25
H index
34
i10 index
2998
Citations
European Central Bank | 25 H index 34 i10 index 2998 Citations RESEARCH PRODUCTION: 28 Articles 52 Papers 1 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
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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 Financial Econometrics | 2 |
Journal of Financial Intermediation | 2 |
Journal of Business & Economic Statistics | 2 |
Journal of Money, Credit and Banking | 2 |
Economics Letters | 2 |
Journal of Money, Credit and Banking | 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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2023 | Impact of Financial Liberalization on Firm Risk. (2023). Lin, Oshamah Lin ; Chang, Chong-Chuo ; Hsu, Oshamah Kun-Zhan. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:27:y:2023:i:3:p:14-45. Full description at Econpapers || Download paper | |
2023 | Scoring Functions for Multivariate Distributions and Level Sets. (2020). Li, Siran ; Ben Taieb, Souhaib ; Taylor, James W ; Meng, Xiaochun. In: Papers. RePEc:arx:papers:2002.09578. Full description at Econpapers || Download paper | |
2023 | Using mixed-frequency and realized measures in quantile regression. (2020). Gallo, Giampiero ; Candila, Vincenzo ; Petrella, Lea. In: Papers. RePEc:arx:papers:2011.00552. Full description at Econpapers || Download paper | |
2024 | To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559. 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 | |
2024 | Estimations of the Conditional Tail Average Treatment Effect. (2021). Yen, Yu-Min ; Chen, Le-Yu. In: Papers. RePEc:arx:papers:2109.08793. Full description at Econpapers || Download paper | |
2023 | Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Montes-Rojas, Gabriel ; Martinez-Iriarte, Julian ; Sun, Yixiao. In: Papers. RePEc:arx:papers:2201.02292. Full description at Econpapers || Download paper | |
2024 | Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275. Full description at Econpapers || Download paper | |
2023 | A multivariate semi-parametric portfolio risk optimization and forecasting framework. (2022). Wang, Chao ; Storti, Giuseppe. In: Papers. RePEc:arx:papers:2207.04595. Full description at Econpapers || Download paper | |
2024 | Expectile hidden Markov regression models for analyzing cryptocurrency returns. (2023). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2301.09722. 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 | Optimal probabilistic forecasts for risk management. (2023). Martin, Gael M ; Loaiza-Maya, Ruben ; Maneesoonthorn, Worapree ; Sun, Yuru. In: Papers. RePEc:arx:papers:2303.01651. Full description at Econpapers || Download paper | |
2023 | Distributional Vector Autoregression: Eliciting Macro and Financial Dependence. (2023). Oka, Tatsushi ; Zhu, Dan ; Wang, Yunyun. In: Papers. RePEc:arx:papers:2303.04994. Full description at Econpapers || Download paper | |
2023 | Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563. Full description at Econpapers || Download paper | |
2023 | Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282. Full description at Econpapers || Download paper | |
2023 | Large Banks and Systemic Risk: Insights from a Mean-Field Game Model. (2023). Benatia, David ; Firoozi, Dena ; Chang, Yuanyuan. In: Papers. RePEc:arx:papers:2305.17830. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Gallo, Giampiero ; Palandri, Alessandro ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2305.20067. Full description at Econpapers || Download paper | |
2024 | Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper | |
2023 | Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617. Full description at Econpapers || Download paper | |
2023 | Integration or fragmentation? A closer look at euro area financial markets. (2023). Feldkircher, Martin ; Klieber, Karin. In: Papers. RePEc:arx:papers:2310.07790. Full description at Econpapers || Download paper | |
2023 | Estimating Systemic Risk within Financial Networks: A Two-Step Nonparametric Method. (2023). Huang, Weihuan. In: Papers. RePEc:arx:papers:2310.18658. Full description at Econpapers || Download paper | |
2023 | A General Framework for Importance Sampling with Latent Markov Processes. (2023). Jia, Yanwei ; Fuh, Cheng-Der ; Kou, Steven. In: Papers. RePEc:arx:papers:2311.12330. Full description at Econpapers || Download paper | |
2023 | Regressions under Adverse Conditions. (2023). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327. 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 | |
2024 | 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). Zhu, Dan ; Oka, Tatsushi ; Wang, Yunyun. 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). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper | |
2023 | Euro Area Monetary Policy Effects. Does the Shape of the Yield Curve Matter?. (2023). Pagliari, Maria Sole ; Sestieri, Giulia ; Rossi, Barbara ; Penalver, Adrian ; Odendahl, Florens. In: Working papers. RePEc:bfr:banfra:912. Full description at Econpapers || Download paper | |
2023 | Fiscal sources of inflation risk in EMDEs: the role of the external channel. (2023). Zampolli, Fabrizio ; Mehotra, Aaron ; Boctor, Valerie ; Banerjee, Ryan Niladri. In: BIS Working Papers. RePEc:bis:biswps:1110. Full description at Econpapers || Download paper | |
2023 | Tail risk of coal futures in Chinas market. (2023). Wan, Qing ; Wang, Minglu ; Shen, ZE. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s2:p:2827-2845. Full description at Econpapers || Download paper | |
2023 | Do credit unions have distinct objectives? Evidence from executive compensation structures. (2023). Hueth, Brent ; Zeng, Shuwei ; van Rijn, Jordan. In: Annals of Public and Cooperative Economics. RePEc:bla:annpce:v:94:y:2023:i:1:p:5-38. Full description at Econpapers || Download paper | |
2023 | Climate risks and U.S. stock?market tail risks: A forecasting experiment using over a century of data. (2023). Salisu, Afees ; van Eyden, Renee ; Gupta, Rangan ; Pierdzioch, Christian. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:228-244. Full description at Econpapers || Download paper | |
2023 | Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440. Full description at Econpapers || Download paper | |
2023 | Interbank money market concerns and actors’ strategies—A systematic review of 21st century literature. (2023). Dugdale, Julie ; Reaidy, Paul J ; Madies, Philippe ; Alaeddini, Morteza. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:37:y:2023:i:2:p:573-654. Full description at Econpapers || Download paper | |
2023 | A Model of Systemic Bank Runs. (2023). Liu, Xuewen. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:2:p:731-793. Full description at Econpapers || Download paper | |
2023 | Homemade international diversification under economic policy uncertainty. (2023). Zhou, YI ; Zhang, Chunqiu ; Fang, Junxiong ; Chen, Jing. In: Journal of Financial Research. RePEc:bla:jfnres:v:46:y:2023:i:1:p:31-62. Full description at Econpapers || Download paper | |
2023 | The impact of financial shocks on the forecast distribution of output and inflation. (2023). Sala, Luca ; Maffei-Faccioli, Nicolo ; Gambetti, Luca ; Forni, Mario. In: Working Paper. RePEc:bno:worpap:2023_3. Full description at Econpapers || Download paper | |
2023 | Monitoring multicountry macroeconomic risk. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0117. 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). Feld, Lars ; Thomas, Tobias ; Kohler, Ekkehard A ; Hirsch, Patrick. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10980. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | The Application of Multiple-Output Quantile Regression on the US Financial Cycle. (2023). Franta, Michal. In: Working Papers. RePEc:cnb:wpaper:2023/2. Full description at Econpapers || Download paper | |
2023 | Modeling and evaluating conditional quantile dynamics in VaR forecasts. (2023). Palandri, A ; Gallo, G M ; Cipollini, F. In: Working Paper CRENoS. RePEc:cns:cnscwp:202308. Full description at Econpapers || Download paper | |
2023 | Identifying financial fragmentation: do sovereign spreads in the EMU reflect differences in fundamentals?. (2023). End, Jan Willem ; van den End, Jan Willem ; Kakes, Jan. In: Working Papers. RePEc:dnb:dnbwpp:778. Full description at Econpapers || Download paper | |
2023 | The conditional path of central bank asset purchases. (2023). Bozou, Caroline ; Creel, Jerome ; Hubert, Paul ; Blot, Christophe. In: EconomiX Working Papers. RePEc:drm:wpaper:2023-15. Full description at Econpapers || Download paper | |
2023 | The role of financial stability considerations in monetary policy and the interaction with macroprudential policy in the euro area. (2023). Signoretti, Federico ; Nikolov, Kalin ; Ambrocio, Gene ; Heider, Florian ; Jovanovic, Mario ; Lewis, Vivien ; Miettinen, Pavo ; Policy, Monetary ; Bonatti, Guido ; Prieto, Esteban ; Redak, Vanessa ; Altavilla, Carlo ; Geiger, Felix ; Chalamandaris, Dimitrios ; Fourel, Valere ; Jan, Jansen David ; Kok, Christoffer ; Mazelis, Falk ; Balfoussia, Hiona ; Licak, Marek ; Patriek, Matic ; Pogulis, Armands ; Adolf, Petra ; Garabedian, Garo ; Cassar, Alan ; Weigert, Benjamin ; Fahr, Stephan ; Ioannidis, Michael ; Vlassopoulos, Thomas ; Maddaloni, Angela ; Klein, Melanie ; Papageorghiou, Maria ; Galati, Gabriele ; Fernandez, Luis ; Busch, Ulrike ; Valderrama, Maria ; Bussiere, Mat | |
2023 | Asset allocation and risk taking under different interest rate regimes. (2023). Kostka, Thomas ; Vassallo, Danilo ; Hermans, Lieven. In: Working Paper Series. RePEc:ecb:ecbwps:20232803. Full description at Econpapers || Download paper | |
2023 | Do non-banks need access to the lender of last resort? Evidence from fund runs. (2023). Hoerova, Marie ; Breckenfelder, Johannes. In: Working Paper Series. RePEc:ecb:ecbwps:20232805. Full description at Econpapers || Download paper | |
2023 | Medium-term growth-at-risk in the euro area. (2023). Greiwe, Moritz ; Rusnak, Marek ; Lang, Jan Hannes. In: Working Paper Series. RePEc:ecb:ecbwps:20232808. Full description at Econpapers || Download paper | |
2023 | Quantifying financial stability trade-offs for monetary policy: a quantile VAR approach. (2023). Lund-Thomsen, Frederik ; Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232833. Full description at Econpapers || Download paper | |
2023 | Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840. Full description at Econpapers || Download paper | |
2023 | Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842. Full description at Econpapers || Download paper | |
2023 | Financial stability considerations in the conduct of monetary policy. (2023). Dieckelmann, Daniel ; Bochmann, Paul ; Ruzicka, Josef ; Fahr, Stephan. In: Working Paper Series. RePEc:ecb:ecbwps:20232870. 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 | |
2023 | Value at Risk and Expected Shortfall Estimation for Mexico s Isthmus Crude Oil Using Long-Memory GARCH-EVT Combined Approaches. (2023). Salgado, Oswaldo Garcia ; Carvajal, Lidia E ; de Jes, Ra L. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-04-48. Full description at Econpapers || Download paper | |
2023 | Local guarantees and SOE bond pricing in China. (2023). Wu, Sharon Xiaohui ; Wang, Yabin. In: China Economic Review. RePEc:eee:chieco:v:78:y:2023:i:c:s1043951x23000056. 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 | |
2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper | |
2023 | How do monetary shock, financial crisis, and quotation reform affect the long memory of exchange rate volatility? Evidence from major currencies. (2023). Huang, Jianglu ; Qi, Zikang ; Wang, Xinyu. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s0264999322003923. Full description at Econpapers || Download paper | |
2023 | Carbon trading amidst global uncertainty: The role of policy and geopolitical uncertainty. (2023). Adediran, Idris ; Swaray, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:123:y:2023:i:c:s0264999323000913. Full description at Econpapers || Download paper | |
2023 | Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669. Full description at Econpapers || Download paper | |
2023 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper | |
2023 | Eurozone prices: A tale of convergence and divergence. (2023). Garcia-Hiernaux, Alfredo ; Guerrero, David E ; Gonzalez-Perez, Maria T. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002304. Full description at Econpapers || Download paper | |
2023 | Stablecoins as a tool to mitigate the downside risk of cryptocurrency portfolios. (2023). Huelamo, Diego ; Esparcia, Carlos ; Diaz, Antonio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001735. Full description at Econpapers || Download paper | |
2023 | Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054. Full description at Econpapers || Download paper | |
2024 | Economic policy uncertainty, macroeconomic shocks, and systemic risk: Evidence from China. (2024). Liu, Haiyue ; Zhang, Qin ; Yang, Xite ; Huang, Linya ; Lai, Yongzeng ; Tao, Qiufan. 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 | |
2023 | Out-of-sample tests for conditional quantile coverage an application to Growth-at-Risk. (2023). Gutknecht, Daniel ; Fosten, Jack ; Corradi, Valentina. In: Journal of Econometrics. RePEc:eee:econom:v:236:y:2023:i:2:s0304407623002063. Full description at Econpapers || Download paper | |
2023 | A new generalized exponentially weighted moving average quantile model and its statistical inference. (2023). Zhu, KE. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:1:s0304407623002269. Full description at Econpapers || Download paper | |
2023 | Dynamic clustering of multivariate panel data. (2023). Lucas, Andre ; Joo, Igor Custodio ; Schwaab, Bernd ; Schaumburg, Julia. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622000689. Full description at Econpapers || Download paper | |
2023 | Semiparametric modeling of multiple quantiles. (2023). Luati, Alessandra ; Catania, Leopoldo. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407622002044. Full description at Econpapers || Download paper | |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper | |
2023 | Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46. Full description at Econpapers || Download paper | |
2023 | Euro area sovereign bond risk premia before and during the Covid-19 pandemic. (2023). Schwaab, Bernd ; Corradin, Stefano. In: European Economic Review. RePEc:eee:eecrev:v:153:y:2023:i:c:s0014292123000314. Full description at Econpapers || Download paper | |
2023 | Loss function-based change point detection in risk measures. (2023). Wang, Shixuan ; Lazar, Emese ; Xue, Xiaohan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:415-431. Full description at Econpapers || Download paper | |
2024 | A simulation-based method for estimating systemic risk measures. (2024). Chen, Pengzhan ; Zhou, YI ; Ye, Wuyi ; 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 | |
2023 | Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250. Full description at Econpapers || Download paper | |
2023 | Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market. (2023). Amenounve, Edoh ; Soumare, Issouf ; Kanga, Desire. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000365. Full description at Econpapers || Download paper | |
2023 | Forecasting intraday market risk: A marked self-exciting point process with exogenous renewals. (2023). Stindl, Tom. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:182-198. Full description at Econpapers || Download paper | |
2023 | Forecasting tail risk measures for financial time series: An extreme value approach with covariates. (2023). Prokhorov, Artem ; Yin, Jessica Wai ; Leung, Henry ; James, Robert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:71:y:2023:i:c:p:29-50. Full description at Econpapers || Download paper | |
2023 | Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774. Full description at Econpapers || Download paper | |
2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper | |
2023 | Evaluation of Cost-at-Risk related to the procurement of resources in the ancillary services market. The case of the Italian electricity market. (2023). Quaglia, Federico ; Grossi, Luigi ; Lisi, Francesco. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001238. Full description at Econpapers || Download paper | |
2023 | Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767. Full description at Econpapers || Download paper | |
2023 | Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298. Full description at Econpapers || Download paper | |
2023 | Exploring the dynamic behaviour of commodity market tail risk connectedness during the negative WTI pricing event. (2023). Corbet, Shaen ; Oxley, Les ; Hou, Yang ; Lang, Chunlin ; Hu, Yang. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003274. Full description at Econpapers || Download paper | |
2023 | Time-varying asymmetric volatility spillovers among China’s carbon markets, new energy market and stock market under the shocks of major events. (2023). Jiang, Zhengting ; Wu, Xinyu. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323005029. Full description at Econpapers || Download paper | |
2023 | Exploring downside risk dependence across energy markets: Electricity, conventional energy, carbon, and clean energy during episodes of market crises. (2023). Arfaoui, Nadia ; Naeem, Muhammad Abubakr. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pb:s0140988323005807. Full description at Econpapers || Download paper | |
2023 | Are there inextricable connections among automobile stocks, crude oil, steel, and the US dollar?. (2023). Sheikh, Umaid A ; Balcilar, Mehmet ; Asadi, Mehrad ; Ghasemi, Hamid Reza ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006746. Full description at Econpapers || Download paper | |
2024 | Tail risk spillovers between Shanghai oil and other markets. (2024). Shafiullah, Muhammad ; Gul, Raazia ; Naeem, Muhammad Abubakr ; Lucey, Brian M ; Karim, Sitara. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323006801. Full description at Econpapers || Download paper | |
2023 | A novel combined model for probabilistic load forecasting based on deep learning and improved optimizer. (2023). Du, Zhiyuan ; Liang, Yuqiu ; Wang, Shuai ; Zhang, Dongxue. In: Energy. RePEc:eee:energy:v:264:y:2023:i:c:s0360544222030584. Full description at Econpapers || Download paper | |
2023 | An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145. Full description at Econpapers || Download paper | |
2023 | Higher-order moment risk connectedness and optimal investment strategies between international oil and commodity futures markets: Insights from the COVID-19 pandemic and Russia-Ukraine conflict. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000364. Full description at Econpapers || Download paper | |
2023 | Explain systemic risk of commodity futures market by dynamic network. (2023). Zhang, Zuominyang ; Wang, Tianqi ; Lin, Jianwu ; Huang, KE ; He, Chengying. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746. Full description at Econpapers || Download paper | |
2023 | Time-varying bond market integration and the impact of financial crises. (2023). Hyde, Stuart ; Cho, Sungjun ; Qin, Weiping. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004258. 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 | 1019 |
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: 1019 | paper | |
2009 | Forecasting With Judgment In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 10 |
2016 | Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers. [Full Text][Citation analysis] | paper | 27 |
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: 27 | 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 | 157 |
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: 157 | paper | |
1999 | CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: University of California at San Diego, Economics Working Paper Series. [Full Text][Citation analysis] | paper | 51 |
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 | 61 |
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: 61 | 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: 61 | article | |
2013 | A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 122 |
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: 122 | 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: 122 | article | |
2010 | The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 26 |
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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 | 91 |
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 | 1 |
2001 | Value at risk models in finance In: Working Paper Series. [Full Text][Citation analysis] | paper | 94 |
2002 | Duration, volume and volatility impact of trades In: Working Paper Series. [Full Text][Citation analysis] | paper | 101 |
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: 101 | 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 | 147 |
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: 147 | article | |
2005 | Measuring comovements by regression quantiles In: Working Paper Series. [Full Text][Citation analysis] | paper | 51 |
2014 | Measuring Comovements by Regression Quantiles.(2014) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 51 | 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 | 42 |
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 | 28 |
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 | 35 |
2014 | Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 35 | article | |
2015 | VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series. [Full Text][Citation analysis] | paper | 173 |
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: 173 | 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: 173 | 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 | 88 |
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: 88 | article | |
2017 | The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series. [Full Text][Citation analysis] | paper | 19 |
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: 19 | 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 | 35 |
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: 35 | article | |
2020 | Monetary policy with judgment In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
2020 | Monetary Policy with Judgment.(2020) In: Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2020 | Financial conditions, business cycle fluctuations and growth at risk In: Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
2020 | Covid-19 and rural landscape: the case of Italy In: Working Paper Series. [Full Text][Citation analysis] | paper | 14 |
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 | 1 |
2021 | The risk management approach to macro-prudential policy In: Working Paper Series. [Full Text][Citation analysis] | paper | 10 |
2023 | Double conditioning: the hidden connection between Bayesian and classical statistics In: Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
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 | 21 |
2015 | Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics. [Full Text][Citation analysis] | article | 19 |
2017 | Realized bank risk during the great recession In: Journal of Financial Intermediation. [Full Text][Citation analysis] | article | 36 |
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: 36 | paper | |
2010 | Quantifying the Risk of Deflation In: EcoMod2004. [Full Text][Citation analysis] | paper | 27 |
2007 | Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking. [Citation analysis] This paper has nother version. Agregated cites: 27 | 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: 27 | 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 | 28 |
2009 | What drives spreads in the euro area government bond market? In: Economic Policy. [Full Text][Citation analysis] | article | 215 |
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 | 16 |
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. Sponsored by INOMICS. Last updated June, 27 2024. Contact: CitEc Team