CAViaR: Conditional autoregressive value at risk by regression quantiles RF Engle, S Manganelli Journal of business & economic statistics 22 (4), 367-381, 2004 | 2748 | 2004 |
The Euro‐area financial system: Structure, integration, and policy initiatives P Hartmann, A Maddaloni, S Manganelli Oxford Review of Economic Policy 19 (1), 180-213, 2003 | 450 | 2003 |
Bank risk during the financial crisis: do business models matter? Y Altunbas, S Manganelli, D Marques-Ibanez ECB working paper, 2011 | 447 | 2011 |
Value at risk models in finance S Manganelli, RF Engle ECB working paper, 2001 | 432 | 2001 |
What drives spreads in the euro area government bond market? S Manganelli, G Wolswijk Economic Policy 24 (58), 191-240, 2009 | 424 | 2009 |
VAR for VaR: Measuring tail dependence using multivariate regression quantiles H White, TH Kim, S Manganelli Journal of econometrics 187 (1), 169-188, 2015 | 386 | 2015 |
Duration, volume and volatility impact of trades S Manganelli Journal of Financial markets 8 (4), 377-399, 2005 | 276 | 2005 |
A high-frequency assessment of the ECB Securities Markets Programme E Ghysels, J Idier, S Manganelli, O Vergote Journal of the European Economic Association 15 (1), 218-243, 2017 | 248 | 2017 |
The impact of the Eurosystem's covered bond purchase programme on the primary and secondary markets J Beirne, L Dalitz, J Ejsing, M Grothe, S Manganelli, F Monar, B Sahel, ... ECB occasional paper, 2011 | 199 | 2011 |
Measuring financial integration in new EU member states M Baltzer, L Cappiello, RA De Santis, S Manganelli ECB Occasional Paper, 2008 | 153 | 2008 |
Lending-of-last-resort is as lending-of-last-resort does: Central bank liquidity provision and interbank market functioning in the euro area C Garcia-de-Andoain, F Heider, M Hoerova, S Manganelli Journal of Financial Intermediation 28, 32-47, 2016 | 137 | 2016 |
CAViaR: conditional value at risk by quantile regression RF Engle III, S Manganelli National bureau of economic research, 1999 | 128 | 1999 |
Value at risk models in finance RF Engle, S Manganelli ECB Working Paper, 2001 | 120 | 2001 |
Central bank macroeconomic forecasting during the global financial crisis: The European Central Bank and Federal Reserve Bank of New York experiences L Alessi, E Ghysels, L Onorante, R Peach, S Potter Journal of Business & Economic Statistics 32 (4), 483-500, 2014 | 110 | 2014 |
The central banker as a risk manager: Estimating the Federal Reserve's preferences under Greenspan L Kilian, S Manganelli Journal of Money, Credit and Banking 40 (6), 1103-1129, 2008 | 106 | 2008 |
The impact of the euro on financial markets L Cappiello, P Hördahl, A Kadareja, S Manganelli ECB working paper, 2006 | 106 | 2006 |
Financial integration of new EU member states L Cappiello, A Kadareja, B Gerard, S Manganelli ECB Working Paper, 2006 | 105 | 2006 |
Realized bank risk during the great recession Y Altunbas, S Manganelli, D Marques-Ibanez Journal of Financial Intermediation 32, 29-44, 2017 | 103 | 2017 |
Measuring comovements by regression quantiles L Cappiello, B Gérard, A Kadareja, S Manganelli Journal of Financial Econometrics 12 (4), 645-678, 2014 | 95 | 2014 |
Forecasting and stress testing with quantile vector autoregression S Chavleishvili, S Manganelli Journal of Applied Econometrics 39 (1), 66-85, 2024 | 90 | 2024 |