Alberto Plazzi : Citation Profile

Universitá della Svizzera Italiana (USI)

10

H index

10

i10 index

418

Citations

RESEARCH PRODUCTION:

12

Articles

22

Papers

2

Chapters

RESEARCH ACTIVITY:

   20 years (2004 - 2024). See details.
   Cites by year: 20
   Journals where Alberto Plazzi has often published
   Relations with other researchers
   Recent citing documents: 61.    Total self citations: 5 (1.18 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppl114
   Updated: 2025-12-27    RAS profile: 2025-01-06    
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Relations with other researchers

Works with:

Pelizzon, Loriana (3)

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

Is cited by:

GUPTA, RANGAN (29)

Pedersen, Thomas (11)

Engsted, Tom (11)

Salisu, Afees (10)

Ling, David (8)

Jahan-Parvar, Mohammad (6)

Cenedese, Gino (5)

Mallucci, Enrico (5)

Leung, Charles (5)

Mallucci, Enrico (5)

Cepni, Oguzhan (5)

Cites to:

Campbell, John (30)

Shiller, Robert (19)

Valkanov, Rossen (10)

Gürkaynak, Refet (10)

Rey, Helene (9)

Stambaugh, Robert (9)

Bernanke, Ben (9)

French, Kenneth (7)

Lettau, Martin (6)

Mayer, Christopher (6)

Stein, Jeremy (6)

Main data

Where Alberto Plazzi has published?

Journals with more than one article published# docs
The Review of Financial Studies2

Working Papers Series with more than one paper published# docs
Swiss Finance Institute Research Paper Series / Swiss Finance Institute16
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2

Recent works citing Alberto Plazzi (2025 and 2024)

YearTitle of citing document
2025The Decline of Too Big to Fail. (2025). Duffie, Darrell ; Zhu, Yichao ; Berndt, Antje. In: American Economic Review. RePEc:aea:aecrev:v:115:y:2025:i:3:p:945-74.

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2024Risks of heterogeneously persistent higher moments. (2024). Kurka, Josef ; Baruník, Jozef. In: Papers. RePEc:arx:papers:2104.04264.

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2024MIDAS-QR with 2-Dimensional Structure. (2024). Szendrei, Tibor ; Schaffer, Mark ; Bhattacharjee, Arnab. In: Papers. RePEc:arx:papers:2406.15157.

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2025Predicting the distributions of stock returns around the globe in the era of big data and learning. (2024). Baruník, Jozef ; Tobek, Ondrej ; Hronec, Martin. In: Papers. RePEc:arx:papers:2408.07497.

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2024Mapping research on corporate misconduct in banking: Lessons from literature on preventive and punitive actions. (2024). Rodriguezarrojo, Rita ; Garciaolalla, Myriam ; Luna, Manuel ; Vazquezordas, Camilo J. In: Global Policy. RePEc:bla:glopol:v:15:y:2024:i:s1:p:62-75.

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2024A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions. (2024). Han, Jungsuk ; Xing, Ran ; Ruan, Hongxun ; van Binsbergen, Jules. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:3:p:1831-1882.

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2024Housing Yields. (2024). Colonnello, Stefano ; Marf, Roberto ; Xiong, Qizhou. In: Carlo Alberto Notebooks. RePEc:cca:wpaper:716.

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2024Investor behavior around targeted liquidity announcements. (2024). Onali, Enrico ; Perdichizzi, Salvatore ; Cardillo, Giovanni. In: The British Accounting Review. RePEc:eee:bracre:v:56:y:2024:i:6:s0890838923001324.

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2024Bank-affiliated institutional investors and IPO syndicates formation. (2024). Pratobevera, Giuseppe. In: Journal of Corporate Finance. RePEc:eee:corfin:v:86:y:2024:i:c:s092911992400049x.

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2025Does government ownership differently impact expected left-tail and volatility risk of bank stock? Evidence from options market. (2025). Srivastava, Pranjal ; Saurav, Sumit ; Mishra, Abinash. In: Journal of Corporate Finance. RePEc:eee:corfin:v:94:y:2025:i:c:s0929119925001002.

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2024Frictionless house-price momentum. (2024). Moura, Alban ; Fve, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:168:y:2024:i:c:s0165188924001921.

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2025Exploiting mixed-frequency characteristics in parametric Mean-Expected Shortfall portfolio selection. (2025). Chen, Yun ; Zhang, Sicheng ; Liu, Shuting. In: Economic Modelling. RePEc:eee:ecmode:v:148:y:2025:i:c:s0264999325000677.

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2025Hedging political risk in international portfolios. (2025). Pagliardi, Giovanni ; Lotfi, Somayyeh ; Zenios, Stavros A ; Paparoditis, Efstathios. In: European Journal of Operational Research. RePEc:eee:ejores:v:322:y:2025:i:2:p:629-646.

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2024Assessing proxies for market prices of thinly traded assets with scheduled cash flows. (2024). Torous, Walter N ; Mhlhofer, Tobias ; Liu, Crocker H ; Boudry, Walter I. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000343.

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2025Higher moments interaction between the US treasury yields, energy assets, and green cryptos: Dynamic analysis with portfolio implications. (2025). Umar, Zaghum ; Sokolova, Tatiana ; Iqbal, Najaf ; Shaoyong, Zhang. In: Energy Economics. RePEc:eee:eneeco:v:141:y:2025:i:c:s0140988324007862.

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2024Risks of heterogeneously persistent higher moments. (2024). Baruník, Jozef ; Kurka, Josef ; Barunk, Jozef. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005052.

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2024Skewness risk and the cross-section of cryptocurrency returns. (2024). Chen, Yan ; Liu, Yakun. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pa:s1057521924005581.

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2024Energy market uncertainties and exchange rate volatility: A GARCH-MIDAS approach. (2024). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN ; Ji, Qiang. In: Finance Research Letters. RePEc:eee:finlet:v:67:y:2024:i:pb:s1544612324008778.

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2025Does credit growth predict lower returns for large banks?. (2025). Parija, Arpit Kumar. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325001461.

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2025Not just the news: Higher moments of macroeconomic variables and sovereign bond returns. (2025). Wang, Zijun ; Wald, John K ; Li, Yulin. In: Global Finance Journal. RePEc:eee:glofin:v:66:y:2025:i:c:s1044028325000407.

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2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

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2025Ex ante bond returns and time-varying monotonicity. (2025). Yahyaei, Hamid ; Singh, Abhay ; Smith, Tom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000046.

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2025Extractive institutions and banks’ implicit subsidies. (2025). Schiozer, Rafael. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000095.

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2024Daily growth at risk: Financial or real drivers? The answer is not always the same. (2024). Uribe, Jorge ; Chuliá, Helena ; Garron, Ignacio ; Chulia, Helena. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:762-776.

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2025Forecasting interest rates with shifting endpoints: The role of the functional demographic age distribution. (2025). Niu, Linlin ; Hong, Zhiwu ; Chen, Jiazi. In: International Journal of Forecasting. RePEc:eee:intfor:v:41:y:2025:i:1:p:153-174.

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2024Interest rates across the world: Global, regional, and idiosyncratic factors. (2024). Zhou, Hang ; Shambaugh, Jay. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:163:y:2024:i:c:s0378426624001092.

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2025Subjective expectations and house prices. (2025). Eriksen, Jonas N ; Bro, Jeppe. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:172:y:2025:i:c:s0378426624002917.

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2025Returns from liquidity provision in cryptocurrency markets. (2025). Farag, Hisham ; Yarovaya, Larisa ; Luo, DI ; Zieba, Damian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:175:y:2025:i:c:s0378426625000317.

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2025Demographic trends, the rent-to-price ratio, and housing market returns. (2025). Wang, Yuansheng ; Yang, Haoxi ; Chen, Zhizhen ; Feng, Yun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:176:y:2025:i:c:s0378426625000573.

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2025Large dynamic covariance matrices and portfolio selection with a heterogeneous autoregressive model. (2025). Kircher, Felix ; Honig, Igor. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:178:y:2025:i:c:s0378426625001256.

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2025Expected idiosyncratic volatility. (2025). Bekaert, Geert ; Bergbrant, Mikael ; Kassa, Haimanot. In: Journal of Financial Economics. RePEc:eee:jfinec:v:167:y:2025:i:c:s0304405x25000315.

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2025LTCM Redux? Hedge fund Treasury trading, funding fragility, and risk constraints. (2025). Watugala, Sumudu W ; Petrasek, Lubomir ; Monin, Phillip J ; Kruttli, Mathias S. In: Journal of Financial Economics. RePEc:eee:jfinec:v:169:y:2025:i:c:s0304405x2500025x.

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2024Cross-sectional financial conditions, business cycles and the lending channel. (2024). , Thiago. In: Journal of Monetary Economics. RePEc:eee:moneco:v:147:y:2024:i:c:s0304393224000503.

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2025Sinking ships: Liquidity constraints and return predictability in recessions. (2025). Doshchyn, Artur. In: Journal of Monetary Economics. RePEc:eee:moneco:v:151:y:2025:i:c:s0304393225000170.

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2025How does subordinated debt affect the cost of capital for banks?. (2025). Yusifzada, Leyla. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:91:y:2025:i:c:s0927538x25000514.

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2024Energy-related uncertainty and international stock market volatility. (2024). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:280-293.

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2024Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option. (2024). Jiang, Zhengyun ; Zhou, Xin. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:378-399.

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2024Monetary policy and currency variance risk premia. (2024). Dossani, Asad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000813.

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2025Do economic policy uncertainties matter for economic growth? Evidence from MIDAS approaches. (2025). Wang, Qian ; Zhao, Cheng ; Wei, YU ; Shang, Yue. In: Research in International Business and Finance. RePEc:eee:riibaf:v:74:y:2025:i:c:s0275531924004975.

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2024Time-varying Persistence of House Price Growth: The Role of Expectations and Credit Supply. (2024). Smallwood, Aaron ; Chudik, Alexander ; Choi, Chi-Young. In: Globalization Institute Working Papers. RePEc:fip:feddgw:98241.

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2024Quantitative Portfolio Management: Review and Outlook. (2024). Yew, Rand Kwong ; Senescall, Michael. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2897-:d:1479653.

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2024A Sequential Importance Sampling for Estimating Multi-Period Tail Risk. (2024). Kim, Sunggon ; Seo, Ye-Ji. In: Risks. RePEc:gam:jrisks:v:12:y:2024:i:12:p:201-:d:1543264.

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2024Volatility in U.S. Housing Sector and the REIT Equity Return. (2024). Alam, Masud. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:3:d:10.1007_s11146-022-09897-x.

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2025The Role of Tenant Characteristics in Retail Cap Rate Variation. (2025). Letdin, Mariya ; Sirmans, Stacy G ; Smersh, Greg T ; Zhou, Tingyu. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:70:y:2025:i:3:d:10.1007_s11146-023-09958-9.

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2025Agglomeration Economies and Capitalization Rates: Evidence from the Dutch Real Estate Office Market. (2025). Vlist, Arno J ; Francke, Marc K. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:71:y:2025:i:1:d:10.1007_s11146-021-09881-x.

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2024Social media disclosure and reputational damage. (2024). Zhang, Zhewei ; Huan, Xing ; Redigolo, Giulia ; Parbonetti, Antonio. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:4:d:10.1007_s11156-023-01239-z.

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2024Forecasting Value-at-Risk Using Deep Neural Network Quantile Regression*. (2024). Raftapostolos, Aristeidis ; Kapetanios, George ; Chronopoulos, Ilias. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:22:y:2024:i:3:p:636-669..

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2024Energy Market Uncertainties and US State-Level Stock Market Volatility: A GARCH-MIDAS Approach. (2024). Salisu, Afees ; GUPTA, RANGAN ; Cepni, Oguzhan ; Oghonna, Ahamuefula E. In: Working Papers. RePEc:pre:wpaper:202409.

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2024Influence of Local and Global Economic Policy Uncertainty on the Volatility of US State-Level Equity Returns: Evidence from a GARCH-MIDAS Approach with Shrinkage and Cluster Analysis. (2024). GUPTA, RANGAN ; Gallo, Giampiero ; Cepni, Oguzhan ; Candila, Vincenzo. In: Working Papers. RePEc:pre:wpaper:202437.

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2024Financial Uncertainty and Gold Market Volatility: Evidence from a GARCH-MIDAS Approach with Variable Selection. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Liu, Rui Peng ; Bouri, Elie ; Chuang, O-Chia. In: Working Papers. RePEc:pre:wpaper:202441.

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2024Economic Policy Uncertainty and Bank-Level Stock Returns Volatility of the United States: A Mixed-Frequency Perspective. (2024). Salisu, Afees ; Ogbonna, Ahamuefula ; GUPTA, RANGAN ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:202444.

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2025Mixed frequency data and portfolio selection: A novel approach integrating DEA with mixed frequency data sources. (2025). Wang, Liukai ; Xiong, YU ; Liang, Shuhao. In: Annals of Operations Research. RePEc:spr:annopr:v:347:y:2025:i:3:d:10.1007_s10479-025-06529-4.

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2025An automated adaptive trading system for enhanced performance of emerging market portfolios. (2025). Tudor, Cristiana ; Sova, Robert. In: Financial Innovation. RePEc:spr:fininn:v:11:y:2025:i:1:d:10.1186_s40854-025-00754-3.

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2025Predictions of residential property price indices for China via machine learning models. (2025). Jin, Bingzi ; Xu, Xiaojie. In: Quality & Quantity: International Journal of Methodology. RePEc:spr:qualqt:v:59:y:2025:i:2:d:10.1007_s11135-025-02080-3.

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2024Forecasting EUA futures volatility with geopolitical risk: evidence from GARCH-MIDAS models. (2024). Gao, Qiujin ; Xiao, Ling ; Lu, Hengzhen ; Dhesi, Gurjeet. In: Review of Managerial Science. RePEc:spr:rvmgts:v:18:y:2024:i:7:d:10.1007_s11846-023-00722-0.

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2024Nowcasting Norwegian household consumption with debit card transaction data. (2024). Aastveit, Knut Are ; Fastb, Tuva Marie ; Granziera, Eleonora ; Paulsen, Kenneth Sterhagen ; Torstensen, Kjersti Nss. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:39:y:2024:i:7:p:1220-1244.

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2024Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments. (2024). Le, Trung H. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:402-414.

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2024Forecasting stock market returns with a lottery index: Evidence from China. (2024). Zhang, Yaojie ; He, Mengxi. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:5:p:1595-1606.

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2024Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures. (2024). Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1956-1974.

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2024FDZ data description: Regional real estate price indices for Germany (RWI-GEO-REDX) - Version 12: 2008-11/2023. (2024). Schaffner, Sandra ; Thiel, Patrick. In: RWI Projektberichte. RePEc:zbw:rwipro:296882.

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2024FDZ data description: Regional real estate price indices for Germany (RWI-GEO-REDX) - Version 13: 2008-11/2023. (2024). Thiel, Patrick. In: RWI Projektberichte. RePEc:zbw:rwipro:301663.

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Works by Alberto Plazzi:

YearTitleTypeCited
2019Direct Versus Iterated Multiperiod Volatility Forecasts In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article25
2007Valuation in US Commercial Real Estate In: European Financial Management.
[Full Text][Citation analysis]		article18
2016Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry In: Journal of Finance.
[Full Text][Citation analysis]		article91
2008The Cross‐Sectional Dispersion of Commercial Real Estate Returns and Rent Growth: Time Variation and Economic Fluctuations In: Real Estate Economics.
[Full Text][Citation analysis]		article18
200413-04 Expected Returns and the Expected Growth in Rents of Commercial Real Estate In: University of California at Los Angeles, Anderson Graduate School of Management.
[Full Text][Citation analysis]		paper0
2011Conditional Skewness of Stock Market Returns in Developed and Emerging Markets and its Economic Fundamentals In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper20
2011Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper9
2011Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation.(2011) In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2013What Constrains Liquidity Provision? Evidence From Hedge Fund Trades In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper8
2019What Constrains Liquidity Provision? Evidence From Hedge Fund Trades.(2019) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		paper
2020Birds of a Feather – Do Hedge Fund Managers Flock Together? In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper1
2024Birds of a Feather: Do Hedge Fund Managers Flock Together?.(2024) In: Management Science.
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This paper has nother version. Agregated cites: 1		article
2016Equity is Cheap for Large Financial Institutions: The International Evidence In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper10
2016Equity Is Cheap for Large Financial Institutions: The International Evidence.(2016) In: Research Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		paper
2016Equity is Cheap for Large Financial Institutions: The International Evidence.(2016) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 10		paper
2016A False Sense of Security: Why U.S. Banks Diversify and Does it Help? In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper3
2016Does Corporate Governance Matter? Evidence from the AGR Governance Rating In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2017Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2017Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper16
2019Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation.(2019) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		article
2018Inflation Risk Premia, Yield Volatility and Macro Factors In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
2019Inflation Risk Premia, Yield Volatility, and Macro Factors.(2019) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2019Mind the (Convergence) Gap: Bond Predictability Strikes Back! In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper2
2021Mind the (Convergence) Gap: Bond Predictability Strikes Back!.(2021) In: Management Science.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		article
2019Dissecting the Yield Curve: The International Evidence In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
2022Dissecting the yield curve: The international evidence.(2022) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		article
2021Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency 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
2023Financial Intermediaries and Demand for Duration In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper0
2013Forecasting Real Estate Prices In: Handbook of Economic Forecasting.
[Full Text][Citation analysis]		chapter74
2021What Constrains Liquidity Provision? Evidence from Institutional Trades* In: Review of Finance.
[Full Text][Citation analysis]		article8
2010Expected Returns and Expected Growth in Rents of Commercial Real Estate In: The Review of Financial Studies.
[Full Text][Citation analysis]		article77
2020Equity Is Cheap for Large Financial Institutions In: The Review of Financial Studies.
[Full Text][Citation analysis]		article17
2020What You See Is What You Get But Do Investors Reward Good Corporate Governance When They See It? In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0
2020Does monetary policy impact international market co-movements? In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper2

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