Arianna Agosto : Citation Profile

Università degli Studi di Pavia

5

H index

3

i10 index

104

Citations

RESEARCH PRODUCTION:

9

Articles

8

Papers

RESEARCH ACTIVITY:

   11 years (2010 - 2021). See details.
   Cites by year: 9
   Journals where Arianna Agosto has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 6 (5.45 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pag213
   Updated: 2025-12-27    RAS profile: 2021-06-24    
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Relations with other researchers

Works with:

Giudici, Paolo (7)

Ahelegbey, Daniel Felix (3)

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

Is cited by:

Cavaliere, Giuseppe (6)

Rahbek, Anders (4)

Giudici, Paolo (4)

Pennoni, Fulvia (2)

Koopman, Siem Jan (2)

De Angelis, Luca (2)

Bartolucci, Francesco (2)

Ahelegbey, Daniel Felix (2)

Lin, Boqiang (2)

Okorie, David (2)

Mishra, Tapas (1)

Cites to:

Giudici, Paolo (8)

Rahbek, Anders (7)

Kristensen, Dennis (6)

Moretto, Enrico (4)

merton, robert (4)

Billio, Monica (4)

Cavaliere, Giuseppe (4)

Yilmaz, Kamil (3)

Engle, Robert (3)

Leland, Hayne (3)

battiston, stefano (3)

Main data

Where Arianna Agosto has published?

Journals with more than one article published# docs
Risks2

Working Papers Series with more than one paper published# docs
DEM Working Papers Series / University of Pavia, Department of Economics and Management3
Papers / arXiv.org2

Recent works citing Arianna Agosto (2025 and 2024)

YearTitle of citing document
2025Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models. (2023). Kristensen, Dennis ; Lee, Young Jun. In: Papers. RePEc:arx:papers:1904.05209.

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2024Augmented Dynamic Gordon Growth Model. (2024). Gankhuu, Battulga. In: Papers. RePEc:arx:papers:2201.06012.

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2024Robust Estimation in Network Vector Autoregression with Nonstationary Regressors. (2024). Katsouris, Christis. In: Papers. RePEc:arx:papers:2401.04050.

Full description at Econpapers || Download paper

2024Green bubbles: a four-stage paradigm for detection and propagation. (2024). Grossi, Luigi ; Vriz, Gian Luca. In: Papers. RePEc:arx:papers:2410.06564.

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2024Dividend based risk measures: A Markov chain approach. (2024). de Blasis, Riccardo ; D'Amico, Guglielmo. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:471:y:2024:i:c:s0096300324000833.

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2024Conditional-mean multiplicative operator models for count time series. (2024). Zhu, Fukang ; Weiss, Christian H. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:191:y:2024:i:c:s0167947323001962.

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2025A new class of Z-valued INAR(1) models with application to mutual fund flows. (2025). Kang, Yao ; Zhang, Yuqing ; Wang, Shuhui ; Zhao, Zhiwen. In: Economics Letters. RePEc:eee:ecolet:v:252:y:2025:i:c:s0165176525001764.

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2024Empirical risk minimization for time series: Nonparametric performance bounds for prediction. (2024). Llorens-Terrazas, Jordi ; Brownlees, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:244:y:2024:i:1:s0304407624001945.

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2024Structured factor copulas for modeling the systemic risk of European and United States banks. (2024). Nguyen, Hoang ; Galeano, Pedro ; Ausn, Concepcin M ; Virbickait, Audron. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005532.

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2025Financial connectivity in cross-border lending and crises: Role of financial and legislative integration. (2025). Nder, Zeynep ; Demir, Mge. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000277.

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2024Trade fragmentation and volatility-of-volatility networks. (2024). JAWADI, Fredj ; BASTIDON, Cécile. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001762.

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2024Properties of the reconciled distributions for Gaussian and count forecasts. (2024). Giudici, Paolo ; Zambon, Lorenzo ; Corani, Giorgio ; Agosto, Arianna. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1438-1448.

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2024Global economic policy uncertainty and the stability of cryptocurrency returns: The role of liquidity volatility. (2024). Zhang, Pengcheng ; Xu, Kunpeng ; Qi, Jiayin ; Kong, Deli. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pb:s027553192300291x.

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2024The Importance of Bitcoin and Commodities as Investment Diversifiers in OPEC and Non-OPEC Countries. (2024). ben Ameur, Hanen ; ben Brayek, Angham ; Alharbi, Farea Mohammed. In: Economies. RePEc:gam:jecomi:v:12:y:2024:i:12:p:351-:d:1547835.

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2025A Mixture Integer GARCH Model with Application to Modeling and Forecasting COVID-19 Counts. (2025). Ong, Seng Huat ; Khoo, Wooi Chen ; Srivastava, Hari M ; Ming, Victor Jian. In: Stats. RePEc:gam:jstats:v:8:y:2025:i:3:p:73-:d:1723882.

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2024Modeling the Paths of China’s Systemic Financial Risk Contagion: A Ripple Network Perspective Analysis. (2024). Xu, Fuwei. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:1:d:10.1007_s10614-022-10329-4.

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2024Specifications tests for count time series models with covariates. (2024). Meintanis, Simos G ; Hukov, Marie ; Hudecov, Rka. In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research. RePEc:spr:testjl:v:33:y:2024:i:4:d:10.1007_s11749-024-00933-x.

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Works by Arianna Agosto:

YearTitleTypeCited
2015Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX) In: CREATES Research Papers.
[Full Text][Citation analysis]		paper33
2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX).(2016) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 33		article
2013Variance matters (in stochastic dividend discount models) In: Papers.
[Full Text][Citation analysis]		paper7
2015Variance matters (in stochastic dividend discount models).(2015) In: Annals of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2017Covariance of random stock prices in the Stochastic Dividend Discount Model In: Papers.
[Full Text][Citation analysis]		paper0
2020Tree networks to assess financial contagion In: Economic Modelling.
[Full Text][Citation analysis]		article18
2020Tree Networks to assess Financial Contagion.(2020) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 18		paper
2020Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market In: Risks.
[Full Text][Citation analysis]		article29
2020A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics In: Risks.
[Full Text][Citation analysis]		article9
2020A Poisson autoregressive model to understand COVID-19 contagion dynamics.(2020) In: DEM Working Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2010Applying default probabilities in an exponential barrier structural model In: Economics and Quantitative Methods.
[Full Text][Citation analysis]		paper0
2020A rank graduation accuracy measure In: DEM Working Papers Series.
[Full Text][Citation analysis]		paper0
2020Default count-based network models for credit contagion In: DEM Working Papers Series.
[Full Text][Citation analysis]		paper2
2020COVID-19 contagion and digital finance In: Digital Finance.
[Full Text][Citation analysis]		article1
2019Stochastic dividend discount model: covariance of random stock prices In: Journal of Economics and Finance.
[Full Text][Citation analysis]		article3
2021Financial contagion through space-time point processes In: Statistical Methods & Applications.
[Full Text][Citation analysis]		article2
2012Exploiting default probabilities in a structural model with nonconstant barrier In: Applied Financial Economics.
[Full Text][Citation analysis]		article0

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