Pierre Giot : Citation Profile

Are you Pierre Giot?

Université Catholique de Louvain
Université de Namur

12

H index

13

i10 index

1008

Citations

RESEARCH PRODUCTION:

17

Articles

34

Papers

RESEARCH ACTIVITY:

   14 years (1997 - 2011). See details.
   Cites by year: 72
   Journals where Pierre Giot has often published
   Relations with other researchers
   Recent citing documents: 174.    Total self citations: 20 (1.95 %)

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   Permalink: http://citec.repec.org/pgi19
   Updated: 2020-08-01    RAS profile: 2011-10-26    
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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 (64)

Angelidis, Timotheos (28)

Bauwens, Luc (21)

Grammig, Joachim (13)

Hautsch, Nikolaus (13)

Floros, Christos (12)

GUPTA, RANGAN (12)

Louzis, Dimitrios (11)

Rombouts, Jeroen (10)

Fernandes, Marcelo (10)

Dionne, Georges (9)

Cites to:

Campbell, John (43)

Shiller, Robert (30)

Bollerslev, Tim (27)

Andersen, Torben (21)

Engle, Robert (21)

Diebold, Francis (18)

French, Kenneth (14)

Bauwens, Luc (13)

Stambaugh, Robert (11)

Jasiak, Joann (9)

Schwert, G. (9)

Main data

Where Pierre Giot has published?

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

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

Recent works citing Pierre Giot (2018 and 2017)

YearTitle of citing document
2019Benefits and Consequences of Diversification: Evidence from Financialzed Commodity Portfolios. (2019). Ekananda, Mahjus ; Handika, Rangga. In: Asian Business Research Journal. RePEc:ajn:abrjou:2019:p:17-28.

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2017Unbiased estimation of risk. (2017). Pitera, Marcin ; Schmidt, Thorsten. In: Papers. RePEc:arx:papers:1603.02615.

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2018Panel quantile regressions for estimating and predicting the Value--at--Risk of commodities. (2018). Baruník, Jozef ; Vcech, Frantivsek. In: Papers. RePEc:arx:papers:1807.11823.

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2020Zero-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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2019Semi-parametric Realized Nonlinear Conditional Autoregressive Expectile and Expected Shortfall. (2019). Gerlach, Richard ; Wang, Chao. In: Papers. RePEc:arx:papers:1906.09961.

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2019Forecasting securitys volatility using low-frequency historical data, high-frequency historical data and option-implied volatility. (2019). Cui, Xiangyu ; Zhang, Zhiyuan ; Zhou, Yong ; Yuan, Huiling. In: Papers. RePEc:arx:papers:1907.02666.

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2019Implied volatility surface predictability: the case of commodity markets. (2019). Shang, Han Lin ; Sheenan, Lisa ; Kearney, Fearghal. In: Papers. RePEc:arx:papers:1909.11009.

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2019Imitation in the Imitation Game. (2019). Kashyap, Ravi. In: Papers. RePEc:arx:papers:1911.06893.

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2019A multifactor regime-switching model for inter-trade durations in the limit order market. (2019). Xing, Haipeng ; Li, Zhicheng ; Chen, Xinyun. In: Papers. RePEc:arx:papers:1912.00764.

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2020Investigating the influence Brexit had on Financial Markets, in particular the GBP/EUR exchange rate. (2020). Filletti, Michael. In: Papers. RePEc:arx:papers:2003.05895.

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2017Volatility Modelling and Parametric Value-At-Risk Forecast Accuracy: Evidence from Metal Products. (2017). Mabrouk, Samir. In: Asian Economic and Financial Review. RePEc:asi:aeafrj:2017:p:63-80.

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2017The Effect of Central Bank Transparency on Exchange Rate Volatility. (2017). Weber, Christoph. In: Working Papers. RePEc:bav:wpaper:174_weber.

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2019Early Individual Stakeholders, First Venture Capital Investment, and Exit in the UK Startup Ecosystem. (2019). Perez-Castrillo, David ; Macho-Stadler, Ines ; Nieto-Postigo, Jonas ; Banal-Estaol, Albert. In: Working Papers. RePEc:bge:wpaper:1127.

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2017Risk assessment of oil price from static and dynamic modelling approaches. (2017). Wei, Yi-Ming ; Tang, Bao-Jun ; Mi, Zhifu ; Guan, Dabo ; Cao, Hong ; Yu, Hao ; Cong, Rong-Gang. In: CEEP-BIT Working Papers. RePEc:biw:wpaper:102.

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2018TRADER TYPE EFFECTS ON THE VOLATILITY‐VOLUME RELATIONSHIP EVIDENCE FROM THE KOSPI 200 INDEX FUTURES MARKET. (2018). Kartsaklas, Aris. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:3:p:226-250.

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2017Impact of Macroeconomic Announcements on Foreign Exchange Volatility: Evidence from South Africa. (2017). ALAGIDEDE, PAUL ; Maserumule, Tseke. In: South African Journal of Economics. RePEc:bla:sajeco:v:85:y:2017:i:3:p:405-429.

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2017High Frequency vs. Daily Resolution: the Economic Value of Forecasting Volatility Models - 2nd ed. (2017). Lilla, F. In: Working Papers. RePEc:bol:bodewp:wp1099.

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2018A multivariate regime-switching GARCH model with an application to global stock market and real estate equity returns. (2018). Haas, Markus ; Ji-Chun, Liu ; Markus, Haas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:22:y:2018:i:3:p:27:n:3.

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2018Value-at-Risk prediction using option-implied risk measures. (2018). Zhou, Chen ; Schindelhauer, Kai. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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2020Are business angel-backed companies truly different? a comparative analysis of the financial structure. (2020). Levratto, Nadine ; Salin, Julien. In: EconomiX Working Papers. RePEc:drm:wpaper:2020-5.

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2019CEO human capital and venture capital investment duration: Evidence from French IPOs. (2019). Sattin, Jean-Franois ; Pommet, Sophie. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00576.

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2017Global Macroeconomic Announcements and Foreign Exchange Implied Volatility. (2017). Ishfaq, Muhammad ; Raza, Syed Mehmood ; Bi, Zhang. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-05-14.

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2018Examining the Value-at-risk Performance of Fractionally Integrated GARCH Models: Evidence from Energy Commodities. (2018). Buberkoku, Onder. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-03-6.

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2019Conditional Extreme Values Theory and Tail-related Risk Measures: Evidence from Latin American Stock Markets. (2019). Santillan-Salgado, Roberto J ; de Jesus-Gutierrez, Raul. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2019-03-12.

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2017Governmental and independent venture capital investments in Europe: A firm-level performance analysis. (2017). Murtinu, Samuele ; Grilli, Luca ; Cumming, Douglas. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:439-459.

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2017Inorganic growth strategies and the evolution of the private equity business model. (2017). Hammer, Benjamin ; Schwetzler, Bernhard ; Pflucke, Magnus ; Knauer, Alexander . In: Journal of Corporate Finance. RePEc:eee:corfin:v:45:y:2017:i:c:p:31-63.

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2019Institutions and determinants of firm survival in European emerging markets. (2019). Kočenda, Evžen ; Iwasaki, Ichiro ; Baumohl, Eduard ; Koenda, Even. In: Journal of Corporate Finance. RePEc:eee:corfin:v:58:y:2019:i:c:p:431-453.

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2018Improving daily Value-at-Risk forecasts: The relevance of short-run volatility for regulatory quality assessment. (2018). Berger, Theo ; Genay, Ramazan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:92:y:2018:i:c:p:30-46.

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2019Value-at-risk methodologies for effective energy portfolio risk management. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:62:y:2019:i:c:p:197-212.

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2019Effective energy commodity risk management: Econometric modeling of price volatility. (2019). HALKOS, GEORGE ; Tsirivis, Apostolos S. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:63:y:2019:i:c:p:234-250.

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2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

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2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2018A mixed data sampling copula model for the return-liquidity dependence in stock index futures markets. (2018). Gong, Yuting ; Liang, Jufang ; Chen, Qiang. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:586-598.

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2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?. (2019). Slim, Skander ; Koubaa, Yosra. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:168-184.

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2019Noise traders and smart money: Evidence from online searches. (2019). Belvaux, Bertrand ; Zouaoui, Mohamed ; Herve, Fabrice. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:141-149.

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2020Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2019Investor trading behavior on agricultural future prices. (2019). Huang, Jialiang ; Zhang, Rixin ; Zhou, Liyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:365-379.

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2019International implied volatility risk indexes and Saudi stock return-volatility predictabilities. (2019). Azibi, Jamel ; Tissaoui, Kais . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:65-84.

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2019Asymmetric volatility in equity markets around the world. (2019). Olsen, Torbjorn B ; Molnar, Peter ; Lyocsa, Tefan ; Horpestad, Jone B. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:540-554.

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2019Time-varying risk aversion and realized gold volatility. (2019). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Gkillas, Konstantinos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399.

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2020The economic and financial properties of crude oil: A review. (2020). Auer, Benjamin R ; Lang, Korbinian. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940818302559.

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2017Positive semidefinite integrated covariance estimation, factorizations and asynchronicity. (2017). Quaedvlieg, Rogier ; Laurent, Sébastien ; Lunde, Asger ; Boudt, Kris ; Sauri, Orimar . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:347-367.

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2020Modeling time series when some observations are zero. (2020). Harvey, Andrew ; Ito, Ryoko. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:1:p:33-45.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2017Modeling and forecasting extreme commodity prices: A Markov-Switching based extreme value model. (2017). Pino Saldías, Gabriel ; Herrera, Rodrigo ; Rodriguez, Alejandro. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:129-143.

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2017Forecasting the VaR of crude oil market: Do alternative distributions help?. (2017). Lyu, Yongjian ; Ke, Rui ; Wei, YU ; Wang, Peng. In: Energy Economics. RePEc:eee:eneeco:v:66:y:2017:i:c:p:523-534.

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2018Forecasting volatility in the biofuel feedstock markets in the presence of structural breaks: A comparison of alternative distribution functions. (2018). Hasanov, Akram Shavkatovich ; Heng, Zin Yau ; Al-Freedi, Ajab ; Poon, Wai Ching. In: Energy Economics. RePEc:eee:eneeco:v:70:y:2018:i:c:p:307-333.

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2018Selection of Value at Risk Models for Energy Commodities. (2018). Laporta, Alessandro G ; Petrella, Lea ; Merlo, Luca. In: Energy Economics. RePEc:eee:eneeco:v:74:y:2018:i:c:p:628-643.

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2019Futures-based forecasts: How useful are they for oil price volatility forecasting?. (2019). Filis, George ; Degiannakis, Stavros ; Chatziantoniou, Ioannis. In: Energy Economics. RePEc:eee:eneeco:v:81:y:2019:i:c:p:639-649.

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2017Multiple-days-ahead value-at-risk and expected shortfall forecasting for stock indices, commodities and exchange rates: Inter-day versus intra-day data. (2017). Degiannakis, Stavros ; Potamia, Artemis . In: International Review of Financial Analysis. RePEc:eee:finana:v:49:y:2017:i:c:p:176-190.

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2017Exchange rate volatility response to macroeconomic news during the global financial crisis. (2017). Savaser, Tanseli ; Savaer, Tanseli ; ben Omrane, Walid. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:130-143.

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2019News implied volatility and long-term foreign exchange market volatility. (2019). Yin, Libo ; Han, Liyan ; Liu, Yang. In: International Review of Financial Analysis. RePEc:eee:finana:v:61:y:2019:i:c:p:126-142.

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2019Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market. (2019). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:1-12.

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2017Selling out or going public? A real options signaling approach. (2017). Nishihara, Michi. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:146-152.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2020Evaluation of volatility models for forecasting Value-at-Risk and Expected Shortfall in the Portuguese stock market. (2020). Sobreira, Nuno ; Louro, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:32:y:2020:i:c:s1544612318305403.

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2018Multiple days ahead realized volatility forecasting: Single, combined and average forecasts. (2018). Degiannakis, Stavros. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:41-61.

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2017Value-at-Risk under Lévy GARCH models: Evidence from global stock markets. (2017). BenSaïda, Ahmed ; Slim, Skander ; Bensaida, Ahmed ; Koubaa, Yosra. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:30-53.

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2019Central bank announcements and realized volatility of stock markets in G7 countries. (2019). Molnár, Peter ; Lyócsa, Štefan ; Plihal, Toma ; Molnar, Peter ; Lyocsa, Tefan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:117-135.

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2019Intraday effects of the currency market. (2019). Narayan, Paresh Kumar ; Khademalomoom, Siroos. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:65-77.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2017Volatility measures and Value-at-Risk. (2017). Bams, Dennis ; Blanchard, Gildas ; Lehnert, Thorsten. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:4:p:848-863.

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2020Semi-parametric dynamic asymmetric Laplace models for tail risk forecasting, incorporating realized measures. (2020). Wang, Chao ; Gerlach, Richard. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:489-506.

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2020Comparing density forecasts in a risk management context. (2020). Fang, Hao ; Diks, Cees. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:2:p:531-551.

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2019Implied volatility surface predictability: The case of commodity markets. (2019). Sheenan, Lisa ; Shang, Han Lin ; Kearney, Fearghal. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302328.

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2019The role of due diligence in crowdfunding platforms. (2019). Johan, Sofia ; Cumming, Douglas ; Zhang, Yelin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302365.

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2018Legal framework quality and success of (different types of) venture capital investments. (2018). Tykvova, Tereza. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:87:y:2018:i:c:p:333-350.

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2018Unbiased estimation of risk. (2018). Pitera, Marcin ; Schmidt, Thorsten. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:91:y:2018:i:c:p:133-145.

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2018Cross-commodity news transmission and volatility spillovers in the German energy markets. (2018). Green, Rikard ; Nilsson, Birger ; Lunina, Veronika ; Larsson, Karl . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:231-243.

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2018The Twitter myth revisited: Intraday investor sentiment, Twitter activity and individual-level stock return volatility. (2018). Behrendt, Simon ; Schmidt, Alexander . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:96:y:2018:i:c:p:355-367.

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2017Forecasting oil price realized volatility using information channels from other asset classes. (2017). Filis, George ; Degiannakis, Stavros. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:76:y:2017:i:c:p:28-49.

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2017Order flow and exchange rate comovement. (2017). Li, Xiao-Ming ; Kleinbrod, Vincent M. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:77:y:2017:i:c:p:199-215.

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2017Macroeconomic announcements and price discovery in the foreign exchange market. (2017). Gau, Yin-Feng ; Wu, Zhen-Xing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:79:y:2017:i:c:p:232-254.

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2019The impact of the U.S. employment report on exchange rates. (2019). Ederington, Louis ; Yang, Lisa ; Guan, Wei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:90:y:2019:i:c:p:257-267.

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2020The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market. (2020). Lau, Wee Yeap ; Go, You-How. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:17:y:2020:i:c:s2405851317300028.

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2017Commodity market volatility in the presence of U.S. and Chinese macroeconomic news. (2017). Smales, L A. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:15-27.

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2017The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach. (2017). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; Balcilar, Mehmet. In: Resources Policy. RePEc:eee:jrpoli:v:51:y:2017:i:c:p:77-84.

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2018The volatility-volume relationship in the LME futures market for industrial metals. (2018). Clements, Adam ; Todorova, Neda. In: Resources Policy. RePEc:eee:jrpoli:v:58:y:2018:i:c:p:111-124.

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2019Risk analysis of high frequency precious metals returns by using long memory model. (2019). Shahbaz, Muhammad ; Naeem, Muhammad ; Mustafa, Faisal ; Saleem, Kashif. In: Resources Policy. RePEc:eee:jrpoli:v:61:y:2019:i:c:p:399-409.

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2019Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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2018Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory. (2018). Liu, Guangqiang ; Hu, Yang ; Yu, Jiang ; Chen, Yongfei ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:288-297.

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2018Modeling returns volatility: Realized GARCH incorporating realized risk measure. (2018). Jiang, Wei ; Li, YE ; Ruan, Qingsong. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:500:y:2018:i:c:p:249-258.

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2019A Generalized Error Distribution Copula-based method for portfolios risk assessment. (2019). Cerqueti, Roy ; Giacalone, Massimiliano ; Panarello, Demetrio. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:524:y:2019:i:c:p:687-695.

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2020Setting the margins of Hang Seng Index Futures on different positions using an APARCH-GPD Model based on extreme value theory. (2020). Yu, Wenqiang ; Chen, Yan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:544:y:2020:i:c:s0378437119318023.

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2017Private equity fundraising and firm specialization. (2017). Gejadze, Maia ; Schwienbacher, Armin ; Giot, Pierre . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:64:y:2017:i:c:p:259-274.

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2017A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126.

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2019Intra-day dynamics of exchange rates: New evidence from quantile regression. (2019). Kuck, Konstantin ; Maderitsch, Robert. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:71:y:2019:i:c:p:247-257.

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2018Initial public offering and financing of biotechnology start-ups: Evidence from Japan. (2018). nagaoka, sadao ; Honjo, Yuji. In: Research Policy. RePEc:eee:respol:v:47:y:2018:i:1:p:180-193.

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2018Estimating downside risk in stock returns under structural breaks. (2018). Hood, Matthew ; Malik, Farooq . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:102-112.

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2018Dynamic hedging performance and downside risk: Evidence from Nikkei index futures. (2018). Ubukata, Masato. In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:270-281.

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2017Intraday analysis of macroeconomic news surprises and asymmetries in mini-futures markets. (2017). Vortelinos, Dimitrios I ; Tsagkanos, Athanasios ; Koulakiotis, Athanasios . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:150-168.

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2017Investigating the leverage effect in commodity markets with a recursive estimation approach. (2017). Ielpo, Florian ; Chevallier, Julien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778.

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2017Scheduled macro-news effects on a Euro/US dollar limit order book around the 2008 financial crisis. (2017). Welch, Robert ; Tao, Yusi ; ben Omrane, Walid. In: Research in International Business and Finance. RePEc:eee:riibaf:v:42:y:2017:i:c:p:9-30.

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2017LIQUIDITY ADJUSTED VALUE AT RISK: INTEGRATING THE UNCERTAINTY IN DEPTH AND TIGHTNESS. (2017). Evren, Burak ; Uslu, Levent C. In: Eurasian Journal of Business and Management. RePEc:ejn:ejbmjr:v:5:y:2017:i:1:p:55-69.

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2019Realized variance modeling: decoupling forecasting from estimation. (2019). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Econometrics Working Papers Archive. RePEc:fir:econom:wp2019_05.

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2019Economic News Releases and Financial Markets in South Africa. (2019). Tsagkanos, Athanasios ; Floros, Christos ; Vortelinos, Dimitrios ; Gkillas, Konstantinos. In: Economies. RePEc:gam:jecomi:v:7:y:2019:i:4:p:112-:d:285205.

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

Works by Pierre Giot:

YearTitleTypeCited
2007An International Analysis of Earnings, Stock Prices and Bond Yields In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article12
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: 12		paper
1997A Gibbs sampling approach to cointegration In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper5
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper1
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper2
1999Co-integration and leadership in the European off-season fresh fruit market. In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper0
1999Time transformations, intraday data and volatility models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper13
2000Intraday value-at-risk. In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper1
2000A comparison of financial duration models via density forecasts In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper99
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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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: 99		article
2001Value-at-risk for long and short trading positions In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper183
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: 183		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: 183		paper
2002The information content of implied volatility in agricultural commodity markets In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper3
2002Implied volatility indices as leading indicators of stock index returns ? In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper2
2002How large is liquidity risk in an automated auction market ? In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper9
2006How large is liquidity risk in an automated auction market?.(2006) In: Empirical Economics.
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This paper has another version. Agregated cites: 9		article
2002How large is liquidity risk in an automated auction market?.(2002) In: University of St. Gallen Department of Economics working paper series 2002.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2003The moments of Log-ACD models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper20
2003The information content of implied volatility indexes for forecasting volatility and market risk In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper13
2003Market risk in commodity markets: a VaR approach In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper116
2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116		article
2003The Asian financial crisis : the start of a regime switch in volatility In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper3
2005Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper1
2005Commonalities in the order book In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper9
2005Commonalities in the order book.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9		paper
2009Commonalities in the order book.(2009) In: Financial Markets and Portfolio Management.
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This paper has another version. Agregated cites: 9		article
2009Commonalities in the order book.(2009) In: CFR Working Papers.
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This paper has another version. Agregated cites: 9		paper
2005Volatility regimes and the provision of liquidity in order book markets In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper2
2004Volatility regimes and the provisions of liquidity in order book markets.(2004) In: Discussion Papers (ECON - Département des Sciences Economiques).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		paper
2005IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper71
2007IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis.(2007) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71		article
2003IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis.(2003) In: Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 71		paper
2006International stock return predictability: statistical evidence and economic significance In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper3
2006The information content of the Bond-Equity Yield Ratio: better than a random walk? In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper2
2007The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: International Journal of Forecasting.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2		article
2006Short-term market timing using the Bond-Equity Yield Ratio In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper4
2009Short-term market timing using the bond-equity yield ratio.(2009) In: The European Journal of Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4		article
2006Market-wide liquidity co-movements, volatility regimes and market cap sizes In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper0
2004Modelling daily Value-at-Risk using realized volatility and ARCH type models In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article187
2002Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002.
[Citation analysis]
This paper has another version. Agregated cites: 187		paper
2010Trading activity, realized volatility and jumps In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article61
2009Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext In: Global Finance Journal.
[Full Text][Citation analysis]		article0
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article96
2004How does liquidity react to stress periods in a limit order market? In: Working Paper Research.
[Full Text][Citation analysis]		paper3
2003Market Models: A Guide to Financial Data Analysis In: Journal of Financial Econometrics.
[Citation analysis]		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
2003Asymmetric ACD models: Introducing price information in ACD models In: Empirical Economics.
[Full Text][Citation analysis]		article36
2005Market risk models for intraday data In: The European Journal of Finance.
[Full Text][Citation analysis]		article43
2011On the statistical and economic performance of stock return predictive regression models: an international perspective In: Quantitative Finance.
[Full Text][Citation analysis]		article8

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