Celso Brunetti : Citation Profile

Are you Celso Brunetti?

Johns Hopkins University (34% share)
Government of the United States (33% share)
Federal Reserve Board (Board of Governors of the Federal Reserve System) (33% share)

10

H index

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499

Citations

RESEARCH PRODUCTION:

18

Articles

24

Papers

RESEARCH ACTIVITY:

   29 years (1995 - 2024). See details.
   Cites by year: 17
   Journals where Celso Brunetti has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 14 (2.73 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pbr67
   Updated: 2024-11-04    RAS profile: 2024-10-08    
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Relations with other researchers

Works with:

Harris, Jeffrey (5)

Dennis, Benjamin (4)

Mignon, Valérie (4)

Morgan, Donald (2)

Crosignani, Matteo (2)

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

Is cited by:

Joëts, Marc (8)

DE TRUCHIS, Gilles (8)

Zhou, Wei-Xing (7)

Keddad, Benjamin (7)

Otranto, Edoardo (6)

Wang, Gang-Jin (6)

van Huellen, Sophie (6)

Watkins, Clinton (6)

Yoon, Seong-Min (5)

Tiwari, Aviral (5)

Robe, Michel (5)

Cites to:

Harris, Jeffrey (22)

Kilian, Lutz (19)

Fratzscher, Marcel (18)

Shin, Hyun Song (14)

Reinhart, Carmen (13)

Kaminsky, Graciela (13)

Shleifer, Andrei (13)

Ehrmann, Michael (12)

Bollerslev, Tim (12)

Blinder, Alan (11)

Jansen, David-Jan (10)

Main data

Where Celso Brunetti has published?

Journals with more than one article published# docs
Journal of Financial Markets2
The Energy Journal2

Working Papers Series with more than one paper published# docs
Finance and Economics Discussion Series / Board of Governors of the Federal Reserve System (U.S.)10
FEDS Notes / Board of Governors of the Federal Reserve System (U.S.)2

Recent works citing Celso Brunetti (2024 and 2023)

YearTitle of citing document
2023Contingent Convertible Bonds in Financial Networks. (2020). Tantari, Daniele ; Sala, Carlo ; Calice, Giovanni . In: Papers. RePEc:arx:papers:2009.00062.

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2024Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2023). Chava, Sudheer ; Shah, Agam ; Hiray, Arnav. In: Papers. RePEc:arx:papers:2307.16874.

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2024Monetary Policies on Green Financial Markets: Evidence from a Multi-Moment Connectedness Network. (2024). Ye, Shiqi ; Zhang, Hongyin ; Zheng, Tingguo. In: Papers. RePEc:arx:papers:2405.02575.

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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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2024Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Zhou, Lichao ; Chen, Chuanglian ; Lin, Yuting. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592.

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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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2024The determinants of systemic risk contagion. (2024). Erden, Lutfi ; Ozkan, Brahim ; Atasoy, Burak Sencer. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s026499932300408x.

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2024Pricing vulnerable spread options with liquidity risk under Lévy processes. (2024). Yu, Baimin ; Wang, Xingchun ; Cai, Chengyou. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000494.

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2024Markov-Switching Models with State-Dependent Time-Varying Transition Probabilities. (2024). Sola, Martin ; Psaradakis, Zacharias. In: Econometrics and Statistics. RePEc:eee:ecosta:v:29:y:2024:i:c:p:49-63.

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2024Regulation and the demand for credit default swaps in experimental bond markets. (2024). Duffy, John ; Schram, Arthur ; Weber, Matthias. In: European Economic Review. RePEc:eee:eecrev:v:165:y:2024:i:c:s0014292124000746.

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2023Effect of weather and environmental attentions on financial system risks: Evidence from Chinese high- and low-carbon assets. (2023). Yoon, Seong-Min ; Dong, Xiyong. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001780.

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2023Risk spillovers across geopolitical risk and global financial markets. (2023). Wen, Baoyu ; Zheng, Jinlin ; Shen, Yue ; Wang, Xiaohan ; Jiang, Yaohui. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005492.

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2023Interconnected multilayer networks: Quantifying connectedness among global stock and foreign exchange markets. (2023). Zhu, You ; Uddin, Gazi Salah ; Xie, Chi ; Feng, Yusen ; Wan, LI ; Wang, Gang-Jin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000340.

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2023Heterogeneously informed trading and the stock market efficiency during the COVID-19 pandemic. (2023). Zhao, Yang ; Zhang, Xuan ; Xue, Mingqi. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001242.

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2023Evaluating financial contagion through Ricci curvature on multivariate reactive point processes. (2023). Zhang, Zirui ; Zhao, Mingen ; Jiang, Haotong ; Luo, Tianyuan. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006207.

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2023Climate risks and financial stability: Evidence from the European financial system. (2023). Bertrand, Jean-Louis ; Chabot, Miia. In: Journal of Financial Stability. RePEc:eee:finsta:v:69:y:2023:i:c:s1572308923000906.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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2023Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513.

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2024Leveraged finance exposure in the banking system: Systemic risk and interconnectedness. (2024). Ranalli, M G ; Tanzi, Musile P ; de Novellis, G ; Stanghellini, E. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001580.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023Panic and propagation in 1873: A network analytic approach. (2023). Rousseau, Peter ; Ladley, Daniel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:151:y:2023:i:c:s0378426623000699.

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2023The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319.

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2023The impact of financialization on the efficiency of commodity futures markets. (2023). Sulewski, Christoph ; Putz, Alexander ; Irwin, Scott H ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300020x.

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2023Trader positions and aggregate portfolio demand. (2023). Tuzun, Tugkan ; Roberts, John S ; Onur, Esen. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000482.

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2023Higher-order moment risk spillovers and optimal portfolio strategies in global oil markets. (2023). Alshater, Muneer ; Mensi, Walid ; Cui, Jinxin. In: Resources Policy. RePEc:eee:jrpoli:v:86:y:2023:i:pa:s0301420723009972.

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2024On the transmission mechanism between the inventory arbitrage activity, speculative activity and the commodity price under the US QE policy: Evidence from a TVP-VAR model. (2024). Alexiou, Constantinos ; Yao, Wei. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:1054-1072.

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2023Institutional investor information network, analyst forecasting and stock price crash risk. (2023). Liu, Jia ; Gong, Xiao-Li. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000685.

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2024Do conventional and new energy stock markets herd differently? Evidence from China. (2024). Zhang, Cheng ; Jiang, Lijun ; Hong, Hui ; Yue, Zhonggang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002465.

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2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Liu, KE ; Lu, Min ; Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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2023Leveraging the Disagreement on Climate Change: Theory and Evidence. (2023). Phan, Toan ; Wong, Russell ; Bakkensen, Laura. In: Working Paper. RePEc:fip:fedrwp:95450.

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2023Oil Price Forecasting Using FRED Data: A Comparison between Some Alternative Models. (2023). Chidmi, Benaissa ; al Shammre, Abdullah Sultan. In: Energies. RePEc:gam:jeners:v:16:y:2023:i:11:p:4451-:d:1160822.

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2023.

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2023Fintech Innovation in Social Service Provision: A Bibliometric Review. (2023). Sibindi, Athenia Bongani ; Munodei, Alan. In: Social Sciences. RePEc:gam:jscscx:v:12:y:2023:i:1:p:47-:d:1036192.

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2023The Impact of Climate Change on Financial Stability. (2023). Lin, Tiantian ; Liu, Dehong ; Wu, Lingke. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:15:p:11744-:d:1206480.

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2023The Negative Pricing of the May 2020 WTI Contract. (2023). Miffre, Joelle ; Fuertes, Ana-Maria ; Fernandez-Perez, Adrian. In: Post-Print. RePEc:hal:journl:hal-03933797.

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2023When Climate Meets Real Estate: A Survey of the Literature. (). Suandi, Matthew ; Mejia, Luis ; Hopkins, Caroline ; Contat, Justin. In: FHFA Staff Working Papers. RePEc:hfa:wpaper:23-05.

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2023Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach. (2023). Babalos, Vassilios ; Kiohos, Apostolos ; Koulakiotis, Athanasios ; Kyriakou, Maria I. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:66:y:2023:i:4:d:10.1007_s11146-021-09879-5.

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2023Pricing vulnerable basket spread options with liquidity risk. (2023). Wang, Xingchun ; Tang, Dan ; Dong, Ziming. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-022-09192-0.

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2023A new look at asymmetric effect of oil price changes on inflation: Evidence from Malaysia. (2023). Sek, Siok Kun. In: Energy & Environment. RePEc:sae:engenv:v:34:y:2023:i:5:p:1524-1547.

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2023Dynamic effects of social influence on asset prices. (2023). Wang, Juanxi ; Zhang, Yang ; Huang, Jia-Ping. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:18:y:2023:i:3:d:10.1007_s11403-023-00382-z.

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2023Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. (2023). Usman, Ojonugwa ; Olasehinde-Williams, Godwin O ; Olanipekun, Ifedolapo O ; Alao, Saheed ; Alhassan, Abdul Kareem. In: Letters in Spatial and Resource Sciences. RePEc:spr:lsprsc:v:16:y:2023:i:1:d:10.1007_s12076-023-00325-z.

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2023Does climate change lead financial instability?: A benchmark result. (2023). Ohtaki, Eisei. In: Working Papers. RePEc:tcr:wpaper:e175.

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2023Climate change, financial intermediation, and monetary policy. (2023). Ohtaki, Eisei. In: Working Papers. RePEc:tcr:wpaper:e179.

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2024.

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2023Commodity tail risks. (2023). Prokopczuk, Marcel ; Wursig, Christoph Matthias ; Moerke, Mathis ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:168-197.

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2023A tale of two premiums revisited. (2023). Marechal, Loic. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:5:p:580-614.

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2023Commodity momentum and reversal: Do they exist, and if so, why?. (2023). Han, Meng. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:9:p:1204-1237.

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Works by Celso Brunetti:

YearTitleTypeCited
2013Herding and Speculation in the Crude Oil Market In: The Energy Journal.
[Full Text][Citation analysis]		article10
.() In: .
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This paper has nother version. Agregated cites: 10		article
2013OPEC Fair Price Pronouncements and the Market Price of Crude Oil In: The Energy Journal.
[Full Text][Citation analysis]		article2
2015Speculators, Prices and Market Volatility In: Staff Working Papers.
[Full Text][Citation analysis]		paper89
2016Speculators, Prices, and Market Volatility.(2016) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 89		article
2023Reasons Behind Words: OPEC Narratives and the Oil Market In: Working Papers.
[Full Text][Citation analysis]		paper0
2023Reasons Behind Words: OPEC Narratives and the Oil Market.(2023) In: EconomiX Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2024Reasons Behind Words: OPEC Narratives and the Oil Market.(2024) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 0		paper
2022The urgency to borrow in the interbank market In: Economics Letters.
[Full Text][Citation analysis]		article0
2020High frequency traders and the price process In: Journal of Econometrics.
[Full Text][Citation analysis]		article1
2008Markov switching GARCH models of currency turmoil in Southeast Asia In: Emerging Markets Review.
[Full Text][Citation analysis]		article33
2007Markov switching GARCH models of currency turmoil in southeast Asia.(2007) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		paper
2000Bivariate FIGARCH and fractional cointegration In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article67
1999Bivariate FIGARCH and Fractional Cointegration.(1999) In: Working Papers.
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This paper has nother version. Agregated cites: 67		paper
2014Commodity index trading and hedging costs In: Journal of Financial Markets.
[Full Text][Citation analysis]		article51
2011Commodity index trading and hedging costs.(2011) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 51		paper
2022Sidedness in the interbank market In: Journal of Financial Markets.
[Full Text][Citation analysis]		article1
2023Networks, interconnectedness, and interbank information asymmetry In: Journal of Financial Stability.
[Full Text][Citation analysis]		article0
2019Interconnectedness in the interbank market In: Journal of Financial Economics.
[Full Text][Citation analysis]		article79
2015Interconnectedness in the Interbank Market.(2015) In: Finance and Economics Discussion Series.
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This paper has nother version. Agregated cites: 79		paper
1995Metals price volatility, 1972-1995 In: Resources Policy.
[Full Text][Citation analysis]		article33
2013Economic volatility and financial markets: the case of mortgage-backed securities In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2017Managing Counterparty Risk in OTC Markets In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2018Bank Holdings and Systemic Risk In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper2
2021Liquidity Networks, Interconnectedness, and Interbank Information Asymmetry In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2022Climate-related Financial Stability Risks for the United States: Methods and Applications In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper4
2024Climate-Related Financial Stability Risks for the United States: Methods and Applications.(2024) In: Economic Policy Review.
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This paper has nother version. Agregated cites: 4		article
2023Measuring Interest Rate Risk Management by Financial Institutions In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2024Interconnectedness in the Corporate Bond Market In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2021Climate Change and Financial Stability In: FEDS Notes.
[Full Text][Citation analysis]		paper6
2023Analyzing State Resilience to Weather and Climate Disasters In: FEDS Notes.
[Full Text][Citation analysis]		paper0
In: .
[Full Text][Citation analysis]		article0
2022Reasons Behind Words: Cause and Consequences of OPEC Narratives In: Post-Print.
[Citation analysis]		paper0
2011Effects of Central Bank Intervention on the Interbank Market During the Subprime Crisis In: The Review of Financial Studies.
[Full Text][Citation analysis]		article74
2003Markov Switching Garch Models of Currency Crises in Southeast Asia In: PIER Working Paper Archive.
[Full Text][Citation analysis]		paper9
1996Are Metals Prices Becoming More Volatile? In: Working Papers.
[Full Text][Citation analysis]		paper4
1998A Bivariate FIGARCH Model of Crude Oil Price Volatility In: Working Papers.
[Full Text][Citation analysis]		paper1
1999Bivariate FIGARCH and Fractional Cointegration In: Working Papers.
[Full Text][Citation analysis]		paper4
2005Asset Prices and Asset Correlations in Illiquid Markets In: 2005 Meeting Papers.
[Full Text][Citation analysis]		paper12
2006Asset Prices and asset Correlations in Illiquid Markets.(2006) In: Computing in Economics and Finance 2006.
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This paper has nother version. Agregated cites: 12		paper
In: .
[Full Text][Citation analysis]		article0
2017Trading networks In: Econometrics Journal.
[Full Text][Citation analysis]		article17

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