Simone Manganelli : Citation Profile

Are you Simone Manganelli?

European Central Bank

22

H index

30

i10 index

2495

Citations

RESEARCH PRODUCTION:

25

Articles

46

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 118
   Journals where Simone Manganelli has often published
   Relations with other researchers
   Recent citing documents: 370.    Total self citations: 25 (0.99 %)

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   Permalink: http://citec.repec.org/pma142
   Updated: 2023-03-25    RAS profile: 2020-10-30    
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Relations with other researchers

Works with:

Bubeck, Johannes (2)

Gelain, Paolo (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 (24)

Schwaab, Bernd (19)

Fratzscher, Marcel (19)

Gallo, Giampiero (18)

Lucas, Andre (17)

Kok, Christoffer (16)

Engle, Robert (16)

GUPTA, RANGAN (16)

Caporin, Massimiliano (15)

Chuliá, Helena (15)

Tokpavi, Sessi (14)

Cites to:

Engle, Robert (35)

Hartmann, Philipp (20)

Acharya, Viral (19)

Bekaert, Geert (19)

Svensson, Lars (15)

Bollerslev, Tim (15)

Stulz, René (14)

Harvey, Campbell (14)

Perotti, Enrico (11)

Reinhart, Carmen (11)

de Vries, Casper (11)

Main data

Where Simone Manganelli has published?

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

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank26
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Occasional Paper Series / European Central Bank2

Recent works citing Simone Manganelli (2022 and 2021)

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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2021Capital Gain Predictability Using Financial Ratios: A Case Study of Agribusiness Stocks. (2021). Abdurofi, Ilmas. In: International Journal of Food and Agricultural Economics (IJFAEC). RePEc:ags:ijfaec:316273.

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2021Suicide during the Covid-19 pandemic, a preliminary analysis in the State of Tamaulipas, Mexico. (2021). Villarreal-Sotelo, Karla. In: International Journal of Social Sciences. RePEc:aop:jijoss:v:10:y:2021:i:1:p:88-101.

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2022Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Sun, Yixiao ; Montes-Rojas, Gabriel ; Martinez-Iriarte, Julian. In: Working Papers. RePEc:aoz:wpaper:127.

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2021Tail 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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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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2022Scoring 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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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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2022Machine 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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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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2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

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2021Using 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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2021To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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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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2022Incorporating 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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2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021Territorial differences in the spread of COVID-19 in European regions and US counties. (2021). Sermi, Francesco ; Spyratos, Spyridon ; Conte, Alessandra ; Iacus, Stefano Maria ; Natale, Fabrizio. In: Papers. RePEc:arx:papers:2103.08321.

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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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2022A 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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2021Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2021Compensatory model for quantile estimation and application to VaR. (2021). Yang, Shuzhen. In: Papers. RePEc:arx:papers:2112.07278.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2022Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Montes-Rojas, Gabriel ; Martinez-Iriarte, Julian ; Sun, Yixiao. In: Papers. RePEc:arx:papers:2201.02292.

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2022Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457.

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2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

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

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2022Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848.

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2022Nonparametric Value-at-Risk via Sieve Estimation. (2022). Ratz, Philipp. In: Papers. RePEc:arx:papers:2205.07101.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2022A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2022Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539.

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2023Expectile hidden Markov regression models for analyzing cryptocurrency returns. (2023). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2301.09722.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2021Tail Risks and Stock Return Predictability - Evidence From Asia-Pacific. (2021). Ogbonna, Ahamuefula ; Olubusoye, Olusanya E. In: Asian Economics Letters. RePEc:ayb:jrnael:40.

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2021Can Tail Risk Predict Asia-Pacific Exchange Rates Out of Sample?. (2021). Adediran, Idris A. In: Asian Economics Letters. RePEc:ayb:jrnael:42.

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2021IMPORTANCE OF EURO-ATLANTIC INTEGRATION: DEMOCRACY, SECURITY AND ECONOMIC DEVELOPMENT. (2021). Zoidze, Gia. In: Three Seas Economic Journal. RePEc:bal:3seasj:2661-5150:2021:2:3:1.

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2022Deep Growth-at-Risk Model: Nowcasting the 2020 Pandemic Lockdown Recession in Small Open Economies. (2022). Yanchev, Mihail. In: Economic Studies journal. RePEc:bas:econst:y:2022:i:7:p:20-41.

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2021CREWS: a CAMELS-based early warning system of systemic risk in the banking sector. (2021). Galan, Jorge E. In: Occasional Papers. RePEc:bde:opaper:2132.

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2022Skewed SVARs: tracking the structural sources of macroeconomic tail risks. (2022). Ortega, Eva ; Montes-Galdon, Carlos. In: Working Papers. RePEc:bde:wpaper:2208.

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2021Learning from revisions: a tool for detecting potential errors in banks balance sheet statistical reporting. (2021). Piermattei, Stefano ; Marinelli, Giuseppe ; Cusano, Francesco. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_611_21.

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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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2021BANK COMPETITION AND RISK-TAKING IN THE EUROPEAN UNION: EVIDENCE OF A NON-LINEAR RELATIONSHIP. (2021). Pintilie, Nicoleta-Livia ; Ihnatov, Iulian ; Cpraru, Bogdan. In: Economic Annals. RePEc:beo:journl:v:66:y:2021:i:230:p:35-66.

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2022The Conditional Path of Central Bank Asset Purchases. (2022). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Working papers. RePEc:bfr:banfra:885.

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2022Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022. (2022). Penikas, Henry. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:2:p:20-48.

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2021How Do Investors Prefer Banks to Transit to Basel Internal Models: Mandatorily or Voluntarily?. (2021). Penikas, Henry ; Surkov, Mikhail ; Skarednova, Anastasia. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps74.

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2021Measuring heterogeneity in banks interest rate setting in Russia. (2021). Sinyakov, Andrey ; Ponomarenko, Alexey ; Burova, Anna ; Ushakova, Yulia ; Popova, Svetlana. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps77.

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2022An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491.

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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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2021How does the financial market evaluate business models? Evidence from European banks. (2021). Ferretti, Riccardo ; Landi, Andrea ; Venturelli, Valeria ; Gualandri, Elisabetta ; Cosma, Stefano. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:2:n:e12184.

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2022Financial structure convergence. (2022). Sever, Can. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:1:p:65-83.

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2021Measuring Systemic Risk: Capital Shortfall and CSRISK. (2021). Lee, Joeming ; Hsu, Yuanteng ; Wang, Jyingnan ; Chen, Chihchun. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:358-369.

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2021An Extensive Comparison of Some Well?Established Value at Risk Methods. (2021). Lettieri, Davi ; Ferioli, Eduardo ; Calmon, Wilson ; Pizzinga, Adrian ; Soares, Johann. In: International Statistical Review. RePEc:bla:istatr:v:89:y:2021:i:1:p:148-166.

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2022Interbank borrowing and bank liquidity risk. (2022). Li, Zongyuan ; Lai, Rose Neng. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:53-91.

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2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

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2022A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

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2022Asymmetric linear double autoregression. (2022). Zhu, Qianqian ; Tan, Songhua. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:371-388.

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2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

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2022Public and private liquidity during crises times: evidence from Emergency Liquidity Assistance (ELA) to Greek banks. (2022). Papaioannou, Elias ; Malliaropulos, Dimitris ; Kotidis, Antonis. In: Working Papers. RePEc:bog:wpaper:304.

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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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2021Global Versus Non-Global Banks: A Capital Ratios-Based Analysis. (2021). Malandrakis, Ioannis ; Drakos, Konstantinos. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:2:p:5-22.

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2022Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Montes-Rojas, Gabriel ; Sun, Yixiao ; Martinez-Iriarte, Julian. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt89z1w74z.

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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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2021Risk modeling with option-implied correlations and score-driven dynamics. (2021). Herrera, Rodrigo ; Pia, Marco. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:932.

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2023.

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2021Holding the Economy by the Tail: Analysis of Short- and Long-run Macroeconomic Risks. (2021). Franta, Michal ; Libich, Jan. In: Working Papers. RePEc:cnb:wpaper:2021/3.

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2022Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Domianello, Scaffidi L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202205.

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2021Institutional Investors and Granularity in Equity Markets. (2021). Raymond, Steve ; Liu, Hanwei ; Ghysels, Eric. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:15654.

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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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2021The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2021). Weigert, Benjamin ; Rodriguez-Moreno, Maria ; Prieto, Esteban ; Nikolov, Kalin ; Maddaloni, Angela ; Mazelis, Falk ; Lewis, Vivien ; Geiger, Felix ; Martin, Alberto ; Jovanovic, Mario ; Miettinen, Pavo ; Andreeva, Desislava ; Cuciniello, Vincenzo ; Albertazzi, Ugo ; Heider, Florian ; Redak, Vanessa ; Bonatti, Guido ; Licak, Marek ; Jan, Jansen David ; Garabedian, Garo ; Altavilla, Carlo ; Chalamandaris, Dimitrios ; Fourel, Valere ; Pogulis, Armands ; Carlo Altavilla , ; Balfoussia, Hiona ; Ioannidis, Michael ; Patriek, Matic ; Fernandez, Luis ; Kok, Christoffer ; Cassar, Alan ; Klein, Melanie ; Papageorghiou, Maria ; Fahr, Stephan ; Falagiarda, Matteo ; Adolf, Petra ;
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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2021A novel risk management perspective for macroprudential policy. (2021). Kremer, Manfred ; Schwaab, Bernd ; Manganelli, Simone ; Fahr, Stephan ; Chavleishvili, Sulkhan. In: Research Bulletin. RePEc:ecb:ecbrbu:2021:87.1:.

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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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2021Monetary Policy in a Low Interest Rate Environment: Reversal Rate and Risk-Taking. (2021). Leonello, Agnese ; Heider, Florian. In: Working Paper Series. RePEc:ecb:ecbwps:20212593.

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2021Unconventional monetary policy, funding expectations, and firm decisions. (2021). Popov, Alexander ; Udell, Gregory F ; Ferrando, Annalisa. In: Working Paper Series. RePEc:ecb:ecbwps:20212598.

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2021Investment funds, risk-taking, and monetary policy in the euro area. (2021). Kaufmann, Christoph ; Cappiello, Lorenzo ; Ryan, Ellen ; Giuzio, Margherita. In: Working Paper Series. RePEc:ecb:ecbwps:20212605.

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2021Fan charts 2.0: flexible forecast distributions with expert judgement. (2021). Sokol, Andrej. In: Working Paper Series. RePEc:ecb:ecbwps:20212624.

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2022Market-stabilization QE. (2022). Ozen, Kadir ; Motto, Roberto. In: Working Paper Series. RePEc:ecb:ecbwps:20222640.

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2022Monetary policy, macroprudential policy and financial stability. (2022). Mendicino, Caterina ; Maddaloni, Angela ; Laeven, Luc. In: Working Paper Series. RePEc:ecb:ecbwps:20222647.

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2022Contagion from market price impact: a price-at-risk perspective. (2022). Mingarelli, Luca ; Sydow, Matthias ; Kaijser, Michiel ; Fukker, Gabor. In: Working Paper Series. RePEc:ecb:ecbwps:20222692.

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2022Can EU bonds serve as euro-denominated safe assets?. (2022). Schwaab, Bernd ; Greif, William ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20222712.

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2022How do banks manage liquidity? Evidence from the ECB’s tiering experiment. (2022). Vergote, Olivier ; Sigaux, Jean-David ; Hoffmann, Peter ; Heider, Florian ; Baldo, Luca. In: Working Paper Series. RePEc:ecb:ecbwps:20222732.

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2022On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5.

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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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2022Monetary policy, capital regulation and bank risk-taking?Evidence from China. (2022). Yuan, Chao ; Jiang, Hai. In: Journal of Asian Economics. RePEc:eee:asieco:v:82:y:2022:i:c:s1049007822000689.

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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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2021Impulse response analysis in conditional quantile models with an application to monetary policy. (2021). Mizen, Paul ; Kim, Tae-Hwan ; Lee, Dongjin. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000373.

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2022Smooth Transition Simultaneous Equation Models. (2022). Krishnakumar, Jaya ; Kadilli, Anjeza. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002494.

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2022Can employee stock ownership plans reduce corporate financialization? Evidence from China. (2022). Cai, Yongbin ; Nan, Xingheng ; Yu, Qiang ; Feng, Yumei. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:140-151.

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2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

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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.
[Full Text][Citation analysis]		paper0
2016Deciding with judgment.(2016) In: Working Paper Series.
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2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article923
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: 923		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: 923		paper
2009Forecasting With Judgment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article9
2016Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers.
[Full Text][Citation analysis]		paper23
2018Measuring Financial Fragmentation in the Euro Area Corporate Bond Market.(2018) In: JRFM.
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This paper has another version. Agregated cites: 23		article
2016Changes in financial fragmentation in the euro area since 2008 In: Rue de la Banque.
[Full Text][Citation analysis]		article0
2012Bank Risk during the Financial Crisis: Do business models matter? In: Working Papers.
[Full Text][Citation analysis]		paper146
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: 146		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.
[Full Text][Citation analysis]		paper79
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: 79		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: 79		article
2003The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper11
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: 11		paper
2007The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper54
2008The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan.(2008) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 54		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: 54		article
2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper112
2014A high frequency assessment of the ECB securities markets programme.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 112		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: 112		article
2010The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article25
2008Measuring financial integration in new EU Member States In: Occasional Paper Series.
[Full Text][Citation analysis]		paper66
2011The impact of the Eurosystems covered bond purchase programme on the primary and secondary markets In: Occasional Paper Series.
[Full Text][Citation analysis]		paper90
2007Financial integration and capital flows in the new EU Member States In: Research Bulletin.
[Full Text][Citation analysis]		article0
2011New methodologies for systemic risk measurement In: Research Bulletin.
[Full Text][Citation analysis]		article0
2012The impact of the Securities Markets Programme In: Research Bulletin.
[Full Text][Citation analysis]		article9
2001Value at risk models in finance In: Working Paper Series.
[Full Text][Citation analysis]		paper92
2002Duration, volume and volatility impact of trades In: Working Paper Series.
[Full Text][Citation analysis]		paper97
2005Duration, volume and volatility impact of trades.(2005) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 97		article
2002Sensitivity analysis of volatility: a new tool for risk management In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2003The euro area financial system: structure, integration and policy initiatives In: Working Paper Series.
[Full Text][Citation analysis]		paper147
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: 147		article
2005Measuring comovements by regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]		paper49
2014Measuring Comovements by Regression Quantiles.(2014) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		article
2006A new theory of forecasting In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2006The impact of the euro on financial markets In: Working Paper Series.
[Full Text][Citation analysis]		paper37
2006Financial integration of new EU Member States In: Working Paper Series.
[Full Text][Citation analysis]		paper70
2007Asset allocation by penalized least squares In: Working Paper Series.
[Full Text][Citation analysis]		paper3
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]		paper42
2008The impact of the euro on equity markets: a country and sector decomposition In: Working Paper Series.
[Full Text][Citation analysis]		paper8
2008Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR In: Working Paper Series.
[Full Text][Citation analysis]		paper26
2010Finance and diversification In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2014Fragmentation in the euro overnight unsecured money market In: Working Paper Series.
[Full Text][Citation analysis]		paper33
2014Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters.
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This paper has another version. Agregated cites: 33		article
2015VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]		paper140
2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 140		article
2012VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles.(2012) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 140		paper
2017The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series.
[Full Text][Citation analysis]		paper16
2018The portfolio of euro area fund investors and ECB monetary policy announcements.(2018) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 16		article
2018Selecting models with judgment In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Forecasting and stress testing with quantile vector autoregression In: Working Paper Series.
[Full Text][Citation analysis]		paper22
2020Monetary policy with judgment In: Working Paper Series.
[Full Text][Citation analysis]		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.
[Full Text][Citation analysis]		paper1
2020Covid-19 and rural landscape: the case of Italy In: Working Paper Series.
[Full Text][Citation analysis]		paper13
2004The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]		paper1
2013Financial dependence, global growth opportunities, and growth revisited In: Economics Letters.
[Full Text][Citation analysis]		article20
2015Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics.
[Full Text][Citation analysis]		article16
2017Realized bank risk during the great recession In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article28
2015Realized Bank Risk during the Great Recession.(2015) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
2010Quantifying the Risk of Deflation In: EcoMod2004.
[Full Text][Citation analysis]		paper25
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 25		article
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
2006Equity Market Integration of New EU Member States In: Chapters.
[Full Text][Citation analysis]		chapter1
1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
[Full Text][Citation analysis]		paper28
2004Asset Allocation by Variance Sensitivity Analysis In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article10
2010VAR for VaR: measuring systemic risk using multivariate regression quantiles. In: MPRA Paper.
[Full Text][Citation analysis]		paper16
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.
[Full Text][Citation analysis]		paper0
2014Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2023. Contact: CitEc Team