Jiří Witzany : Citation Profile


Are you Jiří Witzany?

Vysoká Škola Ekonomická v Praze

4

H index

0

i10 index

46

Citations

RESEARCH PRODUCTION:

17

Articles

12

Papers

2

Books

EDITOR:

1

Series edited

RESEARCH ACTIVITY:

   13 years (2008 - 2021). See details.
   Cites by year: 3
   Journals where Jiří Witzany has often published
   Relations with other researchers
   Recent citing documents: 5.    Total self citations: 8 (14.81 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pwi154
   Updated: 2021-02-20    RAS profile: 2021-01-09    
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Relations with other researchers


Works with:

Ficura, Milan (3)

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

Is cited by:

Janda, Karel (10)

Ibhagui, Oyakhilome (6)

Gapko, Petr (2)

Kravtsov, Oleg (2)

Seidler, Jakub (1)

Tomšík, Vladimír (1)

Staniek, Dusan (1)

Belyaev, Konstantin (1)

Angrick, Stefan (1)

Andriosopoulos, Dimitris (1)

Kočenda, Evžen (1)

Cites to:

Andersen, Torben (8)

Bollerslev, Tim (7)

Diebold, Francis (6)

Rossi, Peter (6)

Vojtek, Martin (3)

Bianchetti, Marco (3)

Christoffersen, Peter (3)

Yu, Jun (3)

Renò, Roberto (2)

Corsi, Fulvio (2)

Scheule, Harald (2)

Main data


Where Jiří Witzany has published?


Journals with more than one article published# docs
Bulletin of the Czech Econometric Society5
European Financial and Accounting Journal4
Czech Journal of Economics and Finance (Finance a uver)3
Prague Economic Papers2

Working Papers Series with more than one paper published# docs
Working Papers IES / Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies9
FFA Working Papers / Prague University of Economics and Business2

Recent works citing Jiří Witzany (2021 and 2020)


YearTitle of citing document
2020Residual shape risk on natural gas market with mixed jump diffusion price dynamics. (2020). Janda, Karel ; Kourilek, Jakub. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319302464.

Full description at Econpapers || Download paper

2020Covered interest parity deviations in standard monetary models. (2020). Ibhagui, Oyakhilome. In: Journal of Economics and Business. RePEc:eee:jebusi:v:111:y:2020:i:c:s0148619519301535.

Full description at Econpapers || Download paper

2020Importance Sampling in the Presence of PD-LGD Correlation. (2020). Metzler, Adam ; Scott, Alexandre. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:25-:d:330917.

Full description at Econpapers || Download paper

2020Inflation Differential as a Driver of Cross-currency Basis Swap Spreads. (2020). Ibhagui, Oyakhilome. In: MPRA Paper. RePEc:pra:mprapa:100948.

Full description at Econpapers || Download paper

2020Cross-Currency Basis Spread and Its Impact on Corporate Lending Rates in the Czech Banking Sector. (2020). Staniek, Duan. In: Prague Economic Papers. RePEc:prg:jnlpep:v:2020:y:2020:i:6:id:747:p:688-709.

Full description at Econpapers || Download paper

Jiří Witzany is editor of


Journal
FFA Working Papers

Works by Jiří Witzany:


YearTitleTypeCited
2011Definition of Default and Quality of Scoring Functions In: Bulletin of the Czech Econometric Society.
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article2
2011A Two Factor Model for PD and LGD Correlation In: Bulletin of the Czech Econometric Society.
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article4
2012A Comparison of EVT and Standard VaR Estimations In: Bulletin of the Czech Econometric Society.
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article2
2014Recovery Rates in Consumer Lending: Empirical Evidence and the Model Comparison In: Bulletin of the Czech Econometric Society.
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article0
2014Estimating Default and Recovery Rate Correlations In: Bulletin of the Czech Econometric Society.
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article2
2013Estimating Default and Recovery Rate Correlations.(2013) In: Working Papers IES.
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This paper has another version. Agregated cites: 2
paper
2010On Deficiencies and Possible Improvements of the Basel II Unexpected Loss Single-Factor Model In: Czech Journal of Economics and Finance (Finance a uver).
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article4
2016Estimating Stochastic Volatility and Jumps Using High-Frequency Data and Bayesian Methods In: Czech Journal of Economics and Finance (Finance a uver).
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article1
2019Sequential Gibbs Particle Filter Algorithm with Applications to Stochastic Volatility and Jumps Estimation In: Czech Journal of Economics and Finance (Finance a uver).
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article0
2008Valuation of Convexity Related Derivatives In: Working Papers IES.
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paper0
2009Loss, Default, and Loss Given Default Modeling In: Working Papers IES.
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paper1
2009Estimating LGD Correlation In: Working Papers IES.
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paper0
2010Survival Analysis in LGD Modeling In: Working Papers IES.
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paper4
2012Survival Analysis in LGD Modeling.(2012) In: European Financial and Accounting Journal.
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This paper has another version. Agregated cites: 4
article
2011Estimating Correlated Jumps and Stochastic Volatilities In: Working Papers IES.
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paper3
2013Estimating Correlated Jumps and Stochastic Volatilities.(2013) In: Prague Economic Papers.
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This paper has another version. Agregated cites: 3
article
2013A Note on the Vasicek’s Model with the Logistic Distribution In: Working Papers IES.
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paper2
2014Interest Rate Swap Credit Valuation Adjustment In: Working Papers IES.
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paper0
2017A Bayesian Approach to Backtest Overfitting In: Working Papers IES.
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paper0
2021A Bayesian Approach to Measurement of Backtest Overfitting In: Risks.
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article0
2010Valuation of volatility sensitive interest rate derivatives in an emerging market In: International Journal of Financial Markets and Derivatives.
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article0
2009Unexpected Recovery Risk and LGD Discount Rate Determination In: European Financial and Accounting Journal.
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article0
2011Exposure at Default Modeling with Default Intensities In: European Financial and Accounting Journal.
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article1
2018Use of Adapted Particle Filters in SVJD Models In: European Financial and Accounting Journal.
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article0
2009Valuation of Convexity Related Interest Rate Derivatives In: Prague Economic Papers.
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article2
2014Konstrukce výnosových k?ivek v pokrizovém období In: Politická ekonomie.
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article4
2020Stressing of Migration Matrices for IFRS 9 and ICAAP Calculations In: FFA Working Papers.
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paper0
2020Recovery process optimization using survival regression In: FFA Working Papers.
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paper0
2017Credit Risk Management In: Springer Books.
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book4
2020Derivatives In: Springer Texts in Business and Economics.
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book2
2017Analysing Cross-Currency Basis Spreads In: Working Papers.
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paper8

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