8
H index
5
i10 index
283
Citations
Banco Central do Brasil | 8 H index 5 i10 index 283 Citations RESEARCH PRODUCTION: 20 Articles 37 Papers 2 Chapters RESEARCH ACTIVITY: 18 years (2005 - 2023). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pga306 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Wagner Piazza Gaglianone. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Energy Economics | 2 |
Brazilian Review of Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers Series / Central Bank of Brazil, Research Department | 23 |
FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) / EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil) | 7 |
MPRA Paper / University Library of Munich, Germany | 2 |
Year | Title of citing document |
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2024 | Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545. Full description at Econpapers || Download paper |
2023 | A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208. Full description at Econpapers || Download paper |
2024 | Probabilistic quantile factor analysis. (2022). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301. Full description at Econpapers || Download paper |
2023 | Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747. Full description at Econpapers || Download paper |
2024 | Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012. Full description at Econpapers || Download paper |
2024 | Forecasting Inflation in Russia Using Gradient Boosting and Neural Networks. (2024). Dzhunkeev, Urmat. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:83:y:2024:i:1:p:53-76. Full description at Econpapers || Download paper |
2023 | Forecasting inflation with a zero lower bound or negative interest rates: Evidence from point and density forecasts. (2023). Caporale, Guglielmo Maria ; Anderl, Christina. In: Manchester School. RePEc:bla:manchs:v:91:y:2023:i:3:p:171-232. Full description at Econpapers || Download paper |
2023 | Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116. Full description at Econpapers || Download paper |
2023 | Can 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 |
2023 | On the utilization controversy in the demand-led growth literature: A quantile unit root approach. (2023). de Oliveira, Guilherme. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002377. Full description at Econpapers || Download paper |
2023 | Can ignorance about the interest rate and macroeconomic surprises affect the stock market return? Evidence from a large emerging economy. (2023). de Mendonça, Helder ; Rodriguez, Raime Rolando ; de Mendona, Helder Ferreira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002030. Full description at Econpapers || Download paper |
2024 | Inflation dynamics and persistence: The importance of the uncertainty channel. (2024). Canepa, Alessandra. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000603. Full description at Econpapers || Download paper |
2023 | A new robust inference for predictive quantile regression. (2023). Liao, Xiaosai ; Chen, Haiqiang ; Cai, Zongwu. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:227-250. Full description at Econpapers || Download paper |
2023 | Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15. Full description at Econpapers || Download paper |
2023 | Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774. Full description at Econpapers || Download paper |
2023 | Using machine learning to select variables in data envelopment analysis: Simulations and application using electricity distribution data. (2023). Soderberg, Magnus ; Sjolander, Par ; Mnsson, Kristofer ; Javed, Farrukh ; Duras, Toni. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001196. Full description at Econpapers || Download paper |
2024 | Toward high-resolution projection of electricity prices: A machine learning approach to quantifying the effects of high fuel and CO2 prices. (2024). Ikonnikova, Svetlana ; Madadkhani, Shiva. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s0140988323007399. Full description at Econpapers || Download paper |
2024 | The role of green energy stock market in forecasting Chinas crude oil market: An application of IIS approach and sparse regression models. (2024). Sharif, Arshian ; Muhammadullah, Sara ; Khan, Faridoon ; Lee, Chien-Chiang. In: Energy Economics. RePEc:eee:eneeco:v:130:y:2024:i:c:s0140988323007673. Full description at Econpapers || Download paper |
2024 | The impact of oil and global markets on Saudi stock market predictability: A machine learning approach. (2024). Ibrahim, Bassam A ; Abedin, Mohammad Zoynul ; Elamer, Ahmed A ; Abdou, Hussein A. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001245. Full description at Econpapers || Download paper |
2024 | Inflation prediction in emerging economies: Machine learning and FX reserves integration for enhanced forecasting. (2024). Mirza, Nawazish ; Umar, Muhammad ; Naqvi, Bushra ; Abbas, Syed Kumail. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001704. Full description at Econpapers || Download paper |
2023 | Global supply chain pressure and commodity markets: Evidence from multiple wavelet and quantile connectedness analyses. (2023). Gözgör, Giray ; Yarovaya, Larisa ; Khalfaoui, Rabeh ; Gozgor, Giray. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001642. Full description at Econpapers || Download paper |
2023 | Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096. Full description at Econpapers || Download paper |
2023 | Bayesian forecast combination using time-varying features. (2023). Li, Feng ; Kang, Yanfei. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1287-1302. Full description at Econpapers || Download paper |
2024 | How do adaptive learning expectations rationalize stronger monetary policy response in Brazil?. (2024). Wang, Hou ; Dizioli, Allan. In: Latin American Journal of Central Banking (previously Monetaria). RePEc:eee:lajcba:v:5:y:2024:i:1:s2666143824000012. Full description at Econpapers || Download paper |
2023 | Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160. Full description at Econpapers || Download paper |
2023 | The Distributional Predictive Content of Measures of Inflation Expectations. (2023). Zaman, Saeed ; Mitchell, James. In: Working Papers. RePEc:fip:fedcwq:97395. Full description at Econpapers || Download paper |
2023 | Rational Inattention: A Review. (2022). Wiederholt, Mirko ; Matjka, Filip ; Makowiak, Bartosz. In: Post-Print. RePEc:hal:journl:hal-03878692. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Measuring 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.. Full description at Econpapers || Download paper |
2024 | Investor attention and consumer price index inflation rate: Evidence from the United States. (2024). Zhang, Yinpeng ; Zhou, Qingjie ; Zhu, Panpan. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03036-y. Full description at Econpapers || Download paper |
2023 | The Spending Cap and Monetary Policy Effectiveness. (2023). Costa-Filho, Joo ; Teles, Vladmir ; Ribeiro, Gustavo. In: MPRA Paper. RePEc:pra:mprapa:116148. Full description at Econpapers || Download paper |
2023 | Uncertainty - Definition and Classification for the Task of Economic Forecasting. (2023). Yanchev, Mihail. In: Bulgarian Economic Papers. RePEc:sko:wpaper:bep-2023-03. Full description at Econpapers || Download paper |
2023 | ARIMA and LSTM: A Comparative Analysis of Financial Time Series Forecasting. (2023). Lima, Gilberto ; Matos, Joao Vitor ; Alexandre, Michel. In: Working Papers, Department of Economics. RePEc:spa:wpaper:2023wpecon13. Full description at Econpapers || Download paper |
2023 | Inattention and the impact of monetary policy. (2023). Sheng, Xuguang Simon ; Abozaid, Salem ; An, Zidong. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:38:y:2023:i:4:p:623-643. Full description at Econpapers || Download paper |
2023 | Rationality and anchoring of inflation expectations: An assessment from survey?based and market?based measures. (2021). de Mendonça, Helder ; deMendona, Helder Ferreira ; Machado, Jose Valentim ; Garcia, Pedro Mendes ; de Mendona, Helder Ferreira. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:6:p:1027-1053. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2017 | Inattention in individual expectations In: Economia. [Full Text][Citation analysis] | article | 2 |
2015 | Inattention in Individual Expectations.(2015) In: Working Papers Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2016 | Inattention in individual expectations.(2016) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2008 | Evaluating Value-at-Risk Models via Quantile Regressions. In: Working Papers Series. [Full Text][Citation analysis] | paper | 83 |
2011 | Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | article | |
2009 | Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
2008 | Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
2010 | Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | paper | |
2011 | Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 83 | article | |
2008 | Evaluating Asset Pricing Models in a Fama-French Framework. In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
2008 | An Econometric Contribution to the Intertemporal Approach of the Current Account. In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2011 | Macro Stress Testing of Credit Risk Focused on the Tails In: Working Papers Series. [Full Text][Citation analysis] | paper | 22 |
2012 | Macro stress testing of credit risk focused on the tails.(2012) In: Journal of Financial Stability. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 22 | article | |
2012 | Financial Stability in Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 7 |
2013 | Financial stability in Brazil.(2013) In: Chapters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | chapter | |
2014 | Risk Assessment of the Brazilian FX Rate In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2014 | Microfounded Forecasting In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2015 | Microfounded forecasting.(2015) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2019 | Microfounded forecasting.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2015 | Local Unit Root and Inflationary Inertia in Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2016 | Financial Conditions Indicators for Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 2 |
2017 | Financial Conditions Indicator for Brazil.(2017) In: IDB Publications (Working Papers). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2016 | Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2017 | Applying a microfounded-forecasting approach to predict Brazilian inflation.(2017) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
2016 | Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 6 |
2017 | Evaluation of exchange rate point and density forecasts: An application to Brazil.(2017) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2017 | Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model In: Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
2017 | Empirical Findings on Inflation Expectations in Brazil: a survey In: Working Papers Series. [Full Text][Citation analysis] | paper | 3 |
2017 | Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression In: Working Papers Series. [Full Text][Citation analysis] | paper | 1 |
2018 | Incentive-driven Inattention In: Working Papers Series. [Full Text][Citation analysis] | paper | 8 |
2019 | Incentive-driven Inattention.(2019) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2022 | Incentive-driven inattention.(2022) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | article | |
2019 | Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
2019 | Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term In: Working Papers Series. [Full Text][Citation analysis] | paper | 5 |
2020 | Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2020 | Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2020 | Commodity Prices and Global Economic Activity: a derived-demand approach In: Working Papers Series. [Full Text][Citation analysis] | paper | 4 |
2021 | Commodity prices and global economic activity: A derived-demand approach.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | article | |
2021 | Machine Learning and Oil Price Point and Density Forecasting In: Working Papers Series. [Full Text][Citation analysis] | paper | 7 |
2021 | Machine learning and oil price point and density forecasting.(2021) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
2021 | Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2022 | Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models In: Working Papers Series. [Full Text][Citation analysis] | paper | 9 |
2023 | Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models.(2023) In: Latin American Journal of Central Banking (previously Monetaria). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2023 | Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2023 | Predicting Recessions in (almost) Real Time in a Big-data Setting In: Working Papers Series. [Full Text][Citation analysis] | paper | 0 |
2010 | Survey-based inflation expectations in Brazil In: BIS Papers chapters. [Full Text][Citation analysis] | chapter | 5 |
2012 | Evaluating Asset Pricing Models in a Simulated Multifactor Approach In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 1 |
2005 | An Essay on the Foreign Exchange Rate Expectations in Brazil In: Brazilian Review of Finance. [Full Text][Citation analysis] | article | 0 |
2008 | Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach In: Journal of Development Economics. [Full Text][Citation analysis] | article | 17 |
2006 | Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach.(2006) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2018 | Estimating inflation persistence by quantile autoregression with quantile-specific unit roots In: Economic Modelling. [Full Text][Citation analysis] | article | 9 |
2017 | Estimating the credibility of Brazilian monetary policy using a Kalman filter approach In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 0 |
2005 | Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantílico auto-regressivo (QAR) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE). [Full Text][Citation analysis] | paper | 9 |
2012 | Constructing Density Forecasts from Quantile Regressions In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 40 |
2012 | Constructing Density Forecasts from Quantile Regressions.(2012) In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 40 | article | |
2012 | Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers). [Full Text][Citation analysis] | paper | 33 |
2014 | CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS.(2014) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 33 | article | |
2005 | Um ensaio sobre expectativas da taxa de câmbio no Brasil In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
2006 | Stochastic simulation of a DSGE model for Brazil In: MPRA Paper. [Full Text][Citation analysis] | paper | 5 |
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