Loriana Pelizzon : Citation Profile

Are you Loriana Pelizzon?

Leibniz-Institut für Finanzmarktforschung SAFE (Sustainable Architecture for Finance in Europe) (90% share)
Università Ca' Foscari Venezia (10% share)

18

H index

23

i10 index

1860

Citations

RESEARCH PRODUCTION:

27

Articles

111

Papers

4

Chapters

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 84
   Journals where Loriana Pelizzon has often published
   Relations with other researchers
   Recent citing documents: 507.    Total self citations: 39 (2.05 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe207
   Updated: 2022-07-02    RAS profile: 2022-05-10    
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Relations with other researchers

Works with:

Billio, Monica (14)

Bellia, Mario (8)

Caporin, Massimiliano (8)

Pagano, Marco (6)

Oliviero, Tommaso (6)

Boot, Arnoud (5)

Riedel, Max (3)

Dindo, Pietro (3)

Schneider, Michael (3)

Nikolova, Stanislava (Stas) (3)

Plazzi, Alberto (3)

Rakowski, David (2)

Pasquariello, Paolo (2)

Chow, Nikolai Sheung-Chi (2)

Zhou, Chen (2)

Abudy, Menachem (2)

Colliard, Jean-Edouard (2)

Walther, Thomas (2)

Lajaunie, Quentin (2)

Jalkh, Naji (2)

Brownlees, Christian (2)

Vilkov, Grigory (2)

Harris, Jeffrey (2)

Ait-Sahalia, Yacine (2)

Schwarz, Marco (2)

Dreber, Anna (2)

Ferrara, Gerardo (2)

Gündüz, Yalin (2)

Johannesson, Magnus (2)

Sarno, Lucio (2)

Roy, Saurabh (2)

LINTON, OLIVER (2)

Dimpfl, Thomas (2)

Davies, Ryan (2)

Putnins, Talis (2)

Gerritsen, Dirk (2)

Lof, Matthijs (2)

Xia, Shuo (2)

Horenstein, Alex (2)

Patton, Andrew (2)

Tonks, Ian (2)

Moench, Emanuel (2)

Pastor, Lubos (2)

de Roure, Calebe (2)

Deev, Oleg (2)

Nielsson, Ulf (2)

Holzmeister, Felix (2)

Gorbenko, Arseny (2)

Wolff, Christian (2)

FERROUHI, EL MEHDI (2)

Lopez-Lira, Alejandro (2)

Adrian, Tobias (2)

Smales, Lee (2)

Theissen, Erik (2)

Palan, Stefan (2)

Bos, Charles (2)

CAPELLE-BLANCARD, Gunther (2)

Heath, Davidson (2)

Park, Andreas (2)

Moinas, Sophie (2)

Jurkatis, Simon (2)

Stefanova, Denitsa (2)

Dumitrescu, Ariadna (2)

Schenk-Hoppé, Klaus (2)

Foucault, Thierry (2)

van Kervel, Vincent (2)

Talavera, Oleksandr (2)

Scaillet, Olivier (2)

Xiu, Dacheng (2)

Thakor, Anjan (2)

Gehrig, Thomas (2)

Alexeev, Vitali (2)

Frijns, Bart (2)

Taylor, Nick (2)

Tomio, Davide (2)

Hurlin, Christophe (2)

Wilhelmsson, Anders (2)

Kassner, Bernhard (2)

PASCUAL, ROBERTO (2)

Bouri, Elie (2)

Rinne, Kalle (2)

Liew, Chee (2)

Reitz, Stefan (2)

Menkveld, Albert (2)

Patel, Vinay (2)

Ranaldo, Angelo (2)

Verousis, Thanos (2)

Hautsch, Nikolaus (2)

Regis, Luca (2)

Bohorquez Correa, Santiago (2)

Wong, Wing-Keung (2)

Jagannathan, Ravi (2)

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

Is cited by:

Giudici, Paolo (34)

Caporin, Massimiliano (28)

Billio, Monica (23)

Ahelegbey, Daniel Felix (20)

Sosvilla-Rivero, Simon (19)

Gómez-Puig, Marta (19)

Yilmaz, Kamil (17)

Casarin, Roberto (16)

Lucas, Andre (14)

Fratzscher, Marcel (13)

Dungey, Mardi (13)

Cites to:

Menkveld, Albert (33)

Pedersen, Lasse (27)

Acharya, Viral (25)

Brunnermeier, Markus (25)

Billio, Monica (23)

Adrian, Tobias (22)

Foucault, Thierry (21)

Bekaert, Geert (18)

Biais, Bruno (17)

Stulz, René (17)

merton, robert (17)

Main data

Where Loriana Pelizzon has published?

Journals with more than one article published# docs
Journal of Financial Economics3
Journal of Banking & Finance2
BANCARIA2

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE37
Working Papers / Department of Economics, University of Venice "Ca' Foscari"23
SAFE Policy Letters / Leibniz Institute for Financial Research SAFE7
SAFE White Paper Series / Leibniz Institute for Financial Research SAFE5
NBER Working Papers / National Bureau of Economic Research, Inc4
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"4
Discussion Papers / Deutsche Bundesbank3
CESifo Working Paper Series / CESifo3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
Post-Print / HAL2

Recent works citing Loriana Pelizzon (2022 and 2021)

YearTitle of citing document
2020Optimal control of investment, premium and deductible for a non-life insurance company. (2020). Serrano, Rafael ; Parra-Alvarez, Juan Carlos ; Christensen, Bent Jesper. In: CREATES Research Papers. RePEc:aah:create:2020-11.

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2020Systemic Risk: a Network Approach. (2020). Hasse, Jean-Baptiste. In: AMSE Working Papers. RePEc:aim:wpaimx:2025.

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2021Tackling the Volatility Paradox: Spillover Persistence and Systemic Risk. (2021). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:079.

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2022Investor-Driven Corporate Finance: Evidence from Insurance Markets. (2022). Kubitza, Christian. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:144.

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2022Imperfect Competition in Derivatives Markets. (2022). Brinkmann, Christina. In: ECONtribute Discussion Papers Series. RePEc:ajk:ajkdps:153.

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2021Time-Varying Network Connectedness of G-7 Economic Policy Uncertainties: A Locally Stationary TVP-VAR Approach. (2021). Polat, Onur. In: World Journal of Applied Economics. RePEc:ana:journl:v:7:y:2021:i:2:p:47-59.

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2022Network Structure and Fragmentation of the Argentinean Interbank Markets. (2022). Montes-Rojas, Gabriel ; Forte, Federico ; Elosegui, Pedro. In: Working Papers. RePEc:aoz:wpaper:129.

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2020A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2019). Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier ; Donnat, Philippe . In: Papers. RePEc:arx:papers:1703.00485.

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2020Interconnectedness in the Global Financial Market. (2017). Raddant, Matthias ; Kenett, Dror Y. In: Papers. RePEc:arx:papers:1704.01028.

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2020Asymmetric Connectedness of Fears in the U.S. Financial Sector. (2018). Baruník, Jozef ; Tunaru, Radu ; Bevilacqua, Mattia. In: Papers. RePEc:arx:papers:1810.12022.

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2020Systemic risk assessment through high order clustering coefficient. (2018). Cerqueti, Roy ; Grassi, Rosanna ; Clemente, Gian Paolo. In: Papers. RePEc:arx:papers:1810.13250.

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2020How Safe are European Safe Bonds? An Analysis from the Perspective of Modern Portfolio Credit Risk Models. (2020). Damian, Camilla ; Kurt, Kevin ; Frey, Rudiger. In: Papers. RePEc:arx:papers:2001.11249.

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2021Stress testing and systemic risk measures using multivariate conditional probability. (2020). Aste, Tomaso. In: Papers. RePEc:arx:papers:2004.06420.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Neural Networks and Value at Risk. (2020). Weisheit, Stefan ; Klawunn, Michael ; Hoepner, Andreas ; Borth, Damian ; Arimond, Alexander. In: Papers. RePEc:arx:papers:2005.01686.

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2020Dynamic Network Risk. (2020). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2006.04639.

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2021Suffocating Fire Sales. (2020). Ritter, Daniel ; Panagiotou, Konstantinos ; Meyer-Brandis, Thilo ; Detering, Nils. In: Papers. RePEc:arx:papers:2006.08110.

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2020A Bivariate Compound Dynamic Contagion Process for Cyber Insurance. (2020). Jang, Jiwook ; Oh, Rosy. In: Papers. RePEc:arx:papers:2007.04758.

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2020CoVaR with volatility clustering, heavy tails and non-linear dependence. (2020). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:2009.10764.

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2021COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422.

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2021Diagnosis of systemic risk and contagion across financial sectors. (2021). Zhu, Richard Licheng ; Choudhari, Sayuj. In: Papers. RePEc:arx:papers:2101.06585.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2021Modeling of crisis periods in stock markets. (2021). Emiris, Ioannis Z ; Dalamagkas, Theodore ; Christoforou, Emmanouil ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:2103.13294.

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2021Exact and Asymptotic Analysis of General Multivariate Hawkes Processes and Induced Population Processes. (2021). Mandjes, Michel ; Karim, Raviar. In: Papers. RePEc:arx:papers:2106.03560.

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2021An Information Filtering approach to stress testing: an application to FTSE markets. (2021). Aste, Tomaso ; Caccioli, Fabio ; Seabrook, Isobel. In: Papers. RePEc:arx:papers:2106.08778.

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2021ESGM: ESG scores and the Missing pillar. (2021). Czado, Claudia ; Paterlini, Sandra ; Bax, Karoline ; Sahin, Ozge. In: Papers. RePEc:arx:papers:2106.15466.

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2021Mean-Variance Portfolio Selection in Contagious Markets. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2110.09417.

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2021The Evolving Causal Structure of Equity Risk Factors. (2021). BONCHI, FRANCESCO ; Bajardi, Paolo ; D'Acunto, Gabriele ; de Francisci, Gianmarco. In: Papers. RePEc:arx:papers:2111.05072.

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2021Mesoscopic Structure of the Stock Market and Portfolio Optimization. (2021). Garlaschelli, Diego ; Squartini, Tiziano ; Fagiolo, Giorgio ; Zema, Sebastiano Michele. In: Papers. RePEc:arx:papers:2112.06544.

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2021Optimal Portfolio Choice and Stock Centrality for Tail Risk Events. (2021). Katsouris, Christis. In: Papers. RePEc:arx:papers:2112.12031.

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2022Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia. (2022). Roncalli, Thierry ; Kostyuchyk, Nazar ; Bruder, Benjamin. In: Papers. RePEc:arx:papers:2202.10721.

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2022Network structure and fragmentation of the Argentinean interbank markets. (2022). Montes-Rojas, Gabriel ; Elosegui, Pedro ; Forte, Federico. In: Papers. RePEc:arx:papers:2203.14488.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp20154.

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2021Option-Implied Network Measures of Tail Contagion and Stock Return Predictability. (2021). Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp21154.

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2021Did the COVID-19 Shock Impair the Stock Performance of Companies with Older CEOs?. (2021). Lagravinese, Raffaele ; Resce, Giuliano ; Ferri, Giovanni. In: SERIES. RePEc:bai:series:series_wp_02-2021.

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2020On Causal Networks of Financial Firms: Structural Identification via Non-parametric Heteroskedasticity. (2020). Hipp, Ruben. In: Staff Working Papers. RePEc:bca:bocawp:20-42.

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2021Systemic Risk and Portfolio Diversification: Evidence from the Futures Market. (2021). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:21-50.

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2021Network Structure and Fragmentation of the Argentinean Interbank Markets. (2021). Forte, Federico ; Montes-Rojas, Gabriel ; Elosegui, Pedro. In: BCRA Working Paper Series. RePEc:bcr:wpaper:202196.

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2022Flash crashes on sovereign bond markets – EU evidence. (2022). Panzarino, Onofrio ; Marseglia, Gaetano ; Haferkorn, Martin ; Bouveret, Antoine. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_020_22.

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2020Granular Instrumental Variables. (2020). Gabaix, Xavier. In: Working Papers. RePEc:bfi:wpaper:2020-177.

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2021Structural Estimation of Time-Varying Spillovers: An Application to International Credit Risk Transmission. (2021). Arthur, Stalla-Bourdillon ; Lukas, Boeckelmann. In: Working papers. RePEc:bfr:banfra:798.

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2022On the Choice of Central Counterparties in the EU. (2022). Piquard, Thibaut ; Demange, Gabrielle. In: Working papers. RePEc:bfr:banfra:868.

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2022Deconstructing ESG scores: how to invest with your own criteria. (2022). Jondeau, Eric ; Jegarasasingam, Anandakumar ; Elsenhuber, Ulrike ; Ehlers, Torsten. In: BIS Working Papers. RePEc:bis:biswps:1008.

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2020A New Indicator of Bank Funding Cost. (2020). Sahuc, Jean-Guillaume ; Mojon, Benoit ; Jondeau, Eric. In: BIS Working Papers. RePEc:bis:biswps:854.

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2020Economic crisis and determinants of solvency in the insurance sector: new evidence from Spain. (2020). Trujilloponce, Antonio ; Parradomartinez, Purificacion ; Moreno, Ignacio . In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2965-2994.

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2020Shocks to food market systems: A network approach. (2020). Kshirsagar, Varun ; Baffes, John. In: Agricultural Economics. RePEc:bla:agecon:v:51:y:2020:i:1:p:111-129.

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2020Too Connected to Fail? Evidence from a Chinese Financial Risk Spillover Network. (2020). Hu, Jie ; Chen, YU ; Zhang, Weiping. In: China & World Economy. RePEc:bla:chinae:v:28:y:2020:i:6:p:78-100.

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2021Can “Concerted” Macroprudential Policies Mitigate Cross?border Contagion of Financial Risks? Evidence from China and Its Financially Connected Economies. (2021). Chen, Xiaoli ; Liu, Xiaoyu. In: China & World Economy. RePEc:bla:chinae:v:29:y:2021:i:3:p:26-54.

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2020Investment in Financial Information and Portfolio Performance. (2020). Jappelli, Tullio ; Guiso, Luigi. In: Economica. RePEc:bla:econom:v:87:y:2020:i:348:p:1133-1170.

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2020Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.

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2020Jump Risk in the US Financial Sector. (2020). Yao, Wenying ; Gajurel, Dinesh ; Jeyasreedharan, Nagaratnam ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:331-349.

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2020The Co‐Movement of Credit Default Swap Spreads, Equity Returns and Volatility: Evidence from Asia‐Pacific Markets. (2020). Gottschalk, Katrin ; da Fonseca, Jose. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:551-579.

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2021Measuring Systemic Risk: Capital Shortfall and CSRISK. (2021). Lee, Joeming ; Hsu, Yuanteng ; Wang, Jyingnan ; Chen, Chihchun. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:358-369.

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2021Financial literacy and household asset allocation: Evidence from micro?data in China. (2021). Wu, YU ; Xiao, Jingna ; Lu, Xiaomeng. In: Journal of Consumer Affairs. RePEc:bla:jconsa:v:55:y:2021:i:4:p:1464-1488.

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2021Fire?Sale Spillovers in Debt Markets. (2021). Hortasu, Ali ; Falato, Antonio ; Shin, Chae Hee ; Li, Dan. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3055-3102.

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2021Regional growth and disparities in a post?COVID Europe: A new normality scenario. (2021). Caragliu, Andrea ; Capello, Roberta. In: Journal of Regional Science. RePEc:bla:jregsc:v:61:y:2021:i:4:p:710-727.

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2020The Reinsurance Network Among U.S. Property–Casualty Insurers: Microstructure, Insolvency Risk, and Contagion. (2020). Weiss, Mary A ; Sun, Tao ; Cummins, David J ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:253-284.

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2020Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G‐SIIs vs Non‐G‐SIIs. (2020). Sun, Tao ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:285-318.

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2020Correlated Trading by Life Insurers and Its Impact on Bond Prices. (2020). Niehaus, Greg ; Chiang, Chiachun. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:3:p:597-625.

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2021Simultaneous borrowing of information across space and time for pricing insurance contracts: An application to rating crop insurance policies. (2021). Ker, Alan P ; Liu, Yong. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:1:p:231-257.

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2020Regional financial market bloc and spillover of the financial crisis: A heterogeneous agents approach. (2020). Chen, Zhenxi. In: Manchester School. RePEc:bla:manchs:v:88:y:2020:i:2:p:262-281.

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2021Financial Network and Systemic Risk—A Dynamic Model. (2021). Yao, David D ; Wang, Tan ; Chen, Hong. In: Production and Operations Management. RePEc:bla:popmgt:v:30:y:2021:i:8:p:2441-2466.

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2020Populism, Political Risk and the Economy: Lessons from Italy. (2019). Schiantarelli, Fabio ; Brianti, Marco ; Brancati, Emanuele ; Balduzzi, Pierluigi. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:989.

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2020The impact of QE on liquidity: evidence from the UK Corporate Bond Purchase Scheme. (2019). LINTON, OLIVER ; Elliott, David ; Morley, Ben ; McLaren, Nick ; Kaminska, Iryna ; Boneva, Lena. In: Bank of England working papers. RePEc:boe:boeewp:0782.

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2021Modelling fire sale contagion across banks and non-banks. (2020). Ferrara, Gerardo ; Ramadiah, Amanah ; Caccioli, Fabio. In: Bank of England working papers. RePEc:boe:boeewp:0878.

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2021Impacts of the Covid-19 crisis: evidence from 2 million UK SMEs. (2021). Walczak, Eryk ; Karmakar, Sudipto ; Walker, Danny ; Markoska, Elena ; Hurley, James. In: Bank of England working papers. RePEc:boe:boeewp:0924.

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2021The impact of machine learning and big data on credit markets. (2021). Grout, Paul ; Eccles, Peter ; Zalewska, Anna ; Siciliani, Paolo. In: Bank of England working papers. RePEc:boe:boeewp:0930.

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2021Zombies, Again? The COVID-19 Business Support Programs in Japan We designed and conducted a firm-level survey on the use of COVID-19-related government programs, in collaboration with Tokyo Shoko Rese. (2021). Kawaguchi, Daiji ; Hoshi, Takeo ; Ueda, Kenichi. In: Bank of Japan Working Paper Series. RePEc:boj:bojwps:wp21e15.

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2020Network-Based Measures of Systemic Risk in Korea. (2020). Lee, Jieun ; Choi, Jaewon. In: Working Papers. RePEc:bok:wpaper:2008.

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2021Three Projects in the New Law and Finance. (2021). Dan, Awrey. In: Accounting, Economics, and Law: A Convivium. RePEc:bpj:aelcon:v:11:y:2021:i:1:p:9-25:n:1.

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2021How do volatility regimes affect the pricing of quality and liquidity in the stock market?. (2021). Hübner, Georges ; Tarik, Bazgour ; Danielle, Sougne ; Georges, Hubner ; Cedric, Heuchenne. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:1:p:17:n:3.

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2021Markov Switching Panel with Endogenous Synchronization Effects. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Billio, Monica ; Agudze, Komla M. In: BEMPS - Bozen Economics & Management Paper Series. RePEc:bzn:wpaper:bemps82.

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2020A Revisit to Sovereign Risk Contagion in Eurozone with Mutual Exciting Regime-Switching Model. (2020). Ge, S. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:20114.

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2021Non-Performing Loan Determinants and Impact of COVID-19: Case of Bosnia and Herzegovina. (2021). Delihodi, Emina Uni ; Kozari, Kemal ; Uni, Amila. In: Journal of Central Banking Theory and Practice. RePEc:cbk:journl:v:10:y:2021:i:3:p:5-22.

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2021The Impact of Fintech Startups on Financial Institutions Performance and Default Risk. (2021). Haddad, Christian ; Hornuf, Lars. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9050.

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2020Embedding Finance in the Macroeconomics of Climate Change: Research Challenges and Opportunities Ahead. (2020). Monasterolo, Irene. In: CESifo Forum. RePEc:ces:ifofor:v:21:y:2020:i:04:p:25-32.

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2020Measuring Systemic Risk: A Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:874.

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2020High Dimensional Quantile Factor Analysis. (2020). Sagner, Andres. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:886.

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2021Interconnectedness and contagion in the Czech financial system. (2021). Szabo, Milan ; Kucera, Adam. In: Occasional Publications - Chapters in Edited Volumes. RePEc:cnb:ocpubc:tafs2020/5.

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2021.

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2020Are Member States’ Budgetary Policies Adhering to the EU Fiscal Rules?. (2020). Cronin, David. In: Applied Economics Quarterly (formerly: Konjunkturpolitik). RePEc:dah:aeqaeq:v66_y2020_i1_q1_p_47-64.

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2021Return spillovers between green energy indexes and financial markets: a first sectoral approach. (2021). Nobletz, Capucine. In: EconomiX Working Papers. RePEc:drm:wpaper:2021-24.

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2020Fire sales by euro area banks and funds: what is their asset price impact?. (2020). Palligkinis, Spyros ; Pancaro, Cosimo ; Moccero, Diego ; Mirza, Harun. In: Working Paper Series. RePEc:ecb:ecbwps:20202491.

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2020Nowcasting business cycle turning points with stock networks and machine learning. (2020). Hirschbühl, Dominik ; Azqueta-Gavaldon, Andres ; Saiz, Lorena ; Onorante, Luca ; Hirschbuhl, Dominik. In: Working Paper Series. RePEc:ecb:ecbwps:20202494.

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2021Euro area sovereign bond risk premia during the Covid-19 pandemic. (2021). Grimm, Niklas ; Corradin, Stefano ; Schwaab, Bernd. In: Working Paper Series. RePEc:ecb:ecbwps:20212561.

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2021Banks’ loan charge-offs and macro-level risk. (2021). Guo, Mengyang ; Song, Victor ; Jin, Justin Y. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:32:y:2021:i:c:s2214635021001179.

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2021Hedge fund strategies, performance &diversification: A portfolio theory & stochastic discount factor approach. (2021). Sutcliffe, Charles ; Stafylas, Dimitrios ; Platanakis, Emmanouil ; Newton, David ; Ye, Xiaoxia. In: The British Accounting Review. RePEc:eee:bracre:v:53:y:2021:i:5:s0890838921000263.

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2020Business connectedness or market risk? Evidence from financial institutions in China. (2020). Li, Zheng ; Lu, Yanchen ; Liang, QI. In: China Economic Review. RePEc:eee:chieco:v:62:y:2020:i:c:s1043951x20301000.

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2020Can systemic risk measures predict economic shocks? Evidence from China. (2020). Zhang, YU ; Liu, Yanzhen ; Chen, Guojin. In: China Economic Review. RePEc:eee:chieco:v:64:y:2020:i:c:s1043951x20301541.

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2020Does operating risk affect portfolio risk? Evidence from insurers securities holding. (2020). Yu, Tong ; Yao, Tong ; Sun, Zhenzhen ; Chen, Xuanjuan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300237.

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2021Fintech and access to finance. (2021). Schwienbacher, Armin ; Bollaert, Helen ; Lopez-De, Florencio. In: Journal of Corporate Finance. RePEc:eee:corfin:v:68:y:2021:i:c:s0929119921000626.

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2021Estimation of high dimensional factor model with multiple threshold-type regime shifts. (2021). Wu, Jianhong. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:157:y:2021:i:c:s0167947320302449.

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2020Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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2021Network tail risk estimation in the European banking system. (2021). Tich, Toma ; Giacometti, Rosella ; Torri, Gabriele. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:127:y:2021:i:c:s0165188921000609.

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2021Effect of trade and economic policy uncertainties on regional systemic risk: Evidence from ASEAN. (2021). Dogah, Kingsley. In: Economic Modelling. RePEc:eee:ecmode:v:104:y:2021:i:c:s0264999321002145.

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2022Forecasting macroeconomic effects of stablecoin adoption: A Bayesian approach. (2022). Milacic, Veselin ; Milosevic, Igor ; Jolicic, Ivan ; Radulovic, Mladen ; Mihailovic, Andrej ; Bracanovic, Andrej ; Muhadinovic, Milica ; Bojaj, Martin M. In: Economic Modelling. RePEc:eee:ecmode:v:109:y:2022:i:c:s0264999322000384.

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2020Tree networks to assess financial contagion. (2020). Giudici, Paolo ; Ahelegbey, Daniel Felix ; Agosto, Arianna. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:349-366.

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2020Time-varying dependence in European equity markets: A contagion and investor sentiment driven analysis. (2020). Pochea, Maria Miruna ; Nioi, Mihai. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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2020Macro-uncertainty and financial stress spillovers in the Eurozone. (2020). Mikaliunaite, Ieva ; Cipollini, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:89:y:2020:i:c:p:546-558.

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2020Firm-specific information and systemic risk. (2020). Clements, Adam ; Liao, Y. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:480-493.

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More than 100 citations found, this list is not complete...

Works by Loriana Pelizzon:

YearTitleTypeCited
2021Loss Sharing in Central Clearinghouses: Winners and Losers In: ECONtribute Discussion Papers Series.
[Full Text][Citation analysis]		paper1
2011Bank credit to medium-sized enterprises in Italy: the trends before and during the crisis In: BANCARIA.
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2014Interconnectedness and systemic risk: hedge funds, banks, insurance companies In: BANCARIA.
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2012Measuring sovereign contagion in Europe In: Working Paper.
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2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
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2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
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2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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2021Short Selling – On Ethics, Politics, and Culture In: Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB).
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2005Diversification and Ownership Concentration In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper6
2008Diversification and ownership concentration.(2008) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 6		article
2005Diversification and ownership concentration.(2005) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
2007Diversification and Ownership Concentration.(2007) In: Working Papers.
[Full Text][Citation analysis]
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2013Stock Market Returns, Corporate Governance and Capital Market Equilibrium In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper0
2015Stock Market Returns, Corporate Governance and Capital Market Equilibrium.(2015) In: CEPR Discussion Papers.
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2019Risk Pooling, Leverage, and the Business Cycle In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper2
2019Risk Pooling, Leverage, and the Business Cycle.(2019) In: Working Papers.
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2020Risk pooling, leverage, and the business cycle.(2020) In: SAFE Working Paper Series.
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2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2021The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2021The core, the periphery, and the disaster: Corporate-sovereign nexus in COVID-19 times.(2021) In: SAFE Working Paper Series.
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2020The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper30
2020The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy.(2020) In: EIEF Working Papers Series.
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2020The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy.(2020) In: Working Papers.
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2020The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy.(2020) In: Review of Corporate Finance Studies.
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2020The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy.(2020) In: CSEF Working Papers.
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2020The COVID-19 shock and equity shortfall: Firm-level evidence from Italy.(2020) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
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2003Are Household Portfolios Efficient? An Analysis Conditional on Housing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper28
2008Are Household Portfolios Efficient? an Analysis Conditional on Housing.(2008) In: Journal of Financial and Quantitative Analysis.
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2006Are Household Portfolios Efficient? An Analysis Conditional on Housing.(2006) In: Marco Fanno Working Papers.
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2006Are Household Portfolios Efficient? An Analysis Conditional on Housing.(2006) In: Working Papers.
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2012Liquidity Coinsurance and Bank Capital In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper10
2014Liquidity coinsurance and bank capital.(2014) In: Other publications TiSEM.
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2014Liquidity Coinsurance and Bank Capital.(2014) In: Journal of Money, Credit and Banking.
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2014Liquidity coinsurance and bank capital.(2014) In: SAFE Working Paper Series.
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2020Coronavirus and financial stability 3.0: Try equity – risk sharing for companies, large and small In: Vox eBook Chapters.
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2020Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund In: Vox eBook Chapters.
[Full Text][Citation analysis]		chapter2
2020Corona and financial stability 4.0: Implementing a european pandemic equity fund.(2020) In: SAFE Policy Letters.
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2019The anatomy of the euro area interest rate swap market In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2019The anatomy of the euro area interest rate swap market.(2019) In: SAFE Working Paper Series.
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2012Dynamic risk exposures in hedge funds In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article34
2007Dynamic Risk Exposure in Hedge Funds.(2007) In: Working Papers.
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2013Deciphering the Libor and Euribor Spreads during the subprime crisis In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article7
2013Deciphering the Libor and Euribor Spreads during the subprime crisis.(2013) In: Working Papers.
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2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]		article45
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
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2000Value-at-Risk: a multivariate switching regime approach In: Journal of Empirical Finance.
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2009Efficient portfolios when housing needs change over the life cycle In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article27
2007Efficient Portfolios when Housing Needs Change over the Life-Cycle.(2007) In: Marco Fanno Working Papers.
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2007Efficient Portfolios when Housing Needs Change over the Life-Cycle.(2007) In: Working Papers.
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2003Contagion and interdependence in stock markets: Have they been misdiagnosed? In: Journal of Economics and Business.
[Full Text][Citation analysis]		article65
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article906
2010Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters.
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2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
[Full Text][Citation analysis]
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2016Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article41
2021Portfolio similarity and asset liquidation in the insurance industry In: Journal of Financial Economics.
[Full Text][Citation analysis]		article24
2020Portfolio Similarity and Asset Liquidation in the Insurance Industry.(2020) In: Working Papers.
[Full Text][Citation analysis]
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2018Portfolio similarity and asset liquidation in the insurance industry.(2018) In: SAFE Working Paper Series.
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2008Credit derivatives, capital requirements and opaque OTC markets In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article22
2006Credit Derivatives, Capital Requirements and Opaque OTC Markets.(2006) In: Working Papers.
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2003Volatility and shocks spillover before and after EMU in European stock markets In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article46
2016The Impact of the Monetary Policy Interventions on the Insurance Industry In: EIOPA Financial Stability Report - Thematic Articles.
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2018The impact of monetary policy iInterventions on the insurance industry.(2018) In: SAFE Working Paper Series.
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2019Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: JRFM.
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2019Credit scoring in SME asset-backed securities: An Italian case study.(2019) In: SAFE Working Paper Series.
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2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
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2021Non-Standard Errors.(2021) In: Working Papers.
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2020A Meta-Measure of Performance related to Charactersitics of both Investors and Investments In: Post-Print.
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2021A meta-measure of performance related to both investors and investments characteristics In: Post-Print.
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2008Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics.
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2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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2018Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan In: IMES Discussion Paper Series.
[Full Text][Citation analysis]		paper8
2000La Style Analysis nel mercato azionario italiano In: Rivista italiana degli economisti.
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2007Pillar 1 versus Pillar 2 under Risk Management In: NBER Chapters.
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2005Pillar 1 vs. Pillar 2 Under Risk Management In: NBER Working Papers.
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2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Working Papers.
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2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
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2005Credit Derivatives: Capital Requirements and Strategic Contracting In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper8
2002La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati In: Moneta e Credito.
[Full Text][Citation analysis]		article1
2014A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation In: Bankers, Markets & Investors.
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2022Will video kill the radio star? Digitalisation and the future of banking In: Report of the Advisory Scientific Committee.
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2017The demand for central clearing: to clear or not to clear, that is the question In: ESRB Working Paper Series.
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2019The demand for central clearing: To clear or not to clear, that is the question.(2019) In: SAFE Working Paper Series.
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2005Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance.
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2018Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market In: Quantitative Finance.
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2006Phase-Locking and Switching Volatility in Hedge Funds In: Working Papers.
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2008Crisis and Hedge Fund Risk In: Working Papers.
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2008Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data In: Working Papers.
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2012Market volatility, optimal portfolios and naive asset allocations In: Working Papers.
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2012CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers.
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2013Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers.
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2016Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix In: Working Papers.
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2016Networks in risk spillovers: a multivariate GARCH perspective In: Working Papers.
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2020Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers.
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2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
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2020Buildings Energy Efficiency and the Probability of Mortgage Default: The Dutch Case In: Working Papers.
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2019Buildings energy efficiency and the probability of mortgage default: The Dutch case.(2019) In: SAFE Working Paper Series.
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2020Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods In: Working Papers.
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2017Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods.(2017) In: SAFE Working Paper Series.
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2020Inside the ESG Ratings: (Dis)agreement and performance In: Working Papers.
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2020Inside the ESG ratings: (Dis)agreement and performance.(2020) In: SAFE Working Paper Series.
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2009Crises and Hedge Fund Risk In: Yale School of Management Working Papers.
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2018Lighting up the dark: Liquidity in the German corporate bond market.(2018) In: SAFE Working Paper Series.
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2016How does P2P lending fit into the consumer credit market? In: Discussion Papers.
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2018The pitfalls of central clearing in the presence of systematic risk In: ICIR Working Paper Series.
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2019Pitfalls of central clearing in the presence of systematic risk.(2019) In: SAFE Working Paper Series.
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2020Priorities for the CMU agenda In: SAFE Policy Letters.
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2019What are the main factors for the subdued profitability of significant banks in the Banking Union, and is the ECBs supervisory response conclusive and exhaustive? A critical assessment of the 2018 SSM In: SAFE White Paper Series.
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2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification In: SAFE Working Paper Series.
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