17
H index
19
i10 index
1571
Citations
Université de Namur | 17 H index 19 i10 index 1571 Citations RESEARCH PRODUCTION: 23 Articles 77 Papers RESEARCH ACTIVITY: 20 years (1997 - 2017). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pgi19 |
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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Empirical Finance | 2 |
International Journal of Forecasting | 2 |
Journal of Futures Markets | 2 |
Empirical Economics | 2 |
The European Journal of Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 10 |
Discussion Papers (ECON - Département des Sciences Economiques) / Université catholique de Louvain, Département des Sciences Economiques | 2 |
Year | Title of citing document |
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2023 | . Full description at Econpapers || Download paper |
2023 | A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011. Full description at Econpapers || Download paper |
2023 | Price 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. Full description at Econpapers || Download paper |
2023 | Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8. Full description at Econpapers || Download paper |
2023 | A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523. Full description at Econpapers || Download paper |
2023 | Early individual stakeholders, first venture capital investment, and exit in the UK startup ecosystem. (2023). Perez-Castrillo, David ; Macho-Stadler, Ines ; Nieto-Postigo, Jonas ; Banal-Estaol, Albert. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s092911992300069x. Full description at Econpapers || Download paper |
2023 | A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194. Full description at Econpapers || Download paper |
2023 | Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797. Full description at Econpapers || Download paper |
2023 | Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?. (2023). Yang, Xin ; Deng, Yanchen ; Cai, Yaqian ; Huang, Chuangxia. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002857. Full description at Econpapers || Download paper |
2023 | Quasi score-driven models. (2023). Laurent, Sebastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:251-275. Full description at Econpapers || Download paper |
2023 | Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46. Full description at Econpapers || Download paper |
2023 | The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164. Full description at Econpapers || Download paper |
2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper |
2023 | Chinese agricultural futures volatility: New insights from potential domestic and global predictors. (2023). Huang, Dengshi ; Su, Yuandong ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003022. Full description at Econpapers || Download paper |
2023 | Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561. Full description at Econpapers || Download paper |
2023 | On a quantile autoregressive conditional duration model. (2023). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:203:y:2023:i:c:p:425-448. Full description at Econpapers || Download paper |
2023 | Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363. Full description at Econpapers || Download paper |
2023 | Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257. Full description at Econpapers || Download paper |
2023 | Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068. Full description at Econpapers || Download paper |
2023 | . Full description at Econpapers || Download paper |
2023 | A New Neural Network Approach for Predicting the Volatility of Stock Market. (2023). Kim, Geonwoo ; Koo, Eunho. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10261-7. Full description at Econpapers || Download paper |
2023 | Same same but different: how preferential claims trigger valuation discounts in equity tranches of VC-backed firms. (2023). Schwetzler, Bernhard ; Schreiter, Maximilian ; Lodowicks, Arnd ; Kaboth, Julian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:3:d:10.1007_s11156-022-01115-2. Full description at Econpapers || Download paper |
2023 | The timing dilemma: understanding the determinants of innovative startups’ patent collateralization for loans. (2023). Wu, Bingde ; Hu, Die ; Zhang, Hao ; Yang, Xue. In: Small Business Economics. RePEc:kap:sbusec:v:60:y:2023:i:1:d:10.1007_s11187-022-00645-2. Full description at Econpapers || Download paper |
2023 | Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z. Full description at Econpapers || Download paper |
2023 | Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Sahiner, Mehmet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09629-8. Full description at Econpapers || Download paper |
2023 | Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w. Full description at Econpapers || Download paper |
2023 | A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x. Full description at Econpapers || Download paper |
2023 | Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7. Full description at Econpapers || Download paper |
2023 | El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Epni, Ouzhan ; Bonato, Matteo. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:785-801. Full description at Econpapers || Download paper |
2023 | A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054. Full description at Econpapers || Download paper |
2023 | Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2000 | The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 187 |
2000 | The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 187 | paper | |
2007 | An International Analysis of Earnings, Stock Prices and Bond Yields In: Journal of Business Finance & Accounting. [Full Text][Citation analysis] | article | 16 |
2007 | An international analysis of earnings, stock prices and Bond yields.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2005 | An international analysis of earnings, stock prices and bond yields.(2005) In: Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2007 | An International Analysis of Earnings, Stock Prices and Bond Yields..(2007) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2005 | An international analysis of earnings, stock prices and bond yields.(2005) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2005 | An international analysis of earnings, stock prices and bond yields.(2005) In: Working Paper Research. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2010 | Volatility regimes and liquidity co-movements in cap-based portfolios In: Finance. [Full Text][Citation analysis] | article | 1 |
2010 | Volatility regimes and liquidity co-movements in cap-based portfolios.(2010) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2010 | Volatility regimes and liquidity co-movements in cap-based portfolios..(2010) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
1997 | A Gibbs sampling approach to cointegration In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 8 |
1998 | Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 8 | paper | |
1997 | The logarithmic ACD model: an application to market microstructure and NASDAQ In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
1998 | Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 5 |
1999 | Co-integration and leadership in the European off-season fresh fruit market. In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
1999 | Time transformations, intraday data and volatility models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 17 |
2001 | Time transformations, intraday data, and volatility models.(2001) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 17 | paper | |
2000 | Intraday value-at-risk. In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2000 | A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 111 |
2004 | A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 111 | paper | |
2000 | A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 111 | paper | |
2004 | A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 111 | article | |
2004 | A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has nother version. Agregated cites: 111 | paper | |
2001 | Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 200 |
2003 | Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 200 | paper | |
2003 | Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 200 | article | |
2001 | VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS.(2001) In: Computing in Economics and Finance 2001. [Citation analysis] This paper has nother version. Agregated cites: 200 | paper | |
2002 | The information content of implied volatility in agricultural commodity markets In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 41 |
2003 | The information content of implied volatility in agricultural commodity markets.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | paper | |
2003 | The information content of implied volatility in agricultural commodity markets.(2003) In: Journal of Futures Markets. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 41 | article | |
2002 | Implied volatility indices as leading indicators of stock index returns ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 4 |
2002 | How large is liquidity risk in an automated auction market ? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 12 |
2006 | How large is liquidity risk in an automated auction market?.(2006) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2006 | How large is liquidity risk in an automated auction market?.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | article | |
2002 | How 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 nother version. Agregated cites: 12 | paper | |
2003 | The moments of Log-ACD models In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 22 |
2009 | The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE. [Citation analysis] This paper has nother version. Agregated cites: 22 | paper | |
2003 | The information content of implied volatility indexes for forecasting volatility and market risk In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 17 |
2003 | Market risk in commodity markets: a VaR approach In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 133 |
2003 | Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 133 | paper | |
2003 | Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 133 | article | |
2003 | News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 116 |
2005 | News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 116 | paper | |
2005 | News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 116 | article | |
2003 | The Asian financial crisis : the start of a regime switch in volatility In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 4 |
2005 | Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2005 | Commonalities in the order book In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 21 |
2009 | Commonalities in the order book.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2005 | Commonalities in the order book.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques). [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2009 | Commonalities in the order book.(2009) In: Financial Markets and Portfolio Management. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | article | |
2009 | Commonalities in the order book.(2009) In: CFR Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 21 | paper | |
2005 | Volatility regimes and the provision of liquidity in order book markets In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
2004 | Volatility 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 nother version. Agregated cites: 2 | paper | |
2006 | Volatility regimes and the provision of liquidity in order book markets..(2006) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2006 | Volatility regimes and the provision of liquidity in order book markets..(2006) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2005 | Volatility regimes and the provision of liquidity in order book markets..(2005) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2005 | Volatility regimes and the provision of liquidity in order book markets..(2005) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2005 | IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 110 |
2007 | IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 110 | paper | |
2007 | IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis.(2007) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 110 | article | |
2003 | IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis.(2003) In: Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 110 | paper | |
2006 | International stock return predictability: statistical evidence and economic significance In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
2006 | The information content of the Bond-Equity Yield Ratio: better than a random walk? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
2007 | The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 2 | paper | |
2007 | The 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 nother version. Agregated cites: 2 | article | |
2006 | Short-term market timing using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
2009 | Short-term market timing using the bond-equity yield ratio.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2009 | Short-term market timing using the bond-equity yield ratio.(2009) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | article | |
2006 | Market-wide liquidity co-movements, volatility regimes and market cap sizes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2000 | Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
2003 | Asymmetric ACD models: Introducing price information in ACD models In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 48 |
2003 | Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | article | |
2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: LIDAM Reprints CORE. [Citation analysis] | paper | 228 |
2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 228 | article | |
2002 | Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002. [Citation analysis] This paper has nother version. Agregated cites: 228 | paper | |
2001 | Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 228 | paper | |
2005 | Stocks, bonds and the equity risk premium: Some recent academic perspectives In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
2005 | Implied volatility indexes and daily Value at Risk models In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 31 |
2005 | Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators? In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 6 |
2005 | Market risk models for intraday data In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 58 |
2005 | Market risk models for intraday data.(2005) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 58 | article | |
2006 | Les oeuvres dart comme placements financiers: le cas de lart moderne classique et de ses différents courants In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
2009 | Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 1 |
2009 | Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext.(2009) In: Global Finance Journal. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 1 | article | |
2009 | Volatility regimes and order book liquidity: evidence from the Belgian segment of Euronext..(2009) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2009 | Lirrésistible ascension de la finance comportementale In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
2010 | Trading activity, realized volatility and jumps In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 97 |
2010 | Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | article | |
2011 | On the statistical and economic performance of stock return predictive regression models: an international perspective In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 9 |
2011 | On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | paper | |
2011 | On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2014 | Are novice private equity funds risk-takers? Evidence from a comparison with established funds In: Journal of Corporate Finance. [Full Text][Citation analysis] | article | 9 |
2017 | Private equity fundraising and firm specialization In: The Quarterly Review of Economics and Finance. [Full Text][Citation analysis] | article | 1 |
2006 | Appraising the Fed model: An international analysis of earnings, stock prices and bond yields. In: Post-Print. [Citation analysis] | paper | 0 |
2005 | Volatility Regimes, Order Books and Liquidity: The case of Euronext. In: Post-Print. [Citation analysis] | paper | 0 |
2004 | How does liquidity react to stress periods in a limit order market? In: Working Paper Research. [Full Text][Citation analysis] | paper | 3 |
2003 | Market Models: A Guide to Financial Data Analysis In: The Journal of Financial Econometrics. [Citation analysis] | article | 0 |
2004 | Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 0 |
2007 | The information content of implied volatility in light of the jump/continuous decomposition of realized volatility In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 38 |
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