Raphael Douady : Citation Profile


Are you Raphael Douady?

5

H index

1

i10 index

70

Citations

RESEARCH PRODUCTION:

9

Articles

35

Papers

2

Chapters

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 3
   Journals where Raphael Douady has often published
   Relations with other researchers
   Recent citing documents: 32.    Total self citations: 4 (5.41 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdo453
   Updated: 2019-10-06    RAS profile: 2019-02-16    
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Relations with other researchers


Works with:

Andriosopoulos, Dimitris (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Raphael Douady.

Is cited by:

Potters, Marc (3)

Anginer, Deniz (2)

Ramírez, Guillermo (2)

Ashraf, Badar Nadeem (2)

Cerutti, Eugenio (2)

Leung, Tim (2)

Mollah, Sabur (1)

HENNANI, Rachida (1)

Fournier, Juliette (1)

Kalyvas, Antonios (1)

Sosvilla-Rivero, Simon (1)

Cites to:

Demirguc-Kunt, Asli (9)

Laeven, Luc (7)

Levine, Ross (6)

Acharya, Viral (6)

La Porta, Rafael (5)

Kane, Edward (5)

Lopez-de-Silanes, Florencio (5)

Shleifer, Andrei (5)

Berger, Allen (5)

Detragiache, Enrica (4)

Djankov, Simeon (3)

Main data


Where Raphael Douady has published?


Journals with more than one article published# docs
Quantitative Finance2
International Journal of Theoretical and Applied Finance (IJTAF)2

Working Papers Series with more than one paper published# docs
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL24
Documents de travail du Centre d'Economie de la Sorbonne / Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne6
Papers / arXiv.org5

Recent works citing Raphael Douady (2018 and 2017)


YearTitle of citing document
2017Big is Fragile: An Attempt at Theorizing Scale. (2017). Flyvbjerg, Bent ; Lunn, Daniel ; Budzier, Alexander ; Ansar, Atif . In: Papers. RePEc:arx:papers:1603.01416.

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2017A Unified Approach for Drawdown (Drawup) of Time-Homogeneous Markov Processes. (2017). Landriault, David ; Zhang, Hongzhong ; Li, Bin. In: Papers. RePEc:arx:papers:1702.07786.

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2017Topological Data Analysis of Financial Time Series: Landscapes of Crashes. (2017). Katz, Yuri ; Gidea, Marian . In: Papers. RePEc:arx:papers:1703.04385.

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2017Gini estimation under infinite variance. (2017). Fontanari, Andrea ; Cirillo, Pasquale ; Taleb, Nassim Nicholas. In: Papers. RePEc:arx:papers:1707.01370.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Mazzarisi, Piero ; Marmi, Stefano ; Lillo, Fabrizio. In: Papers. RePEc:arx:papers:1805.00785.

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2018A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2018). Alfeus, Mesias ; Schlogl, Erik ; Grasselli, Martino. In: Papers. RePEc:arx:papers:1809.06643.

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2018Stabilising virtues of central banks: (re)matching bank liquidity. (2018). Szczerbowicz, Urszula ; Valla, N ; Rahmouni-Rousseau, I ; Legroux, V. In: Working papers. RePEc:bfr:banfra:667.

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2018THE ROLE OF REGULATORY ARBITRAGE IN U.S. BANKS INTERNATIONAL FLOWS: BANK‐LEVEL EVIDENCE. (2018). Temesvary, Judit. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:4:p:2077-2098.

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2017Generalized Pareto Curves: Theory and Applications. (2017). Piketty, Thomas ; Blanchet, Thomas ; Fournier, Juliette. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12404.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2018Does institutional quality condition the effect of bank regulations and supervision on bank stability? Evidence from emerging and developing economies. (2018). Kalyvas, Antonios ; Nguyen, Thanh Cong ; Bermpei, Theodora. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:255-275.

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2017Political institutions and bank risk-taking behavior. (2017). Ashraf, Badar Nadeem. In: Journal of Financial Stability. RePEc:eee:finsta:v:29:y:2017:i:c:p:13-35.

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2018Bank capital, institutional environment and systemic stability. (2018). Mare, Davide Salvatore ; Demirguc-Kunt, Asli ; Demirgu-Kunt, Asli ; Anginer, Deniz. In: Journal of Financial Stability. RePEc:eee:finsta:v:37:y:2018:i:c:p:97-106.

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2017Interbank interest rates: Funding liquidity risk and XIBOR basis spreads. (2017). Gallitschke, Janek ; Seifried, Frank Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:142-152.

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2017Foreign bank subsidiaries default risk during the global crisis: What factors help insulate affiliates from their parents?. (2017). Cerutti, Eugenio ; Anginer, Deniz ; Martinez, Maria Soledad. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:29:y:2017:i:c:p:19-31.

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2018Gini estimation under infinite variance. (2018). Fontanari, Andrea ; Cirillo, Pasquale ; Taleb, Nassim Nicholas. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:502:y:2018:i:c:p:256-269.

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2017A framework for the quantitative assessment of performance-based system resilience. (2017). Domerant, Jean Charles ; Mavris, Dimitri N ; Balchanos, Michael ; Tran, Huy T. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:158:y:2017:i:c:p:73-84.

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2017Assessing contaminated land cleanup costs and strategies. (2017). Barrieu, Pauline ; Sinclair-Desgagne, Bernard ; Bellamy, Nadine. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68198.

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2018Masked Instability: Within-Sector Financial Risk in the Presence of Wealth Inequality. (2018). Choi, Youngna . In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:65-:d:154885.

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2018Bank Stress Testing: A Stochastic Simulation Framework to Assess Banks’ Financial Fragility †. (2018). Montesi, Giuseppe ; Papiro, Giovanni. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:3:p:82-:d:164289.

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2017Do Security Prices Rise or Fall When Margins Are Raised?. (2017). Ramírez, Guillermo ; Bottazzi, Jean-Marc ; Ramirez, Guillermo ; Pascoa, Mario. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-01648215.

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2018Assessing disproportionality: indexes of policy responses to the 2007–2008 banking crisis. (2018). De Francesco, Fabrizio ; Maggetti, Martino. In: Policy Sciences. RePEc:kap:policy:v:51:y:2018:i:1:d:10.1007_s11077-017-9309-x.

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2018International Evidence on Risk Taking by Banks Around the Global Financial Crisis. (2018). Daniolu, Seza ; Haciomerolu, Hande Ayaydin ; Guner, Nuray Z. In: Emerging Markets Finance and Trade. RePEc:mes:emfitr:v:54:y:2018:i:9:p:1946-1962.

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2017Agri-food supply chain: evolution and performance with conflicting consumer and societal demands. (2017). Saitone, Tina L ; Sexton, Richard J. In: European Review of Agricultural Economics. RePEc:oup:erevae:v:44:y:2017:i:4:p:634-657..

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2017On the relationship between GHGs and Global Temperature Anomalies: Multi-level rolling analysis and Copula calibration. (2017). Agliardi, Elettra ; Cech, Christian ; Alexopoulos, Thomas . In: Working Paper series. RePEc:rim:rimwps:17-05.

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2019Robust Volatility Estimation with and Without the Drift Parameter. (2019). Maheswaran, S ; Shaik, Muneer . In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:17:y:2019:i:1:d:10.1007_s40953-018-0129-4.

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2017Do Security Prices Rise or Fall When Margins Are Raised?. (2017). Ramírez, Guillermo ; Bottazzi, Jean-Marc ; Ramirez, Guillermo ; Pascoa, Mario R. In: FEUNL Working Paper Series. RePEc:unl:unlfep:wp616.

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2019Stochastic Modelling of New Phenomena in Financial Markets. (2019). Alfeus, Mesias. In: PhD Thesis. RePEc:uts:finphd:1-2019.

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2017A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors. (2017). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Research Paper Series. RePEc:uts:rpaper:384.

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2018Stochastic Drawdowns. (2018). Zhang, Hongzhong. In: World Scientific Books. RePEc:wsi:wsbook:10078.

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2017Evaluating organizational antifragility via fuzzy logic. The case of an Iranian company producing banknotes and security paper.. (2017). Ghasemi, Ahmadreza ; Alizadeh, Mitra . In: Operations Research and Decisions. RePEc:wut:journl:v:2:y:2017:p:21-43:id:1311.

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Works by Raphael Douady:


YearTitleTypeCited
2009The StressVaR: A New Risk Concept for Superior Fund Allocation In: Papers.
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2012Mathematical Definition, Mapping, and Detection of (Anti)Fragility In: Papers.
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2013Mathematical Definition, Mapping, and Detection of (Anti)fragility.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Mathematical definition, mapping, and detection of (anti)fragility.(2013) In: Quantitative Finance.
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article
2014On the Super-Additivity and Estimation Biases of Quantile Contributions In: Papers.
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2015On the super-additivity and estimation biases of quantile contributions.(2015) In: Physica A: Statistical Mechanics and its Applications.
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article
2014On the Super-Additivity and Estimation Biases of Quantile Contributions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015On the Super-Additivity and Estimation Biases of Quantile Contributions.(2015) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 4
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2014On the Super-Additivity and Estimation Biases of Quantile Contributions.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2014The Precautionary Principle (with Application to the Genetic Modification of Organisms) In: Papers.
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2014The Precautionary Principle (with Application to the Genetic Modification of Organisms).(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017An Empirical Approach to Financial Crisis Indicators Based on Random Matrices In: Papers.
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2018AN EMPIRICAL APPROACH TO FINANCIAL CRISIS INDICATORS BASED ON RANDOM MATRICES.(2018) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2017Introduction In: Accounting, Economics, and Law: A Convivium.
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2015Bank regulation, risk and return: Evidence from the credit and sovereign debt crises In: Journal of Banking & Finance.
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2015Bank Regulation, Risk and Return: Evidence from the Credit and Sovereign Debt Crises.(2015) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2018Systemic Risk Indicators Based on Nonlinear PolyModel In: Journal of Risk and Financial Management.
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2011The Stress VaR: A New Risk Concept for Extreme Risk and Fund Allocation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Financial crisis dynamics: attempt to define a market instability indicator.(2012) In: Quantitative Finance.
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2013Yield Curve Smoothing and Residual Variance of Fixed Income Positions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Yield Curve Smoothing and Residual Variance of Fixed Income Positions.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Financial Crisis and Contagion: A Dynamical Systems Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014The Whys of the LOIS: Credit Skew and Funding Spread Volatility In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014The Whys of the LOIS: Credit Skew and Funding Spread Volatility.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2014Extreme Risk, excess return and leverage: the LP formula In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Extreme Risk, excess return and leverage: the LP formula.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2002STATIC HEDGING OF BARRIER OPTIONS WITH A SMILE: AN INVERSE PROBLEM In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2000On Probability Characteristics of Downfalls in a Standard Brownian Motion In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013The Whys of the LOIS: Credit Skew and Funding Rates Volatility In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Lois: credit and liquidity In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014A Non-cyclical Capital Adequacy Rule and the Aversion of Systemic Risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015Capital Adequacy, Pro-cyclicality and Systemic Risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Modèles mathématiques et crise financière In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017Repurchase agreements and systemic risk in the European sovereign debt crises: the role of European clearing houses In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017Hamiltonian Flow Simulation of Rare Events In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017Optimal Transport Filtering with Particle Reweighing in Finance In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015A Pratical Approach to Financial Crisis Indicators Based on Random Matrices In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015A Practical Approach to Financial Crisis Indicators Based on Random Matrices.(2015) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2010On measuring nonlinear risk with scarce observations In: Finance and Stochastics.
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1999CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION In: International Journal of Theoretical and Applied Finance (IJTAF).
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1999CLOSED FORM FORMULAS FOR EXOTIC OPTIONS AND THEIR LIFETIME DISTRIBUTION.(1999) In: World Scientific Book Chapters.
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2002BERMUDAN OPTION PRICING WITH MONTE-CARLO METHODS In: World Scientific Book Chapters.
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