7
H index
5
i10 index
249
Citations
Banco Central do Brasil | 7 H index 5 i10 index 249 Citations RESEARCH PRODUCTION: 20 Articles 36 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Wagner Piazza Gaglianone. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Brazilian Review of Finance | 2 |
Energy Economics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers Series / Central Bank of Brazil, Research Department | 22 |
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) | 7 |
MPRA Paper / University Library of Munich, Germany | 2 |
Year | Title of citing document |
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2023 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper |
2022 | Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082. Full description at Econpapers || Download paper |
2022 | Probabilistic quantile factor analysis. (2022). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301. Full description at Econpapers || Download paper |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper |
2023 | Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: Manchester School. RePEc:bla:manchs:v:91:y:2023:i:3:p:171-232. Full description at Econpapers || Download paper |
2023 | Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116. Full description at Econpapers || Download paper |
2022 | Forecasting Inflation with a Zero Lower Bound or Negative Interest Rates: Evidence from Point and Density Forecasts. (2022). Caporale, Guglielmo Maria ; Anderl, Christina. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9687. Full description at Econpapers || Download paper |
2022 | A procedure for upgrading linear-convex combination forecasts with an application to volatility prediction. (2022). Wilfling, Bernd ; Monschang, Verena. In: CQE Working Papers. RePEc:cqe:wpaper:9722. Full description at Econpapers || Download paper |
2022 | Point and interval forecasting system for crude oil price based on complete ensemble extreme-point symmetric mode decomposition with adaptive noise and intelligent optimization algorithm. (2022). Li, Shaoting ; Wang, Xuerui. In: Applied Energy. RePEc:eee:appene:v:328:y:2022:i:c:s0306261922014519. Full description at Econpapers || Download paper |
2022 | Modeling tail risks of inflation using unobserved component quantile regressions. (2022). Pfarrhofer, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s016518892200197x. Full description at Econpapers || Download paper |
2023 | Can 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. Full description at Econpapers || Download paper |
2022 | Central bank credibility and its effect on stabilization. (2022). Bicchal, Motilal. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:76:y:2022:i:c:p:73-94. Full description at Econpapers || Download paper |
2023 | Can ignorance about the interest rate and macroeconomic surprises affect the stock market return? Evidence from a large emerging economy. (2023). de Mendonça, Helder ; Rodriguez, Raime Rolando ; de Mendona, Helder Ferreira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002030. Full description at Econpapers || Download paper |
2023 | A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250. Full description at Econpapers || Download paper |
2022 | A nonparametric copula approach to conditional Value-at-Risk. (2022). Dunn, Richard ; Geenens, Gery. In: Econometrics and Statistics. RePEc:eee:ecosta:v:21:y:2022:i:c:p:19-37. Full description at Econpapers || Download paper |
2022 | Breaks, trends and correlations in commodity prices in the very long-run. (2022). Smyth, Russell ; Ivanovski, Kris ; Inekwe, John ; Awaworyi-Churchill, Sefa. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322001116. Full description at Econpapers || Download paper |
2022 | Interval forecasting of carbon price: A novel multiscale ensemble forecasting approach. (2022). Wang, Ping ; Zhu, Bangzhu. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s014098832200490x. Full description at Econpapers || Download paper |
2023 | Using machine learning to select variables in data envelopment analysis: Simulations and application using electricity distribution data. (2023). Soderberg, Magnus ; Sjolander, Par ; Mnsson, Kristofer ; Javed, Farrukh ; Duras, Toni. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001196. Full description at Econpapers || Download paper |
2023 | Global supply chain pressure and commodity markets: Evidence from multiple wavelet and quantile connectedness analyses. (2023). Gözgör, Giray ; Yarovaya, Larisa ; Khalfaoui, Rabeh ; Gozgor, Giray. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001642. Full description at Econpapers || Download paper |
2022 | Measuring exchange rate risks during periods of uncertainty. (2022). Yapi, Joseph ; Ferrara, Laurent. In: International Economics. RePEc:eee:inteco:v:170:y:2022:i:c:p:202-212. Full description at Econpapers || Download paper |
2022 | Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio. (2022). Taylor, James W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426622001133. Full description at Econpapers || Download paper |
2022 | Fundamentals, regimes and exchange rate forecasts: Insights from a meta exchange rate model. (2022). Lee, Kevin ; Shields, Kalvinder ; Aristidou, Chrystalleni. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:123:y:2022:i:c:s0261560622000043. Full description at Econpapers || Download paper |
2022 | What type of information calls the attention of forecasters? Evidence from survey data in an emerging market. (2022). de Azevedo, Mateus ; Vereda, Luciano ; de Mendona, Helder Ferreira. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:129:y:2022:i:c:s0261560622001255. Full description at Econpapers || Download paper |
2022 | Deviating from full rationality but not from theoretical consistency: The behavior of inflation expectations in Brazil. (2022). Lima, Gilberto ; Meurer, Roberto ; de Freitas, Leilane. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:84:y:2022:i:c:p:492-501. Full description at Econpapers || Download paper |
2022 | Tail Forecasting with Multivariate Bayesian Additive Regression Trees. (2021). Pfarrhofer, Michael ; Marcellino, Massimiliano ; Huber, Florian ; Clark, Todd ; Koop, Gary. In: Working Papers. RePEc:fip:fedcwq:90366. Full description at Econpapers || Download paper |
2023 | Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160. Full description at Econpapers || Download paper |
2022 | Specification Choices in Quantile Regression for Empirical Macroeconomics. (2022). Marcellino, Massimiliano ; Clark, Todd E ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:94690. Full description at Econpapers || Download paper |
2023 | Rational Inattention: A Review. (2022). Wiederholt, Mirko ; Matjka, Filip ; Makowiak, Bartosz. In: Post-Print. RePEc:hal:journl:hal-03878692. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2022 | Regression-Based Expected Shortfall Backtesting*. (2022). Dimitriadis, Timo ; Bayer, Sebastian. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:20:y:2022:i:3:p:437-471.. Full description at Econpapers || Download paper |
2023 | Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72.. Full description at Econpapers || Download paper |
2022 | Attention to the Tail(s): Global Financial Conditions and Exchange Rate Risks. (2022). Sokol, Andrej ; Eguren-Martin, Fernando. In: IMF Economic Review. RePEc:pal:imfecr:v:70:y:2022:i:3:d:10.1057_s41308-022-00160-0. Full description at Econpapers || Download paper |
2022 | Macroeconomic factors and value and growth strategies: evidence from Brazil. (2022). Carrasco, Carlos Enrique ; Peixoto, Iasmin Emillyn. In: MPRA Paper. RePEc:pra:mprapa:114875. Full description at Econpapers || Download paper |
2022 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Storti, Giuseppe ; Wang, Chao. In: MPRA Paper. RePEc:pra:mprapa:115266. Full description at Econpapers || Download paper |
2023 | The Spending Cap and Monetary Policy Effectiveness. (2023). Costa-Filho, Joo ; Teles, Vladmir ; Ribeiro, Gustavo. In: MPRA Paper. RePEc:pra:mprapa:116148. Full description at Econpapers || Download paper |
2023 | Uncertainty - Definition and Classification for the Task of Economic Forecasting. (2023). Yanchev, Mihail. In: Bulgarian Economic Papers. RePEc:sko:wpaper:bep-2023-03. Full description at Econpapers || Download paper |
2022 | Can news-based economic sentiment predict bubbles in precious metal markets?. (2022). Maghyereh, Aktham ; Abdoh, Hussein. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00341-w. Full description at Econpapers || Download paper |
2023 | Equity?premium prediction: Attention is all you need. (2023). Godeiro, Lucas Lucio ; Lima, Luiz Renato. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:1:p:105-122. Full description at Econpapers || Download paper |
2023 | Inattention and the impact of monetary policy. (2023). Sheng, Xuguang Simon ; Abozaid, Salem ; An, Zidong. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:623-643. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2017 | Inattention in individual expectations In: Economia. [Full Text][Citation analysis] | article | 2 |
2015 | Inattention in Individual Expectations.(2015) In: Working Papers Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | Inattention in individual expectations.(2016) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2008 | Evaluating Value-at-Risk Models via Quantile Regressions. In: Working Papers Series. [Full Text][Citation analysis] | paper | 79 |
2011 | Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | article | |
2009 | Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | paper | |
2008 | Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | paper | |
2010 | Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | paper | |
2011 | Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | article | |
2008 | Evaluating Asset Pricing Models in a Fama-French Framework. In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
2008 | An Econometric Contribution to the Intertemporal Approach of the Current Account. In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2011 | Macro Stress Testing of Credit Risk Focused on the Tails In: Working Papers Series. [Full Text][Citation analysis] | paper | 22 |
2012 | Macro stress testing of credit risk focused on the tails.(2012) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2012 | Financial Stability in Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 7 |
2013 | Financial stability in Brazil.(2013) In: Chapters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | chapter | |
2014 | Risk Assessment of the Brazilian FX Rate In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Microfounded Forecasting In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2015 | Microfounded forecasting.(2015) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2019 | Microfounded forecasting.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2015 | Local Unit Root and Inflationary Inertia in Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Financial Conditions Indicators for Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
2017 | Financial Conditions Indicator for Brazil.(2017) In: IDB Publications (Working Papers). [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
2016 | Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2017 | Applying a microfounded-forecasting approach to predict Brazilian inflation.(2017) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2016 | Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 5 |
2017 | Evaluation of exchange rate point and density forecasts: An application to Brazil.(2017) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2017 | Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
2017 | Empirical Findings on Inflation Expectations in Brazil: a survey In: Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
2017 | Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
2018 | Incentive-driven Inattention In: Working Papers Series. [Full Text][Citation analysis] | paper | 8 |
2019 | Incentive-driven Inattention.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2022 | Incentive-driven inattention.(2022) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | article | |
2019 | Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2019 | Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term In: Working Papers Series. [Full Text][Citation analysis] | paper | 4 |
2020 | Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2020 | Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2020 | Commodity Prices and Global Economic Activity: a derived-demand approach In: Working Papers Series. [Full Text][Citation analysis] | paper | 4 |
2021 | Commodity prices and global economic activity: A derived-demand approach.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2021 | Machine Learning and Oil Price Point and Density Forecasting In: Working Papers Series. [Full Text][Citation analysis] | paper | 4 |
2021 | Machine learning and oil price point and density forecasting.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2021 | Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2022 | Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
2023 | Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models.(2023) In: Latin American Journal of Central Banking (previously Monetaria). [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2023 | Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Survey-based inflation expectations in Brazil In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 5 |
2012 | Evaluating Asset Pricing Models in a Simulated Multifactor Approach In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 1 |
2005 | An Essay on the Foreign Exchange Rate Expectations in Brazil In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
2008 | Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach In: Journal of Development Economics. [Full Text][Citation analysis] | article | 16 |
2006 | Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach.(2006) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2018 | Estimating inflation persistence by quantile autoregression with quantile-specific unit roots In: Economic Modelling. [Full Text][Citation analysis] | article | 5 |
2017 | Estimating the credibility of Brazilian monetary policy using a Kalman filter approach In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 0 |
2005 | Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantílico auto-regressivo (QAR) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 9 |
2012 | Constructing Density Forecasts from Quantile Regressions In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 35 |
2012 | Constructing Density Forecasts from Quantile Regressions.(2012) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | article | |
2012 | Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers). [Full Text][Citation analysis] | paper | 27 |
2014 | CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
2005 | Um ensaio sobre expectativas da taxa de câmbio no Brasil In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2006 | Stochastic simulation of a DSGE model for Brazil In: MPRA Paper. [Full Text][Citation analysis] | paper | 5 |
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