Michele Zenga : Citation Profile


Are you Michele Zenga?

Università degli Studi di Milano-Bicocca

3

H index

1

i10 index

58

Citations

RESEARCH PRODUCTION:

7

Articles

RESEARCH ACTIVITY:

   9 years (2001 - 2010). See details.
   Cites by year: 6
   Journals where Michele Zenga has often published
   Relations with other researchers
   Recent citing documents: 22.    Total self citations: 1 (1.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pze87
   Updated: 2019-11-10    RAS profile: 2012-04-03    
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Relations with other researchers


Works with:

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

Is cited by:

Calabrese, Raffaella (4)

Belyaev, Konstantin (3)

Konecny, Tomas (3)

Zinde-Walsh, Victoria (3)

Seidler, Jakub (3)

Zhang, Xibin (2)

Punzo, Antonio (2)

Kotlyarova, Yulia (2)

Lu, Yang (2)

Hurlin, Christophe (2)

Leymarie, Jérémy (2)

Cites to:

Jarrow, Robert (1)

Monfort, Alain (1)

Dermine, jean (1)

Scaillet, Olivier (1)

González-Aguado, Carlos (1)

Caselli, Stefano (1)

koenker, roger (1)

Hallock, Kevin (1)

Newey, Whitney (1)

Bassett, Gilbert (1)

Chen, Song (1)

Main data


Where Michele Zenga has published?


Journals with more than one article published# docs
Statistical Methods & Applications2
Metron - International Journal of Statistics2

Recent works citing Michele Zenga (2018 and 2017)


YearTitle of citing document
2018An Empirical Study of the Behaviour of the Sample Kurtosis in Samples from Symmetric Stable Distributions. (2018). van Zyl, Martin J. In: Papers. RePEc:arx:papers:1811.00476.

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2017European Banks Straddling Borders: Risky or Rewarding?. (2017). Schoenmaker, Dirk ; Duijm, Patty. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12159.

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2017The time dimension of the links between loss given default and the macroeconomy. (2017). Seidler, Jakub ; Konecny, Tomas ; Belyaev, Konstantin ; Belyaeva, Aelita ; Konen, Toma . In: Working Paper Series. RePEc:ecb:ecbwps:20172037.

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2017Fuzzy decision fusion approach for loss-given-default modeling. (2017). Nazemi, Abdolreza ; Fabozzi, Frank J ; Heidenreich, Konstantin ; Pour, Farnoosh Fatemi . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:2:p:780-791.

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2017Enhancing two-stage modelling methodology for loss given default with support vector machines. (2017). Yao, Xiao ; Andreeva, Galina ; Crook, Jonathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:263:y:2017:i:2:p:679-689.

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2018Loss functions for Loss Given Default model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: European Journal of Operational Research. RePEc:eee:ejores:v:268:y:2018:i:1:p:348-360.

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2018Improving corporate bond recovery rate prediction using multi-factor support vector regressions. (2018). Nazemi, Abdolreza ; Fabozzi, Frank J ; Heidenreich, Konstantin. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:664-675.

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2019Sharp asymptotics for large portfolio losses under extreme risks. (2019). Yang, Yang ; Tang, Zhaofeng. In: European Journal of Operational Research. RePEc:eee:ejores:v:276:y:2019:i:2:p:710-722.

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2017A limit distribution of credit portfolio losses with low default probabilities. (2017). Shi, Xiaojun ; Yuan, Zhongyi ; Tang, Qihe. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:73:y:2017:i:c:p:156-167.

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2017Downturn LGD modeling using quantile regression. (2017). Kruger, Steffen ; Rosch, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:79:y:2017:i:c:p:42-56.

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2018Loss given default adjusted workout processes for leases. (2018). Miller, Patrick ; Tows, Eugen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:189-201.

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2018A reinforced urn process modeling of recovery rates and recovery times. (2018). Cheng, Dan ; Cirillo, Pasquale. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:1-17.

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2017The Time Dimension of the Links Between Loss Given Default and the Macroeconomy. (2017). Seidler, Jakub ; Konecny, Tomas ; Belyaev, Konstantin ; Belyaeva, Aelta. In: Czech Journal of Economics and Finance (Finance a uver). RePEc:fau:fauart:v:67:y:2017:i:6:p:462-491.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: Working Papers. RePEc:hal:wpaper:hal-02089698.

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2018Loss functions for LGD model comparison. (2018). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine. In: Working Papers. RePEc:hal:wpaper:halshs-01516147.

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2019Predicting Loss Distributions for Small-Size Defaulted-Debt Portfolios Using a Convolution Technique that Allows Probability Masses to Occur at Boundary Points. (2019). Hwang, Ruey-Ching ; Chu, Chih-Kang. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:56:y:2019:i:1:d:10.1007_s10693-018-0289-6.

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2017Local logit regression for recovery rate. (2017). GAO, Jiti ; Silvapulle, Param ; Sopitpongstorn, Nithi. In: Monash Econometrics and Business Statistics Working Papers. RePEc:msh:ebswps:2017-19.

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2019Bank loans recovery rate in commercial banks: A case study of non-financial corporations. (2019). nehrebecka, natalia. In: Zbornik radova Ekonomskog fakulteta u Rijeci/Proceedings of Rijeka Faculty of Economics. RePEc:rfe:zbefri:v:37:y:2019:i:1:p:139-172.

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2017Cyclicality in Losses on Bank Loans. (2017). Kole, Erik ; Keijsers, Bart ; Diris, Bart . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150050.

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2019Least Impulse Response Estimator for Stress Test Exercises. (2019). Lu, Yang ; Gourieroux, Christian. In: CEPN Working Papers. RePEc:upn:wpaper:2019-05.

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2017PROBABILITY DENSITY OF RECOVERY RATE GIVEN DEFAULT OF A FIRM’S DEBT AND ITS CONSTITUENT TRANCHES. (2017). Chellathurai, Thamayanthi. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:04:n:s0219024917500236.

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Works by Michele Zenga:


YearTitleTypeCited
2009Karl Pearson and the Origin of Kurtosis In: International Statistical Review.
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article5
2005The meaning of kurtosis, the influence function and an early intuition by L. Faleschini In: Statistica.
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article0
2010Bank loan recovery rates: Measuring and nonparametric density estimation In: Journal of Banking & Finance.
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article46
2001A multiplicative decomposition of Herfindahl concentration measure In: Metron - International Journal of Statistics.
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article3
2001A modification of the right tail for heavy-tailed income distributions In: Metron - International Journal of Statistics.
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article1
2007A test of concordance based on Gini’s mean difference In: Statistical Methods & Applications.
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article3
2008Quantity quantiles linear regression In: Statistical Methods & Applications.
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article0

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