Stéphane Goutte : Citation Profile

Are you Stéphane Goutte?

Université Paris-Saint-Denis (Paris VIII)

4

H index

1

i10 index

56

Citations

RESEARCH PRODUCTION:

22

Articles

50

Papers

1

Chapters

RESEARCH ACTIVITY:

   10 years (2009 - 2019). See details.
   Cites by year: 5
   Journals where Stéphane Goutte has often published
   Relations with other researchers
   Recent citing documents: 29.    Total self citations: 21 (27.27 %)

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   Permalink: http://citec.repec.org/pgo412
   Updated: 2019-10-06    RAS profile: 2019-07-12    
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Relations with other researchers

Works with:

PORCHER, Thomas (17)

Porcher, Simon (13)

Chevallier, Julien (8)

GAIES, Brahim (4)

Dhaoui, Abderrazak (3)

Damette, Olivier (2)

Nguyen, Duc Khuong (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Stéphane Goutte.

Is cited by:

PORCHER, Thomas (2)

Bekiros, Stelios (1)

Hirs-Garzon, Jorge (1)

Degiannakis, Stavros (1)

Carpantier, Jean-François (1)

POLEMIS, MICHAEL (1)

TANKOV, PETER (1)

Ratti, Ronald (1)

Gomez-Gonzalez, Jose (1)

Bauwens, Luc (1)

Crampes, Claude (1)

Cites to:

Chevallier, Julien (22)

Hamilton, James (13)

Bekaert, Geert (11)

Narayan, Paresh (9)

Chèze, Benoît (9)

Hammoudeh, Shawkat (8)

Ang, Andrew (8)

Chinn, Menzie (7)

Sharma, Susan (6)

Bai, Jushan (6)

Cheung, Yin-Wong (6)

Main data

Where Stéphane Goutte has published?

Journals with more than one article published# docs
Applied Economics Letters3
Applied Economics3
Economic Modelling2

Working Papers Series with more than one paper published# docs
Post-Print / HAL22
Working Papers / HAL19
Papers / arXiv.org6

Recent works citing Stéphane Goutte (2019 and 2018)

YearTitle of citing document
2017A closed-form representation of mean-variance hedging for additive processes via Malliavin calculus. (2017). Arai, Takuji ; Imai, Yuto. In: Papers. RePEc:arx:papers:1702.07556.

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2018Regime-Switching Temperature Dynamics Model for Weather Derivatives. (2018). Gyamerah, Samuel Asante ; Ikpe, Dennis ; Ngare, Philip. In: Papers. RePEc:arx:papers:1808.04710.

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2019A Machine Learning approach to Risk Minimisation in Electricity Markets with Coregionalized Sparse Gaussian Processes. (2019). Tegn, Martin ; Roberts, Stephen ; Poh, Daniel. In: Papers. RePEc:arx:papers:1903.09536.

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2019Nonparametric pricing and hedging of exotic derivatives. (2019). Arribas, Imanol Perez ; Nejad, Sina ; Lyons, Terry. In: Papers. RePEc:arx:papers:1905.00711.

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2018Dynamic relations between oil and stock markets: Volatility spillovers, networks and causality. (2018). Sanin Restrepo, Sebastian ; Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Sanin-Restrepo, Sebastian. In: Borradores de Economia. RePEc:bdr:borrec:1051.

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2018Filterbased stochastic volatility in continuous-time hidden Markov models. (2018). Krishnamurthy, Vikram ; Sass, Jorn ; Leoff, Elisabeth . In: Econometrics and Statistics. RePEc:eee:ecosta:v:6:y:2018:i:c:p:1-21.

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2017Risk-minimisation in electricity markets: Fixed price, unknown consumption. (2017). Tegner, Martin ; Poulsen, Rolf ; Skajaa, Anders ; Ernstsen, Rune Ramsdal. In: Energy Economics. RePEc:eee:eneeco:v:68:y:2017:i:c:p:423-439.

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2018Mitigating market risk for wind power providers via financial risk exchange. (2018). Shin, Hunyoung ; Baldick, Ross. In: Energy Economics. RePEc:eee:eneeco:v:71:y:2018:i:c:p:344-358.

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2018The Minimum-CVaR strategy with semi-parametric estimation in carbon market hedging problems. (2018). Chai, Shanglei ; Zhou, P. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:64-75.

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2019The asymmetric response of gasoline prices to oil price shocks and policy uncertainty. (2019). Ratti, Ronald ; Kang, Wensheng ; de Gracia, Fernando Perez. In: Energy Economics. RePEc:eee:eneeco:v:77:y:2019:i:c:p:66-79.

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2019Optimal sales-mix and generation plan in a two-stage electricity market. (2019). Ruiz, Carlos ; Falbo, Paolo. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:598-614.

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2018Default supply auctions in electricity markets: Challenges and proposals. (2018). Pea, Juan Ignacio ; Rodriguez, Rosa. In: Energy Policy. RePEc:eee:enepol:v:122:y:2018:i:c:p:142-151.

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2019Getting prices right in structural electricity market models. (2019). Green, Richard ; Staffell, I ; Ward, K R. In: Energy Policy. RePEc:eee:enepol:v:129:y:2019:i:c:p:1190-1206.

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2018Nonlinear equilibrium adjustment dynamics and predictability of the term structure of interest rates. (2018). Bekiros, Stelios ; Hassapis, Christis ; Avdoulas, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:140-155.

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2018A looming revolution: Implications of self-generation for the risk exposure of retailers. (2018). Bertsch, Valentin ; Russo, Marianna. In: Papers. RePEc:esr:wpaper:wp597.

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2019A Generic Data Model for Describing Flexibility in Power Markets. (2019). Weber, Thomas ; Strobel, Nina ; Sedlmeir, Johannes ; Schott, Paul ; Abele, Eberhard ; Fridgen, Gilbert. In: Energies. RePEc:gam:jeners:v:12:y:2019:i:10:p:1893-:d:232300.

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2019Potential benefits of optimal intra-day electricity hedging for the environment : the perspective of electricity retailers. (2019). PORCHER, Thomas ; Goutte, Stephane ; Boroumand, Raphael. In: Working Papers. RePEc:hal:wpaper:halshs-02175358.

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2019DOES FINANCIAL GLOBALIZATION STILL SPUR GROWTH IN DEVELOPING COUNTRIES? CONSIDERING EXCHANGE RATE VOLATILITY. (2019). Guesmi, Khaled ; Goutte, Stephane ; Gaies, Brahim. In: Working Papers. RePEc:hal:wpaper:halshs-02175361.

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2019Study of the dynamic of Bitcoins price. (2019). Saadi, Samir ; Guesmi, Khaled ; Goutte, Stephane ; Chevallier, Julien. In: Working Papers. RePEc:hal:wpaper:halshs-02175669.

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2019A switching self-exciting jump diffusion process for stock prices. (2019). Moraux, Franck ; Hainaut, Donatien. In: Annals of Finance. RePEc:kap:annfin:v:15:y:2019:i:2:d:10.1007_s10436-018-0340-5.

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2018Two Stage Markov Switching Model: Identifying the Indonesian Rupiah Per US Dollar Turning Points Post 1997 Financial Crisis. (2018). Widodo, Tri ; Mendy, David. In: MPRA Paper. RePEc:pra:mprapa:86728.

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2018A Levy Regime-Switching Temperature Dynamics Model for Weather Derivatives. (2018). Gyamerah, Samuel Asante ; Ikpe, Dennis ; Ngare, Philip. In: MPRA Paper. RePEc:pra:mprapa:89680.

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2019Regime-Switching And Levy Jump Dynamics In Option-Adjusted Spreads. (2019). Shaw, Charles. In: MPRA Paper. RePEc:pra:mprapa:94154.

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2019Oil and pump prices: Is there any asymmetry in the Greek oil downstream sector?. (2019). Filis, George ; Degiannakis, Stavros ; Bragoudakis, Zacharias. In: MPRA Paper. RePEc:pra:mprapa:95407.

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2018Environmental performance evaluation with big data: theories and methods. (2018). Song, Ma-Lin ; Cui, Lian-Biao ; Wang, Jian-Lin ; Fisher, Ron. In: Annals of Operations Research. RePEc:spr:annopr:v:270:y:2018:i:1:d:10.1007_s10479-016-2158-8.

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2019Evidence about asymmetric price transmission in the main European fuel markets: from TAR-ECM to Markov-switching approach. (2019). perez, rafaela ; Ruiz, Jesus ; Martin-Moreno, Jose Maria. In: Empirical Economics. RePEc:spr:empeco:v:56:y:2019:i:4:d:10.1007_s00181-017-1388-1.

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2018Learning minimum variance discrete hedging directly from the market. (2018). Nian, KE ; Li, Yuying ; Coleman, Thomas F. In: Quantitative Finance. RePEc:taf:quantf:v:18:y:2018:i:7:p:1115-1128.

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2018Supply flexibility in electricity markets. (2018). Crampes, Claude ; Renault, Jerome. In: TSE Working Papers. RePEc:tse:wpaper:33094.

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2018A flexible regime switching model with pairs trading application to the S&P 500 high-frequency stock returns. (2018). Endres, Sylvia ; Stubinger, Johannes. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:072018.

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Works by Stéphane Goutte:

YearTitleTypeCited
2009Variance Optimal Hedging for continuous time processes with independent increments and applications In: Papers.
[Full Text][Citation analysis]		paper1
2012Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets In: Papers.
[Full Text][Citation analysis]		paper3
2012Optimization problem and mean variance hedging on defaultable claims In: Papers.
[Full Text][Citation analysis]		paper0
2013Variance optimal hedging for continuous time additive processes and applications In: Papers.
[Full Text][Citation analysis]		paper6
2013Markov switching quadratic term structure models In: Papers.
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2013Markov switching quadratic term structure models.(2013) In: Working Papers.
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2019FDI, banking crisis and growth: direct and spill over effects In: Papers.
[Full Text][Citation analysis]		paper1
2019FDI, banking crises and growth: direct and spill over effects.(2019) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2019FDI, banking crises and growth: direct and spill over effects.(2019) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
2019FDI, banking crisis and growth: direct and spill over effects.(2019) In: Working Papers.
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This paper has another version. Agregated cites: 1		paper
2014Dual Optimization Problem on Defaultable Claims In: Mathematical Economics Letters.
[Full Text][Citation analysis]		article0
2017On the estimation of regime-switching Lévy models In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article3
2014Conditional Markov regime switching model applied to economic modelling In: Economic Modelling.
[Full Text][Citation analysis]		article2
2012Conditional Markov regime switching model applied to economic modelling..(2012) In: Working Papers.
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This paper has another version. Agregated cites: 2		paper
2016Asymmetric evidence of gasoline price responses in France: A Markov-switching approach In: Economic Modelling.
[Full Text][Citation analysis]		article4
2016Asymmetric evidence of gasoline price responses in France: A Markov-switching approach.(2016) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 4		paper
2015Hedging strategies in energy markets: The case of electricity retailers In: Energy Economics.
[Full Text][Citation analysis]		article12
2015Hedging strategies in energy markets: the case of electricity retailers.(2015) In: LSE Research Online Documents on Economics.
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This paper has another version. Agregated cites: 12		paper
2015Hedging strategies in energy markets: The case of electricity retailers.(2015) In: Post-Print.
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This paper has another version. Agregated cites: 12		paper
2019The value of flexibility in power markets In: Energy Policy.
[Full Text][Citation analysis]		article4
2019The Value of Flexibility in Power Markets.(2019) In: Working Papers.
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This paper has another version. Agregated cites: 4		paper
2018On the study of conditional dependence structure between oil, gold and USD exchange rates In: International Review of Financial Analysis.
[Full Text][Citation analysis]		article1
2018On the study of conditional dependence structure between oil, gold and USD exchange rates.(2018) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2018On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting In: Journal of International Financial Markets, Institutions and Money.
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2018On the determinants of industry-CDS index spreads: Evidence from a nonlinear setting.(2018) In: Post-Print.
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2019Contagion and bond pricing: The case of the ASEAN region In: Research in International Business and Finance.
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2019Contagion and bond pricing: The case of the ASEAN region.(2019) In: Post-Print.
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2015The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims In: Stochastic Processes and their Applications.
[Full Text][Citation analysis]		article1
2018Optimal strategy between extraction and storage of crude oil In: Post-Print.
[Citation analysis]		paper0
2019Optimal strategy between extraction and storage of crude oil.(2019) In: Post-Print.
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2017Risk minimisation: the failure of electricity intra-day forward contracts In: Post-Print.
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2017Risk minimisation: the failure of electricity intra-day forward contracts.(2017) In: International Journal of Global Energy Issues.
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2014Correlation evidence in the dynamics of agricultural commodity prices In: Post-Print.
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2014Correlation evidence in the dynamics of agricultural commodity prices.(2014) In: Applied Economics Letters.
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2015A CONDITIONAL MARKOV REGIME SWITCHING MODEL TO STUDY MARGINS: APPLICATION TO THE FRENCH FUEL RETAIL MARKETS In: Post-Print.
[Citation analysis]		paper0
2014A Conditional Markov Regime Switching Model to Study Margins: Application to the French Fuel Retail Markets.(2014) In: Working Papers.
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2018Optimal strategy between extraction and storage of crude oil In: Post-Print.
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2019Handbook of Energy Finance In: Post-Print.
[Citation analysis]		paper0
2017Jumps and volatility dynamics in agricultural commodity spot prices In: Post-Print.
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2017Jumps and volatility dynamics in agricultural commodity spot prices.(2017) In: Applied Economics.
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2019Media attention and Bitcoin prices In: Post-Print.
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2018Banking crises in developing countries–What crucial role of exchange rate stability and external liabilities? In: Post-Print.
[Citation analysis]		paper0
2019Banking Crises in Developing Countries-What Crucial Role of Exchange Rate Stability and External Liabilities?.(2019) In: Working Papers.
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2019Commodities risk premia and regional integration in gas-exporting countries In: Post-Print.
[Citation analysis]		paper0
2019What Interactions between Financial Globalization and Instability?-Growth in Developing Countries In: Post-Print.
[Citation analysis]		paper1
2019What Interactions between Financial Globalization and Instability?—Growth in Developing Countries.(2019) In: Journal of International Development.
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2018The Asymmetric Responses of Stock Markets In: Post-Print.
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2018The Asymmetric Responses of Stock Markets.(2018) In: Journal of Economic Integration.
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2017Mean-Reverting Lévy Jump Dynamics in the European Power Sector In: Post-Print.
[Citation analysis]		paper0
2019Handbook of Energy Finance In: Post-Print.
[Citation analysis]		paper0
2014Dual Optimization Problem on Defaultable Claims In: Post-Print.
[Citation analysis]		paper0
2012Continuous time regime switching model applied to foreign exchange rate. In: Working Papers.
[Full Text][Citation analysis]		paper2
2012Bessel bridges decomposition with varying dimension. Applications to finance. In: Working Papers.
[Full Text][Citation analysis]		paper1
2014Detecting jumps and regime-switches in international stock markets returns In: Working Papers.
[Full Text][Citation analysis]		paper3
2015Detecting jumps and regime switches in international stock markets returns.(2015) In: Applied Economics Letters.
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2014A regime switching model to evaluate bonds in a quadratic term structure of interest rates In: Working Papers.
[Full Text][Citation analysis]		paper1
2014A regime-switching model to evaluate bonds in a quadratic term structure of interest rates.(2014) In: Applied Financial Economics.
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2017Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options In: Working Papers.
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2017Regime-switching stochastic volatility model: estimation and calibration to VIX options.(2017) In: Applied Mathematical Finance.
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2019DOES FINANCIAL GLOBALIZATION STILL SPUR GROWTH IN EMERGING AND DEVELOPING COUNTRIES? CONSIDERING EXCHANGE RATE VOLATILITYS EFFECTS In: Working Papers.
[Full Text][Citation analysis]		paper0
2014Tobin tax and trading volume tightening: a reassessment In: Working Papers.
[Full Text][Citation analysis]		paper1
2015Tobin tax and trading volume tightening: a reassessment.(2015) In: Applied Economics.
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This paper has another version. Agregated cites: 1		article
2017Worker mobility and the purchase of low CO2 emission vehicles in France: a datamining approach In: Working Papers.
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2019Worker mobility and the purchase of low CO2 emission vehicles in France: a datamining approach.(2019) In: Working Papers.
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2019Optimal risk management problem of natural resources: Application to oil drilling In: Working Papers.
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2019Climate finance and the restructuring of the oil-gas-coal business model under carbon asset stranding constraints In: Working Papers.
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2019On the Bitcoin price dynamics: an augmented Markov-Switching model with Lévy jumps In: Working Papers.
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2014The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process In: Working Papers.
[Full Text][Citation analysis]		paper0
2011Foreign exchange rates under Markov Regime switching model In: CREA Discussion Paper Series.
[Full Text][Citation analysis]		paper3
2017Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching In: Annals of Operations Research.
[Full Text][Citation analysis]		article3
2017Intraday hedging with financial options: the case of electricity In: Applied Economics Letters.
[Full Text][Citation analysis]		article1
2017Cross-country performance of Lévy regime-switching models for stock markets In: Applied Economics.
[Full Text][Citation analysis]		article2
2017Mean-Reverting Lévy Jump Dynamics in the European Power Sector In: World Scientific Book Chapters.
[Full Text][Citation analysis]		chapter0

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