Stefano Herzel : Citation Profile


Are you Stefano Herzel?

Università degli Studi di Roma "Tor Vergata"

4

H index

1

i10 index

48

Citations

RESEARCH PRODUCTION:

4

Articles

10

Papers

RESEARCH ACTIVITY:

   13 years (2000 - 2013). See details.
   Cites by year: 3
   Journals where Stefano Herzel has often published
   Relations with other researchers
   Recent citing documents: 7.    Total self citations: 2 (4 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/phe192
   Updated: 2020-01-25    RAS profile: 2010-09-10    
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Relations with other researchers


Works with:

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

Is cited by:

Pompei, Fabrizio (6)

Venturini, Francesco (6)

Lahiani, Amine (3)

Goutte, Stéphane (3)

nicolosi, marco (3)

Xu, Ke-Li (3)

AROURI, Mohamed (2)

Phillips, Peter (2)

Grassi, Stefano (2)

Stanghellini, Elena (2)

Zeidan, Rodrigo (1)

Cites to:

Pieroni, Luca (10)

Perugini, Cristiano (9)

Signorelli, Marcello (7)

Polinori, Paolo (6)

Pompei, Fabrizio (6)

Aristei, David (4)

Castellani, Davide (3)

Pieri, Fabio (2)

Bigerna, Simona (2)

Basile, Roberto (2)

Starica, Catalin (2)

Main data


Where Stefano Herzel has published?


Journals with more than one article published# docs
Decisions in Economics and Finance3

Working Papers Series with more than one paper published# docs
Quaderni del Dipartimento di Economia, Finanza e Statistica / Universit di Perugia, Dipartimento Economia8

Recent works citing Stefano Herzel (2018 and 2017)


YearTitle of citing document
2018$\epsilon$-Monotone Fourier Methods for Optimal Stochastic Control in Finance. (2018). Labahn, George ; Forsyth, Peter A. In: Papers. RePEc:arx:papers:1710.08450.

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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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2019Doing Well by Doing Good: A Systematic Review and Research Agenda for Sustainable Investment. (2019). Talan, Gaurav ; Sharma, Gagan Deep . In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:2:p:353-:d:196966.

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2019The Vote with the Wallet Game: Responsible Consumerism as a Multiplayer Prisoner’s Dilemma. (2019). Salustri, Francesco ; Becchetti, Leonardo. In: Sustainability. RePEc:gam:jsusta:v:11:y:2019:i:4:p:1109-:d:207619.

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2017FORECASTING WITH GARCH MODELS UNDER STRUCTURAL BREAKS: AN APPROACH BASED ON COMBINATIONS ACROSS ESTIMATION WINDOWS. (2017). De Gaetano, Davide. In: Departmental Working Papers of Economics - University 'Roma Tre'. RePEc:rtr:wpaper:0219.

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2018Portfolio management with benchmark related incentives under mean reverting processes. (2018). nicolosi, marco ; Herzel, Stefano ; Angelini, Flavio . In: Annals of Operations Research. RePEc:spr:annopr:v:266:y:2018:i:1:d:10.1007_s10479-017-2535-y.

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2018Learning minimum variance discrete hedging directly from the market. (2018). Nian, KE ; Li, Yuying ; Coleman, Thomas F. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:7:p:1115-1128.

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Works by Stefano Herzel:


YearTitleTypeCited
2010Delegated Portfolio Management with Socially Responsible Investment Constraints In: Sustainable Investment and Corporate Governance Working Papers.
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paper3
2005Implied Volatilities of Caps: a Gaussian approach. In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper4
2012Delta Hedging in Discrete Time under Stochastic Interest Rate In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper1
2013Costi impliciti e profilo rischio-convenienza di prodotti finanziari illiquidi In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper0
2007Measuring the error of dynamic hedging: a Laplace transform approach In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper8
2007The IGARCH e®ect: Consequences on volatility forecasting and option trading In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper3
2007Explicit formulas for the minimal variance hedging strategy in a martingale case In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper5
2010Explicit formulas for the minimal variance hedging strategy in a martingale case.(2010) In: Decisions in Economics and Finance.
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This paper has another version. Agregated cites: 5
article
2009Evaluating Discrete Dynamic Strategies in Affine Models In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper4
2011The cost of sustainability on optimal portfolio choices In: Quaderni del Dipartimento di Economia, Finanza e Statistica.
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paper7
2000Option pricing with stochastic volatility models In: Decisions in Economics and Finance.
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article1
2006Notes and Comments: An approximation of caplet implied volatilities in Gaussian models In: Decisions in Economics and Finance.
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article0
2002Efficient option valuation using trees In: Applied Mathematical Finance.
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article0
2005Why does the GARCH(1,1) model fail to provide sensible longer- horizon volatility forecasts? In: Econometrics.
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paper12

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