Simone Manganelli : Citation Profile


Are you Simone Manganelli?

European Central Bank

19

H index

23

i10 index

1674

Citations

RESEARCH PRODUCTION:

24

Articles

41

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 88
   Journals where Simone Manganelli has often published
   Relations with other researchers
   Recent citing documents: 202.    Total self citations: 21 (1.24 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma142
   Updated: 2019-10-06    RAS profile: 2019-03-24    
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Relations with other researchers


Works with:

Garcia-de-Andoain, Carlos (10)

Horny, Guillaume (3)

Heider, Florian (3)

Hoerova, Marie (3)

Mojon, Benoit (3)

Idier, Julien (2)

Altunbas, Yener (2)

Kim, Tae-Hwan (2)

Bubeck, Johannes (2)

Vergote, Olivier (2)

Marques-Ibanez, David (2)

Hoffmann, Peter (2)

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

Is cited by:

Afonso, Antonio (32)

Arghyrou, Michael (18)

Kontonikas, Alexandros (18)

Chuliá, Helena (17)

Fratzscher, Marcel (15)

Baruník, Jozef (15)

Hautsch, Nikolaus (14)

Ehrmann, Michael (14)

McAleer, Michael (14)

Zaghini, Andrea (12)

Lucas, Andre (12)

Cites to:

Engle, Robert (31)

Bekaert, Geert (18)

Harvey, Campbell (14)

Bollerslev, Tim (13)

Svensson, Lars (11)

Perotti, Enrico (10)

Reinhart, Carmen (9)

Hartmann, Philipp (9)

Ratnovski, Lev (9)

Bassett, Gilbert (8)

Fratzscher, Marcel (8)

Main data


Where Simone Manganelli has published?


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

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank22
Occasional Paper Series / European Central Bank2

Recent works citing Simone Manganelli (2019 and 2018)


YearTitle of citing document
2019Memory that Drives! New Insights into Forecasting Performance of Stock Prices from SEMIFARMA-AEGAS Model. (2019). Mishra, Tapas ; DIEBOLT, Claude ; Chikhi, Mohamed. In: Working Papers. RePEc:afc:wpaper:07-19.

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2019Structural Factor Analysis of Interest Rate Pass Through in Four Large Euro Area Economies. (2019). Bystrov, Victor ; Mizen, Paul ; Banerjee, Anindya . In: Lodz Economics Working Papers. RePEc:ann:wpaper:1/2019.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2019Spectral backtests of forecast distributions with application to risk management. (2018). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2019Forecasting dynamic return distributions based on ordered binary choice. (2019). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

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

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

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2018A Semi-parametric Realized Joint Value-at-Risk and Expected Shortfall Regression Framework. (2018). Wang, Chao ; Chen, Qian ; Gerlach, Richard. In: Papers. RePEc:arx:papers:1807.02422.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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

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

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

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2018What Drives Interbank Loans? Evidence from Canada. (2018). Guérin, Pierre ; Bulusu, Narayan ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:18-5.

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2018Always look on the bright side? Central counterparties and interbank markets during the financial crisis. (2018). Affinito, Massimiliano ; Piazza, Matteo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1181_18.

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2018Monetary Policy and Collateral Constraints since the European Debt Crisis. (2018). Nguyen, Benoît ; Bignon, Vincent ; Barthélemy, Jean ; Barthelemy, J. In: Working papers. RePEc:bfr:banfra:669.

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2018Bad Sovereign or Bad Balance Sheets? Euro Interbank Market Fragmentation and Monetary Policy, 2011-2015. (2018). Gabrieli, Silvia ; Labonne, Claire. In: Working papers. RePEc:bfr:banfra:687.

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2018Impact of the ECB Quantitative Easing on the French International Investment Position. (2018). CEZAR, Rafael ; Silvestrini, Maeva. In: Working papers. RePEc:bfr:banfra:701.

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2019Risk endogeneity at the lender/investor-of-last-resort. (2019). Lucas, Andre ; Zhang, Xin ; Schwaab, Bernd ; Caballero, Diego. In: BIS Working Papers. RePEc:bis:biswps:766.

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2019Banks business model and credit supply in Chile: the role of a state-owned bank. (2019). Lemus, Antonio ; Cordova, Felipe ; Biron, Miguel. In: BIS Working Papers. RePEc:bis:biswps:800.

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2018FINANCIAL DEVELOPMENT AND MACROECONOMIC VOLATILITY. (2018). Ma, Yong ; Song, KE. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:205-225.

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2018Determinants of Underwriting Fees by New Entrant Banks: Evidence from the Japanese IPO Underwriting Market. (2018). Yamada, Kazuo ; Koda, Keiichiro. In: Financial Management. RePEc:bla:finmgt:v:47:y:2018:i:2:p:285-307.

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2019Money laundering and bank risk: evidence from US banks. (2019). Thornton, John ; Uymaz, Yurtsev ; Altunba, Yener. In: Working Papers. RePEc:bng:wpaper:19005.

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2019Do Negative Interest Rates Affect Bank Risk-Taking?. (2019). Santamaria, Riccardo ; Bongiovanni, Alessio ; Williams, Jonathan ; Reghezza, Aalessio. In: Working Papers. RePEc:bng:wpaper:19012.

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2018The impact of the Bank of England’s Corporate Bond Purchase Scheme on yield spreads. (2018). de Roure, Calebe ; Morley, Ben ; Boneva, Lena. In: Bank of England working papers. RePEc:boe:boeewp:0719.

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2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). Luger, Richard ; Liu, Xiaochun ; Richard, LUGER ; Xiaochun, Liu. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:2:p:0:n:4.

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2018A Stochastic Latent Moment Model for Electricity Price Formation. (2018). Gianfreda, Angelica ; Bunn, Derek. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps46.

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2018The Effect of ECB Policy Announcements on Sovereign Yields: A Return to Normal Transmission?. (2018). Goodhead, Robert. In: Economic Letters. RePEc:cbi:ecolet:4/el/18.

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2019Money Market Funds and Unconventional Monetary Policy. (2019). Sorbo, Jacopo ; Dunne, Peter G ; Bua, Giovanna. In: Research Technical Papers. RePEc:cbi:wpaper:7/rt/19.

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2018OPINIONS REGARDING BUSINESS MODEL IN THE EUROPEAN BANKING SYSTEM. (2018). Ovidiu, Handro Paul. In: Annals - Economy Series. RePEc:cbu:jrnlec:y:2018:v:special:p:193-197.

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2018Modelling Volatility of Cryptocurrencies Using Markov-Switching Garch Models. (2018). Caporale, Guglielmo Maria ; Zekokh, Timur. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7167.

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2018Central Bank Policies and Financial Markets: Lessons from the Euro Crisis. (2018). Mody, Ashoka ; Nedeljkovic, Milan. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7400.

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2018The effects of unconventional monetary policy in the euro area. (2018). Duijndam, Sem ; Ji, Kan ; Elbourne, Adam . In: CPB Discussion Paper. RePEc:cpb:discus:371.

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2018Life below zero: Bank lending under negative policy rates. (2018). Heider, Florian ; Schepens, Glenn ; Saidi, Farzad. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13191.

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2018Does a Big Bazooka Matter? Central Bank Balance-Sheet Policies and Exchange Rates. (2002). Georgiadis, Georgios ; Grab, Johannes ; Dedola, Luca ; Mehl, Arnaud. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2018_024.

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2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

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2019Euro area sovereign risk spillovers before and after the ECBs OMT announcement. (2019). Gilbert, Niels. In: DNB Working Papers. RePEc:dnb:dnbwpp:636.

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2018Les interventions de crise de la FED et de la BCE diffèrent-elles ?. (2018). RIEU-FOUCAULT, Anne-Marie. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-31.

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2018Stocks and Bonds: Flight-to-Safety for Ever?. (2018). Tokpavi, Sessi ; Boucher, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-39.

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2019Banks’ Business Model and Credit Supply in Chile: The Role of a State-Owned Bank. (2019). Lemus, Antonio ; Cordova, Felipe ; Miguel, Biron. In: EconomiX Working Papers. RePEc:drm:wpaper:2019-11.

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2018Monetary policy and cross-border interbank market fragmentation: lessons from the crisis. (2018). Swarbrick, Jonathan ; Blattner, Tobias Sebastian. In: Working Paper Series. RePEc:ecb:ecbwps:20182139.

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2018Life below zero: bank lending under negative policy rates. (2018). Schepens, Glenn ; Heider, Florian ; Saidi, Farzad. In: Working Paper Series. RePEc:ecb:ecbwps:20182173.

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2018Does a big bazooka matter? Central bank balance-sheet policies and exchange rates. (2018). Mehl, Arnaud ; Gräb, Johannes ; Georgiadis, Georgios ; Grab, Johannes ; Dedola, Luca. In: Working Paper Series. RePEc:ecb:ecbwps:20182197.

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2018The first twenty years of the European Central Bank: monetary policy. (2018). Hartmann, Philipp ; Smets, Frank. In: Working Paper Series. RePEc:ecb:ecbwps:20182219.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

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2018Quantile relationships between standard, diffusion and jump betas across Japanese banks. (2018). Chowdhury, Biplob ; Dungey, Mardi ; JEYASREEDHARAN, NAGARATNAM . In: Journal of Asian Economics. RePEc:eee:asieco:v:59:y:2018:i:c:p:29-47.

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2019The CSPP at work: Yield heterogeneity and the portfolio rebalancing channel. (2019). Zaghini, Andrea. In: Journal of Corporate Finance. RePEc:eee:corfin:v:56:y:2019:i:c:p:282-297.

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2018A hybrid spline-based parametric model for the yield curve. (2018). Almeida, Caio ; Faria, Adriano . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:72-94.

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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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2018International risk transmission of stock market movements. (2018). Shen, Yifan. In: Economic Modelling. RePEc:eee:ecmode:v:69:y:2018:i:c:p:220-236.

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2018Estimating inflation persistence by quantile autoregression with quantile-specific unit roots. (2018). Rodrigues Figueiredo, Francisco ; Gaglianone, Wagner ; de Carvalho, Osmani Teixeira. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:407-430.

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2019Liquidity pull-back and predictability of government security yield volatility. (2019). Sasidharan, Subash ; Chundakkadan, Radeef. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:124-132.

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2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. (2018). Clements, Adam ; Herrera, Rodrigo ; Gonzalez, Sergio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88.

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2019Quantile range-based volatility measure for modelling and forecasting volatility using high frequency data. (2019). Mohamed, Ibrahim ; Chan, Jennifer So-Kuen ; Ng, Kok-Haur ; Tan, Shay-Kee. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:537-551.

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2018A tale of two risks in the EMU sovereign debt markets. (2018). Sensoy, Ahmet ; Akyildirim, Erdinc ; Nguyen, Duc Khuong. In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:102-106.

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2018A semi-parametric panel data analysis on financial development-economic volatility nexus in developing countries. (2018). Zouaoui, Haykel ; Ellouz, Nidhal Ziedi ; Mazioud, Manel . In: Economics Letters. RePEc:eee:ecolet:v:172:y:2018:i:c:p:50-55.

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2018Linear double autoregression. (2018). Zhu, Qianqian ; Li, Guodong ; Zheng, Yao. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:162-174.

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2019Mark to market value at risk. (2019). Chen, YU ; Zhang, Zhengjun ; Wang, Zhicheng. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:299-321.

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2018Composite quantile regression for GARCH models using high-frequency data. (2018). Wang, Meng ; Chen, Zhao. In: Econometrics and Statistics. RePEc:eee:ecosta:v:7:y:2018:i:c:p:115-133.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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2018Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381.

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2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

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2018Asymmetric extreme risk spillovers between the Chinese stock market and index futures market: An MV-CAViaR based intraday CoVaR approach. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Wu, Shuai. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:98-113.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2018lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2018Oil volatility and sovereign risk of BRICS. (2018). Shahzad, Syed Jawad Hussain ; Roubaud, David ; Bouri, Elie ; Raza, Naveed ; Hussain, Syed Jawad. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:258-269.

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2018Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643.

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2018Market fragmentation, liquidity measures and improvement perspectives from Chinas emissions trading scheme pilots. (2018). Chevallier, Julien ; Chen, Rongda ; Chang, Kai. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:249-260.

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2018Risk transmission mechanism between energy markets: A VAR for VaR approach. (2018). Shi, Xunpeng ; Padinjare, Hari Malamakkavu ; Shen, Yifan. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:377-388.

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2018Crude oil risk forecasting: New evidence from multiscale analysis approach. (2018). He, Kaijian ; Liu, Jia ; Zou, Yingchao . In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:574-583.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2019The co-movement between oil and clean energy stocks: A wavelet-based analysis of horizon associations. (2019). Abdoh, Hussein ; Awartani, Basel ; Maghyereh, Aktham I. In: Energy. RePEc:eee:energy:v:169:y:2019:i:c:p:895-913.

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2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; Kearney, Fearghal ; Fernandez, Viviana ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Yarovaya, Larisa ; Vigne, Samuel A ; Neville, Conor ; Helbing, Pia ; Wolfe, Simon ; Lucey, Brian M ; McGroarty, Frank ; Goodell, John W ; Vu, Anh N ; McGee, Richard J ; Gonzalez-Urteaga, Ana ; Marin, Matej . In: International Review of Financial Analysis. RePEc:eee:finana:v:55
2018Finance and sustainability: From ideology to utopia. (2018). Lagoarde-Segot, Thomas ; Paranque, Bernard. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:80-92.

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2018The impact of the banking sector on economic structure and growth. (2018). Vithessonthi, Chaiporn ; Tongurai, Jittima . In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:193-207.

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2019Modeling intraday volatility of European bond markets: A data filtering application. (2019). Dufour, Alfonso ; Zhang, Hanyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:131-146.

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2018Measuring sovereign contagion in Europe. (2018). Pelizzon, Loriana ; Caporin, Massimiliano ; Rigobon, Roberto ; Ravazzolo, Francesco. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:150-181.

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2018Measuring the propagation of financial distress with Granger-causality tail risk networks. (2018). Trapin, Luca ; Pirino, Davide ; Lillo, Fabrizio ; Corsi, Fulvio. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:18-36.

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2018Short selling in extreme events. (2018). Geraci, Marco Valerio ; Veredas, David ; Garbaraviius, Tomas. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:90-103.

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2018Does regulatory regime matter for bank risk taking? A comparative analysis of US and Canada. (2018). Mohsni, Sana ; Otchere, Isaac. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:1-16.

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2019Quantitative easing and sovereign yield spreads: Euro-area time-varying evidence. (2019). Jalles, Joao ; Afonso, Antonio. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:208-224.

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2018Are macroeconomic density forecasts informative?. (2018). Clements, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:2:p:181-198.

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2018An approximate long-memory range-based approach for value at risk estimation. (2018). Meng, Xiaochun ; Taylor, James W. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:3:p:377-388.

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2018Forecasting risk with Markov-switching GARCH models:A large-scale performance study. (2018). Ardia, David ; Catania, Leopoldo ; Boudt, Kris ; Bluteau, Keven. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:733-747.

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2018Bank CEO materialism: Risk controls, culture and tail risk. (2018). Bushman, Robert M ; Smith, Abbie ; Dey, Aiyesha ; Davidson, Robert H. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:65:y:2018:i:1:p:191-220.

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2019Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20.

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2019Do financial crises cleanse the banking industry? Evidence from US commercial bank exits. (2019). Vallascas, Francesco ; Keasey, Kevin ; Spokeviciute, Laima. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:99:y:2019:i:c:p:222-236.

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2018Backtesting an equity risk model under Solvency II. (2018). Santomil, Pablo Duran ; Merigo, Jose M ; Cunill, Onofre Martorell ; Gonzalez, Luis Otero. In: Journal of Business Research. RePEc:eee:jbrese:v:89:y:2018:i:c:p:216-222.

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2019Financial dependence and growth: The role of input-output linkages. (2019). Lo Turco, Alessia ; Zazzaro, Alberto ; Maggioni, Daniela. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:308-328.

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2018Exploring the sources of default clustering. (2018). Azizpour, S ; Schwenkler, G ; Giesecke, K. In: Journal of Financial Economics. RePEc:eee:jfinec:v:129:y:2018:i:1:p:154-183.

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2018Why do some banks contribute more to global systemic risk?. (2018). Bostandzic, Denefa . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:35:y:2018:i:pa:p:17-40.

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2018Liquidity provision as a monetary policy tool: The ECB’s non-standard measures after the financial crisis. (2018). Tristani, Oreste ; Quint, Dominic. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:80:y:2018:i:c:p:15-34.

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2018Unobservable country bond premia and fragmentation. (2018). De Santis, Roberto A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:1-25.

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2018Market standards in financial contracting: The Euro’s effect on debt securities. (2018). Engert, Andreas ; Hornuf, Lars. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:85:y:2018:i:c:p:145-162.

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2018“Whatever it takes” to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2018). Kontonikas, Alexandros ; Arghyrou, Michael ; Afonso, Antonio ; Gadea, Maria Dolores. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:86:y:2018:i:c:p:1-30.

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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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article591
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: 591
paper
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: 591
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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paper12
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: 12
article
2016Changes in financial fragmentation in the euro area since 2008 In: Rue de la Banque.
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article0
2009What drives spreads in the euro area government bond market? In: Economic Policy.
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article178
2012Bank Risk during the Financial Crisis: Do business models matter? In: Working Papers.
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paper74
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: 74
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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paper41
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: 41
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: 41
article
2003The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks In: CEPR Discussion Papers.
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paper9
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: 9
paper
2007The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan In: CEPR Discussion Papers.
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paper36
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: 36
article
2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
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paper74
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: 74
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: 74
article
2010The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis.
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article19
2008Measuring financial integration in new EU Member States In: Occasional Paper Series.
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paper49
2011The impact of the Eurosystems covered bond purchase programme on the primary and secondary markets In: Occasional Paper Series.
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paper23
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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article2
2001Value at risk models in finance In: Working Paper Series.
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paper36
2002Duration, volume and volatility impact of trades In: Working Paper Series.
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paper67
2005Duration, volume and volatility impact of trades.(2005) In: Journal of Financial Markets.
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This paper has another version. Agregated cites: 67
article
2002Sensitivity analysis of volatility: a new tool for risk management In: Working Paper Series.
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paper2
2003The euro area financial system: structure, integration and policy initiatives In: Working Paper Series.
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paper119
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: 119
article
2005Measuring comovements by regression quantiles In: Working Paper Series.
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paper34
2014Measuring Comovements by Regression Quantiles.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 34
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.
[Full Text][Citation analysis]
paper23
2008The impact of the euro on equity markets: a country and sector decomposition In: Working Paper Series.
[Full Text][Citation analysis]
paper5
2008Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR In: Working Paper Series.
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paper16
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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paper24
2014Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters.
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This paper has another version. Agregated cites: 24
article
2015VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series.
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paper46
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: 46
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: 46
paper
2017The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series.
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paper3
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: 3
article
2018Selecting models with judgment 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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paper0
2013Financial dependence, global growth opportunities, and growth revisited In: Economics Letters.
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article10
2015Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics.
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article8
2017Realized bank risk during the great recession In: Journal of Financial Intermediation.
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article6
2015Realized Bank Risk during the Great Recession.(2015) In: International Finance Discussion Papers.
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This paper has another version. Agregated cites: 6
paper
2003Quantifying the Risk of Deflation In: EcoMod2004.
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paper19
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 19
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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paper9
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 July, 1st 2019. Contact: CitEc Team