Loriana Pelizzon : Citation Profile

Are you Loriana Pelizzon?

Leibniz-Institut für Finanzmarktforschung SAFE (Sustainable Architecture for Finance in Europe) (90% share)
Università Ca' Foscari Venezia (10% share)

19

H index

29

i10 index

2538

Citations

RESEARCH PRODUCTION:

32

Articles

114

Papers

4

Chapters

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 115
   Journals where Loriana Pelizzon has often published
   Relations with other researchers
   Recent citing documents: 399.    Total self citations: 42 (1.63 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe207
   Updated: 2024-12-03    RAS profile: 2023-01-24    
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Relations with other researchers

Works with:

Billio, Monica (15)

Oliviero, Tommaso (6)

Pagano, Marco (6)

Riedel, Max (5)

Bellia, Mario (5)

Boot, Arnoud (5)

Caporin, Massimiliano (4)

Dindo, Pietro (3)

de Roure, Calebe (3)

Plazzi, Alberto (3)

Nikolova, Stanislava (Stas) (2)

Korajczyk, Robert (2)

Dreber, Anna (2)

Gehrig, Thomas (2)

CAPELLE-BLANCARD, Gunther (2)

Moench, Emanuel (2)

Lajaunie, Quentin (2)

Pastor, Lubos (2)

Bohorquez Correa, Santiago (2)

Hjalmarsson, Erik (2)

Wolff, Christian (2)

FERROUHI, EL MEHDI (2)

Roy, Saurabh (2)

Kassner, Bernhard (2)

Voigt, Stefan (2)

Deev, Oleg (2)

Jurkatis, Simon (2)

Degryse, Hans (2)

Gorbenko, Arseny (2)

Renault, Thomas (2)

Deku, Solomon (2)

Liew, Chee (2)

Alexeev, Vitali (2)

Prokopczuk, Marcel (2)

Wong, Wing-Keung (2)

Xiu, Dacheng (2)

Putnins, Talis (2)

Patton, Andrew (2)

Bos, Charles (2)

Füllbrunn, Sascha (2)

Sojli, Elvira (2)

Theissen, Erik (2)

Palan, Stefan (2)

Reitz, Stefan (2)

Stefanova, Denitsa (2)

Holzmeister, Felix (2)

Patel, Vinay (2)

Bouri, Elie (2)

Rakowski, David (2)

Horenstein, Alex (2)

Chow, Nikolai Sheung-Chi (2)

Talavera, Oleksandr (2)

Gerritsen, Dirk (2)

Walther, Thomas (2)

Roy, Saurabh (2)

Colliard, Jean-Edouard (2)

Dimpfl, Thomas (2)

Chernov, Mikhail (2)

Zhang, S. Sarah (2)

PASCUAL, ROBERTO (2)

Scaillet, Olivier (2)

Moinas, Sophie (2)

Bjønnes, Geir (2)

Lof, Matthijs (2)

Huang, Wenqian (2)

Davies, Ryan (2)

Söderlind, Paul (2)

Dumitrescu, Ariadna (2)

Ferrara, Gerardo (2)

Verousis, Thanos (2)

Lopez-Lira, Alejandro (2)

Schwarz, Marco (2)

Schuerhoff, Norman (2)

van Kervel, Vincent (2)

Kearney, Fearghal (2)

Wilhelmsson, Anders (2)

Pasquariello, Paolo (2)

Heath, Davidson (2)

Smales, Lee (2)

Xia, Shuo (2)

Abudy, Menachem (2)

Frijns, Bart (2)

LINTON, OLIVER (2)

Schenk-Hoppé, Klaus (2)

Vilkov, Grigory (2)

Mihet, Roxana (2)

He, Xuezhong (Tony) (2)

Jagannathan, Ravi (2)

Ødegaard, Bernt (2)

Taylor, Nick (2)

Regis, Luca (2)

Brownlees, Christian (2)

Hautsch, Nikolaus (2)

Ait-Sahalia, Yacine (2)

Hurlin, Christophe (2)

Nielsson, Ulf (2)

Menkveld, Albert (2)

Adrian, Tobias (2)

Shachar, Or (2)

Foucault, Thierry (2)

Ranaldo, Angelo (2)

Sarno, Lucio (2)

Tonks, Ian (2)

Rinne, Kalle (2)

Park, Andreas (2)

Kubitza, Christian (2)

Thakor, Anjan (2)

Johannesson, Magnus (2)

Zhou, Chen (2)

Vogel, Sebastian (2)

Jalkh, Naji (2)

Harris, Jeffrey (2)

Frömmel, Michael (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Loriana Pelizzon.

Is cited by:

Giudici, Paolo (36)

Caporin, Massimiliano (31)

Billio, Monica (31)

Ahelegbey, Daniel Felix (26)

Gómez-Puig, Marta (22)

Sosvilla-Rivero, Simon (22)

Yilmaz, Kamil (19)

Casarin, Roberto (17)

Wang, Gang-Jin (17)

Kubitza, Christian (15)

Lucas, Andre (14)

Cites to:

Menkveld, Albert (32)

Brunnermeier, Markus (30)

Pedersen, Lasse (28)

Acharya, Viral (26)

Lo, Andrew (23)

Billio, Monica (22)

Adrian, Tobias (22)

Foucault, Thierry (21)

merton, robert (18)

Vissing-Jorgensen, Annette (17)

Stulz, René (17)

Main data

Where Loriana Pelizzon has published?

Journals with more than one article published# docs
Journal of Financial Economics3
The Review of Corporate Finance Studies2
BANCARIA2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE39
Working Papers / Department of Economics, University of Venice "Ca' Foscari"23
SAFE Policy Letters / Leibniz Institute for Financial Research SAFE7
SAFE White Paper Series / Leibniz Institute for Financial Research SAFE5
"Marco Fanno" Working Papers / Dipartimento di Scienze Economiche "Marco Fanno"4
NBER Working Papers / National Bureau of Economic Research, Inc4
CEPR Discussion Papers / C.E.P.R. Discussion Papers4
CESifo Working Paper Series / CESifo3
Discussion Papers / Deutsche Bundesbank3
Post-Print / HAL2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Loriana Pelizzon (2024 and 2023)

YearTitle of citing document
2024Twitter sentiments and stock indices returns with reference to nifty energy indices of India. (2024). Selvam, Murugesan ; Santhoshkumar, Sakthivel. In: Theoretical and Applied Economics. RePEc:agr:journl:v:1(638):y:2024:i:1(638):p:125-136.

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2023The connectedness of Energy Transition Metals. (2023). Galeotti, Marzio ; Casoli, Chiara ; Bastianin, Andrea. In: FEEM Working Papers. RePEc:ags:feemwp:336984.

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2023Fiscal Rules, Independent Fiscal Institutions, and Sovereign Risk. (2023). Sprincean, Nicu ; Georgescu, George ; Capraru, Bogdan. In: Working Papers of Romania Fiscal Council. RePEc:ane:wpcfro:230201.

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2024Factor Network Autoregressions. (2022). Cavaliere, Giuseppe ; Moramarco, Graziano ; Barigozzi, Matteo. In: Papers. RePEc:arx:papers:2208.02925.

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2023A Comprehensive Survey on Enterprise Financial Risk Analysis: Problems, Methods, Spotlights and Applications. (2022). Du, Huaming ; Zhao, YU. In: Papers. RePEc:arx:papers:2211.14997.

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2024Bayesian Multivariate Quantile Regression with alternative Time-varying Volatility Specifications. (2022). Rossini, Luca ; Ravazzolo, Francesco ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2211.16121.

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2023Inference in Non-stationary High-Dimensional VARs. (2023). Smeekes, Stephan ; Margaritella, Luca. In: Papers. RePEc:arx:papers:2302.01434.

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2023A Look at Financial Dependencies by Means of Econophysics and Financial Economics. (2023). di Matteo, T ; Raddant, M. In: Papers. RePEc:arx:papers:2302.08208.

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2024Co-trading networks for modeling dynamic interdependency structures and estimating high-dimensional covariances in US equity markets. (2023). Cucuringu, Mihai ; Reinert, Gesine ; Lu, Yutong. In: Papers. RePEc:arx:papers:2302.09382.

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2023Company Competition Graph. (2023). Dai, Rui ; Li, Xinyi ; Zhang, Cien ; Huang, Jiawei ; Mao, Haitao ; Lu, Yutong. In: Papers. RePEc:arx:papers:2304.00323.

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2023Efficient Estimation in Extreme Value Regression Models of Hedge Fund Tail Risks. (2023). Usseglio-Carleve, Antoine ; Kratz, Marie ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2304.06950.

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2023The Estimation Risk in Extreme Systemic Risk Forecasts. (2023). Hoga, Yannick. In: Papers. RePEc:arx:papers:2304.10349.

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2023Statistical Estimation for Covariance Structures with Tail Estimates using Nodewise Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2305.11282.

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2024Shifting Cryptocurrency Influence: A High-Resolution Network Analysis of Market Leaders. (2023). Chava, Sudheer ; Shah, Agam ; Hiray, Arnav. In: Papers. RePEc:arx:papers:2307.16874.

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2023Limit Theory under Network Dependence and Nonstationarity. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.01418.

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2023Quantile Time Series Regression Models Revisited. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2308.06617.

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2023Portfolio Selection via Topological Data Analysis. (2023). Zaytsev, Alexey ; Makhneva, Elizaveta ; Kuznetsov, Kristian ; Sokerin, Petr. In: Papers. RePEc:arx:papers:2308.07944.

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2023Vector Autoregression in Cryptocurrency Markets: Unraveling Complex Causal Networks. (2023). Roughan, Matthew ; Mitchell, Lewis ; Cornell, Cameron. In: Papers. RePEc:arx:papers:2308.15769.

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2023Predicting Financial Market Trends using Time Series Analysis and Natural Language Processing. (2023). Asgarov, Ali. In: Papers. RePEc:arx:papers:2309.00136.

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2023A detection analysis for temporal memory patterns at different time-scales. (2023). Lambert, David ; Vanni, Fabio. In: Papers. RePEc:arx:papers:2309.12034.

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2023Bayesian SAR model with stochastic volatility and multiple time-varying weights. (2023). Iacopini, Matteo ; Costola, Michele ; Wichers, Casper. In: Papers. RePEc:arx:papers:2310.17473.

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2024Estimating Conditional Value-at-Risk with Nonstationary Quantile Predictive Regression Models. (2023). Katsouris, Christis. In: Papers. RePEc:arx:papers:2311.08218.

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2024Can we hedge carbon risk? A network embedding approach. (2023). Pocelli, Maria Chiara ; Azzone, Michele ; Stocco, Davide. In: Papers. RePEc:arx:papers:2311.12450.

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2024Dynamic Correlation of Market Connectivity, Risk Spillover and Abnormal Volatility in Stock Price. (2024). Wu, Boyao ; Huang, Difang ; Zheng, Lifen ; Li, Nan ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19363.

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2024Dynamic Analyses of Contagion Risk and Module Evolution on the SSE A-Shares Market Based on Minimum Information Entropy. (2024). Huang, Difang ; Wu, Boyao ; Wang, Yuhang ; Chen, Muzi. In: Papers. RePEc:arx:papers:2403.19439.

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2024Estimating Contagion Mechanism in Global Equity Market with Time-Zone Effect. (2024). Chen, Muzi ; Huang, Difang ; Wu, Boyao. In: Papers. RePEc:arx:papers:2404.04335.

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2024Decomposing Large Banks’ Systemic Trading Losses. (2024). Raykov, Radoslav. In: Staff Working Papers. RePEc:bca:bocawp:24-6.

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2024Banks operational resilience during pandemics. (2024). Ferri, Giovanni ; Vacca, Valerio ; Pesic, Valerio ; Orame, Andrea ; Demma, Cristina. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_833_24.

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2023The role of banks technology adoption in credit markets during the pandemic. (2023). Rainone, Edoardo ; Supino, Ilaria ; Branzoli, Nicola. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1406_23.

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2023French sovereign debt liquidity: main factors, recent developments and resilience during the Covid crisis. (2023). Benoit, Nguyen ; Theophile, Legrand ; Ernest, Lecomte ; Arthur, Rossi. In: Bulletin de la Banque de France. RePEc:bfr:bullbf:2023:246:01.

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2023Dollar and government bond liquidity: evidence from Korea. (2023). Lee, Jieun. In: BIS Working Papers. RePEc:bis:biswps:1145.

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2024Financial risk under the shock of global warming: Evidence from China. (2024). Hao, YU ; Li, Lianqing ; Gao, Zhiyuan. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:2:p:335-351.

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2024Anatomy of the chimera: Environmental, Social, and Governance ratings beyond the myth. (2024). Severini, Sabrina ; Lucarelli, Caterina. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:33:y:2024:i:5:p:4198-4217.

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2023Food Supply Chains and Covid?19: Impacts and Policy Lessons. (2020). Jackson, Lee Ann ; Avery, Ellie ; Deconinck, Koen. In: EuroChoices. RePEc:bla:eurcho:v:19:y:2020:i:3:p:34-39.

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2023Finance research: What are the new frontiers?. (2023). Thakor, Anjan V. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:3:p:453-462.

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2024.

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2023An analysis of the evolution of global financial network of the coordinated portfolio investment survey. (2023). Ahn, Seryoong ; Koo, Hyeng Keun ; Jung, Jae Woong. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:2:p:437-459.

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2024Return and volatility connectedness and net directional patterns in spillover transmissions: East and Southeast Asian equity markets. (2024). Mateus, Irina ; Bagirov, Miramir. In: International Review of Finance. RePEc:bla:irvfin:v:24:y:2024:i:1:p:83-103.

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2023Bank systemic risk: An analysis of the sovereign rating ceiling policy and rating downgrades. (2023). Pham, Thu Phuong ; Zurbruegg, Ralf ; Wasi, Md Abdul. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:50:y:2023:i:1-2:p:411-440.

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2024Fire?Sale Spillovers in Debt Markets. (2021). Hortasu, Ali ; Falato, Antonio ; Shin, Chae Hee ; Li, Dan. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:6:p:3055-3102.

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2023Personal taxes, cost of insurer equity capital, and the case of offshore hedge fund reinsurers. (2023). Niehaus, Greg. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:249-281.

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2023Where does the risk lie? Systemic risk and tail risk networks in the Chinese financial market. (2023). Gao, Chenyin ; Deng, Yang. In: Pacific Economic Review. RePEc:bla:pacecr:v:28:y:2023:i:2:p:167-190.

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2023Differentiation in Risk Profiles. (2023). Brinkmann, Christina. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2023_444.

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2023The rising cost of European Union borrowing and what to do about it. (2023). Welslau, Lennard ; McCaffrey, Conor ; Claeys, Gregory. In: Policy Briefs. RePEc:bre:polbrf:node_9089.

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2023Financial Integration and European Tourism Stocks. (2023). Wu, Jiaying ; Karanasos, Menelaos ; Yfanti, Stavroula ; Caporale, Guglielmo Maria. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10269.

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2023Macroprudential Regulation: A Risk Management Approach. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:765.

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2023Quantifying Systemic Risk in the Presence of Unlisted Banks: Application to the European Banking Sector. (2023). van Wijnbergen, Sweder ; Dimitrov, Daniel. In: Working Papers. RePEc:dnb:dnbwpp:768.

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2023Measuring systemic financial stress and its risks for growth. (2023). Kremer, Manfred ; Chavleishvili, Sulkhan. In: Working Paper Series. RePEc:ecb:ecbwps:20232842.

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2023Loss sharing in central clearinghouses: winners and losers. (2023). Kubitza, Christian ; Sherman, Mila Getmansky ; Pelizzon, Loriana. In: Working Paper Series. RePEc:ecb:ecbwps:20232873.

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2023A shot in the arm: Economic support packages and firm performance during COVID-19. (2023). Igan, Deniz ; Moore, Tomoe ; Mirzaei, Ali. In: Journal of Corporate Finance. RePEc:eee:corfin:v:78:y:2023:i:c:s0929119922001833.

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2023Managers cultural origin and corporate response to an economic shock. (2023). Garcia-Appendini, Emilia ; Siming, Linus ; Bedendo, Mascia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s0929119923000615.

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2024Generalized latent space model for one-mode networks with awareness of two-mode networks. (2024). Qin, Ruixuan ; Pu, Dan ; Fang, Kuangnan. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:193:y:2024:i:c:s0167947323002268.

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2023A revisit to sovereign risk contagion in eurozone with mutual exciting regime-switching model. (2023). Ge, Shuyi. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:146:y:2023:i:c:s0165188922002688.

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2023Asymmetric contagion of jump risk in the Chinese financial sector: Monetary policy transmission matters. (2023). Song, Yuping ; Hou, Weijie ; Feng, Yun. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003443.

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2023Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x.

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2023Frequency heterogeneity of tail connectedness: Evidence from global stock markets. (2023). Xu, Huiling ; Zhu, Zhican ; Lu, Haisong ; Jian, Zhihong. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001669.

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2023Systemic political risk. (2023). Uribe, Jorge ; Chuliá, Helena ; Estevez, Marc ; Chulia, Helena. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001876.

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2023Exploring the determinants of Fintech Credit: A comprehensive analysis. (2023). Liu, Xueqin ; Xue, Xupeng ; Kyaw, Khine ; Hou, Siyuan ; Wang, Xiaoting. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002341.

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2023Drivers of risk correlation among financial institutions: A study based on a textual risk disclosure perspective. (2023). Feng, Yuyao ; Li, Jingyu ; Jing, Zhongbo. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002808.

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2023Sustainable investment under ESG volatility and ambiguity. (2023). Yan, Qianhui ; Shan, Xun ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002833.

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2023ESG rating confusion and bond spreads. (2023). Yan, Jingzhou ; Zou, Jin ; Deng, Guoying. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s026499932300367x.

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2024The impact of Fintech on the nexus between household debt and financial crises: A global perspective. (2024). Sun, Yongping ; Fang, Jie ; Yuan, Gecheng. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004017.

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2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

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2023Hedge fund performance persistence under different business cycles and stock market regimes. (2023). Tolikas, Konstantinos ; Andrikopoulos, Athanasios ; Stafylas, Dimitrios. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002017.

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2023The impact of COVID-19 on the tourism and hospitality Industry: Evidence from international stock markets. (2023). Yang, Feng ; Liao, Stephen Shaoyi ; Cheng, Xian ; Liu, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002108.

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2023How oil price and exchange rate affect stock price in China using Bayesian Quantile_on_Quantile with GARCH approach. (2023). Chang, Tsangyao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000025.

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2023Analyzing quantile spillover effects among international financial markets. (2023). Pan, NA ; Liu, Tangyong ; Wang, Jie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940823000049.

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2023How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013.

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2023Spillover shifts in the FX market: Implication for the behavior of a safe haven currency. (2023). Lee, Seojin ; Kim, Youngmin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000086.

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2023Cross-industry asset allocation with the spatial interaction on multiple risk transmission channels. (2023). Jin, Xiu ; Chen, NA. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s106294082300058x.

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2023The effect of interconnectivity on stock returns during the Global Financial Crisis. (2023). Tabak, Benjamin ; Silva, Thiago ; Berri, Paulo Victor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000633.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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2024Collateral policy of the central bank and corporate financing costs: Evidence from China. (2024). Liu, Huan ; Wang, Ran ; Cheng, Miao ; Wu, Hongli ; Han, Zhixuan ; Geng, Guangjie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001651.

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2024Clustering effects and evolution of the global major 10-year government bond market structure: A network perspective. (2024). Peng, Hongjuan ; Tang, Pan ; Zhang, Ditian ; Zhuang, Yangyang. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001870.

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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Determinants of CDS in core and peripheral European countries: A comparative study during crisis and calm periods. (2024). Haddou, Samira. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000111.

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2024Measuring market volatility connectedness to media sentiment. (2024). Fjesme, Sturla ; Sirnes, Espen ; Abdollahi, Hooman. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:71:y:2024:i:c:s1062940824000159.

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2024Can real-time investor sentiment help predict the high-frequency stock returns? Evidence from a mixed-frequency-rolling decomposition forecasting method. (2024). Chen, Ying ; Tang, Zhenpeng ; Cai, YI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s106294082400072x.

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2023The Russia–Ukraine outbreak and the value of renewable energy. (2023). Liao, Shushu. In: Economics Letters. RePEc:eee:ecolet:v:225:y:2023:i:c:s0165176523000708.

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2023High-dimensional VARs with common factors. (2023). Su, Liangjun ; Phillips, Peter ; Miao, KE. In: Journal of Econometrics. RePEc:eee:econom:v:233:y:2023:i:1:p:155-183.

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2023Reprint of: On the network topology of variance decompositions: Measuring the connectedness of financial firms. (2023). Yilmaz, Kamil ; Diebold, Francis X. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:s:p:70-90.

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2023Shrinkage estimation of multiple threshold factor models. (2023). Tu, Yundong ; Ma, Chenchen. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:1876-1892.

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2024High frequency principal component analysis based on correlation matrix that is robust to jumps, microstructure noise and asynchronous observation times. (2024). Chen, Dachuan. In: Journal of Econometrics. RePEc:eee:econom:v:240:y:2024:i:1:s0304407624000472.

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2023Networks in risk spillovers: A multivariate GARCH perspective. (2023). Caporin, Massimiliano ; Pelizzon, Loriana ; Frattarolo, Lorenzo ; Billio, Monica. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:1-29.

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2024Modeling Turning Points in the Global Equity Market. (2024). Casarin, Roberto ; Billio, Monica ; Ahelegbey, Daniel Felix. In: Econometrics and Statistics. RePEc:eee:ecosta:v:30:y:2024:i:c:p:60-75.

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More than 100 citations found, this list is not complete...

Works by Loriana Pelizzon:

YearTitleTypeCited
2021Loss Sharing in Central Clearinghouses: Winners and Losers In: ECONtribute Discussion Papers Series.
[Full Text][Citation analysis]		paper3
2011Bank credit to medium-sized enterprises in Italy: the trends before and during the crisis In: BANCARIA.
[Full Text][Citation analysis]		article0
2014Interconnectedness and systemic risk: hedge funds, banks, insurance companies In: BANCARIA.
[Full Text][Citation analysis]		article1
2012Measuring sovereign contagion in Europe In: Working Paper.
[Full Text][Citation analysis]		paper219
2012Measuring Sovereign Contagion in Europe.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 219		paper
2018Measuring sovereign contagion in Europe.(2018) In: Journal of Financial Stability.
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This paper has nother version. Agregated cites: 219		article
2013Measuring Sovereign Contagion in Europe.(2013) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 219		paper
2015Measuring sovereign contagion in Europe.(2015) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 219		paper
2021Short Selling – On Ethics, Politics, and Culture In: Zeitschrift für Bankrecht und Bankwirtschaft (ZBB) / Journal of Banking Law and Banking (JBB).
[Full Text][Citation analysis]		article0
2005Diversification and Ownership Concentration In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper6
2008Diversification and ownership concentration.(2008) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		article
2005Diversification and ownership concentration.(2005) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2007Diversification and Ownership Concentration.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2013Stock Market Returns, Corporate Governance and Capital Market Equilibrium In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper1
2015Stock Market Returns, Corporate Governance and Capital Market Equilibrium.(2015) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2019Risk Pooling, Leverage, and the Business Cycle In: CESifo Working Paper Series.
[Full Text][Citation analysis]		paper2
2019Risk Pooling, Leverage, and the Business Cycle.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2020Risk pooling, leverage, and the business cycle.(2020) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2021The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper5
2021The core, the periphery, and the disaster: Corporate-sovereign nexus in COVID-19 times.(2021) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2020The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper72
2020The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy.(2020) In: EIEF Working Papers Series.
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This paper has nother version. Agregated cites: 72		paper
2020The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2020The COVID-19 Shock and Equity Shortfall: Firm-Level Evidence from Italy.(2020) In: The Review of Corporate Finance Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		article
2020The COVID-19 Shock and Equity Shortfall: Firm-level Evidence from Italy.(2020) In: CSEF Working Papers.
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This paper has nother version. Agregated cites: 72		paper
2020The COVID-19 shock and equity shortfall: Firm-level evidence from Italy.(2020) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2003Are Household Portfolios Efficient? An Analysis Conditional on Housing In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper32
2008Are Household Portfolios Efficient? an Analysis Conditional on Housing.(2008) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 32		article
2006Are Household Portfolios Efficient? An Analysis Conditional on Housing.(2006) In: Marco Fanno Working Papers.
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This paper has nother version. Agregated cites: 32		paper
2006Are Household Portfolios Efficient? An Analysis Conditional on Housing.(2006) In: Working Papers.
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This paper has nother version. Agregated cites: 32		paper
2012Liquidity Coinsurance and Bank Capital In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper12
2014Liquidity coinsurance and bank capital.(2014) In: Other publications TiSEM.
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This paper has nother version. Agregated cites: 12		paper
2014Liquidity Coinsurance and Bank Capital.(2014) In: Journal of Money, Credit and Banking.
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This paper has nother version. Agregated cites: 12		article
2014Liquidity coinsurance and bank capital.(2014) In: SAFE Working Paper Series.
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2020Coronavirus and financial stability 3.0: Try equity – risk sharing for companies, large and small In: Vox eBook Chapters.
[Full Text][Citation analysis]		chapter9
2020Corona and Financial Stability 4.0: Implementing a European Pandemic Equity Fund In: Vox eBook Chapters.
[Full Text][Citation analysis]		chapter5
2020Corona and financial stability 4.0: Implementing a european pandemic equity fund.(2020) In: SAFE Policy Letters.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2019The anatomy of the euro area interest rate swap market In: Working Paper Series.
[Full Text][Citation analysis]		paper10
2019The anatomy of the euro area interest rate swap market.(2019) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2012Dynamic risk exposures in hedge funds In: Computational Statistics & Data Analysis.
[Full Text][Citation analysis]		article34
2007Dynamic Risk Exposure in Hedge Funds.(2007) In: Working Papers.
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This paper has nother version. Agregated cites: 34		paper
2022Risk pooling, intermediation efficiency, and the business cycle In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article2
2013Deciphering the Libor and Euribor Spreads during the subprime crisis In: The North American Journal of Economics and Finance.
[Full Text][Citation analysis]		article7
2013Deciphering the Libor and Euribor Spreads during the subprime crisis.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2014Mutual excitation in Eurozone sovereign CDS In: Journal of Econometrics.
[Full Text][Citation analysis]		article59
2014Mutual excitation in eurozone sovereign CDS.(2014) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 59		paper
2000Value-at-Risk: a multivariate switching regime approach In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article62
2022Recovery from fast crashes: Role of mutual funds In: Journal of Financial Markets.
[Full Text][Citation analysis]		article1
2021Recovery from fast crashes: Role of mutual funds.(2021) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2009Efficient portfolios when housing needs change over the life cycle In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article29
2007Efficient Portfolios when Housing Needs Change over the Life-Cycle.(2007) In: Marco Fanno Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2007Efficient Portfolios when Housing Needs Change over the Life-Cycle.(2007) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		paper
2003Contagion and interdependence in stock markets: Have they been misdiagnosed? In: Journal of Economics and Business.
[Full Text][Citation analysis]		article72
2012Econometric measures of connectedness and systemic risk in the finance and insurance sectors In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1212
2010Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2010) In: NBER Chapters.
[Citation analysis]
This paper has nother version. Agregated cites: 1212		chapter
2011Econometric Measures of Connectedness and Systemic Risk in the Finance and Insurance Sectors.(2011) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 1212		paper
2016Sovereign credit risk, liquidity, and European Central Bank intervention: Deus ex machina? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article59
2021Portfolio similarity and asset liquidation in the insurance industry In: Journal of Financial Economics.
[Full Text][Citation analysis]		article39
2020Portfolio Similarity and Asset Liquidation in the Insurance Industry.(2020) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2018Portfolio similarity and asset liquidation in the insurance industry.(2018) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		paper
2008Credit derivatives, capital requirements and opaque OTC markets In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article23
2006Credit Derivatives, Capital Requirements and Opaque OTC Markets.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 23		paper
2003Volatility and shocks spillover before and after EMU in European stock markets In: Journal of Multinational Financial Management.
[Full Text][Citation analysis]		article51
2016The Impact of the Monetary Policy Interventions on the Insurance Industry In: EIOPA Financial Stability Report - Thematic Articles.
[Full Text][Citation analysis]		paper2
2018The impact of monetary policy iInterventions on the insurance industry.(2018) In: SAFE Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2019Credit Scoring in SME Asset-Backed Securities: An Italian Case Study In: JRFM.
[Full Text][Citation analysis]		article7
2019Credit scoring in SME asset-backed securities: An Italian case study.(2019) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 7		paper
2021Non-Standard Errors In: Working Paper Series, Social and Economic Sciences.
[Full Text][Citation analysis]		paper5
2021A meta-measure of performance related to both investors and investments characteristics In: Post-Print.
[Full Text][Citation analysis]		paper0
2021A meta-measure of performance related to both investors and investments characteristics.(2021) In: Post-Print.
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This paper has nother version. Agregated cites: 0		paper
2022A meta-measure of performance related to both investors and investments characteristics.(2022) In: Annals of Operations Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2008Italian Equity Funds: Efficiency and Performance Persistence In: The IUP Journal of Financial Economics.
[Citation analysis]		article14
2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2008Italian Equity Funds: Efficiency and Performance Persistence.(2008) In: Working Papers.
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This paper has nother version. Agregated cites: 14		paper
2018Scarcity and Spotlight Effects on Liquidity and Yield: Quantitative Easing in Japan In: IMES Discussion Paper Series.
[Full Text][Citation analysis]		paper9
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper9
2022Buildings’ Energy Efficiency and the Probability of Mortgage Default: The Dutch Case In: The Journal of Real Estate Finance and Economics.
[Full Text][Citation analysis]		article3
2020Buildings Energy Efficiency and the Probability of Mortgage Default: The Dutch Case.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2019Buildings energy efficiency and the probability of mortgage default: The Dutch case.(2019) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 3		paper
2000La Style Analysis nel mercato azionario italiano In: Rivista italiana degli economisti.
[Full Text][Citation analysis]		article0
2007Pillar 1 versus Pillar 2 under Risk Management In: NBER Chapters.
[Full Text][Citation analysis]		chapter2
2005Pillar 1 vs. Pillar 2 Under Risk Management In: NBER Working Papers.
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2010Econometric Measures of Systemic Risk in the Finance and Insurance Sectors In: NBER Working Papers.
[Full Text][Citation analysis]		paper82
2017Stock Price Crashes: Role of Slow-Moving Capital In: NBER Working Papers.
[Full Text][Citation analysis]		paper1
2022P2P Lenders versus Banks: Cream Skimming or Bottom Fishing? In: The Review of Corporate Finance Studies.
[Full Text][Citation analysis]		article40
2021P2P lenders versus banks: Cream skimming or bottom fishing?.(2021) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 40		paper
2005Credit Derivatives: Capital Requirements and Strategic Contracting In: Marco Fanno Working Papers.
[Full Text][Citation analysis]		paper8
2002La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati In: Moneta e Credito.
[Full Text][Citation analysis]		article1
2014A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation In: Bankers, Markets & Investors.
[Full Text][Citation analysis]		article1
2022Will video kill the radio star? Digitalisation and the future of banking In: Report of the Advisory Scientific Committee.
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2017The demand for central clearing: to clear or not to clear, that is the question In: ESRB Working Paper Series.
[Full Text][Citation analysis]		paper16
2022The demand for central clearing: To clear or not to clear, that is the question.(2022) In: SAFE Working Paper Series.
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This paper has nother version. Agregated cites: 16		paper
2005Relative benchmark rating and persistence analysis: Evidence from Italian equity funds In: The European Journal of Finance.
[Full Text][Citation analysis]		article10
2018Modelling illiquidity spillovers with Hawkes processes: an application to the sovereign bond market In: Quantitative Finance.
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2006Phase-Locking and Switching Volatility in Hedge Funds In: Working Papers.
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2008Crisis and Hedge Fund Risk In: Working Papers.
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2008Non-Parametric Analysis of Hedge Fund Returns: New Insights from High Frequency Data In: Working Papers.
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2012Market volatility, optimal portfolios and naive asset allocations In: Working Papers.
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2012CDS Industrial Sector Indices, credit and liquidity risk In: Working Papers.
[Full Text][Citation analysis]		paper1
2013Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers.
[Full Text][Citation analysis]		paper4
2016Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix In: Working Papers.
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2016Networks in risk spillovers: a multivariate GARCH perspective In: Working Papers.
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2020Networks in risk spillovers: A multivariate GARCH perspective.(2020) In: Working Papers.
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This paper has nother version. Agregated cites: 12		paper
2018Networks in risk spillovers: A multivariate GARCH perspective.(2018) In: SAFE Working Paper Series.
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2020Low-Latency Trading and Price Discovery: Evidence from the Tokyo Stock Exchange in the Pre-Opening and Opening Periods In: Working Papers.
[Full Text][Citation analysis]		paper12
2017Low-latency trading and price discovery: Evidence from the Tokyo Stock Exchange in the pre-opening and opening periods.(2017) In: SAFE Working Paper Series.
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2020Coming early to the party In: Working Papers.
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2017Coming early to the party.(2017) In: SAFE Working Paper Series.
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2020Inside the ESG Ratings: (Dis)agreement and performance In: Working Papers.
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2021Inside the ESG ratings: (Dis)agreement and performance.(2021) In: Corporate Social Responsibility and Environmental Management.
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2020Inside the ESG ratings: (Dis)agreement and performance.(2020) In: SAFE Working Paper Series.
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2021Lighting up the dark: Liquidity in the German corporate bond market In: Discussion Papers.
[Full Text][Citation analysis]		paper5
2018Lighting up the dark: Liquidity in the German corporate bond market.(2018) In: SAFE Working Paper Series.
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2016How does P2P lending fit into the consumer credit market? In: Discussion Papers.
[Full Text][Citation analysis]		paper35
2019OTC discount In: Discussion Papers.
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2021OTC discount.(2021) In: SAFE Working Paper Series.
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2018The pitfalls of central clearing in the presence of systematic risk In: ICIR Working Paper Series.
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2019Pitfalls of central clearing in the presence of systematic risk.(2019) In: SAFE Working Paper Series.
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2018Financial stability in the EU: A case for micro data transparency In: SAFE Policy Letters.
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2020The Coronavirus and financial stability In: SAFE Policy Letters.
[Full Text][Citation analysis]		paper36
2020Corona and financial stability 2.0: Act jointly now, but also think about tomorrow In: SAFE Policy Letters.
[Full Text][Citation analysis]		paper1
2020Corona and financial stability 3.0: Try equity - risk sharing for companies, large and small In: SAFE Policy Letters.
[Full Text][Citation analysis]		paper7
2020Priorities for the CMU agenda In: SAFE Policy Letters.
[Full Text][Citation analysis]		paper0
2022Designing a rational sanctioning strategy In: SAFE Policy Letters.
[Full Text][Citation analysis]		paper1
2016Predatory margins and the regulation and supervision of central counterparty clearing houses (CCPs) In: SAFE White Paper Series.
[Full Text][Citation analysis]		paper6
2020What are the wider supervisory implications of the Wirecard case? In: SAFE White Paper Series.
[Full Text][Citation analysis]		paper3
2021Corona and banking: A financial crisis in slow motion? An evaluation of the policy options In: SAFE White Paper Series.
[Full Text][Citation analysis]		paper1
2021Non-performing loans - new risks and policies? NPL resolution after COVID-19: Main differences to previous crises In: SAFE White Paper Series.
[Full Text][Citation analysis]		paper2
2022Is there a retail challenge to banks resolvability? What do we know about the holders of bail-inable securities in the Banking Union? In: SAFE White Paper Series.
[Full Text][Citation analysis]		paper0
2016How has sovereign bond market liquidity changed? An illiquidity spillover analysis In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper4
2017The impact of network connectivity on factor exposures, asset pricing and portfolio diversification In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper10
2018Central bank-driven mispricing In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper4
2020Designated Market Makers: Competition and Incentives In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper1
2022Do designated market makers provide liquidity during a flash crash? In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper5
2020Collateral eligibility of corporate debt in the Eurosystem In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper11
2020Does monetary policy impact international market co-movements? In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper3
2020Machine learning sentiment analysis, Covid-19 news and stock market reactions In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper17
2020Resiliency: Cross-venue dynamics with Hawkes processes In: SAFE Working Paper Series.
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2021The salience of ESG ratings for stock pricing: Evidence from (potentially) confused investors In: SAFE Working Paper Series.
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2021Market impact of government communication: The case of presidential tweets In: SAFE Working Paper Series.
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2021Impact of public news sentiment on stock market index return and volatility In: SAFE Working Paper Series.
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2022Sustainable finance: A journey toward ESG and climate risk In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper2
2022Price and liquidity discovery in European sovereign bonds and futures In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper1
2022Creditworthiness and buildings energy efficiency in the Italian mortgage market In: SAFE Working Paper Series.
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2015Sovereign credit risk, liquidity, and ECB intervention: Deus ex machina? In: SAFE Working Paper Series.
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