6
H index
5
i10 index
193
Citations
Christian de Peretti : Citation Profile
Université Claude Bernard (Lyon 1) | RESEARCH PRODUCTION: 16 Articles 46 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (2002 - 2021). 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:
| Cites to:
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Main data
Where Christian de Peretti has published?
| Journals with more than one article published | # docs |
|---|---|
| Computational Statistics & Data Analysis | 2 |
| Research in International Business and Finance | 2 |
| Resources Policy | 2 |
Recent works citing Christian de Peretti (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | Review on Behavioral Finance with Empirical Evidence. (2021). Woo, Kai-Yin ; Moslehpour, Massoud ; Hon, Tai-Yuen . In: Advances in Decision Sciences. RePEc:aag:wpaper:v:25:y:2021:i:4:p:15-41. Full description at Econpapers || Download paper |
| 2021 | Modeling premiums of non-life insurance companies in India. (2021). Chakrabarty, Siddhartha P ; Sethi, Kartik. In: Papers. RePEc:arx:papers:2106.02446. Full description at Econpapers || Download paper |
| 2022 | The diversifying role of socially responsible investments during the COVID-19 crisis: A risk management and portfolio performance analysis. (2022). Lopez, Raquel ; Esparcia, Carlos ; Diaz, Antonio. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:75:y:2022:i:c:p:39-60. Full description at Econpapers || Download paper |
| 2021 | Spillovers and connectedness between major precious metals and major currency markets: The role of frequency factor. (2021). Vo, Xuan Vinh ; Kang, Sang Hoon ; Yoon, Seong-Min ; Hernandez, Jose Arroeola ; Mensi, Walid. In: International Review of Financial Analysis. RePEc:eee:finana:v:74:y:2021:i:c:s1057521921000156. Full description at Econpapers || Download paper |
| 2022 | Is managerial ability a moderator? The effect of credit risk and liquidity risk on the likelihood of bank default. (2022). DABBOU, Halim ; Chkir, Imed ; ben Abdesslem, Rim. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000230. Full description at Econpapers || Download paper |
| 2022 | Multivariate CDS risk premium prediction with SOTA RNNs on MI[N]T countries. (2022). Barokas, Lina ; Kutuk, Yasin. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s154461232100266x. Full description at Econpapers || Download paper |
| 2022 | Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches. (2022). Choi, Sun-Yong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001093. Full description at Econpapers || Download paper |
| 2022 | Contagion and tail risk in complex financial networks. (2022). Abduraimova, Kumushoy. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:143:y:2022:i:c:s037842662200156x. Full description at Econpapers || Download paper |
| 2021 | The GOLD market as a safe haven against the stock market uncertainty: Evidence from geopolitical risk. (2021). ben Maatoug, Abderrazek ; Triki, Mohamed Bilel . In: Resources Policy. RePEc:eee:jrpoli:v:70:y:2021:i:c:s030142072030903x. Full description at Econpapers || Download paper |
| 2021 | Evaluation of econometric models of secondary refined copper supply. (2021). Lagos, Gustavo ; Jara, Jose Joaquin ; Guzman, Juan Ignacio ; Rivera, Nilza. In: Resources Policy. RePEc:eee:jrpoli:v:73:y:2021:i:c:s0301420721001847. Full description at Econpapers || Download paper |
| 2021 | Energy, agriculture, and precious metals: Evidence from time-varying Granger causal relationships for both return and volatility. (2021). Ajmi, Ahdi Noomen ; Mokni, Khaled ; Bouri, Elie ; Shahzad, Farrukh. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721003081. Full description at Econpapers || Download paper |
| 2021 | Co-movements among precious metals and implications for portfolio management: A multivariate wavelet-based dynamic analysis. (2021). Mensi, Walid ; Sultan, Jahangir ; Nekhili, Ramzi. In: Resources Policy. RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721004281. Full description at Econpapers || Download paper |
| 2022 | Time-varying spillovers between trade policy uncertainty and precious metal markets: Evidence from China-US trade conflict. (2022). Qu, Jingxiao ; Ren, Xiaohang ; Huang, Yuxin ; Chen, Jinyu. In: Resources Policy. RePEc:eee:jrpoli:v:76:y:2022:i:c:s0301420722000289. Full description at Econpapers || Download paper |
| 2022 | Multiscale nonlinear Granger causality and time-varying effect analysis of the relationship between iron ore futures and spot prices. (2022). Jia, Hongxiang ; Hao, Hongchang ; Yuan, Xiaojing ; Sun, Xiaoyan ; Li, Pengyuan ; Wang, Anjian ; Ma, Zhe ; Wei, Jiangqiao. In: Resources Policy. RePEc:eee:jrpoli:v:77:y:2022:i:c:s0301420722002203. Full description at Econpapers || Download paper |
| 2022 | A study of cross-correlations between PM2.5 and O3 based on Copula and Multifractal methods. (2022). Shi, Kai ; Wu, BO ; Liu, Chunqiong ; Zhang, Jiao. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:589:y:2022:i:c:s0378437121008918. Full description at Econpapers || Download paper |
| 2021 | Downside risk in Dow Jones Islamic equity indices: Precious metals and portfolio diversification before and after the COVID-19 bear market. (2021). Sensoy, Ahmet ; Jiang, Yuexiang ; Ali, Fahad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:58:y:2021:i:c:s0275531921001239. Full description at Econpapers || Download paper |
| 2022 | Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis. (2022). Singh, Vipul Kumar ; Kumar, Pawan ; Bajaj, Vimmy. In: Research in International Business and Finance. RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001872. Full description at Econpapers || Download paper |
| 2021 | FinTech, 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. Full description at Econpapers || Download paper |
| 2022 | A hybrid approach to forecasting futures prices with simultaneous consideration of optimality in ensemble feature selection and advanced artificial intelligence. (2022). Garcia, Noelia ; Alfaro-Cortes, Esteban ; Gamez, Matias ; Ghosh, Indranil ; Chaudhuri, Tamal Datta. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:181:y:2022:i:c:s0040162522002827. Full description at Econpapers || Download paper |
| 2021 | Silver 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. Full description at Econpapers || Download paper |
| 2022 | Accounting and Market Risk Measures of Polish Energy Companies. (2022). Markowski, Lesaw ; Rutkowska-Ziarko, Anna. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:6:p:2138-:d:771638. Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2021 | Has 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. Full description at Econpapers || Download paper |
| 2022 | Do board characteristics and ownership structure matter for bank non-performing loans? Empirical evidence from US commercial banks. (2022). Bouri, Abdelfettah ; Jarraya, Bilel ; Tarchouna, Ameni. In: Journal of Management & Governance. RePEc:kap:jmgtgv:v:26:y:2022:i:2:d:10.1007_s10997-020-09558-2. Full description at Econpapers || Download paper |
| 2022 | A multicountry measure of comovement and contagion in international markets: definition and applications. (2022). Venezia, Itzhak ; Tessler, Nina. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:58:y:2022:i:4:d:10.1007_s11156-021-01025-9. Full description at Econpapers || Download paper |
| 2021 | The 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. Full description at Econpapers || Download paper |
| 2021 | Time-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. Full description at Econpapers || Download paper |
| 2022 | Does the US Contagion Risk Affect Foreign Direct Investment Inflows in Emerging Economies?. (2022). Maneejuk, Paravee ; Yamaka, Woraphon. In: PIER Discussion Papers. RePEc:pui:dpaper:192. Full description at Econpapers || Download paper |
| 2021 | Corporate CDS spreads from the Eurozone crisis to COVID-19 pandemic: A Bayesian Markov switching model. (2021). Ravazzolo, Francesco ; Casarin, Roberto ; Bulfone, Giacomo. In: Working Paper series. RePEc:rim:rimwps:21-09. Full description at Econpapers || Download paper |
| 2022 | Time-Varying Impacts of Macroeconomic Variables on Stock Market Returns and Volatility : Evidence from Pakistan. (2022). Jehan, Zainab ; Javed, Aamir ; Rashid, Abdul ; Iqbal, Uzma. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2022:i:3:p:144-166. Full description at Econpapers || Download paper |
| 2021 | Markowitz 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. Full description at Econpapers || Download paper |
| 2021 | Investor behavior and weather factors: evidences from Asian region. (2021). Kathiravan, Chinnadurai ; Venkateswar, Sankaran ; Selvam, Murugesan ; Balakrishnan, S. In: Annals of Operations Research. RePEc:spr:annopr:v:299:y:2021:i:1:d:10.1007_s10479-019-03335-7. Full description at Econpapers || Download paper |
| 2022 | Revisiting the relationship between spot and futures markets: evidence from commodity markets and NARDL framework. (2022). Louhichi, Wael ; Ftiti, Zied ; ben Ameur, Hachmi. In: Annals of Operations Research. RePEc:spr:annopr:v:313:y:2022:i:1:d:10.1007_s10479-021-04172-3. Full description at Econpapers || Download paper |
| 2022 | Cue the volatility spillover in the cryptocurrency markets during the COVID-19 pandemic: evidence from DCC-GARCH and wavelet analysis. (2022). Özdemir, Onur. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-021-00319-0. Full description at Econpapers || Download paper |
| 2022 | The link between regional CDS spreads and equity returns: a multivariate GARCH approach. (2022). Manicaro, Christian. In: SN Business & Economics. RePEc:spr:snbeco:v:2:y:2022:i:2:d:10.1007_s43546-021-00197-9. Full description at Econpapers || Download paper |
| 2021 | An Empirical Analysis of Stochastic Dominance and Portfolio Selection in the Stock Market: Evidence from Nigeria. (2021). Ogbeide, Sunday Oseiweh ; Eburajolo, Courage Ose. In: Izvestiya. RePEc:vrn:journl:y:2021:i:4:p:412-428. Full description at Econpapers || Download paper |
Works by Christian de Peretti:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2013 | IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES In: Manchester School. [Full Text][Citation analysis] | article | 12 |
| 2008 | Is 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. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2004 | Neural Tests for Conditional Heteroskedasticity in ARCH-M Models In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries In: Annals of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
| 2004 | Stopping Tests in the Sequential Estimation for Multiple Structural Breaks In: Econometric Society 2004 Latin American Meetings. [Full Text][Citation analysis] | paper | 6 |
| 2010 | A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2011 | A Nonlinear Panel Unit Root Test under Cross Section Dependence In: SIRE Discussion Papers. [Full Text][Citation analysis] | paper | 35 |
| 2007 | A nonlinear panel unit root test under cross section dependence.(2007) In: Documents de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2008 | A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2008) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2009 | A Nonlinear Panel Unit Root Test under Cross Section Dependence.(2009) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2011 | A nonlinear panel unit root test under cross section dependence.(2011) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
| 2007 | Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 2 |
| 2010 | Graphical methods for investigating the finite-sample properties of confidence regions In: Computational Statistics & Data Analysis. [Full Text][Citation analysis] | article | 1 |
| 2012 | Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 53 |
| 2020 | Dynamics and causality in distribution between spot and future precious metals: A copula approach In: Resources Policy. [Full Text][Citation analysis] | article | 13 |
| 2021 | Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches In: Resources Policy. [Full Text][Citation analysis] | article | 2 |
| 2019 | Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 3 |
| 2020 | The role of political patronage in the risk-taking behaviour of banks in the Middle East and North Africa In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 1 |
| 2019 | International risk spillover in sovereign credit markets: an empirical analysis In: Managerial Finance. [Full Text][Citation analysis] | article | 1 |
| 2017 | International risk spillover in the sovereign credit markets: An empirical analysis.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2008 | Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: A Gap in the Literature? A New Proposal In: Documents de recherche. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Confidence Region for long memory based on Inverting Bootstrap Tests: an application to Stock Market Indices In: Documents de recherche. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier In: Post-Print. [Full Text][Citation analysis] | paper | 0 |
| 2015 | A New Approach in Nonparametric Estimation of Returns in Mean-Downside Risk Portfolio frontier.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier In: Post-Print. [Full Text][Citation analysis] | paper | 6 |
| 2018 | Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier.(2018) In: Annals of Operations Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2009 | A strong hysteretic model of Okun’s Law: theory and a preliminary investigation In: Post-Print. [Citation analysis] | paper | 27 |
| 2009 | A strong hysteretic model of Okuns Law: Theory and a preliminary investigation.(2009) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 27 | paper | |
| 2009 | A strong hysteretic model of Okuns Law: theory and a preliminary investigation.(2009) In: International Review of Applied Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 27 | article | |
| 2018 | The Credit Default Swap market contagion during recent crises: International evidence In: Post-Print. [Full Text][Citation analysis] | paper | 6 |
| 2019 | The Credit Default Swap market contagion during recent crises: international evidence.(2019) In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2017 | “Reserve modelling and the aggregation of risks using time varying copula models In: Post-Print. [Citation analysis] | paper | 3 |
| 2018 | Are financial markets efficient at a high frequency? A neural network and Pattern recognition analysis In: Post-Print. [Citation analysis] | paper | 0 |
| 2017 | Do political connections affect banks leverage? Evidence from some MENA countries In: Post-Print. [Citation analysis] | paper | 0 |
| 2017 | Claims reserving modelling with a novel dynamic Generalized Autoregressive Conditional Sinistrality Model In: Post-Print. [Citation analysis] | paper | 0 |
| 2016 | Pricing Perpetual Turbo-Warrants In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Median-Based Nonparametric Estimation of Returns in Mean-Down Side Risk Portfolio Frontier In: Post-Print. [Citation analysis] | paper | 0 |
| 2014 | Effect of the Use of Derivative Instruments on Bank’s Performance: Evidence from Emerging and Recently Developed Countries In: Post-Print. [Citation analysis] | paper | 0 |
| 2015 | Le traitement de l’incertitude dans les évaluations médico-économiques In: Post-Print. [Citation analysis] | paper | 0 |
| 2017 | The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan In: Post-Print. [Citation analysis] | paper | 0 |
| 2016 | Solvency capital requirement for a temporal dependent losses in insurance In: Post-Print. [Citation analysis] | paper | 3 |
| 2015 | The Effect of Derivative Instrument Use on stock return performance: Evidence from Banks in Emerging and Recently Developed Countries In: Post-Print. [Citation analysis] | paper | 0 |
| 2016 | Does derivative instruments use increase accounting performance of banks in emerging and recently developed countries In: Post-Print. [Citation analysis] | paper | 1 |
| 2011 | Pegfilgrastim 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. [Citation analysis] | paper | 0 |
| 2016 | A cost-effectiveness analysis of the ZIRA test in breast cancer In: Post-Print. [Citation analysis] | paper | 0 |
| 2016 | Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2016 | Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2017 | Do political connections affect banks leverage? Evidence from some Middle Eastern and North African countries In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2019 | Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries.(2019) In: Journal of Management & Governance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2020 | Is 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. [Full Text][Citation analysis] | paper | 1 |
| 2018 | On the Informational Market Efficiency of the Worldwide Sovereign Credit Default Swap In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Nonlinearities in the oil fluctuation effects on the sovereign credit risk: A Self-Exciting Threshold Autoregression approach In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2018 | The role of political patronage on risk-taking behavior of banks in Middle East and North Africa region In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2019 | The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2018 | Forecasting sovereign CDS volatility: A comparison of univariate GARCH-class models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market In: Computational Economics. [Full Text][Citation analysis] | article | 5 |
| 2002 | unilateral and bilateral bootstrap tests for long memory In: Computing in Economics and Finance 2002. [Citation analysis] | paper | 0 |
| 2006 | Bootstrapping Neural tests for conditional heteroskedasticity In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: an application to long memory In: Computing in Economics and Finance 2006. [Full Text][Citation analysis] | paper | 0 |
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