Michalis Vasios : Citation Profile


Are you Michalis Vasios?

Bank of England

5

H index

3

i10 index

55

Citations

RESEARCH PRODUCTION:

1

Articles

11

Papers

1

Chapters

RESEARCH ACTIVITY:

   5 years (2014 - 2019). See details.
   Cites by year: 11
   Journals where Michalis Vasios has often published
   Relations with other researchers
   Recent citing documents: 37.    Total self citations: 8 (12.7 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pva697
   Updated: 2020-01-25    RAS profile: 2019-12-10    
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Relations with other researchers


Works with:

Ranaldo, Angelo (3)

Payne, Richard (2)

Nolte, Ingmar (2)

Murphy, David (2)

Cenedese, Gino (2)

Vause, Nicholas (2)

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

Is cited by:

Pelizzon, Loriana (4)

Park, Cyn-Young (2)

Fiedor, Paweł (2)

Hau, Harald (2)

D'Avino, Carmela (2)

Langfield, Sam (2)

Alexander, Carol (2)

Timmer, Yannick (2)

Hoffmann, Peter (2)

Garratt, Rodney (2)

Shin, Kwanho (2)

Cites to:

Biais, Bruno (7)

Duffie, Darrell (7)

Pedersen, Lasse (6)

Stoll, Hans (5)

Rochet, Jean (5)

Langfield, Sam (5)

Payne, Richard (5)

Hoerova, Marie (5)

Heider, Florian (5)

Hau, Harald (4)

Lagos, Ricardo (4)

Main data


Where Michalis Vasios has published?


Recent works citing Michalis Vasios (2019 and 2018)


YearTitle of citing document
2018Analysis of Asymmetric GARCH Volatility Models with Applications to Margin Measurement. (2018). SHEN, XIANGJIN ; Goldman, Elena. In: Staff Working Papers. RePEc:bca:bocawp:18-21.

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2017Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging. (2017). Cielinska, Olga ; Vasios, Michalis ; Tanner, John ; Shreyas, Ujwal ; Joseph, Andreas . In: IFC Bulletins chapters. RePEc:bis:bisifc:43-23.

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2017Euro-area derivatives markets: structure, dynamics and challenges. (2017). Ascolese, Mario ; Perez-Duarte, Sebastien ; Cerniauskas, Julius ; Skrzypczynski, Grzegorz ; Molino, Annalisa. In: IFC Bulletins chapters. RePEc:bis:bisifc:46-28.

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2017The use of derivatives trade repository data: possibilities and challenges. (2017). van Lelyveld, Iman. In: IFC Bulletins chapters. RePEc:bis:bisifc:46-29.

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2019The use of big data analytics and artificial intelligence in central banking – An overview. (2019). Tissot, Bruno ; Zulen, Alvin Andhika ; Widjanarti, Anggraini ; Ari, Hidayah Dhini ; Wibisono, Okiriza. In: IFC Bulletins chapters. RePEc:bis:bisifc:50-01.

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2019The cost of clearing fragmentation. (2019). Menkveld, Albert ; Huang, Wenqian ; Benos, Evangelos ; Vasios, Michalis. In: BIS Working Papers. RePEc:bis:biswps:826.

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2017Machine learning at central banks. (2017). Joseph, Andreas ; Chakraborty, Chiranjit. In: Bank of England working papers. RePEc:boe:boeewp:0674.

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2018The deeds of speed: an agent-based model of market liquidity and flash episodes. (2018). Beale, Daniel ; Worlidge, Jack ; Noss, Joseph ; Karvik, Geir-Are. In: Bank of England working papers. RePEc:boe:boeewp:0743.

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2018Liquidity resilience in the UK gilt futures market: evidence from the order book. (2018). Massacci, Daniele ; Fullwood, Jonathan . In: Bank of England working papers. RePEc:boe:boeewp:0744.

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2019Currency mispricing and dealer balance sheets. (2019). Cenedese, Gino ; Wang, Tianyu ; Della Corte, Pasquale. In: Bank of England working papers. RePEc:boe:boeewp:0779.

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2018Market Structure and Transaction Costs of Index CDSs. (2018). Trolle, Anders B ; Junge, Benjamin ; Collin-Dufresne, Pierre. In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1840.

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2017Discriminatory Pricing of Over-The-Counter Derivatives. (2017). Timmer, Yannick ; Langfield, Sam ; Hoffmann, Peter ; Hau, Harald. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12525.

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2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano. In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

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2019The anatomy of the euro area interest rate swap market. (2019). Pelizzon, Loriana ; Scheicher, Martin ; Auf, Marco Holz ; Fontana, Silvia Dalla. In: Working Paper Series. RePEc:ecb:ecbwps:20192242.

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2017Banking regulation and the changing geography of off-balance sheet activities. (2017). D'Avino, Carmela ; Davino, Carmela . In: Economics Letters. RePEc:eee:ecolet:v:157:y:2017:i:c:p:155-158.

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2019A parsimonious parametric model for generating margin requirements for futures. (2019). Alexander, Carol ; Sumawong, Anannit ; Kaeck, Andreas. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:1:p:31-43.

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2017Macroprudential policy: A review. (2017). Lehar, Alfred ; Kahou, Mahdi Ebrahimi . In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:92-105.

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2019Margin requirements and systemic liquidity risk. (2019). Bakoush, Mohamed ; Wolfe, Simon ; Gerding, Enrico H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:78-95.

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2019Anti-cyclical versus risk-sensitive margin strategies in central clearing. (2019). Dömötör, Barbara ; Berlinger, Edina ; Illes, Ferenc ; Domotor, Barbara. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:117-131.

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2018Integrating swaps and futures: A new direction for commodity research. (2018). Riggs, Lynn ; Onur, Esen ; Mixon, Scott . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:10:y:2018:i:c:p:3-21.

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2018.

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2017Monitoring Banking System Fragility with Big Data. (2018). Lopez, Jose ; Hale, Galina. In: Working Paper Series. RePEc:fip:fedfwp:2018-01.

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2017Measuring Transaction Costs in the Absence of Timestamps. (2017). Zikes, Filip. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-45.

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2018Bank-intermediated arbitrage. (2018). Van Tassel, Peter ; Shachar, Or ; Eisenbach, Thomas ; Boyarchenko, Nina ; Gupta, Pooja. In: Staff Reports. RePEc:fip:fednsr:858.

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2017Banking regulation and the changing geography of off-balance sheet activities. (2017). D'Avino, Carmela. In: Post-Print. RePEc:hal:journl:hal-01893460.

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2019On the investment value of sell-side analyst recommendation revisions in the UK. (2019). Joseph, Nathan Lael ; Bangassa, Kenbata ; Zhang, Hanxiong ; Su, Chen. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0749-y.

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2018Elszámolóházak alapbiztosítéki követelményeinek számítási módszertana. (2018). Varadi, Kata ; Ladoniczki, Sara Kata. In: Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences). RePEc:ksa:szemle:1787.

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2019Renewing our Monetary Vows: Open Letters to the Governor of the Bank of England. (2019). Barwell, Richard ; Chadha, Jagjit S. In: National Institute of Economic and Social Research (NIESR) Occasional Papers. RePEc:nsr:niesro:58.

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2017Persistence and Procyclicality in Margin Requirements. (2017). Wu, QI ; Glasserman, Paul. In: Working Papers. RePEc:ofr:wpaper:17-01.

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2018Global Banking Network and Regional Financial Contagion. (2018). Shin, Kwanho ; Park, Cyn-Young. In: ADB Economics Working Paper Series. RePEc:ris:adbewp:0546.

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2019Central Counterparty Auctions and Loss Allocation. (2019). Oleschak, Robert. In: Working Papers. RePEc:snb:snbwpa:2019-06.

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2018Does a central clearing counterparty reduce liquidity needs?. (2018). Hayakawa, Hitoshi. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:13:y:2018:i:1:d:10.1007_s11403-017-0208-1.

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2017Discriminatory pricing of over-the-counter derivatives. (2017). Timmer, Yannick ; Langfield, Sam ; Hoffmann, Peter ; Hau, Harald. In: ESRB Working Paper Series. RePEc:srk:srkwps:201761.

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2018Clearinghouse-Five: determinants of voluntary clearing in European derivatives markets. (2018). Fiedor, Paweł. In: ESRB Working Paper Series. RePEc:srk:srkwps:201872.

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2017Networks of counterparties in the centrally cleared EU-wide interest rate derivatives market. (2017). Fiedor, Paweł ; Orszaghova, Lucia ; Lapschies, Sarah. In: Working and Discussion Papers. RePEc:svk:wpaper:1048.

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2019Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal. (2019). Vause, Nicholas ; Ranaldo, Angelo ; Breedon, Francis ; Chen, Louisa. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:12.

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2019The anatomy of the euro area interest rate swap market. (2019). Pelizzon, Loriana ; Scheicher, Martin ; Auf, Marco Holz ; Fontana, Silvia Dalla. In: SAFE Working Paper Series. RePEc:zbw:safewp:255.

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Works by Michalis Vasios:


YearTitleTypeCited
2017Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging In: IFC Bulletins chapters.
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chapter13
2017Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging.(2017) In: Bank of England Financial Stability Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
paper
2016Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act In: Bank of England working papers.
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paper12
2016A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers.
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paper7
2017Identifying contagion in a banking network In: Bank of England working papers.
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paper5
2017Identifying Contagion in a Banking Network.(2017) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 5
paper
2018OTC premia In: Bank of England working papers.
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paper0
2018OTC Premia.(2018) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 0
paper
2019The cost of clearing fragmentation In: Bank of England working papers.
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paper0
2019Regulatory effects on short-term interest rates In: Bank of England working papers.
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paper2
2014Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models In: Bank of England Financial Stability Papers.
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paper13
2014Sell-side analysts’ career concerns during banking stresses In: Journal of Banking & Finance.
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article3
2015Profiting from Mimicking Strategies in Non-Anonymous Markets In: MPRA Paper.
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paper0

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