Diane Pierret : Citation Profile

Are you Diane Pierret?

Université de Lausanne

6

H index

4

i10 index

290

Citations

RESEARCH PRODUCTION:

3

Articles

15

Papers

RESEARCH ACTIVITY:

   7 years (2011 - 2018). See details.
   Cites by year: 41
   Journals where Diane Pierret has often published
   Relations with other researchers
   Recent citing documents: 36.    Total self citations: 2 (0.68 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/ppi339
   Updated: 2023-11-04    RAS profile: 2022-09-20    
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Relations with other researchers

Works with:

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

Is cited by:

Peydro, Jose-Luis (8)

Haselmann, Rainer (8)

Sucarrat, Genaro (8)

Escribano, Alvaro (8)

Acharya, Viral (8)

Bauwens, Luc (6)

Steffen, Sascha (6)

Storti, Giuseppe (4)

Noureldin, Diaa (4)

Vig, Vikrant (4)

Sette, Enrico (4)

Cites to:

Engle, Robert (11)

Acharya, Viral (10)

Bauwens, Luc (6)

Diamond, Douglas (5)

Hamilton, James (5)

Pesaran, Mohammad (4)

Kilian, Lutz (4)

Shin, Hyun Song (4)

Rochet, Jean (4)

Rajan, Raghuram (4)

Jagannathan, Ravi (4)

Main data

Where Diane Pierret has published?

Working Papers Series with more than one paper published# docs
LIDAM Discussion Papers ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)3
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
LIDAM Reprints ISBA / Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA)2

Recent works citing Diane Pierret (2023 and 2022)

YearTitle of citing document
2023Estimating the impact of supply chain network contagion on financial stability. (2023). Burger, Csaba ; Borsos, Andr'As ; Diem, Christian ; Tabachov, Zlata ; Thurner, Stefan. In: Papers. RePEc:arx:papers:2305.04865.

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2022SRISK: una medida de riesgo sistémico para la banca colombiana 2005-2021. (2022). Sanchez-Quinto, Camilo Eduardo. In: Borradores de Economia. RePEc:bdr:borrec:1207.

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2022The Limits of Model?Based Regulation. (2022). Haselmann, Rainer ; Vig, Vikrant ; Behn, Markus. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:3:p:1635-1684.

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2022The certification role of the EU-wide stress testing exercises in the stock market. What can we learn from the stress tests (2014-2021)?. (2022). Marques, Aurea ; Ongena, Steven ; Durrani, Agha. In: Working Paper Series. RePEc:ecb:ecbwps:20222711.

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2023Does IFRS 9 increase banks’ resilience?. (2023). Rugilo, Daniel ; Kund, Arndt-Gerrit. In: Working Paper Series. RePEc:ecb:ecbwps:20232792.

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2022Modeling risk contagion in the Italian zonal electricity market. (2022). Fianu, Emmanuel Senyo ; Ahelegbey, Daniel Felix ; Grossi, Luigi. In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:656-679.

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2022Does economic policy uncertainty drive volatility spillovers in electricity markets: Time and frequency evidence. (2022). Zhai, Pengxiang ; Liu, Zhen Hua ; Ma, Rufei. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000354.

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2022Systemic risks in electricity systems: A perspective on the potential of digital technologies. (2022). Neumann, Christoph ; Heine, Moreen ; Fridgen, Gilbert ; Weibelzahl, Martin ; Sedlmeir, Johannes ; Korner, Marc-Fabian. In: Energy Policy. RePEc:eee:enepol:v:164:y:2022:i:c:s0301421522001264.

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2022Max headroom: Discretionary capital buffers and bank risk. (2022). Lubberink, Martien. In: International Review of Financial Analysis. RePEc:eee:finana:v:84:y:2022:i:c:s1057521922003520.

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2022An integrated macroprudential stress test of bank liquidity and solvency. (2022). Wolfe, Simon ; Mishra, Tapas ; Gerding, Enrico ; Bakoush, Mohamed. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000377.

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2022Systemic risk measures and regulatory challenges. (2022). Brzeszczyski, Janusz ; Sharma, Satish ; Ellis, Scott. In: Journal of Financial Stability. RePEc:eee:finsta:v:61:y:2022:i:c:s1572308921001194.

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2022Bank capital and economic activity. (2022). Turk-Ariss, Rima ; Klein, Paul-Olivier. In: Journal of Financial Stability. RePEc:eee:finsta:v:62:y:2022:i:c:s1572308922000894.

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2023Addressing Spillovers from Prolonged U.S. Monetary Policy Easing. (2023). Sahay, Ratna ; Rawat, Umang ; Narita, Machiko ; Cecchetti, Stephen G. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001085.

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2022Predicting the stressed expected loss of large U.S. banks. (2022). Jondeau, Eric ; Khalilzadeh, Amir. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002727.

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2022Stabilising virtues of central banks: (Re)matching bank liquidity. (2022). Valla, Natacha ; Szczerbowicz, Urszula ; Rahmouni-Rousseau, Imene ; Legroux, Vincent . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002740.

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2022The dark side of liquidity regulation: Bank opacity and funding liquidity risk. (2022). Zhao, Tianshu ; McGowan, Danny ; Raz, Arisyi F. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:52:y:2022:i:c:s1042957322000432.

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2022Risk, financial stability and FDI. (2022). Lamla, Michael ; Kontonikas, Alexandros ; Kellard, Neil M ; Wood, Geoffrey ; Maiani, Stefano. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:120:y:2022:i:c:s0261560620301881.

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2022A revised financial satellite model for COSMO. (2022). McQuinn, Kieran ; O'Toole, Conor ; Egan, Paul. In: Papers. RePEc:esr:wpaper:wp737.

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2022Enhancing Stress Tests by Adding Macroprudential Elements. (2022). Rappoport, David E ; Bassett, William F. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2022-22.

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2023Stressed Banks? Evidence from the Largest-Ever Supervisory Review. (2023). Soto, Paul E ; Peydro, Jose-Luis ; Iyer, Rajkamal ; Abbassi, Puriya. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2023-21.

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2023Anticipating the Unforeseen and Expecting the Unexpected: Effectiveness of Macro-Prudential Policies in Curbing the Impact of Stranded Assets in the Banking Sector. (2023). van der Poll, Huibrecht Margaretha ; Nkwaira, Chekani. In: Risks. RePEc:gam:jrisks:v:11:y:2023:i:5:p:87-:d:1139218.

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2022Bank capital and economic activity. (2022). Turk-Ariss, Rima ; Klein, Paul-Olivier. In: Post-Print. RePEc:hal:journl:hal-03955630.

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2022Regulatory Stress Tests and Bank Responses: Heterogeneous Treatment Effect in Dynamic Settings. (2022). Kravtsov, Oleg ; Janda, Karel. In: International Journal of Central Banking. RePEc:ijc:ijcjou:y:2022:q:2:a:1.

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2022New definition of default. (2022). Prorokowski, Lukasz. In: Bank i Kredyt. RePEc:nbp:nbpbik:v:53:y:2022:i:5:p:523-564.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023Built-in challenges within the supervisory architecture of the Eurozone. (2023). Dragomirescu-Gaina, Catalin ; Papadamou, Stephanos ; Leontitsis, Alexandros ; Philippas, Dionisis. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:1:d:10.1057_s41261-021-00183-z.

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2023Does BRRD mitigate the bank-to-sovereign risk channel?. (2023). Vennet, Rudi Vander ; Soenen, Nicolas ; Present, Thomas ; Lamers, Martien. In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium. RePEc:rug:rugwps:23/1060.

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2022Measuring and stress-testing market-implied bank capital. (2022). Fuster, Andreas ; Jondeau, Eric ; Indergand, Martin. In: Working Papers. RePEc:snb:snbwpa:2022-02.

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2023Global financial cycle, household credit, and macroprudential policies. (2021). Epure, Mircea ; Peydro, Jose-Luis ; Minoiu, Camelia ; Mihai, Irina. In: Economics Working Papers. RePEc:upf:upfgen:1590.

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2023Risk mitigating versus risk shifting: evidence from banks security trading in crises. (2020). Sette, Enrico ; Polo, Andrea ; Peydro, Jose-Luis. In: Economics Working Papers. RePEc:upf:upfgen:1753.

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2022Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets. (2022). Wu, Jianbin ; Sercu, Piet ; Dhaene, Geert. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:42:y:2022:i:5:p:868-887.

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2023Calibrating the Magnitude of the Countercyclical Capital Buffer Using Market?Based Stress Tests. (2023). van Oordt, Maarten. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:55:y:2023:i:2-3:p:465-501.

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2023Risk Mitigating versus Risk Shifting: Evidence from Banks Security Trading in Crises. (2020). Sette, Enrico ; Polo, Andrea ; Peydro, Jose-Luis. In: EconStor Preprints. RePEc:zbw:esprep:226219.

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2022Sovereign debt in the 21st century: Looking backward, looking forward. (2021). Trebesch, Christoph ; Mitchener, Kris. In: Kiel Working Papers. RePEc:zbw:ifwkwp:2198.

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Works by Diane Pierret:

YearTitleTypeCited
2011Multivariate volatility modeling of electricity futures In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper51
2011Multivariate volatility modeling of electricity futures.(2011) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 51		paper
2011Multivariate Volatility Modeling of Electricity Futures.(2011) In: SFB 649 Discussion Papers.
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This paper has another version. Agregated cites: 51		paper
2013MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES.(2013) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 51		article
2013The systemic risk of energy markets In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper12
2013The systemic risk of energy markets.(2013) In: LIDAM Discussion Papers CORE.
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This paper has another version. Agregated cites: 12		paper
2014Systemic risk and the solvency-liquidity nexus of banks In: LIDAM Discussion Papers ISBA.
[Full Text][Citation analysis]		paper26
2014Systemic risk and the solvency-liquidity nexus of banks.(2014) In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 26		paper
2015Systemic Risk and the Solvency-Liquidity Nexus of Banks.(2015) In: International Journal of Central Banking.
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This paper has another version. Agregated cites: 26		article
2013Modelling multivariate volatility of electricity futures In: LIDAM Reprints ISBA.
[Citation analysis]		paper7
2014Testing macroprudential stress tests: The risk of regulatory risk weights In: LIDAM Reprints ISBA.
[Citation analysis]		paper179
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 179		paper
2014Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2014) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 179		paper
2014Testing macroprudential stress tests: The risk of regulatory risk weights.(2014) In: Journal of Monetary Economics.
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This paper has another version. Agregated cites: 179		article
2013Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights.(2013) In: NBER Working Papers.
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This paper has another version. Agregated cites: 179		paper
2017Stressed Banks In: Swiss Finance Institute Research Paper Series.
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2018Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper9
2016Lender of last resort versus buyer of last resort: The impact of the European Central Bank actions on the bank-sovereign nexus In: ZEW Discussion Papers.
[Full Text][Citation analysis]		paper6

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