Nicholas Vause : Citation Profile


Are you Nicholas Vause?

Bank of England

10

H index

11

i10 index

268

Citations

RESEARCH PRODUCTION:

4

Articles

14

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (2003 - 2019). See details.
   Cites by year: 16
   Journals where Nicholas Vause has often published
   Relations with other researchers
   Recent citing documents: 13.    Total self citations: 2 (0.74 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva728
   Updated: 2024-01-16    RAS profile: 2020-11-09    
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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 Nicholas Vause.

Is cited by:

Ranaldo, Angelo (7)

Xiao, Tim (7)

Vasios, Michalis (6)

Eichengreen, Barry (6)

Portes, Richard (6)

Hoerova, Marie (6)

Delatte, Anne-Laure (6)

Garratt, Rodney (5)

Paddrik, Mark (5)

Berlinger, Edina (5)

Vuillemey, Guillaume (5)

Cites to:

Shin, Hyun Song (4)

Brunnermeier, Markus (4)

Shiller, Robert (3)

Ferrara, Gerardo (3)

Langfield, Sam (3)

Campbell, John (3)

Stulz, René (3)

CLERC, Laurent (3)

Sherlund, Shane (2)

Summer, Martin (2)

Elsinger, Helmut (2)

Main data


Where Nicholas Vause has published?


Journals with more than one article published# docs
BIS Quarterly Review3

Working Papers Series with more than one paper published# docs
Working Papers on Finance / University of St. Gallen, School of Finance2

Recent works citing Nicholas Vause (2024 and 2023)


YearTitle of citing document
2023Time-Varying Risk Aversion and International Stock Returns. (2023). Guidolin, Massimo ; Cabrera, Gabriel ; Hansen, Erwin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp23203.

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2023.

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2023Dash for Dollars. (2023). Czech, Robert ; Eguren-Martin, Fernando ; Cesa-Bianchi, Ambrogio. In: Discussion Papers. RePEc:cfm:wpaper:2314.

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2023Derivative margin calls: a new driver of MMF flows. (2023). Rousová, Linda ; Bauer, German Villegas ; Salakhova, Dilyara ; Rousova, Linda ; Ghio, Maddalena. In: Working Paper Series. RePEc:ecb:ecbwps:20232800.

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2023Do algorithmic traders exploit volatility?. (2023). Marathe, Rahul R ; Prasanna, Krishna P ; Arumugam, Devika. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635022001009.

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2023A literature review on extreme price movements with reversal. (2023). Steffen, Viktoria. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:38:y:2023:i:c:s2214635023000205.

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2023Counter-cyclical Margins for Option Portfolios. (2023). Li, Duan ; Wu, QI ; Chen, Yuanyuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002755.

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2023Predictability of risk appetite in Turkey: Local versus global factors. (2023). Bouri, Elie ; Gok, Remzi ; Gemici, Eray. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000237.

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2023Collateral competition: Evidence from central counterparties. (2023). Tompaidis, Stathis ; Pancost, Aaron N ; Grothe, Magdalena. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:3:p:536-556.

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2023Central Clearing and Systemic Liquidity Risk. (2023). Prono, Todd ; Paulson, Anna ; Nesmith, Travis D ; King, Thomas B. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2023:q:4:a:3.

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2023The impacts of innovative and competitive abilities of SMEs on their different financial risk concerns: System approach. (2023). Fialova, Vendula ; Krajeik, Vladimir ; Civelek, Mehmet. In: Oeconomia Copernicana. RePEc:pes:ieroec:v:14:y:2023:i:1:p:327-354.

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2023Uncovering the network structure of non-centrally cleared derivative markets: evidence from large regulatory data. (2023). Zema, Sebastiano Michele. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:4:d:10.1007_s00181-023-02396-9.

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2023Intermediation in US and EU bond and swap markets: stylised facts, trends and impact of the coronavirus (COVID-19) crisis in March 2020. (2023). Scheicher, Martin. In: ESRB Occasional Paper Series. RePEc:srk:srkops:202324.

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Works by Nicholas Vause:


YearTitleTypeCited
2010Counterparty risk and contract volumes in the credit default swap market In: BIS Quarterly Review.
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article15
2011Expansion of central clearing In: BIS Quarterly Review.
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article7
2011Enhanced BIS statistics on credit risk transfer In: BIS Quarterly Review.
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article12
2012Collateral requirements for mandatory central clearing of over-the-counter derivatives In: BIS Working Papers.
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paper66
2016A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers.
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paper16
2017The impact of Solvency II regulations on life insurers’ investment behaviour In: Bank of England working papers.
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paper10
2018Judgement Day: algorithmic trading around the Swiss franc cap removal In: Bank of England working papers.
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paper12
2018Judgement Day: Algorithmic Trading Around the Swiss Franc Cap Removal.(2018) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2019Judgment Day: Algorithmic Trading Around The Swiss Franc Cap Removal.(2019) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12
paper
2018Macroprudential margins: a new countercyclical tool? In: Bank of England working papers.
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paper0
2019Simulating liquidity stress in the derivatives market In: Bank of England working papers.
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paper10
2003Sovereign debt workouts with the IMF as delegated monitor - a common agency approach In: Bank of England working papers.
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paper8
2005Measuring investors risk appetite In: Bank of England working papers.
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paper44
2006Measuring Investors Risk Appetite.(2006) In: International Journal of Central Banking.
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This paper has nother version. Agregated cites: 44
article
2005Measuring Investors Risk Appetite.(2005) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 44
paper
2006Procyclicality, collateral values and financial stability In: Bank of England working papers.
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paper8
2014Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models In: Bank of England Financial Stability Papers.
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paper30
2016Systemic risk in derivatives markets: a pilot study using CDS data In: Bank of England Financial Stability Papers.
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paper17
2008Financial Innovation: What Have We Learnt? In: RBA Annual Conference Volume (Discontinued).
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chapter13

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