Sebastiano Manzan

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

17 Lexington Avenue

New York, NY 10010

United States

SCHOLARLY PAPERS

16

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1,430

SSRN CITATIONS
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SSRN RANKINGS

Top 8,911

in Total Papers Citations

39

CROSSREF CITATIONS

102

Scholarly Papers (16)

1.
Downloads 297 ( 65,099)
Citation 90

Behavioral Heterogeneity in Stock Prices

Journal of Economic Dynamics and Control, Vol. 31, 2007
Number of pages: 40 Posted: 04 Feb 2009
H. Peter Boswijk, Cars H. Hommes and Sebastiano Manzan
Amsterdam School of Economics, University of Amsterdam - Amsterdam School of Economics (ASE) and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 297 (121,503)
Citation 3

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heterogeneous expectations, stock prices, bubbles, bounded rationality

2.

Forecasting with Economic News

Number of pages: 40 Posted: 19 Oct 2020
Luca Barbaglia, Sergio Consoli and Sebastiano Manzan
European Commission-Joint Research Centre, European Commission-Joint Research Centre and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 223 (163,752)

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economic forecasting, macroeconomic analysis, sentiment analysis, text analysis

3.

Forecasting Loan Default in Europe with Machine Learning

Number of pages: 33 Posted: 08 Jun 2020 Last Revised: 16 Mar 2021
Luca Barbaglia, Sebastiano Manzan and Elisa Tosetti
European Commission-Joint Research Centre, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Ca Foscari University of Venice
Downloads 175 (203,280)
Citation 1

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Loan default, machine learning, big data, regional analysis, credit risk

4.

A Bootstrap-Based Nonparametric Forecast Density

International Journal of Forecasting, Vol. 24, 2008
Number of pages: 25 Posted: 04 Feb 2009
Sebastiano Manzan and Dawit Zerom
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and California State University, Fullerton
Downloads 117 (280,368)

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Dynamic misspecification, Evaluation, Kernel smoothing, Markov bootstrap, Multi-step density forecasts

5.

Forecasting the Return Distribution Using High-Frequency Volatility Measures

Journal of Banking and Finance, Vol. 37, No. 11, 2013
Number of pages: 41 Posted: 27 Oct 2011 Last Revised: 22 Sep 2013
Jian Hua and Sebastiano Manzan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 112 (289,111)
Citation 2

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Realized Volatility, Quantile Regression, Density Forecast, Value-at-Risk

6.

A Semiparametric Analysis of Gasoline Demand in the US: Re-Examining the Impact of Price

Number of pages: 35 Posted: 04 Feb 2009
Sebastiano Manzan and Dawit Zerom
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and California State University, Fullerton
Downloads 78 (364,078)

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semiparametric methods, partially linear additive model, gasoline demand

7.

Are Macroeconomic Variables Useful for Forecasting the Distribution of U.S. Inflation?

Number of pages: 33 Posted: 07 Feb 2009
Sebastiano Manzan and Dawit Zerom
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and California State University, Fullerton
Downloads 76 (369,470)
Citation 9

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conditional quantiles; distribution; forecasting; inflation; combination

8.

Heterogeneous Expectations, Exchange Rate Dynamics and Predictability

Journal of Economic Behavior and Organization, Vol. 64, 2007
Number of pages: 27 Posted: 04 Feb 2009
Sebastiano Manzan and Frank H. Westerhoff
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and affiliation not provided to SSRN
Downloads 66 (399,118)
Citation 2

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Exchange Rates, Heterogeneous Expectations, Forecasting, Nonlinear Models

9.

Forecasting the Distribution of Economic Variables in a Data-Rich Environment

Number of pages: 51 Posted: 13 Aug 2012 Last Revised: 22 Apr 2013
Sebastiano Manzan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 50 (455,120)
Citation 9

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distribution forecasting, quantile regression, principal components, LASSO

10.

Are Professional Forecasters Bayesian?

Number of pages: 53 Posted: 22 May 2014 Last Revised: 26 May 2016
Sebastiano Manzan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 47 (467,094)
Citation 4

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Bayesian learning, density forecasts, Survey of Professional Forecasters

11.

Asymmetric Quantile Persistence and Predictability: The Case of U.S. Inflation

Number of pages: 27 Posted: 12 Oct 2012 Last Revised: 13 Jul 2013
Sebastiano Manzan and Dawit Zerom
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and California State University, Fullerton
Downloads 46 (471,251)

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Conditional quantiles, Distribution, Inflation persistence, Forecasting

12.

Tests for Serial Independence and Linearity Based on Correlation Integrals

Studies in Nonlinear Dynamics and Econometrics, Vol. 6, No. 2, 2002
Number of pages: 32 Posted: 04 Feb 2009
Cees G. H. Diks and Sebastiano Manzan
University of Amsterdam - Faculty of Economics and Business (FEB) and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 42 (488,505)

Abstract:

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serial independence, linearity, bootstrap, permutation test, nonparametric estimation, nonlinear time series analysis,

13.

Fine-Grained, Aspect-Based Sentiment Analysis on Economic and Financial Lexicon

Number of pages: 37 Posted: 05 Feb 2021
Sergio Consoli, Luca Barbaglia and Sebastiano Manzan
European Commission-Joint Research Centre, European Commission-Joint Research Centre and City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 39 (502,031)

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Natural Language Processing, Sentiment Analysis, Unsupervised Machine Learning, Interpretability, Sentiment Dictionaries, Economy and Finance

14.

Differential Interpretation in the Survey of Professional Forecasters

Number of pages: 28 Posted: 02 Dec 2009 Last Revised: 30 Apr 2010
Sebastiano Manzan
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance
Downloads 38 (506,607)
Citation 2

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differential interpretation, survey expectations, Bayesian learning, disagreement

15.

Household Debt and Economic Growth in Europe

Number of pages: 41 Posted: 17 Sep 2020 Last Revised: 27 Jan 2021
Luca Barbaglia, Sebastiano Manzan and Elisa Tosetti
European Commission-Joint Research Centre, City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and Ca Foscari University of Venice
Downloads 24 (583,346)

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Household Debt, Great Recession, Economic Growth

16.

Asymmetric Quantile Persistence and Predictability: The Case of US Inflation

Oxford Bulletin of Economics and Statistics, Vol. 77, Issue 2, pp. 297-318, 2015
Number of pages: 22 Posted: 04 Mar 2015
Sebastiano Manzan and Dawit Zerom
City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance and California State University, Fullerton
Downloads 0 (774,616)
Citation 3
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