Simone Manganelli : Citation Profile


Are you Simone Manganelli?

European Central Bank

17

H index

21

i10 index

1340

Citations

RESEARCH PRODUCTION:

20

Articles

38

Papers

1

Chapters

RESEARCH ACTIVITY:

   17 years (1999 - 2016). See details.
   Cites by year: 78
   Journals where Simone Manganelli has often published
   Relations with other researchers
   Recent citing documents: 228.    Total self citations: 16 (1.18 %)

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   Permalink: http://citec.repec.org/pma142
   Updated: 2017-11-18    RAS profile: 2017-07-05    
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Relations with other researchers


Works with:

Garcia-de-Andoain, Carlos (10)

Kim, Tae-Hwan (3)

Hoerova, Marie (3)

Heider, Florian (3)

Marques-Ibanez, David (2)

Vergote, Olivier (2)

Idier, Julien (2)

Mojon, Benoit (2)

Horny, Guillaume (2)

Hoffmann, Peter (2)

Popov, Alexander (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 (19)

Fratzscher, Marcel (15)

Hautsch, Nikolaus (14)

Chuliá, Helena (14)

McAleer, Michael (13)

Ehrmann, Michael (13)

Christoffersen, Peter (11)

Bollerslev, Tim (11)

Baruník, Jozef (11)

Peydro, Jose-Luis (10)

Arghyrou, Michael (10)

Cites to:

Engle, Robert (30)

Bekaert, Geert (18)

Harvey, Campbell (14)

Hartmann, Philipp (14)

Bollerslev, Tim (13)

Svensson, Lars (11)

Bassett, Gilbert (8)

de Vries, Casper (8)

White, Halbert (8)

Aghion, Philippe (7)

Levine, Ross (7)

Main data


Where Simone Manganelli has published?


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

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank20
Occasional Paper Series / European Central Bank2

Recent works citing Simone Manganelli (2017 and 2016)


YearTitle of citing document
2017The Bank-Sovereign Nexus: Evidence from a non-Bailout Episode. (2017). Ravazzolo, Francesco ; Natvik, Gisle ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: CREATES Research Papers. RePEc:aah:create:2017-25.

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2016CoVaR. (2016). Brunnermeier, Markus ; Adrian, Tobias. In: American Economic Review. RePEc:aea:aecrev:v:106:y:2016:i:7:p:1705-41.

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2016Analysis and Forecasting of Electricty Price Risks with Quantile Factor Models. (2016). Derek, Arne Andresen . In: The Energy Journal. RePEc:aen:journl:ej37-1-bunn.

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2016Banking Integration in European Context. (2016). Badircea, Roxana ; Florea, Nicoleta ; Pirvu, Ramona ; Manta, Alina . In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:42:y:2016:i:18:p:317.

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2016Sovereign debt crisis. From challenges to solutions. (2016). Moisescu, Elena Raluca ; Giurescu, Andrei . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiii:y:2016:i:1(606):p:195-202.

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2016Value-at-Risk and backtesting with the APARCH model and the standardized Pearson type IV distribution. (2016). Stavroyiannis, Stavros . In: Papers. RePEc:arx:papers:1602.05749.

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2016The role of volume in order book dynamics: a multivariate Hawkes process analysis. (2016). Rambaldi, Marcello ; Lillo, Fabrizio ; Bacry, Emmanuel . In: Papers. RePEc:arx:papers:1602.07663.

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2016Copula--based Specification of vector MEMs. (2016). Gallo, Giampiero ; Engle, Robert ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:1604.01338.

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2016Density Forecasts and the Leverage Effect: Some Evidence from Observation and Parameter-Driven Volatility Models. (2016). Catania, Leopoldo ; Nonejad, Nima . In: Papers. RePEc:arx:papers:1605.00230.

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2016The Accounting Network: how financial institutions react to systemic crisis. (2016). Pammolli, Fabio ; Flori, Andrea ; Chessa, Alessandro ; Puliga, Michelangelo ; Pappalardo, Giuseppe . In: Papers. RePEc:arx:papers:1605.01976.

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2017Elicitability and backtesting: Perspectives for banking regulation. (2017). Nolde, Natalia ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1608.05498.

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2016Quantile Dependence between Stock Markets and its Application in Volatility Forecasting. (2016). Han, Heejoon. In: Papers. RePEc:arx:papers:1608.07193.

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2016Feasible Invertibility Conditions for Maximum Likelihood Estimation for Observation-Driven Models. (2016). Wintenberger, Olivier ; Koopman, Siem Jan ; Blasques, Francisco ; Gorgi, P. In: Papers. RePEc:arx:papers:1610.02863.

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2016Multinomial VaR Backtests: A simple implicit approach to backtesting expected shortfall. (2016). Kratz, Marie ; McNeil, Alexander J ; Lok, Yen H. In: Papers. RePEc:arx:papers:1611.04851.

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2016Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures. (2016). Wang, Chao ; Gerlach, Richard . In: Papers. RePEc:arx:papers:1612.08488.

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2017A Joint Quantile and Expected Shortfall Regression Framework. (2017). Dimitriadis, Timo ; Bayer, Sebastian . In: Papers. RePEc:arx:papers:1704.02213.

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2017Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution. (2017). Wang, Chao ; Gerlach, Richard ; Chen, Qian . In: Papers. RePEc:arx:papers:1707.03715.

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2017Dynamic Semiparametric Models for Expected Shortfall (and Value-at-Risk). (2017). Patton, Andrew J ; Chen, Rui ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:1707.05108.

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2017Spectral backtests of forecast distributions with application to risk management. (2017). Gordy, Michael B ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2017Measurement of Common Risk Factors: A Panel Quantile Regression Model for Returns. (2017). Baruník, Jozef ; Cech, Frantisek . In: Papers. RePEc:arx:papers:1708.08622.

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2017A new approach to the modeling of financial volumes. (2017). D'Amico, Guglielmo ; Petroni, Filippo . In: Papers. RePEc:arx:papers:1709.05823.

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2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil. (2016). Gaglianone, Wagner ; Terra, Gabriel Jaqueline . In: Working Papers Series. RePEc:bcb:wpaper:446.

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2016Tracking Changes in the Intensity of Financial Sectors Systemic Risk. (2016). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp102.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Jin, Xisong ; de Simone, Francisco Nadal . In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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2016The drivers of European banks’ US dollar debt issuance: opportunistic funding in times of crisis?. (2016). Romo, Luna Azahara . In: Working Papers. RePEc:bde:wpaper:1611.

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2016Relación entre los valores en riesgo de los principales mercados financieros colombianos: un enfoque a través de modelos multivariados de regresión cuantílica.. (2016). Melo-Velandia, Luis ; Mario-Ustacara, Daniel . In: Borradores de Economia. RePEc:bdr:borrec:975.

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2017Price impact of bond supply shocks: Evidence from the Eurosystems asset purchase program.. (2017). Nguyen, Benoît ; Arrata, W. In: Working papers. RePEc:bfr:banfra:623.

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2017Forecasting multidimensional tail risk at short and long horizons. (2017). Polanski, Arnold ; Stoja, Evarist . In: Bank of England working papers. RePEc:boe:boeewp:0660.

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2016Non-performing loans in the euro area: are core-periphery banking markets fragmented?. (2016). Tsionas, Mike ; Louri, Helen ; Anastasiou, Dimitrios. In: Working Papers. RePEc:bog:wpaper:219.

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2016High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models. (2016). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1084.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2016Oil-price density forecasts of US GDP. (2016). Ravazzolo, Francesco ; Francesco, Ravazzolo ; Philip, Rothman . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:4:p:441-453:n:7.

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2017Structural Factor Analysis of Interest Rate Pass Through In Four Large Euro Area Economies. (2017). Banerjee, Anindya ; Mizen, Paul ; Bystrov, Victor . In: Working Papers in Economics. RePEc:cbt:econwp:17/07.

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2016How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Auer, Benjamin R ; Mogel, Benjamin . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6288.

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2017Europe at the Interdependence War. (2017). Tamborini, Roberto . In: EconPol Working Paper. RePEc:ces:econwp:_2.

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2016The Collateral Framework of the Eurosystem and Its Fiscal Implications. (2016). Eberl, Jakob Korbinian . In: ifo Beiträge zur Wirtschaftsforschung. RePEc:ces:ifobei:69.

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2016Markets are Smart! Structural Reforms and Country Risk. (2016). Dajud, Camilo Umana ; Sorescu, Silvia ; Findlay, Christopher. In: Working Papers. RePEc:cii:cepidt:2016-23.

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2016Political Foundations of the Lender of Last Resort: A Global Historical Narrative. (2016). Laeven, Luc ; Flandreau, Marc ; Calomiris, Charles . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11448.

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2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). Phillips, Peter ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:3010.

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2017Bank profitability and risk-taking under low interest rates. (2017). Bikker, Jacob ; Vervliet, Tobias . In: DNB Working Papers. RePEc:dnb:dnbwpp:560.

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2017Applying complexity theory to interest rates: Evidence of critical transitions in the euro area. (2017). van den End, Jan Willem . In: DNB Working Papers. RePEc:dnb:dnbwpp:567.

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2017Testing for Extreme Volatility Transmission with Realized Volatility Measures. (2017). Tokpavi, Sessi ; Dumitrescu, Elena Ivona ; DE TRUCHIS, Gilles ; Boucher, Christophe . In: EconomiX Working Papers. RePEc:drm:wpaper:2017-20.

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2017A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446.

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2017The Eurosystem collateral framework explained. (2017). Bindseil, Ulrich ; Visser, Ad ; Sahel, Benjamin ; Corsi, Marco . In: Occasional Paper Series. RePEc:ecb:ecbops:2017189.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico. In: Working Paper Series. RePEc:ecb:ecbwps:20161875.

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2016Credit spreads, economic activity and fragmentation. (2016). De Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20161930.

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2016Interbank loans, collateral and modern monetary policy. (2016). Wolski, Marcin ; van de Leur, Michiel. In: Working Paper Series. RePEc:ecb:ecbwps:20161959.

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2017Inside asset purchase programs: the effects of unconventional policy on banking competition. (2017). Wedow, Michael ; Koetter, Michael ; Podlich, Natalia . In: Working Paper Series. RePEc:ecb:ecbwps:20172017.

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2017Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment. (2017). Holm-Hadulla, Fédéric ; De Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20172052.

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2017The importance of being special: repo markets during the crisis. (2017). Corradin, Stefano ; Maddaloni, Angela . In: Working Paper Series. RePEc:ecb:ecbwps:20172065.

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2017Estimation of Volatility and Correlation with Multivariate Generalized Autoregressive Conditional Heteroskedasticity Models: An Application to Moroccan Stock Markets. (2017). Belasri, Yassine ; ELLAIA, Rachid . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-52.

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2017Dependence changes between the carbon price and its fundamentals: A quantile regression approach. (2017). Tan, Xue-Ping ; Wang, Xin-Yu . In: Applied Energy. RePEc:eee:appene:v:190:y:2017:i:c:p:306-325.

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2017Judicial efficiency and capital structure: An international study. (2017). Shah, Attaullah ; Labianca, Giuseppe ; Smith, Jason M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:44:y:2017:i:c:p:255-274.

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2016Estimation and empirical performance of non-scalar dynamic conditional correlation models. (2016). Bauwens, Luc ; Ortega, Juan-Pablo ; Grigoryeva, Lyudmila . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:17-36.

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2016Confidence intervals for ARMA–GARCH Value-at-Risk: The case of heavy tails and skewness. (2016). Spierdijk, Laura . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:545-559.

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2016Nonlinear expectile regression with application to Value-at-Risk and expected shortfall estimation. (2016). Kim, Minjo ; Lee, Sangyeol . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:1-19.

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2016Diagnostic checking of the vector multiplicative error model. (2016). Ng, F C ; Li, W K. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:94:y:2016:i:c:p:86-97.

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2016Interbank loans, collateral and modern monetary policy. (2016). Wolski, Marcin ; van de Leur, Michiel. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:73:y:2016:i:c:p:388-416.

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2017The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model. (2017). Bhatt, Vipul ; Ma, Jun ; Kishor, Kundan N. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:206-222.

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2017An adaptive approach to forecasting three key macroeconomic variables for transitional China. (2017). Niu, Linlin ; Chen, Ying ; Xu, Xiu . In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:201-213.

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2016Market perception of sovereign credit risk in the euro area during the financial crisis. (2016). Serwa, Dobromił ; Camba-Mendez, Gonzalo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:168-189.

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2016The cross-quantilogram: Measuring quantile dependence and testing directional predictability between time series. (2016). Whang, Yoon-Jae ; Oka, Tatsushi ; LINTON, OLIVER. In: Journal of Econometrics. RePEc:eee:econom:v:193:y:2016:i:1:p:251-270.

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2016Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:86-103.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2017Fitting a two phase threshold multiplicative error model. (2017). Perera, Indeewara ; Koul, Hira L. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:348-367.

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2017Banking efficiency in South East Europe: Evidence for financial crises and the gap between new EU members and candidate countries. (2017). Nurboja, Bashkim ; Koak, Marko . In: Economic Systems. RePEc:eee:ecosys:v:41:y:2017:i:1:p:122-138.

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2016How do experts forecast sovereign spreads?. (2016). Poplawski-Ribeiro, Marcos ; Claeys, Peter ; Cimadomo, Jacopo. In: European Economic Review. RePEc:eee:eecrev:v:87:y:2016:i:c:p:216-235.

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2016Take it to the limit: Innovative CVaR applications to extreme credit risk measurement. (2016). Powell, Robert ; Allen, David ; Singh, A K. In: European Journal of Operational Research. RePEc:eee:ejores:v:249:y:2016:i:2:p:465-475.

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2017Time-varying quantile association regression model with applications to financial contagion and VaR. (2017). Liu, Xiaoquan ; Ye, Wuyi ; Luo, Kebing . In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:3:p:1015-1028.

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2017Probabilistic forecasting of wind power ramp events using autoregressive logit models. (2017). Taylor, James W. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:2:p:703-712.

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2017Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong . In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

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2017From bond yield to macroeconomic instability: A parsimonious affine model. (2017). Recchioni, Maria Cristina ; Tedeschi, Gabriele . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1116-1135.

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2017Spillovers from the United States to Latin American and G7 stock markets: A VAR quantile analysis. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena . In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:32-46.

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2017Diversification potential of Asian frontier, BRIC emerging and major developed stock markets: A wavelet-based value at risk approach. (2017). Zeitun, Rami ; Mensi, Walid ; Hammoudeh, Shawkat ; Hussain, Syed Jawad ; Ur, Mobeen . In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:130-147.

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2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

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2016Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective. (2016). Bee, Marco ; Trapin, Luca ; Dupuis, Debbie J. In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:86-99.

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2016Macro-economic determinants of European stock and government bond correlations: A tale of two regions. (2016). Vermeulen, Wessel ; Perego, Erica R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:214-232.

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2016The information in systemic risk rankings. (2016). Schwaab, Bernd ; Lucas, Andre ; Koopman, Siem Jan ; Nucera, Federico. In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:461-475.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2016Crude oil and stock markets: Causal relationships in tails?. (2016). Park, Sung Y. ; Ding, Haoyuan ; Kim, Hyung-Gun . In: Energy Economics. RePEc:eee:eneeco:v:59:y:2016:i:c:p:58-69.

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2017The relationship between oil prices and rig counts: The importance of lags. (2017). Caporin, Massimiliano ; Hammoudeh, Shawkat ; Khalifa, Ahmed . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:213-226.

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2017Forecasting the real prices of crude oil using forecast combinations over time-varying parameter models. (2017). Wang, Yudong ; Wu, Chongfeng ; Liu, LI. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:337-348.

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2017Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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2017Forecasting quantiles of day-ahead electricity load. (2017). Clements, A E ; Li, Z ; Hurn, A S. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:60-71.

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2016How does Germanys green energy policy affect electricity market volatility? An application of conditional autoregressive range models. (2016). Auer, Benjamin R. In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:621-628.

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2016Modeling the UK electricity price distributions using quantile regression. (2016). Hagfors, Lars Ivar ; Kristoffersen, Eline ; Bunn, Derek ; Westgaard, Sjur ; Staver, Tiril Toftdahl . In: Energy. RePEc:eee:energy:v:102:y:2016:i:c:p:231-243.

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2016Asian financial integration: Global or regional? Evidence from money and bond markets. (2016). Rughoo, Aarti ; You, Kefei . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:419-434.

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2017A tale of fragmentation: Corporate funding in the euro-area bond market. (2017). Zaghini, Andrea. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:59-68.

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2017Does mispricing, liquidity or third-party certification contribute to IPO downside risk?. (2017). Reber, Beat . In: International Review of Financial Analysis. RePEc:eee:finana:v:51:y:2017:i:c:p:25-53.

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2017Intra- and inter-regional portfolio diversification strategies under regional market integration: Evidence from U.S. global banks. (2017). Lee, Eun-Joo . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:1-22.

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2016A parsimonious quantile regression model to forecast day-ahead value-at-risk. (2016). Haugom, Erik ; Westgaard, Sjur ; Veka, Steinar ; Ullrich, Carl J ; Ray, Rina . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:196-207.

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2017Sovereign bond markets and financial volatility dynamics: Panel-GARCH evidence for six euro area countries. (2017). Cermeño, Rodolfo ; Curto, Jose Dias ; Cermeo, Rodolfo ; Ribeiro, Pedro Pires . In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:107-114.

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2016Business models and bank performance: A long-term perspective. (2016). Vander Vennet, Rudi ; Mergaerts, Frederik. In: Journal of Financial Stability. RePEc:eee:finsta:v:22:y:2016:i:c:p:57-75.

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2016Fragmentation and heterogeneity in the euro-area corporate bond market: Back to normal?. (2016). Zaghini, Andrea. In: Journal of Financial Stability. RePEc:eee:finsta:v:23:y:2016:i:c:p:51-61.

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2017Time varying contagion in EMU government bond spreads. (2017). Leschinski, Christian ; Bertram, Philip . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:72-91.

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2016Markov regime-switching quantile regression models and financial contagion detection. (2016). Ye, Wuyi ; Miao, Baiqi ; Wu, Yuehua ; Zhu, Yangguang . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:67:y:2016:i:c:p:21-26.

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2016Credible risk measures with applications in actuarial sciences and finance. (2016). Pitselis, Georgios . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:70:y:2016:i:c:p:373-386.

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2017Risk measures in a quantile regression credibility framework with Fama/French data applications. (2017). Pitselis, Georgios . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:74:y:2017:i:c:p:122-134.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2017Impact of US uncertainties on emerging and mature markets: Evidence from a quantile-vector autoregressive approach. (2017). Wohar, Mark ; Uribe, Jorge ; GUPTA, RANGAN ; Chuliá, Helena ; Chulia, Helena . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:178-191.

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2017The equity-like behaviour of sovereign bonds. (2017). Dufour, Alfonso ; Varotto, Simone ; Stancu, Andrei . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:25-46.

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

Works by Simone Manganelli:


YearTitleTypeCited
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
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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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2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2009Forecasting With Judgment In: Journal of Business & Economic Statistics.
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2016Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers.
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2016Changes in financial fragmentation in the euro area since 2008 In: Rue de la Banque.
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2012Bank Risk during the Financial Crisis: Do business models matter? In: Working Papers.
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2011Bank risk during the financial crisis: do business models matter?.(2011) In: Working Paper Series.
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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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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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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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2003The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks In: CEPR Discussion Papers.
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2003The central bank as a risk manager: quantifying and forecasting inflation risks.(2003) In: Working Paper Series.
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2007The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan In: CEPR Discussion Papers.
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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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2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
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2008Measuring financial integration in new EU Member States In: Occasional Paper Series.
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2011The impact of the Eurosystems covered bond purchase programme on the primary and secondary markets In: Occasional Paper Series.
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2007Financial integration and capital flows in the new EU Member States In: Research Bulletin.
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2011New methodologies for systemic risk measurement In: Research Bulletin.
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2012The impact of the Securities Markets Programme In: Research Bulletin.
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2001Value at risk models in finance In: Working Paper Series.
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2002Duration, volume and volatility impact of trades In: Working Paper Series.
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2005Duration, volume and volatility impact of trades.(2005) In: Journal of Financial Markets.
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2002Sensitivity analysis of volatility: a new tool for risk management In: Working Paper Series.
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2003The euro area financial system: structure, integration and policy initiatives In: Working Paper Series.
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2003The Euro-area Financial System: Structure, Integration, and Policy Initiatives.(2003) In: Oxford Review of Economic Policy.
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2005Measuring comovements by regression quantiles In: Working Paper Series.
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2014Measuring Comovements by Regression Quantiles.(2014) In: Journal of Financial Econometrics.
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2006A new theory of forecasting In: Working Paper Series.
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2006The impact of the euro on financial markets In: Working Paper Series.
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2006Financial integration of new EU Member States In: Working Paper Series.
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2007Asset allocation by penalized least squares In: Working Paper Series.
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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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2008The impact of the euro on equity markets: a country and sector decomposition In: Working Paper Series.
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2008Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR In: Working Paper Series.
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2010Finance and diversification In: Working Paper Series.
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2014Fragmentation in the euro overnight unsecured money market In: Working Paper Series.
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2014Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters.
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2015VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series.
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2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles.(2015) In: Journal of Econometrics.
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2012VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles.(2012) In: Working papers.
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2016Asset allocation with judgment In: Working Paper Series.
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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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2015Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics.
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2003Quantifying the Risk of Deflation In: EcoMod2004.
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2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
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2006Equity Market Integration of New EU Member States In: Chapters.
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1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
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2004Asset Allocation by Variance Sensitivity Analysis In: Journal of Financial Econometrics.
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2010VAR for VaR: measuring systemic risk using multivariate regression quantiles. In: MPRA Paper.
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2002Sensitivity Analysis of GARCH Models In: Computing in Economics and Finance 2002.
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1999Modeling a Time-Varying Order Statistic In: Computing in Economics and Finance 1999.
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