Davide Pirino : Citation Profile


Are you Davide Pirino?

Università degli Studi di Roma "Tor Vergata"

5

H index

4

i10 index

289

Citations

RESEARCH PRODUCTION:

6

Articles

8

Papers

RESEARCH ACTIVITY:

   10 years (2008 - 2018). See details.
   Cites by year: 28
   Journals where Davide Pirino has often published
   Relations with other researchers
   Recent citing documents: 74.    Total self citations: 2 (0.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppi432
   Updated: 2021-06-12    RAS profile: 2017-06-01    
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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 Davide Pirino.

Is cited by:

GUPTA, RANGAN (17)

McAleer, Michael (9)

Asai, Manabu (9)

Caporin, Massimiliano (8)

Renò, Roberto (6)

Wohar, Mark (5)

Corsi, Fulvio (5)

Gkillas (Gillas), Konstantinos (5)

Sévi, Benoît (5)

Perote, Javier (4)

Cortés, Lina (4)

Cites to:

Bollerslev, Tim (9)

Farmer, J. (7)

Barndorff-Nielsen, Ole (7)

Shephard, Neil (6)

Andersen, Torben (6)

Diebold, Francis (5)

Khalil, Elias (4)

Gabaix, Xavier (4)

Tauchen, George (4)

Krysiak, Frank (4)

Ruth, Matthias (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 (2021 and 2020)


YearTitle of citing document
2020Dynamic Price Jumps: the Performance of High Frequency Tests and Measures, and the Robustness of Inference. (2018). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Papers. RePEc:arx:papers:1708.09520.

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2020Estimation 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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2020Systemic 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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2020Optimal Iterative Threshold-Kernel Estimation of Jump Diffusion Processes. (2019). Nisen, Jeffrey ; Li, Cheng ; Jos'e E. Figueroa-L'opez, . In: Papers. RePEc:arx:papers:1811.07499.

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2020Bias optimal vol-of-vol estimation: the role of window overlapping. (2020). Recchioni, Maria Cristina ; Toscano, Giacomo. In: Papers. RePEc:arx:papers:2004.04013.

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2020Is the variance swap rate affine in the spot variance? Evidence from S&P500 data. (2020). Mancino, Maria Elvira ; Toscano, Giacomo ; Scotti, Simone. In: Papers. RePEc:arx:papers:2004.04015.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020The impacts of asymmetry on modeling and forecasting realized volatility in Japanese stock markets. (2020). Ota, Yasushi ; Maki, Daiki. In: Papers. RePEc:arx:papers:2006.00158.

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2021Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2021Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

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2021The Physics of Financial Networks. (2021). Garlaschelli, Diego ; Cimini, Giulio ; Caccioli, Fabio ; Battiston, Stefano ; Barucca, Paolo ; Bardoscia, Marco ; Caldarelli, Guido ; Squartini, Tiziano ; Saracco, Fabio. In: Papers. RePEc:arx:papers:2103.05623.

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2021Relatedness in the Era of Machine Learning. (2021). Pietronero, Luciano ; Miccheli, Marco ; Zaccaria, Andrea ; Tacchella, Andrea. In: Papers. RePEc:arx:papers:2103.06017.

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2021Analysis of bank leverage via dynamical systems and deep neural networks. (2021). Vaienti, Sandro ; Solomko, Anton ; Marmi, Stefano ; Livieri, Giulia ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2104.04960.

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2020Decomposing the VIX: Implications for the predictability of stock returns. (2020). Chow, Victor K ; Li, Jingrui ; Jiang, Wanjun. In: The Financial Review. RePEc:bla:finrev:v:55:y:2020:i:4:p:645-668.

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2020Electricity Market Integration, Decarbonisation and Security of Supply: Dynamic Volatility Connectedness in the Irish and Great Britain Markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2007.

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2020Firm size and economic concentration: An analysis from lognormal expansion. (2020). Perote, Javier ; Lozada, Juan M ; Cortes, Lina. In: Documentos de Trabajo CIEF. RePEc:col:000122:018185.

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2020The origin of collective phenomena in firm sizes. (2020). Ahn, Kwangwon ; Park, Sung-Pil ; Dai, Bingcun ; Ji, Guseon. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:136:y:2020:i:c:s0960077920302186.

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2020Forecasting stock market in high and low volatility periods: a modified multifractal volatility approach. (2020). Zhang, Tonghui ; Yuan, Ying. In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:140:y:2020:i:c:s0960077920306482.

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2020Reconstructing and stress testing credit networks. (2020). Ramadiah, Amanah ; Fricke, Daniel ; Caccioli, Fabio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s016518891930212x.

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2020The contribution of intraday jumps to forecasting the density of returns. (2020). Sevi, Benoit ; Ielpo, Florian ; Chorro, Christophe. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300233.

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2020Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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2020Does measurement error matter in volatility forecasting? Empirical evidence from the Chinese stock market. (2020). Huang, Zhuo ; Wang, Tianyi ; Liang, Fang. In: Economic Modelling. RePEc:eee:ecmode:v:87:y:2020:i:c:p:148-157.

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2020Forecasting the Chinese stock market volatility with international market volatilities: The role of regime switching. (2020). Wei, YU ; Lei, Likun ; Zhang, Yaojie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302293.

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2020An ecological monetary theory. (2020). Ament, Joe. In: Ecological Economics. RePEc:eee:ecolec:v:171:y:2020:i:c:s0921800919306962.

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2020High-frequency jump tests: Which test should we use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:478-487.

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2021Volatility analysis with realized GARCH-Itô models. (2021). Wang, Yazhen ; Zhou, Yong ; Lu, Zhiping ; Cui, Xiangyu ; Yuan, Huiling ; Kim, Donggyu ; Song, Xinyu. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:393-410.

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2021Nonparametric estimation of jump diffusion models. (2021). Wang, Bin ; Park, Joon Y. In: Journal of Econometrics. RePEc:eee:econom:v:222:y:2021:i:1:p:688-715.

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2020Risk appetite and oil prices. (2020). Idilbi-Bayaa, Yasmeen ; Qadan, Mahmoud. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303901.

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2020Exploiting the heteroskedasticity in measurement error to improve volatility predictions in oil and biofuel feedstock markets. (2020). Smyth, Russell ; Bissoondoyal-Bheenick, Emawtee ; Brooks, Robert. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988320300281.

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2020Moments-based spillovers across gold and oil markets. (2020). Lau, Chi Keung ; GUPTA, RANGAN ; Bonato, Matteo ; Wang, Shixuan ; Marco, Chi Keung. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301390.

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2020Does high-frequency crude oil futures data contain useful information for predicting volatility in the US stock market? New evidence. (2020). Chevallier, Julien ; Wang, Jiqian ; Ma, Feng ; Huang, Yisu. In: Energy Economics. RePEc:eee:eneeco:v:91:y:2020:i:c:s0140988320302371.

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2020Electricity market integration, decarbonisation and security of supply: Dynamic volatility connectedness in the Irish and Great Britain markets. (2020). Nepal, Rabindra ; Jamasb, Tooraj ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:92:y:2020:i:c:s0140988320302875.

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2020Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642.

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2020Which sentiment index is more informative to forecast stock market volatility? Evidence from China. (2020). Tang, Linchun ; Liang, Chao ; Wei, YU. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301964.

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2020Non-parametric quantile dependencies between volatility discontinuities and political risk. (2020). Vasiliadis, Lavrentios ; Vortelinos, Dimitrios ; Boako, Gideon ; Gkillas, Konstantinos. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318303829.

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2021Common asset holdings and systemic vulnerability across multiple types of financial institution. (2021). Silvestri, Laura ; Mahmood, Tahir ; Barucca, Paolo. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301133.

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2020The impact of sentiment and attention measures on stock market volatility. (2020). Audrino, Francesco ; Ballinari, Daniele ; Sigrist, Fabio. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:334-357.

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2020Forecasting volatility and co-volatility of crude oil and gold futures: Effects of leverage, jumps, spillovers, and geopolitical risks. (2020). McAleer, Michael ; GUPTA, RANGAN ; Asai, Manabu. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:933-948.

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2020Forecasting global equity market volatilities. (2020). Liao, Yin ; Ma, Feng ; Zhang, Yaojie. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1454-1475.

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2021Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

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2020Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss. (2020). Pierdzioch, Christian ; GUPTA, RANGAN ; Gkillas, Konstantinos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:104:y:2020:i:c:s0261560619300075.

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2020Forecasting volatility of the Chinese stock markets using TVP HAR-type models. (2020). Zhang, Yifeng ; Chen, Xiaodan ; Wang, Yan ; Liu, Guangqiang ; Shang, Yue. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319247.

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2021Information content of liquidity and volatility measures. (2021). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara ; Kliber, Agata. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307627.

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2021Interconnectedness, systemic risk, and the influencing factors: Some evidence from China’s financial institutions. (2021). Zhang, Tianyi ; Yang, Zhongyi ; Tong, MU ; Wu, Shan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:569:y:2021:i:c:s0378437121000376.

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2020Heterogeneous market hypothesis approach for modeling unbiased extreme value volatility estimator in presence of leverage effect: An individual stock level study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:271-285.

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2020Forecasting oil price volatility using high-frequency data: New evidence. (2020). Liu, Jing ; Wei, YU ; Ma, Feng ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:1-12.

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2020Modeling unbiased extreme value volatility estimator in presence of heterogeneity and jumps: A study with economic significance analysis. (2020). Kumar, Dilip ; Zargar, Faisal Nazir. In: International Review of Economics & Finance. RePEc:eee:reveco:v:67:y:2020:i:c:p:25-41.

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2021Harnessing the decomposed realized measures for volatility forecasting: Evidence from the US stock market. (2021). Wahab, M. I. M., ; Ding, Hui ; Wang, Jiqian ; Ma, Feng ; Lu, Botao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:72:y:2021:i:c:p:672-689.

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2020The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2019). Tsionas, Mike ; Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo. In: Working Papers. RePEc:fip:feddwp:1902.

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2020The Age Distribution of Business Firms. (2020). Guerini, Mattia ; Giachini, Daniele ; Calvino, Flavio. In: GREDEG Working Papers. RePEc:gre:wpaper:2020-36.

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2020The age distribution of business firms. (2020). Calvino, Flavio ; Guerini, Mattia ; Giachini, Daniele. In: Working Papers. RePEc:hal:wpaper:halshs-03040286.

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2020Realized Volatility Forecasting Based on Dynamic Quantile Model Averaging. (2020). Mi, Xianhua ; Ma, Chaoqun ; Cai, Zongwu. In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS. RePEc:kan:wpaper:202016.

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2020Oil shocks and volatility jumps. (2020). GUPTA, RANGAN ; Wohar, Mark E ; Gkillas, Konstantinos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00788-y.

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2020High-Frequency Jump Tests: Which Test Should We Use?. (2020). Forbes, Catherine S ; Martin, Gael M ; Maneesoonthorn, Worapree. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2020-3.

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2020Unobserved Heterogeneity in the Productivity Distribution and Gains From Trade. (2020). Dumont, Michel ; Dewitte, Ruben ; Willeme, Peter ; Rayp, Glenn. In: MPRA Paper. RePEc:pra:mprapa:102711.

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2020Innovation and Corporate Dynamics: A Theoretical Framework. (2020). Riccaboni, Massimo ; Pammolli, Fabio ; Growiec, Jakub. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:12:y:2020:i:1:p:1-45.

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2021Beta-Adjusted Covariance Estimation. (2021). Vanduffel, Steven ; Sauri, Orimar ; Boudt, Kris ; Dragun, Kirill. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:21/1010.

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2020Greek sovereign crisis and European exchange rates: effects of news releases and their providers. (2020). Garefalakis, Alexandros ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos ; Sariannidis, Nikolaos. In: Annals of Operations Research. RePEc:spr:annopr:v:294:y:2020:i:1:d:10.1007_s10479-019-03199-x.

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2021Better to stay apart: asset commonality, bipartite network centrality, and investment strategies. (2021). Spelta, Alessandro ; Pammolli, Fabio ; Lillo, Fabrizio ; Flori, Andrea. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03277-0.

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2021Systemic risk assessment through high order clustering coefficient. (2021). Grassi, Rosanna ; Clemente, Gian Paolo ; Cerqueti, Roy. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-020-03525-8.

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2020Realized volatility and jump testing in the Japanese electricity spot market. (2020). Zarraga, Ainhoa ; Muniain, Peru ; Ciarreta, Aitor. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1577-6.

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2021Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Yan, Kai ; Zhang, Wei ; Shen, Dehua. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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2021Firm size populations modeled through competition-colonization dynamics. (2021). Lampert, Adam ; Applegate, J M. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:31:y:2021:i:1:d:10.1007_s00191-020-00703-6.

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2020Optimal iterative threshold-kernel estimation of jump diffusion processes. (2020). Figueroa-Lopez, Jose E ; Nisen, Jeffrey ; Li, Cheng. In: Statistical Inference for Stochastic Processes. RePEc:spr:sistpr:v:23:y:2020:i:3:d:10.1007_s11203-020-09211-7.

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2020The age distribution of business firms. (2020). Guerini, Mattia ; Giachini, Daniele ; Calvino, Flavio. In: LEM Papers Series. RePEc:ssa:lemwps:2020/20.

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2021Nonparametric Inference of Jump Autocorrelation. (2020). Kwok, Simon. In: Working Papers. RePEc:syd:wpaper:2020-09.

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2020Realized volatility, jump and beta: evidence from Canadian stock market. (2020). Chowdhury, Biplob ; Gajurel, Dinesh. In: Working Papers. RePEc:tas:wpaper:35107.

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2020Estimation of Volatility Functions in Jump Diffusions Using Truncated Bipower Increments. (2020). Wang, Bin ; Park, Joon ; Kim, Jihyun. In: TSE Working Papers. RePEc:tse:wpaper:124234.

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2020Realized Semicovariances. (2020). Quaedvlieg, Rogier ; Bollerslev, Tim ; Patton, Andrew J. In: Econometrica. RePEc:wly:emetrp:v:88:y:2020:i:4:p:1515-1551.

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2021Realized volatility forecasting and volatility spillovers: Evidence from Chinese non?ferrous metals futures. (2021). Su, Xingze ; Chang, Xiaohui ; Xin, Yang ; Wang, Donghua. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:2:p:2713-2731.

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2020Cryptocurrency volatility forecasting: A Markov regime?switching MIDAS approach. (2020). M. I. M. Wahab, ; Ma, Yuanhui ; Liang, Chao. In: Journal of Forecasting. RePEc:wly:jforec:v:39:y:2020:i:8:p:1277-1290.

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2021Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:416-438.

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2020Uncertainty and the volatility forecasting power of option‐implied volatility. (2020). Jeon, Byoung Hyun ; Kim, Jun Sik ; Seo, Sung Won. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:40:y:2020:i:7:p:1109-1126.

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2020Backtesting macroprudential stress tests. (2020). Caccioli, Fabio ; Fricke, Daniel ; Ramadiah, Amanah. In: Discussion Papers. RePEc:zbw:bubdps:452020.

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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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paper24
2015The impact of systemic and illiquidity risk on financing with risky collateral In: Journal of Economic Dynamics and Control.
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article6
2009The extraction of natural resources: The role of thermodynamic efficiency In: Ecological Economics.
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article3
2010Threshold bipower variation and the impact of jumps on volatility forecasting In: Journal of Econometrics.
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article221
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: 221
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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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article18
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: 18
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2010Measuring Industry Relatedness and Corporate Coherence In: LEM Papers Series.
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paper13
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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paper1
2013Decidability in complex social choices.(2013) In: LEM Papers Series.
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This paper has another version. Agregated cites: 1
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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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article2

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