12
H index
13
i10 index
536
Citations
Manfred Gilli : Citation Profile
Université de Genève | RESEARCH PRODUCTION: 24 Articles 35 Papers 1 Books RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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39 years (1978 - 2017). 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:
| Cites to:
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Main data
Where Manfred Gilli has published?
| Journals with more than one article published | # docs |
|---|---|
| Journal of Economic Dynamics and Control | 6 |
| Computational Statistics & Data Analysis | 3 |
| Computational Economics | 2 |
| Computer Science in Economics & Management | 2 |
Recent works citing Manfred Gilli (2020 and 2019)
| Year | Title of citing document |
|---|---|
| 2019 | A Comparison of Economic Agent-Based Model Calibration Methods. (2019). Platt, Donovan. In: Papers. RePEc:arx:papers:1902.05938. Full description at Econpapers || Download paper |
| 2019 | A 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 |
| 2019 | A 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 |
| 2019 | Semi-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 |
| 2019 | Rising 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 |
| 2019 | The 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 |
| 2019 | Conditional 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 |
| 2020 | Macroeconomic 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 |
| 2020 | Do ‘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 |
| 2020 | A 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 |
| 2019 | Energy 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 |
| 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 |
| 2019 | An 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 |
| 2019 | Metaheuristics 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 |
| 2020 | Representing 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 |
| 2019 | The 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 |
| 2020 | A 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 |
| 2020 | Stochastic 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 |
| 2019 | Cryosphere 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 |
| 2019 | Validation 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 |
| 2019 | Mining 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 |
| 2020 | Validation 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 |
| 2019 | The 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 |
| 2019 | How 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 |
| 2020 | The 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 |
| 2020 | Term 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 |
| 2019 | Forecasting 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 |
| 2019 | Is 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 |
| 2019 | Portfolio 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 |
| 2020 | An 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 |
| 2019 | More 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 |
| 2019 | More 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 |
| 2020 | Loss 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:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2006 | A Data-Driven Optimization Heuristic for Downside Risk Minimization In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 27 |
| 2006 | A 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 | |
| 2006 | Using Economic and Financial Information for Stock Selection In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2008 | Using 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 | |
| 2007 | An Objective Function for Simulation Based Inference on Exchange Rate Data In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 64 |
| 2006 | An 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 | |
| 2007 | An 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 | |
| 2008 | A review of heuristic optimization methods in econometrics In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 15 |
| 2008 | Review of Heuristic Optimization Methods in Econometrics.(2008) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
| 2008 | Distributed Optimisation of a Portfolios Omega In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 6 |
| 2008 | Constructing Long/Short Portfolios with the Omega ratio In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
| 2009 | An Empirical Analysis of Alternative Portfolio Selection Criteria In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Replicating Hedge Fund Indices with Optimization Heuristics In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Risk-Reward Ratio Optimisation (Revisited) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2009 | Heuristic Optimisation in Financial Modelling In: Working Papers. [Full Text][Citation analysis] | paper | 18 |
| 2012 | Heuristic optimisation in financial modelling.(2012) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
| 2009 | Implementing Binomial Trees In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2009 | Optimal enough? In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2009 | Robust regression with optimisation heuristics In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2010 | Calibrating Option Pricing Models with Heuristics In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2010 | Calibrating the Nelson–Siegel–Svensson model In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 2010 | A note on ‘good starting values’ in numerical optimisation In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1978 | A Program for Causal and Qualitative Analysis of Economic. In: Econometrica. [Full Text][Citation analysis] | article | 1 |
| 2003 | A global optimization heuristic for estimating agent based models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 129 |
| 2004 | Applications of optimization heuristics to estimation and modelling problems In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 29 |
| 2007 | 2nd Special Issue on Applications of Optimization Heuristics to Estimation and Modelling Problems In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 1991 | Qualitative decomposition of the eigenvalue problem in a dynamic system In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 1996 | Matchings, covers, and Jacobian matrices In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 0 |
| 1997 | Sparse direct methods for model simulation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 5 |
| 1998 | Krylov methods for solving models with forward-looking variables In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 9 |
| 2002 | Solving finite difference schemes arising in trivariate option pricing In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 1 |
| 2008 | An efficient branch-and-bound strategy for subset vector autoregressive model selection In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 7 |
| 2011 | Numerical Methods and Optimization in Finance In: Elsevier Monographs. [Full Text][Citation analysis] | book | 18 |
| 2000 | Extreme Value Theory for Tail-Related Risk Measures In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 10 |
| 2000 | A Heuristic Approach to Portfolio Optimization In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Indirect Estimation of the Parameters of Agent Based Models of Financial Markets In: FAME Research Paper Series. [Full Text][Citation analysis] | paper | 33 |
| 2001 | Indirect 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 | |
| 2001 | Indirect 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 | |
| 2002 | Indirect 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] | paper | 17 | |
| 1992 | Causal Ordering and Beyond. In: International Economic Review. [Full Text][Citation analysis] | article | 6 |
| 2000 | Parallel Krylov Methods for Econometric Model Simulation In: Computational Economics. [Full Text][Citation analysis] | article | 1 |
| 2006 | An Application of Extreme Value Theory for Measuring Financial Risk In: Computational Economics. [Full Text][Citation analysis] | article | 56 |
| 1990 | How to Strip a Model to Its Essential Elements. In: Computer Science in Economics & Management. [Citation analysis] | article | 0 |
| 1992 | Equation Reordering for Iterative Processes--A Comment. In: Computer Science in Economics & Management. [Citation analysis] | article | 1 |
| 1983 | Pour une approche structurale en économie In: Revue Économique. [Full Text][Citation analysis] | article | 0 |
| 2010 | Optimization in financial engineering - an essay on good solutions and misplaced exactitude In: Journal of Financial Transformation. [Citation analysis] | article | 0 |
| 2000 | HEURISTIC APPROACHES FOR PORTFOLIO OPTIMIZATION In: Computing in Economics and Finance 2000. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Threshold Accepting for Index Tracking In: Computing in Economics and Finance 2001. [Citation analysis] | paper | 2 |
| 2002 | Pricing and hedging options in incomplete markets In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2002 | A Heuristic Technique for Model Selection Problems In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2003 | Issues in Evaluating Multifactor Options in a PDE Framework In: Computing in Economics and Finance 2003. [Citation analysis] | paper | 0 |
| 2005 | Using economic and financial information for active asset allocation decisions: A comparison of alternative approaches In: Computing in Economics and Finance 2005. [Citation analysis] | paper | 0 |
| 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] | paper | 1 | |
| Practical Results on Parallel Methods for Solving Forward-Looking Models In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 0 | |
| 1999 | Numerical Methods in Multivariate Option Pricing In: Computing in Economics and Finance 1999. [Citation analysis] | paper | 0 |
| 1999 | Modelling 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] | article | 3 |
| 1990 | On the Number of Nonzero Eigenvalues of a Dynamic Linear Econometric Model: A Comment. In: Empirical Economics. [Citation analysis] | article | 0 |
| 2013 | Climate Change Impacts on Hydropower Management In: Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA). [Full Text][Citation analysis] | article | 12 |
| 1999 | Using Catastrophe-Linked Securities to Diversity Insurance Risk: A Financial Analysis of Cat Bonds In: Journal of Insurance Issues. [Full Text][Citation analysis] | article | 9 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 2 2020. Contact: CitEc Team