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Marco Valerio Geraci

Personal Details

First Name:Marco Valerio
Middle Name:
Last Name:Geraci
Suffix:
RePEc Short-ID:pge279
[This author has chosen not to make the email address public]
http://mvgeraci.com

Affiliation

Nationale Bank van België/Banque national de Belqique (BNB)

Bruxelles/Brussel, Belgium
http://www.nbb.be/
RePEc:edi:bnbgvbe (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020. "Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks," Cambridge Working Papers in Economics 2066, Faculty of Economics, University of Cambridge.
  2. Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," Papers 1707.00296, arXiv.org, revised Jan 2018.
  3. Marco Valerio Geraci, 2017. "Essays on Complexity in the Financial System," ULB Institutional Repository 2013/257470, ULB -- Universite Libre de Bruxelles.
  4. Marco Valerio Geraci & Tomas Garbaravicius & David Veredas, 2016. "Short Selling in the Tails," Working Papers ECARES ECARES 2016-30, ULB -- Universite Libre de Bruxelles.
  5. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
  6. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions," Working Papers ECARES 2015-51, ULB -- Universite Libre de Bruxelles.

Articles

  1. Geraci, Marco Valerio & Gnabo, Jean-Yves & Veredas, David, 2023. "Common short selling and excess comovement: Evidence from a sample of LSE stocks," Journal of Financial Markets, Elsevier, vol. 65(C).
  2. M.V. Geraci & I. Samarin & M.D. Zachary, 2023. "The Impact of the Low-Carbon Transition on Financial Markets," Economic Review, National Bank of Belgium, pages 1-37, January.
  3. M. V. Geraci & J. Mohimont & Ch. Piette, 2021. "The issuance of debt securities by Belgian non-financial corporations," Economic Review, National Bank of Belgium, issue ii, pages 158-172, september.
  4. Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
  5. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
  6. Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018. "Short selling in extreme events," Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.
    RePEc:nbb:ecrart:y:2022:m:january1 is not listed on IDEAS

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," Papers 1707.00296, arXiv.org, revised Jan 2018.

    Cited by:

    1. Li, Houjian & Li, Yanjiao & Guo, Lili, 2023. "Extreme risk spillover effect and dynamic linkages between uncertainty and commodity markets: A comparison between China and America," Resources Policy, Elsevier, vol. 85(PA).
    2. Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo, 2019. "A multilevel analysis to systemic exposure: insights from local and system-wide information," Papers 1910.08611, arXiv.org.

  2. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying VARS," Working Papers ECARES ECARES 2015-51, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.

  3. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions," Working Papers ECARES 2015-51, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Jouchi Nakajima, 2020. "Discussion of “Bayesian forecasting of multivariate time series: scalability, structure uncertainty and decisions”," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(1), pages 33-36, February.
    2. Liming Chen & Zhi Zhang & Ziqing Du & Lingling Deng, 2021. "Heterogeneous determinants of the exchange rate market in China with structural breaks," Applied Economics, Taylor & Francis Journals, vol. 53(59), pages 6839-6854, December.
    3. Zhang, Xiaoyuan & Zhang, Tianqi, 2022. "Dynamic credit contagion and aggregate loss in networks," The North American Journal of Economics and Finance, Elsevier, vol. 62(C).
    4. Rodolfo C. Moura & Márcio P. Laurini, 2021. "Spillovers and jumps in global markets: A comparative analysis," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(4), pages 5997-6013, October.
    5. Baruník, Jozef & Ellington, Michael, 2024. "Persistence in financial connectedness and systemic risk," European Journal of Operational Research, Elsevier, vol. 314(1), pages 393-407.
    6. Ellington, Michael, 2022. "Fat tails, serial dependence, and implied volatility index connections," European Journal of Operational Research, Elsevier, vol. 299(2), pages 768-779.
    7. Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," Papers 1707.00296, arXiv.org, revised Jan 2018.
    8. Mardi Dungey & Moses Kangogo & Vladimir Volkov, 2022. "Dynamic effects of network exposure on equity markets," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, vol. 12(4), pages 569-629, December.
    9. Melle Bijlsma & Malka de Castro Campos & Raymond Chaudron & David-Jan Jansen, 2019. "Building a multilayer macro-network for the Netherlands: A new way of looking at financial accounts and international investment position data," IFC Bulletins chapters, in: Bank for International Settlements (ed.), Are post-crisis statistical initiatives completed?, volume 49, Bank for International Settlements.
    10. Lukas Boeckelmann & Arthur Stalla-Bourdillon, 2021. "Structural Estimation of Time-Varying Spillovers:an Application to International Credit Risk Transmission," Working Papers hal-03338209, HAL.
    11. Hai-Chuan Xu & Fredj Jawadi & Jie Zhou & Wei-Xing Zhou, 2023. "Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework," Empirical Economics, Springer, vol. 65(1), pages 93-110, July.
    12. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    13. So Jung Hwang & Hyunduk Suh, 2021. "Analyzing Dynamic Connectedness in Korean Housing Markets," Emerging Markets Finance and Trade, Taylor & Francis Journals, vol. 57(2), pages 591-609, January.
    14. Ouyang, Zisheng & Zhou, Xuewei, 2023. "Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions," Research in International Business and Finance, Elsevier, vol. 65(C).
    15. Baruník, Jozef & Bevilacqua, Mattia & Tunaru, Radu, 2022. "Asymmetric network connectedness of fears," LSE Research Online Documents on Economics 108199, London School of Economics and Political Science, LSE Library.
    16. Kumar, Sudarshan & Bansal, Avijit & Chakrabarti, Anindya S., 2019. "Ripples on financial networks," IIMA Working Papers WP 2019-10-01, Indian Institute of Management Ahmedabad, Research and Publication Department.
    17. Chen, Yanhua & Li, Youwei & Pantelous, Athanasios A. & Stanley, H. Eugene, 2022. "Short-run disequilibrium adjustment and long-run equilibrium in the international stock markets: A network-based approach," International Review of Financial Analysis, Elsevier, vol. 79(C).
    18. Samitas, Aristeidis & Kampouris, Elias & Kenourgios, Dimitris, 2020. "Machine learning as an early warning system to predict financial crisis," International Review of Financial Analysis, Elsevier, vol. 71(C).
    19. Boyao Wu & Difang Huang & Muzi Chen, 2023. "Estimating contagion mechanism in global equity market with time‐zone effect," Financial Management, Financial Management Association International, vol. 52(3), pages 543-572, September.
    20. Lubos Hanus & Lukas Vacha, 2018. "Time-Frequency Response Analysis of Monetary Policy Transmission," Working Papers IES 2018/30, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Oct 2018.
    21. Samitas, Aristeidis & Kampouris, Elias & Polyzos, Stathis, 2022. "Covid-19 pandemic and spillover effects in stock markets: A financial network approach," International Review of Financial Analysis, Elsevier, vol. 80(C).
    22. Tristan Jourde, 2022. "The Rising Interconnectedness of the Insurance Sector," Working papers 857, Banque de France.
    23. Chan, Joshua C.C. & Eisenstat, Eric & Strachan, Rodney W., 2020. "Reducing the state space dimension in a large TVP-VAR," Journal of Econometrics, Elsevier, vol. 218(1), pages 105-118.
    24. Bitetto, Alessandro & Cerchiello, Paola & Mertzanis, Charilaos, 2023. "Measuring financial soundness around the world: A machine learning approach," International Review of Financial Analysis, Elsevier, vol. 85(C).
    25. Shang, Jin & Hamori, Shigeyuki, 2021. "Do crude oil prices and the sentiment index influence foreign exchange rates differently in oil-importing and oil-exporting countries? A dynamic connectedness analysis," Resources Policy, Elsevier, vol. 74(C).
    26. Jean-Baptiste Hasse, 2022. "Systemic risk: a network approach," Empirical Economics, Springer, vol. 63(1), pages 313-344, July.
    27. Jiti Gao & Bin Peng & Yayi Yan, 2021. "Parameter Stability Testing for Multivariate Dynamic Time-Varying Models," Monash Econometrics and Business Statistics Working Papers 11/21, Monash University, Department of Econometrics and Business Statistics.
    28. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).
    29. Jozef Barunik & Michael Ellington, 2020. "Dynamic Network Risk," Papers 2006.04639, arXiv.org, revised Jul 2020.
    30. Gael M. Martin & David T. Frazier & Worapree Maneesoonthorn & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2022. "Bayesian Forecasting in Economics and Finance: A Modern Review," Papers 2212.03471, arXiv.org, revised Jul 2023.
    31. Zhou, Dong-hai & Liu, Xiao-xing & Tang, Chun & Yang, Guang-yi, 2023. "Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data," The North American Journal of Economics and Finance, Elsevier, vol. 64(C).
    32. Jean-Baptiste Hasse, 2020. "Systemic Risk: a Network Approach," Working Papers halshs-02893780, HAL.
    33. Gael M. Martin & David T. Frazier & Ruben Loaiza-Maya & Florian Huber & Gary Koop & John Maheu & Didier Nibbering & Anastasios Panagiotelis, 2023. "Bayesian Forecasting in the 21st Century: A Modern Review," Monash Econometrics and Business Statistics Working Papers 1/23, Monash University, Department of Econometrics and Business Statistics.
    34. Aromi, Daniel & Clements, Adam, 2019. "Spillovers between the oil sector and the S&P500: The impact of information flow about crude oil," Energy Economics, Elsevier, vol. 81(C), pages 187-196.
    35. Nikolaos Antonakakis & Ioannis Chatziantoniou & David Gabauer, 2020. "Refined Measures of Dynamic Connectedness based on Time-Varying Parameter Vector Autoregressions," JRFM, MDPI, vol. 13(4), pages 1-23, April.
    36. Kangogo, Moses & Volkov, Vladimir, 2021. "Dynamic effects of network exposure on equity markets," Working Papers 2021-03, University of Tasmania, Tasmanian School of Business and Economics.
    37. Tristan Jourde, 2022. "The rising interconnectedness of the insurance sector," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(2), pages 397-425, June.
    38. Pagnottoni, Paolo, 2023. "Superhighways and roads of multivariate time series shock transmission: Application to cryptocurrency, carbon emission and energy prices," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 615(C).
    39. Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo, 2019. "A multilevel analysis to systemic exposure: insights from local and system-wide information," Papers 1910.08611, arXiv.org.
    40. Gong, Xiao-Li & Feng, Yong-Kang & Liu, Jian-Min & Xiong, Xiong, 2023. "Study on international energy market and geopolitical risk contagion based on complex network," Resources Policy, Elsevier, vol. 82(C).

Articles

  1. Yerali Gandica & Marco Valerio Geraci & Sophie Béreau & Jean-Yves Gnabo, 2018. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," PLOS ONE, Public Library of Science, vol. 13(4), pages 1-23, April.
    See citations under working paper version above.
  2. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.
    See citations under working paper version above.
  3. Geraci, Marco Valerio & Garbaravičius, Tomas & Veredas, David, 2018. "Short selling in extreme events," Journal of Financial Stability, Elsevier, vol. 39(C), pages 90-103.

    Cited by:

    1. Ye, Qing & Zhou, Shengjie & Zhang, Jie, 2020. "Short-selling, margin-trading, and stock liquidity: Evidence from the Chinese stock markets," International Review of Financial Analysis, Elsevier, vol. 71(C).
    2. Lorenzo Ricci & David Veredas, 2012. "TailCoR," Working Papers 1227, Banco de España.
      • Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020. "TailCoR," Papers 2011.14817, arXiv.org.
    3. Bessler, Wolfgang & Vendrasco, Marco, 2021. "The 2020 European short-selling ban and the effects on market quality," Finance Research Letters, Elsevier, vol. 42(C).
    4. Luu, Ellie & Xu, Fangming & Zheng, Liyi, 2023. "Short-selling activities in the time of COVID-19," The British Accounting Review, Elsevier, vol. 55(4).
    5. Wu, Qi & Yan, Xing, 2019. "Capturing deep tail risk via sequential learning of quantile dynamics," Journal of Economic Dynamics and Control, Elsevier, vol. 109(C).
    6. Roman Horvath, 2020. "Natural Catastrophes and Financial Development: An Empirical Analysis," Working Papers IES 2020/14, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised May 2020.
    7. Bessler, Wolfgang & Vendrasco, Marco, 2022. "Short-selling restrictions and financial stability in Europe: Evidence from the Covid-19 crisis," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 80(C).
    8. Horvath, Roman, 2021. "Natural catastrophes and financial depth: An empirical analysis," Journal of Financial Stability, Elsevier, vol. 53(C).

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BAN: Banking (2) 2015-12-20 2017-04-30. Author is listed
  2. NEP-FMK: Financial Markets (2) 2016-09-11 2020-08-17. Author is listed
  3. NEP-ECM: Econometrics (1) 2017-04-30. Author is listed
  4. NEP-ETS: Econometric Time Series (1) 2015-12-20. Author is listed
  5. NEP-RMG: Risk Management (1) 2016-09-11. Author is listed

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