Raffaella Calabrese : Citation Profile


Are you Raffaella Calabrese?

University of Edinburgh

9

H index

9

i10 index

238

Citations

RESEARCH PRODUCTION:

21

Articles

13

Papers

2

Chapters

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 21
   Journals where Raffaella Calabrese has often published
   Relations with other researchers
   Recent citing documents: 20.    Total self citations: 16 (6.3 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pca878
   Updated: 2024-04-18    RAS profile: 2021-07-26    
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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 Raffaella Calabrese.

Is cited by:

Zanin, Luca (8)

Giudici, Paolo (8)

Lu, Yang (6)

Konecny, Tomas (5)

Belyaev, Konstantin (5)

Seidler, Jakub (5)

Punzo, Antonio (5)

Hurlin, Christophe (4)

Crosato, Lisa (4)

Leymarie, Jérémy (4)

Mussida, Chiara (4)

Cites to:

Altman, Edward (13)

Lelyveld, Iman (5)

Manganelli, Simone (5)

Giudici, Paolo (5)

Zenga, Michele (5)

Arena, Marco (5)

Liedorp, Franka (4)

Gropp, Reint (4)

Tasche, Dirk (4)

de Vries, Casper (4)

King, Gary (4)

Main data


Where Raffaella Calabrese has published?


Journals with more than one article published# docs
European Journal of Operational Research5
Journal of the Operational Research Society3
Journal of Applied Statistics2

Working Papers Series with more than one paper published# docs
Working Papers / Geary Institute, University College Dublin9
DEM Working Papers Series / University of Pavia, Department of Economics and Management2
Papers / arXiv.org2

Recent works citing Raffaella Calabrese (2024 and 2023)


YearTitle of citing document
2023Joint model for longitudinal and spatio-temporal survival data. (2023). Lindgren, Finn ; Medina-Olivares, Victor ; Crook, Jonathan ; Calabrese, Raffaella. In: Papers. RePEc:arx:papers:2311.04008.

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2023A flexible estimation of sectoral portfolio exposure to climate transition risks in the European stock market. (2023). Zanin, Luca. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:39:y:2023:i:c:s2214635023000382.

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2023Accounting for PD-LGD dependency: A tractable extension to the Basel ASRF framework. (2023). Vrins, Frederic ; Barbagli, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001335.

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2023One or two-step? Evaluating GMM efficiency for spatial binary probit models. (2023). Sarrias, Mauricio ; Piras, Gianfranco. In: Journal of choice modelling. RePEc:eee:eejocm:v:48:y:2023:i:c:s1755534523000337.

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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2023Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data. (2023). Calabrese, Raffaella. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:989-997.

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2023Operational research and artificial intelligence methods in banking. (2023). Zhang, Wenke ; Platanakis, Emmanouil ; Gounopoulos, Dimitrios ; Zopounidis, Constantin ; Doumpos, Michalis. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:1-16.

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2023Joint models for longitudinal and discrete survival data in credit scoring. (2023). Lindgren, Finn ; Crook, Jonathan ; Calabrese, Raffaella ; Medina-Olivares, Victor. In: European Journal of Operational Research. RePEc:eee:ejores:v:307:y:2023:i:3:p:1457-1473.

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2023Joint models of multivariate longitudinal outcomes and discrete survival data with INLA: An application to credit repayment behaviour. (2023). Crook, Jonathan ; Calabrese, Raffaella ; Lindgren, Finn ; Medina-Olivares, Victor. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:860-873.

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2024Interpretable machine learning for imbalanced credit scoring datasets. (2024). Martin-Barragan, Belen ; Calabrese, Raffaella ; Chen, Yujia. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:1:p:357-372.

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2023Inflation and west African sectoral stock price indices: An asymmetric kernel method analysis. (2023). Banto, Jean Michel ; Some, Sobom Matthieu ; Aurelien, Libaud Rudy. In: Emerging Markets Review. RePEc:eee:ememar:v:54:y:2023:i:c:s1566014122001042.

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2023Determinants of connectedness in financial institutions: Evidence from Taiwan. (2023). Mo, Wan-Shin ; Chiang, Shu-Hen ; Chen, Yu-Lun. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014122000681.

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2023A two-stage credit scoring model based on random forest: Evidence from Chinese small firms. (2023). Ballester, Laura ; Shen, Long ; Zhou, Ying. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002715.

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2023Loss given default or default status: Which is better to determine farmers’ credit ratings?. (2023). Hua, Yiting ; Shi, Baofeng ; Chai, Nana. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s154461232300048x.

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2023The impact of macroeconomic scenarios on recurrent delinquency: A stress testing framework of multi-state models for mortgages. (2023). Andreeva, Galina ; Crook, Jonathan ; Bocchio, Cecilia. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1655-1677.

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2023Predicting loss given default of unsecured consumer loans with time-varying survival scores. (2023). Bellotti, Anthony ; Li, Zhiyong. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:78:y:2023:i:c:s0927538x2300015x.

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2023.

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Works by Raffaella Calabrese:


YearTitleTypeCited
2014Modelling cross-border systemic risk in the European banking sector: a copula approach In: Papers.
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paper1
2014A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models In: Papers.
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paper10
2016A comparative analysis of the UK and Italian small businesses using Generalised Extreme Value models.(2016) In: European Journal of Operational Research.
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This paper has nother version. Agregated cites: 10
article
2019A joint scoring model for peer?to?peer and traditional lending: a bivariate model with copula dependence In: Journal of the Royal Statistical Society Series A.
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article2
2014ESTIMATORS OF BINARY SPATIAL AUTOREGRESSIVE MODELS: A MONTE CARLO STUDY In: Journal of Regional Science.
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article20
2012Estimators of Binary Spatial Autoregressive Models: A Monte Carlo Study.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 20
paper
2013A probabilistic scheme with uniform correlation structure In: Statistics in Transition new series.
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article0
2014Downturn Loss Given Default: Mixture distribution estimation In: European Journal of Operational Research.
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article21
2017The effectiveness of TARP-CPP on the US banking industry: A new copula-based approach In: European Journal of Operational Research.
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article18
2019A new approach to measure systemic risk: A bivariate copula model for dependent censored data In: European Journal of Operational Research.
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article8
2020Spatial contagion in mortgage defaults: A spatial dynamic survival model with time and space varying coefficients In: European Journal of Operational Research.
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article9
2010Bank loan recovery rates: Measuring and nonparametric density estimation In: Journal of Banking & Finance.
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article56
2019Mortgage default decisions in the presence of non-normal, spatially dependent disturbances In: Regional Science and Urban Economics.
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article0
2013Uniform correlation structure and convex stochastic ordering in the Pólya urn scheme In: Statistics & Probability Letters.
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article0
2012Uniform correlation structure and convex stochastic ordering in the PÓlya urn scheme.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 0
paper
2016Estimating Binary Spatial Autoregressive Models for Rare Events In: Advances in Econometrics.
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chapter1
2015Estimating bank default with generalised extreme value regression models In: Journal of the Operational Research Society.
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article19
2016Bankruptcy prediction of small and medium enterprises using a flexible binary generalized extreme value model In: Journal of the Operational Research Society.
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article15
2017Measuring bank contagion in Europe using binary spatial regression models In: Journal of the Operational Research Society.
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article8
2014Measuring Bank Contagion in Europe Using Binary Spatial Regression Models.(2014) In: DEM Working Papers Series.
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This paper has nother version. Agregated cites: 8
paper
2017Access to Bank Credit: The Role of Awareness of Government Initiatives for UK SMEs In: Palgrave Macmillan Studies in Banking and Financial Institutions.
[Citation analysis]
chapter0
2013Estimating bank default with generalised extreme value models In: DEM Working Papers Series.
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paper2
2017Interaction effects of region-level GDP per capita and age on labour market transition rates in Italy In: IZA Journal of Labor Economics.
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article4
2021What affects bank debt rejections? Bank lending conditions for UK SMEs In: The European Journal of Finance.
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article1
2013Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model In: Journal of Applied Statistics.
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article12
2014Optimal cut-off for rare events and unbalanced misclassification costs In: Journal of Applied Statistics.
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article1
2011Generalized Extreme Value Regression for Binary Rare Events Data: an Application to Credit Defaults In: Working Papers.
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paper2
2011Cost-sensitive classification for rare events: an application to the credit rating model validation for SMEs In: Working Papers.
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paper0
2012Improving Classifier Performance Assessment of Credit Scoring Models In: Working Papers.
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paper0
2012Regression Model for Proportions with Probability Masses at Zero and One In: Working Papers.
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paper3
2012Single-name concentration risk in credit portfolios: a comparison of concentration indices In: Working Papers.
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paper1
2012Estimating bank loans loss given default by generalized additive models In: Working Papers.
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paper3
2012Modelling Downturn Loss Given Default In: Working Papers.
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paper0
2014Predicting bank loan recovery rates with a mixed continuous?discrete model In: Applied Stochastic Models in Business and Industry.
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article14
2015Improving Forecast of Binary Rare Events Data: A GAM?Based Approach In: Journal of Forecasting.
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article1
2019“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults In: Risk Analysis.
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article6

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