Marcello Pericoli : Citation Profile


Are you Marcello Pericoli?

Banca d'Italia

7

H index

6

i10 index

765

Citations

RESEARCH PRODUCTION:

8

Articles

22

Papers

RESEARCH ACTIVITY:

   18 years (1999 - 2017). See details.
   Cites by year: 42
   Journals where Marcello Pericoli has often published
   Relations with other researchers
   Recent citing documents: 58.    Total self citations: 10 (1.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe177
   Updated: 2018-11-17    RAS profile: 2017-03-10    
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Relations with other researchers


Works with:

veronese, giovanni (2)

Tommasino, Pietro (2)

Taboga, Marco (2)

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

Is cited by:

Dungey, Mardi (25)

Fry-McKibbin, Renee (23)

Martin, Vance (16)

Gómez-Puig, Marta (14)

Valls Pereira, Pedro (13)

Sosvilla-Rivero, Simon (12)

Baur, Dirk (11)

Caporin, Massimiliano (10)

Masih, Abul (9)

Fazio, Giorgio (9)

Marçal, Emerson (9)

Cites to:

Kaminsky, Graciela (14)

Piazzesi, Monika (13)

Rudebusch, Glenn (10)

Campbell, John (10)

Ang, Andrew (10)

Gürkaynak, Refet (9)

Schmukler, Sergio (9)

Swanson, Eric (9)

Corsetti, Giancarlo (8)

Shiller, Robert (8)

Taboga, Marco (7)

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 Area16
MPRA Paper / University Library of Munich, Germany2

Recent works citing Marcello Pericoli (2018 and 2017)


YearTitle of citing document
2018Managing sovereign debt restructurings in the euro zone. A note on old and current debates. (2018). Tommasino, Pietro ; Committeri, Marco . In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_451_18.

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2017A tale of fragmentation: corporate funding in the euro-area bond market. (2017). Zaghini, Andrea. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1104_17.

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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.

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2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models. (2018). Taboga, Marco ; Pericoli, Marcello. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1189_18.

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2017On the Identification of Interdependence and Contagion of Financial Crises. (2017). Bacchiocchi, Emanuele. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:6:p:1148-1175.

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2017Was it different the second time? An empirical analysis of contagion during the crises in Greece 2009–15. (2017). Pentecost, Eric ; Willett, Thomas ; Du, Wenti ; Bird, Graham. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:12:p:2530-2542.

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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.

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2017Financial Stability in Europe: Banking and Sovereign Risk. (2017). Kočenda, Evžen ; Bruha, Jan ; Kocenda, Even . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6453.

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2017Identification of Global and National Shocks in International Financial Markets via General Dynamic Factor Models. (2017). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/248676.

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2017Euro area fiscal stance. (2017). Palaiodimos, Georgios ; Ferdinandusse, Marien ; Checherita Westphal, Cristina ; Campos, Maria ; Bakowski, Krzysztof . In: Occasional Paper Series. RePEc:ecb:ecbops:2017182.

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2018Macroeconomic imbalances in the euro area: where do we stand?. (2018). Sondermann, David ; Pierluigi, Beatrice. In: Occasional Paper Series. RePEc:ecb:ecbops:2018211.

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2017Behavioral Finance and Financial Contagion: The Evidence of DCC-MGARCH Model From 63 Equity Markets. (2017). Talbi, Mariem ; Sebai, Saber ; Boubaker, Adel . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-48.

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2017Oil and stock markets before and after financial crises : a local Gaussian correlation approach. (2017). Panagiotidis, Theodore ; Bampinas, Georgios. In: Bank of Estonia Working Papers. RePEc:eea:boewps:wp2016-11.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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2017Regional spillovers across transitioning emerging and frontier equity markets: A multi-time scale wavelet analysis. (2017). Masih, Abul ; Dewandaru, Ginanjar. In: Economic Modelling. RePEc:eee:ecmode:v:65:y:2017:i:c:p:30-40.

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2018Testing extreme dependence in financial time series. (2018). Chaudhuri, Kausik ; Tan, Zheng ; Sen, Rituparna. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:378-394.

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2017How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets. (2017). Ballester, Laura ; Gonzalez-Urteaga, Ana . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:200-214.

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2018Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis. (2018). Wu, Eliza ; Thorp, Susan ; Cayon, Edgardo. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:162-174.

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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.

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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.

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2017International stock market leadership and its determinants. (2017). Cai, Charlie X ; Zhang, QI ; Mobarek, Asma. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:150-162.

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2017Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust. (2017). Tamarit, Cecilio ; Sapena, Juan ; Paniagua, Jordi. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:187-206.

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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.

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2018Financial stability in Europe: Banking and sovereign risk. (2018). Kočenda, Evžen ; Bruha, Jan ; Koenda, Even ; Brha, Jan. In: Journal of Financial Stability. RePEc:eee:finsta:v:36:y:2018:i:c:p:305-321.

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2018Empirical analysis of market reactions to the UK’s referendum results – How strong will Brexit be?. (2018). Aristeidis, Samitas ; Elias, Kampouris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:53:y:2018:i:c:p:263-286.

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2018Identifying contagion: A unifying approach. (2018). Sewraj, Deeya ; Robert, ; Gebka, Bartosz . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240.

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2017Euro area government bonds – Fragmentation and contagion during the sovereign debt crisis. (2017). Fratzscher, Marcel ; Ehrmann, Michael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:70:y:2017:i:c:p:26-44.

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2017Risk assessment on euro area government bond markets – The role of governance. (2017). Boysen-Hogrefe, Jens. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:73:y:2017:i:pa:p:104-117.

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2017International house price cycles, monetary policy and credit. (2017). Bauer, Gregory. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:74:y:2017:i:c:p:88-114.

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2018Regime-dependent herding behavior in Asian and Latin American stock markets. (2018). Kabir, Humayun M ; Shakur, Shamim. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:47:y:2018:i:c:p:60-78.

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2017DCCA cross-correlation in blue-chips companies: A view of the 2008 financial crisis in the Eurozone. (2017). Ferreira, Paulo ; Guedes, E ; Zebende, G F ; Dionisio, A. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:38-47.

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2017Intraday industry-specific spillover effect in European equity markets. (2017). Mateus, Cesario ; Chinthalapati, Raju . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:63:y:2017:i:c:p:278-298.

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2017Renewables diffusion and contagion effect in Italian regional electricity markets: Assessment and policy implications. (2017). Polinori, Paolo ; Bollino, Carlo Andrea ; Bigerna, Simona ; Ciferri, Davide . In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:68:y:2017:i:p1:p:199-211.

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2017Causes and consequences of energy price shocks on petroleum-based stock market using the spillover asymmetric multiplicative error model. (2017). Khalifa, Ahmed ; Bertuccelli, Pietro ; Alsarhan, Abdulwahab A. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:307-314.

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2018Asymmetric and nonlinear inter-relations of US stock indices. (2018). Gkillas (Gillas), Konstantinos ; Svingou, Argyro ; Syriopoulos, Costas ; Vortelinos, Dimitrios. In: International Journal of Managerial Finance. RePEc:eme:ijmfpp:ijmf-02-2017-0018.

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2017The Fiscal-Monetary Policy Mix in the Euro Area: Challenges at the Zero Lower Bound. (2017). Orphanides, Athanasios. In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:060.

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2017Dependence between Stock Returns of Italian Banks and the Sovereign Risk. (2017). Durante, Fabrizio ; Weissensteiner, Alex ; Foscolo, Enrico . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:2:p:23-:d:100926.

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2018An Empirical Investigation of Risk-Return Relations in Chinese Equity Markets: Evidence from Aggregate and Sectoral Data. (2018). Chiang, Thomas C ; Zhang, Yuanqing . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:2:p:35-:d:138061.

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2018The Effect of Alternative Measures of Distance on the Correlation of Real Effective Exchange Rate Returns: An Approach to Contagion Analysis. (2018). Coulom, Jean ; Shenai, Vijay. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:4:p:85-:d:175362.

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2018A Maximal Tail Dependence-Based Clustering Procedure for Financial Time Series and Its Applications in Portfolio Selection. (2018). Liu, Xin ; Jiang, Wenjun ; Yang, Chen ; Wu, Jiang. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:115-:d:174402.

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2018A Hybrid Approach to Explore the Risk Dependency Structure among Agribusiness Firms. (2018). Lei, Zhimei ; Lim, Ming K ; Cui, LI ; Wu, Kuo-Jui. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:2:p:533-:d:132141.

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2018The Credit Default Swap market contagion during recent crises: International evidence. (2018). Sabkha, Saker ; Hmaied, Dorra ; de Peretti, Christian. In: Post-Print. RePEc:hal:journl:hal-01572510.

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2017The Credit Default Swap market contagion during recent crises: International evidence. (2017). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01572510.

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2018Modeling Systemic Risk with Markov Switching Graphical SUR Models. (2018). Guidolin, Massimo ; Billio, Monica ; Casarin, Roberto ; Bianchi, Daniele. In: Working Papers. RePEc:igi:igierp:626.

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2018Global Factors in the Term Structure of Interest Rates. (2018). Moreno, Antonio ; Abbritti, Mirko ; Sola, Sergio ; DellErba, Salvatore . In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2018:q:1:a:7.

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2017Behavioral Finance and Efficient Markets: What does the Euro Crisis Tell us?. (2017). Bird, Graham ; Willett, Thomas ; Du, Wenti. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:2:d:10.1007_s11079-017-9436-1.

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2017Economic Costs and Benefits of EMU Membership from the Perspective of a Non-member. (2017). Gyoerk, Emilia. In: Open Economies Review. RePEc:kap:openec:v:28:y:2017:i:5:d:10.1007_s11079-017-9466-8.

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2017Financial convergence on emerging markets: the case of CEE countries. (2017). Fronc, Micha ; Mielus, Piotr . In: Bank i Kredyt. RePEc:nbp:nbpbik:v:48:y:2017:i:2:p:149-172.

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2018Financial Market Contagion and the Sovereign Debt Crisis: A Smooth Transition Approach. (2018). Amado, Cristina ; Martins, Susana . In: NIPE Working Papers. RePEc:nip:nipewp:08/2018.

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2017A Dynamic Measure of Intentional Herd Behavior in Financial Markets. (2017). Park, Beum Jo ; Kim, Myung-Joong. In: MPRA Paper. RePEc:pra:mprapa:82025.

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2018CONTAGIO FINANCIERO: UNA BREVE REVISIÓN DE LITERATURA. (2018). Paucar, Giovanny Sandoval. In: MPRA Paper. RePEc:pra:mprapa:89554.

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2017Bank-sovereign ties against interbank market integration: the case of the Italian segment. (2017). Popoyan, Lilit ; Saroyan, Susanna . In: LEM Papers Series. RePEc:ssa:lemwps:2017/02.

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2017Safe haven or contagion? The disparate effects of Euro-zone crises on non-Euro-zone neighbours. (2017). Pentecost, Eric ; Willett, Thomas ; Du, Wenti ; Bird, Graham. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:59:p:5895-5904.

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2017Co-movement of real exchange rates in the West African Monetary Zone. (2017). Owusu Junior, Peterson ; Soo, Kwok Tong ; Tweneboah, George ; Adam, Anokye M. In: Cogent Economics & Finance. RePEc:taf:oaefxx:v:5:y:2017:i:1:p:1351807.

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2017Quantitative Easing and Exuberance in Government Bond Markets: Evidence from the ECBs Expanded Assets Purchase Program. (2017). Droes, Martijn ; Mattheussens, Simona ; van Lamoen, Ryan . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20170080.

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2018The time-varying impact of systematic risk factors on corporate bond spreads. (2018). Klein, Arne C ; Pliszka, Kamil. In: Discussion Papers. RePEc:zbw:bubdps:142018.

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2017Interconnectedness in the global financial market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2076.

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2018Dissecting long-term Bund yields in the run-up to the ECBs Public Sector Purchase Programme. (2018). Lemke, Wolfgang ; Werner, Thomas. In: Annual Conference 2018 (Freiburg, Breisgau): Digital Economy. RePEc:zbw:vfsc18:181594.

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Works by Marcello Pericoli:


YearTitleTypeCited
2014Fiscal Policy and Macroeconomic Imbalances In: Workshop and Conferences.
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paper2
2015Forecaster heterogeneity, surprises and financial markets In: Temi di discussione (Economic working papers).
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paper1
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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paper2
2017Monetary policy surprises over time 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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paper15
2002The impact of news on the exchange rate of the lira and long-term interest rates.(2002) In: Economic Modelling.
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This paper has another version. Agregated cites: 15
article
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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This paper has another version. Agregated cites: 2
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2001A Primer on Financial Contagion In: Temi di discussione (Economic working papers).
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paper262
2003A Primer on Financial Contagion.(2003) In: Journal of Economic Surveys.
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This paper has another version. Agregated cites: 262
article
2001Correlation Analysis of Financial Contagion: What One Should Know before Running a Test In: Temi di discussione (Economic working papers).
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paper55
2001Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test.(2001) In: Working Papers.
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This paper has another version. Agregated cites: 55
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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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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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This paper has another version. Agregated cites: 25
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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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paper7
2012Bond risk premia, macroeconomic fundamentals and the exchange rate.(2012) In: International Review of Economics & Finance.
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This paper has another version. Agregated cites: 7
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2008Bond risk premia, macroeconomic fundamentals and the exchange rate.(2008) In: MPRA Paper.
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This paper has another version. Agregated cites: 7
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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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This paper has another version. Agregated cites: 2
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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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This paper has another version. Agregated cites: 75
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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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paper0

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