Marcello Pericoli : Citation Profile

Banca d'Italia

9

H index

9

i10 index

1192

Citations

RESEARCH PRODUCTION:

13

Articles

29

Papers

RESEARCH ACTIVITY:

   30 years (1992 - 2022). See details.
   Cites by year: 39
   Journals where Marcello Pericoli has often published
   Relations with other researchers
   Recent citing documents: 46.    Total self citations: 18 (1.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe177
   Updated: 2025-12-20    RAS profile: 2024-05-06    
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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 Marcello Pericoli.

Is cited by:

Fry-McKibbin, Renee (25)

Gómez-Puig, Marta (20)

Sosvilla-Rivero, Simon (17)

Martin, Vance (17)

Valls Pereira, Pedro (14)

Caporale, Guglielmo Maria (13)

Spagnolo, Nicola (13)

Caporin, Massimiliano (13)

Fazio, Giorgio (12)

Baur, Dirk (11)

Masih, Abul (10)

Cites to:

Rudebusch, Glenn (19)

Piazzesi, Monika (18)

Ang, Andrew (15)

Taboga, Marco (11)

Sbracia, Massimo (11)

Hördahl, Peter (10)

Campbell, John (10)

Mishkin, Frederic (10)

Kaminsky, Graciela (10)

Swanson, Eric (10)

Gürkaynak, Refet (10)

Main data

Where Marcello Pericoli has published?

Journals with more than one article published# docs
International Finance3
Journal of Money, Credit and Banking2

Working Papers Series with more than one paper published# docs
Temi di discussione (Economic working papers) / Bank of Italy, Economic Research and International Relations Area19
Questioni di Economia e Finanza (Occasional Papers) / Bank of Italy, Economic Research and International Relations Area2
MPRA Paper / University Library of Munich, Germany2

Recent works citing Marcello Pericoli (2025 and 2024)

YearTitle of citing document
2024Ocena wpływów makroekonomicznych na rentowność indyjskich obligacji skarbowych – spostrzeżenia z podejścia opartego na teście granic ARDL. (2024). Patra, Suresh Kumar ; Naik, Pramod Kumar. In: Gospodarka Narodowa-The Polish Journal of Economics. RePEc:ags:polgne:361246.

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2024The Impact of Market Sentiment and Macroeconomic Fundamentals on Government Bond (Mis)-pricing. (2024). Munari, Pietro. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp24228.

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2024Was Covid-19 a wake-up call on climate risks? Evidence from the greenium. (2024). Marinelli, Giuseppe ; Liberati, Danilo. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_832_24.

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2024Inflation (De-)Anchoring in the Euro Area. (2024). De Backer, Bruno ; Vladu, Andreea Liliana ; Burban, Valentin. In: Working papers. RePEc:bfr:banfra:965.

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2024FINANCIAL INTEGRATION OF THE EUROPEAN UNION FINANCIAL MARKETS. A PCA APPROACH. (2024). Stanciu, Cristian Valeriu ; Spulbar, Andrei Cristian. In: Studies in Business and Economics. RePEc:blg:journl:v:19:y:2024:i:3:p:241-256.

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2024A Dynamic Latent-Space Model for Asset Clustering. (2024). Casarin, Roberto ; Antonio, Peruzzi ; Roberto, Casarin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:28:y:2024:i:2:p:379-402:n:9.

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2024A Vector Multiplicative Error Model with Spillover Effects and Co-movements. (2024). Otranto, E. In: Working Paper CRENoS. RePEc:cns:cnscwp:202404.

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2024Inflation (de-)anchoring in the euro area. (2024). De Backer, Bruno ; Burban, Valentin ; Vladu, Andreea Liliana. In: Working Paper Series. RePEc:ecb:ecbwps:20242964.

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2025Investor sentiment and dynamic connectedness in European markets: insights from the covid-19 and Russia-Ukraine conflict. (2025). Santon, Alessandro ; Harasheh, Murad ; Bouteska, Ahmed ; Buchetti, Bruno. In: Working Paper Series. RePEc:ecb:ecbwps:20253050.

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2024Unveiling COVID-19€™s impact on Financial Stability: A Comprehensive Study of Price Dynamics and Investor Behavior in G7 Markets. (2024). Samil, Samia ; Ferchichi, Monia Mokhtar ; Talbi, Mariem ; Ismaalia, Fatma. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2024-01-19.

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2025An experimental analysis of contagion in financial markets. (2025). Vorsatz, Marc ; Peeters, Ronald ; Veiga, Helena. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:171:y:2025:i:c:s0165188924002252.

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2024The spillover and contagion effects of sovereign risk on stock markets. (2024). Simo-Kengne, Beatrice Desiree ; Gnagne, Pascal Xavier ; Manguzvane, Mathias Mandla. In: Economic Modelling. RePEc:eee:ecmode:v:141:y:2024:i:c:s0264999324002785.

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2024Tail risk transmission from the United States to emerging stock Markets: Empirical evidence from multivariate quantile analysis. (2024). Zhang, YI ; Zhou, Long ; Liu, Fang ; Wu, Baoxiu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824000895.

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2025The term structure of macroeconomic risks at the effective lower bound. (2025). Roussellet, Guillaume. In: Journal of Econometrics. RePEc:eee:econom:v:248:y:2025:i:c:s0304407623000143.

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2024Connectedness and risk spillovers among sub-Saharan Africa and MENA equity markets. (2024). Marcelin, Isaac ; Lo, Gaye-Del ; Bassne, Thophile. In: Emerging Markets Review. RePEc:eee:ememar:v:63:y:2024:i:c:s1566014124000888.

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2024The impact of oil and global markets on Saudi stock market predictability: A machine learning approach. (2024). Abedin, Mohammad Zoynul ; Abdou, Hussein A ; Ibrahim, Bassam A ; Elamer, Ahmed A. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001245.

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2024Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Zhang, Zhendong ; Luo, Jiawen. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462.

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2024The impact of the Russia–Ukraine war on volatility spillovers. (2024). Lin, Yongjia ; Wang, Yizhi ; Sio-Chong, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001261.

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2024The macro driving factors of co-movement of RMB with other currencies in FX markets. (2024). Dai, Yixin ; Teng, Fengfan ; Zhou, Jindie ; Xu, Xiangyun ; Yu, Cong. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005131.

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2024No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Bei, Zeyun ; Zhou, Yinggang ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561.

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2024The effect of fragmentation risk on monetary conditions in the euro area. (2024). , Ivo. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624000962.

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2024Confidence spillovers, financial contagion, and stagnation. (2024). Platonov, Konstantin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:148:y:2024:i:c:s0261560624001505.

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2024Revisiting the pricing impact of commodity market spillovers on equity markets. (2024). Hyde, Stuart ; Pinto Avalos, Francisco ; Bowe, Michael ; Pinto-Avalos, Francisco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594.

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2024Managing portfolio risk during crisis times: A dynamic conditional correlation perspective. (2024). Dufour, Alfonso ; Zhang, Hanyu. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:241-251.

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2024Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants. (2024). Vo, Xuan Vinh ; Mensi, Walid ; Kang, Sang Hoon ; Ziadat, Salem Adel ; al Rababa, Abdel Razzaq. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:1-17.

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2024Financial contagion dynamics from the US to the PIIGS amidst the global financial crisis. (2024). Tzomakas, Christos. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:97:y:2024:i:c:s1062976924001017.

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2024Detecting financial contagion using a new nonparametric measure of asymmetric comovements. (2024). Xu, Yixiong ; Zhang, Feipeng ; Yuan, DI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:284-296.

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2025How Stable are Inflation Expectations in the Euro Area? Evidence from the Euro-Area Financial Markets. (2025). Grishchenko, Olesya ; Moraux, Franck ; Pakulyak, Olga. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-41.

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2024The interplay between real and exchange rate market: an agent-based model approach. (2024). Roventini, Andrea ; Ricchiuti, Giorgio ; Delli Gatti, Domenico ; Ferraresi, Tommaso ; Popoyan, Lilit ; Gusella, Filippo. In: Working Papers - Economics. RePEc:frz:wpaper:wp2024_10.rdf.

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2025Quantile-Time-Frequency Connectedness in Global Equity Markets: Evidence from BRICS and G7 Economies. (2025). Hachicha, Nejib ; Boumrifeg, Mejed ; Dammak, Fredj Amine. In: JRFM. RePEc:gam:jjrfmx:v:18:y:2025:i:9:p:526-:d:1753074.

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2025Cryptocurrencies and Economic Community of West African States Stock Markets: An Analysis by the DCC-GARCH Model. (2025). Gaudens-Omer, Kouakou Thiaedjae. In: International Journal of Economics and Finance. RePEc:ibn:ijefaa:v:17:y:2025:i:4:p:111.

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2024Exploring Three-style Return Comovements and Contagion Using a Correlation Decomposition GARCH Model. (2024). Mak, Ving-Vunk ; So, Po-Yuk ; Su, Ender. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10405-3.

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2024Volatility Spillovers and Contagion During Major Crises: An Early Warning Approach Based on a Deep Learning Model. (2024). Sahiner, Mehmet. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:6:d:10.1007_s10614-023-10412-4.

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2024Spillovers and Portfolio Management Between the Uncertainty Indices of Oil and Gold and G7 Stock Markets. (2024). Kang, Sang Hoon ; Vo, Xuan Vinh ; Ziadat, Salem Adel ; Mensi, Walid. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10488-y.

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2024Price Exuberance and Contagion across Housing Markets: Evidence from US Metropolitan Areas. (2024). Escobari, Diego ; Shahedur, MD ; Damianov, Damian S. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:1:d:10.1007_s11146-022-09925-w.

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2024COVID-19, the Russia–Ukraine war and the connectedness between the U.S. and Chinese agricultural futures markets. (2024). Zhang, Yongmin ; Sun, Yiru ; Zhao, Yingxue ; Ding, Shusheng ; Shi, Haili. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02852-6.

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2025Crude oil, forex, and stock markets: unveiling the higher-order moment and cross-moment risk spillovers in times of turmoil. (2025). Maghyereh, Aktham ; Cui, Jinxin ; Ziadat, Salem. In: Humanities and Social Sciences Communications. RePEc:pal:palcom:v:12:y:2025:i:1:d:10.1057_s41599-025-05308-7.

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2024The Time Dependence and Interconnectedness of Developed Stock Markets. (2024). Dima, Bogdan ; Saraolu, Anca-Adriana. In: The Review of Finance and Banking. RePEc:rfb:journl:v:16:y:2024:i:2:p:273-293.

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2024Assessing Macroeconomic Influences on Indian Sovereign Bond Yields: An Insight from the ARDL Bound Test Approach. (2024). Naik, Pramod Kumar ; Patra, Suresh Kumar. In: Gospodarka Narodowa. The Polish Journal of Economics. RePEc:sgh:gosnar:y:2024:i:4:p:93-114.

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2025Was Covid-19 a wake-up call on climate risks? Evidence from the greenium. (2025). Marinelli, Giuseppe ; Liberati, Danilo. In: Empirical Economics. RePEc:spr:empeco:v:68:y:2025:i:6:d:10.1007_s00181-025-02711-6.

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2024Exploring Bitcoin dynamics against the backdrop of COVID-19: an investigation of major global events. (2024). Guo, Xiaochun. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00514-1.

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2024Pattern and determinants of tail-risk transmission between cryptocurrency markets: new evidence from recent crisis episodes. (2024). Maghyereh, Aktham ; Ziadat, Salem Adel. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00592-1.

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2024On the robust drivers of cryptocurrency liquidity: the case of Bitcoin. (2024). , Walid. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00598-9.

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2025Unraveling the Interplay of Knowledge and Innovation in the Global Financial System: A Vine Copula Analysis of Sino-US Financial Risk Contagion. (2025). Cai, Shuhui ; He, Hua ; Zhou, Yan. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:16:y:2025:i:1:d:10.1007_s13132-024-01869-1.

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2024The complex interplay between exchange rate and real markets: an agent-based model exploration. (2024). Roventini, Andrea ; Ricchiuti, Giorgio ; Delli Gatti, Domenico ; Gusella, Filippo ; Ferraresi, Tommaso ; Popoyan, Lilit. In: LEM Papers Series. RePEc:ssa:lemwps:2024/24.

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2025The Heterogeneous Impact of Monetary Policy Announcements on Firms’ Financial Outcomes. (2025). Torun, Huzeyfe ; Karahan, Hatice ; Colak, Mehmet Selman ; Akarsu, Okan. In: Working Papers. RePEc:tcb:wpaper:2514.

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Works by Marcello Pericoli:

YearTitleTypeCited
2001Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test In: Center Discussion Papers.
[Full Text][Citation analysis]		paper66
2001Correlation Analysis of Financial Contagion: What One Should Know before Running a Test.(2001) In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2001Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test.(2001) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 66		paper
2019An assessment of recent trends in market-based expected iflation in the euro area In: Questioni di Economia e Finanza (Occasional Papers).
[Full Text][Citation analysis]		paper1
2022Sovereign spreads and economic fundamentals: an econometric analysis In: Questioni di Economia e Finanza (Occasional Papers).
[Full Text][Citation analysis]		paper3
2014Fiscal Policy and Macroeconomic Imbalances In: Workshop and Conferences.
[Full Text][Citation analysis]		paper4
2015Forecaster heterogeneity, surprises and financial markets In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper6
2015Decomposing euro area sovereign spreads: credit, liquidity and convenience In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper5
2015Understanding policy rates at the zero lower bound: insights from a Bayesian shadow rate model In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper10
2017Monetary policy surprises over time In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper7
2018Monetary Policy Surprises over Time.(2018) In: Quarterly Journal of Finance (QJF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2018Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper3
2022Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models*.(2022) In: Journal of Financial Econometrics.
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This paper has nother version. Agregated cites: 3		article
2018Macroeconomics determinants of the correlation between stocks and bonds In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper5
2022An analysis of objective inflation expectations and inflation risk premia In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper5
1999The Impact of News on the Exchange Rate of the Lira and Long-Term Interest Rates In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper26
2002The impact of news on the exchange rate of the lira and long-term interest rates.(2002) In: Economic Modelling.
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This paper has nother version. Agregated cites: 26		article
2000Stock Values and Fundamentals; Link or Irrationality? In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper1
2000Stock Values and Fundamentals: Link or Irrationality?..(2000) In: Banca Italia - Servizio di Studi.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2001A Primer on Financial Contagion In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper379
2003A Primer on Financial Contagion.(2003) In: Journal of Economic Surveys.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 379		article
2005Can option smiles forecast changes in interest rates? An application to the US, the UK and the euro area In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper2
2006Canonical term-structure models with observable factors and the dynamics of bond risk premiums In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper30
2008Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia.(2008) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 30		article
2006The CAPM and the risk appetite index; theoretical differences and empirical similarities In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper3
2009Bond risk premia, macroeconomic fundamentals and the exchange rate In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper17
2012Bond risk premia, macroeconomic fundamentals and the exchange rate.(2012) In: International Review of Economics & Finance.
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This paper has nother version. Agregated cites: 17		article
2008Bond risk premia, macroeconomic fundamentals and the exchange rate.(2008) In: MPRA Paper.
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This paper has nother version. Agregated cites: 17		paper
2012Real term structure and inflation compensation in the euro area In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper6
2014Real Term Structure and Inflation Compensation in the Euro Area.(2014) In: International Journal of Central Banking.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2012Expected inflation and inflation risk premium in the euro area and in the United States In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper2
2013Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper134
2013Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis.(2013) In: International Finance.
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This paper has nother version. Agregated cites: 134		article
2013Macroeconomic and monetary policy surprises and the term structure of interest rates In: Temi di discussione (Economic working papers).
[Full Text][Citation analysis]		paper0
2009Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems In: International Finance.
[Full Text][Citation analysis]		article0
2020On risk factors of the stock–bond correlation In: International Finance.
[Full Text][Citation analysis]		article0
2002Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper452
2005Some contagion, some interdependence: More pitfalls in tests of financial contagion.(2005) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 452		article
2007A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors In: MPRA Paper.
[Full Text][Citation analysis]		paper0
1992Single Market Emu and Widening. Responses to Three Institutional Shocks in the European Community In: Department of Economics Working Papers.
[Citation analysis]		paper0
2008Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia In: Journal of Money, Credit and Banking.
[Full Text][Citation analysis]		article25
2008Canonical Term-Structure Models with Observable Factors and the Dynamics of Bond Risk Premia.(2008) In: Journal of Money, Credit and Banking.
[Citation analysis]
This paper has nother version. Agregated cites: 25		article

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