9
H index
9
i10 index
358
Citations
Universitá della Svizzera Italiana (USI) | 9 H index 9 i10 index 358 Citations RESEARCH PRODUCTION: 9 Articles 21 Papers 2 Chapters RESEARCH ACTIVITY: 18 years (2004 - 2022). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/ppl114 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Alberto Plazzi. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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The Review of Financial Studies | 2 |
Working Papers Series with more than one paper published | # docs |
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Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 15 |
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE | 2 |
Year | Title of citing document |
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2023 | Macroeconomic drivers of Inflation Expectations and Inflation Risk Premia. (2023). Wauters, Joris ; Iania, Leonardo ; Boeckx, Jef. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2023003. Full description at Econpapers || Download paper |
2024 | Frequency-Dependent Higher Moment Risks. (2021). BarunÃk, Jozef ; Kurka, Josef. In: Papers. RePEc:arx:papers:2104.04264. Full description at Econpapers || Download paper |
2023 | Government Guarantees and Banks Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Papers. RePEc:arx:papers:2303.03661. Full description at Econpapers || Download paper |
2024 | Mapping research on corporate misconduct in banking: Lessons from literature on preventive and punitive actions. (2024). Vazquezordas, Camilo J ; Luna, Manuel ; Rodriguezarrojo, Rita ; Garciaolalla, Myriam. In: Global Policy. RePEc:bla:glopol:v:15:y:2024:i:s1:p:62-75. Full description at Econpapers || Download paper |
2024 | The role of tail network topological characteristic in portfolio selection: A TNA?PMC model. (2023). Zhao, Qinna ; Jiang, Cuixia ; Xu, Qifa ; Li, Mengting. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:1:p:37-57. Full description at Econpapers || Download paper |
2023 | Economic policy uncertainty and fund flow performance sensitivity: Evidence from New Zealand. (2023). Demirer, Riza ; Hegde, Prasad ; Badshah, Ihsan ; Ali, Sara. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:3:p:666-679. Full description at Econpapers || Download paper |
2023 | The determinants of office cap rates: The international evidence. (2023). Twite, Garry ; Titman, Sheridan ; Biakowski, Jdrzej. In: Real Estate Economics. RePEc:bla:reesec:v:51:y:2023:i:3:p:539-572. Full description at Econpapers || Download paper |
2023 | Augmenting the Realized-GARCH: the role of signed-jumps, attenuation-biases and long-memory effects. (2023). Papantonis, Ioannis ; Orestis, Agapitos ; Elias, Tzavalis ; Ioannis, Papantonis ; Leonidas, Rompolis. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:2:p:171-198:n:8. Full description at Econpapers || Download paper |
2023 | The Determinants of Office Cap Rates: The International Evidence. (2023). Twite, Garry ; Titman, Sheridan ; Biakowski, Jdrzej. In: Working Papers in Economics. RePEc:cbt:econwp:23/01. Full description at Econpapers || Download paper |
2023 | Global house prices since 1950. (2023). Sustek, Roman ; Mumtaz, Haroon. In: Discussion Papers. RePEc:cfm:wpaper:2307. Full description at Econpapers || Download paper |
2023 | Risk-return tradeoff and serial correlation in the Chinese stock market: A bailout-driven crash feedback hypothesis. (2023). Yang, Yiwen ; Yao, Jing. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003644. Full description at Econpapers || Download paper |
2023 | Term premia and short rate expectations in the euro area. (2023). Berardi, Andrea. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000919. Full description at Econpapers || Download paper |
2023 | Stranded houses? The price effect of a minimum energy efficiency standard. (2023). Guin, Benjamin ; Gibberd, Alex ; Ferentinos, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323000531. Full description at Econpapers || Download paper |
2023 | An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145. Full description at Econpapers || Download paper |
2023 | Sample frequency robustness and accuracy in forecasting Value-at-Risk for Brent Crude Oil futures. (2023). Haugom, Erik ; Hadina, Jelena ; Ewald, Christian ; Yahya, Muhammad ; Stordal, Stle ; Lien, Gudbrand. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s154461232300288x. Full description at Econpapers || Download paper |
2023 | Trimming extreme reports in preference aggregation. (2023). Xefteris, Dimitrios ; Nuñez, Matias ; Nuez, Matias ; Louis, Philippos. In: Games and Economic Behavior. RePEc:eee:gamebe:v:137:y:2023:i:c:p:116-151. Full description at Econpapers || Download paper |
2023 | The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051. Full description at Econpapers || Download paper |
2023 | The long-run risk premium in the intertemporal CAPM: International evidence. (2023). Sakemoto, Ryuta. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001221. Full description at Econpapers || Download paper |
2023 | Real estate illiquidity and returns: A time-varying regional perspective. (2023). Zhu, Yunyi ; Fu, XI ; Ellington, Michael. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:1:p:58-72. Full description at Econpapers || Download paper |
2023 | Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237. Full description at Econpapers || Download paper |
2023 | Dynamic linear models with adaptive discounting. (2023). Pavlidis, Efthymios G ; Yusupova, Alisa. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1925-1944. Full description at Econpapers || Download paper |
2024 | Daily growth at risk: Financial or real drivers? The answer is not always the same. (2024). Uribe, Jorge ; Garron, Ignacio ; Chulia, Helena. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:2:p:762-776. Full description at Econpapers || Download paper |
2023 | Zombies, again? The COVID-19 business support programs in Japan. (2023). Hoshi, Takeo ; Ueda, Kenichi ; Kawaguchi, Daiji. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622000218. Full description at Econpapers || Download paper |
2023 | The Pricing of Skewness Over Different Return Horizons. (2023). Arisoy, Eser Y ; Aretz, Kevin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:148:y:2023:i:c:s037842662200293x. Full description at Econpapers || Download paper |
2023 | Firm-bank linkages and optimal policies after a rare disaster. (2023). Villacorta, Alonso ; Segura, Anatoli. In: Journal of Financial Economics. RePEc:eee:jfinec:v:149:y:2023:i:2:p:296-322. Full description at Econpapers || Download paper |
2023 | Monetary policy and Bitcoin. (2023). Karau, Soren. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623000815. Full description at Econpapers || Download paper |
2023 | The role of higher moments in predicting Chinas oil futures volatility: Evidence from machine learning models. (2023). Gao, Wang ; Zhao, Xinyi ; Zhang, Hongwei ; Niu, Zibo. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000429. Full description at Econpapers || Download paper |
2023 | Trader positions and aggregate portfolio demand. (2023). Tuzun, Tugkan ; Roberts, John S ; Onur, Esen. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:27:y:2023:i:c:s1703494922000482. Full description at Econpapers || Download paper |
2023 | Testing the forecasting power of global economic conditions for the volatility of international REITs using a GARCH-MIDAS approach. (2023). Salisu, Afees ; GUPTA, RANGAN ; Bouri, Elie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:303-314. Full description at Econpapers || Download paper |
2023 | Skewness in energy returns: estimation, testing and retain-->implications for tail risk. (2023). Iguez, Trino-Manuel ; Leon, Angel ; Carnero, Angeles M. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:90:y:2023:i:c:p:178-189. Full description at Econpapers || Download paper |
2024 | Energy-related uncertainty and international stock market volatility. (2024). Salisu, Afees ; Ogbonna, Ahamuefula ; Bouri, Elie ; Gupta, Rangan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:280-293. Full description at Econpapers || Download paper |
2024 | Trading activity, risk aversion, and risk neutral skewness: Evidence from SSE 50ETF option. (2024). Zhou, Xin ; Jiang, Zhengyun. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:378-399. Full description at Econpapers || Download paper |
2024 | Monetary 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. Full description at Econpapers || Download paper |
2024 | Time-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. Full description at Econpapers || Download paper |
2023 | Co-Movement of Indonesian State-Owned Enterprise Stocks. (2023). Huruta, Andrian Dolfriandra ; Robiyanto, Robiyanto ; Rambu, Apriani Dorkas. In: Economies. RePEc:gam:jecomi:v:11:y:2023:i:2:p:46-:d:1054615. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Geographic Disaggregation of House Price Stress Paths: Implications for Single-Family Credit Risk Measurement. (2023). Tsai, Andrew ; Smith, Scott ; Landeryou, Kirsten ; Ealey, Larhonda ; Bogin, Alexander N. In: FHFA Staff Working Papers. RePEc:hfa:wpaper:23-02. Full description at Econpapers || Download paper |
2023 | Government Guarantees and Banks’ Income Smoothing. (2023). , Felipe ; Merkley, Kenneth J ; Dantas, Manuela M. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:2:d:10.1007_s10693-023-00398-3. Full description at Econpapers || Download paper |
2023 | Acquisitions and the Opportunity Set. (2023). Shimizu, Yoshiki ; Kallberg, Jarl G. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:66:y:2023:i:4:d:10.1007_s11146-021-09859-9. Full description at Econpapers || Download paper |
2023 | Interest rate swaps: a comparison of compounded daily versus discrete reference rates. (2023). Jarrow, Robert ; Li, Siguang. In: Review of Derivatives Research. RePEc:kap:revdev:v:26:y:2023:i:1:d:10.1007_s11147-022-09191-1. Full description at Econpapers || Download paper |
2023 | Quantile-based Inflation Risk Models. (2018). Striaukas, Jonas ; Iania, Leonardo ; Ghysels, Eric. In: Working Paper Research. RePEc:nbb:reswpp:201810-349. Full description at Econpapers || Download paper |
2023 | Long-Horizon Stock Returns Are Positively Skewed. (2023). Hjalmarsson, Erik ; Farago, Adam. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:2:p:495-538.. Full description at Econpapers || Download paper |
2023 | Downside risk matters once the lottery effect is controlled: explaining risk–return relationship in the Indian equity market. (2023). Badhani, K N ; Ali, Asgar. In: Journal of Asset Management. RePEc:pal:assmgt:v:24:y:2023:i:1:d:10.1057_s41260-022-00290-0. Full description at Econpapers || Download paper |
2023 | Economic Conditions and Predictability of US Stock Returns Volatility: Local Factor versus National Factor in a GARCH-MIDAS Model. (2023). Cepni, Oguzhan ; Gupta, Rangan ; Liao, Wenting ; Salisu, Afees A. In: Working Papers. RePEc:pre:wpaper:202323. Full description at Econpapers || Download paper |
2023 | Energy-Related Uncertainty and International Stock Market Volatility. (2023). Salisu, Afees ; Ogbonna, Ahamuefula ; Bouri, Elie ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202336. Full description at Econpapers || Download paper |
2024 | Energy 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. Full description at Econpapers || Download paper |
2024 | Forecasting low?frequency macroeconomic events with high?frequency data. (2022). Owyang, Michael ; Galvo, Ana Beatriz. In: Journal of Applied Econometrics. RePEc:wly:japmet:v:37:y:2022:i:7:p:1314-1333. Full description at Econpapers || Download paper |
2023 | Modeling skewness in portfolio choice. (2023). Markellos, Raphael ; Kourtis, Apostolos ; Le, Trung H. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:6:p:734-770. Full description at Econpapers || Download paper |
2023 | Pricing the Bund term structure with linear regressions – without an observable short rate. (2023). Speck, Christian. In: Discussion Papers. RePEc:zbw:bubdps:082023. Full description at Econpapers || Download paper |
2023 | Inflation news coverage, expectations and risk premium. (2023). Ortiz, Daniel Perico. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:052023. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2019 | Direct Versus Iterated Multiperiod Volatility Forecasts In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 20 |
2007 | Valuation in US Commercial Real Estate In: European Financial Management. [Full Text][Citation analysis] | article | 18 |
2016 | Why Invest in Emerging Markets? The Role of Conditional Return Asymmetry In: Journal of Finance. [Full Text][Citation analysis] | article | 81 |
2004 | 13-04 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] | paper | 0 |
2011 | Conditional 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] | paper | 20 |
2011 | Exploiting Property Characteristics in Commercial Real Estate Portfolio Allocation In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2011 | Exploiting 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: 8 | paper | |
2013 | What Constrains Liquidity Provision? Evidence From Hedge Fund Trades In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 8 |
2019 | What 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 | |
2020 | Birds of a Feather – Do Hedge Fund Managers Flock Together? In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
2016 | Equity is Cheap for Large Financial Institutions: The International Evidence In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 10 |
2016 | Equity 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 | |
2016 | Equity is Cheap for Large Financial Institutions: The International Evidence.(2016) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 10 | paper | |
2016 | A False Sense of Security: Why U.S. Banks Diversify and Does it Help? In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 3 |
2016 | Does Corporate Governance Matter? Evidence from the AGR Governance Rating In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2017 | Does Monetary Policy Impact Market Integration? Evidence from Developed and Emerging Markets In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2017 | Financial Market Misconduct and Public Enforcement: The Case of Libor Manipulation In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 14 |
2019 | Financial 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: 14 | article | |
2018 | Inflation Risk Premia, Yield Volatility and Macro Factors In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2019 | Inflation 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 | |
2019 | Mind the (Convergence) Gap: Bond Predictability Strikes Back! In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2019 | Dissecting the Yield Curve: The International Evidence In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
2022 | Dissecting the yield curve: The international evidence.(2022) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | article | |
2021 | Backcasting, Nowcasting, and Forecasting Residential Repeat-Sales Returns: Big Data meets Mixed Frequency In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
2021 | The Core, the Periphery, and the Disaster: Corporate-Sovereign Nexus in COVID-19 Times In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 5 |
2021 | The 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 | |
2013 | Forecasting Real Estate Prices In: Handbook of Economic Forecasting. [Full Text][Citation analysis] | chapter | 71 |
2021 | What Constrains Liquidity Provision? Evidence from Institutional Trades* In: Review of Finance. [Full Text][Citation analysis] | article | 5 |
2010 | Expected Returns and Expected Growth in Rents of Commercial Real Estate In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 70 |
2020 | Equity Is Cheap for Large Financial Institutions In: The Review of Financial Studies. [Full Text][Citation analysis] | article | 10 |
2020 | What 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] | chapter | 0 |
2020 | Does monetary policy impact international market co-movements? In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 2 |
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