Wagner Piazza Gaglianone : Citation Profile

Are you Wagner Piazza Gaglianone?

Banco Central do Brasil

8

H index

5

i10 index

284

Citations

RESEARCH PRODUCTION:

20

Articles

37

Papers

2

Chapters

RESEARCH ACTIVITY:

   18 years (2005 - 2023). See details.
   Cites by year: 15
   Journals where Wagner Piazza Gaglianone has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 23 (7.49 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pga306
   Updated: 2024-12-03    RAS profile: 2024-06-11    
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Relations with other researchers

Works with:

Issler, João (9)

Ferreira, Pedro (3)

Skreta, Vasiliki (3)

Oliveira, Fernando (3)

Giacomini, Raffaella (2)

Araujo, Gustavo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Wagner Piazza Gaglianone.

Is cited by:

Korobilis, Dimitris (11)

Marcellino, Massimiliano (8)

Clark, Todd (8)

Sokol, Andrej (7)

Poon, Aubrey (5)

Liu, Xiaochun (5)

Eguren Martin, Fernando (5)

Liu, Xiaochun (5)

Mitchell, James (5)

Pfarrhofer, Michael (5)

Liu, Xiaochun (5)

Cites to:

Lima, Luiz (38)

Kilian, Lutz (30)

West, Kenneth (29)

Issler, João (29)

Goldfajn, Ilan (26)

Timmermann, Allan (23)

Engle, Robert (22)

Reis, Ricardo (21)

Minella, André (21)

Mankiw, N. Gregory (20)

Clark, Todd (20)

Main data

Where Wagner Piazza Gaglianone has published?

Journals with more than one article published# docs
Energy Economics2
Brazilian Review of Finance2

Working Papers Series with more than one paper published# docs
Working Papers Series / Central Bank of Brazil, Research Department23
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, Germany2

Recent works citing Wagner Piazza Gaglianone (2024 and 2023)

YearTitle of citing document
2024Testing Forecast Rationality for Measures of Central Tendency. (2019). Schmidt, Patrick ; Patton, Andrew J ; Dimitriadis, Timo. In: Papers. RePEc:arx:papers:1910.12545.

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2023A Quantile Approach to Asset Pricing Models. (2021). de Vries, Tjeerd. In: Papers. RePEc:arx:papers:2105.08208.

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2024Probabilistic quantile factor analysis. (2022). Korobilis, Dimitris ; Schroder, Maximilian. In: Papers. RePEc:arx:papers:2212.10301.

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2023Testing Quantile Forecast Optimality. (2023). Pohle, Marc-Oliver ; Gutknecht, Daniel ; Fosten, Jack. In: Papers. RePEc:arx:papers:2302.02747.

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

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2024Forecasting 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.

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2023Forecasting 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.

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2023Probabilistic Quantile Factor Analysis. (2023). Schrder, Maximilian ; Korobilis, Dimitris. In: Working Papers. RePEc:bny:wpaper:0116.

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2023Can 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.

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2023On 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.

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2023Can 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.

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2024Inflation 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.

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2023A 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.

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2023Forecasting 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.

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2023Intraday 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.

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2023Using 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.

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2024Toward 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.

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2024The 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.

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2024The 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.

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2024Inflation 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.

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2023Global 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.

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2023Static 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.

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2023Bayesian 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.

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2024How 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.

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2023Constructing Density Forecasts from Quantile Regressions: Multimodality in Macro-Financial Dynamics. (2022). Poon, Aubrey ; Mitchell, James ; Zhu, Dan. In: Working Papers. RePEc:fip:fedcwq:94160.

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2023The Distributional Predictive Content of Measures of Inflation Expectations. (2023). Zaman, Saeed ; Mitchell, James. In: Working Papers. RePEc:fip:fedcwq:97395.

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2023Rational Inattention: A Review. (2022). Wiederholt, Mirko ; Matjka, Filip ; Makowiak, Bartosz. In: Post-Print. RePEc:hal:journl:hal-03878692.

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2023.

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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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2024Investor 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.

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2023The Spending Cap and Monetary Policy Effectiveness. (2023). Costa-Filho, Joo ; Teles, Vladmir ; Ribeiro, Gustavo. In: MPRA Paper. RePEc:pra:mprapa:116148.

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2023Uncertainty - Definition and Classification for the Task of Economic Forecasting. (2023). Yanchev, Mihail. In: Bulgarian Economic Papers. RePEc:sko:wpaper:bep-2023-03.

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2023ARIMA 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.

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2023Inattention 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.

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Works by Wagner Piazza Gaglianone:

YearTitleTypeCited
2017Inattention in individual expectations In: Economia.
[Full Text][Citation analysis]		article2
2015Inattention in Individual Expectations.(2015) In: Working Papers Series.
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This paper has nother version. Agregated cites: 2		paper
2016Inattention in individual expectations.(2016) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 2		paper
2008Evaluating Value-at-Risk Models via Quantile Regressions. In: Working Papers Series.
[Full Text][Citation analysis]		paper83
2011Evaluating Value-at-Risk Models via Quantile Regression.(2011) In: Journal of Business & Economic Statistics.
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This paper has nother version. Agregated cites: 83		article
2009Evaluating Value-at-Risk models via Quantile Regression.(2009) In: UC3M Working papers. Economics.
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This paper has nother version. Agregated cites: 83		paper
2008Evaluating Value-at-Risk models via Quantile regressions.(2008) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 83		paper
2010Evaluating Value-at-Risk Models via Quantile Regression.(2010) In: NCER Working Paper Series.
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This paper has nother version. Agregated cites: 83		paper
2011Evaluating 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
2008Evaluating Asset Pricing Models in a Fama-French Framework. In: Working Papers Series.
[Full Text][Citation analysis]		paper2
2008An Econometric Contribution to the Intertemporal Approach of the Current Account. In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2011Macro Stress Testing of Credit Risk Focused on the Tails In: Working Papers Series.
[Full Text][Citation analysis]		paper22
2012Macro stress testing of credit risk focused on the tails.(2012) In: Journal of Financial Stability.
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This paper has nother version. Agregated cites: 22		article
2012Financial Stability in Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper7
2013Financial stability in Brazil.(2013) In: Chapters.
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This paper has nother version. Agregated cites: 7		chapter
2014Risk Assessment of the Brazilian FX Rate In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2014Microfounded Forecasting In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2015Microfounded forecasting.(2015) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 0		paper
2019Microfounded forecasting.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 0		paper
2015Local Unit Root and Inflationary Inertia in Brazil In: Working Papers Series.
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2016Financial Conditions Indicators for Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper2
2017Financial Conditions Indicator for Brazil.(2017) In: IDB Publications (Working Papers).
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This paper has nother version. Agregated cites: 2		paper
2016Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2017Applying a microfounded-forecasting approach to predict Brazilian inflation.(2017) In: Empirical Economics.
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This paper has nother version. Agregated cites: 0		article
2016Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper6
2017Evaluation of exchange rate point and density forecasts: An application to Brazil.(2017) In: International Journal of Forecasting.
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This paper has nother version. Agregated cites: 6		article
2017Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model In: Working Papers Series.
[Full Text][Citation analysis]		paper3
2017Empirical Findings on Inflation Expectations in Brazil: a survey In: Working Papers Series.
[Full Text][Citation analysis]		paper3
2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression In: Working Papers Series.
[Full Text][Citation analysis]		paper1
2018Incentive-driven Inattention In: Working Papers Series.
[Full Text][Citation analysis]		paper8
2019Incentive-driven Inattention.(2019) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 8		paper
2022Incentive-driven inattention.(2022) In: Journal of Econometrics.
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This paper has nother version. Agregated cites: 8		article
2019Incentive-driven Inattention.(2019) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 8		paper
2019Expectations Anchoring Indexes for Brazil using Kalman Filter: exploring signals of inflation anchoring in the long term In: Working Papers Series.
[Full Text][Citation analysis]		paper5
2020Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics.
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This paper has nother version. Agregated cites: 5		article
2020Expectations anchoring indexes for Brazil using Kalman filter: Exploring signals of inflation anchoring in the long term.(2020) In: International Economics.
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This paper has nother version. Agregated cites: 5		article
2020Commodity Prices and Global Economic Activity: a derived-demand approach In: Working Papers Series.
[Full Text][Citation analysis]		paper5
2021Commodity prices and global economic activity: A derived-demand approach.(2021) In: Energy Economics.
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This paper has nother version. Agregated cites: 5		article
2021Machine Learning and Oil Price Point and Density Forecasting In: Working Papers Series.
[Full Text][Citation analysis]		paper7
2021Machine learning and oil price point and density forecasting.(2021) In: Energy Economics.
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This paper has nother version. Agregated cites: 7		article
2021Impacts of the Monetary Policy Committee Decisions on the Foreign Exchange Rate in Brazil In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2022Machine Learning Methods for Inflation Forecasting in Brazil: new contenders versus classical models In: Working Papers Series.
[Full Text][Citation analysis]		paper9
2023Machine learning methods for inflation forecasting in Brazil: New contenders versus classical models.(2023) In: Latin American Journal of Central Banking (previously Monetaria).
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This paper has nother version. Agregated cites: 9		article
2023Anchoring Long-term VAR Forecasts Based On Survey Data and State-space Models In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2023Predicting Recessions in (almost) Real Time in a Big-data Setting In: Working Papers Series.
[Full Text][Citation analysis]		paper0
2010Survey-based inflation expectations in Brazil In: BIS Papers chapters.
[Full Text][Citation analysis]		chapter5
2012Evaluating Asset Pricing Models in a Simulated Multifactor Approach In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article1
2005An Essay on the Foreign Exchange Rate Expectations in Brazil In: Brazilian Review of Finance.
[Full Text][Citation analysis]		article0
2008Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach In: Journal of Development Economics.
[Full Text][Citation analysis]		article17
2006Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach.(2006) In: FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE).
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This paper has nother version. Agregated cites: 17		paper
2018Estimating inflation persistence by quantile autoregression with quantile-specific unit roots In: Economic Modelling.
[Full Text][Citation analysis]		article9
2017Estimating the credibility of Brazilian monetary policy using a Kalman filter approach In: Research in International Business and Finance.
[Full Text][Citation analysis]		article0
2005Limite 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]		paper9
2012Constructing Density Forecasts from Quantile Regressions In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article40
2012Constructing Density Forecasts from Quantile Regressions.(2012) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 40		article
2012Constructing Optimal Density Forecasts from Point Forecast Combinations In: Série Textos para Discussão (Working Papers).
[Full Text][Citation analysis]		paper33
2014CONSTRUCTING OPTIMAL DENSITY FORECASTS FROM POINT FORECAST COMBINATIONS.(2014) In: Journal of Applied Econometrics.
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This paper has nother version. Agregated cites: 33		article
2005Um ensaio sobre expectativas da taxa de cmbio no Brasil In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2006Stochastic simulation of a DSGE model for Brazil In: MPRA Paper.
[Full Text][Citation analysis]		paper5

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