Loriana Pelizzon : Citation Profile

Are you Loriana Pelizzon?

Goethe Universität Frankfurt am Main (90% share)
Università Ca' Foscari Venezia (10% share)

13

H index

13

i10 index

977

Citations

RESEARCH PRODUCTION:

23

Articles

64

Papers

2

Chapters

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 51
   Journals where Loriana Pelizzon has often published
   Relations with other researchers
   Recent citing documents: 232.    Total self citations: 27 (2.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe207
   Updated: 2019-11-16    RAS profile: 2019-08-17    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Caporin, Massimiliano (7)

Billio, Monica (7)

Bellia, Mario (5)

Feriozzi, Fabio (3)

Castiglionesi, Fabio (3)

Schneider, Michael (3)

von Thadden, Ernst-Ludwig (2)

de Roure, Calebe (2)

Ait-Sahalia, Yacine (2)

Rigobon, Roberto (2)

Jagannathan, Ravi (2)

Ravazzolo, Francesco (2)

Dindo, Pietro (2)

Laeven, Roger (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 (18)

Sosvilla-Rivero, Simon (17)

Gómez-Puig, Marta (17)

Billio, Monica (16)

Lucas, Andre (13)

Yilmaz, Kamil (12)

Caporin, Massimiliano (12)

Miniaci, Raffaele (11)

Dungey, Mardi (11)

Koopman, Siem Jan (10)

Ugolini, Andrea (9)

Cites to:

Brunnermeier, Markus (19)

Shleifer, Andrei (18)

Menkveld, Albert (17)

Lopez-de-Silanes, Florencio (15)

La Porta, Rafael (14)

Bekaert, Geert (14)

Pedersen, Lasse (13)

Hansen, Bruce (12)

Billio, Monica (12)

Adrian, Tobias (11)

Hamilton, James (11)

Main data

Where Loriana Pelizzon has published?

Journals with more than one article published# docs
Journal of Financial Economics2
BANCARIA2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt19
Working Papers / Department of Economics, University of Venice "Ca' Foscari"17
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"4
CESifo Working Paper Series / CESifo Group Munich3

Recent works citing Loriana Pelizzon (2019 and 2018)

YearTitle of citing document
2019PRESIDENTIAL CYCLES IN THE USA AND THE DOLLAR-POUND EXCHANGE RATE: EVIDENCE FROM OVER TWO CENTURIES. (2019). GUPTA, RANGAN ; Wohar, Mark E. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:23:y:2019:i:2:p:151-163.

Full description at Econpapers || Download paper

2018A multilevel factor approach for the analysis of CDS commonality and risk contribution. (2018). Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Rodríguez Caballero, Carlos ; Caporin, Massimiliano ; Rodriguez-Caballero, Carlos Vladimir . In: CREATES Research Papers. RePEc:aah:create:2018-33.

Full description at Econpapers || Download paper

2018Bayesian nonparametric sparse VAR models. (2018). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Papers. RePEc:arx:papers:1608.02740.

Full description at Econpapers || Download paper

2019A 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.

Full description at Econpapers || Download paper

2018Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science. (2018). Gnabo, Jean-Yves ; Geraci, Marco Valerio ; Gandica, Y'Erali . In: Papers. RePEc:arx:papers:1707.00296.

Full description at Econpapers || Download paper

2018Ranking Causal Influence of Financial Markets via Directed Information Graphs. (2018). Goldsmith, Andrea ; Murin, Yonathan ; Diamandis, Theo. In: Papers. RePEc:arx:papers:1801.06896.

Full description at Econpapers || Download paper

2018Identifying systemically important companies in the entire liability network of a small open economy. (2018). Thurner, Stefan ; Hinteregger, Abraham ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1801.10487.

Full description at Econpapers || Download paper

2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In ; Poledna, Sebastian. In: Papers. RePEc:arx:papers:1802.00311.

Full description at Econpapers || Download paper

2018Dynamical regularities of US equities opening and closing auctions. (2018). Challet, Damien ; Gourianov, Nikita. In: Papers. RePEc:arx:papers:1802.01921.

Full description at Econpapers || Download paper

2018Practical volume computation of structured convex bodies, and an application to modeling portfolio dependencies and financial crises. (2018). Calès, Ludovic ; Fisikopoulos, Vissarion ; Emiris, Ioannis Z ; Chalkis, Apostolos. In: Papers. RePEc:arx:papers:1803.05861.

Full description at Econpapers || Download paper

2018Strategic behaviour and indicative price diffusion in Paris Stock Exchange auctions. (2018). Challet, Damien. In: Papers. RePEc:arx:papers:1807.00573.

Full description at Econpapers || Download paper

2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors - A Study of Connectedness. (2018). Milunovich, George. In: Papers. RePEc:arx:papers:1809.03072.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Cross-shareholding networks and stock price synchronicity: Evidence from China. (2019). Zhou, Wei-Xing ; Yuan, Yujie ; Wen, Fenghua. In: Papers. RePEc:arx:papers:1903.01655.

Full description at Econpapers || Download paper

2019A global economic policy uncertainty index from principal component analysis. (2019). Zhou, Wei-Xing ; Xiong, Xiong ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:1907.05049.

Full description at Econpapers || Download paper

2019calculation worst-case Value-at-Risk prediction using empirical data under model uncertainty. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1908.00982.

Full description at Econpapers || Download paper

2019Linkages and systemic risk in the European insurance sector: Some new evidence based on dynamic spanning trees. (2019). Wanat, Stanislaw ; Denkowska, Anna. In: Papers. RePEc:arx:papers:1908.01142.

Full description at Econpapers || Download paper

2019Partial Uncertainty and Applications to Risk-Averse Valuation. (2019). Kratsios, Anastasis. In: Papers. RePEc:arx:papers:1909.13610.

Full description at Econpapers || Download paper

2018How much does book value data tell us about systemic risk and its interactions with the macroeconomy? A Luxembourg empirical evaluation. (2018). Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp118.

Full description at Econpapers || Download paper

2018Global financial interconnectedness: A Non-Linear Assessment of the Uncertainty Channel. (2018). Ferrara, Laurent ; Candelon, Bertrand ; Joets, M. In: Working papers. RePEc:bfr:banfra:661.

Full description at Econpapers || Download paper

2019What does not kill us makes us stronger: the story of repetitive consumer loan applications. (2019). Talavera, Oleksandr ; Caglayan, Mustafa ; Xiong, Lin. In: Discussion Papers. RePEc:bir:birmec:19-01.

Full description at Econpapers || Download paper

2018Fintech credit markets around the world: size, drivers and policy issues. (2018). Frost, Jon ; Zhu, Feng ; Turner, Grant ; Claessens, Stijn. In: BIS Quarterly Review. RePEc:bis:bisqtr:1809e.

Full description at Econpapers || Download paper

2018Euro area unconventional monetary policy and bank resilience. (2018). mamatzakis, emmanuel ; Avalos, Fernando. In: BIS Working Papers. RePEc:bis:biswps:754.

Full description at Econpapers || Download paper

2019BigTech and the changing structure of financial intermediation. (2019). Shin, Hyun Song ; Gambacorta, Leonardo ; Frost, Jon ; Zbinden, Pablo ; Huang, YI. In: BIS Working Papers. RePEc:bis:biswps:779.

Full description at Econpapers || Download paper

2018Measuring the dynamics of APEC output connectedness. (2018). Ogbuabor, Jonathan E ; Charles, Manasseh O ; Aneke, Gladys C ; Eigbiremolen, Godastime O. In: Asian-Pacific Economic Literature. RePEc:bla:apacel:v:32:y:2018:i:1:p:29-44.

Full description at Econpapers || Download paper

2018Cryptocurrencies, Mainstream Asset Classes and Risk Factors: A Study of Connectedness. (2018). Milunovich, George. In: Australian Economic Review. RePEc:bla:ausecr:v:51:y:2018:i:4:p:551-563.

Full description at Econpapers || Download paper

2019Does size matter in predicting hedge funds liquidation?. (2019). Gupta, Jairaj ; Gregoriou, Andros ; Becam, Adrien. In: European Financial Management. RePEc:bla:eufman:v:25:y:2019:i:2:p:271-309.

Full description at Econpapers || Download paper

2018Change Detection and the Causal Impact of the Yield Curve. (2018). Shi, Shuping ; Phillips, Peter ; Hurn, Stan ; PEter, . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:966-987.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2018OTC premia. (2018). Vasios, Michalis ; Ranaldo, Angelo ; Cenedese, Gino. In: Bank of England working papers. RePEc:boe:boeewp:0751.

Full description at Econpapers || Download paper

2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

Full description at Econpapers || Download paper

2018Non-Performing Loans, Cost of Capital, and Lending Supply: Lessons from the Eurozone Banking Crisi. (2018). Chiesa, Gabriella ; Mansilla-Fernandez, J M. In: Working Papers. RePEc:bol:bodewp:wp1124.

Full description at Econpapers || Download paper

2019European Gas Markets, Trading Hubs, and Price Formation: A Network Perspective. (2019). Jamasb, Tooraj ; Karam, A ; Woroniuk, D. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1964.

Full description at Econpapers || Download paper

2019Real-estate concentration in the Irish banking system. (2019). Shaw, Frances ; Nevin, Ciaran ; Lyons, Paul. In: Financial Stability Notes. RePEc:cbi:fsnote:4/fs/19.

Full description at Econpapers || Download paper

2019Securitisation special purpose entities, bank sponsors and derivatives. (2019). Killeen, Neill ; Fiedor, Paweł. In: Research Technical Papers. RePEc:cbi:wpaper:5/rt/19.

Full description at Econpapers || Download paper

2018Foreign-Law Bonds: Can They Reduce Sovereign Borrowing Costs?. (2018). Trebesch, Christoph ; Schumacher, Julian ; Chamon, Marcos. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7137.

Full description at Econpapers || Download paper

2018Systemic Risk and the Great Depression. (2018). Vossmeyer, Angela ; Mitchener, Kris James ; Das, Sanjiv R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7425.

Full description at Econpapers || Download paper

2018The Role of Pre-Opening Mechanisms in Fragmented Markets. (2018). Moinas, Sophie ; Lescourret, Laurance ; Boussetta, Selma. In: EconPol Working Paper. RePEc:ces:econwp:_12.

Full description at Econpapers || Download paper

2018Insurers as Asset Managers and Systemic Risk. (2018). Chotibhak, Jotikasthira ; Wagner, Wolf ; Lundblad, Christian ; Kartasheva, Anastasia ; Ellul, Andrew. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12849.

Full description at Econpapers || Download paper

2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

Full description at Econpapers || Download paper

2019Global financial interconnectedness: A non-linear assessment of the uncertainty channel. (2019). Ferrara, Laurent ; Candelon, Bertrand ; Joets, Marc. In: GRU Working Paper Series. RePEc:cth:wpaper:gru_2019_001.

Full description at Econpapers || Download paper

2018Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions. (2018). Geraci, Marco Valerio ; Gnabo, Jean-Yves. In: Journal of Financial and Quantitative Analysis. RePEc:cup:jfinqa:v:53:y:2018:i:03:p:1371-1390_00.

Full description at Econpapers || Download paper

2018The impact of the ECB asset purchases on the European bond market structure: Granular evidence on ownership concentration. (2018). Boermans, Martijn ; Keshkov, Viacheslav. In: DNB Working Papers. RePEc:dnb:dnbwpp:590.

Full description at Econpapers || Download paper

2018Spillovers of monetary policy across borders: International lending of Dutch banks, insurers and pension funds. (2018). de Haan, Leo ; Frost, Jon ; Duijm, Patty ; Bonner, Clemens. In: DNB Working Papers. RePEc:dnb:dnbwpp:609.

Full description at Econpapers || Download paper

2018Do information contagion and business model similarities explain bank credit risk commonalities?. (2018). Schaumburg, Julia ; Lelyveld, Iman ; van Lelyveld, Iman ; Wang, Dieter. In: DNB Working Papers. RePEc:dnb:dnbwpp:619.

Full description at Econpapers || Download paper

2018Global Financial interconnectedness: A non-linear assessment of the uncertainty channel. (2018). Joëts, Marc ; Candelon, Bertrand ; Jots, Marc ; Ferrara, Laurent. In: EconomiX Working Papers. RePEc:drm:wpaper:2018-2.

Full description at Econpapers || Download paper

2019An explorative analysis of Italy banking financial stability. (2019). Angelini, Eliana ; Foglia, Matteo. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00071.

Full description at Econpapers || Download paper

2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

Full description at Econpapers || Download paper

2018Foreign-law bonds: can they reduce sovereign borrowing costs?. (2018). Trebesch, Christoph ; Schumacher, Julian ; Chamon, Marcos. In: Working Paper Series. RePEc:ecb:ecbwps:20182162.

Full description at Econpapers || Download paper

2019Visualising economic crises using accounting models. (2019). Kinsella, Stephen. In: Accounting, Organizations and Society. RePEc:eee:aosoci:v:75:y:2019:i:c:p:1-16.

Full description at Econpapers || Download paper

2018Financial risk network architecture of energy firms. (2018). Uribe, Jorge ; Manotas, Diego ; Restrepo, Natalia . In: Applied Energy. RePEc:eee:appene:v:215:y:2018:i:c:p:630-642.

Full description at Econpapers || Download paper

2018Call auction frequency and market quality: Evidence from the Taiwan Stock Exchange. (2018). Wang, Jianxin ; Twu, Mia. In: Journal of Asian Economics. RePEc:eee:asieco:v:57:y:2018:i:c:p:53-62.

Full description at Econpapers || Download paper

2018Income smoothing among European systemic and non-systemic banks. (2018). Peterson, Ozili K ; Arun, Thankom G. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:5:p:539-558.

Full description at Econpapers || Download paper

2019Measuring network systemic risk contributions: A leave-one-out approach. (2019). Tokpavi, Sessi ; Lucotte, Yannick ; Hue, Sullivan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:86-114.

Full description at Econpapers || Download paper

2019A flow network analysis of direct balance-sheet contagion in financial networks. (2019). Eboli, Mario. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:205-233.

Full description at Econpapers || Download paper

2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

Full description at Econpapers || Download paper

2018RiskRank: Measuring interconnected risk. (2018). Mezei, Jozsef ; Sarlin, Peter. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:41-50.

Full description at Econpapers || Download paper

2018Systemic risk in the US: Interconnectedness as a circuit breaker. (2018). Dungey, Mardi ; Veredas, David ; Luciani, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:305-315.

Full description at Econpapers || Download paper

2018Volatility spillover shifts in global financial markets. (2018). Bensaida, Ahmed ; Abdallah, Oussama ; Litimi, Houda. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:343-353.

Full description at Econpapers || Download paper

2019Return spillovers around the globe: A network approach. (2019). Baumohl, Eduard ; Vrost, Toma ; Lyocsa, Tefan. In: Economic Modelling. RePEc:eee:ecmode:v:77:y:2019:i:c:p:133-146.

Full description at Econpapers || Download paper

2019Economic policy uncertainty in the US and China and their impact on the global markets. (2019). Zhang, Dayong ; Ji, Qiang ; Lei, Lei ; Kutan, Ali M. In: Economic Modelling. RePEc:eee:ecmode:v:79:y:2019:i:c:p:47-56.

Full description at Econpapers || Download paper

2018Mutual excitation between OECD stock and oil markets: A conditional intensity extreme value approach. (2018). Clements, Adam ; Herrera, Rodrigo ; Gonzalez, Sergio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:46:y:2018:i:c:p:70-88.

Full description at Econpapers || Download paper

2019Network-based asset allocation strategies. (2019). Lyócsa, Štefan ; Baumohl, Eduard ; Lyocsa, Tefan ; Vrost, Tomas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:516-536.

Full description at Econpapers || Download paper

2019Redenomination-risk spillovers in the Eurozone. (2019). Borri, Nicola. In: Economics Letters. RePEc:eee:ecolet:v:174:y:2019:i:c:p:173-178.

Full description at Econpapers || Download paper

2018Testing for mutually exciting jumps and financial flights in high frequency data. (2018). Yang, Xiye ; Erdemlioglu, Deniz ; Dungey, Mardi ; Matei, Marius. In: Journal of Econometrics. RePEc:eee:econom:v:202:y:2018:i:1:p:18-44.

Full description at Econpapers || Download paper

2018Filtered likelihood for point processes. (2018). Giesecke, Kay ; Schwenkler, Gustavo. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:33-53.

Full description at Econpapers || Download paper

2018Testing for jumps and jump intensity path dependence. (2018). Corradi, Valentina ; Swanson, Norman R ; Silvapulle, Mervyn J. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:2:p:248-267.

Full description at Econpapers || Download paper

2018Modeling maxima with autoregressive conditional Fréchet model. (2018). Zhao, Zifeng ; Chen, Rong ; Zhang, Zhengjun. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:2:p:325-351.

Full description at Econpapers || Download paper

2019Modeling systemic risk with Markov Switching Graphical SUR models. (2019). Guidolin, Massimo ; Billio, Monica ; Bianchi, Daniele ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:1:p:58-74.

Full description at Econpapers || Download paper

2018Robust and sparse banking network estimation. (2018). Torri, Gabriele ; Paterlini, Sandra ; Giacometti, Rosella. In: European Journal of Operational Research. RePEc:eee:ejores:v:270:y:2018:i:1:p:51-65.

Full description at Econpapers || Download paper

2018Local currency systemic risk. (2018). Borri, Nicola. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:111-123.

Full description at Econpapers || Download paper

2018Interconnectedness and systemic risk of Chinas financial institutions. (2018). Wang, Gang-Jin ; Stanley, Eugene H ; Xie, Chi ; Lin, Min ; Jiang, Zhi-Qiang. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:1-18.

Full description at Econpapers || Download paper

2018Tail systemic risk and contagion: Evidence from the Brazilian and Latin America banking network. (2018). Ugolini, Andrea ; Arismendi Zambrano, Juan ; Rivera-Castro, Miguel A. In: Emerging Markets Review. RePEc:eee:ememar:v:35:y:2018:i:c:p:164-189.

Full description at Econpapers || Download paper

2019Portfolio choices, Asset returns and wealth inequality: evidence from China. (2019). Zhang, Linwan ; Wu, Weixing ; Wei, Shang-Jin. In: Emerging Markets Review. RePEc:eee:ememar:v:38:y:2019:i:c:p:423-437.

Full description at Econpapers || Download paper

2019Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions. (2019). Zhu, Xiaoqian ; Li, Jianping ; Yao, Yanzhen. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:2.

Full description at Econpapers || Download paper

2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

Full description at Econpapers || Download paper

2019Conditional tail-risk in cryptocurrency markets. (2019). Borri, Nicola. In: Journal of Empirical Finance. RePEc:eee:empfin:v:50:y:2019:i:c:p:1-19.

Full description at Econpapers || Download paper

2017The relationship between oil prices and rig counts: The importance of lags. (2017). Khalifa, Ahmed ; Caporin, Massimiliano ; Hammoudeh, Shawkat. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:213-226.

Full description at Econpapers || Download paper

2018Dynamic and directional network connectedness of crude oil and currencies: Evidence from implied volatility. (2018). Singh, Vipul Kumar ; Kumar, Pawan ; Nishant, Shreyank. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:48-63.

Full description at Econpapers || Download paper

2019Information interdependence among energy, cryptocurrency and major commodity markets. (2019). Krištoufek, Ladislav ; Kristoufek, Ladislav ; Roubaud, David ; Bouri, Elie ; Ji, Qiang. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:1042-1055.

Full description at Econpapers || Download paper

2019Identifying the peak point of systemic risk in international crude oil importing trade. (2019). Dong, Gaogao ; Du, Ruijin ; Stanley, Eugene H ; Zhang, Xin ; Zhao, Longfeng ; Wang, Yougui ; Tian, Lixin. In: Energy. RePEc:eee:energy:v:176:y:2019:i:c:p:281-291.

Full description at Econpapers || Download paper

2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; Kearney, Fearghal ; Fernandez, Viviana ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Yarovaya, Larisa ; Vigne, Samuel A ; Neville, Conor ; Helbing, Pia ; Wolfe, Simon ; Lucey, Brian M ; McGroarty, Frank ; Goodell, John W ; Vu, Anh N ; McGee, Richard J ; Gonzalez-Urteaga, Ana ; Marin, Matej . In: International Review of Financial Analysis. RePEc:eee:finana:v:55
2018Liquidity skewness in the London Stock Exchange. (2018). Li, Youwei ; Wu, Yuliang ; McKillop, Donal G ; Hsieh, Tsung-Han. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:12-18.

Full description at Econpapers || Download paper

2018Hedge fund performance attribution under various market conditions. (2018). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:221-237.

Full description at Econpapers || Download paper

2019A systematic review of sovereign connectedness on emerging economies. (2019). Gonzalez-Urteaga, Ana ; Diaz-Mendoza, Ana Carmen ; Ballester, Laura. In: International Review of Financial Analysis. RePEc:eee:finana:v:62:y:2019:i:c:p:157-163.

Full description at Econpapers || Download paper

2019Dependence structure between the BRICS foreign exchange and stock markets using the dependence-switching copula approach. (2019). Kumar, Satish ; Tiwari, Aviral Kumar ; Ji, Qiang ; Chauhan, Yogesh. In: International Review of Financial Analysis. RePEc:eee:finana:v:63:y:2019:i:c:p:273-284.

Full description at Econpapers || Download paper

2019Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model. (2019). , Mazin ; Sharma, Abhijit ; Ozkan, Aydin ; Grillini, Stefano. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:145-158.

Full description at Econpapers || Download paper

2019The changing network of financial market linkages: The Asian experience. (2019). Volkov, Vladimir ; Sayeed, Mohammad Abu ; Kangogo, Moses ; Dungey, Mardi ; Chowdhury, Biplob. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:71-92.

Full description at Econpapers || Download paper

2018Debt market illiquidity and correlated default risk. (2018). Javadi, Siamak ; Mollagholamali, Mohsen. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:266-273.

Full description at Econpapers || Download paper

2018Causality in the EMU sovereign bond markets. (2018). Gonzalez-Sanchez, Mariano. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:281-290.

Full description at Econpapers || Download paper

2019Day-of-the-week effects in financial contagion. (2019). Gebka, Bartosz ; Anderson, Robert ; Sewraj, Deeya. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:221-226.

Full description at Econpapers || Download paper

2019What determines bitcoin exchange prices? A network VAR approach. (2019). Abu-Hashish, Iman ; Giudici, Paolo. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:309-318.

Full description at Econpapers || Download paper

2019Financial sector bailouts, sovereign bailouts, and the transfer of credit risk. (2019). Nguyen, Viet Hoang ; Huang, Jingong ; Greenwood-Nimmo, Matthew. In: Journal of Financial Markets. RePEc:eee:finmar:v:42:y:2019:i:c:p:121-142.

Full description at Econpapers || Download paper

2019Good and bad volatility spillovers: An asymmetric connectedness. (2019). Bensaida, Ahmed. In: Journal of Financial Markets. RePEc:eee:finmar:v:43:y:2019:i:c:p:78-95.

Full description at Econpapers || Download paper

2019Beauties of the emperor: An investigation of a Chinese government bailout. (2019). Li, Xiaoming ; Chi, Yeguang. In: Journal of Financial Markets. RePEc:eee:finmar:v:44:y:2019:i:c:p:42-70.

Full description at Econpapers || Download paper

2018Syndication, interconnectedness, and systemic risk. (2018). Cai, Jian ; Steffen, Sascha ; Saunders, Anthony ; Eidam, Frederik. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:105-120.

Full description at Econpapers || Download paper

2018The missing links: A global study on uncovering financial network structures from partial data. (2018). Silva, Thiago ; Silvestri, Laura ; Salakhova, Dilyara ; Lelyveld, Iman ; Halaj, Grzegorz ; Garratt, Rodney ; Hansen, IB ; Fique, Jose ; Stancato, Sergio Rubens ; Haaj, Grzegorz ; Friedrich, Soeren ; Banai, Adam ; Rajan, Sriram ; van Lelyveld, Iman ; Nobili, Stefano ; Anand, Kartik ; Molina-Borboa, Jose Luis ; Lee, Hwayun ; Jaramillo, Serafin Martinez. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:107-119.

Full description at Econpapers || Download 2018

Measuring the propagation of financial distress with Granger-causality tail risk networks. (2018). Trapin, Luca ; Pirino, Davide ; Lillo, Fabrizio ; Corsi, Fulvio. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:18-36.

Full description at Econpapers || Download paper

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

Works by Loriana Pelizzon:

YearTitleTypeCited
2011Bank credit to medium-sized enterprises in Italy: the trends before and during the crisis In: BANCARIA.
[Full Text][Citation analysis]		article0
2014Interconnectedness and systemic risk: hedge funds, banks, insurance companies In: BANCARIA.
[Full Text][Citation analysis]		article0
2012Measuring sovereign contagion in Europe In: Working Paper.
[Full Text][Citation analysis]		paper104
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104		paper
2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104		article
2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104		paper
2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 104		paper
2005Diversification and Ownership Concentration In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper0
2013Stock Market Returns, Corporate Governance and Capital Market Equilibrium In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Risk Pooling, Leverage, and the Business Cycle In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Risk Pooling, Leverage, and the Business Cycle.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2015Stock Market Returns, Corporate Governance and Capital Market Equilibrium In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2003Are Household Portfolios Efficient? An Analysis Conditional on Housing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper24
2006Are Household Portfolios Efficient? An Analysis Conditional on Housing.(2006) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2006Are Household Portfolios Efficient? An Analysis Conditional on Housing.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		paper
2008Are Household Portfolios Efficient? an Analysis Conditional on Housing.(2008) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 24		article
2012Liquidity Coinsurance and Bank Capital In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2014Liquidity coinsurance and bank capital.(2014) In: Other publications TiSEM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2014Liquidity Coinsurance and Bank Capital.(2014) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		article
2014Liquidity coinsurance and bank capital.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2019The anatomy of the euro area interest rate swap market In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2019The anatomy of the euro area interest rate swap market.(2019) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2012Dynamic risk exposures in hedge funds In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article20
2007Dynamic Risk Exposure in Hedge Funds.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2013Deciphering the Libor and Euribor Spreads during the subprime crisis In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article4
2013Deciphering the Libor and Euribor Spreads during the subprime crisis.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		paper
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]		article27
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		paper
2000Value-at-Risk: a multivariate switching regime approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article46
2008Diversification and ownership concentration In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2005Diversification and ownership concentration.(2005) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2007Diversification and Ownership Concentration.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2009Efficient portfolios when housing needs change over the life cycle In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article22
2007Efficient Portfolios when Housing Needs Change over the Life-Cycle.(2007) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2007Efficient Portfolios when Housing Needs Change over the Life-Cycle.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		paper
2003Contagion and interdependence in stock markets: Have they been misdiagnosed? In: Journal of Economics and Business.
[Full Text][Citation analysis]		article56
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article452
2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 452		paper
2016Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article15
2008Credit derivatives, capital requirements and opaque OTC markets In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article20
2006Credit Derivatives, Capital Requirements and Opaque OTC Markets.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
2003Volatility and shocks spillover before and after EMU in European stock markets In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article39
2016The Impact of the Monetary Policy Interventions on the Insurance Industry In: EIOPA Financial Stability Report - Thematic Articles.
[Full Text][Citation analysis]		paper1
2019Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: Journal of Risk and Financial Management.
[Full Text][Citation analysis]		article0
2008Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics.
[Citation analysis]		article13
2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13		paper
2018Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan In: IMES Discussion Paper Series.
[Full Text][Citation analysis]		paper0
2000La Style Analysis nel mercato azionario italiano In: Rivista italiana degli economisti.
[Full Text][Citation analysis]		article0
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Chapters.
[Citation analysis]		chapter57
2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 57		paper
2007Pillar 1 versus Pillar 2 under Risk Management In: NBER Chapters.
[Full Text][Citation analysis]		chapter0
2005Pillar 1 vs. Pillar 2 Under Risk Management In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper0
2005Credit Derivatives: Capital Requirements and Strategic Contracting In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper6
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.
[Full Text][Citation analysis]		article0
2017The demand for central clearing: to clear or not to clear, that is the question In: ESRB Working Paper Series.
[Full Text][Citation analysis]		paper7
2019The demand for central clearing: To clear or not to clear, that is the question.(2019) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2005Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance.
[Full Text][Citation analysis]		article6
2018Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market In: Quantitative Finance.
[Full Text][Citation analysis]		article0
2006Phase-Locking and Switching Volatility in Hedge Funds In: Working Papers.
[Full Text][Citation analysis]		paper1
2008Crisis and Hedge Fund Risk In: Working Papers.
[Full Text][Citation analysis]		paper7
2009Crises and Hedge Fund Risk.(2009) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2008Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data In: Working Papers.
[Full Text][Citation analysis]		paper0
2012Market volatility, optimal portfolios and naive asset allocations In: Working Papers.
[Full Text][Citation analysis]		paper0
2012CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers.
[Full Text][Citation analysis]		paper2
2016Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix In: Working Papers.
[Full Text][Citation analysis]		paper0
2016Networks in risk spillovers: a multivariate GARCH perspective In: Working Papers.
[Full Text][Citation analysis]		paper5
2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5		paper
2016How does P2P lending fit into the consumer credit market? In: Discussion Papers.
[Full Text][Citation analysis]		paper9
2018The pitfalls of central clearing in the presence of systematic risk In: ICIR Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Pitfalls of central clearing in the presence of systematic risk.(2019) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2018Financial stability in the EU: A case for micro data transparency In: SAFE Policy Letters.
[Full Text][Citation analysis]		paper0
2016Predatory margins and the regulation and supervision of central counterparty clearing houses (CCPs) In: SAFE White Paper Series.
[Full Text][Citation analysis]		paper4
2017Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper5
2016How has sovereign bond market liquidity changed? An illiquidity spillover analysis In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper1
2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2017Coming early to the party In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2018The impact of monetary policy iInterventions on the insurance industry In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2019P2P lenders versus banks: Cream skimming or bottom fishing? In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2018Portfolio similarity and asset liquidation in the insurance industry In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper5
2018Central bank-driven mispricing In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2018Stock price crashes: Role of slow-moving capital In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2018Lighting up the dark: Liquidity in the German corporate bond market In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper1
2019Paying for market liquidity: Competition and incentives In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper0
2015Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina? In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper6

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 11 2019. Contact: CitEc Team