Mathieu Gex : Citation Profile


Are you Mathieu Gex?

Banque de France

7

H index

7

i10 index

265

Citations

RESEARCH PRODUCTION:

10

Articles

4

Papers

RESEARCH ACTIVITY:

   7 years (2006 - 2013). See details.
   Cites by year: 37
   Journals where Mathieu Gex has often published
   Relations with other researchers
   Recent citing documents: 62.    Total self citations: 2 (0.75 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pge197
   Updated: 2020-08-01    RAS profile: 2014-03-31    
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Relations with other researchers


Works with:

Coudert, Virginie (2)

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

Is cited by:

Bekaert, Geert (11)

Hoerova, Marie (9)

cotter, john (8)

Delatte, Anne-Laure (7)

Augustin, Patrick (6)

Shahzad, Syed Jawad Hussain (6)

Avino, Davide (6)

de Peretti, Christian (5)

Fouquau, Julien (5)

Kliber, Agata (5)

Brana, Sophie (5)

Cites to:

Pedroni, Peter (5)

Norden, Lars (4)

Gonzalo, Jesus (4)

Weber, Martin (4)

Engle, Robert (4)

de Vries, Casper (4)

Straetmans, Stefan (3)

Coudert, Virginie (3)

Blanco, Roberto (3)

Marsh, Ian (3)

Stulz, René (3)

Main data


Where Mathieu Gex has published?


Journals with more than one article published# docs
Financial Stability Review4

Working Papers Series with more than one paper published# docs
Working Papers / CEPII research center4

Recent works citing Mathieu Gex (2018 and 2017)


YearTitle of citing document
2017Panel Smooth Transition Regression Models. (2017). Yang, Yukai ; van Dijk, Dick ; Teräsvirta, Timo ; Gonzalez, Andres ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-36.

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2019An Integrated Early Warning System for Stock Market Turbulence. (2019). Ma, YE ; Zong, LU ; Wang, Peiwan. In: Papers. RePEc:arx:papers:1911.12596.

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2019Measuring contagion risk in international banking. (2019). Giudici, Paolo ; Avdjiev, Stefan ; Spelta, Alessandro. In: BIS Working Papers. RePEc:bis:biswps:796.

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2018Sovereign Risk and Asset Market Dynamics in the Euro Area. (2018). Perego, Erica. In: Working Papers. RePEc:cii:cepidt:2018-18.

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2017Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: Documentos CEDE. RePEc:col:000089:015606.

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2018CDS market structure and risk flows: the Dutch case. (2018). Lelyveld, Iman ; Kroon, Sinziana ; van Lelyveld, Iman ; Petrescu, Sinziana Kroon ; de Sousa, Rene ; Levels, Anouk. In: DNB Working Papers. RePEc:dnb:dnbwpp:592.

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2018Discretionary fiscal policy and sovereign risk. (2018). Montes, Gabriel ; Valpassos, Iven Silva. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00081.

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2017Linkages and Efficiency Between iTraxx Europe and Financial Market Dynamics in South-East Europe Capital Markets in Post-crisis Period. (2017). Paskaleva, Mariya ; Stoitsova-Stoykova, Ani . In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-03-24.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Dossougoin, Cyrille ; Debarsy, Nicolas ; Ertur, Cem. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:87:y:2018:i:c:p:21-45.

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2018Sectoral dynamics of financial contagion in Europe - The cases of the recent crises episodes. (2018). Alexakis, Christos ; Pappas, Vasileios. In: Economic Modelling. RePEc:eee:ecmode:v:73:y:2018:i:c:p:222-239.

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2019Has the Grexit news affected euro area financial markets?. (2019). Gregori, Wildmer Daniel ; Sacchi, Agnese. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:49:y:2019:i:c:p:71-84.

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2020Sovereign default risk, debt uncertainty and fiscal credibility: The case of Brazil. (2020). Souza, Ivan ; Montes, Gabriel Caldas. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818302316.

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2020Predicting stock market crises using daily stock market valuation and investor sentiment indicators. (2020). Wu, Xiang ; Liu, Yufang ; Zhou, Qingling ; Fu, Junhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304108.

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2018Immunity and infection: Emerging and developed market sovereign spreads over the Global Financial Crisis. (2018). Wu, Eliza ; Thorp, Susan ; Cayon, Edgardo. In: Emerging Markets Review. RePEc:eee:ememar:v:34:y:2018:i:c:p:162-174.

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2020Risk appetite and oil prices. (2020). Idilbi-Bayaa, Yasmeen ; Qadan, Mahmoud. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s0140988319303901.

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2018Future directions in international financial integration research - A crowdsourced perspective. (2018). Zaghini, Andrea ; Piljak, Vanja ; Kearney, Fearghal ; Fernandez, Viviana ; Gogolin, Fabian ; Versteeg, Roald ; Ly, Kim Cuong ; Urquhart, Andrew ; Lonarski, Igor ; Dimic, Nebojsa ; Stafylas, Dimitrios ; Lindblad, Annika ; Carchano, Oscar ; Sheng, Xin ; Larkin, Charles J ; Brzeszczynski, Janusz ; Sevic, Aleksandar ; Laing, Elaine ; Barbopoulos, Leonidas ; Ballester, Laura ; Ohagan-Luff, Martha ; Ichev, Riste ; Yarovaya, Larisa ; Vigne, Samuel A ; Neville, Conor ; Helbing, Pia ; Wolfe, Simon ; Lucey, Brian M ; McGroarty, Frank ; Goodell, John W ; Vu, Anh N ; McGee, Richard J ; Gonzalez-Urteaga, Ana ; Marin, Matej . In: International Review of Financial Analysis. RePEc:eee:finana:v:55
2017Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust. (2017). Tamarit, Cecilio ; Paniagua, Jordi ; Sapena, Juan. In: Journal of Financial Stability. RePEc:eee:finsta:v:33:y:2017:i:c:p:187-206.

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2018How did the Greek credit event impact the credit default swap market?. (2018). Halaj, Grzegorz ; Scheicher, Martin ; Peltonen, Tuomas A ; Haaj, Grzegorz. In: Journal of Financial Stability. RePEc:eee:finsta:v:35:y:2018:i:c:p:136-158.

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2019Measuring contagion risk in international banking. (2019). Giudici, Paolo ; Avdjiev, Stefan ; Spelta, A. In: Journal of Financial Stability. RePEc:eee:finsta:v:42:y:2019:i:c:p:36-51.

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2020Systemic risk and financial stability dynamics during the Eurozone debt crisis. (2020). Kouretas, Georgios ; Bratis, Theodoros ; Laopodis, Nikiforos T. In: Journal of Financial Stability. RePEc:eee:finsta:v:47:y:2020:i:c:s1572308920300012.

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2018Disentangling the relationship between liquidity and returns in Latin America. (2018). Taborda, Rodrigo ; French, Joseph. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:23-40.

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2018Forecasting currency crises with threshold models. (2018). CHONG, Terence Tai Leung ; Yan, Isabel K. In: International Economics. RePEc:eee:inteco:v:156:y:2018:i:c:p:156-174.

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2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

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2019Asset pricing factors and bank CDS spreads. (2019). Koutmos, Dimitrios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:19-41.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: International Journal of Forecasting. RePEc:eee:intfor:v:35:y:2019:i:1:p:25-44.

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2019The implications of heterogeneous habit in consumer beverage purchases on soda and sin taxes. (2019). Li, Wenying ; Dorfman, Jeffrey H. In: Food Policy. RePEc:eee:jfpoli:v:84:y:2019:i:c:p:111-120.

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2020Sovereign risk evaluation for European Union countries. (2020). Deligiannakis, Emmanouil ; Agiakloglou, Christos. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306175.

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2017Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. (2017). Shahzad, Syed Jawad Hussain ; Mensi, walid ; Kumar, Ronald ; Hussain, Syed Jawad ; Nor, Safwan Mohd. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:310-324.

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2017Directional and bidirectional causality between U.S. industry credit and stock markets and their determinants. (2017). Shahzad, Syed Jawad Hussain ; Shahbaz, Muhammad ; Hussain, Syed Jawad ; Hammoudeh, Shawkat ; Nor, Safwan Mohd. In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:46-61.

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2017Sentiment, foreign equity flows, and returns: Evidence from Thailand’s stock markets. (2017). French, Joseph ; Li, Wei-Xuan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:816-831.

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2018Is Thailand’s credit default swap market linked to bond and stock markets? Evidence from the term structure of credit spreads. (2018). Jitmaneeroj, Boonlert. In: Research in International Business and Finance. RePEc:eee:riibaf:v:46:y:2018:i:c:p:324-341.

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2018Sovereign risk and asset market dynamics in the euro area. (2018). Perego, Erica. In: Documents de recherche. RePEc:eve:wpaper:18-01.

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2019CDS Auctions: An Overview. (2019). Sultanum, Bruno ; Tobin, Elliot ; Paulos, Erica. In: Economic Quarterly. RePEc:fip:fedreq:00067.

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2020Do Machine Learning Techniques and Dynamic Methods Help Forecast US Natural Gas Crises?. (2020). Hamori, Shigeyuki ; Zhang, Wenting. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:9:p:2371-:d:355916.

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2018Bond Yields, Sovereign Risk and Maturity Structure. (2018). Gonzalez-Fernandez, Marcos ; Gonzalez-Velasco, Carmen. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:109-:d:172937.

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2018Regime-Switching Determinants for Spreads of Emerging Markets Sovereign Credit Default Swaps. (2018). Ma, Jason Z ; Tsai, Sang-Bing ; Ho, Kung-Cheng ; Deng, Xiang. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:8:p:2730-:d:161653.

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2018The Credit Default Swap market contagion during recent crises: International evidence. (2018). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Post-Print. RePEc:hal:journl:hal-01572510.

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2018Measuring sovereign risk spillovers and assessing the role of transmission channels: A spatial econometrics approach. (2018). Gnabo, Jean-Yves ; Debarsy, Nicolas ; Ertur, Cem ; Dossougoin, Cyrille. In: Post-Print. RePEc:hal:journl:hal-01744629.

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2017The Credit Default Swap market contagion during recent crises: International evidence. (2017). Hmaied, Dorra ; de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01572510.

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2017International risk spillover in the sovereign credit markets: An empirical analysis. (2017). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01652526.

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2018On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market. (2018). de Peretti, Christian ; Sabkha, Saker. In: Working Papers. RePEc:hal:wpaper:hal-01710398.

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2018Financial Crises, Macroeconomic Shocks, and the Government Balance Sheet: A Panel Analysis. (2018). Ruzzante, Matteo. In: IMF Working Papers. RePEc:imf:imfwpa:18/93.

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2017Has the Grexit news affected euro area financial markets?. (2017). Sacchi, Agnese ; Gregori, Wildmer Daniel. In: Working Papers. RePEc:jrs:wpaper:201713.

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2018Pricing Credit Default Swaps Under Multifactor Reduced-Form Models: A Differential Quadrature Approach. (2018). Andreoli, Alessandro ; Pacelli, Graziella ; Ballestra, Luca Vincenzo. In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:3:d:10.1007_s10614-016-9608-x.

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2019Do Energy and Banking CDS Sector Spreads Reflect Financial Risks and Economic Policy Uncertainty? A Time-Scale Decomposition Approach. (2019). Tiwari, Aviral Kumar ; Hammoudeh, Shawkat ; Naifar, Nader. In: Computational Economics. RePEc:kap:compec:v:54:y:2019:i:2:d:10.1007_s10614-018-9838-1.

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2018Optimal Portfolios with Credit Default Swaps. (2018). Ambrosini, Giuseppe ; Menoncin, Francesco. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:54:y:2018:i:1:d:10.1007_s10693-016-0264-z.

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2019Portfolio benefits of adding corporate credit default swap indices: evidence from North America and Europe. (2019). Wengerek, Sascha Tobias ; Uhde, Andre ; Hippert, Benjamin. In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:2:d:10.1007_s11147-018-9148-8.

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2019The Credit Default Swap market contagion during recent crises: international evidence. (2019). de Peretti, Christian ; Hmaied, Dorra ; Sabkha, Saker. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:53:y:2019:i:1:d:10.1007_s11156-018-0741-6.

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2019The Effect of the PSI in the Relationship Between Sovereign and Bank Credit Risk: Evidence from the Euro Area. (2019). Margaritis, Dimitris ; Psillaki, Maria ; Papafilis, Michalis-Panayiotis. In: Multinational Finance Journal. RePEc:mfj:journl:v:23:y:2019:i:3-4:p:211-272.

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2019The Time Variation in Risk Appetite and Uncertainty. (2019). Bekaert, Geert ; Xu, Nancy R ; Engstrom, Eric C. In: NBER Working Papers. RePEc:nbr:nberwo:25673.

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2019On the informational market efficiency of the worldwide sovereign credit default swaps. (2019). Hmaied, Dorra ; Peretti, Christian ; Sabkha, Saker. In: Journal of Asset Management. RePEc:pal:assmgt:v:20:y:2019:i:7:d:10.1057_s41260-019-00142-4.

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2018Does Economic Policy Uncertainty Lead Systemic Risk? A Comparative Analysis of Selected European Countries. (2018). Karminsky, Alexandr ; Shchepeleva, Maria ; Stolbov, Mikhail. In: Comparative Economic Studies. RePEc:pal:compes:v:60:y:2018:i:3:d:10.1057_s41294-018-0065-5.

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2019Volatility relation between credit default swap and stock market: new empirical tests. (2019). Mateev, Miroslav. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:43:y:2019:i:4:d:10.1007_s12197-018-9467-5.

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2017Bank-sovereign ties against interbank market integration: the case of the Italian segment. (2017). Popoyan, Lilit ; Saroyan, Susanna . In: LEM Papers Series. RePEc:ssa:lemwps:2017/02.

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2017Monitoring systemic risk in the hedge fund sector. (2017). Hespeler, Frank ; Loiacono, Giuseppe . In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:12:p:1859-1883.

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2019Credit Default Swap Regulation in Experimental Bond Markets. (2019). Weber, Matthias ; Schram, Arthur ; Duffy, John. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190039.

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2020Forecasting Stock Market Recessions in the US: Predictive Modeling using Different Identification Approaches. (2020). Neuenkirch, Matthias ; Haase, Felix. In: Research Papers in Economics. RePEc:trr:wpaper:202001.

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2019Credit Default Swap Regulation in Experimental Bond Markets. (2019). Weber, Matthias ; Schram, Arthur ; Duffy, John. In: Working Papers on Finance. RePEc:usg:sfwpfi:2019:05.

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2018Asymmetric and nonlinear dynamics in sovereign credit risk markets. (2018). Benefield, Parker ; Ngene, Geoffrey M ; Lynch, Allen K. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:38:y:2018:i:5:p:563-585.

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2019Volatility index and the return–volatility relation: Intraday evidence from Chinese options market. (2019). Yu, Xiaoli ; Li, Jupeng ; Luo, Xingguo. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:11:p:1348-1359.

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2018Regime-switching determinants of emerging markets sovereign credit risk swaps spread. (2018). Tsai, Sang-Bing ; Ho, Kung-Cheng ; Deng, Xiang ; Ma, Jason Z. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201852.

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2019Measuring connectedness of euro area sovereign risk. (2019). Schienle, Melanie ; Buse, Rebekka. In: Working Paper Series in Economics. RePEc:zbw:kitwps:123.

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Works by Mathieu Gex:


YearTitleTypeCited
2006Can risk aversion indicators anticipate financial crises? In: Financial Stability Review.
[Citation analysis]
article15
2009Credit default swaps and financial stability: risks and regulatory issues. In: Financial Stability Review.
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article3
2010Credit default swap and bond markets: which leads the other? In: Financial Stability Review.
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article30
2013Why the Greek CDS settlement did not lead to the feared meltdown. In: Financial Stability Review.
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article6
2013The Interactions between the Credit Default Swap and the Bond Markets in Financial Turmoil In: Review of International Economics.
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article13
2011The Interactions Between the Credit Default Swap and the Bond Markets in Financial Turmoil.(2011) In: Working Papers.
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This paper has another version. Agregated cites: 13
paper
2007Does Risk Aversion Drive Financial Crises? Testing the Predictive Power of Empirical Indicators In: Working Papers.
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paper83
2008Does risk aversion drive financial crises? Testing the predictive power of empirical indicators.(2008) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 83
article
2008Contagion in the Credit Default Swap Market: the case of the GM and Ford Crisis in 2005 In: Working Papers.
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paper7
2010The Credit Default Swap Market and the Settlement of Large Defaults In: Working Papers.
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paper13
2010Contagion inside the credit default swaps market: The case of the GM and Ford crisis in 2005 In: Journal of International Financial Markets, Institutions and Money.
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article26
2012Has the CDS market influenced the borrowing cost of European countries during the sovereign crisis? In: Journal of International Money and Finance.
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article63
2010Le règlement des défauts sur le marché des credit default swaps : le cas de Lehman Brothers In: Revue d'Économie Financière.
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article3
2010Disrupted links between credit default swaps, bonds and equities during the GM and Ford crisis in 2005 In: Applied Financial Economics.
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article3

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