Gianluca Fabio De Nard : Citation Profile

Universität Zürich (50% share)
Universität Liechtenstein (50% share)

3

H index

2

i10 index

57

Citations

RESEARCH PRODUCTION:

8

Articles

6

Papers

RESEARCH ACTIVITY:

   7 years (2018 - 2025). See details.
   Cites by year: 8
   Journals where Gianluca Fabio De Nard has often published
   Relations with other researchers
   Recent citing documents: 27.    Total self citations: 7 (10.94 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde1427
   Updated: 2026-02-21    RAS profile: 2025-10-13    
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Relations with other researchers

Works with:

Engle, Robert (4)

Beck, Elliot (2)

Wolf, Michael (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Gianluca Fabio De Nard.

Is cited by:

cotter, john (3)

Anatolyev, Stanislav (3)

Challet, Damien (3)

Conlon, Thomas (3)

Luger, Richard (2)

Medeiros, Marcelo (2)

Fiszeder, Piotr (2)

Fermanian, Jean-David (2)

Barigozzi, Matteo (1)

Golosnoy, Vasyl (1)

Ledoit, Olivier (1)

Cites to:

Engle, Robert (18)

French, Kenneth (13)

Ledoit, Olivier (13)

Wolf, Michael (9)

Fan, Jianqing (9)

Fama, Eugene (8)

Xiu, Dacheng (8)

Uppal, Raman (5)

Titman, Sheridan (5)

Hou, Kewei (5)

Zhang, Lu (4)

Main data

Where Gianluca Fabio De Nard has published?

Journals with more than one article published# docs
International Review of Economics & Finance2
Journal of Financial Econometrics2

Recent works citing Gianluca Fabio De Nard (2025 and 2024)

YearTitle of citing document
2024Dynamic CVaR Portfolio Construction with Attention-Powered Generative Factor Learning. (2024). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2024Hierarchical DCC-HEAVY Model for High-Dimensional Covariance Matrices. (2024). Barigozzi, Matteo ; Dzuverovic, Emilija. In: Papers. RePEc:arx:papers:2305.08488.

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2024Regularizing stock return covariance matrices via multiple testing of correlations. (2024). Luger, Richard. In: Papers. RePEc:arx:papers:2407.09696.

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2024Pricing cloud stocks: Evidence from China. (2024). Cheung, Adrian (Wai-Kong) ; Lin, Lichao. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:1:p:811-832.

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2024Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

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2024Time-varying minimum variance portfolio. (2024). Fan, Qingliang (Michael) ; Yang, Yanrong ; Zhong, Wei ; Wu, Ruike. In: Journal of Econometrics. RePEc:eee:econom:v:239:y:2024:i:2:s0304407622001646.

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2025Regularizing stock return covariance matrices via multiple testing of correlations. (2025). Luger, Richard. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s030440762400099x.

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2024Dynamic portfolio selection with sector-specific regularization. (2024). Wang, Linqi ; Hafner, Christian M. In: Econometrics and Statistics. RePEc:eee:ecosta:v:32:y:2024:i:c:p:17-33.

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2024Cross validation based transfer learning for cross-sectional non-linear shrinkage: A data-driven approach in portfolio optimization. (2024). Morstedt, Torsten ; Neumann, Dirk ; Lutz, Bernhard. In: European Journal of Operational Research. RePEc:eee:ejores:v:318:y:2024:i:2:p:670-685.

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2025Asset allocation with factor-based covariance matrices. (2025). Conlon, Thomas ; Cotter, John ; Kynigakis, Iason. In: European Journal of Operational Research. RePEc:eee:ejores:v:325:y:2025:i:1:p:189-203.

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2025Spotlighting energy sector through green transition attention. (2025). Cerqueti, Roy ; Stefanelli, Kevyn. In: Energy. RePEc:eee:energy:v:335:y:2025:i:c:s036054422503453x.

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2024Constructing stock portfolios by sorting on ESG ratings: Does the rating provider matter?. (2024). Oehler, Andreas ; Horn, Matthias. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005003.

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2024Improved estimation of the correlation matrix using reinforcement learning and text-based networks. (2024). Simaan, Majeed ; Ndiaye, Papa Momar ; Lu, Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005040.

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2025Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model. (2025). Honig, Igor ; Kircher, Felix. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001256.

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2025CRISK: Measuring the climate risk exposure of the financial system. (2025). Engle, Robert ; Berner, Richard ; Jung, Hyeyoon. In: Journal of Financial Economics. RePEc:eee:jfinec:v:171:y:2025:i:c:s0304405x25000844.

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2025Do structured products improve portfolio performance? A backtesting exercise. (2025). Rockinger, Michael ; Perusset, Florian. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:157:y:2025:i:c:s0261560625001317.

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2025Quantifying the information lost in optimal covariance matrix cleaning. (2025). Bongiorno, Christian ; Lamrani, Lamia. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:657:y:2025:i:c:s0378437124007349.

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2025When Tails Are Heavy: The Benefits of Variance-Targeted, Non-Gaussian, Quasi-Maximum Likelihood Estimation of GARCH Models. (2025). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-75.

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2024Optimal Portfolio Choice with Unknown Benchmark Efficiency. (2024). Wang, Xiaolu ; Kan, Raymond. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:9:p:6117-6138.

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2025Multi-scale Dynamic Correlation Between Climate Shock and Chinas Stock Market: Evidence Based on High Frequency Data. (2025). Wang, Hanru ; Chen, Menglong ; Shu, Mingyu. In: Computational Economics. RePEc:kap:compec:v:66:y:2025:i:3:d:10.1007_s10614-024-10790-3.

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2025Factors relevance in asset pricing: new evidences in emerging markets from random matrix theory. (2025). Saanchez-Granero, Miguel A ; Garcaia-Medina, Andraes ; Molero-Gonzaalez, Laura ; Trinidad-Segovia, Juan E. In: Economics and Business Letters. RePEc:ove:journl:aid:21322.

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2025Portfolio optimization in deformed time. (2025). Fall, Malick. In: Journal of Asset Management. RePEc:pal:assmgt:v:26:y:2025:i:2:d:10.1057_s41260-024-00378-9.

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2024Testing the significance of pricing factors of oil and gas companies. (2024). Garca-Medina, Andres ; Trinidad-Segovia, Juan Evangelista ; Garcia-Amate, Antonio ; Molero-Gonzlez, Laura ; Snchez-Granero, Miguel Angel. In: PLOS ONE. RePEc:plo:pone00:0316147.

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2025Model-based vs. agnostic methods for the prediction of time-varying covariance matrices. (2025). Xidonas, Panos ; Poignard, Benjamin ; Fermanian, Jean-David. In: Annals of Operations Research. RePEc:spr:annopr:v:346:y:2025:i:1:d:10.1007_s10479-024-06238-4.

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2024Factor and Idiosyncratic VAR-Ito Volatility Models for Heavy-Tailed High-Frequency Financial Data. (2024). Fan, Jianqing ; Kim, Donggyu ; Shin, Minseok ; Wang, Yazhen. In: Working Papers. RePEc:ucr:wpaper:202415.

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2025A Model for Sustainable Development in Territorial Production Systems. (2025). Sica, Francesco ; Tajani, Francesco ; Morano, Pierluigi. In: Sustainable Development. RePEc:wly:sustdv:v:33:y:2025:i:3:p:4511-4528.

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2024Markowitz portfolios under transaction costs. (2024). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:420.

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Works by Gianluca Fabio De Nard:

YearTitleTypeCited
2023Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article0
2022Large dynamic covariance matrices: Enhancements based on intraday data In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article13
2021Large dynamic covariance matrices: enhancements based on intraday data.(2021) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2022A large-dimensional test for cross-sectional anomalies:Efficient sorting revisited In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article0
2023Improved inference in financial factor models In: International Review of Economics & Finance.
[Full Text][Citation analysis]		article0
2023Improved inference in financial factor models.(2023) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2021Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article37
2018Factor models for portfolio selection in large dimensions: the good, the better and the ugly.(2018) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 37		paper
2022Oops! I Shrunk the Sample Covariance Matrix Again: Blockbuster Meets Shrinkage In: Journal of Financial Econometrics.
[Full Text][Citation analysis]		article1
2024Factor-Mimicking Portfolios for Climate Risk In: Financial Analysts Journal.
[Full Text][Citation analysis]		article5
2024Factor mimicking portfolios for climate risk.(2024) In: ECON - Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2022Subsampled factor models for asset pricing: The rise of Vasa In: Journal of Forecasting.
[Full Text][Citation analysis]		article1
2025Low risk, high variability: practical guide for portfolio construction In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0
2025Learning the shrinkage intensity: a data-driven approach for risk-optimized portfolios In: ECON - Working Papers.
[Full Text][Citation analysis]		paper0

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