Paola Zerilli : Citation Profile


Are you Paola Zerilli?

University of York

1

H index

1

i10 index

12

Citations

RESEARCH PRODUCTION:

5

Papers

RESEARCH ACTIVITY:

   13 years (2005 - 2018). See details.
   Cites by year: 0
   Journals where Paola Zerilli has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 1 (7.69 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pze62
   Updated: 2019-10-15    RAS profile: 2010-06-11    
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Relations with other researchers


Works with:

Baum, Christopher (3)

Chen, Liyuan (2)

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

Is cited by:

GUPTA, RANGAN (3)

Wohar, Mark (2)

Demirer, Riza (2)

Lin, Boqiang (2)

Suleman, Tahir (2)

Mauad, Roberto (1)

Laurini, Márcio (1)

Sun, Zhanli (1)

Caporin, Massimiliano (1)

Aiube, Fernando Antonio (1)

Cites to:

Chan, Joshua (8)

Gallant, A. (5)

Tauchen, George (5)

Benzoni, Luca (4)

Andersen, Torben (4)

Grant, Angelia (4)

Chernov, Mikhail (3)

Diebold, Francis (3)

Baum, Christopher (3)

Pindyck, Robert (3)

Scholes, Myron (2)

Main data


Where Paola Zerilli has published?


Working Papers Series with more than one paper published# docs
Boston College Working Papers in Economics / Boston College Department of Economics3

Recent works citing Paola Zerilli (2019 and 2018)


YearTitle of citing document
2017Forecasting the good and bad uncertainties of crude oil prices using a HAR framework. (2017). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:67:y:2017:i:c:p:315-327.

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2018The incremental information content of investor fear gauge for volatility forecasting in the crude oil futures market. (2018). Lin, Boqiang ; Gong, XU. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:370-386.

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2018Time-varying rare disaster risks, oil returns and volatility. (2018). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:239-248.

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2018Regression analysis of historic oil prices: A basis for future mean reversion price scenarios. (2018). Weijermars, R ; Sun, Z. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:177-201.

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2017Volatility forecasting using high frequency data: The role of after-hours information and leverage effects. (2017). Zhu, Xuehong ; Zhong, Meirui ; Zhang, Hongwei. In: Resources Policy. RePEc:eee:jrpoli:v:54:y:2017:i:c:p:58-70.

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2018The dynamic impact of uncertainty in causing and forecasting the distribution of oil returns and risk. (2018). GUPTA, RANGAN ; Caporin, Massimiliano ; Bonaccolto, G. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:507:y:2018:i:c:p:446-469.

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2018Persistence of Oil Prices in Gas Import Prices and the Resilience of the Oil-Indexation Mechanism. The Case of Spanish Gas Import Prices. (2018). Cansado-Bravo, Pablo ; Rodriguez-Monroy, Carlos. In: Energies. RePEc:gam:jeners:v:11:y:2018:i:12:p:3486-:d:190416.

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2017Time-Varying Rare Disaster Risks, Oil Returns and Volatility. (2017). Wohar, Mark ; GUPTA, RANGAN ; Demirer, Riza ; Suleman, Tahir. In: Working Papers. RePEc:pre:wpaper:201762.

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2017Modelling Nonlinear Dynamics of Oil Futures Market. (2017). Koy, Ayben . In: Econometric Research in Finance. RePEc:sgh:erfinj:v:2:y:2017:i:1:p:23-42.

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Works by Paola Zerilli:


YearTitleTypeCited
2014Jumps and stochastic volatility in crude oil futures prices using conditional moments of integrated volatility In: Boston College Working Papers in Economics.
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paper10
2019Stochastic volatility, jumps and leverage in energy and stock markets: evidence from high frequency data In: Boston College Working Papers in Economics.
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paper1
2018Leverage effects and stochastic volatility in spot oil returns: A Bayesian approach with VaR and CVaR applications In: Boston College Working Papers in Economics.
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paper1
2005Option pricing and spikes in volatility: theoretical and empirical analysis In: Money Macro and Finance (MMF) Research Group Conference 2005.
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paper0
2007Option Pricing and Spikes in Volatility: Theoretical and Empirical Analysis.(2007) In: Discussion Papers.
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