Simone Manganelli : Citation Profile

Are you Simone Manganelli?

European Central Bank

24

H index

32

i10 index

2850

Citations

RESEARCH PRODUCTION:

27

Articles

50

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   24 years (1999 - 2023). See details.
   Cites by year: 118
   Journals where Simone Manganelli has often published
   Relations with other researchers
   Recent citing documents: 292.    Total self citations: 32 (1.11 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma142
   Updated: 2023-11-04    RAS profile: 2023-05-08    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Kremer, Manfred (3)

Schwaab, Bernd (2)

Gelain, Paolo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Simone Manganelli.

Is cited by:

Afonso, Antonio (36)

Baruník, Jozef (24)

Gallo, Giampiero (20)

Fratzscher, Marcel (19)

GUPTA, RANGAN (19)

Kontonikas, Alexandros (18)

Arghyrou, Michael (18)

Caporin, Massimiliano (17)

Lucas, Andre (17)

Chuliá, Helena (17)

Kok, Christoffer (16)

Cites to:

Engle, Robert (38)

Acharya, Viral (28)

Hartmann, Philipp (23)

Bekaert, Geert (19)

Svensson, Lars (15)

Harvey, Campbell (15)

Bollerslev, Tim (15)

Kim, Tae-Hwan (14)

Stulz, René (14)

Reinhart, Carmen (13)

Smets, Frank (12)

Main data

Where Simone Manganelli has published?

Journals with more than one article published# docs
Research Bulletin4
Journal of Money, Credit and Banking2
Journal of Business & Economic Statistics2
Journal of Financial Intermediation2
The Journal of Financial Econometrics2
Journal of Money, Credit and Banking2
Economics Letters2

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank30
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Occasional Paper Series / European Central Bank2

Recent works citing Simone Manganelli (2023 and 2022)

YearTitle of citing document
2022Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Sun, Yixiao ; Montes-Rojas, Gabriel ; Martinez-Iriarte, Julian. In: Working Papers. RePEc:aoz:wpaper:127.

Full description at Econpapers || Download paper

2023Scoring 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

2022Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993.

Full description at Econpapers || Download paper

2022The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

Full description at Econpapers || Download paper

2023Using 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

2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

Full description at Econpapers || Download paper

2022Overnight GARCH-It\^o Volatility Models. (2021). Wang, Yazhen ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.13467.

Full description at Econpapers || Download paper

2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

Full description at Econpapers || Download paper

2023Location-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

2022Forecasting the distribution of long-horizon returns with time-varying volatility. (2022). Ho, Hwai-Chung. In: Papers. RePEc:arx:papers:2201.07457.

Full description at Econpapers || Download paper

2022Extremal Dependence in Australian Electricity Markets. (2022). Han, Lin ; Trueck, Stefan ; Cribben, Ivor. In: Papers. RePEc:arx:papers:2202.09970.

Full description at Econpapers || Download paper

2022Predicting Value at Risk for Cryptocurrencies Using Generalized Random Forests. (2022). Gorgen, Konstantin ; Schienle, Melanie ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

Full description at Econpapers || Download paper

2022Learning Probability Distributions in Macroeconomics and Finance. (2022). Hanus, Lubos ; Barunik, Jozef. In: Papers. RePEc:arx:papers:2204.06848.

Full description at Econpapers || Download paper

2022Nonparametric Value-at-Risk via Sieve Estimation. (2022). Ratz, Philipp. In: Papers. RePEc:arx:papers:2205.07101.

Full description at Econpapers || Download paper

2023Dynamic Co-Quantile Regression. (2022). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

Full description at Econpapers || Download paper

2023A 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

2022Estimating value at risk: LSTM vs. GARCH. (2022). Schmidt, Thorsten ; Safarveisi, Sajad ; Pitera, Marcin ; Ormaniec, Weronika. In: Papers. RePEc:arx:papers:2207.10539.

Full description at Econpapers || Download paper

2023Expectile 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

2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

Full description at Econpapers || Download paper

2023Optimal 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

2023Distributional 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

2023Monitoring multicountry macroeconomic risk. (2023). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2305.09563.

Full description at Econpapers || Download paper

2023Statistical 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

2023Large 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

2023Modeling 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

2023Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296.

Full description at Econpapers || Download paper

2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

Full description at Econpapers || Download paper

2022Deep Growth-at-Risk Model: Nowcasting the 2020 Pandemic Lockdown Recession in Small Open Economies. (2022). Yanchev, Mihail. In: Economic Studies journal. RePEc:bas:econst:y:2022:i:7:p:20-41.

Full description at Econpapers || Download paper

2022Skewed SVARs: tracking the structural sources of macroeconomic tail risks. (2022). Ortega, Eva ; Montes-Galdon, Carlos. In: Working Papers. RePEc:bde:wpaper:2208.

Full description at Econpapers || Download paper

2022The Conditional Path of Central Bank Asset Purchases. (2022). Hubert, Paul ; Creel, Jerome ; Bozou, Caroline ; Blot, Christophe. In: Working papers. RePEc:bfr:banfra:885.

Full description at Econpapers || Download paper

2023Euro 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

2023Fiscal 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

2022Pass-Through of the Bank of Russia Key Rate into Deposit Rates Between 2020 and 2022. (2022). Penikas, Henry. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:81:y:2022:i:2:p:20-48.

Full description at Econpapers || Download paper

2022An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491.

Full description at Econpapers || Download paper

2023Tail 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

2023Do 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

2022Financial structure convergence. (2022). Sever, Can. In: International Finance. RePEc:bla:intfin:v:25:y:2022:i:1:p:65-83.

Full description at Econpapers || Download paper

2023Climate 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

2023Bank 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

2023Interbank 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

2023A 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

2022Interbank borrowing and bank liquidity risk. (2022). Li, Zongyuan ; Lai, Rose Neng. In: Journal of Financial Research. RePEc:bla:jfnres:v:45:y:2022:i:1:p:53-91.

Full description at Econpapers || Download paper

2023Homemade 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

2022Next generation models for portfolio risk management: An approach using financial big data. (2022). Yu, Seunghyeon ; Kim, Donggyu ; Jung, Kwangmin. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:3:p:765-787.

Full description at Econpapers || Download paper

2022A new volatility model: GQARCH?ItÔ model. (2022). Xu, LU ; Sun, Yulei ; Yuan, Huiling ; Cui, Xiangyu ; Zhou, Yong. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:345-370.

Full description at Econpapers || Download paper

2022Asymmetric linear double autoregression. (2022). Zhu, Qianqian ; Tan, Songhua. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:3:p:371-388.

Full description at Econpapers || Download paper

2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

Full description at Econpapers || Download paper

2023The 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

2023Monitoring multicountry macroeconomic risk. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0117.

Full description at Econpapers || Download paper

2022Public and private liquidity during crises times: evidence from Emergency Liquidity Assistance (ELA) to Greek banks. (2022). Papaioannou, Elias ; Malliaropulos, Dimitris ; Kotidis, Antonis. In: Working Papers. RePEc:bog:wpaper:304.

Full description at Econpapers || Download paper

2022Location-Scale and Compensated Effects in Unconditional Quantile Regressions. (2022). Montes-Rojas, Gabriel ; Sun, Yixiao ; Martinez-Iriarte, Julian. In: University of California at San Diego, Economics Working Paper Series. RePEc:cdl:ucsdec:qt89z1w74z.

Full description at Econpapers || Download paper

2023.

Full description at Econpapers || Download paper

2023The 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

2022Smooth and Abrupt Dynamics in Financial Volatility: the MS-MEM-MIDAS. (2022). Otranto, Edoardo ; Gallo, Giampiero ; Domianello, Scaffidi L. In: Working Paper CRENoS. RePEc:cns:cnscwp:202205.

Full description at Econpapers || Download paper

2023Modeling 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

2023Identifying 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

2023The 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

2023The 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
2022Market-stabilization QE. (2022). Ozen, Kadir ; Motto, Roberto. In: Working Paper Series. RePEc:ecb:ecbwps:20222640.

Full description at Econpapers || Download paper

2022Monetary policy, macroprudential policy and financial stability. (2022). Mendicino, Caterina ; Maddaloni, Angela ; Laeven, Luc. In: Working Paper Series. RePEc:ecb:ecbwps:20222647.

Full description at Econpapers || Download paper

2022Contagion from market price impact: a price-at-risk perspective. (2022). Mingarelli, Luca ; Sydow, Matthias ; Kaijser, Michiel ; Fukker, Gabor. In: Working Paper Series. RePEc:ecb:ecbwps:20222692.

Full description at Econpapers || Download paper

2022Can EU bonds serve as euro-denominated safe assets?. (2022). Schwaab, Bernd ; Greif, William ; Bletzinger, Tilman. In: Working Paper Series. RePEc:ecb:ecbwps:20222712.

Full description at Econpapers || Download paper

2022How do banks manage liquidity? Evidence from the ECB’s tiering experiment. (2022). Vergote, Olivier ; Sigaux, Jean-David ; Hoffmann, Peter ; Heider, Florian ; Baldo, Luca. In: Working Paper Series. RePEc:ecb:ecbwps:20222732.

Full description at Econpapers || Download paper

2023Asset 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

2023Do 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

2023Medium-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

2023Quantifying 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

2023Labour at risk. (2023). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: Working Paper Series. RePEc:ecb:ecbwps:20232840.

Full description at Econpapers || Download paper

2023Measuring 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

2022On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5.

Full description at Econpapers || Download paper

2023Value 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

2023Local 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

2022Smooth Transition Simultaneous Equation Models. (2022). Krishnakumar, Jaya ; Kadilli, Anjeza. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:145:y:2022:i:c:s0165188922002494.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022Can employee stock ownership plans reduce corporate financialization? Evidence from China. (2022). Cai, Yongbin ; Nan, Xingheng ; Yu, Qiang ; Feng, Yumei. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:140-151.

Full description at Econpapers || Download paper

2022Improving the accuracy of tail risk forecasting models by combining several realized volatility estimators. (2022). Storti, Giuseppe ; Gerlach, Richard ; Naimoli, Antonio. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s026499932100290x.

Full description at Econpapers || Download paper

2022Spillovers from the European Central Banks asset purchases to countries in Central and Eastern Europe. (2022). Kaszab, Lorant ; Antal, Mark. In: Economic Modelling. RePEc:eee:ecmode:v:113:y:2022:i:c:s0264999322001146.

Full description at Econpapers || Download paper

2022Does the asymmetric dependence volatility affect risk spillovers between the crude oil market and BRICS stock markets?. (2022). Ye, Wuyi ; Jiang, Kunliang. In: Economic Modelling. RePEc:eee:ecmode:v:117:y:2022:i:c:s0264999322002838.

Full description at Econpapers || Download paper

2023A 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

2023How 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

2023Carbon 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

2023Frequency 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

2023Price 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

2022Contagion effect of systemic risk among industry sectors in China’s stock market. (2022). Zhao, Tianyu ; Yan, Haoyang ; Xu, Qiuhua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001819.

Full description at Econpapers || Download paper

2022Extreme risk transmission channels between the stock index futures and spot markets: Evidence from China. (2022). Zhu, Zhican ; Li, Xupei ; Jian, Zhihong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002242.

Full description at Econpapers || Download paper

2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

Full description at Econpapers || Download paper

2022Understanding the conditional out-of-sample predictive impact of the price of crude oil on aggregate equity return volatility. (2022). Nonejad, Nima. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822000973.

Full description at Econpapers || Download paper

2022Multiscale features of extreme risk spillover networks among global stock markets. (2022). Zhu, Huiming ; You, Wanhai ; Zhao, Wanru ; Ren, Yinghua. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001012.

Full description at Econpapers || Download paper

2022Multi-scale systemic risk and spillover networks of commodity markets in the bullish and bearish regimes. (2022). He, Qizhi ; Yang, Xian ; Zhang, XU. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:62:y:2022:i:c:s1062940822001115.

Full description at Econpapers || Download paper

2022Modelling international sovereign risk information spillovers: A multilayer network approach. (2022). Huang, Wei-Qiang ; Liu, Peipei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001322.

Full description at Econpapers || Download paper

2022A novel estimation of time-varying quantile correlation for financial contagion detection. (2022). Wu, Yuehua ; Li, Mingge ; Ye, Wuyi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001334.

Full description at Econpapers || Download paper

2022Cross-sectional quantile regression for estimating conditional VaR of returns during periods of high volatility. (2022). Guillen, Montserrat ; Vidal-Llana, Xenxo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s106294082200170x.

Full description at Econpapers || Download paper

2023Stablecoins 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

2023Time-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

2022Hybrid quantile estimation for asymmetric power GARCH models. (2022). Li, Wai Keung ; Zhu, KE ; Wang, Guochang. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:264-284.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2022High-dimensional GARCH process segmentation with an application to Value-at-Risk. (2022). Korkas, Karolos K ; Cho, Haeran. In: Econometrics and Statistics. RePEc:eee:ecosta:v:23:y:2022:i:c:p:187-203.

Full description at Econpapers || Download paper

2022Spillover effects of sovereign debt-based quantitative easing in the euro area. (2022). Gnewuch, Matthias. In: European Economic Review. RePEc:eee:eecrev:v:145:y:2022:i:c:s0014292122000654.

Full description at Econpapers || Download paper

2022Unconventional monetary policy, funding expectations, and firm decisions. (2022). Popov, Alexander ; Udell, Gregory F ; Ferrando, Annalisa. In: European Economic Review. RePEc:eee:eecrev:v:149:y:2022:i:c:s001429212200157x.

Full description at Econpapers || Download paper

2022The impact of regulatory reforms on European bank behaviour: A dynamic structural estimation. (2022). ap Gwilym, Owain ; Mantovan, Noemi ; Alsakka, Rasha ; Jones, Laurence. In: European Economic Review. RePEc:eee:eecrev:v:150:y:2022:i:c:s0014292122001684.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Simone Manganelli has edited the books:

YearTitleTypeCited

Works by Simone Manganelli:

YearTitleTypeCited
2019Deciding with Judgment In: Papers.
[Full Text][Citation analysis]		paper0
2016Deciding with judgment.(2016) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article987
1999CAViaR: 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 another version. Agregated cites: 987		paper
2000CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 987		paper
2009Forecasting With Judgment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article10
2016Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers.
[Full Text][Citation analysis]		paper27
2018Measuring Financial Fragmentation in the Euro Area Corporate Bond Market.(2018) In: JRFM.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 27		article
2016Changes in financial fragmentation in the euro area since 2008 In: Rue de la Banque.
[Full Text][Citation analysis]		article0
2012Bank Risk during the Financial Crisis: Do business models matter? In: Working Papers.
[Full Text][Citation analysis]		paper153
2011Bank risk during the financial crisis: do business models matter?.(2011) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 153		paper
2015Lending-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]		paper2
2003The Central Banker as a Risk Manager: Quantifying and Forecasting Inflation Risks In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper11
2003The central bank as a risk manager: quantifying and forecasting inflation risks.(2003) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11		paper
2007The Central Banker as a Risk Manager: Estimating the Federal Reserves Preferences under Greenspan In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper58
2008The 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 another version. Agregated cites: 58		article
2008The 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 another version. Agregated cites: 58		article
2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper118
2014A high frequency assessment of the ECB securities markets programme.(2014) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 118		paper
2017A High-Frequency assessment of the ECB Securities Markets Programme.(2017) In: Journal of the European Economic Association.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 118		article
2010The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article26
2008Measuring financial integration in new EU Member States In: Occasional Paper Series.
[Full Text][Citation analysis]		paper66
2011The impact of the Eurosystems covered bond purchase programme on the primary and secondary markets In: Occasional Paper Series.
[Full Text][Citation analysis]		paper91
2007Financial integration and capital flows in the new EU Member States In: Research Bulletin.
[Full Text][Citation analysis]		article0
2011New methodologies for systemic risk measurement In: Research Bulletin.
[Full Text][Citation analysis]		article0
2012The impact of the Securities Markets Programme In: Research Bulletin.
[Full Text][Citation analysis]		article9
2021A novel risk management perspective for macroprudential policy In: Research Bulletin.
[Full Text][Citation analysis]		article0
2001Value at risk models in finance In: Working Paper Series.
[Full Text][Citation analysis]		paper93
2002Duration, volume and volatility impact of trades In: Working Paper Series.
[Full Text][Citation analysis]		paper100
2005Duration, volume and volatility impact of trades.(2005) In: Journal of Financial Markets.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 100		article
2002Sensitivity analysis of volatility: a new tool for risk management In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2003The euro area financial system: structure, integration and policy initiatives In: Working Paper Series.
[Full Text][Citation analysis]		paper147
2003The Euro-area Financial System: Structure, Integration, and Policy Initiatives.(2003) In: Oxford Review of Economic Policy.
[Citation analysis]
This paper has another version. Agregated cites: 147		article
2005Measuring comovements by regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]		paper51
2014Measuring Comovements by Regression Quantiles.(2014) In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 51		article
2006A new theory of forecasting In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2006The impact of the euro on financial markets In: Working Paper Series.
[Full Text][Citation analysis]		paper37
2006Financial integration of new EU Member States In: Working Paper Series.
[Full Text][Citation analysis]		paper70
2007Asset allocation by penalized least squares In: Working Paper Series.
[Full Text][Citation analysis]		paper3
2007Market discipline, financial integration and fiscal rules: what drives spreads in the euro area government bond market? In: Working Paper Series.
[Full Text][Citation analysis]		paper42
2008The impact of the euro on equity markets: a country and sector decomposition In: Working Paper Series.
[Full Text][Citation analysis]		paper8
2008Modeling autoregressive conditional skewness and kurtosis with multi-quantile CAViaR In: Working Paper Series.
[Full Text][Citation analysis]		paper27
2010Finance and diversification In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2014Fragmentation in the euro overnight unsecured money market In: Working Paper Series.
[Full Text][Citation analysis]		paper35
2014Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 35		article
2015VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]		paper157
2015VAR for VaR: Measuring tail dependence using multivariate regression quantiles.(2015) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 157		article
2012VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles.(2012) In: Working papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 157		paper
2016Lending-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]		paper82
2016Lending-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 another version. Agregated cites: 82		article
2017The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series.
[Full Text][Citation analysis]		paper19
2018The 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 another version. Agregated cites: 19		article
2018Selecting models with judgment In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2019Forecasting and stress testing with quantile vector autoregression In: Working Paper Series.
[Full Text][Citation analysis]		paper32
2020Monetary policy with judgment In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2020Monetary Policy with Judgment.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0		paper
2020Financial conditions, business cycle fluctuations and growth at risk In: Working Paper Series.
[Full Text][Citation analysis]		paper2
2020Covid-19 and rural landscape: the case of Italy In: Working Paper Series.
[Full Text][Citation analysis]		paper14
2021Statistical decision functions with judgment In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2021A risk management perspective on macroprudential policy In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2021The risk management approach to macro-prudential policy In: Working Paper Series.
[Full Text][Citation analysis]		paper7
2023Double conditioning: the hidden connection between Bayesian and classical statistics In: Working Paper Series.
[Full Text][Citation analysis]		paper0
2004The Contagion Box: Measuring Co-Movements in Financial Markets by Regression Quantiles In: Econometric Society 2004 Latin American Meetings.
[Full Text][Citation analysis]		paper1
2013Financial dependence, global growth opportunities, and growth revisited In: Economics Letters.
[Full Text][Citation analysis]		article20
2015Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics.
[Full Text][Citation analysis]		article17
2017Realized bank risk during the great recession In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article31
2015Realized Bank Risk during the Great Recession.(2015) In: International Finance Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		paper
2010Quantifying the Risk of Deflation In: EcoMod2004.
[Full Text][Citation analysis]		paper25
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has another version. Agregated cites: 25		article
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25		article
2006Equity Market Integration of New EU Member States In: Chapters.
[Full Text][Citation analysis]		chapter1
1999CAViaR: Conditional Value at Risk by Quantile Regression In: NBER Working Papers.
[Full Text][Citation analysis]		paper28
2009What drives spreads in the euro area government bond market? In: Economic Policy.
[Full Text][Citation analysis]		article211
2004Asset Allocation by Variance Sensitivity Analysis In: The Journal of Financial Econometrics.
[Full Text][Citation analysis]		article10
2010VAR for VaR: measuring systemic risk using multivariate regression quantiles. In: MPRA Paper.
[Full Text][Citation analysis]		paper16
2002Sensitivity Analysis of GARCH Models In: Computing in Economics and Finance 2002.
[Citation analysis]		paper0
1999Modeling a Time-Varying Order Statistic In: Computing in Economics and Finance 1999.
[Full Text][Citation analysis]		paper0
2014Comment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article0

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team