Florian Ielpo : Citation Profile


Are you Florian Ielpo?

Université Paris 1 (Panthéon-Sorbonne)

6

H index

4

i10 index

159

Citations

RESEARCH PRODUCTION:

24

Articles

36

Papers

RESEARCH ACTIVITY:

   11 years (2006 - 2017). See details.
   Cites by year: 14
   Journals where Florian Ielpo has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 21 (11.67 %)

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   Permalink: http://citec.repec.org/pie2
   Updated: 2019-02-13    RAS profile: 2018-06-08    
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Relations with other researchers


Works with:

Chevallier, Julien (9)

Lalaharison, Hanjarivo (5)

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)

Zhang, Yue-Jun (3)

Vacha, Lukas (3)

GUEGAN, Dominique (3)

Goutte, Stéphane (3)

Lalaharison, Hanjarivo (3)

Kočenda, Evžen (3)

Cites to:

Bollerslev, Tim (29)

GUEGAN, Dominique (27)

Andersen, Torben (22)

Engle, Robert (18)

Diebold, Francis (17)

Maheu, John (13)

Campbell, John (10)

McCurdy, Tom (10)

Christoffersen, Peter (9)

Ait-Sahalia, Yacine (8)

Corsi, Fulvio (8)

Main data


Where Florian Ielpo has published?


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

Working Papers Series with more than one paper published# docs
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL21
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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2017Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market. (2017). Zarraga, Ainhoa ; Ciarreta, Aitor ; Muniainy, Peru . 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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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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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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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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2018Sector spillovers in credit markets. (2018). Collet, Jerome ; Ielpo, Florian. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278.

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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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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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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). Dąbrowski, Marek ; Fijorek, Kamil ; Dbrowski, Marek A ; Papie, Monika ; Miech, Sawomir. In: Economics Discussion Papers. RePEc:zbw:ifwedp:201855.

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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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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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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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article56
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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article3
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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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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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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2012Option pricing for GARCH-type models with generalized hyperbolic innovations.(2012) In: Quantitative Finance.
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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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2007Further evidence on the impact of economic news on interest rates.(2007) In: MPRA Paper.
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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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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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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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2017Testing for Leverage Effects in the Returns of US Equities 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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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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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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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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