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Wagner Piazza Gaglianone

Personal Details

First Name:Wagner
Middle Name:Piazza
Last Name:Gaglianone
Suffix:
RePEc Short-ID:pga306
http://epge.fgv.br/we/WagnerGaglianone
Terminal Degree:2007 FGV/EPGE Escola Brasileira de Economia e Finanças; Fundação Getulio Vargas (FGV) (from RePEc Genealogy)

Affiliation

Banco Central do Brasil

Brasília, Brazil
http://www.bcb.gov.br/

: (061) 3414-2401
(061) 3414-2480
Caixa Postal 08670 - CEP 70074-900 - Brasília DF
RePEc:edi:bcbgvbr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters

Working papers

  1. Alessandra Pasqualina Viola & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto & Wagner Piazza Gaglianone, 2017. "Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression," Working Papers Series 466, Central Bank of Brazil, Research Department.
  2. Wagner Piazza Gaglianone, 2017. "Empirical Findings on Inflation Expectations in Brazil: a survey," Working Papers Series 464, Central Bank of Brazil, Research Department.
  3. Flávio de Freitas Val & Wagner Piazza Gaglianone & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto, 2017. "Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model," Working Papers Series 463, Central Bank of Brazil, Research Department.
  4. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
  5. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2016. "Applying a Microfounded-Forecasting Approach to Predict Brazilian Inflation," Working Papers Series 436, Central Bank of Brazil, Research Department.
  6. Wagner Piazza Gaglianone & Gabriel Jaqueline Terra Moura Marins, 2016. "Evaluation of Exchange Rate Point and Density Forecasts: an application to Brazil," Working Papers Series 446, Central Bank of Brazil, Research Department.
  7. Yara de Almeida Campos Cordeiro & Wagner Piazza Gaglianone & João Victor Issler, 2015. "Inattention in Individual Expectations," Working Papers Series 395, Central Bank of Brazil, Research Department.
    • Yara de Almeida Campos Cordeiro & Wagner Piazza Gaglianone & João Victor Issler, 2017. "Inattention in individual expectations," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 17(1), pages 40-59.
  8. Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & Francisco Marcos Rodrigues Figueiredo, 2015. "Local Unit Root and Inflationary Inertia in Brazil," Working Papers Series 406, Central Bank of Brazil, Research Department.
  9. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
  10. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
  11. Luiz Renato Regis de Oliveira Lima & Wagner Piazza Gaglianone, 2012. "Constructing Optimal Density Forecasts from Point Forecast Combinations," Série Textos para Discussão (Working Papers) 5, Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba.
  12. Luiz A. Pereira da Silva & Adriana Soares Sales & Wagner Piazza Gaglianone, 2012. "Financial Stability in Brazil," Working Papers Series 289, Central Bank of Brazil, Research Department.
    • Luiz Awazu Pereira da Silva & Adriana Soares Sales & Wagner Piazza Gaglianone, 2013. "Financial stability in Brazil," Chapters,in: Stability of the Financial System, chapter 4 Edward Elgar Publishing.
  13. Ricardo Schechtman & Wagner Piazza Gaglianone, 2011. "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series 241, Central Bank of Brazil, Research Department.
  14. Wagner Piazza Gaglianone & João Victor Issler, 2009. "An Econometric Cntribution to the Intertemporal Approach of the Current Account," Working Papers Series 178, Central Bank of Brazil, Research Department.
  15. Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department.
  16. Carlos Enrique Carrasco Gutierrez & Wagner Piazza Gaglianone, 2008. "Evaluating Asset Pricing Models in a Fama-French Framework," Working Papers Series 175, Central Bank of Brazil, Research Department.
  17. Sin, Hui Lok & Gaglianone, Wagner Piazza, 2006. "Stochastic simulation of a DSGE model for Brazil," MPRA Paper 20853, University Library of Munich, Germany.
  18. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel Menezes Bezerra & Gaglianone, Wagner Piazza, 2006. "Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 631, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  19. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel & Gaglianone, Wagner Piazza, 2005. "Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantílico auto-regressivo (QAR)," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 602, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
  20. Gaglianone, Wagner Piazza & Pereira, Ana Luiza Louzada, 2005. "Um ensaio sobre expectativas da taxa de câmbio no Brasil
    [An essay on the foreign exchange rate expectations in Brazil]
    ," MPRA Paper 20840, University Library of Munich, Germany.

Articles

  1. de Freitas Val, Flávio & Klotzle, Marcelo Cabus & Pinto, Antonio Carlos Figueiredo & Gaglianone, Wagner Piazza, 2017. "Estimating the credibility of Brazilian monetary policy using a Kalman filter approach," Research in International Business and Finance, Elsevier, vol. 41(C), pages 37-53.
  2. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
  3. Yara de Almeida Campos Cordeiro & Wagner Piazza Gaglianone & João Victor Issler, 2017. "Inattention in individual expectations," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 17(1), pages 40-59.
  4. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
  5. Wagner Piazza Gaglianone & Luiz Renato Lima, 2014. "Constructing Optimal Density Forecasts From Point Forecast Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 736-757, August.
  6. Wagner Piazza Gaglianone & Luiz Renato Lima, 2012. "Constructing Density Forecasts from Quantile Regressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1589-1607, December.
  7. Schechtman, Ricardo & Gaglianone, Wagner Piazza, 2012. "Macro stress testing of credit risk focused on the tails," Journal of Financial Stability, Elsevier, vol. 8(3), pages 174-192.
  8. Carlos Enrique Carrasco-Gutierrez & Wagner Piazza Gaglianone, 2012. "Evaluating Asset Pricing Models in a Simulated Multifactor Approach," Brazilian Review of Finance, Brazilian Society of Finance, vol. 10(4), pages 425-460.
  9. Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
  10. Lima, Luiz Renato & Gaglianone, Wagner Piazza & Sampaio, Raquel M.B., 2008. "Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach," Journal of Development Economics, Elsevier, vol. 86(2), pages 313-335, June.
  11. Wagner Piazza Gaglianone & Ana Luiza Louzada Pereira, 2005. "An Essay on the Foreign Exchange Rate Expectations in Brazil," Brazilian Review of Finance, Brazilian Society of Finance, vol. 3(1), pages 55-100.

Chapters

  1. Luiz Awazu Pereira da Silva & Adriana Soares Sales & Wagner Piazza Gaglianone, 2013. "Financial stability in Brazil," Chapters,in: Stability of the Financial System, chapter 4 Edward Elgar Publishing.
  2. Carlos Hamilton V Araujo & Wagner P Gaglianone, 2010. "Survey-based inflation expectations in Brazil," BIS Papers chapters,in: Bank for International Settlements (ed.), Monetary policy and the measurement of inflation: prices, wages and expectations, volume 49, pages 107-114 Bank for International Settlements.

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. Flávio de Freitas Val & Wagner Piazza Gaglianone & Marcelo Cabus Klotzle & Antonio Carlos Figueiredo Pinto, 2017. "Estimating the Credibility of Brazilian Monetary Policy using Forward Measures and a State-Space Model," Working Papers Series 463, Central Bank of Brazil, Research Department.

    Cited by:

    1. Wagner Piazza Gaglianone, 2017. "Empirical Findings on Inflation Expectations in Brazil: a survey," Working Papers Series 464, Central Bank of Brazil, Research Department.

  2. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.

    Cited by:

    1. Simone Auer, 2017. "A Financial Conditions Index for the CEE economies," Temi di discussione (Economic working papers) 1145, Bank of Italy, Economic Research and International Relations Area.

  3. Yara de Almeida Campos Cordeiro & Wagner Piazza Gaglianone & João Victor Issler, 2015. "Inattention in Individual Expectations," Working Papers Series 395, Central Bank of Brazil, Research Department.
    • Yara de Almeida Campos Cordeiro & Wagner Piazza Gaglianone & João Victor Issler, 2017. "Inattention in individual expectations," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 17(1), pages 40-59.

    Cited by:

    1. Wagner Piazza Gaglianone, 2017. "Empirical Findings on Inflation Expectations in Brazil: a survey," Working Papers Series 464, Central Bank of Brazil, Research Department.
    2. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
    3. Waldyr D Areosa, 2016. "What drives inflation expectations in Brazil? Public versus private information," BIS Working Papers 544, Bank for International Settlements.

  4. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.

    Cited by:

    1. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.

  5. Luiz Renato Regis de Oliveira Lima & Wagner Piazza Gaglianone, 2012. "Constructing Optimal Density Forecasts from Point Forecast Combinations," Série Textos para Discussão (Working Papers) 5, Programa de Pós-Graduação em Economia - PPGE, Universidade Federal da Paraíba.

    Cited by:

    1. Erik Figueiredo & Luiz Renato Lima & Gianluca Orefice, 2016. "Migration and Regional Trade Agreements: A (New) Gravity Estimation," Review of International Economics, Wiley Blackwell, vol. 24(1), pages 99-125, February.
    2. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
    3. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
    4. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
    5. Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & Francisco Marcos Rodrigues Figueiredo, 2015. "Local Unit Root and Inflationary Inertia in Brazil," Working Papers Series 406, Central Bank of Brazil, Research Department.
    6. Korobilis, Dimitris, 2015. "Quantile forecasts of inflation under model uncertainty," MPRA Paper 64341, University Library of Munich, Germany.
    7. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    8. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(3), pages 1-25, July.
    9. Fabio Busetti & Michele Caivano & Lisa Rodano, 2015. "On the conditional distribution of euro area inflation forecast," Temi di discussione (Economic working papers) 1027, Bank of Italy, Economic Research and International Relations Area.
    10. Korobilis, Dimitris, 2017. "Quantile regression forecasts of inflation under model uncertainty," International Journal of Forecasting, Elsevier, vol. 33(1), pages 11-20.

  6. Luiz A. Pereira da Silva & Adriana Soares Sales & Wagner Piazza Gaglianone, 2012. "Financial Stability in Brazil," Working Papers Series 289, Central Bank of Brazil, Research Department.
    • Luiz Awazu Pereira da Silva & Adriana Soares Sales & Wagner Piazza Gaglianone, 2013. "Financial stability in Brazil," Chapters,in: Stability of the Financial System, chapter 4 Edward Elgar Publishing.

    Cited by:

    1. Pierre-Richard Agénor & Luiz A. Pereira da Silva, 2013. "Inflation Targeting and Financial Stability: A Perspective from the Developing World," Working Papers Series 324, Central Bank of Brazil, Research Department.
    2. Papadimitriou, Theophilos & Gogas, Periklis & Tabak, Benjamin M., 2013. "Complex networks and banking systems supervision," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(19), pages 4429-4434.
    3. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
    4. Patrick Fontaine Reis De Araujo & André De Melo Modenesi & Norberto Montani Martins & Ruy Lyrio Modenesi, 2016. "Restructuring The Economic Policy Framework In Brazil: Genuine Or Gattopardo Change?," Anais do XLII Encontro Nacional de Economia [Proceedings of the 42nd Brazilian Economics Meeting] 014, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    5. Bruno Martins, 2012. "Local Market Structure and Bank Competition: evidence from the Brazilian auto loan market," Working Papers Series 299, Central Bank of Brazil, Research Department.
    6. International Monetary Fund, 2013. "Brazil; Technical Note on Macroprudential Policy Framework," IMF Staff Country Reports 13/148, International Monetary Fund.
    7. Fabia A. de Carvalho & Marcos R. de Castro, 2015. "Macroprudential and Monetary Policy Interaction: a Brazilian perspective," Working Papers Series 405, Central Bank of Brazil, Research Department.

  7. Ricardo Schechtman & Wagner Piazza Gaglianone, 2011. "Macro Stress Testing of Credit Risk Focused on the Tails," Working Papers Series 241, Central Bank of Brazil, Research Department.

    Cited by:

    1. Benjamin M. Tabak & Marcelo Yoshio Takami & J. M. C. Rocha & Daniel O. Cajueiro, 2011. "Directed Clustering Coefficient as a Measure of Systemic Risk in Complex Banking Networks," Working Papers Series 249, Central Bank of Brazil, Research Department.
    2. Ruja, Catalin, 2014. "Macro Stress-Testing Credit Risk in Romanian Banking System," MPRA Paper 58244, University Library of Munich, Germany.
    3. Miguel Ángel Morales Mosquera & Wilmar Cabrera & Laura Capera & Dairo Estrada, "undated". "Un Mapa de Riesgo de Crédito para el Sistema Financiero Colombiano," Temas de Estabilidad Financiera 068, Banco de la Republica de Colombia.
    4. Moreno, Ramón, 2011. "La formulación de políticas desde una perspectiva macroprudencial en economías emergentes," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 22, pages 21-40.
    5. José Renato Haas Ornelas & José Santiago Fajardo Barbachan & Aquiles Rocha de Farias, 2012. "Estimating Relative Risk Aversion, Risk-Neutral and Real-World Densities using Brazilian Real Currency Options," Working Papers Series 269, Central Bank of Brazil, Research Department.
    6. Buncic, Daniel & Melecky, Martin, 2013. "Macroprudential stress testing of credit risk: A practical approach for policy makers," Journal of Financial Stability, Elsevier, vol. 9(3), pages 347-370.
    7. Francisco Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
    8. Wong, Alfred Y-T. & Fong, Tom Pak Wing, 2011. "Analysing interconnectivity among economies," Emerging Markets Review, Elsevier, vol. 12(4), pages 432-442.
    9. Reserve Bank of India RBI, 2012. "Financial Stability Report Issue No. 5," Working Papers id:5123, eSocialSciences.
    10. Luiz A. Pereira da Silva & Adriana Soares Sales & Wagner Piazza Gaglianone, 2012. "Financial Stability in Brazil," Working Papers Series 289, Central Bank of Brazil, Research Department.
      • Luiz Awazu Pereira da Silva & Adriana Soares Sales & Wagner Piazza Gaglianone, 2013. "Financial stability in Brazil," Chapters,in: Stability of the Financial System, chapter 4 Edward Elgar Publishing.
    11. Ekaterina Neretina & Cenkhan Sahin & Jakob de Haan, 2014. "Banking stress test effects on returns and risks," DNB Working Papers 419, Netherlands Central Bank, Research Department.
    12. Matthias Fischer & Daniel Kraus & Marius Pfeuffer & Claudia Czado, 2017. "Stress Testing German Industry Sectors: Results from a Vine Copula Based Quantile Regression," Risks, MDPI, Open Access Journal, vol. 5(3), pages 1-13, July.
    13. Mamatzakis, E & Koutsomanoli-Filippaki, Anastasia & Pasiouras, Fotios, 2012. "A quantile regression approach to bank efficiency measurement," MPRA Paper 51879, University Library of Munich, Germany.

  8. Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department.

    Cited by:

    1. Elena-Ivona DUMITRESCU, 2011. "Backesting Value-at-Risk: From DQ (Dynamic Quantile) to DB (Dynamic Binary) Tests," LEO Working Papers / DR LEO 262, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    2. Nowotarski, Jakub & Weron, Rafał, 2018. "Recent advances in electricity price forecasting: A review of probabilistic forecasting," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 1548-1568.
    3. Cathy W. S. Chen & Richard Gerlach & Bruce B. K. Hwang & Michael McAleer, 2011. "Forecasting Value-at-Risk Using Nonlinear Regression Quantiles and the Intra-day Range," KIER Working Papers 775, Kyoto University, Institute of Economic Research.
    4. Steven Kou & Xianhua Peng, 2014. "On the Measurement of Economic Tail Risk," Papers 1401.4787, arXiv.org, revised Aug 2015.
    5. López-Espinosa, Germán & Moreno, Antonio & Rubia, Antonio & Valderrama, Laura, 2015. "Systemic risk and asymmetric responses in the financial industry," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 471-485.
    6. Jenq-Tzong Shiau & Jia-Wei Lin, 2016. "Clustering Quantile Regression-Based Drought Trends in Taiwan," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 30(3), pages 1053-1069, February.
    7. Benjamin R. Auer & Benjamin Mögel, 2016. "How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?," CESifo Working Paper Series 6288, CESifo Group Munich.
    8. Jenq-Tzong Shiau & Ting-Ju Chen, 2015. "Quantile Regression-Based Probabilistic Estimation Scheme for Daily and Annual Suspended Sediment Loads," Water Resources Management: An International Journal, Published for the European Water Resources Association (EWRA), Springer;European Water Resources Association (EWRA), vol. 29(8), pages 2805-2818, June.
    9. Christophe Boucher & Jón Daníelsson & Patrick Kouontchou & Bertrand Maillet, 2014. "Risk model-at-risk," Post-Print hal-01370130, HAL.
    10. Erik Kole & Thijs Markwat & Anne Opschoor & Dick van Dijk, 2017. "Forecasting Value-at-Risk under Temporal and Portfolio Aggregation," Journal of Financial Econometrics, Society for Financial Econometrics, vol. 15(4), pages 649-677.
    11. Sebastian Bayer & Timo Dimitriadis, 2018. "Regression Based Expected Shortfall Backtesting," Papers 1801.04112, arXiv.org.
    12. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
    13. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
    14. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
    15. Liu, Xiaochun, 2017. "An integrated macro-financial risk-based approach to the stressed capital requirement," Review of Financial Economics, Elsevier, vol. 34(C), pages 86-98.
    16. Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2012. "The Risk Map: A New Tool for Validating Risk Models," Working Papers halshs-00746273, HAL.
    17. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    18. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    19. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers halshs-00671658, HAL.
    20. Fengler, Matthias R. & Herwartz, Helmut, 2015. "Measuring spot variance spillovers when (co)variances are time-varying – the case of multivariate GARCH models," Economics Working Paper Series 1517, University of St. Gallen, School of Economics and Political Science.
    21. Qifa Xu & Cuixia Jiang & Yaoyao He, 2016. "An exponentially weighted quantile regression via SVM with application to estimating multiperiod VaR," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 25(2), pages 285-320, June.
    22. Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016. "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia 939, Banco de la Republica de Colombia.
    23. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    24. Xiaochun Liu, 2016. "Markov switching quantile autoregression," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 70(4), pages 356-395, November.
    25. Aramonte, Sirio & Giudice Rodriguez, Marius del & Wu, Jason, 2013. "Dynamic factor Value-at-Risk for large heteroskedastic portfolios," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4299-4309.
    26. Fresoli, Diego & Ruiz, Esther, 2014. "The uncertainty of conditional returns, volatilities and correlations in DCC models," DES - Working Papers. Statistics and Econometrics. WS ws140202, Universidad Carlos III de Madrid. Departamento de Estadística.
    27. Chao Wang & Qian Chen & Richard Gerlach, 2017. "Bayesian Realized-GARCH Models for Financial Tail Risk Forecasting Incorporating Two-sided Weibull Distribution," Papers 1707.03715, arXiv.org.
    28. Iqbal, Javed, 2017. "Does gold hedge stock market, inflation and exchange rate risks? An econometric investigation," International Review of Economics & Finance, Elsevier, vol. 48(C), pages 1-17.
    29. Benjamin Mögel & Benjamin R. Auer, 2018. "How accurate are modern Value-at-Risk estimators derived from extreme value theory?," Review of Quantitative Finance and Accounting, Springer, vol. 50(4), pages 979-1030, May.
    30. Curti, Filippo & Migueis, Marco, 2016. "Predicting Operational Loss Exposure Using Past Losses," Finance and Economics Discussion Series 2016-2, Board of Governors of the Federal Reserve System (U.S.), revised 12 Oct 2016.
    31. Hua, Jian & Manzan, Sebastiano, 2013. "Forecasting the return distribution using high-frequency volatility measures," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4381-4403.
    32. Lúcio Godeiro, Lucas, 2012. "Estimando o VaR (Value-at-Risk) de carteiras via modelos da família GARCH e via Simulação de Monte Carlo
      [Estimating the VaR (Value-at-Risk) of portfolios via GARCH family models and via Monte Carl
      ," MPRA Paper 45146, University Library of Munich, Germany.
    33. Gerlach, Richard & Abeywardana, Sachin, 2016. "Variational Bayes for assessment of dynamic quantile forecasts," International Journal of Forecasting, Elsevier, vol. 32(4), pages 1385-1402.
    34. Timo Dimitriadis & Sebastian Bayer, 2017. "A Joint Quantile and Expected Shortfall Regression Framework," Papers 1704.02213, arXiv.org, revised Aug 2017.
    35. Armstrong, Christopher S. & Blouin, Jennifer L. & Jagolinzer, Alan D. & Larcker, David F., 2015. "Corporate governance, incentives, and tax avoidance," Journal of Accounting and Economics, Elsevier, vol. 60(1), pages 1-17.
    36. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, Elsevier.
    37. Rubia, Antonio & Sanchis-Marco, Lidia, 2013. "On downside risk predictability through liquidity and trading activity: A dynamic quantile approach," International Journal of Forecasting, Elsevier, vol. 29(1), pages 202-219.
    38. Richard Gerlach & Chao Wang, 2016. "Bayesian Semi-parametric Realized-CARE Models for Tail Risk Forecasting Incorporating Realized Measures," Papers 1612.08488, arXiv.org.
    39. Gatfaoui, Hayette, 2017. "Equity market information and credit risk signaling: A quantile cointegrating regression approach," Economic Modelling, Elsevier, vol. 64(C), pages 48-59.

  9. Carlos Enrique Carrasco Gutierrez & Wagner Piazza Gaglianone, 2008. "Evaluating Asset Pricing Models in a Fama-French Framework," Working Papers Series 175, Central Bank of Brazil, Research Department.

    Cited by:

    1. Edgardo Cayón, 2014. "The Effects of Contagion During the Global Financial Crisis in Government-Regulated and Sponsored Assets in Emerging Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 30.

  10. Sin, Hui Lok & Gaglianone, Wagner Piazza, 2006. "Stochastic simulation of a DSGE model for Brazil," MPRA Paper 20853, University Library of Munich, Germany.

    Cited by:

    1. Machado, Vicente da Gama & Portugal, Marcelo Savino, 2014. "Measuring inflation persistence in Brazil using a multivariate model," Revista Brasileira de Economia - RBE, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil), vol. 68(2), June.

  11. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel Menezes Bezerra & Gaglianone, Wagner Piazza, 2006. "Debt ceiling and fiscal sustainability in Brazil: a quantile autoregression approach," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 631, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Mário Jorge Mendonça & Cláudio H. dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Discussion Papers 1337, Instituto de Pesquisa Econômica Aplicada - IPEA.
    2. Tilak Abeysinghe & Ananda Jayawickrama, 2013. "A segmented trend model to assess fiscal sustainability: The US experience 1929–2009," Empirical Economics, Springer, vol. 44(3), pages 1129-1141, June.
    3. Mário Jorge Cardoso de Mendonça & Cláudio Hamilton Matos dos Santos, 2008. "Revisitando a Função de Reação Fiscal no Brasil Pós-Real: Uma Abordagem de Mudanças de Regime," Anais do XXXVI Encontro Nacional de Economia [Proceedings of the 36th Brazilian Economics Meeting] 200807171729460, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    4. Boengiu, Tudor & Morar Triandafil, Cristina & Morar Triandafil, Adrian, 2011. "Debt Ceiling and External Debt Sustainability in Romania: A Quantile Autoregression Model," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 15-29, December.
    5. Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & Francisco Marcos Rodrigues Figueiredo, 2015. "Local Unit Root and Inflationary Inertia in Brazil," Working Papers Series 406, Central Bank of Brazil, Research Department.
    6. Chang, Chun-Ping & Lee, Chien-Chiang & Hsieh, Meng-Chi, 2015. "Does globalization promote real output? Evidence from quantile cointegration regression," Economic Modelling, Elsevier, vol. 44(C), pages 25-36.
    7. Johann Bröthaler & Michael Getzner & Gottfried Haber, 2015. "Sustainability of local government debt: a case study of Austrian municipalities," Empirica, Springer;Austrian Institute for Economic Research;Austrian Economic Association, vol. 42(3), pages 521-546, August.
    8. Abel Cadenillas & Ricardo Huamán-Aguilar, 2016. "Explicit formula for the optimal government debt ceiling," Annals of Operations Research, Springer, vol. 247(2), pages 415-449, December.
    9. Ricardo Ramalhete Moreira, 2015. "Fiscal Rules, Automatic Stabilizers and Discretionary Fiscal Actions: Analyzing an Emerging Economy," International Finance and Banking, Macrothink Institute, vol. 2(2), pages 25-38, December.
    10. Lee, Chien-Chiang & Lee, Cheng-Feng & Lee, Chi-Chuan, 2014. "Asymmetric dynamics in REIT prices: Further evidence based on quantile regression analysis," Economic Modelling, Elsevier, vol. 42(C), pages 29-37.
    11. Lee, Cheng-Feng & Hu, Te-Chung & Li, Ping-Cheng & Tsong, Ching-Chuan, 2013. "Asymmetric behavior of unemployment rates: Evidence from the quantile covariate unit root test," Japan and the World Economy, Elsevier, vol. 28(C), pages 72-84.
    12. Lee, Chien-Chiang & Zeng, Jhih-Hong, 2011. "Revisiting the relationship between spot and futures oil prices: Evidence from quantile cointegrating regression," Energy Economics, Elsevier, vol. 33(5), pages 924-935, September.
    13. Zhu, Hui-Ming & Li, ZhaoLai & You, WanHai & Zeng, Zhaofa, 2015. "Revisiting the asymmetric dynamic dependence of stock returns: Evidence from a quantile autoregression model," International Review of Financial Analysis, Elsevier, vol. 40(C), pages 142-153.

  12. Lima, Luiz Renato Regis de Oliveira & Sampaio, Raquel & Gaglianone, Wagner Piazza, 2005. "Limite de endividamento e sustentabilidade fiscal no Brasil: uma abordagem via modelo quantílico auto-regressivo (QAR)," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 602, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

    Cited by:

    1. Aloisio Araujo & Mário R. Páscoa & Juan Pablo Torres-Martínez, 2006. "Bubbles, Collateral and Monetary Equilibrium," Levine's Working Paper Archive 122247000000001055, David K. Levine.
    2. Monteiro, Paulo Klinger, 2009. "First-price auction symmetric equilibria with a general distribution," Games and Economic Behavior, Elsevier, vol. 65(1), pages 256-269, January.
    3. Cysne, Rubens Penha, 2006. "Income inequality in a job-search model with heterogeneous discount factors: (revised version, forthcoming 2006, Revista Economia)," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 611, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    4. Renato G. Flôres & Maria Paula Fontoura & Rogério Guerra Santos, 2007. "Foreign Direct Investment Spillovers in Portugal: Additional Lessons from a Country Study," The European Journal of Development Research, Taylor and Francis Journals, vol. 19(3), pages 372-390.
    5. Cysne, Rubens Penha, 2006. "An intra-household approach to the welfare costs of inflation (Revised Version, Forthcoming 2006, Estudos Econômicos)," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 612, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    6. Rivano, Ricardo de Oliveira & Wallace, Neil, 2006. "New models of old(?) payment questions," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 619, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    7. Flôres Junior, Renato Galvão, 2006. "Dois ensaios sobre diversidade cultural e o comércio de serviços," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 622, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    8. Flôres Junior, Renato Galvão, 2006. "The diversity of diversity: further methodological considerations on the use of the concept in cultural economics," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 626, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).
    9. Flôres Junior, Renato Galvão & Watanuki, Masakazu, 2006. "Integration options for mercosul - an investigation Uusing the AMIDA Model," FGV/EPGE Economics Working Papers (Ensaios Economicos da EPGE) 610, FGV/EPGE - Escola Brasileira de Economia e Finanças, Getulio Vargas Foundation (Brazil).

Articles

  1. Yara de Almeida Campos Cordeiro & Wagner Piazza Gaglianone & João Victor Issler, 2017. "Inattention in individual expectations," Economia, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics], vol. 17(1), pages 40-59.
    See citations under working paper version above.
  2. Wagner Piazza Gaglianone & Luiz Renato Lima, 2014. "Constructing Optimal Density Forecasts From Point Forecast Combinations," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(5), pages 736-757, August.
    See citations under working paper version above.
  3. Wagner Piazza Gaglianone & Luiz Renato Lima, 2012. "Constructing Density Forecasts from Quantile Regressions," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 44(8), pages 1589-1607, December.

    Cited by:

    1. Galvao Jr., Antonio F., 2011. "Quantile regression for dynamic panel data with fixed effects," Journal of Econometrics, Elsevier, vol. 164(1), pages 142-157, September.
    2. Francisco Covas & Ben Rump & Egon Zakrajsek, 2013. "Stress-testing U.S. bank holding companies: a dynamic panel quantile regression approach," Finance and Economics Discussion Series 2013-55, Board of Governors of the Federal Reserve System (U.S.).
    3. Wagner Piazza Gaglianone & João Victor Issler & Silvia Maria Matos, 2017. "Applying a microfounded-forecasting approach to predict Brazilian inflation," Empirical Economics, Springer, vol. 53(1), pages 137-163, August.
    4. De Rezende, Rafael B., 2015. "Risks in macroeconomic fundamentals and excess bond returns predictability," Working Paper Series 295, Sveriges Riksbank (Central Bank of Sweden).
    5. Wagner Piazza Gaglianone & João Victor Issler, 2014. "Microfounded Forecasting," Working Papers Series 372, Central Bank of Brazil, Research Department.
    6. Wagner Piazza Gaglianone & Waldyr Dutra Areosa, 2016. "Financial Conditions Indicators for Brazil," Working Papers Series 435, Central Bank of Brazil, Research Department.
    7. Wagner Piazza Gaglianone & Osmani Teixeira de Carvalho Guillén & Francisco Marcos Rodrigues Figueiredo, 2015. "Local Unit Root and Inflationary Inertia in Brazil," Working Papers Series 406, Central Bank of Brazil, Research Department.
    8. Korobilis, Dimitris, 2015. "Quantile forecasts of inflation under model uncertainty," MPRA Paper 64341, University Library of Munich, Germany.
    9. Gaglianone, Wagner Piazza & Marins, Jaqueline Terra Moura, 2017. "Evaluation of exchange rate point and density forecasts: An application to Brazil," International Journal of Forecasting, Elsevier, vol. 33(3), pages 707-728.
    10. Wagner Piazza Gaglianone & Jaqueline Terra Moura Marins, 2014. "Risk Assessment of the Brazilian FX Rate," Working Papers Series 344, Central Bank of Brazil, Research Department.
    11. Giovanni Bonaccolto & Massimiliano Caporin, 2016. "The Determinants of Equity Risk and Their Forecasting Implications: A Quantile Regression Perspective," Journal of Risk and Financial Management, MDPI, Open Access Journal, vol. 9(3), pages 1-25, July.
    12. Korobilis, Dimitris, 2017. "Quantile regression forecasts of inflation under model uncertainty," International Journal of Forecasting, Elsevier, vol. 33(1), pages 11-20.

  4. Schechtman, Ricardo & Gaglianone, Wagner Piazza, 2012. "Macro stress testing of credit risk focused on the tails," Journal of Financial Stability, Elsevier, vol. 8(3), pages 174-192.
    See citations under working paper version above.
  5. Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011. "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(1), pages 150-160.
    See citations under working paper version above.
  6. Lima, Luiz Renato & Gaglianone, Wagner Piazza & Sampaio, Raquel M.B., 2008. "Debt ceiling and fiscal sustainability in Brazil: A quantile autoregression approach," Journal of Development Economics, Elsevier, vol. 86(2), pages 313-335, June.
    See citations under working paper version above.

Chapters

  1. Luiz Awazu Pereira da Silva & Adriana Soares Sales & Wagner Piazza Gaglianone, 2013. "Financial stability in Brazil," Chapters,in: Stability of the Financial System, chapter 4 Edward Elgar Publishing.
    See citations under working paper version above.
  2. Carlos Hamilton V Araujo & Wagner P Gaglianone, 2010. "Survey-based inflation expectations in Brazil," BIS Papers chapters,in: Bank for International Settlements (ed.), Monetary policy and the measurement of inflation: prices, wages and expectations, volume 49, pages 107-114 Bank for International Settlements.

    Cited by:

    1. Wagner Piazza Gaglianone, 2017. "Empirical Findings on Inflation Expectations in Brazil: a survey," Working Papers Series 464, Central Bank of Brazil, Research Department.
    2. Ramon Moreno & Agustin Villar, 2010. "Inflation expectations, persistence and monetary policy," BIS Papers chapters,in: Bank for International Settlements (ed.), Monetary policy and the measurement of inflation: prices, wages and expectations, volume 49, pages 77-92 Bank for International Settlements.
    3. Vicente da Gama Machado & Marcelo Savino Portugal, 2014. "Phillips curve in Brazil: an unobserved components approach," Working Papers Series 354, Central Bank of Brazil, Research Department.

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 23 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-FOR: Forecasting (9) 2012-03-21 2014-03-15 2014-12-24 2015-09-05 2015-12-08 2016-05-28 2016-06-04 2016-12-04 2017-11-12. Author is listed
  2. NEP-RMG: Risk Management (9) 2008-03-25 2008-10-07 2010-01-30 2010-11-20 2011-05-30 2012-08-23 2014-03-15 2016-12-04 2017-11-12. Author is listed
  3. NEP-ECM: Econometrics (6) 2008-03-25 2008-10-07 2009-02-07 2010-01-30 2012-03-21 2014-12-24. Author is listed
  4. NEP-BAN: Banking (4) 2010-01-30 2010-11-20 2011-05-30 2012-08-23
  5. NEP-LAM: Central & South America (4) 2005-10-15 2006-12-01 2015-12-08 2017-10-08
  6. NEP-MAC: Macroeconomics (3) 2005-10-15 2017-10-08 2017-10-08
  7. NEP-MON: Monetary Economics (3) 2016-06-04 2017-10-08 2017-10-08
  8. NEP-CBA: Central Banking (1) 2017-10-08
  9. NEP-FMK: Financial Markets (1) 2009-01-03
  10. NEP-OPM: Open Economy Macroeconomics (1) 2009-02-07
  11. NEP-PBE: Public Economics (1) 2006-12-01

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