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

922

Citations

RESEARCH PRODUCTION:

22

Articles

55

Papers

2

Chapters

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 51
   Journals where Loriana Pelizzon has often published
   Relations with other researchers
   Recent citing documents: 300.    Total self citations: 23 (2.43 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppe207
   Updated: 2019-05-18    RAS profile: 2018-09-09    
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Relations with other researchers

Works with:

Caporin, Massimiliano (7)

Billio, Monica (7)

Bellia, Mario (4)

Castiglionesi, Fabio (3)

Feriozzi, Fabio (3)

Sartore, Domenico (2)

Rigobon, Roberto (2)

von Thadden, Ernst-Ludwig (2)

Laeven, Roger (2)

Ravazzolo, Francesco (2)

de Roure, Calebe (2)

Ait-Sahalia, Yacine (2)

Schneider, Michael (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:

Billio, Monica (16)

Sosvilla-Rivero, Simon (15)

Gómez-Puig, Marta (14)

Giudici, Paolo (14)

Lucas, Andre (13)

Yilmaz, Kamil (12)

Caporin, Massimiliano (12)

Dungey, Mardi (11)

Koopman, Siem Jan (10)

Miniaci, Raffaele (10)

Ugolini, Andrea (9)

Cites to:

Brunnermeier, Markus (13)

Billio, Monica (12)

Hansen, Bruce (12)

Pedersen, Lasse (12)

Bekaert, Geert (11)

Hamilton, James (10)

Shleifer, Andrei (9)

Lo, Andrew (8)

Duffie, Darrell (8)

merton, robert (7)

Scaillet, Olivier (7)

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
Working Papers / Department of Economics, University of Venice "Ca' Foscari"16
SAFE Working Paper Series / Research Center SAFE - Sustainable Architecture for Finance in Europe, Goethe University Frankfurt15
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"4
CESifo Working Paper Series / CESifo Group Munich2

Recent works citing Loriana Pelizzon (2018 and 2017)

YearTitle of citing document
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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2017Relation between regional uncertainty spillovers in the global banking system. (2017). Tungsong, Sachapon ; Aste, Tomaso ; Caccioli, Fabio. In: Papers. RePEc:arx:papers:1702.05944.

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2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

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

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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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2017Computational Analysis of the structural properties of Economic and Financial Networks. (2017). Emmert-Streib, Frank ; Dehmer, Matthias ; Jodlbauer, Herbert ; Yli-Harja, Olli ; Tripathi, Shailesh ; Kanniainen, Juho ; Baltakys, Kestutis ; Musa, Aliyu. In: Papers. RePEc:arx:papers:1710.04455.

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2018Ranking Causal Influence of Financial Markets via Directed Information Graphs. (2018). Diamandis, Theo ; Goldsmith, Andrea ; Murin, Yonathan. 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). Poledna, Sebastian ; Thurner, Stefan ; Hinteregger, Abraham. In: Papers. RePEc:arx:papers:1801.10487.

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2018Quantification of systemic risk from overlapping portfolios in the financial system. (2018). Poledna, Sebastian ; Thurner, Stefan ; Caccioli, Fabio ; Mart, Seraf'In. 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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2017Markov-Switching Three-Pass Regression Filter. (2017). Marcellino, Massimiliano ; Leiva-Leon, Danilo ; Guérin, Pierre ; Guerin, Pierre . In: Staff Working Papers. RePEc:bca:bocawp:17-13.

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2017Systemic Financial Sector and Sovereign Risks. (2017). Nadal De Simone, Francisco ; Jin, Xisong. In: BCL working papers. RePEc:bcl:bclwop:bclwp109.

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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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2017The interbank network across the global financial crisis: evidence from Italy. (2017). Pozzolo, Alberto ; Affinito, Massimiliano. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1118_17.

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2017Systemic risk and systemic importance measures during the crisis. (2017). Zaghini, Andrea ; Masciantonio, Sergio. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1153_17.

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2017Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.. (2017). Idier, J ; Piquard, T. In: Working papers. RePEc:bfr:banfra:621.

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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 loan rejections. (2019). Talavera, Oleksandr ; Xiong, Lin ; Caglayan, Mustafa . 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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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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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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2017Surfing through the GFC: Systemic Risk in Australia. (2017). Luciani, Matteo ; Veredas, David ; Matei, Marius ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:93:y:2017:i:300:p:1-19.

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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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2017Tail Dependence and Systemic Risk in Operational Losses of the US Banking Industry. (2017). Tian, Weidong ; Ergen, Ibrahim ; Abdymomunov, Azamat . In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:177-204.

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2017A network analysis of the volatility of high dimensional financial series. (2017). Hallin, Marc ; Barigozzi, Matteo. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:66:y:2017:i:3:p:581-605.

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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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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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2017Measuring the systemic importance of banks. (2017). Sakellaris, Plutarchos ; Moratis, Georgios. In: Working Papers. RePEc:bog:wpaper:240.

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

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

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

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2017Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. (2017). Garay, Urbi ; Rivillo, Carlos ; Hernandez, Manuel. In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:016373.

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2017Variables microeconómicas de los fondos de fondos de cobertura (FFC) y su desempeño durante la crisis financiera global 2008-2009. (2017). Garay, Urbi ; Rivillo, Carlos ; Hernandez, Manuel. In: REVISTA FINANZAS Y POLÍTICA ECONÓMICA. RePEc:col:000443:016483.

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2017The two faces of interbank correlation. (2017). Wagner, Wolf ; Silva Buston, Consuelo ; Schaeck, Klaus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12363.

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

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

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2017The French banking sector during the interwar: What lessons can be drawn from the stock market?. (2017). Hekimian, Raphael. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-3.

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

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2017Flow effects of central bank asset purchases on euro area sovereign bond yields: evidence from a natural experiment. (2017). Holm-Hadulla, Fédéric ; De Santis, Roberto A. In: Working Paper Series. RePEc:ecb:ecbwps:20172052.

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2017Spillovers among sovereign debt markets: identification by absolute magnitude restrictions. (2017). De Santis, Roberto A ; Zimic, Sreko. In: Working Paper Series. RePEc:ecb:ecbwps:20172055.

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

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2017Identifying regime shifts in the US electricity market based on price fluctuations. (2017). Sun, Mei ; Han, Dun ; Gao, Cuixia ; Li, Juan. In: Applied Energy. RePEc:eee:appene:v:194:y:2017:i:c:p:658-666.

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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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2017Basel III capital surcharges for G-SIBs are far less effective in managing systemic risk in comparison to network-based, systemic risk-dependent financial transaction taxes. (2017). Poledna, Sebastian ; Thurner, Stefan ; Bochmann, Olaf . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:230-246.

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2017The impact of EMU on bond yield convergence: Evidence from a time-varying dynamic factor model. (2017). Kishor, N ; Ma, Jun ; Bhatt, Vipul. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:206-222.

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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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2017Contagion effects of U.S. Dollar and Chinese Yuan in forward and spot foreign exchange markets. (2017). Kilic, Erdem. In: Economic Modelling. RePEc:eee:ecmode:v:62:y:2017:i:c:p:51-67.

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2017Measuring systemic risk with regime switching in tails. (2017). Liu, Xiaochun. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:55-72.

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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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2017Testing and comparing the performance of dynamic variance and correlation models in value-at-risk estimation. (2017). Li, Leon. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:40:y:2017:i:c:p:116-135.

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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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2017Least squares estimation of large dimensional threshold factor models. (2017). Massacci, Daniele . In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:101-129.

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

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2017Return expectations and risk aversion heterogeneity in household portfolios. (2017). Bucciol, Alessandro ; Pastorello, Sergio ; Miniaci, Raffaele . In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:201-219.

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2017Systemic risk and cross-sectional hedge fund returns. (2017). Hwang, In Chang ; Kim, Tong Suk ; In, Francis ; Xu, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:109-130.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2017The evolving beta-liquidity relationship of hedge funds. (2017). Stefanova, Denitsa ; Siegmann, Arjen. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:286-303.

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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.

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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.

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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.

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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.

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2017Effects of common factors on stock correlation networks and portfolio diversification. (2017). Eom, Cheoljun ; Park, Jongwon. In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:1-11.

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2017Bank systemic risk and corporate investment: Evidence from the US. (2017). Vithessonthi, Chaiporn ; Adachi-Sato, Meg. In: International Review of Financial Analysis. RePEc:eee:finana:v:50:y:2017:i:c:p:151-163.

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2017Bank market power, asset liquidity and funding liquidity: International evidence. (2017). Skully, Michael ; Nguyen, MY ; Perera, Shrimal . In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:23-38.

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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.

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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.

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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.
[Full Text][Citation analysis]		paper5
2008Diversification and ownership concentration.(2008) In: Journal of Banking & Finance.
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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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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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2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2003Are Household Portfolios Efficient? An Analysis Conditional on Housing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper24
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]		paper4
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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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.
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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]		article24
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]		article40
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.
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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]		article56
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article422
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]		article13
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]		article38
2016The Impact of the Monetary Policy Interventions on the Insurance Industry In: EIOPA Financial Stability Report - Thematic Articles.
[Full Text][Citation analysis]		paper1
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.
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2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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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]		chapter56
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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2018Stock price crashes: Role of slow-moving capital.(2018) In: SAFE Working Paper Series.
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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.
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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.
[Full Text][Citation analysis]		paper7
2018The demand for central clearing: To clear or not to clear, that is the question.(2018) 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.
[Full Text][Citation analysis]		paper0
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.
[Full Text][Citation analysis]		paper1
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.
[Full Text][Citation analysis]		paper8
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.
[Full Text][Citation analysis]		paper4
2016Low-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]		paper3
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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2018P2P 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.
[Full Text][Citation analysis]		paper5
2018Central bank-driven mispricing In: SAFE Working Paper Series.
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2015Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina? In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper6

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