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Arianna Agosto

Personal Details

First Name:Arianna
Middle Name:
Last Name:Agosto
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RePEc Short-ID:pag213
[This author has chosen not to make the email address public]

Affiliation

Dipartimento di Scienze Economiche e Aziendali
Università degli Studi di Pavia

Pavia, Italy
http://economiaweb.unipv.it/
RePEc:edi:dppavit (more details at EDIRC)

Research output

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Jump to: Working papers Articles

Working papers

  1. Agosto, Arianna & Ahelegbey, Daniel Felix & Giudici, Paolo, 2020. "Tree Networks to assess Financial Contagion," MPRA Paper 107066, University Library of Munich, Germany.
  2. Arianna Agosto & Paolo Giudici & Emanuela Raffinetti, 2020. "A rank graduation accuracy measure," DEM Working Papers Series 179, University of Pavia, Department of Economics and Management.
  3. Arianna Agosto & Daniel Felix Ahelegbey, 2020. "Default count-based network models for credit contagion," DEM Working Papers Series 180, University of Pavia, Department of Economics and Management.
  4. Arianna Agosto & Paolo Giudici, 2020. "A Poisson autoregressive model to understand COVID-19 contagion dynamics," DEM Working Papers Series 185, University of Pavia, Department of Economics and Management.
  5. Arianna Agosto & Alessandra Mainini & Enrico Moretto, 2016. "Covariance of random stock prices in the Stochastic Dividend Discount Model," Papers 1609.03029, arXiv.org, revised Apr 2017.
  6. Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.
  7. Arianna Agosto & Enrico Moretto, 2013. "Variance matters (in stochastic dividend discount models)," Papers 1311.0236, arXiv.org.
  8. Arianna Agosto & Enrico Moretto, 2010. "Applying default probabilities in an exponential barrier structural model," Economics and Quantitative Methods qf1005, Department of Economics, University of Insubria.

Articles

  1. Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
  2. Arianna Agosto & Paolo Giudici, 2020. "COVID-19 contagion and digital finance," Digital Finance, Springer, vol. 2(1), pages 159-167, September.
  3. Arianna Agosto & Alessia Cafferata, 2020. "Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market," Risks, MDPI, vol. 8(2), pages 1-14, April.
  4. Arianna Agosto & Paolo Giudici, 2020. "A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics," Risks, MDPI, vol. 8(3), pages 1-8, July.
  5. Agosto, Arianna & Ahelegbey, Daniel Felix & Giudici, Paolo, 2020. "Tree networks to assess financial contagion," Economic Modelling, Elsevier, vol. 85(C), pages 349-366.
  6. Arianna Agosto & Alessandra Mainini & Enrico Moretto, 2019. "Stochastic dividend discount model: covariance of random stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 552-568, July.
  7. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
  8. Arianna Agosto & Enrico Moretto, 2015. "Variance matters (in stochastic dividend discount models)," Annals of Finance, Springer, vol. 11(2), pages 283-295, May.
  9. Arianna Agosto & Enrico Moretto, 2012. "Exploiting default probabilities in a structural model with nonconstant barrier," Applied Financial Economics, Taylor & Francis Journals, vol. 22(8), pages 667-679, April.

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.

RePEc Biblio mentions

As found on the RePEc Biblio, the curated bibliography of Economics:
  1. Arianna Agosto & Paolo Giudici, 2020. "A Poisson autoregressive model to understand COVID-19 contagion dynamics," DEM Working Papers Series 185, University of Pavia, Department of Economics and Management.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Health
    2. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19
    3. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Modelling > Statistical Modelling
  2. Arianna Agosto & Paolo Giudici, 2020. "A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics," Risks, MDPI, vol. 8(3), pages 1-8, July.

    Mentioned in:

    1. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Health
    2. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19
    3. > Economics of Welfare > Health Economics > Economics of Pandemics > Specific pandemics > Covid-19 > Modelling > Statistical Modelling

Working papers

  1. Agosto, Arianna & Ahelegbey, Daniel Felix & Giudici, Paolo, 2020. "Tree Networks to assess Financial Contagion," MPRA Paper 107066, University Library of Munich, Germany.

    Cited by:

    1. Deng, Yang & Zhang, Ziqing & Zhu, Li, 2021. "A model-based index for systemic risk contribution measurement in financial networks," Economic Modelling, Elsevier, vol. 95(C), pages 35-48.
    2. Wang, Haiying & Yuan, Ying & Li, Yiou & Wang, Xunhong, 2021. "Financial contagion and contagion channels in the forex market: A new approach via the dynamic mixture copula-extreme value theory," Economic Modelling, Elsevier, vol. 94(C), pages 401-414.
    3. Su, Zhi & Xu, Fuwei, 2021. "Dynamic identification of systemically important financial markets in the spread of contagion: A ripple network based collective spillover effect approach," Journal of Multinational Financial Management, Elsevier, vol. 60(C).
    4. Okorie, David Iheke & Lin, Boqiang, 2021. "Adaptive market hypothesis: The story of the stock markets and COVID-19 pandemic," The North American Journal of Economics and Finance, Elsevier, vol. 57(C).
    5. Okorie, David Iheke & Lin, Boqiang, 2021. "Stock markets and the COVID-19 fractal contagion effects," Finance Research Letters, Elsevier, vol. 38(C).

  2. Arianna Agosto & Daniel Felix Ahelegbey, 2020. "Default count-based network models for credit contagion," DEM Working Papers Series 180, University of Pavia, Department of Economics and Management.

    Cited by:

    1. Joanna Wieprow & Agnieszka Gawlik, 2021. "The Use of Discriminant Analysis to Assess the Risk of Bankruptcy of Enterprises in Crisis Conditions Using the Example of the Tourism Sector in Poland," Risks, MDPI, vol. 9(4), pages 1-11, April.

  3. Arianna Agosto & Paolo Giudici, 2020. "A Poisson autoregressive model to understand COVID-19 contagion dynamics," DEM Working Papers Series 185, University of Pavia, Department of Economics and Management.

    Cited by:

    1. Guglielmo Maria Caporale & Woo-Young Kang & Fabio Spagnolo & Nicola Spagnolo, 2021. "The Covid-19 Pandemic, Policy Responses and Stock Markets in the G20," CESifo Working Paper Series 9299, CESifo.
    2. Chénangnon Frédéric Tovissodé & Bruno Enagnon Lokonon & Romain Glèlè Kakaï, 2020. "On the use of growth models to understand epidemic outbreaks with application to COVID-19 data," PLOS ONE, Public Library of Science, vol. 15(10), pages 1-14, October.
    3. Şule Şahin & María del Carmen Boado-Penas & Corina Constantinescu & Julia Eisenberg & Kira Henshaw & Maoqi Hu & Jing Wang & Wei Zhu, 2020. "First Quarter Chronicle of COVID-19: An Attempt to Measure Governments’ Responses," Risks, MDPI, vol. 8(4), pages 1-26, November.

  4. Arianna Agosto & Giuseppe Cavaliere & Dennis Kristensen & Anders Rahbek, 2015. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," CREATES Research Papers 2015-11, Department of Economics and Business Economics, Aarhus University.

    Cited by:

    1. Arianna Agosto & Paolo Giudici, 2020. "A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics," Risks, MDPI, vol. 8(3), pages 1-8, July.
    2. Aknouche, Abdelhakim & Francq, Christian, 2021. "Count And Duration Time Series With Equal Conditional Stochastic And Mean Orders," Econometric Theory, Cambridge University Press, vol. 37(2), pages 248-280, April.
    3. Giada Adelfio & Arianna Agosto & Marcello Chiodi & Paolo Giudici, 2021. "Financial contagion through space-time point processes," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 30(2), pages 665-688, June.
    4. Dennis Kristensen & Young Jun Lee, 2019. "Local Polynomial Estimation of Time-Varying Parameters in Nonlinear Models," Papers 1904.05209, arXiv.org.
    5. Wang, Xiaoting & Hou, Siyuan & Shen, Jie, 2021. "Default clustering of the nonfinancial sector and systemic risk: Evidence from China," Economic Modelling, Elsevier, vol. 96(C), pages 196-208.
    6. Rasmus Soendergaard Pedersen & Anders Rahbek, 2017. "Testing Garch-X Type Models," Discussion Papers 17-15, University of Copenhagen. Department of Economics.
    7. Giuseppe Cavaliere & Indeewara Perera & Anders Rahbek, 2021. "Specification tests for GARCH processes," Discussion Papers 21-06, University of Copenhagen. Department of Economics.
    8. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    9. Mengya Liu & Qi Li & Fukang Zhu, 2020. "Self-excited hysteretic negative binomial autoregression," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 104(3), pages 385-415, September.
    10. Escribano, Ana & Maggi, Mario, 2019. "Intersectoral default contagion: A multivariate Poisson autoregression analysis," Economic Modelling, Elsevier, vol. 82(C), pages 376-400.
    11. Arianna Agosto & Paolo Giudici, 2020. "COVID-19 contagion and digital finance," Digital Finance, Springer, vol. 2(1), pages 159-167, September.
    12. Giuseppe Cavaliere & Heino Bohn Nielsen & Rasmus Søndergaard Pedersen & Anders Rahbek, 2018. "Bootstrap Inference On The Boundary Of The Parameter Space With Application To Conditional Volatility Models," Discussion Papers 18-10, University of Copenhagen. Department of Economics.
    13. Paolo Gorgi & Siem Jan Koopman, 2020. "Beta observation-driven models with exogenous regressors: a joint analysis of realized correlation and leverage effects," Tinbergen Institute Discussion Papers 20-004/III, Tinbergen Institute.

  5. Arianna Agosto & Enrico Moretto, 2013. "Variance matters (in stochastic dividend discount models)," Papers 1311.0236, arXiv.org.

    Cited by:

    1. Guglielmo D'Amico, 2016. "Generalized semi-Markovian dividend discount model: risk and return," Papers 1605.02472, arXiv.org.
    2. Arianna Agosto & Alessandra Mainini & Enrico Moretto, 2019. "Stochastic dividend discount model: covariance of random stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 552-568, July.
    3. Aziz Issaka & Indranil SenGupta, 2017. "Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index," Annals of Finance, Springer, vol. 13(4), pages 401-434, November.
    4. Arianna Agosto & Alessandra Mainini & Enrico Moretto, 2016. "Covariance of random stock prices in the Stochastic Dividend Discount Model," Papers 1609.03029, arXiv.org, revised Apr 2017.
    5. Vlad Stefan Barbu & Guglielmo D’Amico & Riccardo Blasis, 2017. "Novel advancements in the Markov chain stock model: analysis and inference," Annals of Finance, Springer, vol. 13(2), pages 125-152, May.
    6. Guglielmo D'Amico & Riccardo De Blasis, 2020. "A review of the Dividend Discount Model: from deterministic to stochastic models," Papers 2001.00465, arXiv.org.
    7. Guglielmo D’Amico & Ada Lika & Filippo Petroni, 2019. "Change point dynamics for financial data: an indexed Markov chain approach," Annals of Finance, Springer, vol. 15(2), pages 247-266, June.

Articles

  1. Arianna Agosto & Alessia Cafferata, 2020. "Financial Bubbles: A Study of Co-Explosivity in the Cryptocurrency Market," Risks, MDPI, vol. 8(2), pages 1-14, April.

    Cited by:

    1. Ahelegbey, Daniel Felix & Giudici, Paolo & Mojtahedi, Fatemeh, 2021. "Tail risk measurement in crypto-asset markets," International Review of Financial Analysis, Elsevier, vol. 73(C).
    2. Pennoni, Fulvia & Bartolucci, Francesco & Forte, Gianfranco & Ametrano, Ferdinando, 2020. "Exploring the dependencies among main cryptocurrency log-returns: A hidden Markov model," MPRA Paper 106150, University Library of Munich, Germany.
    3. Ahmet Faruk Aysan & Asad Ul Islam Khan & Humeyra Topuz, 2021. "Bitcoin and Altcoins Price Dependency: Resilience and Portfolio Allocation in COVID-19 Outbreak," Risks, MDPI, vol. 9(4), pages 1-13, April.
    4. Marina Resta & Paolo Pagnottoni & Maria Elena De Giuli, 2020. "Technical Analysis on the Bitcoin Market: Trading Opportunities or Investors’ Pitfall?," Risks, MDPI, vol. 8(2), pages 1-15, May.
    5. Michael Demmler & Amilcar Orlian Fernández Domínguez, 2021. "Bitcoin and the South Sea Company: A comparative analysis," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, vol. 13(1), pages 197-224, March.

  2. Arianna Agosto & Paolo Giudici, 2020. "A Poisson Autoregressive Model to Understand COVID-19 Contagion Dynamics," Risks, MDPI, vol. 8(3), pages 1-8, July.
    See citations under working paper version above.
  3. Agosto, Arianna & Ahelegbey, Daniel Felix & Giudici, Paolo, 2020. "Tree networks to assess financial contagion," Economic Modelling, Elsevier, vol. 85(C), pages 349-366.
    See citations under working paper version above.
  4. Arianna Agosto & Alessandra Mainini & Enrico Moretto, 2019. "Stochastic dividend discount model: covariance of random stock prices," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 43(3), pages 552-568, July.

    Cited by:

    1. Guglielmo D'Amico & Riccardo De Blasis, 2020. "A review of the Dividend Discount Model: from deterministic to stochastic models," Papers 2001.00465, arXiv.org.

  5. Agosto, Arianna & Cavaliere, Giuseppe & Kristensen, Dennis & Rahbek, Anders, 2016. "Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX)," Journal of Empirical Finance, Elsevier, vol. 38(PB), pages 640-663.
    See citations under working paper version above.
  6. Arianna Agosto & Enrico Moretto, 2015. "Variance matters (in stochastic dividend discount models)," Annals of Finance, Springer, vol. 11(2), pages 283-295, May.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

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 7 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-CFN: Corporate Finance (2) 2020-12-21 2021-04-19
  2. NEP-NET: Network Economics (2) 2020-12-21 2021-04-19
  3. NEP-ORE: Operations Research (2) 2020-12-21 2020-12-21
  4. NEP-CNA: China (1) 2020-04-06
  5. NEP-ECM: Econometrics (1) 2015-02-22
  6. NEP-EEC: European Economics (1) 2021-04-19
  7. NEP-ETS: Econometric Time Series (1) 2020-04-06
  8. NEP-FDG: Financial Development & Growth (1) 2020-12-21
  9. NEP-MAC: Macroeconomics (1) 2021-04-19
  10. NEP-RMG: Risk Management (1) 2010-06-26
  11. NEP-SOG: Sociology of Economics (1) 2016-09-18

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