17
H index
19
i10 index
1512
Citations
Université de Namur | 17 H index 19 i10 index 1512 Citations RESEARCH PRODUCTION: 23 Articles 77 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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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The European Journal of Finance | 2 |
Journal of Futures Markets | 2 |
Journal of Empirical Finance | 2 |
International Journal of Forecasting | 2 |
Empirical Economics | 2 |
Working Papers Series with more than one paper published | # docs |
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Post-Print / HAL | 10 |
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques | 2 |
Year | Title of citing document | |
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2022 | Zero-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. Full description at Econpapers || Download paper | |
2022 | Machine 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. Full description at Econpapers || Download paper | |
2021 | Improved 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. Full description at Econpapers || Download paper | |
2022 | Incorporating Financial Big Data in Small Portfolio Risk Analysis: Market Risk Management Approach. (2021). Yu, Seunghyeon ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2102.12783. Full description at Econpapers || Download paper | |
2021 | Optimal exit decision of venture capital under time-inconsistent preferences. (2021). Zhang, XU ; Li, Yongwu ; Ju'e Guo, . In: Papers. RePEc:arx:papers:2103.11557. Full description at Econpapers || Download paper | |
2021 | The Role of Binance in Bitcoin Volatility Transmission. (2021). Kaeck, Andreas ; Heck, Daniel ; Alexander, Carol. In: Papers. RePEc:arx:papers:2107.00298. Full description at Econpapers || Download paper | |
2021 | On 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. Full description at Econpapers || Download paper | |
2021 | Autoregressive conditional duration modelling of high frequency data. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02300. Full description at Econpapers || Download paper | |
2021 | Multiplicative Component GARCH Model of Intraday Volatility. (2021). Yan, Xiufeng. In: Papers. RePEc:arx:papers:2111.02376. Full description at Econpapers || Download paper | |
2022 | 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 | |
2022 | An 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. Full description at Econpapers || Download paper | |
2021 | Predicting 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. Full description at Econpapers || Download paper | |
2022 | Conditional 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. Full description at Econpapers || Download paper | |
2021 | Fast & 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. Full description at Econpapers || Download paper | |
2021 | Oil 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. Full description at Econpapers || Download paper | |
2021 | Asset 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. Full description at Econpapers || Download paper | |
2022 | Venture 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. Full description at Econpapers || Download paper | |
2021 | Identifying 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. Full description at Econpapers || Download paper | |
2022 | Are 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. Full description at Econpapers || Download paper | |
2021 | Market 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. Full description at Econpapers || Download paper | |
2021 | Fundamental 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. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | Trade 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2022 | Time-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. Full description at Econpapers || Download paper | |
2021 | Bootstrap 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. Full description at Econpapers || Download paper | |
2021 | A 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. Full description at Econpapers || Download paper | |
2021 | Volatility 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. Full description at Econpapers || Download paper | |
2022 | Asymmetric 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. Full description at Econpapers || Download paper | |
2022 | Stock 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. Full description at Econpapers || Download paper | |
2021 | Revisiting 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | OPEC 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. Full description at Econpapers || Download paper | |
2021 | Performing 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2021 | Can 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. Full description at Econpapers || Download paper | |
2022 | Senior 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. Full description at Econpapers || Download paper | |
2022 | Futures 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. Full description at Econpapers || Download paper | |
2021 | Modeling 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. Full description at Econpapers || Download paper | |
2021 | From 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | U.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. Full description at Econpapers || Download paper | |
2022 | Frequency 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. Full description at Econpapers || Download paper | |
2021 | Dynamics 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. Full description at Econpapers || Download paper | |
2022 | Informativeness 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. Full description at Econpapers || Download paper | |
2021 | Volatility 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. Full description at Econpapers || Download paper | |
2022 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | Twitter 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. Full description at Econpapers || Download paper | |
2022 | Have 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. Full description at Econpapers || Download paper | |
2022 | Time-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. Full description at Econpapers || Download paper | |
2021 | Information 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. Full description at Econpapers || Download paper | |
2022 | Predicting 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. Full description at Econpapers || Download paper | |
2021 | Testing 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. Full description at Econpapers || Download paper | |
2021 | Implied 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. Full description at Econpapers || Download paper | |
2021 | Estimating 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Temporal 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. Full description at Econpapers || Download paper | |
2022 | Venture 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. Full description at Econpapers || Download paper | |
2022 | Modeling 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. Full description at Econpapers || Download paper | |
2021 | Uncertainty 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. Full description at Econpapers || Download paper | |
2021 | Tail 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. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2022 | . Full description at Econpapers || Download paper | |
2021 | . Full description at Econpapers || Download paper | |
2021 | El 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. Full description at Econpapers || Download paper | |
2021 | Asymmetric 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. Full description at Econpapers || Download paper | |
2021 | Oil prices, stock market returns, and volatility spillovers: evidence from Saudi Arabia. (2021). Dibooglu, Selahattin ; Ãevik, 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. Full description at Econpapers || Download paper | |
2021 | Corporate 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2022 | Bank 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. Full description at Econpapers || Download paper | |
2022 | Oil 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. Full description at Econpapers || Download paper | |
2021 | Semiparametric 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. Full description at Econpapers || Download paper | |
2021 | Smoothing long memory time series using R. (2021). Letmathe, Sebastian ; Beran, Jan ; Feng, Yuanhua. In: Working Papers CIE. RePEc:pdn:ciepap:145. Full description at Econpapers || Download paper | |
2021 | Interventions to mitigate indoor air pollution: A cost-benefit analysis. (2021). Hassan, Gazi ; Cameron, Michael ; Irfan, Muhammad. In: PLOS ONE. RePEc:plo:pone00:0257543. Full description at Econpapers || Download paper | |
2021 | Dynamics 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. Full description at Econpapers || Download paper | |
2021 | What 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. Full description at Econpapers || Download paper | |
2021 | Investor 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. Full description at Econpapers || Download paper | |
2021 | Exchange Rate Jumps and Geopolitical Risks. (2021). GUPTA, RANGAN ; Vortelinos, Dimitrios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202171. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Climate Risks and State-Level Stock-Market Realized Volatility. (2022). Cepni, Oguzhan ; Gupta, Rangan ; Pierdzioch, Christian ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202246. Full description at Econpapers || Download paper | |
2022 | Business 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. Full description at Econpapers || Download paper | |
2021 | Asymmetric Effects of the Limit Order Book on Price Dynamics. (2016). Dionne, Georges ; Cenesizoglu, Tolga ; Zhou, Xiaozhou . In: Working Papers. RePEc:ris:crcrmw:2016_005. Full description at Econpapers || Download paper | |
2021 | New 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. Full description at Econpapers || Download paper | |
2022 | The 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. Full description at Econpapers || Download paper | |
2022 | Macroeconomic 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. Full description at Econpapers || Download paper | |
2021 | Stock 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. Full description at Econpapers || Download paper | |
2022 | Portfolio 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. Full description at Econpapers || Download paper | |
2021 | Clustering 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. Full description at Econpapers || Download paper | |
2021 | Adaptive 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. Full description at Econpapers || Download paper | |
2021 | The 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. Full description at Econpapers || Download paper | |
2021 | Can 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. Full description at Econpapers || Download paper | |
2022 | Institutional 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. Full description at Econpapers || Download paper | |
2021 | Public 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. Full description at Econpapers || Download paper | |
2021 | Density Forecast of Financial Returns Using Decomposition and Maximum Entropy. (2021). Zhang, RU ; Wang, HE ; Lee, Tae-Hwy. In: Working Papers. RePEc:ucr:wpaper:202115. Full description at Econpapers || Download paper | |
2021 | Forecasting 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. Full description at Econpapers || Download paper | |
2021 | Backtesting 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. Full description at Econpapers || Download paper | |
2022 | A 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. Full description at Econpapers || Download paper | |
2021 | Volatility 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. Full description at Econpapers || Download paper | |
2021 | Assessing 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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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 | 182 |
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 another version. Agregated cites: 182 | 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 another 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 another version. Agregated cites: 16 | paper | |
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2005 | An international analysis of earnings, stock prices and bond yields.(2005) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
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2010 | Volatility regimes and liquidity co-movements in cap-based portfolios In: Finance. [Full Text][Citation analysis] | article | 1 |
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1998 | Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
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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 another 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 | 109 |
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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 another version. Agregated cites: 109 | paper | |
2004 | A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 109 | article | |
2004 | A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 109 | paper | |
2001 | Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 196 |
2003 | Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 196 | paper | |
2003 | Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 196 | article | |
2001 | VALUE-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 | |
2002 | The information content of implied volatility in agricultural commodity markets In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 39 |
2003 | The information content of implied volatility in agricultural commodity markets.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 39 | 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 another version. Agregated cites: 39 | 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 |
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2006 | How large is liquidity risk in an automated auction market?.(2006) In: Empirical Economics. [Full Text][Citation analysis] This paper has another 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 another 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 another 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 | 129 |
2003 | Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 129 | paper | |
2003 | Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 129 | 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 | 113 |
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 another version. Agregated cites: 113 | 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 another version. Agregated cites: 113 | article | |
2003 | The Asian financial crisis : the start of a regime switch in volatility In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
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 another 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 another 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 another version. Agregated cites: 21 | article | |
2009 | Commonalities in the order book.(2009) In: CFR Working Papers. [Full Text][Citation analysis] This paper has another 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 another version. Agregated cites: 2 | paper | |
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2006 | Volatility 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 | |
2005 | Volatility 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 | |
2005 | Volatility 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 | |
2005 | IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 102 |
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 another version. Agregated cites: 102 | 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 another version. Agregated cites: 102 | article | |
2003 | IPOs, 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: 102 | 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 another 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 another 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 another 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 another 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 | 46 |
2003 | Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 46 | article | |
2004 | Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: LIDAM Reprints CORE. [Citation analysis] | paper | 217 |
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 another version. Agregated cites: 217 | 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 another version. Agregated cites: 217 | 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 another version. Agregated cites: 217 | 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 | 30 |
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 | 2 |
2005 | Market risk models for intraday data In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 54 |
2005 | Market risk models for intraday data.(2005) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 54 | 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 another 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 another 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 | 93 |
2010 | Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 93 | 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 another 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 another 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 | 8 |
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 | 35 |
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