Fulvio Ortu : Citation Profile


Are you Fulvio Ortu?

Università Commerciale Luigi Bocconi

6

H index

3

i10 index

167

Citations

RESEARCH PRODUCTION:

15

Articles

4

Papers

RESEARCH ACTIVITY:

   23 years (1993 - 2016). See details.
   Cites by year: 7
   Journals where Fulvio Ortu has often published
   Relations with other researchers
   Recent citing documents: 14.    Total self citations: 3 (1.76 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/por205
   Updated: 2022-09-24    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 (9)

Schlogl, Erik (8)

Sandmann, Klaus (7)

Costabile, Massimo (4)

Perron, Benoit (4)

Kočenda, Evžen (4)

Pelsser, Antoon (4)

Brož, Václav (3)

Soccorsi, Stefano (3)

Baruník, Jozef (3)

Hallin, Marc (3)

Cites to:

Campbell, John (11)

Allouch, Nizar (8)

Cochrane, John (7)

Jouini, Elyès (7)

LE VAN, CUONG (6)

Abel, Andrew (6)

Kreps, David (6)

Hansen, Lars (5)

Carr, Peter (5)

Wu, Liuren (4)

Chen, Zhiwu (4)

Main data


Where Fulvio Ortu has published?


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

Recent works citing Fulvio Ortu (2022 and 2021)


YearTitle of citing document
2021Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2021Frequency-Dependent Higher Moment Risks. (2021). Baruník, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264.

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2021Mortgage-Related Bank Penalties and Systemic Risk among U.S. Banks. (2021). Kočenda, Evžen ; Kocenda, Even ; Bro, Vaclav. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9463.

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2021Modeling the frequency dynamics of spillovers and connectedness between crude oil and MENA stock markets with portfolio implications. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Al-Yahyaee, Khamis Hamed ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:71:y:2021:i:c:p:397-419.

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2021Time-varying general dynamic factor models and the measurement of financial connectedness. (2021). Soccorsi, Stefano ; von Sachs, Rainer ; Hallin, Marc ; Barigozzi, Matteo. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:324-343.

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2022Near-optimal asset allocation in financial markets with trading constraints. (2022). Pelsser, Antoon ; Kamma, Thijs. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781.

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2022Long-memory and volatility spillovers across petroleum futures. (2022). Perez-Laborda, Alejandro ; Lovcha, Yuliya. In: Energy. RePEc:eee:energy:v:243:y:2022:i:c:s0360544221031996.

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2021Fourier based methods for the management of complex life insurance products. (2021). Ballotta, Laura ; Zeineddine, Raghid ; Schmidt, Thorsten ; Eberlein, Ernst. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:101:y:2021:i:pb:p:320-341.

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2022Measuring preferences over the temporal resolution of consumption uncertainty. (2022). Pfeiffer, Philipp ; Meissner, Thomas. In: Journal of Economic Theory. RePEc:eee:jetheo:v:200:y:2022:i:c:s0022053121001964.

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2021Frequency dependent risk. (2021). Varneskov, Rasmus T ; Neuhierl, Andreas. In: Journal of Financial Economics. RePEc:eee:jfinec:v:140:y:2021:i:2:p:644-675.

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2022Mortgage-related bank penalties and systemic risk among U.S. banks. (2022). Kočenda, Evžen ; Koenda, Even ; Bro, Vaclav. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:122:y:2022:i:c:s0261560621002266.

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2021Asymmetric and time-frequency spillovers among commodities using high-frequency data. (2021). Vo, Xuan Vinh ; Shahzad, Syed Jawad Hussain ; Caporin, Massimiliano ; Hasan, Mudassar ; Arif, Muhammad ; Naeem, Muhammad Abubakr. In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s0301420720309879.

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2021Multiscale spillovers, connectedness, and portfolio management among precious and industrial metals, energy, agriculture, and livestock futures. (2021). Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003846.

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2022Extreme inflation and time-varying expected consumption growth. (2022). Schlag, Christian ; Meinerding, Christoph ; Dergunov, Ilya. In: SAFE Working Paper Series. RePEc:zbw:safewp:334.

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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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article2
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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article6
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: 6
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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article8
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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article44
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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article1
2011Envelope theorems in Banach lattices In: Working Papers.
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paper1
2013Long-Run Risk and the Persistence of Consumption Shocks In: Review of Financial Studies.
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article48
2001Arbitrage, linear programming and martingales¶in securities markets with bid-ask spreads In: Decisions in Economics and Finance.
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article7
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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