Simone Manganelli : Citation Profile

European Central Bank

24

H index

33

i10 index

3222

Citations

RESEARCH PRODUCTION:

28

Articles

52

Papers

1

Chapters

EDITOR:

1

Books edited

RESEARCH ACTIVITY:

   25 years (1999 - 2024). See details.
   Cites by year: 128
   Journals where Simone Manganelli has often published
   Relations with other researchers
   Recent citing documents: 240.    Total self citations: 33 (1.01 %)

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   Permalink: http://citec.repec.org/pma142
   Updated: 2025-07-05    RAS profile: 2023-05-08    
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Relations with other researchers

Works with:

Schwaab, Bernd (3)

Kremer, Manfred (3)

Engle, Robert (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 (26)

Gallo, Giampiero (23)

GUPTA, RANGAN (22)

Härdle, Wolfgang (21)

Hautsch, Nikolaus (21)

Lucas, Andre (20)

Fratzscher, Marcel (19)

Schwaab, Bernd (19)

Kontonikas, Alexandros (18)

Arghyrou, Michael (18)

Cites to:

Engle, Robert (46)

Acharya, Viral (35)

Hartmann, Philipp (23)

Bekaert, Geert (19)

Svensson, Lars (15)

Bollerslev, Tim (15)

Harvey, Campbell (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 Financial Intermediation2
Journal of Business & Economic Statistics2
Journal of Money, Credit and Banking2
Economics Letters2
Journal of Financial Econometrics2
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Working Paper Series / European Central Bank31
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
Occasional Paper Series / European Central Bank2

Recent works citing Simone Manganelli (2025 and 2024)

YearTitle of citing document
2024To VaR, or Not to VaR, That is the Question. (2024). Olkhov, Victor. In: Papers. RePEc:arx:papers:2101.08559.

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2024Estimations of the Local Conditional Tail Average Treatment Effect. (2024). Chen, Le-Yu ; Yen, Yu-Min. In: Papers. RePEc:arx:papers:2109.08793.

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2024Predicting Value at Risk for Cryptocurrencies With Generalized Random Forests. (2024). Schienle, Melanie ; Gorgen, Konstantin ; Meirer, Jonas. In: Papers. RePEc:arx:papers:2203.08224.

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2025Dynamic CoVaR Modeling and Estimation. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2206.14275.

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2024A semi-parametric dynamic conditional correlation framework for risk forecasting. (2024). Storti, Giuseppe ; Wang, Chao. In: Papers. RePEc:arx:papers:2207.04595.

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2024Expectile hidden Markov regression models for analyzing cryptocurrency returns. (2024). Petrella, Lea ; Merlo, Luca ; Foroni, Beatrice. In: Papers. RePEc:arx:papers:2301.09722.

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2025Large 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.

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2024Inference in Predictive Quantile Regressions. (2024). Maynard, Alex ; Kuriyama, Nina ; Shimotsu, Katsumi. In: Papers. RePEc:arx:papers:2306.00296.

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2025Regressions under Adverse Conditions. (2025). Hoga, Yannick ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:2311.13327.

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2024Navigating 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.

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2024Tail risk forecasting with semi-parametric regression models by incorporating overnight information. (2024). Shau, Wei-Hsuan ; Koike, Takaaki. In: Papers. RePEc:arx:papers:2402.07134.

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2024Semi-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.

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2024Extremal quantiles of intermediate orders under two-way clustering. (2024). Sasaki, Yuya ; Kato, Ryutah ; Chiang, Harold D. In: Papers. RePEc:arx:papers:2402.19268.

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2025Matrix-based Prediction Approach for Intraday Instantaneous Volatility Vector. (2024). Kim, Donggyu ; Choi, Sung Hoon. In: Papers. RePEc:arx:papers:2403.02591.

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2024Inflation Target at Risk: A Time-varying Parameter Distributional Regression. (2024). Oka, Tatsushi ; Wang, Yunyun ; Zhu, Dan. In: Papers. RePEc:arx:papers:2403.12456.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Hurlin, Christophe ; Lu, Yang. In: Papers. RePEc:arx:papers:2405.02012.

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2024Adaptive combinations of tail-risk forecasts. (2024). Amendola, Alessandra ; Candila, Vincenzo ; Storti, Giuseppe ; Naimoli, Antonio. In: Papers. RePEc:arx:papers:2406.06235.

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2024CAESar: Conditional Autoregressive Expected Shortfall. (2024). Mazzarisi, Piero ; Gatta, Federico ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:2407.06619.

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2025Global 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.

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2024Predicting 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.

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2024Enhancing Causal Discovery in Financial Networks with Piecewise Quantile Regression. (2024). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2408.12210.

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2024Loss-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.

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2024Dynamic tail risk forecasting: what do realized skewness and kurtosis add?. (2024). Gallo, Giampiero ; Storti, Giuseppe ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:2409.13516.

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2024A Structural Approach to Growth-at-Risk. (2024). Wojciechowski, Robert. In: Papers. RePEc:arx:papers:2410.04431.

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2024The Transmission of Monetary Policy via Common Cycles in the Euro Area. (2024). Pruser, Jan ; Berend, Lukas. In: Papers. RePEc:arx:papers:2410.05741.

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2024International vulnerability of inflation. (2024). Ruiz, Esther ; Garr, Ignacio ; Rodr, Vladimir C. In: Papers. RePEc:arx:papers:2410.20628.

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2024Tail 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.

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2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

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2025Crossing penalised CAViaR. (2025). Szendrei, Tibor. In: Papers. RePEc:arx:papers:2501.10564.

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2025Self-Normalized Inference in (Quantile, Expected Shortfall) Regressions for Time Series. (2025). Schulz, Christian ; Hoga, Yannick. In: Papers. RePEc:arx:papers:2502.10065.

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2025Using 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.

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2025Systemic Risk in the European Insurance Sector. (2025). Borri, Nicola ; di Giorgio, Giorgio ; Consiglio, Andrea ; Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:2505.02635.

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2024Inflation, Attention and Expectations. (2024). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Briand, Etienne. In: Working Papers. RePEc:bbh:wpaper:24-05.

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2024Central Bank Liquidity Policy in Modern Times. (2024). Brooks, Skylar. In: Discussion Papers. RePEc:bca:bocadp:24-06.

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2024On 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.

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2025Fragile 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.

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2024Dynamic 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.

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2024On 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.

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2024Time 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.

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2024Smooth 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.

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2024Growth-at-risk for macroprudential policy stance assessment: a survey. (2024). Škrinjarić, Tihana. In: Bank of England working papers. RePEc:boe:boeewp:1075.

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2024Monetary 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.

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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.

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2024Good Debt or Bad Debt?. (2024). Tamborini, Roberto. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11503.

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2025Inflation, Attention and Expectations. (2025). Stevanovic, Dalibor ; Marcellino, Massimiliano ; Briand, Etienne. In: CIRANO Working Papers. RePEc:cir:cirwor:2025s-01.

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2025Inflation at Risk: The Czech Case. (2025). Vlcek, Jan ; Franta, Michal. In: Working Papers. RePEc:cnb:wpaper:2025/8.

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2024International 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.

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2024On 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.

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2024Quantifying financial stability risks for monetary policy. (2024). Kremer, Manfred ; Chavleishvili, Sulkhan ; Lund-Thomsen, Frederik. In: Research Bulletin. RePEc:ecb:ecbrbu:2024:0115:.

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2024Central 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.

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2024Asymmetries 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.

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2025The 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.

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2024Does 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.

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2024Tail 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.

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2024Financial 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.

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2025Judgment 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.

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2025Unveiling the shadows: The effects of financial conditions on the tail risks of Chinas macroeconomic activities. (2025). Zhuo, Xingxuan ; Wang, Lijun ; Liu, Han. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:85:y:2025:i:c:p:1-14.

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2024Do 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.

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2024Economic 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.

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2024Dynamic 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.

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2024The 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.

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2024Forecasting 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.

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2024Market 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.

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2024Tail 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.

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2024Risk 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.

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2024ETFs 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.

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2025Dynamic 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.

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2025Multiscale 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.

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2025International extreme sovereign risk connectedness: Network structure and roles. (2025). Huang, Wei-Qiang ; Zhu, Yao-Long ; Liu, Peipei. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002808.

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2025A RGARCH-CARR-SK model: A new high-frequency volatility forecasting and risk measurement model based on dynamic higher moments and generalized realized measures. (2025). Chen, Zhenlong ; Zhou, Qingnan ; Liu, Junjie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000488.

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2024Better 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.

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2024Reprint 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.

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2024Functional 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.

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2024Inference 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.

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2025Natural disasters as macroeconomic tail risks. (2025). Moench, Emanuel ; Chavleishvili, Sulkhan. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002653.

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2025Inference on dynamic systemic risk measures. (2025). Francq, Christian ; Zakoan, Jean-Michel. In: Journal of Econometrics. RePEc:eee:econom:v:247:y:2025:i:c:s0304407624002872.

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2025Multiplicative 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.

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2025Quasi 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.

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2024Financial 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.

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2024Contagion 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.

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2024The 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.

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2024Labour at risk. (2024). Renzetti, Andrea ; Foroni, Claudia ; Botelho, Vasco. In: European Economic Review. RePEc:eee:eecrev:v:170:y:2024:i:c:s0014292124001788.

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2024A 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.

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2024Nonlinear 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.

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2024Untangling 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.

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2024Connectedness 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.

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2024Tail 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.

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2024Forecasting 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.

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2024Impact 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.

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2024Commodity 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.

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2024Extreme 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.

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2024Systemic 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.

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2025Tail 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.

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2024Extreme 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.

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2025News sentiment, climate conditions, and New Zealand electricity market: A real-time bidding policy perspective. (2025). Sbai, Erwann ; Tao, Miaomiao ; Sheng, Mingyue Selena ; Wang, Guanghao. In: Energy. RePEc:eee:energy:v:318:y:2025:i:c:s0360544225004268.

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2024Business 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.

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2024Beyond 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.

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2024VaR 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.

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2024Benefits 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.

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2024Are “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.

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2024When 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.

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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.
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This paper has nother version. Agregated cites: 0		paper
2004CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article1161
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 nother version. Agregated cites: 1161		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 nother version. Agregated cites: 1161		paper
2009Forecasting With Judgment In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]		article13
2016Measuring Financial Fragmentation in the Euro Area Corporate Bond Market. In: Working papers.
[Full Text][Citation analysis]		paper30
2018Measuring 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
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]		paper159
2011Bank 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
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 nother 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]		paper67
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 nother version. Agregated cites: 67		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 nother version. Agregated cites: 67		article
2013A high frequency assessment of the ECB Securities Markets Programme In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper128
2014A 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: 128		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 nother version. Agregated cites: 128		article
2010The Impact of the Euro on Equity Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article25
In: .
[Full Text][Citation analysis]		paper7
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]		paper93
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]		article4
2001Value at risk models in finance In: Working Paper Series.
[Full Text][Citation analysis]		paper100
2002Duration, volume and volatility impact of trades In: Working Paper Series.
[Full Text][Citation analysis]		paper107
2005Duration, 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
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]		paper148
2003The 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
2005Measuring comovements by regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]		paper53
2014Measuring Comovements by Regression Quantiles.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 53		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]		paper44
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]		paper29
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]		paper37
2014Fragmentation in the Euro overnight unsecured money market.(2014) In: Economics Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		article
2015VAR for VaR: measuring tail dependence using multivariate regression quantiles In: Working Paper Series.
[Full Text][Citation analysis]		paper208
2015VAR 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: 208		article
2012VAR for VaR: Measuring Tail Dependence Using Multivariate Regression Quantiles.(2012) In: Working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 208		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]		paper91
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 nother version. Agregated cites: 91		article
2017The portfolio of euro area fund investors and ECB monetary policy announcements In: Working Paper Series.
[Full Text][Citation analysis]		paper20
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 nother version. Agregated cites: 20		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]		paper48
2024Forecasting and stress testing with quantile vector autoregression.(2024) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 48		article
2020Monetary policy with judgment In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2020Monetary Policy with Judgment.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2020Financial conditions, business cycle fluctuations and growth at risk In: Working Paper Series.
[Full Text][Citation analysis]		paper5
2020Covid-19 and rural landscape: the case of Italy In: Working Paper Series.
[Full Text][Citation analysis]		paper15
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]		paper3
2021The risk management approach to macro-prudential policy In: Working Paper Series.
[Full Text][Citation analysis]		paper11
2023Double conditioning: the hidden connection between Bayesian and classical statistics In: Working Paper Series.
[Full Text][Citation analysis]		paper1
2023Estimating systemic risk for non-listed euro-area banks 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]		article23
2015Financial development, sectoral reallocation, and volatility: International evidence In: Journal of International Economics.
[Full Text][Citation analysis]		article24
2017Realized bank risk during the great recession In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article41
2015Realized 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
2010Quantifying the Risk of Deflation In: EcoMod2004.
[Full Text][Citation analysis]		paper34
2007Quantifying the Risk of Deflation.(2007) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 34		article
2007Quantifying 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
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]		paper27
2009What drives spreads in the euro area government bond market? In: Economic Policy.
[Full Text][Citation analysis]		article222
2004Asset Allocation by Variance Sensitivity Analysis In: 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]		paper19
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. Last updated July, 2 2025. Contact: CitEc Team