Arianna Agosto : Citation Profile


Are you Arianna Agosto?

Università degli Studi di Pavia

5

H index

3

i10 index

80

Citations

RESEARCH PRODUCTION:

9

Articles

8

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 7
   Journals where Arianna Agosto has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 6 (6.98 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pag213
   Updated: 2024-01-16    RAS profile: 2021-06-24    
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Relations with other researchers


Works with:

Giudici, Paolo (7)

Ahelegbey, Daniel Felix (3)

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

Is cited by:

Cavaliere, Giuseppe (6)

Rahbek, Anders (4)

Giudici, Paolo (2)

Pennoni, Fulvia (2)

Lin, Boqiang (2)

Ahelegbey, Daniel Felix (2)

Bartolucci, Francesco (2)

Okorie, David (2)

De Angelis, Luca (2)

Figà-Talamanca, Gianna (1)

Çevik, Emrah (1)

Cites to:

Giudici, Paolo (8)

Rahbek, Anders (7)

Kristensen, Dennis (6)

merton, robert (4)

Moretto, Enrico (4)

Billio, Monica (4)

Cavaliere, Giuseppe (4)

Leland, Hayne (3)

battiston, stefano (3)

Engle, Robert (3)

Diebold, Francis (3)

Main data


Where Arianna Agosto has published?


Journals with more than one article published# docs
Risks2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management3
Papers / arXiv.org2

Recent works citing Arianna Agosto (2024 and 2023)


YearTitle of citing document
2023Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2019). Kristensen, Dennis ; Lee, Young Jun. In: Papers. RePEc:arx:papers:1904.05209.

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2023Augmented Dynamic Gordon Growth Model. (2022). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2023Parameter Estimation Methods of Required Rate of Return. (2023). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2305.19708.

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2023Bootstrap inference for Hawkes and general point processes. (2023). Cavaliere, Giuseppe ; Stark-Ostergaard, Jacob ; Rahbek, Anders ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:1:p:133-165.

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2023Structural models for fog computing based internet of things architectures with insurance and risk management applications. (2023). Zhao, Peng ; Su, Jianxi ; Xu, Maochao ; Zhang, Xiaoyu. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:3:p:1273-1291.

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2023Electricity price spike clustering: A zero-inflated GARX approach. (2023). Suthaharan, Neyavan ; Lu, YE. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003328.

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2023The impact of expected and unexpected events on Bitcoin price development: Introduction of futures market and COVID-19. (2023). Çevik, Emrah ; Yildirim, Durmu Ari ; Dibooglu, Sel ; Gunay, Samet ; Cevik, Emrah Ismail. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001411.

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2023What drives DeFi market returns?. (2023). Jimenez-Garces, Sonia ; Dumas, Jean-Guillaume ; Oiman, Florentina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000549.

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2023Strong mixing properties of discrete-valued time series with exogenous covariates. (2023). Truquet, Lionel. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:160:y:2023:i:c:p:294-317.

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2023.

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2023.

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2023The Efficiency of Value-at-Risk Models during Extreme Market Stress in Cryptocurrencies. (2023). Wiwattanalamphong, Karawan ; Pinmanee, Chakrin ; Chudasring, Pan ; Likitratcharoen, Danai. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:5:p:4395-:d:1084627.

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2023Are DeFi tokens a separate asset class from conventional cryptocurrencies?. (2023). Corbet, Shaen ; Kaskaloglu, Kerem ; Gunay, Samet ; Goodell, John W. In: Annals of Operations Research. RePEc:spr:annopr:v:322:y:2023:i:2:d:10.1007_s10479-022-05150-z.

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2023Gazing through the bubble: an experimental investigation into financial risk-taking using eye-tracking. (2023). Miyakoshi, Makoto ; Kubinschi, Matei Nicolae ; Cepoi, Cosmin-Octavian ; Toma, Filip-Mihai. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00444-4.

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2023A covariate-driven beta-binomial integer-valued GARCH model for bounded counts with an application. (2023). Zhu, Fukang ; Li, QI ; Chen, Huaping. In: Metrika: International Journal for Theoretical and Applied Statistics. RePEc:spr:metrik:v:86:y:2023:i:7:d:10.1007_s00184-023-00894-5.

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2023A new grey system approach to forecast closing price of Bitcoin, Bionic, Cardano, Dogecoin, Ethereum, XRP Cryptocurrencies. (2023). Bose, S C ; Pandey, Alok Kumar ; Singh, Pawan Kumar. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:57:y:2023:i:3:d:10.1007_s11135-022-01463-0.

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2023Crisis transmission degree measurement under crisis propagation model. (2023). Jilani, Faouzi ; Hallara, Slaheddine ; Bedoui-Belghith, Imen. In: SN Business & Economics. RePEc:spr:snbeco:v:3:y:2023:i:1:d:10.1007_s43546-022-00361-9.

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Works by Arianna Agosto:


YearTitleTypeCited
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
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paper26
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
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This paper has nother version. Agregated cites: 26
article
2013Variance matters (in stochastic dividend discount models) In: Papers.
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paper6
2015Variance matters (in stochastic dividend discount models).(2015) In: Annals of Finance.
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This paper has nother version. Agregated cites: 6
article
2017Covariance of random stock prices in the Stochastic Dividend Discount Model In: Papers.
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paper0
2020Tree networks to assess financial contagion In: Economic Modelling.
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article10
2020Tree Networks to assess Financial Contagion.(2020) In: MPRA Paper.
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This paper has nother version. Agregated cites: 10
paper
2020Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market In: Risks.
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article26
2020A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics In: Risks.
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article5
2020A Poisson autoregressive model to understand COVID-19 contagion dynamics.(2020) In: DEM Working Papers Series.
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This paper has nother version. Agregated cites: 5
paper
2010Applying default probabilities in an exponential barrier structural model In: Economics and Quantitative Methods.
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paper0
2020A rank graduation accuracy measure In: DEM Working Papers Series.
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paper0
2020Default count-based network models for credit contagion In: DEM Working Papers Series.
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paper2
2020COVID-19 contagion and digital finance In: Digital Finance.
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article1
2019Stochastic dividend discount model: covariance of random stock prices In: Journal of Economics and Finance.
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article2
2021Financial contagion through space-time point processes In: Statistical Methods & Applications.
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article2
2012Exploiting default probabilities in a structural model with nonconstant barrier In: Applied Financial Economics.
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article0

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