Simone Manganelli : Citation Profile


Are you Simone Manganelli?

European Central Bank

24

H index

33

i10 index

2892

Citations

RESEARCH PRODUCTION:

27

Articles

50

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 120
   Journals where Simone Manganelli has often published
   Relations with other researchers
   Recent citing documents: 158.    Total self citations: 32 (1.09 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pma142
   Updated: 2024-01-16    RAS profile: 2023-05-08    
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Relations with other researchers


Works with:

Kremer, Manfred (3)

Schwaab, Bernd (2)

Gelain, Paolo (2)

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

Is cited by:

Afonso, Antonio (36)

Baruník, Jozef (24)

Gallo, Giampiero (20)

GUPTA, RANGAN (19)

Fratzscher, Marcel (19)

Arghyrou, Michael (18)

Kontonikas, Alexandros (18)

Lucas, Andre (17)

Chuliá, Helena (17)

Caporin, Massimiliano (17)

Kok, Christoffer (16)

Cites to:

Engle, Robert (38)

Acharya, Viral (28)

Hartmann, Philipp (23)

Bekaert, Geert (19)

Harvey, Campbell (15)

Svensson, Lars (15)

Bollerslev, Tim (15)

Kim, Tae-Hwan (14)

Stulz, René (14)

Reinhart, Carmen (13)

Smets, Frank (12)

Main data


Where Simone Manganelli has published?


Journals with more than one article published# docs
Research Bulletin4
Journal of Money, Credit and Banking2
Economics Letters2
Journal of Financial Intermediation2
The Journal of Financial Econometrics2
Journal of Money, Credit and Banking2
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank30
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Occasional Paper Series / European Central Bank2

Recent works citing Simone Manganelli (2024 and 2023)


YearTitle of citing document
2023Impact of Financial Liberalization on Firm Risk. (2023). Hsu, Oshamah Kun-Zhan ; Chang, Oshamah Yu-Cheng ; Lin, Oshamah Lin. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:14-45.

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2023Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578.

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2023Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2023Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Montes-Rojas, Gabriel ; Martinez-Iriarte, Julian ; Sun, Yixiao. In: Papers. RePEc:arx:papers:2201.02292.

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2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2023A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595.

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2023Expectile hidden Markov regression models for analyzing cryptocurrency returns. (2023). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2301.09722.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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2023Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651.

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2023Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994.

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2023Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2023Large Banks and Systemic Risk: Insights from a Mean-Field Game Model. (2023). Benatia, David ; Firoozi, Dena ; Chang, Yuanyuan. In: Papers. RePEc:arx:papers:2305.17830.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067.

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2023Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Integration or fragmentation? A closer look at euro area financial markets. (2023). Feldkircher, Martin ; Klieber, Karin. In: Papers. RePEc:arx:papers:2310.07790.

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2023Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method. (2023). Huang, Weihuan. In: Papers. RePEc:arx:papers:2310.18658.

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2023A General Framework for Importance Sampling with Latent Markov Processes. (2023). Kou, Steven ; Jia, Yanwei ; Fuh, Cheng-Der. In: Papers. RePEc:arx:papers:2311.12330.

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2023Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2023Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter?. (2023). Pagliari, Maria Sole ; Sestieri, Giulia ; Rossi, Barbara ; Penalver, Adrian ; Odendahl, Florens. In: Working papers. RePEc:bfr:banfra:912.

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2023Fiscal sources of inflation risk in EMDEs: the role of the external channel. (2023). Zampolli, Fabrizio ; Mehotra, Aaron ; Boctor, Valerie ; Banerjee, Ryan Niladri. In: BIS Working Papers. RePEc:bis:biswps:1110.

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2023Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845.

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2023Do credit unions have distinct objectives? Evidence from executive compensation structures. (2023). Hueth, Brent ; Zeng, Shuwei ; van Rijn, Jordan. In: Annals of Public and Cooperative Economics. RePEc:bla:annpce:v:94:y:2023:i:1:p:5-38.

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2023Climate risks and U.S. stock?market tail risks: A forecasting experiment using over a century of data. (2023). Salisu, Afees ; van Eyden, Renee ; Gupta, Rangan ; Pierdzioch, Christian. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:228-244.

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2023Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440.

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2023Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654.

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2023A Model of Systemic Bank Runs. (2023). Liu, Xuewen. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:731-793.

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2023Homemade international diversification under economic policy uncertainty. (2023). Zhou, YI ; Zhang, Chunqiu ; Fang, Junxiong ; Chen, Jing. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:31-62.

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2023The impact of financial shocks on the forecast distribution of output and inflation. (2023). Sala, Luca ; Maffei-Faccioli, Nicolo ; Gambetti, Luca ; Forni, Mario. In: Working Paper. RePEc:bno:worpap:2023_3.

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2023Monitoring multicountry macroeconomic risk. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0117.

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2023.

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2023The Application of Multiple-Output Quantile Regression on the US Financial Cycle. (2023). Franta, Michal. In: Working Papers. RePEc:cnb:wpaper:2023/2.

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2023Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308.

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2023Identifying financial fragmentation: do sovereign spreads in the EMU reflect differences in fundamentals?. (2023). End, Jan Willem ; van den End, Jan Willem ; Kakes, Jan. In: Working Papers. RePEc:dnb:dnbwpp:778.

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2023The conditional path of central bank asset purchases. (2023). Bozou, Caroline ; Creel, Jerome ; Hubert, Paul ; Blot, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-15.

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2023The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2023). Signoretti, Federico ; Nikolov, Kalin ; Ambrocio, Gene ; Heider, Florian ; Jovanovic, Mario ; Lewis, Vivien ; Miettinen, Pavo ; Policy, Monetary ; Bonatti, Guido ; Prieto, Esteban ; Redak, Vanessa ; Altavilla, Carlo ; Geiger, Felix ; Chalamandaris, Dimitrios ; Fourel, Valere ; Jan, Jansen David ; Kok, Christoffer ; Mazelis, Falk ; Balfoussia, Hiona ; Licak, Marek ; Patriek, Matic ; Pogulis, Armands ; Adolf, Petra ; Garabedian, Garo ; Cassar, Alan ; Weigert, Benjamin ; Fahr, Stephan ; Ioannidis, Michael ; Vlassopoulos, Thomas ; Maddaloni, Angela ; Klein, Melanie ; Papageorghiou, Maria ; Galati, Gabriele ; Fernandez, Luis ; Busch, Ulrike ; Valderrama, Maria ; Bussiere, Mat
2023Asset allocation and risk taking under different interest rate regimes. (2023). Kostka, Thomas ; Vassallo, Danilo ; Hermans, Lieven. In: Working Paper Series. RePEc:ecb:ecbwps:20232803.

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2023Do non-banks need access to the lender of last resort? Evidence from fund runs. (2023). Hoerova, Marie ; Breckenfelder, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20232805.

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2023Medium-term growth-at-risk in the euro area. (2023). Greiwe, Moritz ; Rusnak, Marek ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20232808.

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2023Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach. (2023). Lund-Thomsen, Frederik ; Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232833.

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2023Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840.

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2023Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842.

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2023Financial stability considerations in the conduct of monetary policy. (2023). Dieckelmann, Daniel ; Bochmann, Paul ; Ruzicka, Josef ; Fahr, Stephan. In: Working Paper Series. RePEc:ecb:ecbwps:20232870.

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2023Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches. (2023). Salgado, Oswaldo Garcia ; Carvajal, Lidia E ; de Jes, Ra L. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-48.

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2023Local guarantees and SOE bond pricing in China. (2023). Wu, Sharon Xiaohui ; Wang, Yabin. In: China Economic Review. RePEc:eee:chieco:v:78:y:2023:i:c:s1043951x23000056.

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2023Can we estimate macroforecasters’ mis-behavior?. (2023). Chini, Emilio Zanetti. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s0165188923000386.

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2023How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923.

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2023Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty. (2023). Adediran, Idris ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000913.

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304.

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2023Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023Euro area sovereign bond risk premia before and during the Covid-19 pandemic. (2023). Schwaab, Bernd ; Corradin, Stefano. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000314.

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2023Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431.

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2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

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2023Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market. (2023). Amenounve, Edoh ; Soumare, Issouf ; Kanga, Desire. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000365.

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2023Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198.

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2023Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023Evaluation of Cost-at-Risk related to the procurement of resources in the ancillary services market. The case of the Italian electricity market. (2023). Quaglia, Federico ; Grossi, Luigi ; Lisi, Francesco. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001238.

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2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767.

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2023Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298.

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2023Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event. (2023). Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Lang, Chunlin ; Hu, Yang. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003274.

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2023A novel combined model for probabilistic load forecasting based on deep learning and improved optimizer. (2023). Du, Zhiyuan ; Liang, Yuqiu ; Wang, Shuai ; Zhang, Dongxue. In: Energy. RePEc:eee:energy:v:264:y:2023:i:c:s0360544222030584.

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2023An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145.

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2023Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364.

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2023Explain systemic risk of commodity futures market by dynamic network. (2023). Zhang, Zuominyang ; Wang, Tianqi ; Lin, Jianwu ; Huang, KE ; He, Chengying. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746.

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2023Tail risk forecasting of realized volatility CAViaR models. (2023). Watanabe, Toshiaki ; Hsu, Hsiao-Yun. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322005050.

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2023Regulatory capital and bank risk-resilience amid the Covid-19 pandemic: How are the Basel reforms faring?. (2023). Owusu, Felix ; Anani, Makafui. In: Finance Research Letters. RePEc:eee:finlet:v:52:y:2023:i:c:s154461232200767x.

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2023The impact of EPU spillovers on the bond market volatility: Global evidence. (2023). Xue, Wenjun ; Li, Xiao ; Gong, Yuting. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003033.

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2023From forests to faucets to fuel: Investigating the domino effect of extreme risk in timber, water, and energy markets. (2023). lucey, brian ; Karim, Sitara ; Iqbal, Najaf ; Naeem, Muhammad Abubakr. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003823.

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2023A Bayesian approach for more reliable tail risk forecasts. (2023). Drovandi, Christopher ; Clements, Adam ; Li, Dan. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s157230892200119x.

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2023What is mine is yours: Sovereign risk transmission during the European debt crisis. (2023). Shin, Yongcheol ; Nguyen, Viet Hoang ; Greenwood-Nimmo, Matthew. In: Journal of Financial Stability. RePEc:eee:finsta:v:65:y:2023:i:c:s1572308923000037.

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2023Bank safety-oriented culture and lending decisions. (2023). Lu, Chien-Lin ; Lin, Chih-Yung ; Kamar, Amina ; Tang, Ning. In: Journal of Financial Stability. RePEc:eee:finsta:v:66:y:2023:i:c:s1572308923000220.

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2023Asset purchase bailouts and endogenous implicit guarantees. (2023). Mengus, Eric. In: Journal of International Economics. RePEc:eee:inecon:v:142:y:2023:i:c:s0022199623000235.

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2023Financial connectedness and risk transmission among MENA countries: Evidence from connectedness network and clustering analysis1. (2023). Elsayed, Ahmed ; Balcilar, Mehmet ; Hammoudeh, Shawkat. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001287.

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2023The effects of the ECB’s unconventional monetary policies from 2011 to 2018 on banking assets. (2023). Dwyer, Gerald ; Samartin, Margarita ; Nieto, Maria J ; Gilevska, Biljana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:87:y:2023:i:c:s1042443123000689.

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2023Non-Gaussian models for CoVaR estimation. (2023). Rivieccio, Giorgia ; de Luca, Giovanni ; Bianchi, Michele Leonardo. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:391-404.

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2023Forecasting extreme financial risk: A score-driven approach. (2023). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:2:p:720-735.

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2023Does asset encumbrance affect bank risk? Evidence from covered bonds. (2023). Nocera, Giacomo ; Gatti, Stefano ; Garcia-Appendini, Emilia. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002850.

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2023Breakup and default risks in the great lockdown. (2023). Consiglio, Andrea ; Borri, Nicola ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426621002600.

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2023How quantitative easing changes the nature of sovereign risk. (2023). de Haan, Leo ; van den End, Jan Willem ; Broeders, Dirk. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000827.

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2023Does safe haven exist? Tail risks of commodity markets during COVID-19 pandemic. (2023). Stankov, Petar ; Mensi, Walid ; Enilov, Martin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851322000642.

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2023Dynamic spillovers across precious metals and oil realized volatilities: Evidence from quantile extended joint connectedness measures. (2023). Gabauer, David ; Chatziantoniou, Ioannis ; Hardik, Marfatia ; de Gracia, Fernando Perez ; Cunado, Juncal. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s240585132300017x.

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2023Gold and tail risks. (2023). Salisu, Afees ; Adediran, Idris ; Tchankam, Jean Paul ; Omoke, Philip C. In: Resources Policy. RePEc:eee:jrpoli:v:80:y:2023:i:c:s0301420722005979.

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2023Asymmetric volatility spillover among global oil, gold, and Chinese sectors in the presence of major emergencies. (2023). Deng, Mingjie ; Cheng, Sheng ; Cao, Yan ; Liang, Ruibin. In: Resources Policy. RePEc:eee:jrpoli:v:82:y:2023:i:c:s0301420723002908.

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2023Oil tail risks and the realized variance of consumer prices in advanced economies. (2023). Salisu, Afees ; Ogbonna, Ahamuefula ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s030142072300466x.

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2023Dynamic connectedness between credit and liquidity risks in euro area sovereign debt markets. (2023). Sosvilla-Rivero, Simon ; Pieterse-Bloem, Mary ; Gomez-Puig, Marta. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:68:y:2023:i:c:s1042444x23000191.

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2023Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics. (2023). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:609:y:2023:i:c:s0378437122008937.

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2023A method for predicting VaR by aggregating generalized distributions driven by the dynamic conditional score. (2023). Li, Handong ; Song, Shijia. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:203-214.

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2023Banking regulation and banks’ risk-taking behavior: The role of investors’ protection. (2023). Dias, Jose Carlos ; Dutra, Tiago M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:124-148.

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2023Analyzing a dynamic relation between RMB exchange rate onshore and offshore during the extreme market conditions. (2023). Qiu, Hong ; Wang, Xiangjin ; Hu, Genhua. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:408-417.

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2023The impact of oil and natural gas prices on overnight risk in exchange rates based on the MVMQ-CAViaR models. (2023). Peng, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:86:y:2023:i:c:p:616-625.

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More than 100 citations found, this list is not complete...

Simone Manganelli has edited the books:


YearTitleTypeCited

Works by Simone Manganelli:


YearTitleTypeCited
2019Deciding with Judgment In: Papers.
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paper0
2016Deciding with judgment.(2016) In: Working Paper Series.
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This paper has nother version. Agregated cites: 0
paper
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
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article1003
1999CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series.
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This paper has nother version. Agregated cites: 1003
paper
2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has nother version. Agregated cites: 1003
paper
2009Forecasting With Judgment In: Journal of Business & Economic Statistics.
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article10
2016Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers.
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paper27
2018Measuring Financial Fragmentation in the Euro Area Corporate Bond Market.(2018) In: JRFM.
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This paper has nother version. Agregated cites: 27
article
2016Changes in financial fragmentation in the euro area since 2008 In: Rue de la Banque.
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article0
2012Bank Risk during the Financial Crisis: Do business models matter? In: Working Papers.
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paper154
2011Bank risk during the financial crisis: do business models matter?.(2011) In: Working Paper Series.
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This paper has nother version. Agregated cites: 154
paper
2015Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area In: CEPR Discussion Papers.
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paper2
2003The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks In: CEPR Discussion Papers.
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paper11
2003The central bank as a risk manager: quantifying and forecasting inflation risks.(2003) In: Working Paper Series.
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This paper has nother version. Agregated cites: 11
paper
2007The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan In: CEPR Discussion Papers.
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paper59
2008The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan.(2008) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 59
article
2008The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan.(2008) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59
article
2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
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paper120
2014A high frequency assessment of the ECB securities markets programme.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120
paper
2017A High-Frequency assessment of the ECB Securities Markets Programme.(2017) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 120
article
2010The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis.
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article26
2008Measuring financial integration in new EU Member States In: Occasional Paper Series.
[Full Text][Citation analysis]
paper66
2011The impact of the Eurosystems covered bond purchase programme on the primary and secondary markets In: Occasional Paper Series.
[Full Text][Citation analysis]
paper91
2007Financial integration and capital flows in the new EU Member States In: Research Bulletin.
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article0
2011New methodologies for systemic risk measurement In: Research Bulletin.
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article0
2012The impact of the Securities Markets Programme In: Research Bulletin.
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article9
2021A novel risk management perspective for macroprudential policy In: Research Bulletin.
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article1
2001Value at risk models in finance In: Working Paper Series.
[Full Text][Citation analysis]
paper92
2002Duration, volume and volatility impact of trades In: Working Paper Series.
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paper100
2005Duration, volume and volatility impact of trades.(2005) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 100
article
2002Sensitivity analysis of volatility: a new tool for risk management In: Working Paper Series.
[Full Text][Citation analysis]
paper3
2003The euro area financial system: structure, integration and policy initiatives In: Working Paper Series.
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paper147
2003The Euro-area Financial System: Structure, Integration, and Policy Initiatives.(2003) In: Oxford Review of Economic Policy.
[Citation analysis]
This paper has nother version. Agregated cites: 147
article
2005Measuring comovements by regression quantiles In: Working Paper Series.
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paper51
2014Measuring Comovements by Regression Quantiles.(2014) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 51
article
2006A new theory of forecasting In: Working Paper Series.
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paper3
2006The impact of the euro on financial markets In: Working Paper Series.
[Full Text][Citation analysis]
paper37
2006Financial integration of new EU Member States In: Working Paper Series.
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paper70
2007Asset allocation by penalized least squares In: Working Paper Series.
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paper3
2007Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? In: Working Paper Series.
[Full Text][Citation analysis]
paper42
2008The impact of the euro on equity markets: a country and sector decomposition In: Working Paper Series.
[Full Text][Citation analysis]
paper8
2008Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR In: Working Paper Series.
[Full Text][Citation analysis]
paper27
2010Finance and diversification In: Working Paper Series.
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paper0
2014Fragmentation in the euro overnight unsecured money market In: Working Paper Series.
[Full Text][Citation analysis]
paper35
2014Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 35
article
2015VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]
paper164
2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164
article
2012VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles.(2012) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 164
paper
2016Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area In: Working Paper Series.
[Full Text][Citation analysis]
paper87
2016Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area.(2016) In: Journal of Financial Intermediation.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 87
article
2017The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series.
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paper19
2018The portfolio of euro area fund investors and ECB monetary policy announcements.(2018) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19
article
2018Selecting models with judgment In: Working Paper Series.
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paper0
2019Forecasting and stress testing with quantile vector autoregression In: Working Paper Series.
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paper33
2020Monetary policy with judgment In: Working Paper Series.
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paper0
2020Monetary Policy with Judgment.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2020Financial conditions, business cycle fluctuations and growth at risk In: Working Paper Series.
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paper4
2020Covid-19 and rural landscape: the case of Italy In: Working Paper Series.
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paper14
2021Statistical decision functions with judgment In: Working Paper Series.
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paper0
2021A risk management perspective on macroprudential policy In: Working Paper Series.
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paper1
2021The risk management approach to macro-prudential policy In: Working Paper Series.
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paper10
2023Double conditioning: the hidden connection between Bayesian and classical statistics In: Working Paper Series.
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paper0
2004The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles In: Econometric Society 2004 Latin American Meetings.
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paper1
2013Financial dependence, global growth opportunities, and growth revisited In: Economics Letters.
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article21
2015Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics.
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article17
2017Realized bank risk during the great recession In: Journal of Financial Intermediation.
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article33
2015Realized Bank Risk during the Great Recession.(2015) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33
paper
2010Quantifying the Risk of Deflation In: EcoMod2004.
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paper25
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 25
article
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 25
article
2006Equity Market Integration of New EU Member States In: Chapters.
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chapter1
1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
[Full Text][Citation analysis]
paper28
2009What drives spreads in the euro area government bond market? In: Economic Policy.
[Full Text][Citation analysis]
article211
2004Asset Allocation by Variance Sensitivity Analysis In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
article10
2010VAR for VaR: measuring systemic risk using multivariate regression quantiles. In: MPRA Paper.
[Full Text][Citation analysis]
paper16
2002Sensitivity Analysis of GARCH Models In: Computing in Economics and Finance 2002.
[Citation analysis]
paper0
1999Modeling a Time-Varying Order Statistic In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]
paper0
2014Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team