Simone Manganelli : Citation Profile


Are you Simone Manganelli?

European Central Bank

18

H index

21

i10 index

1521

Citations

RESEARCH PRODUCTION:

22

Articles

39

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 84
   Journals where Simone Manganelli has often published
   Relations with other researchers
   Recent citing documents: 223.    Total self citations: 17 (1.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma142
   Updated: 2018-09-15    RAS profile: 2018-03-26    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Garcia-de-Andoain, Carlos (10)

Vergote, Olivier (3)

Hoerova, Marie (3)

Heider, Florian (3)

Kim, Tae-Hwan (2)

Marques-Ibanez, David (2)

Popov, Alexander (2)

Mojon, Benoit (2)

Horny, Guillaume (2)

Hoffmann, Peter (2)

Altunbas, Yener (2)

Idier, Julien (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 (29)

Arghyrou, Michael (16)

Chuliá, Helena (16)

Baruník, Jozef (15)

Fratzscher, Marcel (15)

Kontonikas, Alexandros (14)

Hautsch, Nikolaus (14)

McAleer, Michael (13)

Ehrmann, Michael (13)

Bollerslev, Tim (11)

Peydro, Jose-Luis (11)

Cites to:

Engle, Robert (30)

Bekaert, Geert (18)

Hartmann, Philipp (14)

Harvey, Campbell (14)

Bollerslev, Tim (13)

Svensson, Lars (11)

Perotti, Enrico (10)

Bassett, Gilbert (9)

Ratnovski, Lev (9)

Reinhart, Carmen (9)

White, Halbert (8)

Main data


Where Simone Manganelli has published?


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

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank21
Occasional Paper Series / European Central Bank2

Recent works citing Simone Manganelli (2018 and 2017)


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.

Full description at Econpapers || Download paper

2017Financial Development, Growth, and Crisis: Is There a Trade-Off?. (2017). Ouazad, Amine ; Loayza, Norman ; Ranciere, Romain. In: Working Papers. RePEc:apc:wpaper:2017-114.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017A simple model for forecasting conditional return distributions. (2017). Baruník, Jozef ; Anatolyev, Stanislav. In: Papers. RePEc:arx:papers:1711.05681.

Full description at Econpapers || Download paper

2017A nonparametric copula approach to conditional Value-at-Risk. (2017). Geenens, Gery ; Dunn, Richard . In: Papers. RePEc:arx:papers:1712.05527.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Optimal Interbank Regulation. (2017). Carter, Thomas J. In: Staff Working Papers. RePEc:bca:bocawp:17-48.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Viola, Alessandra Pasqualina ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus. In: Working Papers Series. RePEc:bcb:wpaper:466.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017The CSPP at work: yield heterogeneity and the portfolio rebalancing channel. (2017). Zaghini, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1157_17.

Full description at Econpapers || Download paper

2017Pairwise trading in the money market during the European sovereign debt crisis. (2017). Rainone, Edoardo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1160_17.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Interest Rate Sensitivity of Spanish Industries: A Quantile Regression Approach. (2017). Jareño, Francisco ; Jareo, Francisco ; Ferrer, Roman ; Ferrando, Laura. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:2:p:212-242.

Full description at Econpapers || Download paper

2017External Public Debt, Trade Linkages and Contagion During the Eurozone Crisis. (2017). Cutrini, Eleonora ; Galeazzi, Giorgio . In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:9:p:1718-1749.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Measuring the systemic importance of banks. (2017). Sakellaris, Plutarchos ; Moratis, Georgios. In: Working Papers. RePEc:bog:wpaper:240.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Markov-switching quantile autoregression: a Gibbs sampling approach. (2018). 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Whatever it takes to resolve the European sovereign debt crisis? Bond pricing regime switches and monetary policy effects. (2017). Gadea, María ; Arghyrou, Michael ; Afonso, Antonio ; Kontonikas, Alexandros. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/12.

Full description at Econpapers || Download paper

2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

Full description at Econpapers || Download paper

2017Whatever it takes to Resolve the European Sovereign Debt Crisis? Bond Pricing Regime Switches and Monetary Policy Effects. (2017). Kontonikas, Alexandros ; Gadea, María ; Arghyrou, Michael ; Afonso, Antonio. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6691.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Detecting Financial Collapse and Ballooning Sovereign Risk. (2017). PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2110.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano . In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

Full description at Econpapers || Download paper

2017Evidence on finance and economic growth. (2017). Popov, Alexander. In: Working Paper Series. RePEc:ecb:ecbwps:20172115.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

Full description at Econpapers || Download paper

2017Cyclical behavior of the financial stability of eurozone commercial banks. (2017). ben Bouheni, Faten ; Hasnaoui, Amir. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:392-408.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Moments expansion densities for quantifying financial risk. (2017). Perote, Javier ; Iguez, Trino-Manuel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:53-69.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Uncovering the heterogeneous effects of ECB unconventional monetary policies across euro area countries. (2018). Galesi, Alessandro ; Burriel, Pablo. In: European Economic Review. RePEc:eee:eecrev:v:101:y:2018:i:c:p:210-229.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Empirical analysis of the international public covered bond market. (2018). Gurtler, Marc ; Neelmeier, Philipp. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:163-181.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; 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 ; Kearney, Fearghal ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Vigne, Samuel A ; Yarovaya, Larisa ; Neville, Conor ; Helbing, Pia ; Lucey, Brian M ; Wolfe, Simon ; 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; 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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Uncertainty, systemic shocks and the global banking sector: Has the crisis modified their relationship?. (2017). Uribe, Jorge ; Chuliá, Helena ; Guillen, Montserrat ; Chulia, Helena. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:50:y:2017:i:c:p:52-68.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Quantile regression forecasts of inflation under model uncertainty. (2017). Korobilis, Dimitris. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:11-20.

Full description at Econpapers || Download paper

2017Dependence in credit default swap and equity markets: Dynamic copula with Markov-switching. (2017). Fuertes, Ana-Maria ; Kalotychou, Elena ; Fei, Fei . In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:662-678.

Full description at Econpapers || Download paper

2017Evaluation of exchange rate point and density forecasts: An application to Brazil. (2017). Gaglianone, Wagner ; Moura, Jaqueline Terra. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:707-728.

Full description at Econpapers || Download paper

2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

Full description at Econpapers || Download paper

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

Simone Manganelli has edited the books:


YearTitleTypeCited

Works by Simone Manganelli:


YearTitleTypeCited
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article526
1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 526
paper
2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 526
paper
2009Forecasting With Judgment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article8
2016Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers.
[Full Text][Citation analysis]
paper7
2016Changes in financial fragmentation in the euro area since 2008 In: Rue de la Banque.
[Full Text][Citation analysis]
article0
2009What drives spreads in the euro area government bond market? In: Economic Policy.
[Full Text][Citation analysis]
article162
2012Bank Risk during the Financial Crisis: Do business models matter? In: Working Papers.
[Full Text][Citation analysis]
paper64
2011Bank risk during the financial crisis: do business models matter?.(2011) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
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]
paper25
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
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.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
article
2003The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper9
2003The central bank as a risk manager: quantifying and forecasting inflation risks.(2003) In: Working Paper Series.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
paper34
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: 34
article
2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
[Full Text][Citation analysis]
paper64
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: 64
paper
2017A High-Frequency assessment of the ECB Securities Markets Programme.(2017) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 64
article
2010The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
article18
2008Measuring financial integration in new EU Member States In: Occasional Paper Series.
[Full Text][Citation analysis]
paper40
2011The impact of the Eurosystems covered bond purchase programme on the primary and secondary markets In: Occasional Paper Series.
[Full Text][Citation analysis]
paper36
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]
article2
2001Value at risk models in finance In: Working Paper Series.
[Full Text][Citation analysis]
paper48
2002Duration, volume and volatility impact of trades In: Working Paper Series.
[Full Text][Citation analysis]
paper65
2005Duration, volume and volatility impact of trades.(2005) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65
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]
paper114
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: 114
article
2005Measuring comovements by regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]
paper32
2014Measuring Comovements by Regression Quantiles.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
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]
paper35
2006Financial integration of new EU Member States In: Working Paper Series.
[Full Text][Citation analysis]
paper56
2007Asset allocation by penalized least squares In: Working Paper Series.
[Full Text][Citation analysis]
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]
paper21
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.
[Full Text][Citation analysis]
paper13
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]
paper23
2014Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23
article
2015VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]
paper34
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: 34
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: 34
paper
2016Deciding with judgment In: Working Paper Series.
[Full Text][Citation analysis]
paper0
2017The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series.
[Full Text][Citation analysis]
paper0
2004The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]
paper0
2013Financial dependence, global growth opportunities, and growth revisited In: Economics Letters.
[Full Text][Citation analysis]
article9
2015Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics.
[Full Text][Citation analysis]
article6
2017Realized bank risk during the great recession In: Journal of Financial Intermediation.
[Full Text][Citation analysis]
article2
2015Realized Bank Risk during the Great Recession.(2015) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2003Quantifying the Risk of Deflation In: EcoMod2004.
[Full Text][Citation analysis]
paper18
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
2006Equity Market Integration of New EU Member States In: Chapters.
[Full Text][Citation analysis]
chapter0
1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
[Full Text][Citation analysis]
paper20
2004Asset Allocation by Variance Sensitivity Analysis In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article9
2010VAR for VaR: measuring systemic risk using multivariate regression quantiles. In: MPRA Paper.
[Full Text][Citation analysis]
paper8
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 August, 2th 2018. Contact: CitEc Team