Christian de Peretti : Citation Profile


Are you Christian de Peretti?

Université Claude Bernard (Lyon 1)

5

H index

4

i10 index

162

Citations

RESEARCH PRODUCTION:

11

Articles

45

Papers

RESEARCH ACTIVITY:

   18 years (2002 - 2020). See details.
   Cites by year: 9
   Journals where Christian de Peretti has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 9 (5.26 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pde507
   Updated: 2021-10-16    RAS profile: 2020-05-07    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Christian de Peretti.

Is cited by:

Wong, Wing-Keung (49)

McAleer, Michael (22)

Lau, Chi Keung (13)

Chang, Chia-Lin (11)

Lean, Hooi Hooi (10)

Phiri, Andrew (7)

GUPTA, RANGAN (7)

Apergis, Nicholas (6)

Kim, Hyeongwoo (6)

Mukherjee, Zinnia (4)

Urga, Giovanni (4)

Cites to:

Bollerslev, Tim (15)

Engle, Robert (14)

McAleer, Michael (13)

Wong, Wing-Keung (13)

Davidson, Russell (12)

MacKinnon, James (10)

Caporin, Massimiliano (8)

Lean, Hooi Hooi (8)

Granger, Clive (7)

Naifar, Nader (5)

lucey, brian (4)

Main data


Where Christian de Peretti has published?


Journals with more than one article published# docs
Computational Statistics & Data Analysis2

Working Papers Series with more than one paper published# docs
Post-Print / HAL19
Working Papers / HAL11
Working Papers / Business School - Economics, University of Glasgow5
SIRE Discussion Papers / Scottish Institute for Research in Economics (SIRE)3
Documents de recherche / Centre d'tudes des Politiques conomiques (EPEE), Universit d'Evry Val d'Essonne3
Computing in Economics and Finance 2006 / Society for Computational Economics2

Recent works citing Christian de Peretti (2021 and 2020)


YearTitle of citing document
2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Hau, Nguyen Huu ; Tuong, Hoa Anh ; Tinh, Tran Trung. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:24:y:2020:i:1:p:28-69.

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2020Review of Matrix Theory with Applications in Education and Decision Sciences. (2020). Wong, Wing-Keung ; Tuong, Hoa Anh ; Tinh, Tran Trung ; Hau, Nguyen Huu. In: International Association of Decision Sciences. RePEc:ahq:wpaper:v:24:y:2020:i:1:p:28-69.

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2020Generalized distance to a simplex and a new geometrical method for portfolio optimization. (2020). Fr'ed'eric Butin, . In: Papers. RePEc:arx:papers:2009.08826.

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2021Modeling premiums of non-life insurance companies in India. (2021). Chakrabarty, Siddhartha P ; Sethi, Kartik. In: Papers. RePEc:arx:papers:2106.02446.

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2020The seasonality of gold prices in China does the risk‐aversion level matter?. (2020). Xiao, Bing ; Zhu, Zhenzhen ; van Hoang, Thi Hong ; Wong, Wing Keung. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:3:p:2617-2664.

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2020Are Uncertainties across the World Convergent?. (2020). GUPTA, RANGAN ; Gözgör, Giray ; Marco, Chi Keung ; Christou, Christina. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-00608.

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2020COVID-19, insurer board utility, and capital regulation. (2020). Lin, Jyh-Horng. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612320305560.

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2021FinTech, SME efficiency and national culture: Evidence from OECD countries. (2021). Duc, Toan Luu ; Alam, Ashraful ; Abbasi, Kaleemullah. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:163:y:2021:i:c:s0040162520312804.

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2021Silver in Equity Portfolio Risk Optimization: Polish Investor Perspective. (2021). Pruchnicka-Grabias, Izabela. In: European Research Studies Journal. RePEc:ers:journl:v:xxiv:y:2021:i:3:p:716-728.

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2021Has financial globalization since 1990 reduced income inequality: the role of rating announcements on the volatility and the returns of the Brazilian Financial Market.. (2021). Albouz, Nivine ; Baulant, Camille. In: Working Papers. RePEc:hal:wpaper:hal-03258994.

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2020The risk management implications of using end of day consensus pricing for single name CDS. (2020). Ronen, Tavy ; Sopranzetti, Ben ; Sokolinskiy, Oleg. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:55:y:2020:i:1:d:10.1007_s11156-019-00843-2.

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2021The maximum-return-and-minimum-volatility effect: evidence from choosing risky and riskless assets to form a portfolio. (2021). Chiang, Thomas C ; Wong, Wingkeung ; Lv, Zhihui. In: Risk Management. RePEc:pal:risman:v:23:y:2021:i:1:d:10.1057_s41283-021-00069-4.

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2021Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. (2021). Tiwari, Aviral ; Raheem, Ibrahim ; Hille, Erik. In: MPRA Paper. RePEc:pra:mprapa:106684.

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2020Assessing the extent of exchange rate risk pricing in equity markets: emerging versus developed economies. (2020). Bonga-Bonga, Lumengo ; Mpoha, Salifya. In: MPRA Paper. RePEc:pra:mprapa:99597.

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2021Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment. (2021). Ferraro, Giovanna ; Pierini, Andrea ; Naccarato, Alessia. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03225-y.

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2021Investor behavior and weather factors: evidences from Asian region. (2021). Balakrishnan, S ; Venkateswar, Sankaran ; Selvam, Murugesan ; Kathiravan, Chinnadurai. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03335-7.

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2020A Provincial Perspective of Nonlinear Okun’s Law for Emerging Markets: The Case of South Africa. (2020). Phiri, Andrew ; Kambale, Kavese. In: Studia Universitatis „Vasile Goldis” Arad – Economics Series. RePEc:vrs:suvges:v:30:y:2020:i:3:p:59-76:n:3.

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Works by Christian de Peretti:


YearTitleTypeCited
2013IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES In: Manchester School.
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article11
2008Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries.(2008) In: SIRE Discussion Papers.
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paper
2004Neural Tests for Conditional Heteroskedasticity in ARCH-M Models In: Studies in Nonlinear Dynamics & Econometrics.
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article0
2013Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries In: Annals of Economics and Finance.
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article1
2004Stopping Tests in the Sequential Estimation for Multiple Structural Breaks In: Econometric Society 2004 Latin American Meetings.
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paper6
2010A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates In: SIRE Discussion Papers.
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paper0
2010A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates.(2010) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2011A Nonlinear Panel Unit Root Test under Cross Section Dependence In: SIRE Discussion Papers.
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paper36
2007A nonlinear panel unit root test under cross section dependence.(2007) In: Documents de recherche.
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This paper has another version. Agregated cites: 36
paper
2008A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2008) In: Working Papers.
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paper
2009A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2009) In: Working Papers.
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This paper has another version. Agregated cites: 36
paper
2011A nonlinear panel unit root test under cross section dependence.(2011) In: Working Papers.
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paper
2007Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models In: Computational Statistics & Data Analysis.
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article2
2010Graphical methods for investigating the finite-sample properties of confidence regions In: Computational Statistics & Data Analysis.
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article1
2012Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach In: Journal of Empirical Finance.
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article53
2019Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach In: Research in International Business and Finance.
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article0
2008Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: A Gap in the Literature? A New Proposal In: Documents de recherche.
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paper0
2008Confidence Region for long memory based on Inverting Bootstrap Tests: an application to Stock Market Indices In: Documents de recherche.
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paper0
2008Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries In: Working Papers.
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paper3
2018A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier In: Post-Print.
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paper0
2015A New Approach in Nonparametric Estimation of Returns in Mean-Downside Risk Portfolio frontier.(2015) In: Post-Print.
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2018Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier In: Post-Print.
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2018Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier.(2018) In: Annals of Operations Research.
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This paper has another version. Agregated cites: 5
article
2009A strong hysteretic model of Okun’s Law: theory and a preliminary investigation In: Post-Print.
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paper27
2009A strong hysteretic model of Okuns Law: theory and a preliminary investigation.(2009) In: International Review of Applied Economics.
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article
2018The Credit Default Swap market contagion during recent crises: International evidence In: Post-Print.
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paper2
2019The Credit Default Swap market contagion during recent crises: international evidence.(2019) In: Review of Quantitative Finance and Accounting.
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This paper has another version. Agregated cites: 2
article
2017“Reserve modelling and the aggregation of risks using time varying copula models In: Post-Print.
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paper3
2018Are financial markets efficient at a high frequency? A neural network and Pattern recognition analysis In: Post-Print.
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paper0
2017Do political connections affect banks leverage? Evidence from some MENA countries In: Post-Print.
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2017Claims reserving modelling with a novel dynamic Generalized Autoregressive Conditional Sinistrality Model In: Post-Print.
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2016Pricing Perpetual Turbo-Warrants In: Post-Print.
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2015Median-Based Nonparametric Estimation of Returns in Mean-Down Side Risk Portfolio Frontier In: Post-Print.
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paper0
2014Effect of the Use of Derivative Instruments on Bank’s Performance: Evidence from Emerging and Recently Developed Countries In: Post-Print.
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paper0
2015Le traitement de l’incertitude dans les évaluations médico-économiques In: Post-Print.
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paper0
2017The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan In: Post-Print.
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paper0
2016Solvency capital requirement for a temporal dependent losses in insurance In: Post-Print.
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paper3
2015The Effect of Derivative Instrument Use on stock return performance: Evidence from Banks in Emerging and Recently Developed Countries In: Post-Print.
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paper0
2016Does derivative instruments use increase accounting performance of banks in emerging and recently developed countries In: Post-Print.
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paper1
2011Pegfilgrastim versus Filgrastim after high-dose chemotherapy and autologous stem cell transplantation in adult patients with lymphoma and myeloma: cost-effectiveness evaluation alongside a randomized In: Post-Print.
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paper0
2016A cost-effectiveness analysis of the ZIRA test in breast cancer In: Post-Print.
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2016Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization In: Working Papers.
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2016Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization.(2016) In: Working Papers.
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2017Do political connections affect banks leverage? Evidence from some Middle Eastern and North African countries In: Working Papers.
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2017International risk spillover in the sovereign credit markets: An empirical analysis In: Working Papers.
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2020Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches. In: Working Papers.
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paper1
2018On the Informational Market Efficiency of the Worldwide Sovereign Credit Default Swap In: Working Papers.
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paper0
2018Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A Self-Exciting Threshold Autoregression approach In: Working Papers.
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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market In: Working Papers.
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2018The role of political patronage on risk-taking behavior of banks in Middle East and North Africa region In: Working Papers.
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2019The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic In: Working Papers.
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2018Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models In: Working Papers.
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paper1
2003Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market In: Computational Economics.
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article4
2002unilateral and bilateral bootstrap tests for long memory In: Computing in Economics and Finance 2002.
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2006Bootstrapping Neural tests for conditional heteroskedasticity In: Computing in Economics and Finance 2006.
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2006Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: an application to long memory In: Computing in Economics and Finance 2006.
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