Philippe Jorion : Citation Profile

Are you Philippe Jorion?

University of California-Irvine

27

H index

32

i10 index

3880

Citations

RESEARCH PRODUCTION:

39

Articles

15

Papers

2

Chapters

RESEARCH ACTIVITY:

   29 years (1985 - 2014). See details.
   Cites by year: 133
   Journals where Philippe Jorion has often published
   Relations with other researchers
   Recent citing documents: 169.    Total self citations: 10 (0.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo72
   Updated: 2021-03-01    RAS profile: 2016-08-05    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

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

Is cited by:

McAleer, Michael (34)

Bartram, Söhnke (33)

Allen, David (26)

Papell, David (20)

Bekaert, Geert (19)

Taylor, Mark (19)

Kilian, Lutz (18)

Sarno, Lucio (18)

faff, robert (18)

Xiao, Tim (16)

Powell, Robert (15)

Cites to:

Goetzmann, William (9)

Mishkin, Frederic (6)

Frankel, Jeffrey (5)

Fisher, Eric (4)

Prescott, Edward (3)

Mehra, Rajnish (3)

Dornbusch, Rüdiger (3)

Duffie, Darrell (2)

Mark, Nelson (2)

Stambaugh, Robert (2)

Meese, Richard (2)

Main data

Where Philippe Jorion has published?

Journals with more than one article published# docs
Journal of Finance8
Journal of Financial and Quantitative Analysis5
Journal of Financial Economics5
Journal of International Money and Finance4
The Journal of Business3
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
Yale School of Management Working Papers / Yale School of Management5

Recent works citing Philippe Jorion (2021 and 2020)

YearTitle of citing document
2021Counterparty credit limits: An effective tool for mitigating counterparty risk?. (2017). Hautsch, Nikolaus ; Porter, Mason A ; Howison, Sam D ; Gould, Martin D. In: Papers. RePEc:arx:papers:1709.08238.

Full description at Econpapers || Download paper

2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

Full description at Econpapers || Download paper

2020A wavelet analysis of inter-dependence, contagion and long memory among global equity markets. (2020). Bhandari, Avishek. In: Papers. RePEc:arx:papers:2003.14110.

Full description at Econpapers || Download paper

2021Time-varying volatility in Bitcoin market and information flow at minute-level frequency. (2020). Antulov-Fantulin, Nino ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2004.00550.

Full description at Econpapers || Download paper

2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

Full description at Econpapers || Download paper

2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

Full description at Econpapers || Download paper

2020Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402.

Full description at Econpapers || Download paper

2020On the impact of publicly available news and information transfer to financial markets. (2020). , Barna ; Jazbec, Metod ; Kolm, Petter N ; Antulov-Fantulin, Nino ; Faltings, Felix. In: Papers. RePEc:arx:papers:2010.12002.

Full description at Econpapers || Download paper

2020Economic Principles of PoPCoin, a Democratic Time-based Cryptocurrency. (2020). Basescu, Cristina ; Zhang, Haoqian ; Ford, Bryan. In: Papers. RePEc:arx:papers:2011.01712.

Full description at Econpapers || Download paper

2020Bayesian Quantile-Based Portfolio Selection. (2020). Lindholm, Mathias ; Bodnar, Taras ; Thors, Erik ; Niklasson, Vilhelm. In: Papers. RePEc:arx:papers:2012.01819.

Full description at Econpapers || Download paper

2020Operational and cyber risks in the financial sector. (2020). Giudici, Paolo ; Gambacorta, Leonardo ; Aldasoro, Iñaki ; Leach, Thomas. In: BIS Working Papers. RePEc:bis:biswps:840.

Full description at Econpapers || Download paper

2020The drivers of cyber risk. (2020). Giudici, Paolo ; Gambacorta, Leonardo ; Aldasoro, Iñaki ; Leach, Thomas. In: BIS Working Papers. RePEc:bis:biswps:865.

Full description at Econpapers || Download paper

2020Equity risk versus retirement adequacy: asset allocation solutions for KiwiSaver. (2020). Bianchi, Robert J ; MacDonald, Kirsten L ; Drew, Michael E. In: Accounting and Finance. RePEc:bla:acctfi:v:60:y:2020:i:4:p:3851-3873.

Full description at Econpapers || Download paper

2020Investment in Financial Information and Portfolio Performance. (2020). Jappelli, Tullio ; Guiso, Luigi. In: Economica. RePEc:bla:econom:v:87:y:2020:i:348:p:1133-1170.

Full description at Econpapers || Download paper

2020Modelling Financial Contagion Using High Frequency Data. (2020). Yao, Wenying ; Alexeev, Vitali ; Dungey, Mardi. In: The Economic Record. RePEc:bla:ecorec:v:96:y:2020:i:314:p:314-330.

Full description at Econpapers || Download paper

2020Does individualistic culture impact operational risk?. (2020). Li, Donghui ; Chen, Zhian ; Cao, Zhe ; An, Zhe. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:3:p:808-838.

Full description at Econpapers || Download paper

2020The effect of option transaction costs on informed trading in the options market around earnings announcements. (2020). Zhao, Chen ; Li, Yubin ; Govindaraj, Suresh. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:47:y:2020:i:5-6:p:615-644.

Full description at Econpapers || Download paper

2020Bank Default Risk Propagation along Supply Chains: Evidence from the U.K.. (2020). Roland, I ; Kabiri, A ; Manole, V ; Spatareanu, M. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2058.

Full description at Econpapers || Download paper

2020Bank default risk propagation along supply chains: evidence from the UK. (2020). Malone, Vlad ; Kabiri, Ali ; Spatareanu, Mariana ; Roland, Isabelle. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1699.

Full description at Econpapers || Download paper

2020Operational and cyber risks in the financial sector. (2020). Aldasoro, Inaki ; Gambacorta, Leonardo ; Giudici, Paolo ; Leach, Thomas. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14418.

Full description at Econpapers || Download paper

2021Can short-term foreign exchange volatility be predicted by the Global Hazard Index?. (2001). Scacciavillani, F. ; Brousseau, V.. In: Working Paper Series. RePEc:ecb:ecbwps:20010066.

Full description at Econpapers || Download paper

2020In-sample or out-of-sample tests of predictability: which one should we use?. (2002). Kilian, Lutz ; Inoue, Atsushi. In: Working Paper Series. RePEc:ecb:ecbwps:20020195.

Full description at Econpapers || Download paper

2020Corporate Performance in Nigeria: The Effect of Oil Price and Exchange Rate Fluctuations. (2020). Olofin, Sodik Adejonwo ; Omoregie, Osaretin Kayode. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-01-21.

Full description at Econpapers || Download paper

2020Corporate Governance and Operational Risk: Empirical Evidence. (2020). Rajhi, Mohamed Tahar ; Abidi, Ilyes ; Nsaibi, Mariem. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2020-04-13.

Full description at Econpapers || Download paper

2020The effects of financial and operational hedging on company value: The case of Malaysian multinationals. (2020). Adaoglu, Cahit ; Hadian, Azadeh. In: Journal of Asian Economics. RePEc:eee:asieco:v:70:y:2020:i:c:s1049007820301123.

Full description at Econpapers || Download paper

2020A complex networks based analysis of jump risk in equity returns: An evidence using intraday movements from Pakistan stock market. (2020). Ouenniche, Jamal ; Aziz, Saqib ; Mohmand, Yasir Tariq ; Aslam, Faheem. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:28:y:2020:i:c:s2214635020303452.

Full description at Econpapers || Download paper

2020Intra-industry transfer effects of credit risk news: Rated versus unrated rivals. (2020). Abad, Pilar ; Robles, M D ; Ferreras, R. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:1:s0890838918300830.

Full description at Econpapers || Download paper

2020The intraday timing of rating changes. (2020). Kraft, Pepa ; Zhou, Ling ; Xie, Yuan. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918303821.

Full description at Econpapers || Download paper

2020Do bank bailouts affect the provision of trade credit?11All errors are our own. The views expressed in this paper are solely those of the authors and should not be interpreted as reflecting the views . (2020). Norden, Lars ; Wang, Teng ; Udell, Gregory F. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918307636.

Full description at Econpapers || Download paper

2020Does the Dodd-Frank Act reduce the conflict of interests of credit rating agencies?. (2020). Toscano, Francesca. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119920300390.

Full description at Econpapers || Download paper

2020The time-varying diversifiability of corporate foreign exchange exposure. (2020). Krapl, Alain A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119918300038.

Full description at Econpapers || Download paper

2020Does a firm’s supplier concentration affect its cash holding?. (2020). Zhang, Yuefei ; Liu, Weimin ; Zou, Meifeng. In: Economic Modelling. RePEc:eee:ecmode:v:90:y:2020:i:c:p:527-535.

Full description at Econpapers || Download paper

2020Further empirical evidence on the forecasting of volatility with smooth transition exponential smoothing. (2020). Choo, Wei-Chong ; Taylor, James W ; Liu, Min. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:651-659.

Full description at Econpapers || Download paper

2020Forex interventions and exchange rate exposure: Evidence from emerging market firms. (2020). Sikarwar, Ekta. In: Economic Modelling. RePEc:eee:ecmode:v:93:y:2020:i:c:p:69-81.

Full description at Econpapers || Download paper

2020What do movements in financial traders’ net long positions reveal about aggregate stock returns?. (2020). Dunbar, Kwamie ; Jiang, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818303474.

Full description at Econpapers || Download paper

2020A quantile-copula approach to dependence between financial assets. (2020). Jung, Hojin ; Tabacu, Lucia ; Kim, Jong-Min. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819300105.

Full description at Econpapers || Download paper

2020Impact of volatility jumps in a mean-reverting model: Derivative pricing and empirical evidence. (2020). Chen, Ting-Fu ; Chiu, Hsin-Yu . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819300026.

Full description at Econpapers || Download paper

2020Predictability in international stock returns using currency fluctuations and forward rate forecasts. (2020). Yost-Bremm, Chris ; Huang, Emily J ; Han, Xue ; Wang, Jiexin . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819303195.

Full description at Econpapers || Download paper

2020Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-Rodríguez, Jorge ; Lopez-Valcarcel, Beatriz Gonzalez ; Perez-Rodriguez, Jorge V ; Qian, Huanhuan ; Zhou, Xinmiao. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940820300723.

Full description at Econpapers || Download paper

2020Incorporating the RMB internationalization effect into its exchange rate volatility forecasting. (2020). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819302840.

Full description at Econpapers || Download paper

2020Long-run dynamics of exchange rates: A multi-frequency investigation. (2020). Vo, Duc Hong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940819303080.

Full description at Econpapers || Download paper

2020Forecasting risk in the US Dollar exchange rate under volatility shifts. (2020). Malik, Farooq ; Anjum, Hassan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301546.

Full description at Econpapers || Download paper

2020Is there valuable private information in credit ratings?. (2020). Alanis, Emmanuel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301832.

Full description at Econpapers || Download paper

2020Nonparametric assessment of hedge fund performance. (2020). Garcia, René ; Ardison, Kym ; Almeida, Caio. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:349-378.

Full description at Econpapers || Download paper

2020Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65.

Full description at Econpapers || Download paper

2021Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. (2021). Sutcliffe, Charles ; Ye, Xiaoxia ; Platanakis, Emmanouil. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:302-317.

Full description at Econpapers || Download paper

2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

Full description at Econpapers || Download paper

2020Rating standards around the world: A puzzle?. (2020). El Ghoul, Sadok ; Driss, Hamdi ; Attig, Najah. In: Emerging Markets Review. RePEc:eee:ememar:v:45:y:2020:i:c:s1566014119305618.

Full description at Econpapers || Download paper

2020The asymmetric impact of oil prices, interest rates and oil price uncertainty on unemployment in the US. (2020). Soytas, Mehmet ; Kocaarslan, Baris. In: Energy Economics. RePEc:eee:eneeco:v:86:y:2020:i:c:s0140988319304220.

Full description at Econpapers || Download paper

2020Disentangling the role of the exchange rate in oil-related scenarios for the European stock market. (2020). Ferreiro, Javier Ojea. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s014098832030116x.

Full description at Econpapers || Download paper

2020Are hedge funds active market liquidity timers?. (2020). Li, Chenlu ; Tee, Kai-Hong. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918306641.

Full description at Econpapers || Download paper

2020Hedge fund strategies: A non-parametric analysis. (2020). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521919301802.

Full description at Econpapers || Download paper

2020Exchange-rate exposure and Brexit: The case of FTSE, DAX and IBEX. (2020). DASSIOU, XENI ; Zheng, Min ; Andrikopoulos, Athanasios. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919304703.

Full description at Econpapers || Download paper

2020Does foreign exchange risk matter to equity research analysts when forecasting stock prices? Evidence from U.S. firms. (2020). Nguyen, Yen ; Ho, Tuan ; Vo, Dinh-Tri ; Parikh, Bhavik. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s105752192030212x.

Full description at Econpapers || Download paper

2020Network structures and idiosyncratic contagion in the European sovereign credit default swap market. (2020). Yang, Lu ; Chen, Wang ; Ho, Kung-Cheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:72:y:2020:i:c:s1057521920302386.

Full description at Econpapers || Download paper

2020Business cycle variations in exchange rate correlations: Revisiting global currency hedging. (2020). Meyer, Steffen ; Bovers, Kim J ; de Boer, Jantke. In: Finance Research Letters. RePEc:eee:finlet:v:33:y:2020:i:c:s1544612318304161.

Full description at Econpapers || Download paper

2020Credit default swaps and market information. (2020). Osano, Hiroshi. In: Journal of Financial Markets. RePEc:eee:finmar:v:48:y:2020:i:c:s138641811830257x.

Full description at Econpapers || Download paper

2020Do political connections shield from negative shocks? Evidence from rating changes in advanced emerging economies. (2020). Winkler-Drews, Tadeusz ; Podgorski, Baej ; Kozowski, Ukasz ; Jackowicz, Krzysztof. In: Journal of Financial Stability. RePEc:eee:finsta:v:51:y:2020:i:c:s1572308920300851.

Full description at Econpapers || Download paper

2020Historic risk and implied volatility. (2020). Levendis, John ; Dicle, Mehmet F. In: Global Finance Journal. RePEc:eee:glofin:v:45:y:2020:i:c:s1044028318301625.

Full description at Econpapers || Download paper

2020Empirically assessing and modeling spillover effects from operational risk events in the insurance industry. (2020). Heidinger, Dinah ; Gatzert, Nadine ; Eckert, Christian. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:72-83.

Full description at Econpapers || Download paper

2020Volatility and dynamic currency hedging. (2020). McDonald, Judith Ann ; Min, Hong-Ghi ; Cho, Jae-Beom. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s104244311930321x.

Full description at Econpapers || Download paper

2020Oil price dynamics and airline earnings predictability. (2020). Gao, Xiang ; Wang, Huabing . In: Journal of Air Transport Management. RePEc:eee:jaitra:v:87:y:2020:i:c:s0969699720300302.

Full description at Econpapers || Download paper

2020Sparse portfolio selection via the sorted â„“1-Norm. (2020). Paterlini, Sandra ; Bogdan, Magorzata ; Lee, Sangkyun ; Kremer, Philipp J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302614.

Full description at Econpapers || Download paper

2020International effects of a compression of euro area yield curves. (2020). Huber, Florian ; Feldkircher, Martin ; Gruber, Thomas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s037842661930072x.

Full description at Econpapers || Download paper

2020Currency matching by non-financial corporations. (2020). Kátay, Gábor ; Harasztosi, Péter. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:113:y:2020:i:c:s0378426620300066.

Full description at Econpapers || Download paper

2020The informativeness of derivatives use: Evidence from corporate disclosure through public announcements. (2020). Raman, Vikas ; Hoelscher, Seth A ; Fernando, Chitru S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:114:y:2020:i:c:s0378426619303048.

Full description at Econpapers || Download paper

2020Foreign ownership in Chinese credit ratings industry: Information revelation or certification?. (2020). , Jingyu ; Wang, Lafang ; Shi, Jing ; Hu, Xiaolu ; Yu, Jing. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301576.

Full description at Econpapers || Download paper

2020Corporate customer concentration and stock price crash risk. (2020). Zhang, Wenlan ; Wu, Jiangang ; Wang, Wenming ; Ma, Xiaofang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301692.

Full description at Econpapers || Download paper

2020Derivative cash flows and corporate investment. (2020). Moursli, Reda M ; Jankensgrd, Hkan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:119:y:2020:i:c:s0378426620301783.

Full description at Econpapers || Download paper

2020A nonparametric approach to portfolio shrinkage. (2020). Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302156.

Full description at Econpapers || Download paper

2020Customer concentration and stock price crash risk. (2020). Song, Hakjoon ; Jiraporn, Pornsit ; Lee, Sang Mook. In: Journal of Business Research. RePEc:eee:jbrese:v:110:y:2020:i:c:p:327-346.

Full description at Econpapers || Download paper

2020Enterprise risk management and solvency: The case of the listed EU insurers. (2020). Nguyen, Duc Khuong ; Vo, Dinh-Tri. In: Journal of Business Research. RePEc:eee:jbrese:v:113:y:2020:i:c:p:360-369.

Full description at Econpapers || Download paper

2020The job rating game: Revolving doors and analyst incentives. (2020). Kempf, Elisabeth. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:41-67.

Full description at Econpapers || Download paper

2020Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805.

Full description at Econpapers || Download paper

2020Prime (information) brokerage. (2020). Kumar, Nitish ; Tang, Yuehua ; Ray, Sugata ; Mullally, Kevin . In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:371-391.

Full description at Econpapers || Download paper

2020Revisiting the persistence of real exchange rates. (2020). Wu, Jyh-Lin ; Chen, Show-Lin . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560618305710.

Full description at Econpapers || Download paper

2020Domestically formed international diversification. (2020). Vivian, Andrew ; Lu, Qinye. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306473.

Full description at Econpapers || Download paper

2020The evolution of purchasing power parity. (2020). Waddle, Andrea ; Rabe, Collin. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620301935.

Full description at Econpapers || Download paper

2020Long-run purchasing power parity redux. (2020). Prodan, Ruxandra ; Papell, David H. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:109:y:2020:i:c:s0261560620302163.

Full description at Econpapers || Download paper

2020A non-linear analysis of the sovereign bank nexus in the EU. (2020). Cifarelli, Giulio ; Paladino, Giovanna. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:21:y:2020:i:c:s170349491930074x.

Full description at Econpapers || Download paper

2020The effectiveness of foreign debt in hedging exchange rate exposure: Multinational enterprises vs. exporting firms. (2020). Pyun, Ju Hyun ; Ho, Joon ; Chung, Jaiho ; Kim, Soon Sung. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20306673.

Full description at Econpapers || Download paper

2020Forecasting Chinese industry return volatilities with RMB/USD exchange rate. (2020). Dong, Xiaodi ; Zhu, Huan ; Dai, Zhifeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:539:y:2020:i:c:s0378437119316929.

Full description at Econpapers || Download paper

2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

Full description at Econpapers || Download paper

2020Bank diversification and systemic risk. (2020). Chou, Ray Yeutien ; Liu, Chih-Liang ; Yang, Hsin-Feng . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:311-326.

Full description at Econpapers || Download paper

2020Does the CEO elite education affect firm hedging policies?. (2020). Clark, Ephraim ; Mefteh-Wali, Salma ; Boubaker, Sabri. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:77:y:2020:i:c:p:340-354.

Full description at Econpapers || Download paper

2020Valuation and empirical analysis of currency options. (2020). Lin, Shih-Kuei ; Wen, Chin-Hsiang ; Chuang, Ming-Che. In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:71-91.

Full description at Econpapers || Download paper

2020Asymmetric volatility spillover between European equity and foreign exchange markets: Evidence from the frequency domain. (2020). Warshaw, Evan. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:1-14.

Full description at Econpapers || Download paper

2020Market responses to increased transparency: An Indian narrative. (2020). Mukherji, Arnab ; Basu, Sankarshan ; Krishnan, Kaveri. In: International Review of Economics & Finance. RePEc:eee:reveco:v:69:y:2020:i:c:p:663-677.

Full description at Econpapers || Download paper

2021Modeling realized volatility of the EUR/USD exchange rate: Does implied volatility really matter?. (2021). Lyocsa, Tefan ; Plihal, Toma. In: International Review of Economics & Finance. RePEc:eee:reveco:v:71:y:2021:i:c:p:811-829.

Full description at Econpapers || Download paper

2020Which form of hedging matters — Operational or financial? Evidence from the US oil and gas sector. (2020). lucey, brian ; Lutkemeyer, Tobias ; Laing, Elaine. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531918302794.

Full description at Econpapers || Download paper

2020On the investment credentials of Bitcoin: A cross-currency perspective. (2020). Bedi, Prateek ; Nashier, Tripti. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919301722.

Full description at Econpapers || Download paper

2020The Credit Spread Curve Distribution and Economic Fluctuations in Japan. (2020). Okimoto, Tatsuyoshi ; Sumiko, Takaoka ; Tatsuyoshi, Okimoto. In: Discussion papers. RePEc:eti:dpaper:20030.

Full description at Econpapers || Download paper

2020Are the Largest Banking Organizations Operationally More Risky?. (2020). Frame, W ; Mihov, Atanas ; Curti, Filippo. In: Working Papers. RePEc:fip:feddwp:88097.

Full description at Econpapers || Download paper

2020Haste Makes Waste: Banking Organization Growth and Operational Risk. (2020). Frame, W ; Mihov, Atanas ; McLemore, Ping. In: Working Papers. RePEc:fip:feddwp:88596.

Full description at Econpapers || Download paper

2020The Effects of Oil and Gas Risk Factors on Malaysian Oil and Gas Stock Returns: Do They Vary?. (2020). Shah, Mohd Azlan ; Low, Soo-Wah ; Hoque, Mohammad Enamul. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:15:p:3901-:d:392498.

Full description at Econpapers || Download paper

2020How Does the Spillover among Natural Gas, Crude Oil, and Electricity Utility Stocks Change over Time? Evidence from North America and Europe. (2020). Hamori, Shigeyuki ; Nakajima, Tadahiro ; He, Xie ; Zhang, Wenting. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:3:p:727-:d:317715.

Full description at Econpapers || Download paper

2020Do Oil and Gas Risk Factors Matter in the Malaysian Oil and Gas Industry? A Fama-MacBeth Two Stage Panel Regression Approach. (2020). Low, Soo Wah ; Shah, Mohd Azlan ; Hoque, Mohmmad Enamul. In: Energies. RePEc:gam:jeners:v:13:y:2020:i:5:p:1154-:d:328131.

Full description at Econpapers || Download paper

2020Jump Driven Risk Model Performance in Cryptocurrency Market. (2020). SULTAN, JAHANGIR ; Nekhili, Ramzi . In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:2:p:19-:d:340158.

Full description at Econpapers || Download paper

2020Robust Optimization-Based Commodity Portfolio Performance. (2020). Panta, Humnath ; Putnam, Kyle J ; Adhikari, Ramesh. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:8:y:2020:i:3:p:54-:d:409459.

Full description at Econpapers || Download paper

2020Risk Return Trade-Off in Relaxed Risk Parity Portfolio Optimization. (2020). Kwon, Roy ; Gambeta, Vaughn. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:10:p:237-:d:423642.

Full description at Econpapers || Download paper

2020A Hausman Test for Partially Linear Models with an Application to Implied Volatility Surface. (2020). Jiang, Yixiao. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:11:p:287-:d:447859.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Philippe Jorion:

YearTitleTypeCited
2010Risk Management In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article2
2000Risk management lessons from Long‐Term Capital Management In: European Financial Management.
[Full Text][Citation analysis]		article38
2010Information Transfer Effects of Bond Rating Downgrades In: The Financial Review.
[Full Text][Citation analysis]		article21
1986 Integration vs. Segmentation in the Canadian Stock Market. In: Journal of Finance.
[Full Text][Citation analysis]		article114
1990 Purchasing Power Parity in the Long Run. In: Journal of Finance.
[Full Text][Citation analysis]		article398
1993 Testing the Predictive Power of Dividend Yields. In: Journal of Finance.
[Full Text][Citation analysis]		article149
1992Testing the Predictive Power of Dividend Yields..(1992) In: Columbia - Graduate School of Business.
[Citation analysis]
This paper has another version. Agregated cites: 149		paper
1993 Currency Hedging for International Portfolios. In: Journal of Finance.
[Full Text][Citation analysis]		article98
1995 Predicting Volatility in the Foreign Exchange Market. In: Journal of Finance.
[Full Text][Citation analysis]		article238
1999Global Stock Markets in the Twentieth Century In: Journal of Finance.
[Full Text][Citation analysis]		article162
2006Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers In: Journal of Finance.
[Full Text][Citation analysis]		article129
2009Credit Contagion from Counterparty Risk In: Journal of Finance.
[Full Text][Citation analysis]		article112
1986Bayes-Stein Estimation for Portfolio Analysis In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article233
1991The Pricing of Exchange Rate Risk in the Stock Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article231
1999Re-Emerging Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article50
1997Re-emerging Markets.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50		paper
1998Re-Emerging Markets.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50		paper
2000Re-emerging Markets.(2000) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50		paper
2011The Determinants of Operational Risk in U.S. Financial Institutions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article14
2014The Strategic Listing Decisions of Hedge Funds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article2
1993Time-series tests of a non-expected-utility model of asset pricing In: European Economic Review.
[Full Text][Citation analysis]		article20
1989Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20		paper
1999Multivariate unit root tests of the PPP hypothesis In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article32
1999Multivariate Unit root Tests of the PPP Hypothesis.(1999) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 32		paper
1992The choice of a multicurrency portfolio for a central bank: Bonds, eurodeposits, and forward contracts In: Global Finance Journal.
[Full Text][Citation analysis]		article0
1996Does real interest parity hold at longer maturities? In: Journal of International Economics.
[Full Text][Citation analysis]		article15
1995Valuing executive stock options with endogenous departure In: Journal of Accounting and Economics.
[Full Text][Citation analysis]		article25
1996Returns to Japanese investors from US investments In: Japan and the World Economy.
[Full Text][Citation analysis]		article3
1990Option listing and stock returns : An empirical analysis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article53
1991Bayesian and CAPM estimators of the means: Implications for portfolio selection In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article68
2014Are hedge fund managers systematically misreporting? Or not? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article4
1991A multicountry comparison of term-structure forecasts at long horizons In: Journal of Financial Economics.
[Full Text][Citation analysis]		article132
1991A Multi-Country Comparison of Term Structure Forecasts at Long Horizons.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 132		paper
2005Informational effects of regulation FD: evidence from rating agencies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article131
2007Good and bad credit contagion: Evidence from credit default swaps In: Journal of Financial Economics.
[Full Text][Citation analysis]		article203
2010The performance of emerging hedge funds and managers In: Journal of Financial Economics.
[Full Text][Citation analysis]		article63
1992Term premiums and the integration of the eurocurrency markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article8
1996Mean reversion in real exchange rates: evidence and implications for forecasting In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article114
1987Interest rates and risk premia in the stock market and in the foreign exchange market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article53
1988Foreign exchange risk premia volatility once again In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article3
2003The Long-Term Risks of Global Stock Markets In: Financial Management.
[Citation analysis]		article8
1989OPTION LISTING AND STOCK RETURNS. In: Columbia - Graduate School of Business.
[Citation analysis]		paper8
1996Risk and Turnover in the Foreign Exchange Market In: NBER Chapters.
[Full Text][Citation analysis]		chapter36
2007Bank Trading Risk and Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]		chapter6
2005Bank Trading Risk and Systemic Risk.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6		paper
1988The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper44
1997A Century of Global Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper7
2000A Century of Global Stock Markets.(2000) In: NBER Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 7		paper
2004A Century of Global Stock Markets.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2000A Century of Global Stock Markets.(2000) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
1988On Jump Processes in the Foreign Exchange and Stock Markets In: Review of Financial Studies.
[Full Text][Citation analysis]		article233
1985International Portfolio Diversification with Estimation Risk. In: The Journal of Business.
[Full Text][Citation analysis]		article207
1990The Exchange-Rate Exposure of U.S. Multinationals. In: The Journal of Business.
[Full Text][Citation analysis]		article382
1995A Longer Look at Dividend Yields. In: The Journal of Business.
[Full Text][Citation analysis]		article28
1998A Longer Look at Dividend Yields.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28		paper
1989An empirical investigation of the early exercise premium of foreign currency options In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 2 2021. Contact: CitEc Team