Marcello Pericoli : Citation Profile


Are you Marcello Pericoli?

Banca d'Italia

8

H index

7

i10 index

1025

Citations

RESEARCH PRODUCTION:

8

Articles

27

Papers

RESEARCH ACTIVITY:

   27 years (1992 - 2019). See details.
   Cites by year: 37
   Journals where Marcello Pericoli has often published
   Relations with other researchers
   Recent citing documents: 55.    Total self citations: 14 (1.35 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe177
   Updated: 2022-09-24    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 (25)

Dungey, Mardi (21)

Gómez-Puig, Marta (19)

Sosvilla-Rivero, Simon (16)

Martin, Vance (14)

Valls Pereira, Pedro (14)

Caporale, Guglielmo Maria (13)

Caporin, Massimiliano (12)

Fazio, Giorgio (12)

Baur, Dirk (11)

Spagnolo, Nicola (11)

Cites to:

Piazzesi, Monika (15)

Campbell, John (13)

Rudebusch, Glenn (13)

Ang, Andrew (12)

Shiller, Robert (11)

Taboga, Marco (10)

Sbracia, Massimo (10)

Hördahl, Peter (9)

Gürkaynak, Refet (9)

Corsetti, Giancarlo (9)

Kaminsky, Graciela (9)

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 (2022 and 2021)


YearTitle of citing document
2022The role of investor attention in global asset price variation during the invasion of Ukraine. (2022). Horv, Mat'Uvs ; Stavsek, Daniel ; Halouskov, Martina. In: Papers. RePEc:arx:papers:2205.05985.

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2022Systemic Financial Stress and Macroeconomic Amplifications in the United Kingdom. (2022). Duprey, Thibaut ; Hacioluhoke, Sinem ; Chiu, Chingwai ; Chatterjee, Somnath. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:84:y:2022:i:2:p:380-400.

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2021Democracy in the neighborhood and foreign direct investment. (2021). Stengos, Thanasis ; Pinar, Mehmet. In: Review of Development Economics. RePEc:bla:rdevec:v:25:y:2021:i:1:p:449-477.

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2021When lightning strikes twice: The tragedy-induced demise and attempted corporate resuscitation of Malaysia airlines. (2021). Corbet, Shaen ; O'Connell, John F ; Lucey, Brian ; Efthymiou, Marina. In: Annals of Tourism Research. RePEc:eee:anture:v:87:y:2021:i:c:s016073832030253x.

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2022Is the COVID-19 pandemic more contagious for the Asian stock markets? A comparison with the Asian financial, the US subprime and the Eurozone debt crisis. (2022). Mehta, Chhavi ; Chopra, Monika. In: Journal of Asian Economics. RePEc:eee:asieco:v:79:y:2022:i:c:s1049007822000100.

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2021An assessment of how COVID-19 changed the global equity market. (2021). Ky, Van ; Ming, Tee Chwee ; Bach, Dinh Hoang ; Nguyen, Dat Thanh. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:69:y:2021:i:c:p:480-491.

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2021Interest rate trends in a global context. (2021). Tesar, Linda L ; Stolyarov, Dmitriy. In: Economic Modelling. RePEc:eee:ecmode:v:101:y:2021:i:c:s0264999321001218.

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2022Economic Modelling at thirty-five: A retrospective bibliometric survey. (2022). Lim, Weng Marc ; Burton, Bruce ; Kumar, Satish ; Pattnaik, Debidutta. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s0264999321003011.

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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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2021Keep the faith in banking: New evidence for the effects of negative interest rates based on the case of Finnish cooperative banks. (2021). Junttila, Juha ; Raatikainen, Juhani ; Perttunen, Jukka. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521921000673.

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2022Covid-19 pandemic and spillover effects in stock markets: A financial network approach. (2022). Polyzos, Stathis ; Kampouris, Elias ; Samitas, Aristeidis. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003197.

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2021Financial contagion and the TIR-MIDAS model. (2021). Liu, Xiaoquan ; Jiang, Kunliang ; Ye, Wuyi. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s154461232030132x.

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2022YOLO trading: Riding with the herd during the GameStop episode. (2022). Výrost, Tomáš ; Lyócsa, Štefan ; Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003603.

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2021Exchange rate shocks in multicurrency interbank markets. (2021). Stefan, Martin ; Siklos, Pierre L. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000486.

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2021Two decades of contagion effect on stock markets: Which events are more contagious?. (2021). Smaga, Pawe ; Kurowski, Ukasz ; Rogowicz, Karol ; Iwanicz-Drozdowska, Magorzata. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s157230892100067x.

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2022Risk spillovers and interconnectedness between systemically important institutions. (2022). Andrieș, Alin Marius ; Tunaru, Radu ; Sprincean, Nicu ; Ongena, Steven. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001224.

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2022Financial integration and the co-movement of economic activity: Evidence from U.S. states. (2022). Gozzi, Juan Carlos ; Goetz, Martin R. In: Journal of International Economics. RePEc:eee:inecon:v:135:y:2022:i:c:s0022199621001410.

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2021Exchange rate regimes and price efficiency: Empirical examination of the impact of financial crisis. (2021). Sheng, Hsia Hua ; Rasheed, Abdul A ; Diniz-Maganini, Natalia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000809.

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2021On the predictive power of network statistics for financial risk indicators. (2021). , Mike ; Zhang, Zhepei ; Song, Jianhua. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:75:y:2021:i:c:s1042443121001347.

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2022Modelling the quantile cross-coherence between exchange rates: Does the COVID-19 pandemic change the interlinkage structure?. (2022). Vo, Xuan Vinh ; Alkhataybeh, Ahmad ; El-Nader, Ghaith ; al Rababa, Abdel Razzaq ; Ur, Mobeen. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:76:y:2022:i:c:s1042443121001992.

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2022Financial market linkages and the sovereign debt crisis. (2022). Amado, Cristina ; Campos-Martins, Susana. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560621002473.

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2022The effects of financial integration during crises. (2022). Yao, Wen ; Tang, Aidi. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:124:y:2022:i:c:s026156062200016x.

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2021Spatial financial contagion during the COVID-19 outbreak: Local correlation approach. (2021). Garfatta, Riadh ; Zorgati, Imen. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:24:y:2021:i:c:s1703494921000281.

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2021Volatility spillovers between strategic commodity futures and stock markets and portfolio implications: Evidence from developed and emerging economies. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Shafiullah, Muhammad ; Mensi, Walid. In: Resources Policy. RePEc:eee:jrpoli:v:71:y:2021:i:c:s0301420721000192.

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2022What influences stock market co-movements between China and its Asia-Pacific trading partners after the Global Financial Crisis?. (2022). Shi, Yujie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:72:y:2022:i:c:s0927538x22000178.

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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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2021The influence of real interest rates and risk premium effects on the ability of the nominal term structure to forecast inflation. (2021). Tzavalis, Elias ; Argyropoulos, Efthymios. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:80:y:2021:i:c:p:785-796.

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2021The contagious effect of China’s energy policy on stock markets: The case of the solar photovoltaic industry. (2021). Hsiao, Cody Yu-Ling ; Sheng, NI ; Wei, Xinyang ; Ai, Dan. In: Renewable Energy. RePEc:eee:renene:v:164:y:2021:i:c:p:74-86.

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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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2021In search of safe haven assets during COVID-19 pandemic: An empirical analysis of different investor types. (2021). Nagayev, Ruslan ; Aysan, Ahmet F ; Rizkiah, Siti K ; Salim, Kinan ; Disli, Mustafa. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921000829.

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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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2022Are Banks Still a Risk Source for Stock Market? Some Empirical Evidences. (2022). Zedda, Stefano ; Patane, Michele ; Anelli, Michele. In: JRFM. RePEc:gam:jjrfmx:v:15:y:2022:i:7:p:310-:d:863667.

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2022Spillovers from one country’s sovereign debt to CDS (credit default swap) spreads of others during the European crisis: a spatial approach. (2022). Onder, Ozlem A ; Muradolu, Gulnur Y ; Kila, Gul Huyuguzel. In: Journal of Asset Management. RePEc:pal:assmgt:v:23:y:2022:i:4:d:10.1057_s41260-022-00263-3.

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2021A CONDITIONAL CORRELATION ANALYSIS FOR THE COLOMBIAN STOCK MARKET. (2021). Paucar, Giovanny Sandoval. In: MPRA Paper. RePEc:pra:mprapa:107963.

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2021Money and Foreign Exchange Markets Dynamics in Nigeria: A Multivariate GARCH Approach. (2021). Atoi, Ngozi ; Nwambeke, Chinedu G. In: MPRA Paper. RePEc:pra:mprapa:109305.

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2021The Spillover Effect on the CEE Equity Markets and the Financial Contagion in the Context of Financial Integration. (2021). Lolea, Iulian Cornel ; Stamule, Simona ; Com, Contactcbyahoo. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:4:p:155-170.

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2022Through the Lens of Recession 2.0: Diversification Dynamics Between the Leading Asian Stock Markets. (2022). Kalra, Rameesha ; Nayak, Surekha. In: Vision. RePEc:sae:vision:v:26:y:2022:i:2:p:181-192.

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2022Transmission of the Greek crisis on the sovereign debt markets in the euro area. (2022). Tahi, Sofiane ; Bellalah, Makram ; Kchaou, Oussama. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-021-03938-z.

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2021Return and volatility spillovers to African equity markets and their determinants. (2021). Mougoue, Mbodja ; Etoundi, Eric Martial. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:2:d:10.1007_s00181-020-01881-9.

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2022Debt and financial market contagion. (2022). Morley, James ; Hsiao, Cody Yu-Ling. In: Empirical Economics. RePEc:spr:empeco:v:62:y:2022:i:4:d:10.1007_s00181-021-02077-5.

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2022A new analytical approach for identifying market contagion. (2022). Kim, Tae Yoon ; Lee, Heesoo. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00339-4.

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2021Is Anything Predictable in Market-Based Surprises?. (2021). Tagliabracci, Alex ; D'Agostino, Antonello ; Dagostino, Antonello ; Brugnolini, Luca. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:7:y:2021:i:3:d:10.1007_s40797-020-00134-z.

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2022An Empirical Assessment of the Contagion Determinants in the Euro Area in a Period of Sovereign Debt Risk. (2022). Sica, Edgardo ; Pacelli, Vincenzo ; Altinba, Hazar. In: Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti. RePEc:spr:italej:v:8:y:2022:i:2:d:10.1007_s40797-021-00147-2.

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2021The US consumption function: a new perspective. (2021). Foster, John. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:31:y:2021:i:3:d:10.1007_s00191-020-00711-6.

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2021Relative pricing of French Treasury inflation-linked and nominal bonds: an empirical approach using arbitrage strategies. (2021). Fonseca, Jose S ; Severac, Beatrice. In: Portuguese Economic Journal. RePEc:spr:portec:v:20:y:2021:i:3:d:10.1007_s10258-020-00185-1.

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2022Sovereign contagion risk measure across financial markets in the eurozone: a bivariate copulas and Markov Regime Switching ARMA based approaches. (2022). Mansouri, Faysal ; Bouker, Sawsen. In: Review of World Economics (Weltwirtschaftliches Archiv). RePEc:spr:weltar:v:158:y:2022:i:2:d:10.1007_s10290-021-00440-3.

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2022How the Contagion is Transmitted to the Macedonian Stock Market? an Analysis of Co-Exceedances. (2022). Dragan, Tevdovski ; Artan, Sulejmani. In: South East European Journal of Economics and Business. RePEc:vrs:seejeb:v:17:y:2022:i:1:p:1-13:n:8.

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2021The contagion phenomena of the Brexit process on main stock markets. (2021). Iiguez, Cristina ; Escribano, Ana. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4462-4481.

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2021Determinants of financial stress in emerging market economies: Are spatial effects important?. (2021). Onder, Ozlem A ; Kosedali, Begum Yurteri. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4653-4669.

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2022Financial contagion in real economy: The key role of policy uncertainty. (2022). Umar, Zaghum ; Kampouris, Elias ; Samitas, Aristeidis. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1633-1682.

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2022Nonlinear contagion between stock and real estate markets: International evidence from a local Gaussian correlation approach. (2022). Wang, Shixuan ; Gupta, Rangan ; Bouri, Elie. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:2089-2109.

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2021The Bank Lending Channel of Conventional and Unconventional Monetary Policy. (2021). Signoretti, Federico ; Nobili, Andrea ; Albertazzi, Ugo. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:53:y:2021:i:2-3:p:261-299.

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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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2021Heterogeneous effects of unconventional monetary policy on bond yields across the euro area. (2019). Demir, Ä°shak ; Yildirim-Karaman, Secil ; Eroglu, Burak A. In: LEAF Working Paper Series. RePEc:zbw:leafwp:1906.

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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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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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2001Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test.(2001) In: Working Papers.
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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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paper4
2015Forecaster heterogeneity, surprises and financial markets In: Temi di discussione (Economic working papers).
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paper5
2015Decomposing euro area sovereign spreads: credit, liquidity and convenience In: Temi di discussione (Economic working papers).
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paper4
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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paper8
2017Monetary policy surprises over time In: Temi di discussione (Economic working papers).
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2018Monetary Policy Surprises over Time.(2018) In: Quarterly Journal of Finance (QJF).
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This paper has another version. Agregated cites: 8
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2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models In: Temi di discussione (Economic working papers).
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paper2
2018Macroeconomics determinants of the correlation between stocks and bonds In: Temi di discussione (Economic working papers).
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paper5
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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paper22
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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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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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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paper28
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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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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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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