy. (2020). Romerio, Franco ; Gaudard, Ludovic. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:6:p:1422-:d:334037.

Full description at Econpapers || Download paper

2020Stochastic Optimization System for Bank Reverse Stress Testing. (2020). Ronga, Alessandro ; Fazzini, Massimiliano ; Papiro, Giovanni ; Montesi, Giuseppe. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:174-:d:395561.

Full description at Econpapers || Download paper

2019Cryosphere Services and Human Well-Being. (2019). Ding, Yongjian ; Qin, Dahe ; Chen, Deliang ; Xiao, Cunde ; Su, BO. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:16:p:4365-:d:257033.

Full description at Econpapers || Download paper

2019Validation of Agent-Based Models in Economics and Finance. (2019). Roventini, Andrea ; Moneta, Alessio ; Guerini, Mattia ; Lamperti, Francesco ; Fagiolo, Giorgio. In: Post-Print. RePEc:hal:journl:halshs-02375423.

Full description at Econpapers || Download paper

2019Mining the Hidden Link Structure from Distribution Flows for a Spatial Social Network. (2019). Zheng, Yanqiao ; Zhang, Xiaoqi ; Dai, Qiwen ; Zhao, Xiaobing ; Ye, Xinyue. In: Complexity. RePEc:hin:complx:6902027.

Full description at Econpapers || Download paper

2020Validation and Calibration of an Agent-Based Model: A Surrogate Approach. (2020). Zhang, Yongchao ; Li, Zhe. In: Discrete Dynamics in Nature and Society. RePEc:hin:jnddns:6946370.

Full description at Econpapers || Download paper

2019The Detrimental Effect of Job Protection on Employment: Evidence from France. (2019). Prat, Julien ; Cahuc, Pierre ; Malherbet, Franck. In: IZA Discussion Papers. RePEc:iza:izadps:dp12384.

Full description at Econpapers || Download paper

2019How Many Agents are Rational in China’s Economy? Evidence from a Heterogeneous Agent-Based New Keynesian Model. (2019). Feng, Genfu ; Lu, YI ; Zhao, Wei. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9844-3.

Full description at Econpapers || Download paper

2020The Efficiency of GARCH Models in Realizing Value at Risk Estimates. (2020). Jeoabek, Toma. In: ACTA VSFS. RePEc:prf:journl:v:14:y:2020:i:1:p:32-50.

Full description at Econpapers || Download paper

2020Term premium and rate expectation estimates from the South African yield curve. (2020). Steenkamp, Daan ; Soobyah, Luchelle. In: Working Papers. RePEc:rbz:wpaper:9998.

Full description at Econpapers || Download paper

2019Forecasting government bond spreads with heuristic models: evidence from the Eurozone periphery. (2019). Zekaite, Zivile ; Stasinakis, Charalampos ; Fernandes, Filipa . In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2808-0.

Full description at Econpapers || Download paper

2019Is stock liquidity transferred and upgraded in acquisitions? Evidence from liquidity synergies in US freeze-outs. (2019). Sogiakas, Vasilios ; Konstantaras, Konstantinos. In: Annals of Operations Research. RePEc:spr:annopr:v:282:y:2019:i:1:d:10.1007_s10479-018-2870-7.

Full description at Econpapers || Download paper

2019Portfolio optimization by improved NSGA-II and SPEA 2 based on different risk measures. (2019). Kaucic, Massimiliano ; Mirzazadeh, Mohmmad ; Moradi, Mojtaba . In: Financial Innovation. RePEc:spr:fininn:v:5:y:2019:i:1:d:10.1186_s40854-019-0140-6.

Full description at Econpapers || Download paper

2020An agent-based early warning indicator for financial market instability. (2020). Vidal-Tomás, David ; Alfarano, Simone ; Vidal-Tomas, David. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00272-3.

Full description at Econpapers || Download paper

2019More is different ... and complex! the case for agent-based macroeconomics. (2019). Roventini, Andrea ; Dosi, Giovanni. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:29:y:2019:i:1:d:10.1007_s00191-019-00609-y.

Full description at Econpapers || Download paper

2019More is Different ... and Complex! The Case for Agent-Based Macroeconomics. (2019). Roventini, Andrea ; Dosi, Giovanni. In: LEM Papers Series. RePEc:ssa:lemwps:2019/01.

Full description at Econpapers || Download paper

2020Loss aversion in an agent-based asset pricing model. (2020). Jennings, Nicholas R ; Polukarov, Maria ; Pruna, Radu T. In: Quantitative Finance. RePEc:taf:quantf:v:20:y:2020:i:2:p:275-290.

Full description at Econpapers || Download paper

Works by Manfred Gilli:


YearTitleTypeCited
2006A Data-Driven Optimization Heuristic for Downside Risk Minimization In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper27
2006A Data-Driven Optimization Heuristic for Downside Risk Minimization.(2006) In: Computing in Economics and Finance 2006.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27
paper
2006Using Economic and Financial Information for Stock Selection In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper3
2008Using economic and financial information for stock selection.(2008) In: Computational Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2007An Objective Function for Simulation Based Inference on Exchange Rate Data In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper64
2006An Objective Function for Simulation Based Inference on Exchange Rate Data.(2006) In: Computing in Economics and Finance 2006.
[Citation analysis]
This paper has another version. Agregated cites: 64
paper
2007An objective function for simulation based inference on exchange rate data.(2007) In: Journal of Economic Interaction and Coordination.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
article
2008A review of heuristic optimization methods in econometrics In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper15
2008Review of Heuristic Optimization Methods in Econometrics.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 15
paper
2008Distributed Optimisation of a Portfolios Omega In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper6
2008Constructing Long/Short Portfolios with the Omega ratio In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper7
2009An Empirical Analysis of Alternative Portfolio Selection Criteria In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper2
2010Replicating Hedge Fund Indices with Optimization Heuristics In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper2
2017Risk-Reward Ratio Optimisation (Revisited) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
2009Heuristic Optimisation in Financial Modelling In: Working Papers.
[Full Text][Citation analysis]
paper18
2012Heuristic optimisation in financial modelling.(2012) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2009Implementing Binomial Trees In: Working Papers.
[Full Text][Citation analysis]
paper1
2009Optimal enough? In: Working Papers.
[Full Text][Citation analysis]
paper6
2009Robust regression with optimisation heuristics In: Working Papers.
[Full Text][Citation analysis]
paper2
2010Calibrating Option Pricing Models with Heuristics In: Working Papers.
[Full Text][Citation analysis]
paper9
2010Calibrating the Nelson–Siegel–Svensson model In: Working Papers.
[Full Text][Citation analysis]
paper19
2010A note on ‘good starting values’ in numerical optimisation In: Working Papers.
[Full Text][Citation analysis]
paper0
1978A Program for Causal and Qualitative Analysis of Economic. In: Econometrica.
[Full Text][Citation analysis]
article1
2003A global optimization heuristic for estimating agent based models In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article129
2004Applications of optimization heuristics to estimation and modelling problems In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article29
20072nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]
article2
1991Qualitative decomposition of the eigenvalue problem in a dynamic system In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article1
1996Matchings, covers, and Jacobian matrices In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article0
1997Sparse direct methods for model simulation In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article5
1998Krylov methods for solving models with forward-looking variables In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article9
2002Solving finite difference schemes arising in trivariate option pricing In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article1
2008An efficient branch-and-bound strategy for subset vector autoregressive model selection In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article7
2011Numerical Methods and Optimization in Finance In: Elsevier Monographs.
[Full Text][Citation analysis]
book18
2000Extreme Value Theory for Tail-Related Risk Measures In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper10
2000A Heuristic Approach to Portfolio Optimization In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper1
2001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets In: FAME Research Paper Series.
[Full Text][Citation analysis]
paper33
2001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets..(2001) In: Manitoba - Department of Economics.
[Citation analysis]
This paper has another version. Agregated cites: 33
paper
2001Indirect Estimation of the Parameters of Agent Based Models of Financial Markets.(2001) In: Computing in Economics and Finance 2001.
[Citation analysis]
This paper has another version. Agregated cites: 33
paper
2002Indirect Estimation of the Parameters of Agent Based Models of Financial Markets.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 33
paper
In: .
[Citation analysis]
paper17
1992Causal Ordering and Beyond. In: International Economic Review.
[Full Text][Citation analysis]
article6
2000Parallel Krylov Methods for Econometric Model Simulation In: Computational Economics.
[Full Text][Citation analysis]
article1
2006An Application of Extreme Value Theory for Measuring Financial Risk In: Computational Economics.
[Full Text][Citation analysis]
article56
1990How to Strip a Model to Its Essential Elements. In: Computer Science in Economics & Management.
[Citation analysis]
article0
1992Equation Reordering for Iterative Processes--A Comment. In: Computer Science in Economics & Management.
[Citation analysis]
article1
1983Pour une approche structurale en économie In: Revue Économique.
[Full Text][Citation analysis]
article0
2010Optimization in financial engineering - an essay on good solutions and misplaced exactitude In: Journal of Financial Transformation.
[Citation analysis]
article0
2000HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION In: Computing in Economics and Finance 2000.
[Full Text][Citation analysis]
paper1
2001Threshold Accepting for Index Tracking In: Computing in Economics and Finance 2001.
[Citation analysis]
paper2
2002Pricing and hedging options in incomplete markets In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
2002A Heuristic Technique for Model Selection Problems In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
2003Issues in Evaluating Multifactor Options in a PDE Framework In: Computing in Economics and Finance 2003.
[Citation analysis]
paper0
2005Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches In: Computing in Economics and Finance 2005.
[Citation analysis]
paper0
An Application of Nonstationary Iterative Methods for Solving a Multi-Country Model with Rational Expectations In: Computing in Economics and Finance 1996.
[Full Text][Citation analysis]
paper1
Practical Results on Parallel Methods for Solving Forward-Looking Models In: Computing in Economics and Finance 1997.
[Full Text][Citation analysis]
paper0
1999Numerical Methods in Multivariate Option Pricing In: Computing in Economics and Finance 1999.
[Citation analysis]
paper0
1999Modelling and forecasting the social contributions to the Swiss Old Age and Survivor Insurance scheme In: Swiss Journal of Economics and Statistics (SJES).
[Full Text][Citation analysis]
article3
1990On the Number of Nonzero Eigenvalues of a Dynamic Linear Econometric Model: A Comment. In: Empirical Economics.
[Citation analysis]
article0
2013Climate Change Impacts on Hydropower Management In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA).
[Full Text][Citation analysis]
article12
1999Using Catastrophe-Linked Securities to Diversity Insurance Risk: A Financial Analysis of Cat Bonds In: Journal of Insurance Issues.
[Full Text][Citation analysis]
article9

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team