Paul H. Kupiec : Citation Profile

American Enterprise Institute

12

H index

15

i10 index

1372

Citations

RESEARCH PRODUCTION:

33

Articles

46

Papers

1

Chapters

RESEARCH ACTIVITY:

   35 years (1989 - 2024). See details.
   Cites by year: 39
   Journals where Paul H. Kupiec has often published
   Relations with other researchers
   Recent citing documents: 71.    Total self citations: 9 (0.65 %)

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   Permalink: http://citec.repec.org/pku379
   Updated: 2025-03-15    RAS profile: 2024-06-07    
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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 Paul H. Kupiec.

Is cited by:

Degiannakis, Stavros (24)

Lopez, Jose (15)

Hurlin, Christophe (14)

Nguyen, Duc Khuong (13)

Dionne, Georges (12)

Hammoudeh, Shawkat (12)

Weron, Rafał (11)

Chen, Cathy W. S. (11)

Varotto, Simone (11)

Daripa, Arup (10)

Perignon, Christophe (10)

Cites to:

Bernanke, Ben (7)

Marino, Anthony (4)

Gordy, Michael (4)

Cole, Rebel (4)

Romer, Christina (4)

Rajan, Raghuram (4)

merton, robert (4)

Calomiris, Charles (4)

Gertler, Mark (4)

Berger, Allen (4)

Scholes, Myron (4)

Main data

Production by document typearticlepaperchapter1989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240510Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published1989199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320240255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received199019911992199319941995199619971998199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020212022202320242025050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year19891990199119921993199419951996199719981999200020012002200320042005200620072008200920102011201220132014201520162017201820192020202120222023202405001,0001,500Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 12Most cited documents123456789101112131405001,0001,500Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution201311201312201401201402201403201404201405201406201407201408201409201410201411201412201501201502201503201504201505201506201507201508201509201510201511201512201601201602201603201604201605201606201607201608201609201610201611201612201701201702201703201704201705201706201707201708201709201710201711201712201801201802201803201804201805201806201807201808201809201810201811201812201901201902201903201904201905201906201907201908201909201910201911201912202001202002202003202004202005202006202007202008202009202010202011202012202101202102202103202104202105202106202107202108202109202110202111202112202201202202202203202204202205202206202207202208202209202210202211202212202301202302202303202304202305202306202307202308202309202310202311202312202401202402202403202404202405202406202407202408202409202410202411202412202501202502202503051015h-index Highcharts.comExport to raster or vector imagePrint the chart

Where Paul H. Kupiec has published?

Journals with more than one article published# docs
Journal of Risk Management in Financial Institutions6
Journal of Applied Corporate Finance5
Journal of Financial Stability5
Journal of Financial Services Research4
Journal of Futures Markets4

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)26
AEI Economics Working Papers / American Enterprise Institute13
IMF Working Papers / International Monetary Fund4

Recent works citing Paul H. Kupiec (2025 and 2024)

Year  ↓Title of citing document  ↓
2024Multinomial Backtesting of Distortion Risk Measures. (2022). Kim, Sojung ; Bettels, Soren ; Weber, Stefan. In: Papers. RePEc:arx:papers:2201.06319.

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2024Dynamic Risk Measurement by EVT based on Stochastic Volatility models via MCMC. (2022). , Shibo ; Bo, Shi. In: Papers. RePEc:arx:papers:2201.09434.

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2024Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2024Smoothing Quantile Regression Averaging: A new approach to probabilistic forecasting of electricity prices. (2023). Uniejewski, Bartosz. In: Papers. RePEc:arx:papers:2302.00411.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

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2024Optimal Testing in Disclosure Games. (2024). Mass, Helene ; Lichtig, Avi. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2024_543.

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2024Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

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2024The impact of joint events on oil price volatility: Evidence from a dynamic graphical news analysis model. (2024). Zhao, Lu-Tao ; Wang, Dai-Song ; Ren, Zhong-Yuan. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323003991.

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2024Robust estimation of the range-based GARCH model: Forecasting volatility, value at risk and expected shortfall of cryptocurrencies. (2024). Fiszeder, Piotr ; Maecka, Marta ; Molnr, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s026499932400244x.

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2024Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). Ng, Kooi Huat ; Koh, You Beng ; de Khoo, Zhi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378.

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2024Forecasting conditional volatility based on hybrid GARCH-type models with long memory, regime switching, leverage effect and heavy-tail: Further evidence from equity market. (2024). Luo, YI ; Huang, Yirong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000731.

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2024.

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2024Big portfolio selection by graph-based conditional moments method. (2024). Zhu, Zhoufan ; Zhang, Ningning. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000689.

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2024Assessing systemic risk and connectedness among dirty and clean energy markets from the quantile and expectile perspectives. (2024). Suprijanto, Djoko ; Hakim, Arief ; Syuhada, Khreshna. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007594.

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2024Are “too big to fail” banks just different in size? – A study on systemic risk and stand-alone risk. (2024). Li, Zongyuan ; Lai, Rose Neng. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000954.

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2024Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model. (2024). Wang, Zhuqing ; Shi, Song ; Cheng, Qiuying. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003934.

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2024Risk quantification and validation for green energy markets: New insight from a credibility theory approach. (2024). Hakim, Arief ; Syuhada, Khreshna. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324001703.

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2024Portfolio selection via high-dimensional stochastic factor Copula. (2024). Chen, Zhenlong ; Hao, Xiaozhen ; Chang, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pa:s1544612324007815.

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2024Dynamic margin optimization. (2024). Berlinger, Edina ; Dmtr, Barbara ; Bihary, Zsolt. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010298.

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20242T-POT Hawkes model for left- and right-tail conditional quantile forecasts of financial log returns: Out-of-sample comparison of conditional EVT models. (2024). Mucha-Kruczyski, Marcin ; Greenwood, David ; Tomlinson, Matthew F. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:1:p:324-347.

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2024Daily growth at risk: Financial or real drivers? The answer is not always the same. (2024). Uribe, Jorge ; Garron, Ignacio ; Chulia, Helena. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:762-776.

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2024A probabilistic forecast methodology for volatile electricity prices in the Australian National Electricity Market. (2024). Dinh, Nam Trong ; Cornell, Cameron ; Pourmousavi, Ali S. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1421-1437.

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2024Is bank misconduct related to social capital? Evidence from U.S. banks. (2024). Martin-Flores, Jose M. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:167:y:2024:i:c:s0378426624001705.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2024Ruin probability for heavy-tailed and dependent losses under reinsurance strategies. (2024). Selcuk-Kestel, Sevtap A ; Korn, Ralf ; Kulekci, Bukre Yildirim. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:226:y:2024:i:c:p:118-138.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2024Volatility forecasts by clustering: Applications for VaR estimation. (2024). Wang, Zijin ; Liu, Peng ; Chen, Peimin ; Wu, Chunchi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003320.

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2024Natural disasters, stock price volatility in the property-liability insurance market and sustainability: An unexplored link. (2024). Farraj, Nermeen Abi ; Naimy, Viviane ; Montero, Jose-Maria ; el Khoury, Rim. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123003038.

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2024Persuading large investors. (2024). Zachariadis, Konstantinos E ; Alonso, Ricardo. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:126040.

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2024Forecasting Bank Failure in the U.S.: A Cost-Sensitive Approach. (2024). Sen, Safa ; Ekinci, Aykut. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-023-10537-6.

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2024Improving Quantile Forecasts via Realized Double Hysteretic GARCH Model in Stock Markets. (2024). , Cindy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10563-y.

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2024Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. (2024). Cheng, Jie. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10571-y.

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2024Modeling the tail risk of crude oil futures using a quantum approach. (2024). Jeong, Minhyuk ; Ahn, Kwangwon. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-04221-9.

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2024Herausforderungen des finanziellen Risikomanagements: Eine empirische Untersuchung des Value at Risk-Ansatzes in Stresssituationen. (2024). Barz, Till ; Nastansky, Andreas. In: Statistische Diskussionsbeiträge. RePEc:pot:statdp:57.

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2024Can Bank Density Provide Insights on the Appropriation of Disaster Relief Funds? Evidence from the Paycheck Protection Program. (2024). Weiler, Stephan ; Landini, Austin. In: The Review of Regional Studies. RePEc:rre:publsh:v:54:y:2024:i:1:p:1-26.

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2024Modelling prices and volatilities in the sharing economy. (2024). Andrada-Flix, Julin ; Hernndez, Juan M ; Prez-Rodrguez, Jorge V. In: Tourism Economics. RePEc:sae:toueco:v:30:y:2024:i:5:p:1189-1215.

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2024An explorative analysis of sentiment impact on S&P 500 components returns, volatility and downside risk. (2024). Patacca, Marco ; Fig-Talamanca, Gianna. In: Annals of Operations Research. RePEc:spr:annopr:v:342:y:2024:i:3:d:10.1007_s10479-022-05129-w.

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2025Multivariate GARCH models with spherical parameterizations: an oil price application. (2025). de Blasis, Riccardo ; Ballestra, Luca Vincenzo ; Pacelli, Graziella. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-024-00683-7.

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2024Dynamic kernel models. (2024). Vallarino, Pierluigi. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20240082.

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2024Risky firms and fragile banks: Implications for macroprudential policy. (2024). Villa, Stefania ; Lewis, Vivien ; Moyen, Stephane ; Gasparini, Tommaso. In: Discussion Papers. RePEc:zbw:bubdps:287761.

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Works by Paul H. Kupiec:

Year  ↓Title  ↓Type  ↓Cited  ↓
2019Policy uncertainty, financial stability, and stress testing In: AEI Economics Working Papers.
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2019Policy uncertainty and bank stress testing In: AEI Economics Working Papers.
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2020Policy uncertainty and bank stress testing.(2020) In: Journal of Financial Stability.
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This paper has nother version. Agregated cites: 2		article
2014Can the single point of entry strategy be used to recapitalize a failing bank? In: AEI Economics Working Papers.
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2015Testing for systemic risk using stock returns In: AEI Economics Working Papers.
[Full Text][Citation analysis]		paper13
2016Testing for Systemic Risk Using Stock Returns.(2016) In: Journal of Financial Services Research.
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This paper has nother version. Agregated cites: 13		article
2015Portfolio diversification in concentrated bond and loan portfolios In: AEI Economics Working Papers.
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2015Capital for concentrated credit portfolios In: AEI Economics Working Papers.
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2015Capital for concentrated credit portfolios.(2015) In: AEI Economics Working Papers.
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.() In: .
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2015Will TLAC regulations fix the G-SIB too-big-to-fail problem? In: AEI Economics Working Papers.
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2016Will TLAC regulations fix the G-SIB too-big-to-fail problem?.(2016) In: Journal of Financial Stability.
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This paper has nother version. Agregated cites: 10		article
2015Is Dodd Frank orderly liquidation authority necessary to fix too-big-to-fail? In: AEI Economics Working Papers.
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2016Fixing prompt corrective action In: AEI Economics Working Papers.
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.() In: .
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2018Inside the black box: The accuracy of alternative stress test models In: AEI Economics Working Papers.
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2017The leverage ratio is not the problem In: AEI Economics Working Papers.
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2018On the accuracy of alternative approaches for calibrating bank stress test models In: AEI Economics Working Papers.
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2018On the accuracy of alternative approaches for calibrating bank stress test models.(2018) In: Journal of Financial Stability.
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1995A SECURITIES TRANSACTIONS TAX AND CAPITAL MARKET EFFICIENCY In: Contemporary Economic Policy.
[Full Text][Citation analysis]		article8
2021American Enterprise Institute Roundtable: Government Policies Reshape the Banking System In: Journal of Applied Corporate Finance.
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2023American Enterprise Institute roundtable on addressing the underlying causes of the banking crisis of 2023: Panelists: Charles Calomiris, Henry Kaufman Professor of Financial Institutions, Columbia University; Andrew Levin, Professor, Dartmouth College; Bill Nelson, Chief Economist, Bank Policy Institute; Alex J. Pollock, Senior Fellow, Mises Institute; Moderator: Paul Kupiec, Senior Fellow, American Enterprise Institute In: Journal of Applied Corporate Finance.
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2023Depositor discipline and the banking panic of 2023 In: Journal of Applied Corporate Finance.
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2023Depositor discipline and the banking panic of 2023.(2023) In: Journal of Applied Corporate Finance.
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2024Systemic risk and unrealized losses in the banking system In: Journal of Applied Corporate Finance.
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1991 Animal Spirits, Margin Requirements, and Stock Price Volatility. In: Journal of Finance.
[Full Text][Citation analysis]		article19
1990Animal spirits, margin requirements, and stock price volatility.(1990) In: Finance and Economics Discussion Series.
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1989Animal spirits, margin requirements, and stock price volatility.(1989) In: Finance and Economics Discussion Series.
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2015Can the “Single Point of Entry” strategy be used to recapitalize a systemically important failing bank? In: Journal of Financial Stability.
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2017Does bank supervision impact bank loan growth? In: Journal of Financial Stability.
[Full Text][Citation analysis]		article20
2013Bank failures and the cost of systemic risk: Evidence from 1900 to 1930 In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article30
2001Estimating Credit Risk Capital: Whats the Use? In: Journal of Risk Finance.
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1990Futures margins and stock price volatility: is there any link? In: Finance and Economics Discussion Series.
[Citation analysis]		paper3
1989Futures margins and stock price volatility: is there any link?.(1989) In: Finance and Economics Discussion Series.
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1993Futures margins and stock price volatility: Is there any link?.(1993) In: Journal of Futures Markets.
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1990A primer on program trading and stock price volatility: a survey of the issues and the evidence In: Finance and Economics Discussion Series.
[Citation analysis]		paper2
1990Financial liberalization and international trends in stock, corporate bond and foreign exchange market volatilities In: Finance and Economics Discussion Series.
[Citation analysis]		paper2
1991Financial Liberalisation and International Trends in Stock, Corporate Bond and Foreign Exchange Market Volatilities.(1991) In: OECD Economics Department Working Papers.
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1990A securities transactions tax: beyond the rhetoric, what can we really say? In: Finance and Economics Discussion Series.
[Citation analysis]		paper2
1991Prudential margin policy in a futures-style settlement system In: Finance and Economics Discussion Series.
[Citation analysis]		paper23
1993Prudential margin policy in a futures‐style settlement system.(1993) In: Journal of Futures Markets.
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1991Stock market volatility in OECD countries: recent trends, consequences for the real economy, and proposals for reform In: Finance and Economics Discussion Series.
[Citation analysis]		paper12
1991Noise traders, excess volatility, and securities transaction tax In: Finance and Economics Discussion Series.
[Citation analysis]		paper5
1995Noise traders, excess volatility, and a securities transactions tax.(1995) In: Finance and Economics Discussion Series.
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1992Dividend-price ratios and expected inflation: is there more to the story than the proxy effect? In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1997The pre-commitment approach: using incentives to set market risk capital requirements In: Finance and Economics Discussion Series.
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1997Margin requirements, volatility, and market integrity: what have we learned since the crash? In: Finance and Economics Discussion Series.
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.() In: .
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1998Margin Requirements, Volatility, and Market Integrity: What Have We Learned Since the Crash?.(1998) In: Journal of Financial Services Research.
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1997Deposit insurance, bank incentives, and the design of regulatory policy In: Finance and Economics Discussion Series.
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1998Deposit insurance, bank incentives, and the design of regulatory policy.(1998) In: Economic Policy Review.
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1992On the ramifications of a securities transaction tax for the function and efficiency of capital markets In: Finance and Economics Discussion Series.
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1989Initial margin requirements and stock returns volatility: another look In: Finance and Economics Discussion Series.
[Citation analysis]		paper20
1989A survey of exchange-traded basket instruments In: Finance and Economics Discussion Series.
[Citation analysis]		paper1
1989Microeconomic sources of beta risk instability In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1993On the efficacy of a portfolio approach to margin setting in a futures- style settlement system In: Finance and Economics Discussion Series.
[Citation analysis]		paper0
1993The performance of S&P500 futures product margins under the span margining system In: Finance and Economics Discussion Series.
[Citation analysis]		paper8
1994The performance of S&P 500 futures product margins under the SPAN margining system.(1994) In: Journal of Futures Markets.
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1995The use of bank trading risk models for regulatory capital purposes In: Finance and Economics Discussion Series.
[Citation analysis]		paper9
1995Techniques for verifying the accuracy of risk measurement models In: Finance and Economics Discussion Series.
[Citation analysis]		paper1042
1995A pre-commitment approach to capital requirements for market risk In: Finance and Economics Discussion Series.
[Citation analysis]		paper27
1995A pre-commitment approach to capital requirements for market risk..(1995) In: Proceedings.
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This paper has nother version. Agregated cites: 27		paper
1995Recent developments in bank capital regulation of market risks In: Finance and Economics Discussion Series.
[Citation analysis]		paper12
1996Regulatory competition and the efficiency of alternative derivative product margining systems In: Finance and Economics Discussion Series.
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1996Regulatory competition and the efficiency of alternative derivative product margining systems.(1996) In: Journal of Futures Markets.
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2001The New Basel Capital Accord: The Devil Is in the (Calibration) Details In: IMF Working Papers.
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2002Calibrating Your Intuition: Capital Allocation for Market and Credit Risk In: IMF Working Papers.
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2002Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives In: IMF Working Papers.
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2002Internal Models, Subordinated Debt, and Regulatory Capital Requirements for Bank Credit Risk In: IMF Working Papers.
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2007Financial stability and Basel II In: Annals of Finance.
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2007Capital Allocation for Portfolio Credit Risk In: Journal of Financial Services Research.
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2012Editors’ Note on the Special Issue of the 10th FDIC/JFSR Bank Research Conference In: Journal of Financial Services Research.
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2004Assessing Systemic Risk Exposure from Banks and GSEs Under Alternative Approaches to Capital Regulation In: The Journal of Real Estate Finance and Economics.
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2005Insurers are not Banks: Assessing Liquidity, Efficiency and Solvency Risk Under Alternative Approaches to Capital Adequacy In: The Geneva Papers on Risk and Insurance - Issues and Practice.
[Full Text][Citation analysis]		article2
2005The IMF–World Bank Financial Sector Assessment Program: A View from the Inside In: World Scientific Book Chapters.
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