Fulvio Ortu : Citation Profile


Are you Fulvio Ortu?

Università Commerciale Luigi Bocconi

5

H index

3

i10 index

126

Citations

RESEARCH PRODUCTION:

15

Articles

4

Papers

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 5
   Journals where Fulvio Ortu has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 3 (2.33 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/por205
   Updated: 2020-09-14    RAS profile: 2017-06-12    
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Relations with other researchers


Works with:

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

Is cited by:

Platen, Eckhard (7)

Sandmann, Klaus (6)

Schlogl, Erik (6)

Perron, Benoit (4)

Costabile, Massimo (3)

Kočenda, Evžen (2)

Grosen, Anders (2)

Hallin, Marc (2)

Kotchoni, Rachidi (2)

Pelsser, Antoon (2)

Baruník, Jozef (2)

Cites to:

Campbell, John (8)

LE VAN, CUONG (7)

Allouch, Nizar (7)

Kreps, David (6)

Cochrane, John (5)

Chen, Zhiwu (4)

Hansen, Lars (4)

Jouini, Elyès (4)

Barro, Robert (3)

Abel, Andrew (3)

Wachter, Jessica (3)

Main data


Where Fulvio Ortu has published?


Journals with more than one article published# docs
Journal of Mathematical Economics2
Mathematical Finance2
Applied Mathematical Finance2
Insurance: Mathematics and Economics2

Recent works citing Fulvio Ortu (2020 and 2019)


YearTitle of citing document
2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; von Sachs, R ; Barigozzi, M. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2019024.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2019). Kocenda, Evzen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2019Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2019Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs. (2019). Zastawniak, Tomasz ; Brown, Martin. In: Papers. RePEc:arx:papers:1905.01859.

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2019Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00123.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

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2019Dynamic expected shortfall: A spectral decomposition of tail risk across time horizons. (2019). Peng, Hongfeng ; Shi, Jing ; Liao, Yin ; Bu, DI. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:108:y:2019:i:c:s0165188918302483.

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2020Dynamic frequency connectedness between oil and natural gas volatilities. (2020). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:181-189.

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2019The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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2019Long horizon predictability: An asset allocation perspective. (2019). Poncet, Patrice ; Lioui, Abraham. In: European Journal of Operational Research. RePEc:eee:ejores:v:278:y:2019:i:3:p:961-975.

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2019Consumption growth predictability and asset prices. (2019). Min, Byoung-Kyu ; Lee, Changjun ; Roh, Tai-Yong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:95-118.

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2019Volatility spillovers between crude oil and Chinese sectoral equity markets: Evidence from a frequency dynamics perspective. (2019). Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:995-1009.

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2019CO2 emissions and economic activity: A short-to-medium run perspective. (2019). Fosten, Jack. In: Energy Economics. RePEc:eee:eneeco:v:83:y:2019:i:c:p:415-429.

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2019Pricing and hedging equity-linked life insurance contracts beyond the classical paradigm: The principle of equivalent forward preferences. (2019). Chong, Wing Fung. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:88:y:2019:i:c:p:93-107.

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2020Sustainable development: Structural transformation and the consumer demand. (2020). Lopez, Ramon ; Yoon, Sang W. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:52:y:2020:i:c:p:22-38.

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2020Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs. (2020). Zastawniak, Tomasz ; Brown, Martin. In: Annals of Finance. RePEc:kap:annfin:v:16:y:2020:i:3:d:10.1007_s10436-020-00367-z.

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2020Mortgage-related bank penalties and systemic risk among U.S. banks. (2020). Kočenda, Evžen ; Broza, Vaclav ; Kocenda, Evzen . In: KIER Working Papers. RePEc:kyo:wpaper:1024.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers. RePEc:lan:wpaper:257939806.

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2020Expectations of Fundamentals and Stock Market Puzzles. (2020). Shleifer, Andrei ; La Porta, Rafael ; Gennaioli, Nicola ; Bordalo, Pedro ; Laporta, Rafael . In: NBER Working Papers. RePEc:nbr:nberwo:27283.

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2019Extreme inflation and time-varying consumption growth. (2019). Meinerding, Christoph ; Schlag, Christian ; Dergunov, Ilya . In: Discussion Papers. RePEc:zbw:bubdps:162019.

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Works by Fulvio Ortu:


YearTitleTypeCited
2000Generic Existence and Robust Nonexistence of Numéraires in Finite Dimensional Securities Markets In: Mathematical Finance.
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article0
1994CONSUMPTION AND PORTFOLIO POLICIES WITH INCOMPLETE MARKETS AND SHORT‐SALE CONSTRAINTS IN THE FINITE‐DIMENSIONAL CASE: SOME REMARKS In: Mathematical Finance.
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article1
2000Generalized Numeraire Portfolios In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper1
2016Implications of Return Predictability across Horizons for Asset Pricing Models In: CEPR Discussion Papers.
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paper2
2012A spectral estimation of tempered stable stochastic volatility models and option pricing In: Computational Statistics & Data Analysis.
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article5
2010A Spectral Estimation of Tempered Stable Stochastic Volatility Models and Option Pricing.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 5
paper
2006Effective securities in arbitrage-free markets with bid-ask spreads at liquidation: a linear programming characterization In: Journal of Economic Dynamics and Control.
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article1
1996Fixed income linked life insurance policies with minimum guarantees: Pricing models and numerical results In: European Journal of Operational Research.
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article7
1993Pricing equity-linked life insurance with endogenous minimum guarantees In: Insurance: Mathematics and Economics.
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article43
1993Pricing equity-linked life insurance with endogenous minimum guarantees : A corrigendum In: Insurance: Mathematics and Economics.
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article26
1996Existence of Equivalent Martingale Measures in Finite Dimensional Securities Markets In: Journal of Economic Theory.
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article1
1997Numeraires, equivalent martingale measures and completeness in finite dimensional securities markets In: Journal of Mathematical Economics.
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article1
2011Intertemporal asset pricing and the marginal utility of wealth In: Journal of Mathematical Economics.
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article0
2011Envelope theorems in Banach lattices In: Working Papers.
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paper0
2013Long-Run Risk and the Persistence of Consumption Shocks In: Review of Financial Studies.
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article32
2001Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads In: Decisions in Economics and Finance.
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article5
2007Dynamic versus one-period completeness in event-tree security markets In: Economic Theory.
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article0
1996Valuation of sinking-fund bonds in the Vasicek and CIR frameworks*Financial support from Murst Fondo 40% on Modelli di struttura a termine dei tassi dinteresse is gratefully acknowledged. In: Applied Mathematical Finance.
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article1
1999Arbitrage valuation and bounds for sinking-fund bonds with multiple sinking-fund dates In: Applied Mathematical Finance.
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article0

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