Paolo Pasquariello

Finance · 2006–2009

A researcher in the Science corpus: 6 papers; trusts 42 researchers and is trusted by 9 researchers here, as inferred from the citation graph.

Subfields

• Finance — 127 citations into it; #3,315 of 10,518 by trust here, #2,212 by citations
• Economics and Econometrics — 96 citations into it; #8,068 of 23,481 by trust here, #8,289 by citations
• Accounting — 40 citations into it; #6,924 of 8,970 by trust here, #4,935 by citations
• Strategy and Management — 8 citations into it
• Management Science and Operations Research — 6 citations into it

Whom Paolo Pasquariello trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Karl B. Diether
2. Torben G. Andersen
3. L. Kodres
4. Tim Bollerslev
5. Robert F. Engle
6. Clara Vega
7. Christopher J. Malloy
8. M. Pritsker
9. Pierre-Olivier Weill
10. Joel Hasbrouck

Who trusts Paolo Pasquariello overall

1. Jarl G. Kallberg
2. Clara Vega
3. Menachem Brenner
4. Torben G. Andersen
5. Paul C. Tetlock
6. John S. Hughes
7. W. Boudry
8. Robin Greenwood
9. Marti G. Subrahmanyam
10. Wolfgang Bessler

Papers from Paolo Pasquariello's perspective

Ordered by how strongly the researchers Paolo Pasquariello trusts endorse each paper. Same corpus, a different order for every researcher.

1. Generalized autoregressive conditional heteroskedasticity
2. Illiquidity and Stock Returns: Cross-Section and Time-Series Effects
3. MODELING AND FORECASTING REALIZED VOLATILITY
4. Economic News and the Impact of Trading on Bond Prices
5. Stock Market Uncertainty and the Stock-Bond Return Relation
6. Informed and Strategic Order Flow in the Bond Markets
7. Common risk factors in the returns on stocks and bonds
8. Dynamic Conditional Correlation a Simple Class of Multivariate GARCH Models
9. Real-Time Price Discovery in Global Stock, Bond and Foreign Exchange Markets
10. Contagion as a Wealth Effect

Their papers

• Informed and Strategic Order Flow in the Bond Markets (2006) — 236 citations
• Time-Series and Cross-Sectional Excess Comovement in Stock Indexes (2008) — 111 citations
• Imperfect Competition, Information Heterogeneity, and Financial Contagion (2007) — 134 citations
• On the Volatility and Comovement of U.S. Financial Markets Around Macroeconomic News Announcements (2009) — 161 citations
• The on-the-run liquidity phenomenon (2009) — 112 citations
• Does Asymmetric Information Drive Capital Structure Decisions (2009) — 658 citations