Simone Manganelli : Citation Profile


Are you Simone Manganelli?

European Central Bank

19

H index

27

i10 index

1935

Citations

RESEARCH PRODUCTION:

25

Articles

46

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 92
   Journals where Simone Manganelli has often published
   Relations with other researchers
   Recent citing documents: 239.    Total self citations: 24 (1.23 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma142
   Updated: 2021-09-11    RAS profile: 2020-10-30    
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Relations with other researchers


Works with:

Garcia-de-Andoain, Carlos (4)

Horny, Guillaume (3)

Mojon, Benoit (3)

Gelain, Paolo (2)

Hoerova, Marie (2)

Heider, Florian (2)

Bubeck, Johannes (2)

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

Is cited by:

Baruník, Jozef (21)

Schwaab, Bernd (17)

Gallo, Giampiero (15)

Chuliá, Helena (15)

Engle, Robert (15)

Lucas, Andre (15)

Fratzscher, Marcel (15)

McAleer, Michael (14)

Hautsch, Nikolaus (14)

Zaghini, Andrea (14)

Smets, Frank (12)

Cites to:

Engle, Robert (33)

Bekaert, Geert (19)

Acharya, Viral (16)

Svensson, Lars (15)

Harvey, Campbell (14)

Bollerslev, Tim (12)

de Vries, Casper (11)

Perotti, Enrico (10)

Hartmann, Philipp (9)

Gertler, Mark (9)

Reinhart, Carmen (9)

Main data


Where Simone Manganelli has published?


Journals with more than one article published# docs
Research Bulletin3
Economics Letters2
Journal of Financial Intermediation2
Journal of Business & Economic Statistics2
Journal of Financial Econometrics2
Journal of Money, Credit and Banking2
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank26
Occasional Paper Series / European Central Bank2

Recent works citing Simone Manganelli (2021 and 2020)


YearTitle of citing document
2021Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09.

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2020Improving Value-at-Risk prediction under model uncertainty. (2018). Yao, Jianfeng ; Yang, Shuzhen. In: Papers. RePEc:arx:papers:1805.03890.

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2020Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021A 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.

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2020Forecast Encompassing Tests for the Expected Shortfall. (2019). Schnaitmann, Julie ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1908.04569.

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2020QCNN: Quantile Convolutional Neural Network. (2019). Petneh, G'Abor. In: Papers. RePEc:arx:papers:1908.07978.

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2020Quantile Factor Models. (2019). Gonzalo, Jesus ; Dolado, Juan ; Chen, Liang. In: Papers. RePEc:arx:papers:1911.02173.

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2020Bayesian Median Autoregression for Robust Time Series Forecasting. (2020). Li, Meng ; Zeng, Zijian. In: Papers. RePEc:arx:papers:2001.01116.

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2021A Bayesian Long Short-Term Memory Model for Value at Risk and Expected Shortfall Joint Forecasting. (2020). Gao, Junbin ; Gerlach, Richard ; Wang, Chao ; Tran, Minh-Ngoc ; Li, Zhengkun. In: Papers. RePEc:arx:papers:2001.08374.

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2020Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2021Nonparametric Expected Shortfall Forecasting Incorporating Weighted Quantiles. (2020). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2005.04868.

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2021Horseshoe Prior Bayesian Quantile Regression. (2020). Kohns, David ; Szendrei, Tibor. In: Papers. RePEc:arx:papers:2006.07655.

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2020A micro-to-macro approach to returns, volumes and waiting times. (2020). Petroni, Filippo ; D'Amico, Guglielmo. In: Papers. RePEc:arx:papers:2007.06262.

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2021Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

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2020Tail risk forecasting using Bayesian realized EGARCH models. (2020). Wang, Chao ; Gerlach, Richard ; Tendenan, Vica. In: Papers. RePEc:arx:papers:2008.05147.

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2020Encompassing 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.

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2021Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993.

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2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

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2020lCARE -- localizing Conditional AutoRegressive Expectiles. (2020). Hardle, Wolfgang Karl ; Mihoci, Andrija ; Xu, Xiu. In: Papers. RePEc:arx:papers:2009.13215.

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2021Measuring the Effect of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, Demetrio ; Otranto, Edoardo. In: Papers. RePEc:arx:papers:2010.08259.

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2020Parsimonious Quantile Regression of Financial Asset Tail Dynamics via Sequential Learning. (2020). Zhang, Weizhong ; Yan, Xing ; Wu, QI ; Liu, Wei ; Ma, Lin. In: Papers. RePEc:arx:papers:2010.08263.

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2020The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2020Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2020Portfolio Risk Measurement Using a Mixture Simulation Approach. (2020). Sharifi, Azin ; Sina, Seyed Mohammad ; Arian, Hamidreza. In: Papers. RePEc:arx:papers:2011.07994.

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2021Adaptive Random Bandwidth for Inference in CAViaR Models. (2021). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:2102.01636.

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2021Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021Modelling uncertainty in financial tail risk: a forecasting combination and weighted quantile approach. (2021). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2104.04918.

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2021A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2021Forecasting VaR and ES using a joint quantile regression and implications in portfolio allocation. (2021). Raponi, Valentina ; Petrella, Lea ; Merlo, Luca. In: Papers. RePEc:arx:papers:2106.06518.

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2021Multiplicative Error Models: 20 years on. (2021). Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2107.05923.

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2020Do macroeconomic factors impact corporate debt? Evidence from India. (2020). Marulkar, Kedar ; Faniband, Muhammadriyaj. In: Asian Journal of Empirical Research. RePEc:asi:ajoerj:2020:p:16-23.

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2020Implementation and Effectiveness of Extended Monetary Policy Tools: Lessons from the Literature. (2020). Yang, Jing ; Witmer, Jonathan ; Priftis, Romanos ; Kozicki, Sharon ; Suchanek, Lena ; Johnson, Grahame. In: Discussion Papers. RePEc:bca:bocadp:20-16.

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2020At-risk measures and financial stability. (2020). Moreno, Maria Rodriguez ; Rodriguezmoreno, Maria ; Galan, Jorge E. In: Revista de Estabilidad Financiera. RePEc:bde:revist:y:2020:i:autumn:n:3.

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2020Eurozone prices: a tale of convergence and divergence. (2020). Guerrero, David E ; Gonzalez-Perez, Maria T ; Garcia-Hiernaux, Alfredo. In: Working Papers. RePEc:bde:wpaper:2010.

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2020The market stabilization role of central bank asset purchases: high-frequency evidence from the COVID-19 crisis. (2020). Bernardini, Marco ; de Nicola, Annalisa. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1310_20.

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2021Identifying deposits outflows in real-time. (2021). Rainone, Edoardo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1319_21.

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2020Wealth effect on consumption during the sovereign debt crisis: Households heterogeneity in the Euro area. (2020). Savignac, Frédérique ; Garbinti, Bertrand ; Lecanu, Charlelie ; Lamarche, Pierre. In: Working papers. RePEc:bfr:banfra:751.

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2020Inflation at risk in advanced and emerging economies. (2020). Mehrotra, Aaron ; Zampolli, Fabrizio ; Contreras, Juan ; Banerjee, Ryan Niladri. In: BIS Working Papers. RePEc:bis:biswps:883.

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2021Sustainable development and financial institutions: Do banks environmental policies influence customer deposits?. (2021). Vermiglio, Carlo ; Naciti, Valeria ; Mazzu, Sebastiano ; Galletta, Simona. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:30:y:2021:i:1:p:643-656.

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2020Banking business models and risk: Findings from the ECBs comprehensive assessment. (2020). Rotondi, Zeno ; Paladino, Giovanna. In: Economic Notes. RePEc:bla:ecnote:v:49:y:2020:i:2:n:e12158.

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2020Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146.

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2020Backtesting portfolio value‐at‐risk with estimated portfolio weights. (2020). Pei, Pei ; Du, Zaichao. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:605-619.

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2020The impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Scheme. (2019). LINTON, OLIVER ; Elliott, David ; Morley, Ben ; McLaren, Nick ; Kaminska, Iryna ; Boneva, Lena. In: Bank of England working papers. RePEc:boe:boeewp:0782.

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2021Monetary Policy and Cross-Border Interbank Market Fragmentation: Lessons from the Crisis. (2021). Swarbrick, Jonathan ; Jonathan, Swarbrick ; Tobias, Blattner. In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:21:y:2021:i:1:p:323-368:n:9.

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2021On the Capital Structure of Foreign Subsidiaries: Evidence from a Panel Data Quantile Regression Model. (2021). Panteghini, Paolo ; Miniaci, Raffaele. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9085.

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2020COVID-Induced Sovereign Risk in the Euro Area: When Did the ECB Stop the Contagion?. (2020). Tripier, Fabien ; Ortmans, Aymeric. In: Working Papers. RePEc:cii:cepidt:2020-11.

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2020Measuring the Effects of Unconventional Policies on Stock Market Volatility. (2020). Gallo, Giampiero ; Lacava, D ; Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202006.

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2020Does a Big Bazooka Matter? Quantitative Easing Policies and Exchange Rates. (2020). Mehl, Arnaud ; Grab, Johannes ; Georgiadis, Georgios ; Dedola, Luca. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14324.

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2021Expecting the unexpected: economic growth under stress. (2021). Gonzalezrivera, Gloria ; Rodriguez, Carlos Vladimir ; Ortega, Esther Ruiz. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:32148.

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2020Corporates dependence on banks: The impact of ECB corporate sector purchases. (2020). Bats, Joost. In: DNB Working Papers. RePEc:dnb:dnbwpp:667.

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2020Demand shocks for public debt in the Eurozone. (2020). Giuliodori, Massimo ; Lengyel, Andras. In: DNB Working Papers. RePEc:dnb:dnbwpp:674.

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2020Exchange rate predictive densities and currency risks: A quantile regression approach. (2020). Joseph, Niango Ange. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-16.

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2020Forecasting 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.

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2020Revisiting the monetary presentation of the euro area balance of payments. (2020). Adalid, Ramon ; Soares, Rodrigo Oliveira ; Aguilar, Carmen Picon. In: Occasional Paper Series. RePEc:ecb:ecbops:2020238.

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2021Euro area money markets over the past 15 years: changes, driving factors and implications for monetary policy. (2021). Schepens, Glenn ; Hoerova, Marie ; Corradin, Stefano. In: Research Bulletin. RePEc:ecb:ecbrbu:2021:0082:.

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2020Wealth effect on consumption during the sovereign debt crisis: households heterogeneity in the euro area. (2020). Savignac, Frédérique ; Garbinti, Bertrand ; Lecanu, Charlelie ; Lamarche, Pierre. In: Working Paper Series. RePEc:ecb:ecbwps:20202357.

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2020Monetary policy and bank stability: the analytical toolbox reviewed. (2020). Popov, Alexander ; Marques-Ibanez, David ; Albertazzi, Ugo ; Barbiero, Francesca ; Marques-Ibaez, David ; Dacri, Costanza Rodriguez ; Vlassopoulos, Thomas . In: Working Paper Series. RePEc:ecb:ecbwps:20202377.

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2020International capital flows at the security level: evidence from the ECB’s Asset Purchase Programme. (2020). Fidora, Michael ; Bergant, Katharina ; Schmitz, Martin. In: Working Paper Series. RePEc:ecb:ecbwps:20202388.

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2020Bank contagion in general equilibrium. (2020). Minesso Ferrari, Massimo. In: Working Paper Series. RePEc:ecb:ecbwps:20202432.

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2020Forecasting macroeconomic risk in real time: Great and Covid-19 Recessions. (2020). van der Veken, Wouter ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202436.

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2020Interest rate setting and communication at the ECB. (2020). Jung, Alexander ; Cour-Thimann, Philippine. In: Working Paper Series. RePEc:ecb:ecbwps:20202443.

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2020Vulnerable growth in the Euro Area: Measuring the financial conditions. (2020). Jarociski, Marek ; Figueres, Juan Manuel. In: Working Paper Series. RePEc:ecb:ecbwps:20202458.

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2020Macroeconomic risks across the globe due to the Spanish Flu. (2020). van der Veken, Wouter ; de Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20202466.

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2020Money markets, central bank balance sheet and regulation. (2020). Sigaux, Jean-David ; Hoerova, Marie ; Eisenschmidt, Jens ; Schepens, Glenn ; Linzert, Tobias ; Corradin, Stefano. In: Working Paper Series. RePEc:ecb:ecbwps:20202483.

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2020Investment funds, monetary policy, and the global financial cycle. (2020). Kaufmann, Christoph. In: Working Paper Series. RePEc:ecb:ecbwps:20202489.

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2021Statistical decision functions with judgment. (2021). Manganelli, Simone. In: Working Paper Series. RePEc:ecb:ecbwps:20212512.

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2021Risk aversion and bank loan pricing. (2021). Camba-Mendez, Gonzalo ; Mongelli, Francesco Paolo ; Paolomongelli, Francesco. In: Working Paper Series. RePEc:ecb:ecbwps:20212514.

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2021A risk management perspective on macroprudential policy. (2021). Kremer, Manfred ; Fahr, Stephan ; Chavleishvili, Sulkhan ; Schwaab, Bernd ; Manganelli, Simone. In: Working Paper Series. RePEc:ecb:ecbwps:20212556.

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2021The risk management approach to macro-prudential policy. (2021). Kremer, Manfred ; Engle, Robert ; Chavleishvili, Sulkhan ; Schwaab, Bernd ; Manganelli, Simone ; Fahr, Stephan. In: Working Paper Series. RePEc:ecb:ecbwps:20212565.

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2021An intraday-return-based Value-at-Risk model driven by dynamic conditional score with censored generalized Pareto distribution. (2021). Li, Handong ; Tian, Fei ; Song, Shijia. In: Journal of Asian Economics. RePEc:eee:asieco:v:74:y:2021:i:c:s1049007821000439.

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2021Window effect with Markov-switching GARCH model in cryptocurrency market. (2021). Wu, Chuanzhen. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:146:y:2021:i:c:s0960077921002563.

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2021Evaluating multiplicative error models: A residual-based approach. (2021). Lu, Wanbo ; Ke, Rui ; Jia, Jing. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:153:y:2021:i:c:s0167947320301778.

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2020International Stock Comovements with Endogenous Clusters. (2020). Owyang, Michael ; Jackson Young, Laura ; Coroneo, Laura. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s0165188920300725.

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2020The effects of trade size and market depth on immediate price impact in a limit order book market. (2020). Anderson, Heather ; Pham, Manh Cuong ; Lajbcygier, Paul ; Duong, Huu Nhan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301603.

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2020Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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2020The value of understanding central bank communication. (2020). Girard, Alexandre ; Beaupain, Renaud. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:154-165.

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2020Mixed data sampling expectile regression with applications to measuring financial risk. (2020). Yu, Keming ; Jiang, Cuixia ; Chen, LU ; Xu, Qifa. In: Economic Modelling. RePEc:eee:ecmode:v:91:y:2020:i:c:p:469-486.

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2020Structural breaks in the correlations between Asian and US stock markets. (2020). Chou, Pei-I, ; Lee, Chia-Hao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s106294081830250x.

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2020Investor protection, regulation and bank risk-taking behavior. (2020). Teixeira, Joao ; Mario, . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304546.

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2020Measuring extreme risk spillovers across international stock markets: A quantile variance decomposition analysis. (2020). Su, Xianfang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819304085.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2020Asymmetric dependence structures for regional stock markets: An unconditional quantile regression approach. (2020). Yoon, Seong-Min ; Li, Changhong ; Dong, Xiyong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303006.

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2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

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2021Dynamic volatility modelling of Bitcoin using time-varying transition probability Markov-switching GARCH model. (2021). Ng, Kooi-Huat ; Koh, You-Beng ; Tan, Chia-Yen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000164.

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2020Vulnerable growth in the euro area: Measuring the financial conditions. (2020). Jarociński, Marek ; Figueres, Juan ; Jarociski, Marek. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s016517652030104x.

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2020Financial integration in Europe through the lens of composite indicators. (2020). Kremer, Manfred ; Zaharia, Sonia ; Hoffmann, Peter. In: Economics Letters. RePEc:eee:ecolet:v:194:y:2020:i:c:s0165176520302226.

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2021Risk aversion and bank loan pricing. (2021). Mongelli, Francesco ; Camba-Mendez, Gonzalo. In: Economics Letters. RePEc:eee:ecolet:v:200:y:2021:i:c:s0165176520304833.

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2020Liquidity and volatility in the U.S. Treasury market. (2020). Fleming, Michael ; Engle, Robert ; Ghysels, Eric ; Nguyen, Giang. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:207-229.

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2020A Simple R-estimation method for semiparametric duration models. (2020). la Vecchia, Davide ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:736-749.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2020An ordinal classification framework for bank failure prediction: Methodology and empirical evidence for US banks. (2020). Galariotis, Emilios ; Zopounidis, Constantin ; Doumpos, Michalis ; Manthoulis, Georgios. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:2:p:786-801.

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2021Achieving a sustainable cost-efficient business model in banking: The case of European commercial banks. (2021). Lozano-Vivas, Ana ; Kumbhakar, Subal ; Badunenko, Oleg ; Lozanovivas, Ana. In: European Journal of Operational Research. RePEc:eee:ejores:v:293:y:2021:i:2:p:773-785.

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2020Market Impact on financial market integration: Cross-quantilogram analysis of the global impact of the euro. (2020). Uddin, Gazi ; Troster, Victor ; Tuvhag, Tom ; Lindman, Sebastian ; Jayasekera, Ranadeva. In: Journal of Empirical Finance. RePEc:eee:empfin:v:56:y:2020:i:c:p:42-73.

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2020Oil price shocks and EMU sovereign yield spreads. (2020). Filis, George ; Filippidis, Michail ; Kizys, Renatas. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304530.

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2020Multi-scale dependence structure and risk contagion between oil, gold, and US exchange rate: A wavelet-based vine-copula approach. (2020). Zhou, Dequn ; Zha, Donglan ; Wang, Qunwei ; Dai, Xingyu. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320301146.

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2021The roles of political risk and crude oil in stock market based on quantile cointegration approach: A comparative study in China and US. (2021). Fatemian, Farhad ; You, Wanhai ; Li, Yehua ; Guo, Yawei. In: Energy Economics. RePEc:eee:eneeco:v:97:y:2021:i:c:s0140988321001031.

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2020Extreme risk spillovers between crude oil prices and the U.S. exchange rate: Evidence from oil-exporting and oil-importing countries. (2020). Wang, Yudong ; Ma, Chaoqun ; Liu, LI ; Wen, Danyan. In: Energy. RePEc:eee:energy:v:212:y:2020:i:c:s0360544220318478.

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2020Measuring quantile dependence and testing directional predictability between Bitcoin, altcoins and traditional financial assets. (2020). Corbet, Shaen ; Marco, Chi Keung ; Katsiampa, Paraskevi. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920302155.

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2021Stock returns, quantile autocorrelation, and volatility forecasting. (2021). Cai, Yuzhi ; Upreti, Vineet ; Zhao, Yixiu. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302428.

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More than 100 citations found, this list is not complete...

Simone Manganelli has edited the books:


YearTitleTypeCited

Works by Simone Manganelli:


YearTitleTypeCited
2019Deciding with Judgment In: Papers.
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2016Deciding with judgment.(2016) In: Working Paper Series.
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This paper has another version. Agregated cites: 0
paper
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
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article758
1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series.
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This paper has another version. Agregated cites: 758
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2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 758
paper
2009Forecasting With Judgment In: Journal of Business & Economic Statistics.
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article8
2016Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers.
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paper19
2018Measuring Financial Fragmentation in the Euro Area Corporate Bond Market.(2018) In: Journal of Risk and Financial Management.
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This paper has another version. Agregated cites: 19
article
2016Changes in financial fragmentation in the euro area since 2008 In: Rue de la Banque.
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article0
2012Bank Risk during the Financial Crisis: Do business models matter? In: Working Papers.
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paper93
2011Bank risk during the financial crisis: do business models matter?.(2011) In: Working Paper Series.
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This paper has another version. Agregated cites: 93
paper
2015Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area In: CEPR Discussion Papers.
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paper61
2016Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area.(2016) In: Working Paper Series.
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This paper has another version. Agregated cites: 61
paper
2016Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area.(2016) In: Journal of Financial Intermediation.
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This paper has another version. Agregated cites: 61
article
2003The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks In: CEPR Discussion Papers.
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paper10
2003The central bank as a risk manager: quantifying and forecasting inflation risks.(2003) In: Working Paper Series.
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This paper has another version. Agregated cites: 10
paper
2007The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan In: CEPR Discussion Papers.
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paper45
2008The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan.(2008) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 45
article
2008The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan.(2008) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 45
article
2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
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paper85
2014A high frequency assessment of the ECB securities markets programme.(2014) In: Working Paper Series.
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This paper has another version. Agregated cites: 85
paper
2017A High-Frequency assessment of the ECB Securities Markets Programme.(2017) In: Journal of the European Economic Association.
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This paper has another version. Agregated cites: 85
article
2010The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis.
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article21
2008Measuring financial integration in new EU Member States In: Occasional Paper Series.
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paper51
2011The impact of the Eurosystems covered bond purchase programme on the primary and secondary markets In: Occasional Paper Series.
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paper70
2007Financial integration and capital flows in the new EU Member States In: Research Bulletin.
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article0
2011New methodologies for systemic risk measurement In: Research Bulletin.
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article0
2012The impact of the Securities Markets Programme In: Research Bulletin.
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article4
2001Value at risk models in finance In: Working Paper Series.
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paper62
2002Duration, volume and volatility impact of trades In: Working Paper Series.
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paper87
2005Duration, volume and volatility impact of trades.(2005) In: Journal of Financial Markets.
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This paper has another version. Agregated cites: 87
article
2002Sensitivity analysis of volatility: a new tool for risk management In: Working Paper Series.
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paper3
2003The euro area financial system: structure, integration and policy initiatives In: Working Paper Series.
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paper121
2003The Euro-area Financial System: Structure, Integration, and Policy Initiatives.(2003) In: Oxford Review of Economic Policy.
[Citation analysis]
This paper has another version. Agregated cites: 121
article
2005Measuring comovements by regression quantiles In: Working Paper Series.
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paper40
2014Measuring Comovements by Regression Quantiles.(2014) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 40
article
2006A new theory of forecasting In: Working Paper Series.
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paper3
2006The impact of the euro on financial markets In: Working Paper Series.
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paper35
2006Financial integration of new EU Member States In: Working Paper Series.
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paper57
2007Asset allocation by penalized least squares In: Working Paper Series.
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paper2
2007Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? In: Working Paper Series.
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paper25
2008The impact of the euro on equity markets: a country and sector decomposition In: Working Paper Series.
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paper5
2008Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR In: Working Paper Series.
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paper19
2010Finance and diversification In: Working Paper Series.
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paper0
2014Fragmentation in the euro overnight unsecured money market In: Working Paper Series.
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paper28
2014Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters.
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This paper has another version. Agregated cites: 28
article
2015VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series.
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paper91
2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles.(2015) In: Journal of Econometrics.
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This paper has another version. Agregated cites: 91
article
2012VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles.(2012) In: Working papers.
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This paper has another version. Agregated cites: 91
paper
2017The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series.
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paper13
2018The portfolio of euro area fund investors and ECB monetary policy announcements.(2018) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 13
article
2018Selecting models with judgment In: Working Paper Series.
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2019Forecasting and stress testing with quantile vector autoregression In: Working Paper Series.
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paper9
2020Monetary policy with judgment In: Working Paper Series.
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paper1
2020Monetary Policy with Judgment.(2020) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2020Financial conditions, business cycle fluctuations and growth at risk In: Working Paper Series.
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paper0
2020Covid-19 and rural landscape: the case of Italy In: Working Paper Series.
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paper0
2004The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles In: Econometric Society 2004 Latin American Meetings.
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2013Financial dependence, global growth opportunities, and growth revisited In: Economics Letters.
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article15
2015Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics.
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article10
2017Realized bank risk during the great recession In: Journal of Financial Intermediation.
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article18
2015Realized Bank Risk during the Great Recession.(2015) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 18
paper
2010Quantifying the Risk of Deflation In: EcoMod2004.
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paper22
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 22
article
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 22
article
2006Equity Market Integration of New EU Member States In: Chapters.
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chapter1
1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
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paper24
2004Asset Allocation by Variance Sensitivity Analysis In: Journal of Financial Econometrics.
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article9
2010VAR for VaR: measuring systemic risk using multivariate regression quantiles. In: MPRA Paper.
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paper10
2002Sensitivity Analysis of GARCH Models In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
1999Modeling a Time-Varying Order Statistic In: Computing in Economics and Finance 1999.
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paper0
2014Comment In: Journal of Business & Economic Statistics.
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article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team