Pierre Giot : Citation Profile

Are you Pierre Giot?

Université Catholique de Louvain
Université de Namur

12

H index

12

i10 index

893

Citations

RESEARCH PRODUCTION:

17

Articles

34

Papers

RESEARCH ACTIVITY:

   14 years (1997 - 2011). See details.
   Cites by year: 63
   Journals where Pierre Giot has often published
   Relations with other researchers
   Recent citing documents: 93.    Total self citations: 20 (2.19 %)

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   Permalink: http://citec.repec.org/pgi19
   Updated: 2019-02-13    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 (48)

Bauwens, Luc (21)

Angelidis, Timotheos (20)

Grammig, Joachim (13)

Louzis, Dimitrios (12)

Floros, Christos (12)

Hautsch, Nikolaus (11)

Rombouts, Jeroen (10)

Fernandes, Marcelo (10)

Sévi, Benoît (9)

Laurent, Sébastien (9)

Cites to:

Campbell, John (47)

Shiller, Robert (34)

Bollerslev, Tim (27)

Engle, Robert (21)

Andersen, Torben (21)

Diebold, Francis (18)

French, Kenneth (14)

Bauwens, Luc (13)

Stambaugh, Robert (11)

Biais, Bruno (9)

Schwert, G. (9)

Main data

Where Pierre Giot has published?

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

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
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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2018Zero-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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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 S. In: Working Papers. RePEc:bav:wpaper:174_weber.

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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). Schindelhauer, Kai ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:613.

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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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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2017The Possibilities of Application of the Parametric and Nonparametric VaR Daily Returns Estimation – Regional Perspective. (2017). Dj, Vladimir ; Andjelic, Goran B. In: Engineering Economics. RePEc:exl:25engi:v:28:y:2017:i:2:p:127-134.

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2018Best Fitting Fat Tail Distribution for the Volatilities of Energy Futures: Gev, Gat and Stable Distributions in GARCH and APARCH Models. (2018). Gunay, Samet ; Khaki, Audil Rashid . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:30-:d:151623.

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2018Forecasting Volatility: Evidence from the Saudi Stock Market. (2018). al Rahahleh, Naseem ; Kao, Robert. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:4:p:84-:d:186076.

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2017International Stock Return Predictability: Evidence from New Statistical Tests. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01626101.

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2017Seasonal long memory in intraday volatility and trading volume of Dow Jones stocks. (2017). Sibbertsen, Philipp ; Leschinski, Christian ; Voges, Michelle . In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-599.

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2018Monetary Policy Announcement and Algorithmic News Trading in the Foreign Exchange Market. (2018). Goshima, Keiichi ; Kumano, Yusuke . In: IMES Discussion Paper Series. RePEc:ime:imedps:18-e-13.

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2018Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Purwono, Yogo ; Husodo, Zaafri Ananto ; Ekaputra, Irwan Adi . In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

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2017Fueling the buyout machine: fundraising in private equity. (2017). Loos, Robert ; Schwetzler, Bernhard. In: Financial Markets and Portfolio Management. RePEc:kap:fmktpm:v:31:y:2017:i:4:d:10.1007_s11408-017-0298-8.

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2018Gain or pain? New evidence on mixed syndication between governmental and private venture capital firms in China. (2018). Zhang, Yuejia. In: Small Business Economics. RePEc:kap:sbusec:v:51:y:2018:i:4:d:10.1007_s11187-018-9989-4.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Chorro, Christophe ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2018Text‑Mining in Streams of Textual Data Using Time Series Applied to Stock Market. (2018). Netolick, Pavel ; Daena, Frantiek ; Petrovsk, Jona. In: Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis. RePEc:mup:actaun:actaun_2018066061573.

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2017Modeling time series with zero observations. (2017). Harvey, Andrew ; Ito, Ryoko . In: Economics Papers. RePEc:nuf:econwp:1701.

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2018Cross-border venture capital investments: The impact of foreignness on returns. (2018). Buchner, Axel ; Mohamed, Abdulkadir ; Khurshed, Arif ; Espenlaub, Susanne. In: Journal of International Business Studies. RePEc:pal:jintbs:v:49:y:2018:i:5:d:10.1057_s41267-017-0116-6.

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2017Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk. (2017). Senarathne, Chamil W ; Jayasinghe, Prabhath . In: MPRA Paper. RePEc:pra:mprapa:78771.

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2017The Sources of Country and Industry Variations in ASEAN Stock Returns. (2017). Hooy, Chee-Wooi ; CHONG, Terence Tai Leung ; Lee, Meng-Horng . In: MPRA Paper. RePEc:pra:mprapa:80574.

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2017Forecasting realized volatility: a review. (2017). Bucci, Andrea. In: MPRA Paper. RePEc:pra:mprapa:83232.

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2017A Comparative Study of GARCH and EVT Model in Modeling Value-at-Risk. (2017). Li, Longqing. In: MPRA Paper. RePEc:pra:mprapa:85645.

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2017The Impact of Macroeconomic News Surprises and Uncertainty of Major Economies on Returns and Volatility of Oil Futures. (2017). GUPTA, RANGAN ; Bahloul, Walid. In: Working Papers. RePEc:pre:wpaper:201715.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2018Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings. (2018). Wohar, Mark ; Kanda, Patrick ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201830.

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2017Interactions among Stock Price and Financial Ratios: The Case of Turkish Banking Sector. (2017). Kamışlı, Melik ; Meric, Ekrem ; Temizel, Fatih ; KAMISLI, Melik . In: Applied Economics and Finance. RePEc:rfa:aefjnl:v:4:y:2017:i:6:p:107-115.

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2017Zmiennosc cen na globalnym rynku surowcow a ryzyko banku. (2017). Wlodarczyk, Bogdan. In: Problemy Zarzadzania. RePEc:sgm:pzwzuw:v:15:i:66:y:2017:p:107-124.

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2017Complementary or conflictory?: the effects of the composition of the syndicate on venture capital-backed IPOs in the US stock market. (2017). Hahn, Sunny ; Kang, Jina. In: Economia e Politica Industriale: Journal of Industrial and Business Economics. RePEc:spr:epolin:v:44:y:2017:i:1:d:10.1007_s40812-016-0060-7.

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2017On the implementation of asymmetric VaR models for managing and forecasting market risk. (2017). Sogiakas, Vasilios. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:7:y:2017:i:6:f:7_6_2.

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2018Estimating and Forecasting West Africa Stock Market Volatility Using Asymmetric GARCH Models. (2018). Grald, Djahou Mangbl. In: Journal of Applied Finance & Banking. RePEc:spt:apfiba:v:8:y:2018:i:6:f:8_6_4.

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2017Modelling the relationship between future energy intraday volatility and trading volume with wavelet. (2017). Ftiti, Zied ; JAWADI, Fredj ; Louhichi, Wal. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:20:p:1981-1993.

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2017A robust statistical approach to select adequate error distributions for financial returns. (2017). Hambuckers, J ; Heuchenne, C. In: Journal of Applied Statistics. RePEc:taf:japsta:v:44:y:2017:i:1:p:137-161.

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2017A methodology for stochastic inventory modelling with ARMA triangular distribution for new products. (2017). Rojas, Fernando ; Liu, Shaofeng . In: Cogent Business & Management. RePEc:taf:oabmxx:v:4:y:2017:i:1:p:1270706.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2019Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2019). Blasques, Francisco ; Tomanova, Petra ; Holy, Vladimir. In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20190004.

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2017Information Arrival and Volatility: Evidence from the Saudi Stock Exchange (Tadawul). (2017). . In: Panoeconomicus. RePEc:voj:journl:v:64:y:2017:i:1:p:45-59.

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2018Founder CEOs and new venture media coverage. (2018). Howard, Michael D ; Kolb, Johannes . In: Hohenheim Discussion Papers in Business, Economics and Social Sciences. RePEc:zbw:hohdps:012018.

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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]		paper91
2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has another version. Agregated cites: 91		paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 91		article
2001Value-at-risk for long and short trading positions In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper160
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: 160		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: 160		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.
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This paper has another version. Agregated cites: 9		paper
2003The moments of Log-ACD models In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper17
2003The information content of implied volatility indexes for forecasting volatility and market risk In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper9
2003Market risk in commodity markets: a VaR approach In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper95
2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
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This paper has another version. Agregated cites: 95		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).
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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).
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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]		paper60
2007IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis.(2007) In: Journal of Banking & Finance.
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This paper has another version. Agregated cites: 60		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: 60		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.
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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.
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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]		article172
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: 172		paper
2010Trading activity, realized volatility and jumps In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article47
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]		article86
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]		article34
2005Market risk models for intraday data In: The European Journal of Finance.
[Full Text][Citation analysis]		article40
2011On the statistical and economic performance of stock return predictive regression models: an international perspective In: Quantitative Finance.
[Full Text][Citation analysis]		article7

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