Diane Pierret : Citation Profile


Are you Diane Pierret?

Université de Lausanne

6

H index

4

i10 index

254

Citations

RESEARCH PRODUCTION:

3

Articles

15

Papers

RESEARCH ACTIVITY:

   7 years (2011 - 2018). See details.
   Cites by year: 36
   Journals where Diane Pierret has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 2 (0.78 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppi339
   Updated: 2022-08-06    RAS profile: 2022-05-04    
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Relations with other researchers


Works with:

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

Is cited by:

Sucarrat, Genaro (8)

Escribano, Alvaro (8)

Acharya, Viral (8)

Haselmann, Rainer (7)

Peydro, Jose-Luis (7)

Bauwens, Luc (6)

Steffen, Sascha (6)

Noureldin, Diaa (4)

Vig, Vikrant (4)

Ruiz, Esther (4)

Storti, Giuseppe (4)

Cites to:

Engle, Robert (10)

Acharya, Viral (9)

Hamilton, James (5)

Bauwens, Luc (5)

Diamond, Douglas (5)

Kilian, Lutz (4)

Perotti, Enrico (4)

Jagannathan, Ravi (4)

Nielsen, Morten (4)

Suarez, Javier (4)

Haldrup, Niels (4)

Main data


Where Diane Pierret has published?


Working Papers Series with more than one paper published# docs
LIDAM Discussion Papers ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
LIDAM Reprints ISBA / Universit catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2

Recent works citing Diane Pierret (2022 and 2021)


YearTitle of citing document
2021Limits of stress-test based bank regulation. (2021). Agarwal, Isha ; Goel, Tirupam. In: BIS Working Papers. RePEc:bis:biswps:953.

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2021Leverage Regulation and Market Structure: A Structural Model of the U.K. Mortgage Market. (2021). Benetton, Matteo. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:2997-3053.

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2021Interactions of capital and liquidity requirements: a review of the literature. (2021). Vo, Quynh-Anh. In: Bank of England working papers. RePEc:boe:boeewp:0916.

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2021Macroprudential Policy and the Sovereign-Bank Nexus in the Euro Area. (2021). Kolb, Benedikt ; Hulsewig, Oliver ; Hristov, Nikolay. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9342.

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2022Modeling risk contagion in the Italian zonal electricity market. (2022). Fianu, Emmanuel Senyo ; Ahelegbey, Daniel Felix ; Grossi, Luigi. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:656-679.

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2022Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence. (2022). Zhai, Pengxiang ; Liu, Zhen Hua ; Ma, Rufei. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000354.

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2022Systemic risks in electricity systems: A perspective on the potential of digital technologies. (2022). Neumann, Christoph ; Heine, Moreen ; Fridgen, Gilbert ; Weibelzahl, Martin ; Sedlmeir, Johannes ; Korner, Marc-Fabian. In: Energy Policy. RePEc:eee:enepol:v:164:y:2022:i:c:s0301421522001264.

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2021The Impact of Supervisory Stress Tests on Bank Ex-Ante Risk-Taking Behaviour: Empirical Evidence from a Quasi-Natural Experiment. (2021). Vo, Xuan Vinh ; Luu, Hiep Ngoc. In: International Review of Financial Analysis. RePEc:eee:finana:v:75:y:2021:i:c:s1057521920302301.

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2021Reactions of euro area government yields to Covid-19 related policy measure announcements by the European Commission and the European Central Bank. (2021). Zimmermann, Lilli ; Neugebauer, Frederik ; Fendel, Ralf. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317311.

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2021From stress testing to systemic stress testing: The importance of macroprudential regulation. (2021). Fujiwara, Yoshi ; Becker, Alexander P ; Aoyama, Hideaki ; Vodenska, Irena ; Lungu, Eliza ; Iyetomi, Hiroshi. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301029.

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2021Did the Basel Process of capital regulation enhance the resiliency of European banks?. (2021). Gehrig, Thomas ; Iannino, Maria Chiara. In: Journal of Financial Stability. RePEc:eee:finsta:v:55:y:2021:i:c:s1572308921000644.

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2022An integrated macroprudential stress test of bank liquidity and solvency. (2022). Wolfe, Simon ; Mishra, Tapas ; Gerding, Enrico ; Bakoush, Mohamed. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000377.

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2021Long- and short-run components of factor betas: Implications for stock pricing. (2021). Christiansen, Charlotte ; Wang, Weining ; Hou, Ai Jun ; Asgharian, Hossein. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:74:y:2021:i:c:s1042443121001281.

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2021Regulators vs. markets: Are lending terms influenced by different perceptions of bank risk?. (2021). Wu, Eliza ; Politsidis, Panagiotis ; Kim, Suk-Joong ; Delis, Manthos D. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:122:y:2021:i:c:s0378426620302521.

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2022Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727.

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2022Stabilising virtues of central banks: (Re)matching bank liquidity. (2022). Valla, Natacha ; Szczerbowicz, Urszula ; Rahmouni-Rousseau, Imene ; Legroux, Vincent . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002740.

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2021Liquidity from two lending facilities. (2021). Vossmeyer, Angela ; Anbil, Sriya. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:48:y:2021:i:c:s1042957320300383.

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2022Risk, financial stability and FDI. (2022). Lamla, Michael ; Kontonikas, Alexandros ; Kellard, Neil M ; Wood, Geoffrey ; Maiani, Stefano. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560620301881.

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2021Systemic-systematic risk in financial system: A dynamic ranking based on expectiles. (2021). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: International Review of Economics & Finance. RePEc:eee:reveco:v:75:y:2021:i:c:p:330-365.

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2022Enhancing Stress Tests by Adding Macroprudential Elements. (2022). Rappoport, David E ; Bassett, William F. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-22.

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2021Climate Stress Testing. (2021). Jung, Hyeyoon ; Engle, Robert ; Berner, Richard. In: Staff Reports. RePEc:fip:fednsr:93069.

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2021A Review of the Regulatory Impact Analysis of Risk-Based Capital and Related Liquidity Rules. (2021). Hogan, Thomas L. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:14:y:2021:i:1:p:24-:d:475770.

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2021A Theoretical Foundation for Prudential Authorities Decision Making. (2021). Roussel, Corentin ; Badarau, Cristina. In: Working Papers. RePEc:inf:wpaper:2021.11.

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2021The ascent and descent of banks’ risk-based capital regulation. (2021). Mer, Katalin. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:22:y:2021:i:4:d:10.1057_s41261-021-00149-1.

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2022Measuring and stress-testing market-implied bank capital. (2022). Fuster, Andreas ; Jondeau, Eric ; Indergand, Martin. In: Working Papers. RePEc:snb:snbwpa:2022-02.

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2021Mapping swap rate projections on bond yields considering cointegration: an example for the use of neural networks in stress testing exercises. (2021). Wegener, Christoph ; Stege, Nikolas ; Kunze, Frederik ; Basse, Tobias. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03762-x.

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2021Global financial cycle, household credit, and macroprudential policies. (2021). Epure, Mircea ; Peydro, Jose-Luis ; Minoiu, Camelia ; Mihai, Irina. In: Economics Working Papers. RePEc:upf:upfgen:1590.

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2022Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. (2022). Wu, Jianbin ; Sercu, Piet ; Dhaene, Geert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:868-887.

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2021A note of caution on quantifying banks recapitalization effects. (2021). Noth, Felix ; Schmidt, Kirsten ; Tonzer, Lena. In: Discussion Papers. RePEc:zbw:bubdps:022021.

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2021System-wide and banks internal stress tests: Regulatory requirements and literature review. (2021). Pliszka, Kamil. In: Discussion Papers. RePEc:zbw:bubdps:192021.

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2021Macroprudential policy and the sovereign-bank nexus in the euro area. (2021). Hülsewig, Oliver ; Kolb, Benedikt ; Hulsewig, Oliver ; Hristov, Nikolay. In: Discussion Papers. RePEc:zbw:bubdps:322021.

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2021.

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Works by Diane Pierret:


YearTitleTypeCited
2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
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paper50
2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 50
paper
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 50
paper
2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 50
article
2013The systemic risk of energy markets In: LIDAM Discussion Papers ISBA.
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paper12
2013The systemic risk of energy markets.(2013) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 12
paper
2014Systemic risk and the solvency-liquidity nexus of banks In: LIDAM Discussion Papers ISBA.
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paper22
2014Systemic risk and the solvency-liquidity nexus of banks.(2014) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 22
paper
2015Systemic Risk and the Solvency-Liquidity Nexus of Banks.(2015) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 22
article
2013Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA.
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paper7
2014Testing macroprudential stress tests: The risk of regulatory risk weights In: LIDAM Reprints ISBA.
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paper152
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 152
paper
2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 152
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2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 152
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2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
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This paper has another version. Agregated cites: 152
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2017Stressed Banks In: Swiss Finance Institute Research Paper Series.
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2018Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis In: Swiss Finance Institute Research Paper Series.
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paper5
2016Lender of last resort versus buyer of last resort: The impact of the European Central Bank actions on the bank-sovereign nexus In: ZEW Discussion Papers.
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paper6

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