Wagner Piazza Gaglianone : Citation Profile

Are you Wagner Piazza Gaglianone?

Banco Central do Brasil

7

H index

5

i10 index

249

Citations

RESEARCH PRODUCTION:

20

Articles

36

Papers

2

Chapters

RESEARCH ACTIVITY:

   18 years (2005 - 2023). See details.
   Cites by year: 13
   Journals where Wagner Piazza Gaglianone has often published
   Relations with other researchers
   Recent citing documents: 40.    Total self citations: 21 (7.78 %)

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   Permalink: http://citec.repec.org/pga306
   Updated: 2023-11-04    RAS profile: 2023-06-04    
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Relations with other researchers

Works with:

Issler, João (8)

Giacomini, Raffaella (3)

Skreta, Vasiliki (3)

Oliveira, Fernando (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wagner Piazza Gaglianone.

Is cited by:

Korobilis, Dimitris (11)

Sokol, Andrej (7)

Marcellino, Massimiliano (6)

Clark, Todd (6)

Liu, Xiaochun (5)

Liu, Xiaochun (5)

Eguren Martin, Fernando (5)

Liu, Xiaochun (5)

Liu, Xiaochun (5)

Pfarrhofer, Michael (5)

Zakrajšek, Egon (4)

Cites to:

Lima, Luiz (38)

Kilian, Lutz (30)

West, Kenneth (29)

Goldfajn, Ilan (26)

Issler, João (24)

Timmermann, Allan (23)

Minella, André (21)

Reis, Ricardo (20)

Clark, Todd (20)

Mankiw, N. Gregory (19)

Elliott, Graham (18)

Main data

Where Wagner Piazza Gaglianone has published?

Journals with more than one article published# docs
Brazilian Review of Finance2
Energy Economics2

Working Papers Series with more than one paper published# docs
Working Papers Series / Central Bank of Brazil, Research Department22
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, Germany2

Recent works citing Wagner Piazza Gaglianone (2023 and 2022)

YearTitle of citing document
2023Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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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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2022Bayesian forecast combination using time-varying features. (2021). Li, Feng ; Kang, Yanfei. In: Papers. RePEc:arx:papers:2108.02082.

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2022Probabilistic quantile factor analysis. (2022). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301.

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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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2023Forecasting 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.

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2023Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116.

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2022Forecasting 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.

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2022A 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.

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2022Point 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.

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2022Modeling 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.

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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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2022Central 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.

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2023Can 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.

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2023A 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.

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2022A 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.

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2022Breaks, 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.

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2022Interval 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.

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2023Using 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.

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2023Global 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.

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2022Measuring 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.

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2022Forecasting 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.

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2022Fundamentals, 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.

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2022What 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.

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2022Deviating 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.

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2022Tail 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.

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2023Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160.

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2022Specification Choices in Quantile Regression for Empirical Macroeconomics. (2022). Marcellino, Massimiliano ; Clark, Todd E ; Carriero, Andrea. In: Working Papers. RePEc:fip:fedcwq:94690.

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2023Rational Inattention: A Review. (2022). Wiederholt, Mirko ; Matjka, Filip ; Makowiak, Bartosz. In: Post-Print. RePEc:hal:journl:hal-03878692.

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2023.

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2022Regression-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..

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2023Measuring 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..

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2022Attention 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.

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2022Macroeconomic factors and value and growth strategies: evidence from Brazil. (2022). Carrasco, Carlos Enrique ; Peixoto, Iasmin Emillyn. In: MPRA Paper. RePEc:pra:mprapa:114875.

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2022A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Storti, Giuseppe ; Wang, Chao. In: MPRA Paper. RePEc:pra:mprapa:115266.

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2023The Spending Cap and Monetary Policy Effectiveness. (2023). Costa-Filho, Joo ; Teles, Vladmir ; Ribeiro, Gustavo. In: MPRA Paper. RePEc:pra:mprapa:116148.

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2023Uncertainty - Definition and Classification for the Task of Economic Forecasting. (2023). Yanchev, Mihail. In: Bulgarian Economic Papers. RePEc:sko:wpaper:bep-2023-03.

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2022Can 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.

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2023Equity?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.

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2023Inattention 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.

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Works by Wagner Piazza Gaglianone:

YearTitleTypeCited
2017Inattention in individual expectations In: Economia.
[Full Text][Citation analysis]		article2
2015Inattention in Individual Expectations.(2015) In: Working Papers Series.
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This paper has another version. Agregated cites: 2		paper
2016Inattention in individual expectations.(2016) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 2		paper
2008Evaluating Value-at-Risk Models via Quantile Regressions. In: Working Papers Series.
[Full Text][Citation analysis]		paper79
2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 79		article
2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
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This paper has another version. Agregated cites: 79		paper
2008Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 79		paper
2010Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series.
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This paper has another version. Agregated cites: 79		paper
2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 79		article
2008Evaluating Asset Pricing Models in a Fama-French Framework. In: Working Papers Series.
[Full Text][Citation analysis]		paper2
2008An Econometric Contribution to the Intertemporal Approach of the Current Account. In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2011Macro Stress Testing of Credit Risk Focused on the Tails In: Working Papers Series.
[Full Text][Citation analysis]		paper22
2012Macro stress testing of credit risk focused on the tails.(2012) In: Journal of Financial Stability.
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This paper has another version. Agregated cites: 22		article
2012Financial Stability in Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper7
2013Financial stability in Brazil.(2013) In: Chapters.
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This paper has another version. Agregated cites: 7		chapter
2014Risk Assessment of the Brazilian FX Rate In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2014Microfounded Forecasting In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2015Microfounded forecasting.(2015) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 0		paper
2019Microfounded forecasting.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 0		paper
2015Local Unit Root and Inflationary Inertia in Brazil In: Working Papers Series.
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2016Financial Conditions Indicators for Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper2
2017Financial Conditions Indicator for Brazil.(2017) In: IDB Publications (Working Papers).
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This paper has another version. Agregated cites: 2		paper
2016Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2017Applying a microfounded-forecasting approach to predict Brazilian inflation.(2017) In: Empirical Economics.
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This paper has another version. Agregated cites: 0		article
2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper5
2017Evaluation of exchange rate point and density forecasts: An application to Brazil.(2017) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 5		article
2017Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model In: Working Papers Series.
[Full Text][Citation analysis]		paper2
2017Empirical Findings on Inflation Expectations in Brazil: a survey In: Working Papers Series.
[Full Text][Citation analysis]		paper3
2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression In: Working Papers Series.
[Full Text][Citation analysis]		paper1
2018Incentive-driven Inattention In: Working Papers Series.
[Full Text][Citation analysis]		paper8
2019Incentive-driven Inattention.(2019) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 8		paper
2022Incentive-driven inattention.(2022) In: Journal of Econometrics.
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2019Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 8		paper
2019Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term In: Working Papers Series.
[Full Text][Citation analysis]		paper4
2020Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics.
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This paper has another version. Agregated cites: 4		article
2020Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics.
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This paper has another version. Agregated cites: 4		article
2020Commodity Prices and Global Economic Activity: a derived-demand approach In: Working Papers Series.
[Full Text][Citation analysis]		paper4
2021Commodity prices and global economic activity: A derived-demand approach.(2021) In: Energy Economics.
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This paper has another version. Agregated cites: 4		article
2021Machine Learning and Oil Price Point and Density Forecasting In: Working Papers Series.
[Full Text][Citation analysis]		paper4
2021Machine learning and oil price point and density forecasting.(2021) In: Energy Economics.
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This paper has another version. Agregated cites: 4		article
2021Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2022Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models In: Working Papers Series.
[Full Text][Citation analysis]		paper1
2023Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models.(2023) In: Latin American Journal of Central Banking (previously Monetaria).
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This paper has another version. Agregated cites: 1		article
2023Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models In: Working Papers Series.
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2010Survey-based inflation expectations in Brazil In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter5
2012Evaluating Asset Pricing Models in a Simulated Multifactor Approach In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article1
2005An Essay on the Foreign Exchange Rate Expectations in Brazil In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2008Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach In: Journal of Development Economics.
[Full Text][Citation analysis]		article16
2006Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach.(2006) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has another version. Agregated cites: 16		paper
2018Estimating inflation persistence by quantile autoregression with quantile-specific unit roots In: Economic Modelling.
[Full Text][Citation analysis]		article5
2017Estimating the credibility of Brazilian monetary policy using a Kalman filter approach In: Research in International Business and Finance.
[Full Text][Citation analysis]		article0
2005Limite 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]		paper9
2012Constructing Density Forecasts from Quantile Regressions In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article35
2012Constructing Density Forecasts from Quantile Regressions.(2012) In: Journal of Money, Credit and Banking.
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This paper has another version. Agregated cites: 35		article
2012Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers).
[Full Text][Citation analysis]		paper27
2014CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS.(2014) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 27		article
2005Um ensaio sobre expectativas da taxa de câmbio no Brasil In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2006Stochastic simulation of a DSGE model for Brazil In: MPRA Paper.
[Full Text][Citation analysis]		paper5

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