9
H index
8
i10 index
1143
Citations
Marcello Pericoli : Citation Profile
Banca d'Italia | RESEARCH PRODUCTION: 13 Articles 29 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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30 years (1992 - 2022). 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:
| Cites to:
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Main data
Where Marcello Pericoli has published?
| Journals with more than one article published | # docs |
|---|---|
| International Finance | 3 |
| Journal of Money, Credit and Banking | 2 |
Recent works citing Marcello Pericoli (2025 and 2024)
Year  | Title of citing document |
|---|---|
| 2024 | Was Covid-19 a wake-up call on climate risks? Evidence from the greenium. (2024). Liberati, Danilo ; Marinelli, Giuseppe. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_832_24. Full description at Econpapers || Download paper |
| 2024 | FINANCIAL 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. Full description at Econpapers || Download paper |
| 2024 | The 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. Full description at Econpapers || Download paper |
| 2024 | Asymmetric and high-order risk transmission across VIX and Chinese futures markets. (2024). Luo, Jiawen ; Zhang, Zhendong. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924000462. Full description at Econpapers || Download paper |
| 2024 | The impact of the Russia–Ukraine war on volatility spillovers. (2024). Wang, Yizhi ; Lin, Yongjia ; Sio-Chong, Tony. In: International Review of Financial Analysis. RePEc:eee:finana:v:93:y:2024:i:c:s1057521924001261. Full description at Econpapers || Download paper |
| 2024 | The 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. Full description at Econpapers || Download paper |
| 2024 | No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561. Full description at Econpapers || Download paper |
| 2024 | The 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. Full description at Econpapers || Download paper |
| 2024 | Confidence 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. Full description at Econpapers || Download paper |
| 2024 | Revisiting the pricing impact of commodity market spillovers on equity markets. (2024). Hyde, Stuart ; Bowe, Michael ; Pinto-Avalos, Francisco. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:33:y:2024:i:c:s2405851323000594. Full description at Econpapers || Download paper |
| 2024 | Managing 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. Full description at Econpapers || Download paper |
| 2024 | Oil, gold and international stock markets: Extreme spillovers, connectedness and its determinants. (2024). Vo, Xuan Vinh ; al Rababa, Abdel Razzaq ; Ziadat, Salem Adel ; Mensi, Walid ; Kang, Sang Hoon. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:1-17. Full description at Econpapers || Download paper |
| 2024 | Financial 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. Full description at Econpapers || Download paper |
| 2024 | Detecting financial contagion using a new nonparametric measure of asymmetric comovements. (2024). Yuan, DI ; Xu, Yixiong ; Zhang, Feipeng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:284-296. Full description at Econpapers || Download paper |
| 2024 | COVID-19, the Russia–Ukraine war and the connectedness between the U.S. and Chinese agricultural futures markets. (2024). Shi, Haili ; Sun, Yiru ; Zhang, Yongmin ; Zhao, Yingxue ; Ding, Shusheng. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-02852-6. Full description at Econpapers || Download paper |
| 2024 | The 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. Full description at Econpapers || Download paper |
| 2024 | Assessing 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. Full description at Econpapers || Download paper |
Works by Marcello Pericoli:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2001 | Correlation Analysis of Financial Contagion: What One Should Know Before Running a Test In: Center Discussion Papers. [Full Text][Citation analysis] | paper | 66 |
| 2001 | Correlation 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 | |
| 2001 | Correlation 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 | |
| 2019 | An 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] | paper | 1 |
| 2022 | Sovereign spreads and economic fundamentals: an econometric analysis In: Questioni di Economia e Finanza (Occasional Papers). [Full Text][Citation analysis] | paper | 3 |
| 2014 | Fiscal Policy and Macroeconomic Imbalances In: Workshop and Conferences. [Full Text][Citation analysis] | paper | 4 |
| 2015 | Forecaster heterogeneity, surprises and financial markets In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2015 | Decomposing euro area sovereign spreads: credit, liquidity and convenience In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2015 | Understanding 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] | paper | 9 |
| 2017 | Monetary policy surprises over time In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 7 |
| 2018 | Monetary Policy Surprises over Time.(2018) In: Quarterly Journal of Finance (QJF). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 7 | article | |
| 2018 | Nearly exact Bayesian estimation of non-linear no-arbitrage term structure models In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 3 |
| 2022 | Nearly Exact Bayesian Estimation of Non-linear No-Arbitrage Term-Structure Models*.(2022) In: Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2018 | Macroeconomics determinants of the correlation between stocks and bonds In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2022 | An analysis of objective inflation expectations and inflation risk premia In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 1999 | The 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] | paper | 25 |
| 2002 | The impact of news on the exchange rate of the lira and long-term interest rates.(2002) In: Economic Modelling. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 2000 | Stock Values and Fundamentals; Link or Irrationality? In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 1 |
| 2000 | Stock Values and Fundamentals: Link or Irrationality?..(2000) In: Banca Italia - Servizio di Studi. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2001 | A Primer on Financial Contagion In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 373 |
| 2003 | A Primer on Financial Contagion.(2003) In: Journal of Economic Surveys. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 373 | article | |
| 2005 | Can 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] | paper | 2 |
| 2006 | Canonical term-structure models with observable factors and the dynamics of bond risk premiums In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 30 |
| 2008 | Canonical 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 | |
| 2006 | The CAPM and the risk appetite index; theoretical differences and empirical similarities In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 3 |
| 2009 | Bond risk premia, macroeconomic fundamentals and the exchange rate In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 17 |
| 2012 | Bond risk premia, macroeconomic fundamentals and the exchange rate.(2012) In: International Review of Economics & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | article | |
| 2008 | Bond risk premia, macroeconomic fundamentals and the exchange rate.(2008) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
| 2012 | Real term structure and inflation compensation in the euro area In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 5 |
| 2014 | Real 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: 5 | article | |
| 2012 | Expected 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] | paper | 2 |
| 2013 | Pure or wake-up-call contagion? Another look at the EMU sovereign debt crisis In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 132 |
| 2013 | Pure or Wake-up-Call Contagion? Another Look at the EMU Sovereign Debt Crisis.(2013) In: International Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 132 | article | |
| 2013 | Macroeconomic and monetary policy surprises and the term structure of interest rates In: Temi di discussione (Economic working papers). [Full Text][Citation analysis] | paper | 0 |
| 2009 | Capital Asset Pricing Model and the Risk Appetite Index: Theoretical Differences, Empirical Similarities and Implementation Problems In: International Finance. [Full Text][Citation analysis] | article | 0 |
| 2020 | On risk factors of the stock–bond correlation In: International Finance. [Full Text][Citation analysis] | article | 0 |
| 2002 | Some Contagion, Some Interdependence: More Pitfalls in Tests of Financial Contagion In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 415 |
| 2005 | Some contagion, some interdependence: More pitfalls in tests of financial contagion.(2005) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 415 | article | |
| 2007 | A specification analysis of discrete-time no-arbitrage term structure models with observable and unobservable factors In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1992 | Single Market Emu and Widening. Responses to Three Institutional Shocks in the European Community In: Department of Economics Working Papers. [Citation analysis] | paper | 0 |
| 2008 | Canonical Term‐Structure Models with Observable Factors and the Dynamics of Bond Risk Premia In: Journal of Money, Credit and Banking. [Full Text][Citation analysis] | article | 25 |
| 2008 | Canonical 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 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated February, 4 2025. Contact: CitEc Team