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Denisa BANULESCU-RADU

Personal Details

First Name:Denisa
Middle Name:
Last Name:Banulescu-Radu
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RePEc Short-ID:pba1500
[This author has chosen not to make the email address public]
Terminal Degree:2015 Laboratoire d'Économie d'Orléans (LEO); Faculté de droit, d'économie et de gestion; Université d'Orléans (from RePEc Genealogy)

Affiliation

Laboratoire d'Économie d'Orléans (LEO)
Faculté de droit, d'économie et de gestion
Université d'Orléans

Orléans, France
http://www.leo-univ-orleans.fr/
RePEc:edi:leorlfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.
  2. Georgiana-Denisa Banulescu & Elena Ivona Dumitrescu, 2015. "Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk," Post-Print hal-01385923, HAL.
  3. Georgiana-Denisa Banulescu & Bertrand Candelon & Christophe Hurlin & Sébastien Laurent, 2014. "Do We Need Ultra-High Frequency Data to Forecast Variances?," Working Papers halshs-01078158, HAL.
  4. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.

Articles

  1. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174.
  2. Denisa Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2016. "Forecasting High‐Frequency Risk Measures," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 35(3), pages 224-249, April.
  3. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.

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. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Post-Print hal-01448237, HAL.

    Cited by:

    1. Denisa BANULESCU-RADU & Elena Ivona DUMITRESCU, 2019. "Do High-frequency-based Measures Improve Conditional Covariance Forecasts?," LEO Working Papers / DR LEO 2709, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    2. Amendola, Alessandra & Braione, Manuela & Candila, Vincenzo & Storti, Giuseppe, 2020. "A Model Confidence Set approach to the combination of multivariate volatility forecasts," International Journal of Forecasting, Elsevier, vol. 36(3), pages 873-891.
    3. Kregždė Arvydas & Kišonaitė Karolina, 2018. "Co-movements of Lithuanian and Central European Stock Markets Across Different Time Horizons: A Wavelet Approach," Ekonomika (Economics), Sciendo, vol. 97(2), pages 55-69, December.
    4. Denisa BANULESCU-RADU & Laurent FERRARA & Clément MARSILLI, 2019. "Prévoir la volatilité d’un actif financier à l’aide d’un modèle à mélange de fréquences," LEO Working Papers / DR LEO 2710, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    5. Gradojevic, Nikola & Kukolj, Dragan & Adcock, Robert & Djakovic, Vladimir, 2023. "Forecasting Bitcoin with technical analysis: A not-so-random forest?," International Journal of Forecasting, Elsevier, vol. 39(1), pages 1-17.

  2. Georgiana-Denisa Banulescu & Elena Ivona Dumitrescu, 2015. "Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk," Post-Print hal-01385923, HAL.

    Cited by:

    1. Somnath Chatterjee & Marea Sing, 2021. "Measuring Systemic Risk in South African Banks," Working Papers 11004, South African Reserve Bank.
    2. Chang, Carolyn W. & Li, Xiaodan & Lin, Edward M.H. & Yu, Min-Teh, 2018. "Systemic risk, interconnectedness, and non-core activities in Taiwan insurance industry," International Review of Economics & Finance, Elsevier, vol. 55(C), pages 273-284.
    3. Chiara Pederzoli & Costanza Torricelli, 2015. "Systemic risk measures and macroprudential stress tests. An assessment over the 2014 EBA exercise," Centro Studi di Banca e Finanza (CEFIN) (Center for Studies in Banking and Finance) 0054, Universita di Modena e Reggio Emilia, Dipartimento di Economia "Marco Biagi".
    4. Pejman Abedifar & Paolo Giudici & Shatha Hashem, 2017. "Heterogeneous Market Structure and Systemic Risk: Evidence from Dual Banking Systems," DEM Working Papers Series 134, University of Pavia, Department of Economics and Management.
    5. Asgharian, Hossein & Krygier, Dominika & Vilhelmsson, Anders, 2019. "Systemic Risk and Centrality Revisited: The Role of Interactions," Working Papers 2019:4, Lund University, Department of Economics.
    6. Gong, Xiao-Li & Liu, Xi-Hua & Xiong, Xiong & Zhang, Wei, 2019. "Financial systemic risk measurement based on causal network connectedness analysis," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 290-307.
    7. Li, Wei-Zhen & Zhai, Jin-Rui & Jiang, Zhi-Qiang & Wang, Gang-Jin & Zhou, Wei-Xing, 2022. "Predicting tail events in a RIA-EVT-Copula framework," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 600(C).
    8. Edward M. H. Lin & Edward W. Sun & Min-Teh Yu, 2018. "Systemic risk, financial markets, and performance of financial institutions," Annals of Operations Research, Springer, vol. 262(2), pages 579-603, March.
    9. Chen, Qihao & Huang, Zhuo & Liang, Fang, 2023. "Measuring systemic risk with high-frequency data: A realized GARCH approach," Finance Research Letters, Elsevier, vol. 54(C).
    10. Andrea Mazzocchetti & Eliana Lauretta & Marco Raberto & Andrea Teglio & Silvano Cincotti, 2020. "Systemic financial risk indicators and securitised assets: an agent-based framework," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 9-47, January.
    11. Yang, Xin & Wen, Shigang & Zhao, Xian & Huang, Chuangxia, 2020. "Systemic importance of financial institutions: A complex network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 545(C).
    12. Banulescu-Radu, Denisa & Hurlin, Christophe & Leymarie, Jeremy & Scaillet, Olivier, 2020. "Backtesting marginal expected shortfalland related systemic risk measures," Working Papers unige:134136, University of Geneva, Geneva School of Economics and Management.
    13. Zhang, Weiping & Zhuang, Xintian & Wang, Jian & Lu, Yang, 2020. "Connectedness and systemic risk spillovers analysis of Chinese sectors based on tail risk network," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    14. Shaw, Frances & Dunne, Peter G., 2017. "Investment Fund Risk: The Tale in the Tails," Research Technical Papers 01/RT/17, Central Bank of Ireland.
    15. Henryk Gurgul & Roland Mestel & Robert Syrek, 2017. "MIDAS models in banking sector – systemic risk comparison," Managerial Economics, AGH University of Science and Technology, Faculty of Management, vol. 18(2), pages 165-181.
    16. Lourme, Alexandre & Maurer, Frantz, 2017. "Testing the Gaussian and Student's t copulas in a risk management framework," Economic Modelling, Elsevier, vol. 67(C), pages 203-214.
    17. Akcay, Mustafa & Elyasiani, Elyas, 2021. "The link between the federal funds rate and banking system distress: An empirical investigation," Journal of Macroeconomics, Elsevier, vol. 67(C).
    18. Ba, Shusong & Li, Lu & Huang, Wenli & Yang, Chen, 2020. "Heterogeneity risks and negative externality," Economic Modelling, Elsevier, vol. 87(C), pages 401-415.
    19. Zhang, Xingmin & Fu, Qiang & Lu, Liping & Wang, Qingyu & Zhang, Shuai, 2021. "Bank liquidity creation, network contagion and systemic risk: Evidence from Chinese listed banks," Journal of Financial Stability, Elsevier, vol. 53(C).
    20. Naifar, Nader & Shahzad, Syed Jawad Hussain, 2022. "Tail event-based sovereign credit risk transmission network during COVID-19 pandemic," Finance Research Letters, Elsevier, vol. 45(C).
    21. Wang, Gang-Jin & Jiang, Zhi-Qiang & Lin, Min & Xie, Chi & Stanley, H. Eugene, 2018. "Interconnectedness and systemic risk of China's financial institutions," Emerging Markets Review, Elsevier, vol. 35(C), pages 1-18.
    22. Cristina Zeldea, 2020. "Modeling the Connection between Bank Systemic Risk and Balance-Sheet Liquidity Proxies through Random Forest Regressions," Administrative Sciences, MDPI, vol. 10(3), pages 1-14, August.
    23. Jiang, Cheng & Sun, Qian & Ye, Tanglin & Wang, Qingyun, 2023. "Identification of systemically important financial institutions in a multiplex financial network: A multi-attribute decision-based approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 611(C).
    24. Ozili, Peterson K, 2019. "Non-performing loans in European systemic and non-systemic banks," MPRA Paper 94008, University Library of Munich, Germany.
    25. Daniel Felix Ahelegbey & Paolo Giudici, 2020. "Market Risk, Connectedness and Turbulence: A Comparison of 21st Century Financial Crises," DEM Working Papers Series 188, University of Pavia, Department of Economics and Management.
    26. Sinem Derindere Köseoğlu, 2023. "Understanding Systemic Risk Dynamics and Economic Growth: Evidence from the Turkish Banking System," Sustainability, MDPI, vol. 15(19), pages 1-24, September.
    27. Ahelegbey, Daniel Felix & Giudici, Paolo, 2022. "NetVIX — A network volatility index of financial markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 594(C).
    28. Curcio, Domenico & Gianfrancesco, Igor & Vioto, Davide, 2023. "Climate change and financial systemic risk: Evidence from US banks and insurers," Journal of Financial Stability, Elsevier, vol. 66(C).
    29. Qin, Xiao & Zhou, Chen, 2021. "Systemic risk allocation using the asymptotic marginal expected shortfall," Journal of Banking & Finance, Elsevier, vol. 126(C).
    30. Fan, Xiaoyun & Wang, Yedong & Wang, Daoping, 2021. "Network connectedness and China's systemic financial risk contagion——An analysis based on big data," Pacific-Basin Finance Journal, Elsevier, vol. 68(C).
    31. Wided Khiari & Salim Ben Sassi, 2019. "On Identifying the Systemically Important Tunisian Banks: An Empirical Approach Based on the △CoVaR Measures," Risks, MDPI, vol. 7(4), pages 1-15, December.
    32. Li, Yueshan & Chen, Shoudong & Goodell, John W. & Yue, Dianmin & Liu, Xutang, 2023. "Sectoral spillovers and systemic risks: Evidence from China," Finance Research Letters, Elsevier, vol. 55(PB).
    33. Tatiana Gaelle Yongoua Tchikanda, 2017. "Systemic risk and individual risk: A trade-off?," Working Papers hal-04141656, HAL.
    34. Xin Yang & Shan Chen & Hong Liu & Xiaoguang Yang & Chuangxia Huang, 2023. "Jump volatility spillover network based measurement of systemic importance of Chinese financial institutions," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1201-1213, April.
    35. Caporin, Massimiliano & Costola, Michele & Garibal, Jean-Charles & Maillet, Bertrand, 2022. "Systemic risk and severe economic downturns: A targeted and sparse analysis," Journal of Banking & Finance, Elsevier, vol. 134(C).
    36. Popescu, Alexandra & Turcu, Camelia, 2017. "Sovereign debt and systemic risk in the eurozone," Economic Modelling, Elsevier, vol. 67(C), pages 275-284.
    37. Mathias Mandla Manguzvane & John Weirstrass Muteba Mwamba, 2022. "South African Banks’ Cross-Border Systemic Risk Exposure: An Application of the GAS Copula Marginal Expected Shortfall," IJFS, MDPI, vol. 10(1), pages 1-19, March.
    38. Zhang, Xiaoming & Zhang, Xinsong & Lee, Chien-Chiang & Zhao, Yue, 2023. "Measurement and prediction of systemic risk in China’s banking industry," Research in International Business and Finance, Elsevier, vol. 64(C).
    39. Tatiana Gaelle Yongoua Tchikanda, 2017. "Systemic risk and individual risk: A trade-off?," EconomiX Working Papers 2017-16, University of Paris Nanterre, EconomiX.
    40. Yaya Su & Zhehao Huang & Benjamin M. Drakeford, 2019. "Monetary Policy, Industry Heterogeneity and Systemic Risk—Based on a High Dimensional Network Analysis," Sustainability, MDPI, vol. 11(22), pages 1-15, November.
    41. Wu, Fei, 2019. "Sectoral contributions to systemic risk in the Chinese stock market," Finance Research Letters, Elsevier, vol. 31(C).
    42. Jianxu Liu & Quanrui Song & Yang Qi & Sanzidur Rahman & Songsak Sriboonchitta, 2020. "Measurement of Systemic Risk in Global Financial Markets and Its Application in Forecasting Trading Decisions," Sustainability, MDPI, vol. 12(10), pages 1-15, May.
    43. Javier Ojea-Ferreiro, 2021. "Deconstructing systemic risk: A reverse stress testing approach," CNMV Working Papers CNMV Working Papers no. 7, CNMV- Spanish Securities Markets Commission - Research and Statistics Department.
    44. Zhiwei Zhang & Dayong Zhang & Fei Wu & Qiang Ji, 2021. "Systemic risk in the Chinese financial system: A copula‐based network approach," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2044-2063, April.
    45. Pham, Thach N. & Powell, Robert & Bannigidadmath, Deepa, 2021. "Systemically important banks in Asian emerging markets: Evidence from four systemic risk measures," Pacific-Basin Finance Journal, Elsevier, vol. 70(C).
    46. Jian, Zhihong & Li, Xupei, 2021. "Skewness-based market integration: A systemic risk measure across international equity markets," International Review of Financial Analysis, Elsevier, vol. 74(C).
    47. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
    48. Chen, Wei & Hou, Xiaoli & Jiang, Manrui & Jiang, Cheng, 2022. "Identifying systemically important financial institutions in complex network: A case study of Chinese stock market," Emerging Markets Review, Elsevier, vol. 50(C).
    49. Fang, Sheng & Cao, Guangxi & Egan, Paul, 2023. "Forecasting and backtesting systemic risk in the cryptocurrency market," Finance Research Letters, Elsevier, vol. 54(C).
    50. Ahmad, Wasim & Tiwari, Shiv Ratan & Wadhwani, Akshay & Khan, Mohammad Azeem & Bekiros, Stelios, 2023. "Financial networks and systemic risk vulnerabilities: A tale of Indian banks," Research in International Business and Finance, Elsevier, vol. 65(C).
    51. Dewenter, Kathryn L. & Riddick, Leigh A., 2018. "What's the value of a TBTF guaranty? Evidence from the G-SII designation for insurance companies✰," Journal of Banking & Finance, Elsevier, vol. 91(C), pages 70-85.
    52. Domenico Di Gangi & Fabrizio Lillo & Davide Pirino, 2015. "Assessing systemic risk due to fire sales spillover through maximum entropy network reconstruction," Papers 1509.00607, arXiv.org, revised Jul 2018.

Articles

  1. Denisa Banulescu-Radu & Christophe Hurlin & Bertrand Candelon & Sébastien Laurent, 2016. "Do We Need High Frequency Data to Forecast Variances?," Annals of Economics and Statistics, GENES, issue 123-124, pages 135-174.
    See citations under working paper version above.
  2. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.
    See citations under working paper version above.Sorry, no citations of articles recorded.

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 1 paper 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-ECM: Econometrics (1) 2015-08-30
  2. NEP-ETS: Econometric Time Series (1) 2015-08-30
  3. NEP-FOR: Forecasting (1) 2015-08-30
  4. NEP-GER: German Papers (1) 2015-08-30
  5. NEP-MST: Market Microstructure (1) 2015-08-30

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