24
H index
33
i10 index
3193
Citations
European Central Bank | 24 H index 33 i10 index 3193 Citations RESEARCH PRODUCTION: 28 Articles 52 Papers 1 Chapters EDITOR: Books edited 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 Simone Manganelli. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Research Bulletin | 4 |
Journal of Business & Economic Statistics | 2 |
Journal of Money, Credit and Banking | 2 |
Economics Letters | 2 |
Journal of Money, Credit and Banking | 2 |
Journal of Financial Intermediation | 2 |
Journal of Financial Econometrics | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Paper Series / European Central Bank | 31 |
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 4 |
Occasional Paper Series / European Central Bank | 2 |
Year | Title of citing document | |
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2024 | To VaR, or Not to VaR, That is the Question. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559. Full description at Econpapers || Download paper | |
2024 | Estimations of the Local Conditional Tail Average Treatment Effect. (2024). Chen, Le-Yu ; Yen, Yu-Min. In: Papers. RePEc:arx:papers:2109.08793. Full description at Econpapers || Download paper | |
2024 | Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224. Full description at Econpapers || Download paper | |
2025 | Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2024 | A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2024 | Expectile hidden Markov regression models for analyzing cryptocurrency returns. (2024). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2301.09722. Full description at Econpapers || Download paper | |
2025 | Large Banks and Systemic Risk: Insights from a Mean-Field Game Model. (2025). Benatia, David ; Chang, Yuanyuan ; Firoozi, Dena. In: Papers. RePEc:arx:papers:2305.17830. Full description at Econpapers || Download paper | |
2024 | Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper | |
2025 | Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327. Full description at Econpapers || Download paper | |
2024 | Navigating Market Turbulence: Insights from Causal Network Contagion Value at Risk. (2024). Cook, Samantha ; Rigana, Katerina ; Wit, Ernst C. In: Papers. RePEc:arx:papers:2402.06032. Full description at Econpapers || Download paper | |
2024 | Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134. Full description at Econpapers || Download paper | |
2024 | Semi-parametric financial risk forecasting incorporating multiple realized measures. (2024). Gerlach, Richard ; Iroshani, Rangika H ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2402.09985. Full description at Econpapers || Download paper | |
2024 | Extremal quantiles of intermediate orders under two-way clustering. (2024). Sasaki, Yuya ; Kato, Ryutah ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2402.19268. Full description at Econpapers || Download paper | |
2025 | Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2403.02591. Full description at Econpapers || Download paper | |
2024 | Inflation Target at Risk: A Time-varying Parameter Distributional Regression. (2024). Oka, Tatsushi ; Wang, Yunyun ; Zhu, Dan. In: Papers. RePEc:arx:papers:2403.12456. Full description at Econpapers || Download paper | |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper | |
2024 | Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235. Full description at Econpapers || Download paper | |
2024 | CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619. Full description at Econpapers || Download paper | |
2024 | Global Balance and Systemic Risk in Financial Correlation Networks. (2024). Grassi, Rosanna ; Uberti, Pierpaolo ; Bartesaghi, Paolo ; Diaz-Diaz, Fernando. In: Papers. RePEc:arx:papers:2407.14272. Full description at Econpapers || Download paper | |
2024 | Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497. Full description at Econpapers || Download paper | |
2024 | Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression. (2024). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2408.12210. Full description at Econpapers || Download paper | |
2024 | Loss-based Bayesian Sequential Prediction of Value at Risk with a Long-Memory and Non-linear Realized Volatility Model. (2024). Gerlach, Richard ; Peiris, Rangika ; Tran, Minh-Ngoc ; Wang, Chao. In: Papers. RePEc:arx:papers:2408.13588. Full description at Econpapers || Download paper | |
2024 | Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516. Full description at Econpapers || Download paper | |
2024 | A Structural Approach to Growth-at-Risk. (2024). Wojciechowski, Robert. In: Papers. RePEc:arx:papers:2410.04431. Full description at Econpapers || Download paper | |
2024 | The Transmission of Monetary Policy via Common Cycles in the Euro Area. (2024). Pruser, Jan ; Berend, Lukas. In: Papers. RePEc:arx:papers:2410.05741. Full description at Econpapers || Download paper | |
2024 | International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628. Full description at Econpapers || Download paper | |
2024 | Tail Risk Alert Based on Conditional Autoregressive VaR by Regression Quantiles and Machine Learning Algorithms. (2024). Yin, Yuchen ; Ke, Zong. In: Papers. RePEc:arx:papers:2412.06193. Full description at Econpapers || Download paper | |
2025 | Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278. Full description at Econpapers || Download paper | |
2025 | Crossing penalised CAViaR. (2025). Szendrei, Tibor. In: Papers. RePEc:arx:papers:2501.10564. Full description at Econpapers || Download paper | |
2025 | Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065. Full description at Econpapers || Download paper | |
2025 | Using quantile time series and historical simulation to forecast financial risk multiple steps ahead. (2025). Storti, Giuseppe ; Naimoli, Antonio ; Gerlach, Richard. In: Papers. RePEc:arx:papers:2502.20978. Full description at Econpapers || Download paper | |
2025 | Systemic Risk in the European Insurance Sector. (2025). di Giorgio, Giorgio ; Consiglio, Andrea ; Borri, Nicola ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635. Full description at Econpapers || Download paper | |
2024 | Inflation, Attention and Expectations. (2024). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Briand, Etienne. In: Working Papers. RePEc:bbh:wpaper:24-05. Full description at Econpapers || Download paper | |
2024 | Central Bank Liquidity Policy in Modern Times. (2024). Brooks, Skylar. In: Discussion Papers. RePEc:bca:bocadp:24-06. Full description at Econpapers || Download paper | |
2024 | On the Banking Deepening and Economic Volatility Nexus in Emerging Countries: Evidence from a GMM Panel-VAR Approach. (2024). Sebai, Meriem ; Talbi, Omar ; Mehri, Hella Guerchi. In: International Journal of Research and Innovation in Social Science. RePEc:bcp:journl:v:8:y:2024:i:5:p:430-442. Full description at Econpapers || Download paper | |
2025 | Fragile wholesale deposits, liquidity risk, and banks maturity transformation. (2025). Müller, Carola ; Sarmiento, Miguel ; Busch, Matias Ossandon ; Pinzon-Puerto, Freddy ; Mller, Carola. In: BIS Working Papers. RePEc:bis:biswps:1263. Full description at Econpapers || Download paper | |
2024 | Dynamic linkages in agricultural and energy markets: A quantile impulse response approach. (2024). Wang, Linjie ; Li, Jian ; Chavas, Jeanpaul. In: Agricultural Economics. RePEc:bla:agecon:v:55:y:2024:i:4:p:639-676. Full description at Econpapers || Download paper | |
2024 | On vector linear double autoregression. (2024). Zhu, Qianqian ; Lin, Yuchang. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:3:p:376-397. Full description at Econpapers || Download paper | |
2024 | Time Series Quantile Regression Using Random Forests. (2024). Shibuki, Ryotato ; Shiraishi, Hiroshi ; Nakamura, Tomoshige. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:45:y:2024:i:4:p:639-659. Full description at Econpapers || Download paper | |
2024 | Smooth and Abrupt Dynamics in Financial Volatility: The MS‐MEM‐MIDAS. (2024). Gallo, Giampiero ; Otranto, Edoardo ; Domianello, Luca Scaffidi. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:1:p:21-43. Full description at Econpapers || Download paper | |
2024 | Growth-at-risk for macroprudential policy stance assessment: a survey. (2024). Škrinjarić, Tihana. In: Bank of England working papers. RePEc:boe:boeewp:1075. Full description at Econpapers || Download paper | |
2024 | Monetary Policy and the Mutual Fund Market: Funding and Liquidity. (2024). Stein, Roy ; Ribon, Sigal ; Ben-Zeev, Noam. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2024.11. Full description at Econpapers || Download paper | |
2024 | “Whatever It Takes!” How Tonality of TV-News Affected Government Bond Yield Spreads during the European Debt Crisis. (2024). Thomas, Tobias ; Köhler, Ekkehard ; Feld, Lars ; Hirsch, Patrick ; Kohler, Ekkehard A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10980. Full description at Econpapers || Download paper | |
2024 | Good Debt or Bad Debt?. (2024). Tamborini, Roberto. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11503. Full description at Econpapers || Download paper | |
2025 | Inflation, Attention and Expectations. (2025). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Briand, Etienne. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-01. Full description at Econpapers || Download paper | |
2024 | International vulnerability of inflation. (2024). Ortega, Esther Ruiz ; Rodrguez, Carlos Vladimir ; Vedia, Ignacio Garrn. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:44814. Full description at Econpapers || Download paper | |
2024 | On the relationship of country geopolitical risk on energy inflation. (2024). Lopes, Mara Helena ; Vedia, Ignacio Garrn ; de Oliveira, Cristina Alexandra. In: DES - Working Papers. Statistics and Econometrics. WS. RePEc:cte:wsrepe:45113. Full description at Econpapers || Download paper | |
2024 | Quantifying financial stability risks for monetary policy. (2024). Kremer, Manfred ; Chavleishvili, Sulkhan ; Lund-Thomsen, Frederik. In: Research Bulletin. RePEc:ecb:ecbrbu:2024:0115:. Full description at Econpapers || Download paper | |
2024 | Central bank asset purchases and auction cycles revisited: new evidence from the euro area. (2024). Ferrara, Federico Maria. In: Working Paper Series. RePEc:ecb:ecbwps:20242927. Full description at Econpapers || Download paper | |
2024 | Asymmetries in the transmission of monetary policy shocks over the business cycle: a Bayesian Quantile Factor Augmented VAR. (2024). Velasco, Sofia. In: Working Paper Series. RePEc:ecb:ecbwps:20242983. Full description at Econpapers || Download paper | |
2025 | The taming of the skew: asymmetric inflation risk and monetary policy. (2025). Petrella, Ivan ; Melosi, Leonardo ; de Polis, Andrea. In: Working Paper Series. RePEc:ecb:ecbwps:20253028. Full description at Econpapers || Download paper | |
2024 | Does oil future increase the network systemic risk of financial institutions in China?. (2024). Sun, Chuanwang ; Lin, Yuting ; Zhou, Lichao ; Chen, Chuanglian. In: Applied Energy. RePEc:eee:appene:v:364:y:2024:i:c:s0306261924005592. Full description at Econpapers || Download paper | |
2024 | Tail risk connectedness in G7 stock markets: Understanding the impact of COVID-19 and related variants. (2024). HU, YANG ; Corbet, Shaen ; Hou, Yang ; Lang, Chunlin. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000042. Full description at Econpapers || Download paper | |
2024 | Financial conditions, macroeconomic uncertainty, and macroeconomic tail risks. (2024). Huang, Yu-Fan ; Liao, Wenting ; Luo, Sui ; Ma, Jun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:163:y:2024:i:c:s0165188924000630. Full description at Econpapers || Download paper | |
2025 | Judgment can spur long memory. (2025). Zanetti Chini, Emilio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:170:y:2025:i:c:s0165188924001970. Full description at Econpapers || Download paper | |
2024 | Do internal and external risk spillovers of the food system matter for national food security?. (2024). Hu, Xin ; Zhou, Sitong ; Zhu, BO ; Zhang, Bokai. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001032. Full description at Econpapers || Download paper | |
2024 | Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China. (2024). Lai, Yongzeng ; Yang, Xite ; Tao, Qiufan ; Zhang, Qin ; Huang, Linya ; Liu, Haiyue. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001559. Full description at Econpapers || Download paper | |
2024 | Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602. Full description at Econpapers || Download paper | |
2024 | The volume-implied volatility relation in financial markets: A behavioral explanation. (2024). Cheuathonghua, Massaporn ; Padungsaksawasdi, Chaiyuth. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000238. Full description at Econpapers || Download paper | |
2024 | Forecasting volatility of stock indices: Improved GARCH-type models through combined weighted volatility measure and weighted volatility indicators. (2024). de Khoo, Zhi ; Koh, You Beng ; Ng, Kooi Huat. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000378. Full description at Econpapers || Download paper | |
2024 | Market risk modeling with option-implied covariances and score-driven dynamics. (2024). Herrera, Rodrigo ; Pia, Marco. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000615. Full description at Econpapers || Download paper | |
2024 | Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis. (2024). Zhang, YI ; Zhou, Long ; Liu, Fang ; Wu, Baoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000895. Full description at Econpapers || Download paper | |
2024 | Risk spillover mechanism among commercial banks and FinTech institutions throughout public health emergencies. (2024). Zhu, Jing ; Zhao, Jingsong ; Sun, Jiaojiao ; Zhang, Chen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001402. Full description at Econpapers || Download paper | |
2024 | ETFs amidst the COVID-induced technological transformation: Sectoral insights from time-varying dynamics of tail risk transmissions. (2024). Tunc, Ahmet. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:74:y:2024:i:c:s1062940824001682. Full description at Econpapers || Download paper | |
2025 | Dynamic connectedness of climate risks, oil shocks, and China’s energy futures market: Time-frequency evidence from Quantile-on-Quantile regression. (2025). Wang, Nairong ; Zhu, Huiming ; Ren, Yinghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824001888. Full description at Econpapers || Download paper | |
2025 | Multiscale tail risk integration between safe-haven assets and Africa’s emerging equity market. (2025). Aikins, Emmanuel Joel ; Abdullah, Mohammad ; Amponsah, Dan Owusu ; Lee, Chi-Chuan ; Abor, Joshua Yindenaba. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:75:y:2025:i:pa:s1062940824002195. Full description at Econpapers || Download paper | |
2024 | Better the devil you know: Improved forecasts from imperfect models. (2024). Oh, Dong Hwan ; Patton, Andrew J. In: Journal of Econometrics. RePEc:eee:econom:v:242:y:2024:i:1:s0304407624001131. Full description at Econpapers || Download paper | |
2024 | Reprint of: Out-of-sample tests for conditional quantile coverage: An application to Growth-at-Risk. (2024). Fosten, Jack ; Corradi, Valentina ; Gutknecht, Daniel. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624000927. Full description at Econpapers || Download paper | |
2024 | Functional quantile autoregression. (2024). Liu, Weiyi ; Xiao, Zhijie ; Chen, Rong ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:2:s0304407624001118. Full description at Econpapers || Download paper | |
2024 | Inference in predictive quantile regressions. (2024). Maynard, Alex ; Shimotsu, Katsumi ; Kuriyama, Nina. In: Journal of Econometrics. RePEc:eee:econom:v:245:y:2024:i:1:s0304407624002203. Full description at Econpapers || Download paper | |
2025 | Multiplicative Error Models: 20 years on. (2025). Gallo, Giampiero ; Cipollini, Fabrizio. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:209-229. Full description at Econpapers || Download paper | |
2025 | Quasi Maximum Likelihood Estimation of Value at Risk and Expected Shortfall. (2025). Catania, Leopoldo ; Luati, Alessandra. In: Econometrics and Statistics. RePEc:eee:ecosta:v:33:y:2025:i:c:p:23-34. Full description at Econpapers || Download paper | |
2024 | Financial depth versus more comprehensive metrics of financial development in tests of the finance-growth nexus. (2024). Boďa, Martin ; Boa, Martin. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:1:s0939362523001127. Full description at Econpapers || Download paper | |
2024 | Contagion among European financial indices, evidence from a quantile VAR approach. (2024). Tedeschi, Marco ; Palomba, Giulio. In: Economic Systems. RePEc:eee:ecosys:v:48:y:2024:i:2:s0939362524000050. Full description at Econpapers || Download paper | |
2024 | The effects of monetary policy on macroeconomic risk. (2024). Gambetti, Luca ; Forni, Mario ; Maffei-Faccioli, Nicolo ; Sala, Luca. In: European Economic Review. RePEc:eee:eecrev:v:167:y:2024:i:c:s0014292124001181. Full description at Econpapers || Download paper | |
2024 | Labour at risk. (2024). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: European Economic Review. RePEc:eee:eecrev:v:170:y:2024:i:c:s0014292124001788. Full description at Econpapers || Download paper | |
2024 | A simulation-based method for estimating systemic risk measures. (2024). Zhou, YI ; Ye, Wuyi ; Chen, Pengzhan ; Wu, Bin. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:1:p:312-324. Full description at Econpapers || Download paper | |
2024 | Nonlinear network connectedness: Assessing financial risk transmission in MENA and influence of external financial conditions. (2024). USMAN, OJONUGWA ; Duman, Gazi Murat ; Balcilar, Mehmet. In: Emerging Markets Review. RePEc:eee:ememar:v:62:y:2024:i:c:s1566014124000815. Full description at Econpapers || Download paper | |
2024 | Untangling the finance-growth nexus: The dual role of financial development in the transmission of shocks. (2024). Ramos Francia, Manuel ; Ossandon Busch, Matias ; Montaez-Enrquez, Ricardo ; Ramos-Francia, Manuel. In: Emerging Markets Review. RePEc:eee:ememar:v:63:y:2024:i:c:s1566014124000876. Full description at Econpapers || Download paper | |
2024 | Connectedness and risk spillovers among sub-Saharan Africa and MENA equity markets. (2024). Marcelin, Isaac ; Lo, Gaye-Del ; Bassne, Thophile. In: Emerging Markets Review. RePEc:eee:ememar:v:63:y:2024:i:c:s1566014124000888. Full description at Econpapers || Download paper | |
2024 | Tail risk spillovers between Shanghai oil and other markets. (2024). Shafiullah, Muhammad ; lucey, brian ; Karim, Sitara ; Gul, Raazia ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323006801. Full description at Econpapers || Download paper | |
2024 | Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Lyu, Yongjian ; Ke, Rui ; Yang, MO ; Chang, Jianing ; Qin, Fanshu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002081. Full description at Econpapers || Download paper | |
2024 | Impact of climate risk on energy market risk spillover: Evidence from dynamic heterogeneous network analysis. (2024). Wang, Yuyouting ; Tian, Sihua ; Li, Shaofang ; Gu, Qinen. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324004833. Full description at Econpapers || Download paper | |
2024 | Commodity systemic risk and macroeconomic predictions. (2024). Fang, YI ; Zhao, Yang ; Pei, Tiancheng ; Ouyang, Ruolan. In: Energy Economics. RePEc:eee:eneeco:v:138:y:2024:i:c:s0140988324005152. Full description at Econpapers || Download paper | |
2024 | Extreme risk spillovers in international energy markets: New insights from multilayer networks in the frequency domain. (2024). Liu, Yueli ; Jin, Xiu ; Chen, NA ; Yu, Jinming. In: Energy Economics. RePEc:eee:eneeco:v:139:y:2024:i:c:s0140988324006169. Full description at Econpapers || Download paper | |
2024 | Systemic risk spillovers among global energy firms: Does geopolitical risk matter?. (2024). Zhu, BO ; Liu, Jiahao. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400745x. Full description at Econpapers || Download paper | |
2025 | Tail risk connectedness in the Australian National Electricity Markets: The impact of rare events. (2025). Nepal, Rabindra ; Jamasb, Tooraj ; Pham, Son Duy ; Do, Hung Xuan. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324008326. Full description at Econpapers || Download paper | |
2024 | Extreme downside risk connectedness between green energy and stock markets. (2024). Alomari, Mohammed ; el Khoury, Rim ; Mensi, Walid ; Vo, Xuan Vinh ; Kang, Sang Hoon. In: Energy. RePEc:eee:energy:v:312:y:2024:i:c:s0360544224032535. Full description at Econpapers || Download paper | |
2024 | Business model and ESG pillars: The impacts on banking default risk. (2024). Palmieri, Egidio ; Altunbas, Yener ; Stefanelli, Valeria ; Ferilli, Greta Benedetta ; Geretto, Enrico Fioravante. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923004945. Full description at Econpapers || Download paper | |
2024 | Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds. (2024). Wang, Danxia. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000279. Full description at Econpapers || Download paper | |
2024 | VaR and ES forecasting via recurrent neural network-based stateful models. (2024). Lazar, Emese ; Qiu, Zhiguo ; Nakata, Keiichi. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000346. Full description at Econpapers || Download paper | |
2024 | Benefits and costs: The impact of capital control on growth-at-risk in China. (2024). Zhou, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000930. Full description at Econpapers || Download paper | |
2024 | Are “too big to fail” banks just different in size? – A study on systemic risk and stand-alone risk. (2024). Li, Zongyuan ; Lai, Rose Neng. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000954. Full description at Econpapers || Download paper | |
2024 | When one domino falls, others follow: A machine learning analysis of extreme risk spillovers in developed stock markets. (2024). Shafiullah, Muhammad ; Karim, Sitara ; Naeem, Muhammad Abubakr. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001340. Full description at Econpapers || Download paper | |
2024 | Do ESG ETFs provide downside risk protection during Covid-19? Evidence from forecast combination models. (2024). Huang, Yujun. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002527. Full description at Econpapers || Download paper | |
2024 | Heterogeneous impact of economic and political uncertainty on green bond volatility: Evidence from the MRS-GARCH-MIDAS-Skewed T model. (2024). Wang, Zhuqing ; Shi, Song ; Cheng, Qiuying. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003934. Full description at Econpapers || Download paper | |
2024 | The spillover and comovement of downside and upside tail risks among crude oil futures markets. (2024). Yang, Hao ; Feng, Yun. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005106. Full description at Econpapers || Download paper | |
2024 | Spatial correlation of local government implicit debt tail risks in China and its spillover effects on the banking system. (2024). Zhang, Zhongyi ; Hao, Jing ; Xu, Jiaxiang ; Wen, Bohui. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005416. Full description at Econpapers || Download paper | |
2025 | EPU spillovers and exchange rate volatility. (2025). He, Zhongzhi ; Gong, Yuting ; Xue, Wenjun. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007567. Full description at Econpapers || Download paper | |
2025 | Non-stationary financial risk factors and macroeconomic vulnerability for the UK. (2025). Szendrei, Tibor ; Varga, Katalin. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007981. Full description at Econpapers || Download paper | |
2024 | Tail risk spillovers among Chinese stock market sectors. (2024). Ouyang, Minhua ; Xiao, Hailian. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pb:s1544612324002630. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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Year | Title | Type | Cited |
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2019 | Deciding with Judgment In: Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Deciding with judgment.(2016) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2004 | CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 1143 |
1999 | CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(1999) In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1143 | paper | |
2000 | CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1143 | paper | |
2009 | Forecasting With Judgment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 13 |
2016 | Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers. [Full Text][Citation analysis] | paper | 30 |
2018 | Measuring Financial Fragmentation in the Euro Area Corporate Bond Market.(2018) In: JRFM. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2016 | Changes in financial fragmentation in the euro area since 2008 In: Rue de la Banque. [Full Text][Citation analysis] | article | 0 |
2012 | Bank Risk during the Financial Crisis: Do business models matter? In: Working Papers. [Full Text][Citation analysis] | paper | 159 |
2011 | Bank risk during the financial crisis: do business models matter?.(2011) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 159 | paper | |
2015 | Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2003 | The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 11 |
2003 | The central bank as a risk manager: quantifying and forecasting inflation risks.(2003) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 11 | paper | |
2007 | The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 66 |
2008 | The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan.(2008) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 66 | article | |
2008 | The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan.(2008) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 66 | article | |
2013 | A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 127 |
2014 | A high frequency assessment of the ECB securities markets programme.(2014) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 127 | paper | |
2017 | A High-Frequency assessment of the ECB Securities Markets Programme.(2017) In: Journal of the European Economic Association. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 127 | article | |
2010 | The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 25 |
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2008 | Measuring financial integration in new EU Member States In: Occasional Paper Series. [Full Text][Citation analysis] | paper | 66 |
2011 | The impact of the Eurosystems covered bond purchase programme on the primary and secondary markets In: Occasional Paper Series. [Full Text][Citation analysis] | paper | 92 |
2007 | Financial integration and capital flows in the new EU Member States In: Research Bulletin. [Full Text][Citation analysis] | article | 0 |
2011 | New methodologies for systemic risk measurement In: Research Bulletin. [Full Text][Citation analysis] | article | 0 |
2012 | The impact of the Securities Markets Programme In: Research Bulletin. [Full Text][Citation analysis] | article | 9 |
2021 | A novel risk management perspective for macroprudential policy In: Research Bulletin. [Full Text][Citation analysis] | article | 4 |
2001 | Value at risk models in finance In: Working Paper Series. [Full Text][Citation analysis] | paper | 100 |
2002 | Duration, volume and volatility impact of trades In: Working Paper Series. [Full Text][Citation analysis] | paper | 107 |
2005 | Duration, volume and volatility impact of trades.(2005) In: Journal of Financial Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 107 | article | |
2002 | Sensitivity analysis of volatility: a new tool for risk management In: Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2003 | The euro area financial system: structure, integration and policy initiatives In: Working Paper Series. [Full Text][Citation analysis] | paper | 148 |
2003 | The Euro-area Financial System: Structure, Integration, and Policy Initiatives.(2003) In: Oxford Review of Economic Policy. [Citation analysis] This paper has nother version. Agregated cites: 148 | article | |
2005 | Measuring comovements by regression quantiles In: Working Paper Series. [Full Text][Citation analysis] | paper | 53 |
2014 | Measuring Comovements by Regression Quantiles.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 53 | article | |
2006 | A new theory of forecasting In: Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2006 | The impact of the euro on financial markets In: Working Paper Series. [Full Text][Citation analysis] | paper | 37 |
2006 | Financial integration of new EU Member States In: Working Paper Series. [Full Text][Citation analysis] | paper | 70 |
2007 | Asset allocation by penalized least squares In: Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2007 | Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? In: Working Paper Series. [Full Text][Citation analysis] | paper | 44 |
2008 | The impact of the euro on equity markets: a country and sector decomposition In: Working Paper Series. [Full Text][Citation analysis] | paper | 8 |
2008 | Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR In: Working Paper Series. [Full Text][Citation analysis] | paper | 29 |
2010 | Finance and diversification In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Fragmentation in the euro overnight unsecured money market In: Working Paper Series. [Full Text][Citation analysis] | paper | 37 |
2014 | Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 37 | article | |
2015 | VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series. [Full Text][Citation analysis] | paper | 205 |
2015 | VAR for VaR: Measuring tail dependence using multivariate regression quantiles.(2015) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 205 | article | |
2012 | VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles.(2012) In: Working papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 205 | paper | |
2016 | Lending-of-last-resort is as lending-of-last-resort does: central bank liquidity provision and interbank market functioning in the euro area In: Working Paper Series. [Full Text][Citation analysis] | paper | 91 |
2016 | Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area.(2016) In: Journal of Financial Intermediation. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 91 | article | |
2017 | The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series. [Full Text][Citation analysis] | paper | 20 |
2018 | The portfolio of euro area fund investors and ECB monetary policy announcements.(2018) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 20 | article | |
2018 | Selecting models with judgment In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | Forecasting and stress testing with quantile vector autoregression In: Working Paper Series. [Full Text][Citation analysis] | paper | 45 |
2024 | Forecasting and stress testing with quantile vector autoregression.(2024) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | article | |
2020 | Monetary policy with judgment In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2020 | Monetary Policy with Judgment.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2020 | Financial conditions, business cycle fluctuations and growth at risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
2020 | Covid-19 and rural landscape: the case of Italy In: Working Paper Series. [Full Text][Citation analysis] | paper | 15 |
2021 | Statistical decision functions with judgment In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | A risk management perspective on macroprudential policy In: Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
2021 | The risk management approach to macro-prudential policy In: Working Paper Series. [Full Text][Citation analysis] | paper | 11 |
2023 | Double conditioning: the hidden connection between Bayesian and classical statistics In: Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
2023 | Estimating systemic risk for non-listed euro-area banks In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2004 | The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 1 |
2013 | Financial dependence, global growth opportunities, and growth revisited In: Economics Letters. [Full Text][Citation analysis] | article | 23 |
2015 | Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics. [Full Text][Citation analysis] | article | 24 |
2017 | Realized bank risk during the great recession In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 41 |
2015 | Realized Bank Risk during the Great Recession.(2015) In: International Finance Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2010 | Quantifying the Risk of Deflation In: EcoMod2004. [Full Text][Citation analysis] | paper | 34 |
2007 | Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
2007 | Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 34 | article | |
2006 | Equity Market Integration of New EU Member States In: Chapters. [Full Text][Citation analysis] | chapter | 1 |
1999 | CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers. [Full Text][Citation analysis] | paper | 27 |
2009 | What drives spreads in the euro area government bond market? In: Economic Policy. [Full Text][Citation analysis] | article | 220 |
2004 | Asset Allocation by Variance Sensitivity Analysis In: Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 10 |
2010 | VAR for VaR: measuring systemic risk using multivariate regression quantiles. In: MPRA Paper. [Full Text][Citation analysis] | paper | 19 |
2002 | Sensitivity Analysis of GARCH Models In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
1999 | Modeling a Time-Varying Order Statistic In: Computing in Economics and Finance 1999. [Full Text][Citation analysis] | paper | 0 |
2014 | Comment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated June, 12 2025. Contact: CitEc Team