Michalis Vasios : Citation Profile

European Union

6

H index

6

i10 index

150

Citations

RESEARCH PRODUCTION:

3

Articles

13

Papers

1

Chapters

RESEARCH ACTIVITY:

   6 years (2014 - 2020). See details.
   Cites by year: 25
   Journals where Michalis Vasios has often published
   Relations with other researchers
   Recent citing documents: 21.    Total self citations: 11 (6.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pva697
   Updated: 2025-12-20    RAS profile: 2023-03-16    
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Relations with other researchers

Works with:

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

Is cited by:

Ranaldo, Angelo (6)

Vause, Nicholas (5)

Huang, Wenqian (4)

Pelizzon, Loriana (4)

Hau, Harald (4)

Timmer, Yannick (4)

Hoerova, Marie (3)

Park, Cyn-Young (3)

Heider, Florian (3)

Onur, Esen (3)

Dömötör, Barbara (3)

Cites to:

Duffie, Darrell (13)

Benos, Evangelos (8)

Biais, Bruno (7)

Lagos, Ricardo (6)

Zhong, Zhaodong (6)

Pedersen, Lasse (6)

Payne, Richard (6)

Vause, Nicholas (6)

Heider, Florian (5)

Hoerova, Marie (5)

Weill, Pierre-Olivier (5)

Main data

Where Michalis Vasios has published?

Working Papers Series with more than one paper published# docs
Bank of England working papers / Bank of England7
Bank of England Financial Stability Papers / Bank of England2

Recent works citing Michalis Vasios (2025 and 2024)

YearTitle of citing document
2024The fundamental role of the repo market and central clearing. (2024). di Luigi, Cristina ; Perrella, Antonio ; Ruggieri, Alessio. In: Mercati, infrastrutture, sistemi di pagamento (Markets, Infrastructures, Payment Systems). RePEc:bdi:wpmisp:mip_048_24.

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2025EMIR data for financial stability analysis and research. (2025). Bianchi, Michele Leonardo ; Ruzzi, Dario ; Sorvillo, Bianca ; Apicella, Federico ; del Vecchio, Leonardo ; Abate, Luigi. In: IFC Bulletins chapters. RePEc:bis:bisifc:64-12.

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2024Exchanges for government bonds? Evidence during COVID-19. (2024). Nathan, Daniel ; Kutai, Ari ; Wittwer, Milena. In: Bank of Israel Working Papers. RePEc:boi:wpaper:2024.03.

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2025Flexible asset purchases and repo market functioning. (2025). Poinelli, Andrea ; Grasso, Adriana. In: Working Paper Series. RePEc:ecb:ecbwps:20253013.

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2025Leverage actually: the impact on banks’ borrowing costs in euro area money markets. (2025). Samarina, Anna ; Faria, Lara Sousa ; Andreeva, Desislava. In: Working Paper Series. RePEc:ecb:ecbwps:20253016.

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2024The effect of mandatory CSR disclosure on stock liquidity. (2024). Zhou, Sili ; Li, Zhiyuan ; Lin, Wenlian. In: China Economic Review. RePEc:eee:chieco:v:87:y:2024:i:c:s1043951x24001214.

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2024Procyclical variation margins in central clearing. (2024). Suh, Sangwon ; Jin, Yangkyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001626.

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2024Worst-case higher moment risk measure: Addressing distributional shifts and procyclicality. (2024). Quiceno, Nancy ; Gomez, Fabio ; Castro-Iragorri, Carlos. In: Finance Research Letters. RePEc:eee:finlet:v:65:y:2024:i:c:s154461232400610x.

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2024Dynamic margin optimization. (2024). Dömötör, Barbara ; Berlinger, Edina ; Dmtr, Barbara ; Bihary, Zsolt. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324010298.

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2024How does the repo market behave under stress? Evidence from the COVID-19 crisis. (2024). Maria, Luitgard Anna ; Lepore, Caterina ; Huser, Anne-Caroline. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923000931.

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2025Stress testing OTC derivatives: Clearing reforms and market frictions. (2025). Casu, Barbara ; Katsoulis, Petros ; Kalotychou, Elena. In: Journal of Financial Stability. RePEc:eee:finsta:v:77:y:2025:i:c:s1572308925000178.

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2025Securing passive liquidity: The impact of Europe’s first asymmetric speed bump on market liquidity. (2025). le Moign, Caroline. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000356.

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2024Panic herding: Analysts COVID-19 experiences and the interpretation of earnings news. (2024). Vacca, Matteo. In: Journal of Economics and Business. RePEc:eee:jebusi:v:132:y:2024:i:c:s0148619524000481.

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2024Monetary policy transmission in segmented markets. (2024). Eisenschmidt, Jens ; Ma, Yiming ; Zhang, Anthony Lee. In: Journal of Financial Economics. RePEc:eee:jfinec:v:151:y:2024:i:c:s0304405x23001782.

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2024Efficient estimation of bid–ask spreads from open, high, low, and close prices. (2024). Kroencke, Tim A ; Guidotti, Emanuele ; Ardia, David. In: Journal of Financial Economics. RePEc:eee:jfinec:v:161:y:2024:i:c:s0304405x24001399.

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2024Window dressing of regulatory metrics: Evidence from repo markets. (2024). Grill, Michael ; Waibel, Martin ; Behn, Markus ; Bassi, Claudio. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000147.

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2025All-to-All Trading in the U.S. Treasury Market. (2025). Vega, Clara ; Fleming, Michael ; Huh, Yesol ; Cox, Caren ; Windover, Carolyn ; Golay, Ellen Correia ; Chaboud, Alain P ; Lee, Kyle ; Keane, Frank M ; Schwarz, Krista B. In: Economic Policy Review. RePEc:fip:fednep:99623.

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2024MODELING AND ANALYSIS OF YIELD CURVE AND EXCHANGE RATE FORMATION IN PRO-MARKET MONETARY OPERATIONS. (2024). Mustika, Kusfisiami Wima ; Fista, Geyana Ledy ; Harun, Cicilia Anggadewi ; Sasongko, Aryo ; Safitri, Dila ; Kurniati, Puput ; Larasati, Karanissa ; Dinianyadharani, Aninditha Kemala. In: Working Papers. RePEc:idn:wpaper:wp092024.

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2024High-Frequency Trading in Bond Returns: A Comparison Across Alternative Methods and Fixed-Income Markets. (2024). Fernndez-Gmez, Manuel A ; Salas, Mara Beln ; Alaminos, David. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:4:d:10.1007_s10614-023-10502-3.

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2025The Impact of CCP Liquidity Demands on Clearing Members Under Stress. (2025). Heilbron, John ; Tompaidis, Stathis. In: Working Papers. RePEc:ofr:wpaper:25-03.

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2025Collateral choice. (2025). Ballensiefen, Benedikt Fabian. In: CFR Working Papers. RePEc:zbw:cfrwps:319642.

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Works by Michalis Vasios:

YearTitleTypeCited
2017Gauging market dynamics using trade repository data: The case of the Swiss franc de-pegging In: IFC Bulletins chapters.
[Full Text][Citation analysis]		chapter20
2017Gauging market dynamics using trade repository data: the case of the Swiss franc de-pegging.(2017) In: Bank of England Financial Stability Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 20		paper
2019The cost of clearing fragmentation In: BIS Working Papers.
[Full Text][Citation analysis]		paper6
2019The cost of clearing fragmentation.(2019) In: Bank of England working papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2016Centralized trading, transparency and interest rate swap market liquidity: evidence from the implementation of the Dodd-Frank Act In: Bank of England working papers.
[Full Text][Citation analysis]		paper39
2020Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act.(2020) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 39		article
2016A comparative analysis of tools to limit the procyclicality of initial margin requirements In: Bank of England working papers.
[Citation analysis]		paper19
2017Identifying contagion in a banking network In: Bank of England working papers.
[Full Text][Citation analysis]		paper12
2017Identifying Contagion in a Banking Network.(2017) In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2018OTC premia In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2020OTC premia.(2020) In: Journal of Financial Economics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		article
2018OTC Premia.(2018) In: Working Papers on Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2019Regulatory effects on short-term interest rates In: Bank of England working papers.
[Full Text][Citation analysis]		paper20
2019OTC microstructure in a period of stress: a multi‑layered network approach In: Bank of England working papers.
[Full Text][Citation analysis]		paper0
2014Financial Stability Paper No 29: An investigation into the procyclicality of risk-based initial margin models In: Bank of England Financial Stability Papers.
[Full Text][Citation analysis]		paper28
2014Sell-side analysts’ career concerns during banking stresses In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2015Profiting from Mimicking Strategies in Non-Anonymous Markets In: MPRA Paper.
[Full Text][Citation analysis]		paper0

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