Florian Ielpo : Citation Profile


Are you Florian Ielpo?

Université Paris 1 (Panthéon-Sorbonne)

6

H index

5

i10 index

164

Citations

RESEARCH PRODUCTION:

26

Articles

37

Papers

RESEARCH ACTIVITY:

   12 years (2006 - 2018). See details.
   Cites by year: 13
   Journals where Florian Ielpo has often published
   Relations with other researchers
   Recent citing documents: 39.    Total self citations: 23 (12.3 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pie2
   Updated: 2019-12-07    RAS profile: 2019-06-16    
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Relations with other researchers


Works with:

Chevallier, Julien (9)

Lalaharison, Hanjarivo (7)

GUEGAN, Dominique (3)

Sévi, Benoît (2)

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

Is cited by:

Chevallier, Julien (29)

Sévi, Benoît (10)

Wei, Yi-Ming (9)

Gnoatto, Alessandro (9)

DA FONSECA, José (6)

GUEGAN, Dominique (3)

Vacha, Lukas (3)

Kočenda, Evžen (3)

Goutte, Stéphane (3)

Zhang, Yue-Jun (3)

Baruník, Jozef (3)

Cites to:

Bollerslev, Tim (28)

GUEGAN, Dominique (25)

Diebold, Francis (22)

Andersen, Torben (22)

Engle, Robert (19)

Maheu, John (14)

McCurdy, Tom (11)

Christoffersen, Peter (10)

Laurent, Sébastien (10)

Jagannathan, Ravi (9)

Campbell, John (9)

Main data


Where Florian Ielpo has published?


Journals with more than one article published# docs
Applied Economics Letters3
International Journal of Theoretical and Applied Finance (IJTAF)2
Journal of Forecasting2
Finance Research Letters2
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL22
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne11
MPRA Paper / University Library of Munich, Germany2

Recent works citing Florian Ielpo (2018 and 2017)


YearTitle of citing document
2018Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2018). Gatfaoui, Hayette. In: Papers. RePEc:arx:papers:1811.02382.

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2019Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (2019). Fabozzi, Frank J ; Rache, Svetlozar T ; Hu, Yuan. In: Papers. RePEc:arx:papers:1908.05419.

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2019Does the leverage effect affect the return distribution?. (2019). Chen, Dangxing. In: Papers. RePEc:arx:papers:1909.08662.

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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Muniainy, Peru ; Ciarreta, Aitor. In: ISER Discussion Paper. RePEc:dpr:wpaper:0991.

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2017The long and short of commodity tails and their relationship to Asian equity markets. (2017). Vo, Duc ; Powell, Robert ; Pham, Thach ; Singh, Abhay K. In: Journal of Asian Economics. RePEc:eee:asieco:v:52:y:2017:i:c:p:32-44.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals. (2018). Omura, Akihiro ; Todorova, Neda ; Chung, Richard ; Li, Bin. In: Economic Modelling. RePEc:eee:ecmode:v:70:y:2018:i:c:p:496-510.

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2019Limit order books, uninformed traders and commodity derivatives: Insights from the European carbon futures. (2019). Rannou, Yves. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:387-410.

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2017Is information assimilated at announcements in the European carbon market?. (2017). Bredin, Don ; Muckley, Cal B ; Chen, Jiayuan . In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:234-247.

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2017Noncausality and the commodity currency hypothesis. (2017). Nyberg, Henri ; Lof, Matthijs. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:424-433.

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2018Predictability of crude oil prices: An investor perspective. (2018). Liu, LI ; Yang, LI ; Wang, Yudong. In: Energy Economics. RePEc:eee:eneeco:v:75:y:2018:i:c:p:193-205.

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2018The asymmetric return-volatility relationship of commodity prices. (2018). Baur, Dirk G ; Dimpfl, Thomas. In: Energy Economics. RePEc:eee:eneeco:v:76:y:2018:i:c:p:378-387.

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2019Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests. (2019). Tiwari, Aviral ; Hammoudeh, Shawkat ; Jena, Sangram Keshari ; Roubaud, David. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:615-628.

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2019Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures. (2019). Gatfaoui, Hayette. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:132-152.

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2017What policy adjustments in the EU ETS truly affected the carbon prices?. (2017). Fan, Ying ; Xu, Jin-Hua ; Wang, Xin ; Jia, Jun-Jun. In: Energy Policy. RePEc:eee:enepol:v:103:y:2017:i:c:p:145-164.

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2017Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest. (2017). Tsouknidis, Dimitris ; Magkonis, Georgios. In: International Review of Financial Analysis. RePEc:eee:finana:v:52:y:2017:i:c:p:104-118.

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2018The intraday volatility spillover index approach and an application in the Brexit vote. (2018). Nishimura, Yusaku ; Sun, Bianxia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:241-253.

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2018Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?. (2018). Wang, Gang-Jin ; Jiang, Zhi-Qiang ; Zhao, Longfeng ; Xie, Chi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:57:y:2018:i:c:p:205-230.

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2019Jumps in commodity markets. (2019). Prokopczuk, Marcel ; Benno, Duc Binh. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:13:y:2019:i:c:p:55-70.

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2017News sentiment and jumps in energy spot and futures markets. (2017). Dokumentov, Alexander ; Rotaru, Kristian ; Maslyuk-Escobedo, Svetlana. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:45:y:2017:i:c:p:186-210.

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2017News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil. (2017). Bassil, Charbel ; Nehme, Tamara ; Hamadi, Hassan . In: Research in International Business and Finance. RePEc:eee:riibaf:v:41:y:2017:i:c:p:148-157.

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2018Dynamic return and volatility spillovers among S&P 500, crude oil and gold. (2018). Ozdemir, Zeynel ; Balcilar, Mehmet. In: Working Papers. RePEc:emu:wpaper:15-46.pdf.

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2018Decision and Performance Analysis of a Price-Setting Manufacturer with Options under a Flexible-Cap Emission Trading Scheme (ETS). (2018). Wang, Shuyi ; Yang, Baochen ; Wu, Zhenhua. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:10:p:3681-:d:175585.

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2018How Do Verified Emissions Announcements Affect the Comoves between Trading Behaviors and Carbon Prices? Evidence from EU ETS. (2018). Guo, Jianfeng ; Liu, Yinpeng ; Feng, Lianyong ; Yang, Guang ; Su, Bin. In: Sustainability. RePEc:gam:jsusta:v:10:y:2018:i:9:p:3255-:d:169312.

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2017Jumps in Commodity Markets. (2017). Prokopczuk, Marcel ; Benno, Duc Binh. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-615.

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2017Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. (2017). Hata, Hiroaki ; Sekine, Jun. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4.

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2018A multivariate stochastic volatility model with applications in the foreign exchange market. (2018). Escobar, Marcos ; Gschnaidtner, Christoph. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9132-8.

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2018GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7.

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2017The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices. (2017). Hsu, Chih-Chen ; Chen, Ting-Fu ; Lin, Shih-Kuei. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:48:y:2017:i:3:d:10.1007_s11156-016-0569-x.

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2017Estimation of Lévy-driven Ornstein–Uhlenbeck processes: application to modeling of $$\hbox {CO}_2$$ CO 2 and fuel-switching. (2017). Goutte, Stéphane ; Chevallier, Julien. In: Annals of Operations Research. RePEc:spr:annopr:v:255:y:2017:i:1:d:10.1007_s10479-015-1967-5.

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2018How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?. (2018). Hainaut, Donatien ; Zeng, Yan ; Shen, Yang. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2210-8.

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2018Projecting impacts of carbon dioxide emission reductions in the US electric power sector: evidence from a data-rich approach. (2018). Binder, Kyle E ; Mjelde, James W. In: Climatic Change. RePEc:spr:climat:v:151:y:2018:i:2:d:10.1007_s10584-018-2297-9.

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2017GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander. In: Economics Working Paper Series. RePEc:usg:econwp:2017:02.

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2019Correlation risk and international portfolio choice. (2019). Weisheit, Stefan ; Muck, Matthias ; Branger, Nicole. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:39:y:2019:i:1:p:128-146.

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2018THE DETERMINANTS OF A SIMULTANEOUS CRASH IN GOLD AND STOCK MARKETS: AN ORDERED LOGIT APPROACH. (2018). Hamori, Shigeyuki ; Miyazaki, Takashi. In: Annals of Financial Economics (AFE). RePEc:wsi:afexxx:v:13:y:2018:i:01:n:s2010495218500045.

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2017Empirical Performance of GARCH Models with Heavy-tailed Innovations. (2017). Guo, Zi-Yi. In: EconStor Preprints. RePEc:zbw:esprep:167626.

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2018What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets. (2018). Śmiech, Sławomir ; Dąbrowski, Marek ; Fijorek, Kamil ; Dbrowski, Marek A ; Papie, Monika. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201855.

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2019What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets. (2019). Dąbrowski, Marek ; Dbrowski, Marek A ; Fijorek, Kamil ; Papie, Monika ; Miech, Sawomir. In: Economics - The Open-Access, Open-Assessment E-Journal. RePEc:zbw:ifweej:201914.

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Works by Florian Ielpo:


YearTitleTypeCited
2014Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production In: Australian Economic Review.
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2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics.
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article16
2008Flexible time series models for subjective distribution estimation with monetary policy in view In: Brussels Economic Review.
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article1
2007Flexible time series models for subjective distribution estimation with monetary policy in view.(2007) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has another version. Agregated cites: 1
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2008Flexible time series models for subjective distribution estimation with monetary policy in view.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007Flexible time series models for subjective distribution estimation with monetary policy in view.(2007) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Common risk factors in commodities In: Economics Bulletin.
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2013Option pricing with discrete time jump processes In: Journal of Economic Dynamics and Control.
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article1
2013Option pricing with discrete time jump processes.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Option pricing with discrete time jump processes.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Option pricing with discrete time jump processes.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Option pricing with discrete time jump processes.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2018Testing for leverage effects in the returns of US equities In: Journal of Empirical Finance.
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2017Testing for Leverage Effects in the Returns of US Equities.(2017) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2018Testing for leverage effects in the returns of US equities.(2018) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017Testing for Leverage Effects in the Returns of US Equities.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event In: Energy Policy.
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article57
2010Martingalized historical approach for option pricing In: Finance Research Letters.
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2009Martingalized Historical approach for Option Pricing.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Martingalized Historical approach for Option Pricing.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Empirical bias in intraday volatility measures In: Finance Research Letters.
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2018Sector spillovers in credit markets In: Journal of Banking & Finance.
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2017Investigating the leverage effect in commodity markets with a recursive estimation approach In: Research in International Business and Finance.
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2014“Time series momentum” in commodity markets In: Managerial Finance.
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2008Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Option pricing for GARCH-type models with generalized hyperbolic innovations.(2012) In: Quantitative Finance.
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2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Understanding momentum in commodity markets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Understanding momentum in commodity markets.(2013) In: Applied Economics Letters.
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2015A time series approach to option pricing: Models, Methods and Empirical Performances In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Commodity Markets through the business cycle In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Commodity markets through the business cycle.(2014) In: Quantitative Finance.
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2007Further evidence on the impact of economic news on interest rates In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Further evidence on the impact of economic news on interest rates.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007Further evidence on the impact of economic news on interest rates.(2007) In: MPRA Paper.
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2008Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology.(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Understanding the Importance of the Duration and Size of the Variations of Feds Target Rate In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper0
2009Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate.(2009) In: The IUP Journal of Monetary Economics.
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2010Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011The Number of Regimes Across Asset Returns: Identification and Economic Value In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE.(2014) In: International Journal of Theoretical and Applied Finance (IJTAF).
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2011Identifying and Explaining the Number of Regimes Driving Asset Returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017The contribution of jumps to forecasting the density of returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017The contribution of jumps to forecasting the density of returns.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2014Forecasting the density of oil futures In: Working Papers.
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2014Testing for Leverage Effect in Financial Returns In: Documents de travail du Centre d'Economie de la Sorbonne.
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2007Further evidence on the impact of economic news on interest In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper5
2008Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results In: Documents de travail du Centre d'Economie de la Sorbonne.
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2016An anatomy of global risk premiums In: Journal of Asset Management.
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2006An econometric specification of monetary policy dark art In: MPRA Paper.
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2007Yield curve reaction to macroeconomic news in Europe :disentangling the US influence In: Working Papers CEB.
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2013Cross-market linkages between commodities, stocks and bonds In: Applied Economics Letters.
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2013Volatility spillovers in commodity markets In: Applied Economics Letters.
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2012Equity, credit and the business cycle In: Applied Financial Economics.
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2010Mean-reversion properties of implied volatilities In: The European Journal of Finance.
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2014Twenty years of jumps in commodity markets In: International Review of Applied Economics.
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article8
2013Forecasting the European Credit Cycle Using Macroeconomic Variables In: Journal of Forecasting.
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2015Forward Rates, Monetary Policy and the Economic Cycle In: Journal of Forecasting.
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2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
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