Davide Pirino : Citation Profile


Are you Davide Pirino?

Università degli Studi di Roma "Tor Vergata"

4

H index

2

i10 index

143

Citations

RESEARCH PRODUCTION:

6

Articles

8

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 14
   Journals where Davide Pirino has often published
   Relations with other researchers
   Recent citing documents: 51.    Total self citations: 2 (1.38 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppi432
   Updated: 2018-09-22    RAS profile: 2017-06-01    
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Relations with other researchers


Works with:

Bottazzi, Giulio (2)

Tamagni, Federico (2)

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

Is cited by:

Caporin, Massimiliano (7)

Renò, Roberto (6)

Corsi, Fulvio (5)

Sévi, Benoît (5)

Fengler, Matthias (4)

Colombelli, Alessandra (3)

Dosi, Giovanni (3)

Bekaert, Geert (3)

Quatraro, Francesco (3)

Hoerova, Marie (3)

McAleer, Michael (3)

Cites to:

Bollerslev, Tim (9)

Barndorff-Nielsen, Ole (7)

Andersen, Torben (6)

Shephard, Neil (6)

Diebold, Francis (5)

Farmer, J. (4)

Ruth, Matthias (4)

Krysiak, Frank (4)

Gabaix, Xavier (4)

Khalil, Elias (4)

Tauchen, George (4)

Main data


Where Davide Pirino has published?


Working Papers Series with more than one paper published# docs
LEM Papers Series / Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy5

Recent works citing Davide Pirino (2018 and 2017)


YearTitle of citing document
2017Is the diurnal pattern sufficient to explain the intraday variation in volatility? A nonparametric assessment. (2017). Christensen, Kim ; Podolskij, Mark ; Hounyo, Ulrich. In: CREATES Research Papers. RePEc:aah:create:2017-30.

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2017Coherent diversification in corporate technological portfolios. (2017). Pugliese, Emanuele ; Pietronero, Luciano ; Zaccaria, Andrea ; Napolitano, Lorenzo . In: Papers. RePEc:arx:papers:1707.02188.

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2018Sensitivity of the Eisenberg-Noe clearing vector to individual interbank liabilities. (2018). Feinstein, Zachary ; Wildman, Mackenzie ; Sturm, Stephan ; Schaanning, Eric ; Rudloff, Birgit ; Pang, Weijie . In: Papers. RePEc:arx:papers:1708.01561.

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2018Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Papers. RePEc:arx:papers:1708.09520.

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2017From Ecology to Finance (and Back?): Recent Advancements in the Analysis of Bipartite Networks. (2017). Straka, Mika J ; Saracco, Fabio ; Squartini, Tiziano ; Caldarelli, Guido. In: Papers. RePEc:arx:papers:1710.10143.

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2017Estimation for high-frequency data under parametric market microstructure noise. (2017). Potiron, Yoann ; Clinet, Simon. In: Papers. RePEc:arx:papers:1712.01479.

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2018Structural changes in the interbank market across the financial crisis from multiple core-periphery analysis. (2018). Kojaku, Sadamori ; Masuda, Naoki ; Caldarelli, Guido ; Cimini, Giulio. In: Papers. RePEc:arx:papers:1802.05139.

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2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Muhlbacher, Andreas ; Guhr, Thomas. In: Papers. RePEc:arx:papers:1803.00261.

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2018A Score-Driven Conditional Correlation Model for Noisy and Asynchronous Data: an Application to High-Frequency Covariance Dynamics. (2018). Buccheri, Giuseppe ; Lillo, Fabrizio ; Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:1803.04894.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Paulin, James ; Wooldridge, Michael ; Calinescu, Anisoara . In: Papers. RePEc:arx:papers:1805.08454.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina. In: DOCUMENTOS DE TRABAJO CIEF. RePEc:col:000122:015300.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017Forecasting the realized range-based volatility using dynamic model averaging approach. (2017). , ; Wei, YU ; Liu, Jing ; Ma, Feng. In: Economic Modelling. RePEc:eee:ecmode:v:61:y:2017:i:c:p:12-26.

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2017Forecasting the oil futures price volatility: A new approach. (2017). Ma, Feng ; Chen, Wang ; Huang, Dengshi ; Liu, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:560-566.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2018Are low-frequency data really uninformative? A forecasting combination perspective. (2018). Ma, Feng ; Zhang, Yaojie ; Liu, LI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:92-108.

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2017Inference from high-frequency data: A subsampling approach. (2017). Veliyev, Bezirgen ; Thamrongrat, N ; Podolskij, M ; Christensen, K. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:2:p:245-272.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci. In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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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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2018Volatility in equity markets and monetary policy rate uncertainty. (2018). Roberts-Sklar, Matt ; Kaminska, Iryna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:68-83.

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2017Forecasting the realized volatility of the oil futures market: A regime switching approach. (2017). Xu, Weiju ; Huang, Dengshi ; Ma, Feng ; Wahab, M. I. M., . In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:136-145.

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2018Forecasting the oil futures price volatility: Large jumps and small jumps. (2018). Liu, Jing ; Zhang, Yaojie ; Yang, KE ; Ma, Feng. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:321-330.

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2018Estimating stochastic volatility with jumps and asymmetry in Asian markets. (2018). Saranya, K ; Prasanna, Krishna P. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:145-153.

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2018Forecasting realized volatility based on the truncated two-scales realized volatility estimator (TTSRV): Evidence from Chinas stock market. (2018). Ping, Yuan ; Li, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:222-229.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017Forecasting the variance of stock index returns using jumps and cojumps. (2017). Liao, Yin ; Clements, Adam. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:3:p:729-742.

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2017Systemic co-jumps. (2017). Caporin, Massimiliano ; Reno, Roberto ; Kolokolov, Aleksey . In: Journal of Financial Economics. RePEc:eee:jfinec:v:126:y:2017:i:3:p:563-591.

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2017Measuring firm size distribution with semi-nonparametric densities. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Cortés, Lina ; Cortes, Lina M. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:35-47.

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2018Leverage effect, economic policy uncertainty and realized volatility with regime switching. (2018). Duan, Yinying ; Liu, Zhicao ; Zeng, Qing ; Chen, Wang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:493:y:2018:i:c:p:148-154.

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2017Realized volatility forecast of agricultural futures using the HAR models with bagging and combination approaches. (2017). Yang, KE ; Li, Steven ; Chen, Langnan ; Tian, Fengping . In: International Review of Economics & Finance. RePEc:eee:reveco:v:49:y:2017:i:c:p:276-291.

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2018Modeling and forecasting multifractal volatility established upon the heterogeneous market hypothesis. (2018). Tao, Qizhi ; Zhang, Ting ; Liu, Jiapeng ; Wei, YU. In: International Review of Economics & Finance. RePEc:eee:reveco:v:54:y:2018:i:c:p:143-153.

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2018Estimating spot volatility in the presence of infinite variation jumps. (2018). Liu, Qiang. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:128:y:2018:i:6:p:1958-1987.

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2017Building News Measures from Textual Data and an Application to Volatility Forecasting. (2017). Caporin, Massimiliano ; Poli, Francesco. In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:3:p:35-:d:108901.

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2018Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations. (2018). Muhlbacher, Andreas ; Guhr, Thomas. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:42-:d:142688.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01442618.

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2017LARGE DEVIATIONS OF THE THRESHOLD ESTIMATOR OF INTEGRATED (CO-)VOLATILITY VECTOR IN THE PRESENCE OF JUMPS. (2017). Djellout, Hacene ; Jiang, Hui. In: Post-Print. RePEc:hal:journl:hal-01147189.

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2018Power laws in EU country exports. (2018). Rosal, Ignacio. In: Empirica. RePEc:kap:empiri:v:45:y:2018:i:2:d:10.1007_s10663-016-9362-2.

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2017Axioms of a Polluting Technology: A Materials Balance Approach. (2017). Rodseth, Kenneth Lovold. In: Environmental & Resource Economics. RePEc:kap:enreec:v:67:y:2017:i:1:d:10.1007_s10640-015-9974-1.

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2017What do firms know? What do they produce? A new look at the relationship between patenting profiles and patterns of product diversification. (2017). Moschella, Daniele ; Grazzi, Marco ; Dosi, Giovanni. In: Small Business Economics. RePEc:kap:sbusec:v:48:y:2017:i:2:d:10.1007_s11187-016-9783-0.

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2017The contribution of jumps to forecasting the density of returns. (2017). Sévi, Benoît ; Ielpo, Florian ; Sevi, Benoit ; Chorro, Christophe . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17006.

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2017Dynamic asset price jumps and the performance of high frequency tests and measures. (2017). Maneesoonthorn, Worapree ; Forbes, Catherine S ; Martin, Gael M. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-14.

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2017Securitisation and Business Cycle: An Agent-Based Perspective. (2017). Teglio, Andrea ; Raberto, Marco ; Mazzocchetti, Andrea ; Cincotti, Silvano. In: MPRA Paper. RePEc:pra:mprapa:76760.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2017Variance Risk Premia on Stocks and Bonds. (2017). Sabtchevsky, Petar ; Mueller, Philippe ; Vedolin, Andrea ; Whelan, Paul. In: 2017 Meeting Papers. RePEc:red:sed017:1161.

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2017Forecast comparison of volatility models on Russian stock market. (2017). Aganin, Artem. In: Applied Econometrics. RePEc:ris:apltrx:0331.

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2018S&P500 volatility analysis using high-frequency multipower variation volatility proxies. (2018). chin, wencheong ; Lee, Min Cherng. In: Empirical Economics. RePEc:spr:empeco:v:54:y:2018:i:3:d:10.1007_s00181-017-1345-z.

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2017Mapping technology space by normalizing patent networks. (2017). Triulzi, Giorgio ; Luo, Jianxi ; Alstott, Jeff ; Yan, Bowen . In: Scientometrics. RePEc:spr:scient:v:110:y:2017:i:1:d:10.1007_s11192-016-2107-y.

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2017Value at risk forecasting for volatility index. (2017). Park, Seul-Ki ; Shin, Dong Wan ; Choi, Ji-Eun. In: Applied Economics Letters. RePEc:taf:apeclt:v:24:y:2017:i:21:p:1613-1620.

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2018Multilayer overlaps and correlations in the bank-firm credit network of Spain. (2018). Luu, Duc Thi ; Lux, Thomas. In: Economics Working Papers. RePEc:zbw:cauewp:201804.

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Works by Davide Pirino:


YearTitleTypeCited
2018Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction In: Papers.
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paper7
2015The impact of systemic and illiquidity risk on financing with risky collateral In: Journal of Economic Dynamics and Control.
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article1
2009The extraction of natural resources: The role of thermodynamic efficiency In: Ecological Economics.
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article2
2010Threshold bipower variation and the impact of jumps on volatility forecasting In: Journal of Econometrics.
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article113
2010Threshold bipower variation and the impact of jumps on volatility forecasting.(2010) In: Post-Print.
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This paper has another version. Agregated cites: 113
paper
2009Jump detection and long range dependence In: Physica A: Statistical Mechanics and its Applications.
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article1
2015Zipf law and the firm size distribution: a critical discussion of popular estimators In: Journal of Evolutionary Economics.
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article8
2013Zipf Law and the Firm Size Distribution: a critical discussion of popular estimators.(2013) In: LEM Papers Series.
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This paper has another version. Agregated cites: 8
paper
2010Measuring Industry Relatedness and Corporate Coherence In: LEM Papers Series.
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paper11
2012Detecting Correlations among Functional Sequence Motifs In: LEM Papers Series.
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paper0
2012Decidability in complex social choices In: LEM Papers Series.
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paper0
2013Decidability in complex social choices.(2013) In: LEM Papers Series.
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This paper has another version. Agregated cites: 0
paper
2008A Theoretical Model for the Extraction and Refinement of Natural Resources In: Department of Economics University of Siena.
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paper0
2010ELECTRICITY PRICES: A NONPARAMETRIC APPROACH In: International Journal of Theoretical and Applied Finance (IJTAF).
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article0

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