Pierre Giot : Citation Profile


Are you Pierre Giot?

Université de Namur

17

H index

19

i10 index

1512

Citations

RESEARCH PRODUCTION:

23

Articles

77

Papers

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 75
   Journals where Pierre Giot has often published
   Relations with other researchers
   Recent citing documents: 107.    Total self citations: 25 (1.63 %)

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   Permalink: http://citec.repec.org/pgi19
   Updated: 2023-01-08    RAS profile: 2021-02-05    
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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 Pierre Giot.

Is cited by:

Degiannakis, Stavros (72)

Hautsch, Nikolaus (29)

Angelidis, Timotheos (28)

Bauwens, Luc (25)

GUPTA, RANGAN (25)

Dionne, Georges (19)

Fernandes, Marcelo (17)

Grammig, Joachim (17)

Floros, Christos (15)

Louzis, Dimitrios (15)

Nguyen, Duc Khuong (12)

Cites to:

Campbell, John (54)

Shiller, Robert (35)

Bollerslev, Tim (25)

Engle, Robert (22)

Bauwens, Luc (21)

Diebold, Francis (19)

Andersen, Torben (17)

French, Kenneth (11)

Veredas, David (10)

Gompers, Paul (9)

Jasiak, Joann (9)

Main data


Where Pierre Giot has published?


Journals with more than one article published# docs
The European Journal of Finance2
Journal of Futures Markets2
Journal of Empirical Finance2
International Journal of Forecasting2
Empirical Economics2

Working Papers Series with more than one paper published# docs
Post-Print / HAL10
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques2

Recent works citing Pierre Giot (2022 and 2021)


YearTitle of citing document
2022Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2022Machine Learning Classification of Price Extrema Based on Market Microstructure Features: A Case Study of S&P500 E-mini Futures. (2020). Arnaboldi, Luca ; Sokolovsky, Artur. In: Papers. RePEc:arx:papers:2009.09993.

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2021Improved ACD-based financial trade durations prediction leveraging LSTM networks and Attention Mechanism. (2021). Li, BO ; Long, Wen ; Dai, Wei ; Shi, Yong. In: Papers. RePEc:arx:papers:2101.02736.

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2022Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783.

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2021Optimal exit decision of venture capital under time-inconsistent preferences. (2021). Zhang, XU ; Li, Yongwu ; Ju'e Guo, . In: Papers. RePEc:arx:papers:2103.11557.

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2021The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298.

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2021On a quantile autoregressive conditional duration model applied to high-frequency financial data. (2021). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Papers. RePEc:arx:papers:2109.03844.

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2021Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300.

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2021Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376.

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2022Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213.

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2022An Agent-Based Model With Realistic Financial Time Series: A Method for Agent-Based Models Validation. (2022). de Faria, Luis Goncalves. In: Papers. RePEc:arx:papers:2206.09772.

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2021Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Kanda, Patrick. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:324-335.

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2022Conditional quantile analysis for realized GARCH models. (2022). Wang, Yazhen ; Oh, Minseog ; Kim, Donggyu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:4:p:640-665.

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2021Fast & furious: Do psychological and legal factors affect commodity price volatility?. (2021). Algieri, Bernardina. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:4:p:980-1017.

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2021Oil Price Volatility Models during Coronavirus Crisis: Testing with Appropriate Models Using Further Univariate GARCH and Monte Carlo Simulation Models. (2021). Hadhek, Zouhaier ; Bouazizi, Tarek ; Lassoued, Mongi. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2021-01-35.

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2021Asset liquidity and venture capital investment. (2021). Vo, Vinh ; Nguyen, Giang. In: Journal of Corporate Finance. RePEc:eee:corfin:v:69:y:2021:i:c:s0929119921000845.

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2022Venture capital investment in university spin-offs: Evidence from an emerging economy. (2022). Li, Dongfu Franco ; Harrison, Richard T ; Fu, Xiaoqing Maggie. In: Journal of Corporate Finance. RePEc:eee:corfin:v:74:y:2022:i:c:s0929119922000402.

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2021Identifying the role of consumer and producer price index announcements in stock index futures price changes. (2021). Zhao, Weidong ; Huang, Yuan ; Fang, XI ; Liu, Guofang. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:72:y:2021:i:c:p:87-101.

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2022Are high frequency traders responsible for extreme price movements?. (2022). Westerholm, Joakim P ; Prodromou, Tina. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:94-111.

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2021Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). Vargas, Nicolas ; Petitjean, Mikael ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

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2021Fundamental volatility and informative trading volume in a rational expectations equilibrium. (2021). Mao, Yipeng ; Luo, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002522.

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2021Forecasting the Value-at-Risk of REITs using realized volatility jump models. (2021). Odusami, Babatunde O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821000589.

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2021The interrelationship between order flow, exchange rate, and the role of American economic news. (2021). Wang, Xiangning ; Firouzi, Shahrokh. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:58:y:2021:i:c:s1062940821001121.

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2022Trade friction and price discovery in the USD–CAD spot and forward markets. (2022). Xu, Ke ; Song, Victor ; Chen, Jian ; Yan, Meng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821002217.

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2022Forecasting risk measures using intraday and overnight information. (2022). Candido, Osvaldo ; Tofoli, Paula V ; Santos, Douglas G. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000250.

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2022Time-varying risk aversion and renminbi exchange rate volatility: Evidence from CARR-MIDAS model. (2022). Zhang, Huanming ; Xie, Haibin ; Wu, Xinyu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:61:y:2022:i:c:s1062940822000559.

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2021Bootstrap based probability forecasting in multiplicative error models. (2021). Silvapulle, Mervyn J ; Perera, Indeewara . In: Journal of Econometrics. RePEc:eee:econom:v:221:y:2021:i:1:p:1-24.

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2021A dynamic model for venture capitalists’ entry–exit investment decisions. (2021). Pereira, Paulo J ; Ferreira, Ricardo M. In: European Journal of Operational Research. RePEc:eee:ejores:v:290:y:2021:i:2:p:779-789.

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2021Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies. (2021). Wang, Qingwei ; Mazouz, Khelifa ; Ding, Wenjie. In: Journal of Empirical Finance. RePEc:eee:empfin:v:63:y:2021:i:c:p:42-56.

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2022Asymmetric effects of the limit order book on price dynamics. (2022). Dionne, Georges ; Zhou, Xiaozhou ; Cenesizoglu, Tolga. In: Journal of Empirical Finance. RePEc:eee:empfin:v:65:y:2022:i:c:p:77-98.

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2022Stock return prediction: Stacking a variety of models. (2022). Cheng, Tingting ; Bo, Albert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:288-317.

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2021Revisiting value-at-risk and expected shortfall in oil markets under structural breaks: The role of fat-tailed distributions. (2021). Patra, Saswat. In: Energy Economics. RePEc:eee:eneeco:v:101:y:2021:i:c:s0140988321003406.

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2022Forecasting renewable energy stock volatility using short and long-term Markov switching GARCH-MIDAS models: Either, neither or both?. (2022). Wang, LU ; Wu, Jiangbin ; Cao, Yang ; Hong, Yanran. In: Energy Economics. RePEc:eee:eneeco:v:111:y:2022:i:c:s0140988322002237.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2021Performing price scenario analysis and stress testing using quantile regression: A case study of the Californian electricity market. (2021). Verling, Trude Haugsvaer ; Bogaard, Katinka ; Botterud, Audun ; Negash, Ahlmahz ; Fleten, Stein-Erik ; Stein- Erik Fleten, ; Westgaard, Sjur. In: Energy. RePEc:eee:energy:v:214:y:2021:i:c:s0360544220319034.

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2022The economic value of high-frequency data in equity-oil hedge. (2022). Kuang, Wei. In: Energy. RePEc:eee:energy:v:239:y:2022:i:pa:s0360544221021526.

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2021Can the Chinese volatility index reflect investor sentiment?. (2021). Tang, Yeran ; Zhao, Manyi ; Long, Wen. In: International Review of Financial Analysis. RePEc:eee:finana:v:73:y:2021:i:c:s1057521920302556.

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2022Senior official speech attributes and foreign exchange risk around business cycles. (2022). Welch, Robert ; Wang, Jiayu ; ben Omrane, Walid ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521921003240.

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2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

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2021Modeling dynamic higher moments of crude oil futures. (2021). Li, Chao ; Wang, Tianyi ; Liang, Fang ; Huang, Zhuo. In: Finance Research Letters. RePEc:eee:finlet:v:39:y:2021:i:c:s1544612319302727.

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2021From pandemic to financial contagion: High-frequency risk metrics and Bayesian volatility analysis. (2021). Davidovic, Milivoje. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s154461232031727x.

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2022A Value-at-Risk forecastability indicator in the framework of a Generalized Autoregressive Score with “Asymmetric Laplace Distribution”. (2022). Roxana, Ioan ; Maria, Dima Tefana ; Bogdan, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321002154.

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2022U.S. grain commodity futures price volatility: Does trade policy uncertainty matter?. (2022). Mei, Dexiang ; Xie, Yutang. In: Finance Research Letters. RePEc:eee:finlet:v:48:y:2022:i:c:s1544612322002689.

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2022Frequency and severity estimation of cyber attacks using spatial clustering analysis. (2022). Jin, Zhuo ; Chu, Tingjin ; Ma, Boyuan. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:106:y:2022:i:c:p:33-45.

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2021Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.

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2022Informativeness of trades around macroeconomic announcements in the foreign exchange market. (2022). Gau, Yin-Feng ; Wu, Zhen-Xing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000245.

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2021Volatility forecasting in European government bond markets. (2021). Ozbekler, Ali Gencay ; Triantafyllou, Athanasios ; Kontonikas, Alexandros. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:4:p:1691-1709.

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2022Forecasting realized volatility of agricultural commodities. (2022). Walther, Thomas ; Filis, George ; Degiannakis, Stavros ; Klein, Tony. In: International Journal of Forecasting. RePEc:eee:intfor:v:38:y:2022:i:1:p:74-96.

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2021Twitter sentiment as a weak signal in venture capital financing. (2021). Stolz, Barbara ; Braun, Reiner ; Tumasjan, Andranik. In: Journal of Business Venturing. RePEc:eee:jbvent:v:36:y:2021:i:2:s0883902620306704.

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2022Have returns and volatilities for financial assets responded to implied volatility during the COVID-19 pandemic?. (2022). Maghyereh, Aktham ; Awartani, Basel ; Abdoh, Hussein. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:26:y:2022:i:c:s2405851321000283.

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2022Time-varying risk analysis for commodity futures. (2022). Ur, Mobeen ; Junior, Peterson Owusu ; Ahmad, Nasir ; Vo, Xuan Vinh. In: Resources Policy. RePEc:eee:jrpoli:v:78:y:2022:i:c:s030142072200349x.

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2021Information content of liquidity and volatility measures. (2021). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara ; Kliber, Agata. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:563:y:2021:i:c:s0378437120307627.

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2022Predicting tail events in a RIA-EVT-Copula framework. (2022). Zhou, Wei-Xing ; Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhai, Jin-Rui ; Li, Wei-Zhen. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:600:y:2022:i:c:s0378437122003703.

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2021Testing unobserved market heterogeneity in financial markets: The case of Banco Popular. (2021). Sosvilla-Rivero, Simon ; Gomez-Deniz, Emilio ; Perez-Rodriguez, Jorge V. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:151-160.

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2021Implied volatility indices – A review. (2021). Siriopoulos, Costas ; Fassas, Athanasios P. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:303-329.

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2021Estimating the market risk of clean energy technologies companies using the expected shortfall approach. (2021). Pradhan, Ashis ; Tiwari, Aviral Kumar. In: Renewable Energy. RePEc:eee:renene:v:177:y:2021:i:c:p:95-100.

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2021The realized volatility of commodity futures: Interconnectedness and determinants#. (2021). Vo, Xuan Vinh ; Saeed, Tareq ; Lucey, Brian ; Bouri, Elie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:73:y:2021:i:c:p:139-151.

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2021Temporal effects of financial globalization on income inequality. (2021). Ahmad, Ferhana ; Shehzad, Choudhry Tanveer ; Khan, Haris. In: International Review of Economics & Finance. RePEc:eee:reveco:v:74:y:2021:i:c:p:452-467.

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2022Venture capital staging under economic policy uncertainty. (2022). Guo, Feng ; Wu, Jiajia ; Huang, Ying Sophie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:572-596.

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2022Modeling and managing stock market volatility using MRS-MIDAS model. (2022). Wang, Jiqian ; Lu, Xinjie ; Chen, Wang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:82:y:2022:i:c:p:625-635.

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2021Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Siriopoulos, Costas ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

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2021Tail Dependence between Crude Oil Volatility Index and WTI Oil Price Movements during the COVID-19 Pandemic. (2021). Just, Magorzata ; Echaust, Krzysztof. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4147-:d:591470.

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2021Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers. (2021). Pierdzioch, Christian ; GUPTA, RANGAN. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4173-:d:591975.

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2022A New Approach to Risk Management in the Power Industry Based on Systems Theory. (2022). Bielecki, Andrzej ; Wojnicki, Igor ; Skrodzka, Wioletta ; Barszcz, Tomasz ; Gobiewski, Dariusz. In: Energies. RePEc:gam:jeners:v:15:y:2022:i:23:p:9003-:d:986757.

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2022.

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2021.

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2021El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7987-:d:596011.

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2021Asymmetric Volatility Relevance in Risk Management: An Empirical Analysis using Stock Index Futures. (2021). Benavides, Guillermo. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:tnea:a:4.

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2021Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia. (2021). Dibooglu, Selahattin ; Çevik, Emrah ; Cevik, Emrah Ismail ; Al-Eisa, Eisa Abdulrahman ; Abdallah, Atif Awad. In: International Economics and Economic Policy. RePEc:kap:iecepo:v:18:y:2021:i:1:d:10.1007_s10368-020-00484-0.

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2021Corporate venture capital in the IT sector and relationships in VC syndication networks. (2021). , FredericTeulon ; Sahut, Jean-Michel ; Lantz, Jean-Sebastien ; Braune, Eric ; Teulon, Frederic. In: Small Business Economics. RePEc:kap:sbusec:v:56:y:2021:i:3:d:10.1007_s11187-019-00264-4.

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2021The Contribution of Jump Signs and Activity to Forecasting Stock Price Volatility. (2021). Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike G ; Murphy, Anthony. In: Working Papers. RePEc:liv:livedp:202109.

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2022Bank of Russia regular communications and volatility short-term effects in financial markets. (2022). Telegin, O. In: Journal of the New Economic Association. RePEc:nea:journl:y:2022:i:54:p:130-155.

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2022Oil tail-risk forecasts: from financial crisis to COVID-19. (2022). Kuang, Wei. In: Risk Management. RePEc:pal:risman:v:24:y:2022:i:4:d:10.1057_s41283-022-00100-2.

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2021Semiparametric GARCH models with long memory applied to Value at Risk and Expected Shortfall. (2021). Uhde, Andre ; Feng, Yuanhua ; Letmathe, Sebastian. In: Working Papers CIE. RePEc:pdn:ciepap:141.

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2021Smoothing long memory time series using R. (2021). Letmathe, Sebastian ; Beran, Jan ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:145.

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2021Interventions to mitigate indoor air pollution: A cost-benefit analysis. (2021). Hassan, Gazi ; Cameron, Michael ; Irfan, Muhammad. In: PLOS ONE. RePEc:plo:pone00:0257543.

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2021Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162.

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2021What should be taken into consideration when forecasting oil implied volatility index?. (2021). Degiannakis, Stavros ; Giannopoulos, Kostantinos ; Delis, Panagiotis. In: MPRA Paper. RePEc:pra:mprapa:110831.

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2021Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning. (2021). Pierdzioch, Christian ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202118.

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2021Exchange Rate Jumps and Geopolitical Risks. (2021). GUPTA, RANGAN ; Vortelinos, Dimitrios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202171.

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2022The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks. (2022). Cepni, Oguzhan ; Bonato, Matteo ; Gupta, Rangan ; Wang, Shixuan. In: Working Papers. RePEc:pre:wpaper:202219.

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2022Climate Risks and State-Level Stock-Market Realized Volatility. (2022). Cepni, Oguzhan ; Gupta, Rangan ; Pierdzioch, Christian ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202246.

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2022Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment. (2022). Pierdzioch, Christian ; Bonato, Matteo ; Cepni, Oguzhan ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202247.

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2021Asymmetric Effects of the Limit Order Book on Price Dynamics. (2016). Dionne, Georges ; Cenesizoglu, Tolga ; Zhou, Xiaozhou . In: Working Papers. RePEc:ris:crcrmw:2016_005.

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2021New Evidence on the Information Content of Implied Volatility of S&P 500: Model-Free versus Model-Based. (2021). Wang, Zilong ; Ma, Yechi ; Sun, Tiezhu ; Zhang, Weiwei. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2021:i:1:p:109-121.

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2022The effect of short selling on volatility and jumps. (2022). Wee, Marvin ; Treepongkaruna, Sirimon ; Foong, Glenn Kit ; Padungsaksawasdi, Chaiyuth. In: Australian Journal of Management. RePEc:sae:ausman:v:47:y:2022:i:1:p:34-52.

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2022Macroeconomic News and Exchange Rates: Exploring the Role of Order Flow. (2022). Rashid, Abdul ; Jabeen, Munazza. In: Global Journal of Emerging Market Economies. RePEc:sae:emeeco:v:14:y:2022:i:2:p:222-245.

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2021Stock Market Liquidity: A Literature Review. (2021). Reddy, Y V ; Naik, Priyanka. In: SAGE Open. RePEc:sae:sagope:v:11:y:2021:i:1:p:2158244020985529.

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2022Portfolio optimization with optimal expected utility risk measures. (2022). Seifried, F T ; Herbinger, J ; Graf, H ; Geissel, S. In: Annals of Operations Research. RePEc:spr:annopr:v:309:y:2022:i:1:d:10.1007_s10479-021-04403-7.

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2021Clustering of arrivals in queueing systems: autoregressive conditional duration approach. (2021). Hol, Vladimir ; Tomanova, Petra. In: Central European Journal of Operations Research. RePEc:spr:cejnor:v:29:y:2021:i:3:d:10.1007_s10100-021-00744-7.

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2021Adaptive stochastic risk estimation of firm operating profit. (2021). Anakolu, Ethem ; Akca, Ahmet. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:48:y:2021:i:3:d:10.1007_s40812-021-00184-z.

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2021The relationship between trend and volume on the bitcoin market. (2021). Mentel, Urszula ; Bilan, Yuriy ; Szetela, Beata . In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-021-00166-5.

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2021Can the Baidu Index predict realized volatility in the Chinese stock market?. (2021). Shen, Dehua ; Yan, Kai ; Zhang, Wei. In: Financial Innovation. RePEc:spr:fininn:v:7:y:2021:i:1:d:10.1186_s40854-020-00216-y.

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2022Institutional adaptation in the evolution of the ‘co-operative principles’. (2022). Chakraborty, Sujan ; Lange, Taylor ; Waring, Timothy. In: Journal of Evolutionary Economics. RePEc:spr:joevec:v:32:y:2022:i:1:d:10.1007_s00191-021-00738-3.

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2021Public or perish? From founding to initial public offering. (2021). Honjo, Yuji. In: Review of Managerial Science. RePEc:spr:rvmgts:v:15:y:2021:i:6:d:10.1007_s11846-020-00390-4.

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2021Density Forecast of Financial Returns Using Decomposition and Maximum Entropy. (2021). Zhang, RU ; Wang, HE ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202115.

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2021Forecasting volatility by integrating financial risk with environmental, social, and governance risk. (2021). Russo, Angeloantonio ; Ielasi, Federica ; Capelli, Paolo. In: Corporate Social Responsibility and Environmental Management. RePEc:wly:corsem:v:28:y:2021:i:5:p:1483-1495.

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2021Backtesting expected shortfall for world stock index ETFs with extreme value theory and Gram–Charlier mixtures. (2021). Perote, Javier ; Moravalencia, Andres ; Molinamuoz, Enrique. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:26:y:2021:i:3:p:4163-4189.

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2022A GARCH approach to model short?term interest rates: Evidence from Spanish economy. (2022). Rambaud, Salvador Cruz ; Garcia, Javier Sanchez. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:2:p:1621-1632.

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2021Volatility specifications versus probability distributions in VaR forecasting. (2021). Novales, Alfonso ; Garciajorcano, Laura. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:2:p:189-212.

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2021Assessing liquidity?adjusted risk forecasts. (2021). Uffmann, Christina ; Berger, Theo. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:7:p:1179-1189.

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More than 100 citations found, this list is not complete...

Works by Pierre Giot:


YearTitleTypeCited
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
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article182
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 182
paper
2007An International Analysis of Earnings, Stock Prices and Bond Yields In: Journal of Business Finance & Accounting.
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article16
2007An international analysis of earnings, stock prices and Bond yields.(2007) In: LIDAM Reprints CORE.
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paper
2005An international analysis of earnings, stock prices and bond yields.(2005) In: Working Paper Series.
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paper
2007An International Analysis of Earnings, Stock Prices and Bond Yields..(2007) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
2005An international analysis of earnings, stock prices and bond yields.(2005) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
2005An international analysis of earnings, stock prices and bond yields.(2005) In: Working Paper Research.
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This paper has another version. Agregated cites: 16
paper
2010Volatility regimes and liquidity co-movements in cap-based portfolios In: Finance.
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article1
2010Volatility regimes and liquidity co-movements in cap-based portfolios.(2010) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 1
paper
2010Volatility regimes and liquidity co-movements in cap-based portfolios..(2010) In: Post-Print.
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This paper has another version. Agregated cites: 1
paper
1997A Gibbs sampling approach to cointegration In: LIDAM Discussion Papers CORE.
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paper8
1998Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 8
paper
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: LIDAM Discussion Papers CORE.
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paper2
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE.
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paper5
1999Co-integration and leadership in the European off-season fresh fruit market. In: LIDAM Discussion Papers CORE.
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paper0
1999Time transformations, intraday data and volatility models In: LIDAM Discussion Papers CORE.
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paper17
2001Time transformations, intraday data, and volatility models.(2001) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 17
paper
2000Intraday value-at-risk. In: LIDAM Discussion Papers CORE.
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paper1
2000A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE.
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paper109
2004A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 109
paper
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 109
paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 109
article
2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 109
paper
2001Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE.
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paper196
2003Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 196
paper
2003Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics.
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This paper has another version. Agregated cites: 196
article
2001VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS.(2001) In: Computing in Economics and Finance 2001.
[Citation analysis]
This paper has another version. Agregated cites: 196
paper
2002The information content of implied volatility in agricultural commodity markets In: LIDAM Discussion Papers CORE.
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paper39
2003The information content of implied volatility in agricultural commodity markets.(2003) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 39
paper
2003The information content of implied volatility in agricultural commodity markets.(2003) In: Journal of Futures Markets.
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This paper has another version. Agregated cites: 39
article
2002Implied volatility indices as leading indicators of stock index returns ? In: LIDAM Discussion Papers CORE.
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paper4
2002How large is liquidity risk in an automated auction market ? In: LIDAM Discussion Papers CORE.
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paper12
2006How large is liquidity risk in an automated auction market?.(2006) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 12
paper
2006How large is liquidity risk in an automated auction market?.(2006) In: Empirical Economics.
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article
2002How large is liquidity risk in an automated auction market?.(2002) In: University of St. Gallen Department of Economics working paper series 2002.
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This paper has another version. Agregated cites: 12
paper
2003The moments of Log-ACD models In: LIDAM Discussion Papers CORE.
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paper22
2009The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has another version. Agregated cites: 22
paper
2003The information content of implied volatility indexes for forecasting volatility and market risk In: LIDAM Discussion Papers CORE.
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paper17
2003Market risk in commodity markets: a VaR approach In: LIDAM Discussion Papers CORE.
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paper129
2003Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 129
paper
2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
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This paper has another version. Agregated cites: 129
article
2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE.
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paper113
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 113
paper
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 113
article
2003The Asian financial crisis : the start of a regime switch in volatility In: LIDAM Discussion Papers CORE.
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paper3
2005Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE.
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paper1
2005Commonalities in the order book In: LIDAM Discussion Papers CORE.
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paper21
2009Commonalities in the order book.(2009) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 21
paper
2005Commonalities in the order book.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 21
paper
2009Commonalities in the order book.(2009) In: Financial Markets and Portfolio Management.
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article
2009Commonalities in the order book.(2009) In: CFR Working Papers.
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This paper has another version. Agregated cites: 21
paper
2005Volatility regimes and the provision of liquidity in order book markets In: LIDAM Discussion Papers CORE.
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paper2
2004Volatility regimes and the provisions of liquidity in order book markets.(2004) In: Discussion Papers (ECON - Département des Sciences Economiques).
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This paper has another version. Agregated cites: 2
paper
2006Volatility regimes and the provision of liquidity in order book markets..(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2006Volatility regimes and the provision of liquidity in order book markets..(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2005Volatility regimes and the provision of liquidity in order book markets..(2005) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2005Volatility regimes and the provision of liquidity in order book markets..(2005) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 2
paper
2005IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis In: LIDAM Discussion Papers CORE.
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paper102
2007IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis.(2007) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 102
paper
2007IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis.(2007) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 102
article
2003IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis.(2003) In: Finance.
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This paper has another version. Agregated cites: 102
paper
2006International stock return predictability: statistical evidence and economic significance In: LIDAM Discussion Papers CORE.
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paper3
2006The information content of the Bond-Equity Yield Ratio: better than a random walk? In: LIDAM Discussion Papers CORE.
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paper2
2007The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 2
paper
2007The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 2
article
2006Short-term market timing using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE.
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paper6
2009Short-term market timing using the bond-equity yield ratio.(2009) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 6
paper
2009Short-term market timing using the bond-equity yield ratio.(2009) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 6
article
2006Market-wide liquidity co-movements, volatility regimes and market cap sizes In: LIDAM Discussion Papers CORE.
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paper0
2000Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: LIDAM Reprints CORE.
[Citation analysis]
paper0
2003Asymmetric ACD models: Introducing price information in ACD models In: LIDAM Reprints CORE.
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paper46
2003Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics.
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This paper has another version. Agregated cites: 46
article
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: LIDAM Reprints CORE.
[Citation analysis]
paper217
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 217
article
2002Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002.
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paper
2001Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum.
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paper
2005Stocks, bonds and the equity risk premium: Some recent academic perspectives In: LIDAM Reprints CORE.
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paper0
2005Implied volatility indexes and daily Value at Risk models In: LIDAM Reprints CORE.
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paper30
2005Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators? In: LIDAM Reprints CORE.
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paper2
2005Market risk models for intraday data In: LIDAM Reprints CORE.
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paper54
2005Market risk models for intraday data.(2005) In: The European Journal of Finance.
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This paper has another version. Agregated cites: 54
article
2006Les oeuvres dart comme placements financiers: le cas de lart moderne classique et de ses différents courants In: LIDAM Reprints CORE.
[Citation analysis]
paper0
2009Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext In: LIDAM Reprints CORE.
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paper1
2009Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext.(2009) In: Global Finance Journal.
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This paper has another version. Agregated cites: 1
article
2009Volatility regimes and order book liquidity: evidence from the Belgian segment of Euronext..(2009) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009Lirrésistible ascension de la finance comportementale In: LIDAM Reprints CORE.
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paper0
2010Trading activity, realized volatility and jumps In: LIDAM Reprints CORE.
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paper93
2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
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This paper has another version. Agregated cites: 93
article
2011On the statistical and economic performance of stock return predictive regression models: an international perspective In: LIDAM Reprints CORE.
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paper9
2011On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: LIDAM Reprints CORE.
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This paper has another version. Agregated cites: 9
paper
2011On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: Quantitative Finance.
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This paper has another version. Agregated cites: 9
article
2014Are novice private equity funds risk-takers? Evidence from a comparison with established funds In: Journal of Corporate Finance.
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article8
2017Private equity fundraising and firm specialization In: The Quarterly Review of Economics and Finance.
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article1
2006Appraising the Fed model: An international analysis of earnings, stock prices and bond yields. In: Post-Print.
[Citation analysis]
paper0
2005Volatility Regimes, Order Books and Liquidity: The case of Euronext. In: Post-Print.
[Citation analysis]
paper0
2004How does liquidity react to stress periods in a limit order market? In: Working Paper Research.
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paper3
2003Market Models: A Guide to Financial Data Analysis In: The Journal of Financial Econometrics.
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article0
2004Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison In: Computing in Economics and Finance 2004.
[Citation analysis]
paper0
2007The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets.
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