Maria Cristina Recchioni : Citation Profile


Are you Maria Cristina Recchioni?

Università Politecnica delle Marche

3

H index

2

i10 index

64

Citations

RESEARCH PRODUCTION:

18

Articles

6

Papers

RESEARCH ACTIVITY:

   20 years (1999 - 2019). See details.
   Cites by year: 3
   Journals where Maria Cristina Recchioni has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 8 (11.11 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pre561
   Updated: 2019-12-07    RAS profile: 2019-10-23    
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Relations with other researchers


Works with:

Tedeschi, Gabriele (7)

Mariani, Francesca (4)

Ciommi, Mariateresa (2)

Gallegati, Mauro (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Maria Cristina Recchioni.

Is cited by:

Roventini, Andrea (11)

Lamperti, Francesco (5)

Guerini, Mattia (4)

Fagiolo, Giorgio (4)

Moneta, Alessio (4)

Molinari, Massimo (3)

Gaffeo, Edoardo (3)

Germano, Guido (2)

Kukacka, Jiri (2)

Baruník, Jozef (2)

Winker, Peter (1)

Cites to:

Gallegati, Mauro (21)

Hommes, Cars (18)

Tedeschi, Gabriele (18)

Iori, Giulia (12)

Chiarella, Carl (9)

Diebold, Francis (9)

Andersen, Torben (6)

Afonso, Antonio (6)

Lebaron, Blake (6)

Rudebusch, Glenn (6)

Winker, Peter (5)

Main data


Where Maria Cristina Recchioni has published?


Journals with more than one article published# docs
European Journal of Operational Research4
Journal of Optimization Theory and Applications3
RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics2
Journal of Economic Dynamics and Control2

Working Papers Series with more than one paper published# docs
FinMaP-Working Papers / Collaborative EU Project FinMaP - Financial Distortions and Macroeconomic Performance: Expectations, Constraints and Interaction of Agents2
Working Papers / Economics Department, Universitat Jaume I, Castelln (Spain)2

Recent works citing Maria Cristina Recchioni (2019 and 2018)


YearTitle of citing document
2017A Numerical Method for Pricing Discrete Double Barrier Option by Legendre Multiwavelet. (2017). Milev, Mariyan ; Sobhani, Amirhossein. In: Papers. RePEc:arx:papers:1703.09129.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Papers. RePEc:arx:papers:1703.10639.

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2018A Numerical Method for Pricing Discrete Double Barrier Option by Lagrange Interpolation on Jacobi Node. (2018). Milev, Mariyan ; Sobhani, Amirhossein. In: Papers. RePEc:arx:papers:1712.01060.

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2018Efficient Pricing of Barrier Options on High Volatility Assets using Subset Simulation. (2018). Zuev, Konstantin M ; Pantelous, Athanasios A ; Kontosakos, Vasileios E ; Mendonca, Keegan. In: Papers. RePEc:arx:papers:1803.03364.

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2018AGENT‐BASED MACROECONOMICS AND DYNAMIC STOCHASTIC GENERAL EQUILIBRIUM MODELS: WHERE DO WE GO FROM HERE?. (2018). Levine, Paul ; Calvert Jump, Robert ; Dilaver, Ozge. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:4:p:1134-1159.

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2019Rising to the Challenge: Bayesian Estimation and Forecasting Techniques for Macroeconomic Agent-Based Models. (2019). Grazzini, Jakob ; Gatti, Domenico Delli. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7894.

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2019Mildly Explosive Dynamics in U.S. Fixed Income Markets. (2019). Guidolin, Massimo ; De Pace, Pierangelo ; Contessi, Silvio ; DePace, Pierangelo. In: Economics Department, Working Paper Series. RePEc:clm:pomwps:1001.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Bayesian estimation of agent-based models. (2017). Tsionas, Mike ; Richiardi, Matteo ; Grazzini, Jakob. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:26-47.

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2017A method for agent-based models validation. (2017). Moneta, Alessio ; Guerini, Mattia. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:125-141.

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2017Estimation of financial agent-based models with simulated maximum likelihood. (2017). Baruník, Jozef ; Kukacka, Jiri. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:21-45.

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2018Agent-based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:90:y:2018:i:c:p:366-389.

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2018Estimation of agent-based models using sequential Monte Carlo methods. (2018). Lux, Thomas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:91:y:2018:i:c:p:391-408.

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2017Taxing financial transactions in fundamentally heterogeneous markets. (2017). Molinari, Massimo ; Gaffeo, Edoardo. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:322-333.

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2019Predicting the direction of stock market prices using tree-based classifiers. (2019). Kar, Saibal ; Dey, Sudeepa Roy ; Khaidem, Luckyson ; Saha, Snehanshu ; Basak, Suryoday. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:552-567.

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2018An information theoretic criterion for empirical validation of simulation models. (2018). Lamperti, Francesco. In: Econometrics and Statistics. RePEc:eee:ecosta:v:5:y:2018:i:c:p:83-106.

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2017A general framework for discretely sampled realized variance derivatives in stochastic volatility models with jumps. (2017). Cui, Zhenyu ; Nguyen, Duy ; Kirkby, Lars J. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:381-400.

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2019Macroeconomic environment, money demand and portfolio choice. (2019). Lioui, Abraham ; Tarelli, Andrea. In: European Journal of Operational Research. RePEc:eee:ejores:v:274:y:2019:i:1:p:357-374.

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2018Strike asymptotics for Laplace implied volatilities. (2018). Madan, Dilip B ; Wang, King. In: Finance Research Letters. RePEc:eee:finlet:v:25:y:2018:i:c:p:183-189.

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2017Semi-analytical valuation for discrete barrier options under time-dependent Lévy processes. (2017). Lian, Guanghua ; Cui, Zhenyu ; Elliott, Robert J ; Zhu, Song-Ping. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:167-183.

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2017Selection of the distributional rule as an alternative tool to foster cooperation in a Public Good Game. (2017). Colasante, Annarita. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:482-492.

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2019Machine learning versus econometric jump models in predictability and domain adaptability of index options. (2019). Jang, H ; Lee, J. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:513:y:2019:i:c:p:74-86.

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2019Estimation of the stochastic leverage effect using the Fourier transform method. (2019). Curato, Imma Valentina. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:129:y:2019:i:9:p:3207-3238.

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2017Agent-based model calibration using machine learning surrogates. (2017). Roventini, Andrea ; Sani, Amir ; Lamperti, Frencesco. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1709.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01499344.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Post-Print. RePEc:hal:journl:hal-02000726.

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2018Agent based model calibration using machine learning surrogates. (2018). Roventini, Andrea ; Sani, Amir ; Lamperti, Francesco. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/13thfd12aa8rmplfudlgvgahff.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: Sciences Po publications. RePEc:spo:wpmain:info:hdl:2441/20hflp7eqn97boh50no50tv67n.

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2017Complexity and model comparison in agent based modeling of financial markets. (2017). Winker, Peter ; Mandes, Alexandru . In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:12:y:2017:i:3:d:10.1007_s11403-016-0173-0.

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2018Empirical validation of simulated models through the GSL-div: an illustrative application. (2018). Lamperti, Francesco. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-017-0206-3.

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2017Agent-Based Model Calibration using Machine Learning Surrogates. (2017). Roventini, Andrea ; Lamperti, Francesco ; Sani, Amir. In: LEM Papers Series. RePEc:ssa:lemwps:2017/11.

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2017Validation of Agent-Based Models in Economics and Finance. (2017). Roventini, Andrea ; Moneta, Alessio ; Guerini, Mattia ; Fagiolo, Giorgio ; Lamperti, Francesco. In: LEM Papers Series. RePEc:ssa:lemwps:2017/23.

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2017HARA utility maximization in a Markov-switching bond–stock market. (2017). Escobar, M ; Zagst, R ; Neykova, D. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:11:p:1715-1733.

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2018Modelling the spreading process of extreme risks via a simple agent-based model: Evidence from the China stock market. (2018). Xu, Dinghai ; Wang, Donghua ; Ji, Jingru. In: Working Papers. RePEc:wat:wpaper:1806.

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2017Pricing currency options in the Heston/CIR double exponential jump-diffusion model. (2017). Ahlip, Rehez ; Prodan, Ante. In: International Journal of Financial Engineering (IJFE). RePEc:wsi:ijfexx:v:04:y:2017:i:01:n:s242478631750013x.

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2017Estimation of agent-based models using sequential Monte Carlo methods. (2017). Lux, Thomas. In: Economics Working Papers. RePEc:zbw:cauewp:201707.

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Works by Maria Cristina Recchioni:


YearTitleTypeCited
2016Increasing Graduation and Calling for More Autonomy in Higher Education: Is It a Good Thing? A Theoretical Model In: Working Papers.
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2013The Analysis of Real Data Using a Multiscale Stochastic Volatility Model In: European Financial Management.
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article1
2007Analysis of quadrature methods for pricing discrete barrier options In: Journal of Economic Dynamics and Control.
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article13
2015A calibration procedure for analyzing stock price dynamics in an agent-based framework In: Journal of Economic Dynamics and Control.
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article37
2014A calibration procedure for analyzing stock price dynamics in an agent-based framework.(2014) In: FinMaP-Working Papers.
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2018Spot volatility estimation using the Laplace transform In: Econometrics and Statistics.
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article2
2008Box-constrained multi-objective optimization: A gradient-like method without a priori scalarization In: European Journal of Operational Research.
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2016An explicitly solvable Heston model with stochastic interest rate In: European Journal of Operational Research.
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article3
2017From bond yield to macroeconomic instability: A parsimonious affine model In: European Journal of Operational Research.
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2019Merton’s portfolio problem including market frictions: A closed-form formula supporting the shadow price approach In: European Journal of Operational Research.
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2019An approach to identifying micro behavior: How banks’ strategies influence financial cycles In: Journal of Economic Behavior & Organization.
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2006Box-constrained vector optimization: a steepest descent method without “a priori” scalarization In: Economics and Quantitative Methods.
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2018Opportunity and discrimination in tertiary education: a proposal of aggregation for some European countries In: RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics.
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2018Stock return comovements and economic wealth conditions In: RIEDS - Rivista Italiana di Economia, Demografia e Statistica - Italian Review of Economics, Demography and Statistics.
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2016From bond yield to macroeconomic instability: The effect of negative interest rates In: Working Papers.
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2016Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model In: Working Papers.
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2017Can negative interest rates really affect option pricing? Empirical evidence from an explicitly solvable stochastic volatility model.(2017) In: Quantitative Finance.
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1999Inverse Problem for a Class of Two-Dimensional Diffusion Equations with Piecewise Constant Coefficients In: Journal of Optimization Theory and Applications.
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article0
2000Monotone Variable–Metric Algorithm for Linearly Constrained Nonlinear Programming In: Journal of Optimization Theory and Applications.
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2004Furtivity and Masking Problems in Time-Dependent Electromagnetic Obstacle Scattering In: Journal of Optimization Theory and Applications.
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2003A path following method for box-constrained multiobjective optimization with applications to goal programming problems In: Mathematical Methods of Operations Research.
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1999A hybrid method for pricing European options based on multiple assets with transaction costs In: Applied Mathematical Finance.
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2009An explicitly solvable multi‐scale stochastic volatility model: Option pricing and calibration problems In: Journal of Futures Markets.
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2014Banks strategies during the financial crisis In: FinMaP-Working Papers.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 2nd 2019. Contact: CitEc Team