W. P. Gaglianone

Finance · 2008

A researcher in the Science corpus: 1 paper; trusts 2 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 13 citations into it; #7,067 of 10,518 by trust here, #7,920 by citations
• Economics and Econometrics — 11 citations into it; #15,302 of 23,481 by trust here, #18,597 by citations

Whom W. P. Gaglianone trusts overall

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

1. Roger W. Koenker
2. Jeremy Berkowitz
3. Robert F. Engle
4. Matthew Pritsker
5. Peter F. Christoffersen
6. Whitney K. Newey
7. Jón Dańıelsson
8. Victor Chernozhukov

Who trusts W. P. Gaglianone overall

1. Jakub Nowotarski
2. M. Nieto
3. Rafal Weron
4. Esther Ruiz

Papers from W. P. Gaglianone's perspective

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

1. Inference on the Quantile Regression Process
2. Quantile Regression
3. Conditional value-at-risk: Aspects of modeling and estimation
4. Large sample estimation and hypothesis testing
5. The Hidden Dangers of Historical Simulation
6. What good is a volatility model?
7. Value-at-Risk Prediction: A Comparison of Alternative Strategies
8. How Accurate are Value-at-Risk Models at Commercial Banks
9. Subadditivity Re–Examined: the Case for Value-at-Risk
10. On time-scaling of risk and the square-root-of-time rule

Their papers

• Evaluating Value-at-Risk Models via Quantile Regression (2008) — 187 citations