Marcello Pericoli : Citation Profile


Are you Marcello Pericoli?

Banca d'Italia

7

H index

7

i10 index

898

Citations

RESEARCH PRODUCTION:

8

Articles

27

Papers

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 33
   Journals where Marcello Pericoli has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 13 (1.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe177
   Updated: 2021-03-27    RAS profile: 2020-06-22    
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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 Marcello Pericoli.

Is cited by:

Fry-McKibbin, Renee (24)

Dungey, Mardi (21)

Gómez-Puig, Marta (19)

Sosvilla-Rivero, Simon (16)

Valls Pereira, Pedro (13)

Martin, Vance (13)

Caporin, Massimiliano (11)

Baur, Dirk (11)

Caporale, Guglielmo Maria (11)

Masih, Abul (10)

Spagnolo, Nicola (9)

Cites to:

Piazzesi, Monika (14)

Rudebusch, Glenn (13)

Campbell, John (13)

Ang, Andrew (11)

Shiller, Robert (11)

Taboga, Marco (9)

Sbracia, Massimo (9)

Kaminsky, Graciela (9)

Swanson, Eric (9)

Gürkaynak, Refet (9)

Corsetti, Giancarlo (8)

Main data


Where Marcello Pericoli has published?


Journals with more than one article published# docs
International Finance2

Working Papers Series with more than one paper published# docs
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area18
MPRA Paper / University Library of Munich, Germany2

Recent works citing Marcello Pericoli (2021 and 2020)


YearTitle of citing document
2020Sector connectedness in the Chinese stock markets. (2020). Zhou, Wei-Xing ; Wang, Gang-Jin ; Ma, Jun-Chao ; Jiang, Zhi-Qiang ; Shen, Ying-Ying. In: Papers. RePEc:arx:papers:2002.09097.

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2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

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2020Break-even inflation rates: the Italian case. (2020). Fanari, Marco ; di Iorio, Alberto. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_578_20.

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2020Adding a fiscal rule into a DSGE model: How much does it change the forecasts?. (2020). Andreyev, Mikhail. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps64.

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2020Did Globalization Kill Contagion?. (2020). Szafarz, Ariane ; Oosterlinck, Kim ; Burietz, Aurore ; Briere, Marie ; Accominotti, Olivier. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14395.

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2020Local flexibility markets: Literature review on concepts, models and clearing methods. (2020). Jia, Hongjie ; Wu, Qiuwei ; Jin, Xiaolong. In: Applied Energy. RePEc:eee:appene:v:261:y:2020:i:c:s0306261919320744.

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2020European spreads at the interest rate lower bound. (2020). Coroneo, Laura ; Pastorello, Sergio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:119:y:2020:i:c:s0165188920301470.

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2020Interdependence or contagion: A model switching approach with a focus on Latin America. (2020). Davidson, Sharada Nia. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:166-197.

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2020The distribution of index futures realised volatility under seasonality and microstructure noise. (2020). Salvador, Enrique ; Arago, Vicent ; Alemany, Nuria. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:398-414.

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2020Contagion effects and risk transmission channels in the housing, stock, interest rate and currency markets: An Empirical Study in China and the U.S.. (2020). Zong, LU ; Wang, Peiwan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302864.

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2021Contagion between real estate and financial markets: A Bayesian quantile-on-quantile approach. (2021). Ravazzolo, Francesco ; Gupta, Rangan ; Caporin, Massimiliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:55:y:2021:i:c:s1062940820302291.

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2020Machine learning as an early warning system to predict financial crisis. (2020). Kampouris, Elias ; Samitas, Aristeidis ; Kenourgios, Dimitris. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301514.

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2020Local currency bond risk premia of emerging markets: The role of local and global factors. (2020). GUPTA, RANGAN ; Gul, Selcuk ; Cepni, Oguzhan. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612319300248.

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2020Dissecting long-term Bund yields in the run-up to the ECB’s public sector purchase programme. (2020). Lemke, Wolfgang ; Werner, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:111:y:2020:i:c:s0378426619302560.

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2020A non-linear analysis of the sovereign bank nexus in the EU. (2020). Cifarelli, Giulio ; Paladino, Giovanna. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930074x.

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2020Uncertainty in Euro area and the bond spreads. (2020). Siriopoulos, Costas ; Svingou, Argyro ; Tsagkanos, Athanasios ; Gkillas, Konstantinos. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:537:y:2020:i:c:s0378437119315109.

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2021New test of contagion with application on the Brexit referendum. (2021). Kevin, Ka Kwan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:564:y:2021:i:c:s0378437120307810.

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2021Pandemic-related financial market volatility spillovers: Evidence from the Chinese COVID-19 epicentre. (2021). Oxley, Les ; Corbet, Shaen ; Xu, Danyang ; Hu, Yang ; Hou, Yang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:55-81.

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2020Economic engagement and within emerging markets integration. (2020). Aaawaar, Godfred ; Akotey, Joseph Oscar ; Boamah, Nicholas Addai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301047.

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2020Financial Integration and the Co-Movement of Economic Activity: Evidence from U.S. States. (2020). Goetz, Martin ; Gozzi, Juan Carlos. In: International Finance Discussion Papers. RePEc:fip:fedgif:1305.

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2021The Regime-Switching Behaviour of Exchange Rates and Frontier Stock Market Prices in Sub-Saharan Africa. (2021). Giouvris, Evangelos ; Korley, Maud. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:3:p:122-:d:517039.

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2020The Linkages of Carbon Spot-Futures: Evidence from EU-ETS in the Third Phase. (2020). Liu, Zhixin ; Chen, Hao ; Wu, You ; Zhang, Yinpeng . In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:6:p:2517-:d:336069.

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2020Contagion in the CoCos Market? A Case Study of Two Stress Events. (2020). Segura, Anatoli ; Miglietta, Arianna ; Bologna, Pierluigi. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2020:q:5:a:4.

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2020Financial Integration in the GCC Region: Market Size Versus National Effects. (2020). Spagnolo, Nicola ; Caporale, Guglielmo Maria ; Arin, Kerim ; Kyriacou, Kyriacos. In: Open Economies Review. RePEc:kap:openec:v:31:y:2020:i:2:d:10.1007_s11079-019-09554-6.

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2020Sectoral dependence and contagion in the BRICS grouping: an application of the R-Vine copulas. (2020). Bonga-Bonga, Lumengo ; Hendriks, Johannes Jurgens. In: MPRA Paper. RePEc:pra:mprapa:102473.

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2020Sovereign bond and CDS market contagion: A story from the Eurozone crisis.. (2020). Politsidis, Panagiotis ; Panagiotidis, Theodore ; Bampinas, Georgios. In: MPRA Paper. RePEc:pra:mprapa:102846.

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2020The effect of the PSI in the relationship between sovereign and bank credit risk: Evidence from the Euro Area. (2020). PSILLAKI, Maria ; Margaritis, Dimitris ; Papafilis, Michalis-Panayiotis. In: MPRA Paper. RePEc:pra:mprapa:98182.

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2020Investigating liquidity constraints as a channel of contagion: a regime switching approach. (2020). Sruthi, Rajan ; Shijin, Santhakumar. In: Financial Innovation. RePEc:spr:fininn:v:6:y:2020:i:1:d:10.1186_s40854-020-00185-2.

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2020Structural breaks in the interaction between bank and sovereign default risk. (2020). Pascual, Joaquin Lopez ; Lovreta, Lidija. In: SERIEs: Journal of the Spanish Economic Association. RePEc:spr:series:v:11:y:2020:i:4:d:10.1007_s13209-020-00219-z.

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2020Bail-in and interbank contagion risk: an application of FSQCA methodology. (2020). Roig-Tierno, Norat ; Sanchis-Pedregosa, Carlos ; Oliver-Alfonso, Maria Dolores ; Sanchez-Roger, Marc. In: Entrepreneurship and Sustainability Issues. RePEc:ssi:jouesi:v:7:y:2020:i:4:p:2604-2614.

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2021YOLO trading: Riding with the herd during the GameStop episode. (2021). Výrost, Tomᚠ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: EconStor Preprints. RePEc:zbw:esprep:230679.

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2021Dynamics and synchronization of global equilibrium interest rates. (2021). Milivojevic, Lazar ; Beyer, Robert . In: IMFS Working Paper Series. RePEc:zbw:imfswp:146.

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Works by Marcello Pericoli:


YearTitleTypeCited
2001Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test In: Center Discussion Papers.
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paper58
2001Correlation Analysis of Financial Contagion: What One Should Know before Running a Test.(2001) In: Temi di discussione (Economic working papers).
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This paper has another version. Agregated cites: 58
paper
2001Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test.(2001) In: Working Papers.
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paper
2019An assessment of recent trends in market-based expected iflation in the euro area In: Questioni di Economia e Finanza (Occasional Papers).
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paper1
2014Fiscal Policy and Macroeconomic Imbalances In: Workshop and Conferences.
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paper5
2015Forecaster heterogeneity, surprises and financial markets In: Temi di discussione (Economic working papers).
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paper2
2015Decomposing euro area sovereign spreads: credit, liquidity and convenience In: Temi di discussione (Economic working papers).
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paper1
2015Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model In: Temi di discussione (Economic working papers).
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paper4
2017Monetary policy surprises over time In: Temi di discussione (Economic working papers).
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paper5
2018Monetary Policy Surprises over Time.(2018) In: Quarterly Journal of Finance (QJF).
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This paper has another version. Agregated cites: 5
article
2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models In: Temi di discussione (Economic working papers).
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paper1
2018Macroeconomics determinants of the correlation between stocks and bonds In: Temi di discussione (Economic working papers).
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paper1
1999The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates In: Temi di discussione (Economic working papers).
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paper20
2002The impact of news on the exchange rate of the lira and long-term interest rates.(2002) In: Economic Modelling.
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2000Stock Values and Fundamentals; Link or Irrationality? In: Temi di discussione (Economic working papers).
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paper2
2000Stock Values and Fundamentals: Link or Irrationality?..(2000) In: Banca Italia - Servizio di Studi.
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2001A Primer on Financial Contagion In: Temi di discussione (Economic working papers).
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2005Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area In: Temi di discussione (Economic working papers).
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paper2
2006Canonical term-structure models with observable factors and the dynamics of bond risk premiums In: Temi di discussione (Economic working papers).
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paper24
2008Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia.(2008) In: Journal of Money, Credit and Banking.
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2006The CAPM and the risk appetite index; theoretical differences and empirical similarities In: Temi di discussione (Economic working papers).
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paper2
2009Bond risk premia, macroeconomic fundamentals and the exchange rate In: Temi di discussione (Economic working papers).
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2012Bond risk premia, macroeconomic fundamentals and the exchange rate.(2012) In: International Review of Economics & Finance.
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2008Bond risk premia, macroeconomic fundamentals and the exchange rate.(2008) In: MPRA Paper.
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2012Real term structure and inflation compensation in the euro area In: Temi di discussione (Economic working papers).
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2014Real Term Structure and Inflation Compensation in the Euro Area.(2014) In: International Journal of Central Banking.
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2012Expected inflation and inflation risk premium in the euro area and in the United States In: Temi di discussione (Economic working papers).
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2013Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis In: Temi di discussione (Economic working papers).
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paper108
2013Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis.(2013) In: International Finance.
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2013Macroeconomic and monetary policy surprises and the term structure of interest rates In: Temi di discussione (Economic working papers).
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2009Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems In: International Finance.
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2002Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion In: CEPR Discussion Papers.
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2005Some contagion, some interdependence: More pitfalls in tests of financial contagion.(2005) In: Journal of International Money and Finance.
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2007A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors In: MPRA Paper.
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1992Single Market Emu and Widening. Responses to Three Institutional Shocks in the European Community In: Department of Economics Working Papers.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 2 2021. Contact: CitEc Team