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Marius Matei

Personal Details

First Name:Marius
Middle Name:
Last Name:Matei
Suffix:
RePEc Short-ID:pma1184
[This author has chosen not to make the email address public]
https://mateimar.wixsite.com/website
National Bank of Romania, Financial Stability Department, Systemic Risk Monitoring Division, Strada Lipscani nr. 25, sector 3, Bucharest, 030031, Romania
+40799248222

Affiliation

(47%) Centrul de Modelare Macroeconomica
Institutul National de Cercetari Economice (INCE)
Academia Romana

Bucureşti, Romania
http://www.ipe.ro/CentrulModelareMacroeconomica/

004 021 3188106
004 021 2222850
Casa Academiei, Calea 13 Septembrie nr.13, sector 5, Bucuresti
RePEc:edi:cmrarro (more details at EDIRC)

(47%) Banca Nationala a Romaniei

Bucureşti, Romania
http://www.bnro.ro/

004 021 3070570
004 021 3123831
Strada Lipscani nr. 25, sector 3, Bucureşti, cod 030031
RePEc:edi:bnrgvro (more details at EDIRC)

(6%) Department of Economics
Faculty of Business and Economics
Macquarie University

Sydney, Australia
http://www.econ.mq.edu.au/



Sydney NSW 2109
RePEc:edi:edmqqau (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Dungey, Mardi & Luciani, Matteo & Matei, Marius & Veredas, David, 2015. "Surfing through the GFC: systemic risk in Australia," Working Papers 2015-01, University of Tasmania, Tasmanian School of Business and Economics.
  2. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2014. "Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data," Working Papers 2014-12, University of Tasmania, Tasmanian School of Business and Economics.
  3. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
  4. Matei, Marius, 2009. "Analiza riscului în evaluarea oportunitatilor internationale de investitii. Perspective în modelarea si previzionarea volatilitatii utilizate în estimarea riscului," Working Papers of Macroeconomic Modelling Seminar 092101, Institute for Economic Forecasting.

Articles

  1. Marius Matei & Xari Rovira & Núria Agell, 2019. "Bivariate Volatility Modeling with High-Frequency Data," Econometrics, MDPI, Open Access Journal, vol. 7(3), pages 1-15, September.
  2. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.
  3. Huang, Wen & Huang, Zhuo & Matei, Marius & Wang, Tianyi, 2012. "Price Volatility Forecast for Agricultural Commodity Futures: The Role of High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 83-103, December.
  4. Matei, Marius, 2012. "Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 95-115, March.
  5. Matei, Marius, 2011. "Non-Linear Volatility Modeling of Economic and Financial Time Series Using High Frequency Data," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(2), pages 116-141, June.
  6. Matei, Marius, 2009. "Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 42-65, December.

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. Dungey, Mardi & Luciani, Matteo & Matei, Marius & Veredas, David, 2015. "Surfing through the GFC: systemic risk in Australia," Working Papers 2015-01, University of Tasmania, Tasmanian School of Business and Economics.

    Cited by:

    1. Xin Yan & Min Chen & Mu-Yen Chen, 2019. "Coupling and Coordination Development of Australian Energy, Economy, and Ecological Environment Systems from 2007 to 2016," Sustainability, MDPI, Open Access Journal, vol. 11(23), pages 1-13, November.
    2. Baumöhl, Eduard & Bouri, Elie & Hoang, Thi-Hong-Van & Shahzad, Syed Jawad Hussain & Výrost, Tomáš, 2020. "Increasing systemic risk during the Covid-19 pandemic: A cross-quantilogram analysis of the banking sector," EconStor Preprints 222580, ZBW - Leibniz Information Centre for Economics.
    3. Christina Bui, 2018. "Bank Regulation and Financial Stability," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 5-2018, November.
    4. Bui, Christina & Scheule, Harald & Wu, Eliza, 2017. "The value of bank capital buffers in maintaining financial system resilience," Journal of Financial Stability, Elsevier, vol. 33(C), pages 23-40.
    5. Anufriev, Mikhail & Panchenko, Valentyn, 2015. "Connecting the dots: Econometric methods for uncovering networks with an application to the Australian financial institutions," Journal of Banking & Finance, Elsevier, vol. 61(S2), pages 241-255.
    6. Dungey, Mardi & Luciani, Matteo & Veredas, David, 2018. "Systemic risk in the US: Interconnectedness as a circuit breaker," Economic Modelling, Elsevier, vol. 71(C), pages 305-315.
    7. Islam, Raisul & Volkov, Vladimir, 2020. "Contagion or interdependence? Comparing signed and unsigned spillovers," Working Papers 2020-05, University of Tasmania, Tasmanian School of Business and Economics.
    8. Van Cauwenberge, Annelies & Vancauteren, Mark & Braekers, Roel & Vandemaele, Sigrid, 2019. "International trade, foreign direct investments, and firms’ systemic risk : Evidence from the Netherlands," Economic Modelling, Elsevier, vol. 81(C), pages 361-386.
    9. Rösch, Daniel & Scheule, Harald, 2016. "The role of loan portfolio losses and bank capital for Asian financial system resilience," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 289-305.

  2. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2014. "Identifying periods of financial stress in Asian currencies: the role of high frequency financial market data," Working Papers 2014-12, University of Tasmania, Tasmanian School of Business and Economics.

    Cited by:

    1. Dungey, Mardi & Luciani, Matteo & Matei, Marius & Veredas, David, 2015. "Surfing through the GFC: systemic risk in Australia," Working Papers 2015-01, University of Tasmania, Tasmanian School of Business and Economics.

Articles

  1. Dungey, Mardi & Erdemlioglu, Deniz & Matei, Marius & Yang, Xiye, 2018. "Testing for mutually exciting jumps and financial flights in high frequency data," Journal of Econometrics, Elsevier, vol. 202(1), pages 18-44.

    Cited by:

    1. Deniz Erdemlioglu & Nikola Gradojevic, 2020. "Heterogeneous investment horizons, risk regimes, and realized jumps," Post-Print hal-02995997, HAL.
    2. Boswijk, H. Peter & Laeven, Roger J.A. & Yang, Xiye, 2018. "Testing for self-excitation in jumps," Journal of Econometrics, Elsevier, vol. 203(2), pages 256-266.
    3. Dungey, Mardi & Matei, Marius & Treepongkaruna, Sirimon, 2020. "Examining stress in Asian currencies: A perspective offered by high frequency financial market data," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 67(C).
    4. Bryan Lim & Stefan Zohren & Stephen Roberts, 2020. "Detecting Changes in Asset Co-Movement Using the Autoencoder Reconstruction Ratio," Papers 2002.02008, arXiv.org, revised Sep 2020.

  2. Matei, Marius, 2012. "Perspectives on risk measurement: a critical assessment of PC-GARCH against the main volatility forecasting models," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 95-115, March.

    Cited by:

    1. Acatrinei, Marius & Gorun, Adrian & Marcu, Nicu, 2013. "A DCC-GARCH Model To Estimate the Risk to the Capital Market in Romania," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 136-148, March.

  3. Matei, Marius, 2009. "Assessing Volatility Forecasting Models: Why GARCH Models Take the Lead," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(4), pages 42-65, December.

    Cited by:

    1. Tristan Nguyen & Thi Thanh Mai Bui, 2018. "Modeling the Volatility and Forecasting the Stock Price of the German Stock Index (DAX30)," International Journal of Economics and Financial Research, Academic Research Publishing Group, vol. 4(4), pages 72-92, 04-2018.
    2. Dhanya Jothimani & Ravi Shankar & Surendra S. Yadav, 2016. "Discrete Wavelet Transform-Based Prediction of Stock Index: A Study on National Stock Exchange Fifty Index," Papers 1605.07278, arXiv.org.
    3. Nieto, María Rosa & Carmona-Benítez, Rafael Bernardo, 2018. "ARIMA + GARCH + Bootstrap forecasting method applied to the airline industry," Journal of Air Transport Management, Elsevier, vol. 71(C), pages 1-8.
    4. Lin, Xiaoqiang & Fei, Fangyu, 2013. "Long memory revisit in Chinese stock markets: Based on GARCH-class models and multiscale analysis," Economic Modelling, Elsevier, vol. 31(C), pages 265-275.
    5. Matei, Marius, 2010. "Risk analysis in the evaluation of the international investment opportunities. Advances in modelling and forecasting volatility for risk assessment purposes," Working Papers of Institute for Economic Forecasting 100201, Institute for Economic Forecasting.
    6. Krzysztof DRACHAL, 2015. "The Structural Stability of a One-Day Risk Premium in View of the Recent Financial Crisis," Expert Journal of Economics, Sprint Investify, vol. 3(2), pages 136-142.
    7. Muhammad Ahsanuddin & Tayyab Raza Fraz & Samreen Fatima, 2019. "Studying the Volatility of Pakistan Stock Exchange and Shanghai Stock Exchange Markets in the Light of CPEC: An Application of GARCH and EGARCH Modelling," International Journal of Sciences, Office ijSciences, vol. 8(03), pages 125-132, March.
    8. Ahmad Muslim, 2014. "Analyzing volatility of rice price in Indonesia using ARCH/GARCH model," Economic Journal of Emerging Markets, Universitas Islam Indonesia, Department of Economics, vol. 6(1), pages 1-12, April.
    9. Subashini Maniam & Chin Lee, 2018. "Stock Market Liberalization Impact on Sectoral Stock Market Return in Malaysia," Capital Markets Review, Malaysian Finance Association, vol. 26(2), pages 21-31.

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 3 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-RMG: Risk Management (2) 2010-03-13 2016-01-29
  2. NEP-BAN: Banking (1) 2016-01-29
  3. NEP-IAS: Insurance Economics (1) 2016-01-29
  4. NEP-MON: Monetary Economics (1) 2016-02-04
  5. NEP-MST: Market Microstructure (1) 2016-02-04
  6. NEP-ORE: Operations Research (1) 2010-03-13
  7. NEP-SEA: South East Asia (1) 2016-02-04

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