Michalis Vasios : Citation Profile


Are you Michalis Vasios?

European Union

6

H index

5

i10 index

105

Citations

RESEARCH PRODUCTION:

3

Articles

13

Papers

1

Chapters

RESEARCH ACTIVITY:

   6 years (2014 - 2020). See details.
   Cites by year: 17
   Journals where Michalis Vasios has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 11 (9.48 %)

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   Permalink: http://citec.repec.org/pva697
   Updated: 2022-10-01    RAS profile: 2021-03-01    
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Relations with other researchers


Works with:

Ranaldo, Angelo (4)

Cenedese, Gino (3)

Menkveld, Albert (2)

Huang, Wenqian (2)

Joseph, Andreas (2)

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

Is cited by:

Ranaldo, Angelo (4)

Pelizzon, Loriana (4)

Onur, Esen (3)

Langfield, Sam (3)

Shin, Kwanho (3)

Park, Cyn-Young (3)

Hoffmann, Peter (3)

D'Avino, Carmela (3)

Timmer, Yannick (3)

Garratt, Rodney (3)

Hau, Harald (3)

Cites to:

Duffie, Darrell (10)

Benos, Evangelos (8)

Biais, Bruno (7)

Lagos, Ricardo (6)

Stoll, Hans (6)

Pedersen, Lasse (6)

Payne, Richard (6)

Vause, Nicholas (5)

Heider, Florian (5)

Hoffmann, Peter (5)

Hoerova, Marie (5)

Main data


Where Michalis Vasios has published?


Recent works citing Michalis Vasios (2022 and 2021)


YearTitle of citing document
2022Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph. In: Papers. RePEc:arx:papers:2202.07148.

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2021Centralizing Over-the-Counter Markets?. (2021). Allen, Jason ; Wittwer, Milena. In: Staff Working Papers. RePEc:bca:bocawp:21-39.

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2021How do secured funding markets behave under stress? Evidence from the gilt repo market. (2021). Veraart, Luitgard ; Lepore, Caterina ; Huser, Anne-Caroline. In: Bank of England working papers. RePEc:boe:boeewp:0910.

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2021A CBA of APC: analysing approaches to procyclicality reduction in CCP initial margin models. (2021). Murphy, David ; Vause, Nicholas. In: Bank of England working papers. RePEc:boe:boeewp:0950.

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2021The repo market under Basel III. (2021). Katsoulis, Petros ; Gerba, Eddie. In: Bank of England working papers. RePEc:boe:boeewp:0954.

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2022Margin procyclicality and the collateral cycle. (2022). Ranaldo, Angelo ; Ferrara, Gerardo ; Benos, Evangelos. In: Bank of England working papers. RePEc:boe:boeewp:0966.

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2021Simulating liquidity stress in the derivatives market. (2021). Yoganayagam, Michael ; Vause, Nicholas ; Ferrara, Gerardo ; Bardoscia, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:133:y:2021:i:c:s0165188921001500.

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2021Identifying the role of consumer and producer price index announcements in stock index futures price changes. (2021). Zhao, Weidong ; Huang, Yuan ; Fang, XI ; Liu, Guofang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:87-101.

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2022A risky affair: Dual class and FX hedging. (2022). More, Deepak G ; Malm, James ; Banerjee, Anandi ; Sah, Nilesh B. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005316.

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2021Effects of the international regulatory reforms over market liquidity of Mexican sovereign debt. (2021). Romero, Alberto ; Lord, Stefano ; Lopez-Gallo, Fabrizio ; Lara, Jose Luis. In: Journal of Financial Stability. RePEc:eee:finsta:v:52:y:2021:i:c:s1572308920301091.

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2022OTC Microstructure in a period of stress: A Multi-layered network approach. (2022). Vasios, Michalis ; Joseph, Andreas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426621003514.

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2021Life after LIBOR. (2021). Syrstad, Olav ; Klingler, Sven. In: Journal of Financial Economics. RePEc:eee:jfinec:v:141:y:2021:i:2:p:783-801.

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2022FX spot and swap market liquidity spillovers. (2022). Sushko, Vladyslav ; Krohn, Ingomar. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560621001273.

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2022Central Clearing and Systemic Liquidity Risk. (2020). Paulson, Anna ; Nesmith, Travis ; King, Thomas ; Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2020-09.

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2021Risk Mutualization in Central Clearing: An Answer to the Cross-Guarantee Phenomenon from the Financial Stability Viewpoint. (2021). Muratov-Szabo, Kira ; Friesz, Melinda ; Varadi, Kata ; Prepuk, Andrea. In: Risks. RePEc:gam:jrisks:v:9:y:2021:i:8:p:148-:d:617590.

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2021Network?based early warning system to predict financial crisis. (2021). Dastkhan, Hossein. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:1:p:594-616.

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2022Nonlinear limits to arbitrage. (2022). faff, robert ; Shin, Yongcheol ; Cai, Charlie X ; Chen, Jingzhi. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:6:p:1084-1113.

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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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chapter18
2017Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging.(2017) In: Bank of England Financial Stability Papers.
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This paper has another version. Agregated cites: 18
paper
2019The cost of clearing fragmentation In: BIS Working Papers.
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paper2
2019The cost of clearing fragmentation.(2019) In: Bank of England working papers.
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This paper has another version. Agregated cites: 2
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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paper20
2016A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers.
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paper12
2017Identifying contagion in a banking network In: Bank of England working papers.
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paper11
2017Identifying Contagion in a Banking Network.(2017) In: Finance and Economics Discussion Series.
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This paper has another version. Agregated cites: 11
paper
2018OTC premia In: Bank of England working papers.
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paper0
2020OTC premia.(2020) In: Journal of Financial Economics.
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This paper has another version. Agregated cites: 0
article
2018OTC Premia.(2018) In: Working Papers on Finance.
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This paper has another version. Agregated cites: 0
paper
2019Regulatory effects on short-term interest rates In: Bank of England working papers.
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paper6
2019OTC microstructure in a period of stress: a multi‑layered network approach In: Bank of England working papers.
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paper0
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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paper24
2020Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act In: Journal of Financial and Quantitative Analysis.
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article7
2014Sell-side analysts’ career concerns during banking stresses In: Journal of Banking & Finance.
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article5
2015Profiting from Mimicking Strategies in Non-Anonymous Markets In: MPRA Paper.
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paper0

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