Loriana Pelizzon : Citation Profile

Are you Loriana Pelizzon?

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

13

H index

14

i10 index

1068

Citations

RESEARCH PRODUCTION:

23

Articles

63

Papers

2

Chapters

RESEARCH ACTIVITY:

   19 years (2000 - 2019). See details.
   Cites by year: 56
   Journals where Loriana Pelizzon has often published
   Relations with other researchers
   Recent citing documents: 313.    Total self citations: 27 (2.47 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe207
   Updated: 2020-05-23    RAS profile: 2019-08-17    
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Relations with other researchers

Works with:

Caporin, Massimiliano (7)

Billio, Monica (7)

Bellia, Mario (5)

Ravazzolo, Francesco (3)

Feriozzi, Fabio (3)

Schneider, Michael (3)

Castiglionesi, Fabio (3)

Dindo, Pietro (2)

Jagannathan, Ravi (2)

Ait-Sahalia, Yacine (2)

Rigobon, Roberto (2)

de Roure, Calebe (2)

Laeven, Roger (2)

von Thadden, Ernst-Ludwig (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 (21)

Gómez-Puig, Marta (17)

Billio, Monica (17)

Sosvilla-Rivero, Simon (17)

Caporin, Massimiliano (17)

Lucas, Andre (13)

Yilmaz, Kamil (12)

Dungey, Mardi (11)

Casarin, Roberto (11)

Miniaci, Raffaele (11)

Koopman, Siem Jan (10)

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)

Stulz, René (12)

Adrian, Tobias (12)

Billio, Monica (12)

Main data

Where Loriana Pelizzon has published?

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

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE19
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.

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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.

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

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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.

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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.

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

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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.

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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.

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

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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.

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

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

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2018Asymmetric 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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2018Systemic 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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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.

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2019Bayesian nonparametric graphical models for time-varying parameters VAR. (2019). Rossini, Luca ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:1906.02140.

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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.

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

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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.

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

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2019A multilevel analysis to systemic exposure: insights from local and system-wide information. (2019). Gnabo, Jean-Yves ; Gandica, Y'Erali. In: Papers. RePEc:arx:papers:1910.08611.

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2019Approximate Factor Models with Strongly Correlated Idiosyncratic Errors. (2019). Michailidis, George ; Lin, Jiahe. In: Papers. RePEc:arx:papers:1912.04123.

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

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

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

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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.

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2017Dealing with dealers: sovereign CDS comovements. (). Rodriguez-Moreno, Maria ; Mayordomo, Sergio ; Anton, Miguel. In: Working Papers. RePEc:bde:wpaper:1723.

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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.

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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.

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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.

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2019The evolution of OTC interest rate derivatives markets. (2019). Hardy, Bryan ; Ehlers, Torsten. In: BIS Quarterly Review. RePEc:bis:bisqtr:1912i.

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

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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.

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2019How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm. (2019). Wang, Jingyi ; Qiu, Han ; Huang, Yiping ; Gambacorta, Leonardo. In: BIS Working Papers. RePEc:bis:biswps:834.

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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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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.

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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.

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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.

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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.

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

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

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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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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.

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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.

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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.

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2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19.

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

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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.

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

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

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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.

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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.

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2019How do machine learning and non-traditional data affect credit scoring? New evidence from a Chinese fintech firm. (2019). Wang, Jingyi ; Qiu, Han ; Huang, Yiping ; Gambacorta, Leonardo. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14259.

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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.

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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.

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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.

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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.

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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.

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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2019Time-varying comovement and changes of comovement structure in the Chinese stock market: A causal network method. (2019). Wu, Junjie ; Tang, Wenjin ; Bu, Hui . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:181-204.

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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). Nioi, Mihai ; Pochea, Maria Miruna. In: Economic Modelling. RePEc:eee:ecmode:v:86:y:2020:i:c:p:133-147.

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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.

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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.

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

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2019Do liquidity enhancement auctions improve the market liquidity in the JGB market?. (2019). Hattori, Takahiro. In: Economics Letters. RePEc:eee:ecolet:v:183:y:2019:i:c:34.

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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.

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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.

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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.

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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.

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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.

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2019Network quantile autoregression. (2019). Härdle, Wolfgang ; Wang, Weining ; Zhu, Xuening ; Hardle, Wolfgang Karl. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:345-358.

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2019Bayesian nonparametric sparse VAR models. (2019). Rossini, Luca ; Billio, Monica ; Casarin, Roberto. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:97-115.

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2019Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns. (2019). Walker, Patrick S ; Polak, Pawe ; Paolella, Marc S. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:493-515.

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2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

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2019Connectedness and risk spillovers in China’s stock market: A sectoral analysis. (2019). Zhang, Dayong ; Wu, Fei. In: Economic Systems. RePEc:eee:ecosys:v:43:y:2019:i:3:s0939362518302590.

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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.

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2019A new approach to measure systemic risk: A bivariate copula model for dependent censored data. (2019). Osmetti, Silvia Angela ; Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:279:y:2019:i:3:p:1053-1064.

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2020Does risk aversion affect bank output loss? The case of the Eurozone. (2020). mamatzakis, emmanuel ; Ongena, Steven ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1127-1145.

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

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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.

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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.

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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.
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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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2005Diversification and Ownership Concentration In: CESifo Working Paper Series.
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2013Stock Market Returns, Corporate Governance and Capital Market Equilibrium In: CESifo Working Paper Series.
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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.
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2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
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2015Stock Market Returns, Corporate Governance and Capital Market Equilibrium In: CEPR Discussion Papers.
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2003Are Household Portfolios Efficient? An Analysis Conditional on Housing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper25
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]		paper7
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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2019The anatomy of the euro area interest rate swap market In: Working Paper Series.
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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.
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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]		article4
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]		article31
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.
[Full Text][Citation analysis]		article50
2008Diversification and ownership concentration In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2005Diversification and ownership concentration.(2005) In: Marco Fanno Working Papers.
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2007Diversification and Ownership Concentration.(2007) In: Working Papers.
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2009Efficient portfolios when housing needs change over the life cycle In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article23
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]		article58
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article503
2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
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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]		article17
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.
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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]		article39
2019Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: Journal of Risk and Financial Management.
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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.
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2000La Style Analysis nel mercato azionario italiano In: Rivista italiana degli economisti.
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2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Chapters.
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2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Working Papers.
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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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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.
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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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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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2009Crises and Hedge Fund Risk.(2009) In: Yale School of Management 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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2018Networks in risk spillovers: A multivariate GARCH perspective.(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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2018Financial stability in the EU: A case for micro data transparency In: SAFE Policy Letters.
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2016Predatory margins and the regulation and supervision of central counterparty clearing houses (CCPs) In: SAFE White Paper Series.
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2017Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods In: SAFE Working Paper Series.
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2016How has sovereign bond market liquidity changed? An illiquidity spillover analysis In: SAFE Working 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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2017Coming early to the party In: SAFE Working Paper Series.
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2018The impact of monetary policy iInterventions on the insurance industry In: SAFE Working Paper Series.
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2019P2P lenders versus banks: Cream skimming or bottom fishing? In: SAFE Working Paper Series.
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2018Portfolio similarity and asset liquidation in the insurance industry In: SAFE Working Paper Series.
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2018Central bank-driven mispricing In: SAFE Working Paper Series.
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2019Liquidity Provision: Normal Times vs Crashes In: SAFE Working Paper Series.
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2018Lighting up the dark: Liquidity in the German corporate bond market In: SAFE Working Paper Series.
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2019Paying for market liquidity: Competition and incentives In: SAFE Working Paper Series.
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2015Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina? In: SAFE Working Paper Series.
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