Claudio Tebaldi : Citation Profile


Are you Claudio Tebaldi?

Università Commerciale Luigi Bocconi (50% share)
Università Commerciale Luigi Bocconi (50% share)

6

H index

5

i10 index

195

Citations

RESEARCH PRODUCTION:

8

Articles

9

Papers

RESEARCH ACTIVITY:

   14 years (2001 - 2015). See details.
   Cites by year: 13
   Journals where Claudio Tebaldi has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 4 (2.01 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pte303
   Updated: 2019-10-15    RAS profile: 2017-06-09    
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Relations with other researchers


Works with:

Perron, Benoit (2)

Favero, Carlo (2)

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

Is cited by:

Gnoatto, Alessandro (18)

DA FONSECA, José (12)

federico, salvatore (7)

Chiarella, Carl (6)

Gozzi, Fausto (6)

McAleer, Michael (5)

Asai, Manabu (5)

Stentoft, Lars (5)

Platen, Eckhard (3)

Escobar Anel, Marcos (3)

Violante, Francesco (3)

Cites to:

Duffie, Darrell (4)

gourieroux, christian (4)

Singleton, Kenneth (4)

Flannery, Mark (3)

DA FONSECA, José (3)

Huang, Jingzhi (2)

Diebold, Francis (2)

Milne, Frank (2)

Campbell, John (2)

Hankins, Kristine (2)

pan, jun (2)

Main data


Where Claudio Tebaldi has published?


Journals with more than one article published# docs
Economic Notes2

Recent works citing Claudio Tebaldi (2018 and 2017)


YearTitle of citing document
2018The Pricing of Tail Risk and the Equity Premium: Evidence from International Option Markets. (2018). Andersen, Torben ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-02.

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2018The Multivariate Mixture Dynamics Model: Shifted dynamics and correlation skew. (2018). Brigo, Damiano ; Rapisarda, Francesco ; PISANI, CAMILLA . In: Papers. RePEc:arx:papers:1512.04741.

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2017Modeling stochastic skew of FX options using SLV models with stochastic spot/vol correlation and correlated jumps. (2017). Itkin, Andrey. In: Papers. RePEc:arx:papers:1701.02821.

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2017General Price Bounds for Guaranteed Annuity Options. (2017). Bahl, Raj Kumari ; Sabanis, Sotirios . In: Papers. RePEc:arx:papers:1707.00807.

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2017Valuing Exchange Options Under an Ornstein-Uhlenbeck Covariance Model. (2017). Pablo, Olivares ; Enrique, Villamor. In: Papers. RePEc:arx:papers:1711.10013.

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2019Total, asymmetric and frequency connectedness between oil and forex markets. (2018). Kočenda, Evžen ; Baruník, Jozef ; Kovcenda, Evvzen. In: Papers. RePEc:arx:papers:1805.03980.

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2018Tail Risks, Asset prices, and Investment Horizons. (2018). Baruník, Jozef ; Nevrla, Matvej. In: Papers. RePEc:arx:papers:1806.06148.

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2018Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing. (2018). Alfonsi, Aur'elien ; Tankov, Peter ; Krief, David. In: Papers. RePEc:arx:papers:1806.06883.

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2018Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1810.04868.

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2019Common Decomposition of Correlated Brownian Motions and its Financial Applications. (2019). Yang, Jingping ; Cheng, Xue. In: Papers. RePEc:arx:papers:1907.03295.

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2017INTERTEMPORAL SUBSTITUTION IN CONSUMPTION: A LITERATURE REVIEW. (2017). Thimme, Julian. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:226-257.

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2019Identifying horizon-based heterogeneity in the cross section of portfolio returns. (2019). Lundberg, Clark. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00123.

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2019It only takes a few moments to hedge options. (2019). Santucci de Magistris, Paolo ; Sloth, David ; Barletta, Andrea. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:251-269.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2017Measuring systemic risk of the US banking sector in time-frequency domain. (2017). Teply, Petr ; Kvapilikova, Ivana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:461-472.

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2019The scale of predictability. (2019). Bandi, F M ; Tebaldi, C ; Tamoni, A ; Perron, B. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:120-140.

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2017Multivariate FX models with jumps: Triangles, Quantos and implied correlation. (2017). Rayée, Grégory ; Ballotta, Laura ; Rayee, Gregory ; Deelstra, Griselda. In: European Journal of Operational Research. RePEc:eee:ejores:v:260:y:2017:i:3:p:1181-1199.

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2017The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2017Business-cycle variation in macroeconomic uncertainty and the cross-section of expected returns: Evidence for scale-dependent risks. (2017). Xyngis, Georgios. In: Journal of Empirical Finance. RePEc:eee:empfin:v:44:y:2017:i:c:p:43-65.

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2018Forecasting stock market returns by summing the frequency-decomposed parts. (2018). Verona, Fabio ; Faria, Gonalo. In: Journal of Empirical Finance. RePEc:eee:empfin:v:45:y:2018:i:c:p:228-242.

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2018Forecasting global stock market implied volatility indices. (2018). Filis, George ; Degiannakis, Stavros ; Hassani, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:111-129.

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2019Consumption growth predictability and asset prices. (2019). Min, Byoung-Kyu ; Lee, Changjun ; Roh, Tai-Yong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:51:y:2019:i:c:p:95-118.

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2019The leverage effect and the basket-index put spread. (2019). Bai, Jennie ; Yang, Fan ; Goldstein, Robert S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:1:p:186-205.

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2019Inferring volatility dynamics and risk premia from the S&P 500 and VIX markets. (2019). Leippold, Markus ; Gourier, Elise ; Bardgett, Chris. In: Journal of Financial Economics. RePEc:eee:jfinec:v:131:y:2019:i:3:p:593-618.

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2019In search of preference shock risks: Evidence from longevity risks and momentum profits. (2019). Yang, Bowen ; Chen, Zhanhui . In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:225-249.

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2017Pricing vulnerable options with stochastic volatility. (2017). Wang, Guanying ; Zhou, KE. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:485:y:2017:i:c:p:91-103.

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2017Invariance, observational equivalence, and identification: Some implications for the empirical performance of affine term structure models. (2017). Juneja, Januj. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:292-305.

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2018The scale of predictability. (2018). Bandi, F M ; Tebaldi, C ; Tamoni, Andrea ; Perron, B. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:85646.

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2019Lifting the Heston model. (2019). Jaber, Eduardo Abi. In: Post-Print. RePEc:hal:journl:hal-01890751.

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2018Lifting the Heston model. (2018). Jaber, Eduardo Abi. In: Working Papers. RePEc:hal:wpaper:hal-01890751.

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2017Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. (2017). Hata, Hiroaki ; Sekine, Jun. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4.

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2018A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar, Marcos ; Gschnaidtner, Christoph. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers. RePEc:lan:wpaper:257939806.

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2018A Flexible Generalized Hyperbolic Option Pricing Model and Its Special Cases. (2018). Yeap, Claudia ; Boris, S T ; Kwok, Simon S. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:16:y:2018:i:3:p:425-460..

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2018Stochastic Impatience and the Separation of Time and Risk Preferences. (2018). Ortoleva, Pietro ; Gottlieb, Daniel ; Dillenberger, David. In: PIER Working Paper Archive. RePEc:pen:papers:18-020.

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2017Forecasting stock market returns by summing the frequency-decomposed parts. (2017). Verona, Fabio ; Faria, Gonalo. In: CEF.UP Working Papers. RePEc:por:cetedp:1702.

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2017A fractionally integrated Wishart stochastic volatility model. (2017). McAleer, Michael ; Asai, Manabu. In: Econometric Reviews. RePEc:taf:emetrv:v:36:y:2017:i:1-3:p:42-59.

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2017Optimal investment under multi-factor stochastic volatility. (2017). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:2:p:241-260.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:41.

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2019Correlation risk and international portfolio choice. (2019). Weisheit, Stefan ; Muck, Matthias ; Branger, Nicole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:128-146.

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2017LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. (2017). Wagalath, Lakshithe. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500017.

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2019Extreme inflation and time-varying consumption growth. (2019). Schlag, Christian ; Meinerding, Christoph ; Dergunov, Ilya . In: Discussion Papers. RePEc:zbw:bubdps:162019.

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Works by Claudio Tebaldi:


YearTitleTypeCited
2001Hedging a Portfolio of Derivative Securities: A Simulation Approach In: Economic Notes.
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2004Bond Price and Impulse Response Function for the Balduzzi, Das, Foresi and Sundaram (1996) Model In: Economic Notes.
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article0
2008SOLVABLE AFFINE TERM STRUCTURE MODELS In: Mathematical Finance.
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article27
2004Illiquid Assets and Optimal Portfolio Choice In: University of California at Los Angeles, Anderson Graduate School of Management.
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paper23
2006Illiquid Assets and Optimal Portfolio Choice.(2006) In: NBER Working Papers.
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This paper has another version. Agregated cites: 23
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2015The Price of the Smile and Variance Risk Premia In: Swiss Finance Institute Research Paper Series.
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paper6
2015The scale of predictability In: CIRANO Working Papers.
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paper2
2014The scale of predictability.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 2
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2015A Multivariate Model of Strategic Asset Allocation with Longevity Risk In: CEPR Discussion Papers.
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paper1
2013A Multivariate Model of Strategic Asset Allocation with Longevity Risk.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 1
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2005Hedging using simulation: a least squares approach In: Journal of Economic Dynamics and Control.
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article1
2002Hedging using simulation: a least squares approach.(2002) In: Computing in Economics and Finance 2002.
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2011The Relative Leverage Premium In: Working Papers.
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2007Option pricing when correlations are stochastic: an analytical framework In: Review of Derivatives Research.
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article54
2013Long-Run Risk and the Persistence of Consumption Shocks In: Review of Financial Studies.
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article21
2008A multifactor volatility Heston model In: Quantitative Finance.
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article58
2009A COHERENT STATE TRANSFORM APPROACH TO DERIVATIVE PRICING In: International Journal of Theoretical and Applied Finance (IJTAF).
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