Raphael Douady : Citation Profile


Are you Raphael Douady?

7

H index

5

i10 index

122

Citations

RESEARCH PRODUCTION:

9

Articles

35

Papers

2

Chapters

RESEARCH ACTIVITY:

   21 years (1999 - 2020). See details.
   Cites by year: 5
   Journals where Raphael Douady has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 4 (3.17 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pdo453
   Updated: 2021-06-07    RAS profile: 2019-02-16    
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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 Raphael Douady.

Is cited by:

Blanchet, Thomas (8)

Gethin, Amory (5)

Ashraf, Badar Nadeem (3)

Potters, Marc (3)

Flores, Ignacio (3)

Martinez Peria, Maria (2)

Schlogl, Erik (2)

Cerutti, Eugenio (2)

Leung, Tim (2)

Masih, Abul (2)

Chowdhury, Mohammad Ashraful Ferdous (2)

Cites to:

Demirguc-Kunt, Asli (9)

Laeven, Luc (7)

Acharya, Viral (7)

Levine, Ross (6)

Shleifer, Andrei (5)

Kane, Edward (5)

La Porta, Rafael (5)

Berger, Allen (5)

Lopez-de-Silanes, Florencio (5)

Detragiache, Enrica (4)

Brunnermeier, Markus (3)

Main data


Where Raphael Douady has published?


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

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 (2021 and 2020)


YearTitle of citing document
2020Multiple yield curve modelling with CBI processes. (2019). Gnoatto, Alessandro ; Szulda, Guillaume ; Fontana, Claudio. In: Papers. RePEc:arx:papers:1911.02906.

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2020Stocks and Cryptocurrencies: Anti-fragile or Robust?. (2020). Jos'e Mateos, ; Gershenson, Carlos ; Alatorre, Dar'Io. In: Papers. RePEc:arx:papers:2005.13033.

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2020Antifragility as a design criterion for modelling dynamic systems. (2020). Grossler, Andreas ; de Bruijn, Harald ; Videira, Nuno. In: Systems Research and Behavioral Science. RePEc:bla:srbeha:v:37:y:2020:i:1:p:23-37.

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2020The role of bank analysts and scores in the prediction of financial distress: Evidence from French farms. (2020). Enjolras, Geoffroy ; Madis, Philippe. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00261.

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2020A consistent stochastic model of the term structure of interest rates for multiple tenors. (2020). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300312.

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2021Large portfolio losses in a turbulent market. (2021). Yang, Yang ; Tong, Zhiwei ; Tang, Qihe. In: European Journal of Operational Research. RePEc:eee:ejores:v:292:y:2021:i:2:p:755-769.

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2020Revisiting the impact of institutional quality on post-GFC bank risk-taking: Evidence from emerging countries. (2020). Masih, Abul ; Chowdhury, Mohammad Ashraful Ferdous ; Sajib, Sanjay Deb ; Uddin, Ajim. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014118302590.

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2020On the statistical differences between binary forecasts and real-world payoffs. (2020). Taleb, Nassim Nicholas. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1228-1240.

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2020Earnings distributions of scalable vs. non-scalable occupations. (2020). Da Silva, Sergio ; Maia, Adriano ; Matsushita, Raul. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:560:y:2020:i:c:s037843712030621x.

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2021Entropy-based goal-oriented emergence management in self-organizing systems through feedback control loop: A case study in NASA ANTS mission. (2021). Masoumi, Behrooz ; Nazemi, Eslam ; Kalantari, Somayeh. In: Reliability Engineering and System Safety. RePEc:eee:reensy:v:210:y:2021:i:c:s0951832021000685.

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2020Capital regulation, deposit insurance and bank risk: International evidence from normal and crisis periods. (2020). Ashraf, Badar Nadeem ; Qian, Ningyu ; Jiang, Chonghui ; Zheng, Changjun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531918311231.

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2020Sustainable Agroforestry Landscape Management: Changing the Game. (2020). Pea-Claros, Marielos ; Kimbowa, George ; Muthuri, Catherine ; Andreotti, Federico ; Ligtenberg, Arend ; Lagneaux, Elisabeth ; Adiwibowo, Soeryo ; Wamucii, Charles Nduhiu ; Satnarain, Usha ; Hakim, Arief Lukman ; Sari, Rika Ratna ; Miccolis, Andrew ; Teuling, Adriaan J ; Rosero, Paulina ; Abdurrahim, Ali Yansyah ; Suprayogo, Didik ; Githinji, Margaret ; Farida, AI ; Rozendaal, Danae ; Tanika, Lisa ; Hofstede, Gert Jan ; van Oel, Pieter ; Best, Lisa ; Speelman, Erika ; Purwanto, Edi ; Comlan, Gildas Geraud ; van Noordwijk, Meine. In: Land. RePEc:gam:jlands:v:9:y:2020:i:8:p:243-:d:389422.

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Towards a Pro-Silience Framework: A Literature Review on Quantitative Modelling of Resilient 3PL Supply Chain Network Designs. (2020). Krikke, Harold ; Gkanatsas, Evangelos. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:10:p:4323-:d:362732.

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2021COVID-19 Pandemic and Agroecosystem Resilience: Early Insights for Building Better Futures. (2021). Muthee, Kennedy ; Minang, Peter A ; van Noordwijk, Meine ; Duguma, Lalisa A. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1278-:d:487200.

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2020SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE. (2020). Douady, Raphael ; Cao, Zeyu. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03018478.

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2020Crisis Risk Prediction with Concavity from Polymodel. (2020). Douady, Raphael ; Kuang, Yao. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:hal-03018481.

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2020Why Is Europe More Equal Than the United States?. (2020). Gethin, Amory ; Blanchet, Thomas ; Chancel, Lucas. In: PSE Working Papers. RePEc:hal:psewpa:halshs-03022133.

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2020Why Is Europe More Equal Than the United States?. (2020). Gethin, Amory ; Blanchet, Thomas ; Chancel, Lucas. In: World Inequality Lab Working Papers. RePEc:hal:wilwps:halshs-03022133.

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2020SABR TYPE STOCHASTIC VOLATILITY OPERATOR IN HILBERT SPACE. (2020). Douady, Raphael ; Cao, Zeyu. In: Working Papers. RePEc:hal:wpaper:hal-03018478.

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2020Crisis Risk Prediction with Concavity from Polymodel. (2020). Douady, Raphael ; Kuang, Yao. In: Working Papers. RePEc:hal:wpaper:hal-03018481.

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2020Why Is Europe More Equal Than the United States?. (2020). Blanchet, Thomas ; Gethin, Amory ; Chancel, Lucas. In: Working Papers. RePEc:hal:wpaper:halshs-03022133.

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2020Identifying financial instability conditions using high frequency data. (2020). Mancino, Maria Elvira ; Sanfelici, Simona. In: Journal of Economic Interaction and Coordination. RePEc:spr:jeicoo:v:15:y:2020:i:1:d:10.1007_s11403-019-00253-6.

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2020Revisiting the impact of institutional quality on post-GFC bank risk-taking: Evidence from emerging countries. (2020). Masih, Abul ; Chowdhury, Mohammad Ashraful Ferdous ; Sajib, Sanjay Deb ; Uddin, Ajim. In: Emerging Markets Review. RePEc:eee:ememar:v:42:y:2020:i:c:s1566014118302590.

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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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paper0
2012Mathematical Definition, Mapping, and Detection of (Anti)Fragility In: Papers.
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paper16
2013Mathematical Definition, Mapping, and Detection of (Anti)fragility.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper
2014Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 16
paper
2014Mathematical Definition, Mapping, and Detection of (Anti)Fragility.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper
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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paper13
2015On the super-additivity and estimation biases of quantile contributions.(2015) In: Physica A: Statistical Mechanics and its Applications.
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This paper has another version. Agregated cites: 13
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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paper
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: 13
paper
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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paper
2014The Precautionary Principle (with Application to the Genetic Modification of Organisms) In: Papers.
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paper3
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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paper
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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article
2017Introduction In: Accounting, Economics, and Law: A Convivium.
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article0
2015Bank regulation, risk and return: Evidence from the credit and sovereign debt crises In: Journal of Banking & Finance.
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article17
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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paper
2018Systemic Risk Indicators Based on Nonlinear PolyModel In: Journal of Risk and Financial Management.
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article4
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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paper5
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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paper7
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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This paper has another version. Agregated cites: 7
paper
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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paper3
2000On Probability Characteristics of Downfalls in a Standard Brownian Motion In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper10
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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paper1
2013Lois: credit and liquidity In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper8
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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paper0
2015Capital Adequacy, Pro-cyclicality and Systemic Risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper0
2014Modèles mathématiques et crise financière In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2020Repurchase 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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chapter
2002BERMUDAN OPTION PRICING WITH MONTE-CARLO METHODS In: World Scientific Book Chapters.
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chapter1

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