Philippe Jorion : Citation Profile

Are you Philippe Jorion?

University of California-Irvine

27

H index

32

i10 index

3416

Citations

RESEARCH PRODUCTION:

40

Articles

15

Papers

2

Chapters

RESEARCH ACTIVITY:

   29 years (1985 - 2014). See details.
   Cites by year: 117
   Journals where Philippe Jorion has often published
   Relations with other researchers
   Recent citing documents: 265.    Total self citations: 10 (0.29 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo72
   Updated: 2018-12-08    RAS profile: 2016-08-05    
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Relations with other researchers

Works with:

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

Is cited by:

McAleer, Michael (35)

Bartram, Söhnke (32)

Allen, David (25)

Kilian, Lutz (22)

Papell, David (20)

Taylor, Mark (18)

Engel, Charles (17)

Sarno, Lucio (17)

Bekaert, Geert (17)

faff, robert (16)

Bodnar, Gordon (16)

Cites to:

Goetzmann, William (8)

Mishkin, Frederic (6)

Frankel, Jeffrey (5)

Fisher, Eric (4)

Brown, Stephen (3)

Mehra, Rajnish (3)

Prescott, Edward (3)

Rose, Andrew (2)

Mark, Nelson (2)

Duffie, Darrell (2)

Diebold, Francis (2)

Main data

Where Philippe Jorion has published?

Journals with more than one article published# docs
Journal of Finance9
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 (2018 and 2017)

YearTitle of citing document
2017Panel causality analysis between exchange rates and stock indexes for fragile five. (2017). yilanci, Veli ; Aikgoz, Ersin ; Pekkaya, Mehmet . In: Theoretical and Applied Economics. RePEc:agr:journl:v:xxiv:y:2017:i:2(611):p:33-44.

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2017Effect of Price Expectations and Market Volatility on Sale Rates at Superior Livestock Video Auctions. (2017). Tonsor, Glynn ; Mitchell, James L. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258425.

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2017Tests of Efficiency in the Foreign Exchange Market. (2017). Kallianiotis, Ioannis N. In: International Journal of Economics and Financial Research. RePEc:arp:ijefrr:2017:p:218-239.

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2018Bias-variance trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1602.08297.

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2018Optimal shrinkage-based portfolio selection in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema. In: Papers. RePEc:arx:papers:1611.01958.

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2017Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067.

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2017Counterparty 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.

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2018Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1709.08755.

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2017Tests for the weights of the global minimum variance portfolio in a high-dimensional setting. (2017). Parolya, Nestor ; Schmid, Wolfgang ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1710.09587.

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2018Bayesian mean-variance analysis: Optimal portfolio selection under parameter uncertainty. (2018). Parolya, Nestor ; Schmid, Wolfgang ; Bodnar, Taras ; Bauder, David. In: Papers. RePEc:arx:papers:1803.03573.

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2018Pricing Credit Default Swap Subject to Counterparty Risk and Collateralization. (2018). White, Alan. In: Papers. RePEc:arx:papers:1803.07843.

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2018A factor-model approach for correlation scenarios and correlation stress-testing. (2018). Packham, Natalie ; Woebbeking, Fabian. In: Papers. RePEc:arx:papers:1807.11381.

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2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

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2018How Efficient is the Foreign Exchange Market?. (2018). Kallianiotis, Ioannis N. In: Athens Journal of Business & Economics. RePEc:ate:journl:ajbev4i3-4.

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2017Stock Market Integration and Financial Crises: Evidence from Chinese Sectoral Portfolios. (2017). Daly, Vincent ; Li, Hong. In: Review of Economics & Finance. RePEc:bap:journl:170403.

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2017Predicting Exchange Rate Volatility in Brazil: an approach using quantile autoregression. (2017). Gaglianone, Wagner ; Figueiredo, Antonio Carlos ; Klotzle, Marcelo Cabus ; Viola, Alessandra Pasqualina . In: Working Papers Series. RePEc:bcb:wpaper:466.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). Campos, Pablo Jose ; Gupta, Aparna . In: Working Papers Series. RePEc:bcb:wpaper:482.

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2017Low frequency drivers of the real interest rate: a band spectrum regression approach. (2017). Busetti, Fabio ; Caivano, Michele . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1132_17.

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2018FX hedging and creditor rights. (2018). Mohanty, MS ; Sundaresan, Suresh. In: BIS Papers chapters. RePEc:bis:bisbpc:96-04.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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2017The Effect of Business and Financial Market Cycles on Credit Ratings: Evidence from the Last Two Decades. (2017). Stolowy, Hervé ; Astolfi, Pierre ; Paugam, Luc ; Lobo, Gerald J. In: Abacus. RePEc:bla:abacus:v:53:y:2017:i:1:p:59-93.

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2017State-preference pricing and volatility indices. (2017). Liu, Zhangxin ; Smith, Tom ; O'Neill, Michael J. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:815-836.

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2017Fund Volatility Index using equity market state prices. (2017). O'Neill, Michael J ; Smith, Tom ; Liu, Zhangxin. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:3:p:837-853.

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2017The role of managerial risk-taking in the ‘rise and fall’ of the CDS market. (2017). Dias, Roshanthi . In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i::p:117-145.

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2017A Comparison of Exchange Rate Exposure between Manufacturing vis-à-vis Service Sector Firms in India. (2017). Mohapatra, Sonali Madhusmita. In: Economic Papers. RePEc:bla:econpa:v:36:y:2017:i:1:p:75-85.

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2017Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

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2017Corporate Hedging and the High Idiosyncratic Volatility Low Return Puzzle. (2017). Chng, Michael T ; Zhang, Hongfeng ; Xiang, Vincent ; Fang, Victor. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:3:p:395-425.

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2017A CLOSER LOOK AT VALUE PREMIUM: LITERATURE REVIEW AND SYNTHESIS. (2017). Pätäri, Eero ; Leivo, Timo ; Patari, Eero. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:31:y:2017:i:1:p:79-168.

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2018FACTOR MODELS AND TIME†VARYING PARAMETER FRAMEWORK FOR FORECASTING EXCHANGE RATES AND INFLATION: A SURVEY. (2018). Mokhtari, Manouchehr ; Kavtaradze, Lasha. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:302-334.

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2017ARE SHORT SELLERS INFORMED? EVIDENCE FROM CREDIT RATING AGENCY ANNOUNCEMENTS. (2017). Shi, Jian ; Zhang, Ting ; Wang, Junbo. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:179-221.

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2017Did Purchasing Power Parity Hold in Medieval Europe?. (2017). Bell, Adrian ; Moore, Tony K ; Brooks, Chris. In: Manchester School. RePEc:bla:manchs:v:85:y:2017:i:6:p:682-709.

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2017Safe-haven currency: An empirical identification. (2017). Lee, Kang-Soek. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:4:p:924-947.

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2018CONTAGION AND CORRELATION IN EMPIRICAL MODELS OF BANK CREDIT RISK IN ISRAEL. (2018). Beenstock, Michael ; Khatib, Mahmood. In: Israel Economic Review. RePEc:boi:isrerv:v:15:y:2018:i:1:p:1-34.

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2017On the estimation of regime-switching Lévy models. (2017). Goutte, Stéphane ; Chevallier, Julien ; Stephane, Goutte ; Julien, Chevallier . In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:21:y:2017:i:1:p:3-29:n:4.

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2017The Global Equity Premium Revisited: What Human Rights Imply for Assets’ Purchasing Power. (2017). Biakowski, Jdrzej ; Ronn, Ehud I. In: Working Papers in Economics. RePEc:cbt:econwp:17/19.

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2017Creating Investment Scheme with State Space Modeling. (2017). Nakano, Masafumi ; Takahashi, Soichiro. In: CARF F-Series. RePEc:cfi:fseres:cf406.

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2017Operational and Financial Hedging: Evidence from Export and Import Behavior. (2017). Kuzmina, Olga ; Kuznetsova, Olga. In: Working Papers. RePEc:cfr:cefirw:w0242.

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2018Risk assessment methodology: implementation of duration gap in corporate portfolios in order to reduce the systemic risk. (2018). Legendre, François ; Botero, Oscar ; Hurtado, Santiago Medina ; Lopez, Oscar Manco. In: ESTUDIOS GERENCIALES. RePEc:col:000129:016212.

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2017Canary in a Coalmine: Securities Lending Predicting the Performance of Securitized Bonds. (2017). Kempf, Elisabeth ; Massa, Massimo ; Manconi, Alberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11993.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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2018The Effect of Investment Constraints on Hedge Fund Investor Returns. (2018). Joenvaara, Juha ; Tolonen, Pekka ; Kosowski, Robert. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12599.

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2018Measuring the effect of watch-preceded and direct rating changes: a note on credit markets. (2018). Kiesel, F ; Kolaric, S. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:87386.

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2017Modeling volatility of the French stock market. (2017). Mgadmi, Nidhal ; Bougatef, Khemaies . In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00154.

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2018The regional pricing of risk: An empirical investigation of the MENA Region. (2018). Kablan, Akassi ; Belanes, Amel ; Khaled, Khaled. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00990.

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2018Bank to sovereign risk spillovers across borders: evidence from the ECB’s Comprehensive Assessment. (2018). Breckenfelder, Johannes ; Schwaab, Bernd. In: Working Paper Series. RePEc:ecb:ecbwps:20182193.

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2017Stock Prices and Real Exchange Rate Movements in the Gulf Cooperation Council. (2017). Hassanain, Khalifa. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-01-14.

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2017Effect of Economic Announcements on FX Fluctuations: Testing a Unified Approach for Prediction. (2017). Tianqiong, Wang ; Saddique, Shamila ; Yang, Shu. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-02-83.

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2017Granger Causality Between Exchange Rate and Stock Price: A Toda Yamamoto Approach. (2017). Siami-Namini, Sima. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2017-04-70.

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2017Survey of Energy Finance on the Corporate World. (2017). Althaqeb, Saud. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2017-06-19.

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2018The Impact of Oil Price Volatility to Oil and Gas Company Stock Returns and Emerging Economies. (2018). Ulusoy, Veysel ; Ozdurak, Caner . In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-18.

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2017The multiscale impact of exchange rates on the oil-stock nexus: Evidence from China and Russia. (2017). Huang, Shupei ; Hao, Xiaoqing ; Wen, Shaobo ; Gao, Xiangyun. In: Applied Energy. RePEc:eee:appene:v:194:y:2017:i:c:p:667-678.

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2017Nonlinear dependence in exchange rate returns: How do emerging Asian currencies compare with major currencies?. (2017). Wali, Muammer ; Manzur, Meher ; Chan, Felix. In: Journal of Asian Economics. RePEc:eee:asieco:v:50:y:2017:i:c:p:62-72.

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2018Socially responsible investment portfolios: Does the optimization process matter?. (2018). Sutcliffe, Charles ; Platanakis, Emmanouil ; Oikonomou, Ioannis. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:379-401.

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2017Why and how do banks lay off credit risk? The choice between retention, loan sales and credit default swaps. (2017). Beyhaghi, Mehdi ; Saunders, Anthony ; Massoud, Nadia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:42:y:2017:i:c:p:335-355.

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2017Asymmetric foreign exchange cash flow exposure: A firm-level analysis. (2017). Krapl, Alain A. In: Journal of Corporate Finance. RePEc:eee:corfin:v:44:y:2017:i:c:p:48-72.

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2017Do managerial risk-taking incentives influence firms exchange rate exposure?. (2017). HASAN, IFTEKHAR ; Zhu, Yun ; Francis, Bill B ; Hunter, Delroy M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:46:y:2017:i:c:p:154-169.

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2017Does local religiosity affect organizational risk-taking? Evidence from the hedge fund industry. (2017). Gao, Lei ; Zhao, Jing ; Wang, Ying. In: Journal of Corporate Finance. RePEc:eee:corfin:v:47:y:2017:i:c:p:1-22.

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2018Operational and financial hedging: Evidence from export and import behavior. (2018). Kuznetsova, Olga ; Kuzmina, Olga. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:109-121.

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2018Executive turnover and the valuation of stock options. (2018). Klein, Daniel. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:76-93.

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2018The mitigating effect of bank financing on shareholder value and firm policies following rating downgrades. (2018). Bedendo, Mascia ; Siming, Linus. In: Journal of Corporate Finance. RePEc:eee:corfin:v:48:y:2018:i:c:p:94-108.

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2018(How) do credit market conditions affect firms post-hedging outcomes? Evidence from bank lending standards and firms currency exposure. (2018). Bergbrant, Mikael C ; Hunter, Delroy M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:50:y:2018:i:c:p:203-222.

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2018Financial distress and competitors investment. (2018). Garcia-Appendini, Emilia. In: Journal of Corporate Finance. RePEc:eee:corfin:v:51:y:2018:i:c:p:182-209.

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2018Equity home bias—A global perspective from the shrunk frontier. (2018). Paul, Satya ; Shankar, Sriram ; Mukherjee, Raja. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:57:y:2018:i:c:p:9-21.

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2017Co-movement of ASEAN stock markets: New evidence from wavelet and VMD-based copula tests. (2017). Jiang, Yonghong ; Monginsidi, Joe Yohanes ; Nie, HE. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:384-398.

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2017Hitting SKEW for SIX. (2017). faff, robert ; Liu, Zhangxin. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:449-464.

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2017Calculating Value-at-Risk for high-dimensional time series using a nonlinear random mapping model. (2017). Zhang, Heng-Guo ; Su, Fei ; Xiao, Ran ; Qiu, Shuqi ; Song, Yan. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:355-367.

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2017A revisit to economic exposure of U.S. multinational corporations. (2017). Hung, Pi-Hsia ; Lin, Lin ; Chou, De-Wai . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:39:y:2017:i:c:p:273-287.

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2017Impact of SOX on the returns to targets and acquirers in corporate tender offers. (2017). Bhabra, Harjeet S ; Hossain, Ashrafee T. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:1-19.

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2017Higher moment exchange rate exposure of S&P500 firms. (2017). Bianconi, Marcelo ; Cai, Zhe . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:513-530.

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2017Bayesian estimation of the global minimum variance portfolio. (2017). Bodnar, Taras ; Okhrin, Yarema ; Mazur, Stepan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:292-307.

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2017The dynamic Black–Litterman approach to asset allocation. (2017). Harris, Richard ; Tan, Linzhi ; Stoja, Evarist. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1085-1096.

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2017The risk premium that never was: A fair value explanation of the volatility spread. (2017). McGee, Richard J ; McGroarty, Frank. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:370-380.

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2018Naive versus optimal diversification: Tail risk and performance. (2018). Hwang, In Chang ; Xu, Simon ; In, Francis. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:372-388.

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2017How credit ratings affect sovereign credit risk: Cross-border evidence in Latin American emerging markets. (2017). Ballester, Laura ; Gonzalez-Urteaga, Ana . In: Emerging Markets Review. RePEc:eee:ememar:v:30:y:2017:i:c:p:200-214.

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2017Information asymmetry and investor trading behavior around bond rating change announcements. (2017). Yang, Hee Jin ; Ahn, Hee-Joon ; Kim, Maria H ; Ryu, Doojin. In: Emerging Markets Review. RePEc:eee:ememar:v:32:y:2017:i:c:p:38-51.

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2017Customer-base concentration and the transmission of idiosyncratic volatility along the vertical chain. (2017). Mihov, Atanas ; Naranjo, Andy. In: Journal of Empirical Finance. RePEc:eee:empfin:v:40:y:2017:i:c:p:73-100.

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2017Portfolio selection with mental accounts and estimation risk. (2017). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:161-186.

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2017Systemic risk and cross-sectional hedge fund returns. (2017). Hwang, In Chang ; Kim, Tong Suk ; In, Francis ; Xu, Simon. In: Journal of Empirical Finance. RePEc:eee:empfin:v:42:y:2017:i:c:p:109-130.

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2017Predicting international stock returns with conditional price-to-fundamental ratios. (2017). Lawrenz, Jochen ; Zorn, Josef. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:159-184.

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2018Default prediction models: The role of forward-looking measures of returns and volatility. (2018). Miao, Hong ; Wang, Tianyang ; Ryan, Patricia ; Ramchander, Sanjay. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:146-162.

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2018Crash risk and risk neutral densities. (2018). Chen, Ren-Raw ; Huang, Jeffrey ; Hsieh, Pei-Lin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:162-189.

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2018Conditional co-skewness and safe-haven currencies: A regime switching approach. (2018). Chan, Kalok ; Zhou, Yinggang ; Yang, Jian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:58-80.

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2017The use of nonlinear hedging strategies by US oil producers: Motivations and implications. (2017). Dionne, Georges ; Gueyie, Jean-Pierre ; Mnasri, Mohamed. In: Energy Economics. RePEc:eee:eneeco:v:63:y:2017:i:c:p:348-364.

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2017Parameter estimation risk in asset pricing and risk management: A Bayesian approach. (2017). Tunaru, Radu ; Zheng, Teng. In: International Review of Financial Analysis. RePEc:eee:finana:v:53:y:2017:i:c:p:80-93.

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2018The reputational effects of analysts stock recommendations and credit ratings: Evidence from operational risk announcements in the financial industry. (2018). Barakat, Ahmed ; Fenn, Paul ; Ashby, Simon. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:1-22.

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2018A conditional regime switching CAPM. (2018). Vendrame, Vasco ; Tucker, Jon ; Guermat, Cherif. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:1-11.

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2018Does internationalisation increase exchange rate exposure? -Evidence from Chinese financial firms. (2018). Tang, Bo ; Cuestas, Juan ; Huang, Ying Sophie. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:253-263.

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2018Determinants of dependence structures of sovereign credit default swap spreads between G7 and BRICS countries. (2018). Yang, Lu ; Hamori, Shigeyuki. In: International Review of Financial Analysis. RePEc:eee:finana:v:59:y:2018:i:c:p:19-34.

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2018Does derivatives use reduce the cost of equity?. (2018). Ahmed, Shamim ; Mahmud, Syed Ehsan ; Judge, Amrit . In: International Review of Financial Analysis. RePEc:eee:finana:v:60:y:2018:i:c:p:1-16.

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2017Multinational firms and cash holdings: Evidence from China. (2017). Wu, Weijun ; Zhou, Sili ; Yang, Yang. In: Finance Research Letters. RePEc:eee:finlet:v:20:y:2017:i:c:p:184-191.

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2017The impact of expected regulatory changes: The case of banks following the 2016U.S. election. (2017). Hachenberg, Britta ; Schiereck, Dirk ; Kolaric, Sascha ; Kiesel, Florian. In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:268-273.

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2017Understanding transactions prices in the credit default swaps market. (2017). Tang, Dragon Yongjun ; Yan, Hong. In: Journal of Financial Markets. RePEc:eee:finmar:v:32:y:2017:i:c:p:1-27.

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2017Equity premium prediction: The role of economic and statistical constraints. (2017). Tsiakas, Ilias ; Li, Jiahan. In: Journal of Financial Markets. RePEc:eee:finmar:v:36:y:2017:i:c:p:56-75.

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2017Hedge fund return, volatility asymmetry, and systemic effects: A higher-moment factor-EGARCH model. (2017). Elyasiani, Elyas ; Mansur, Iqbal. In: Journal of Financial Stability. RePEc:eee:finsta:v:28:y:2017:i:c:p:49-65.

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2017Political uncertainty and a firms credit risk: Evidence from the international CDS market. (2017). Liu, Jinyu ; Zhong, Rui . In: Journal of Financial Stability. RePEc:eee:finsta:v:30:y:2017:i:c:p:53-66.

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2018Reputational shocks and the information content of credit ratings. (2018). Bedendo, Mascia ; El-Jahel, Lina ; Cathcart, Lara. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:44-60.

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2017Currency volatility and bid-ask spreads of ADRs and local shares. (2017). Figueiredo, Antonio ; Parhizgari, A M. In: Global Finance Journal. RePEc:eee:glofin:v:34:y:2017:i:c:p:54-71.

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2018The effects of options listing and delisting in a short-sale-constrained market: Evidence from the Indian equities markets. (2018). Banerjee, Pradip ; Maitra, Debasish ; Christie-David, Rohan ; Chatrath, Arjun . In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:157-169.

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2017Mean-variance versus naïve diversification: The role of mispricing. (2017). Yan, Cheng ; Zhang, Huazhu . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:48:y:2017:i:c:p:61-81.

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2017Is default risk priced equally fast in the credit default swap and the stock markets? AN empirical investigation. (2017). Tolikas, Konstantinos ; Topaloglou, Nikolas. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:51:y:2017:i:c:p:39-57.

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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]		article30
2010Information Transfer Effects of Bond Rating Downgrades In: The Financial Review.
[Full Text][Citation analysis]		article15
1986 Integration vs. Segmentation in the Canadian Stock Market. In: Journal of Finance.
[Full Text][Citation analysis]		article101
1989 The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article74
1990 Purchasing Power Parity in the Long Run. In: Journal of Finance.
[Full Text][Citation analysis]		article364
1993 Testing the Predictive Power of Dividend Yields. In: Journal of Finance.
[Full Text][Citation analysis]		article139
1992Testing the Predictive Power of Dividend Yields..(1992) In: Columbia - Graduate School of Business.
[Citation analysis]
This paper has another version. Agregated cites: 139		paper
1993 Currency Hedging for International Portfolios. In: Journal of Finance.
[Full Text][Citation analysis]		article84
1995 Predicting Volatility in the Foreign Exchange Market. In: Journal of Finance.
[Full Text][Citation analysis]		article216
1999Global Stock Markets in the Twentieth Century In: Journal of Finance.
[Full Text][Citation analysis]		article149
2006Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers In: Journal of Finance.
[Full Text][Citation analysis]		article93
2009Credit Contagion from Counterparty Risk In: Journal of Finance.
[Full Text][Citation analysis]		article77
1986Bayes-Stein Estimation for Portfolio Analysis In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article194
1991The Pricing of Exchange Rate Risk in the Stock Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article198
1999Re-Emerging Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article49
1997Re-emerging Markets.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		paper
1998Re-Emerging Markets.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		paper
2000Re-emerging Markets.(2000) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 49		paper
2012The Determinants of Operational Risk in U.S. Financial Institutions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article3
2014The Strategic Listing Decisions of Hedge Funds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article0
1993Time-series tests of a non-expected-utility model of asset pricing In: European Economic Review.
[Full Text][Citation analysis]		article19
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: 19		paper
1999Multivariate unit root tests of the PPP hypothesis In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article31
1999Multivariate Unit root Tests of the PPP Hypothesis.(1999) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 31		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]		article14
1995Valuing executive stock options with endogenous departure In: Journal of Accounting and Economics.
[Full Text][Citation analysis]		article21
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]		article49
1991Bayesian and CAPM estimators of the means: Implications for portfolio selection In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article53
2014Are hedge fund managers systematically misreporting? Or not? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article1
1991A multicountry comparison of term-structure forecasts at long horizons In: Journal of Financial Economics.
[Full Text][Citation analysis]		article129
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: 129		paper
2005Informational effects of regulation FD: evidence from rating agencies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article90
2007Good and bad credit contagion: Evidence from credit default swaps In: Journal of Financial Economics.
[Full Text][Citation analysis]		article153
2010The performance of emerging hedge funds and managers In: Journal of Financial Economics.
[Full Text][Citation analysis]		article45
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]		article109
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]		article50
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]		article7
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]		chapter34
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]		article207
1985International Portfolio Diversification with Estimation Risk. In: The Journal of Business.
[Full Text][Citation analysis]		article179
1990The Exchange-Rate Exposure of U.S. Multinationals. In: The Journal of Business.
[Full Text][Citation analysis]		article330
1995A Longer Look at Dividend Yields. In: The Journal of Business.
[Full Text][Citation analysis]		article26
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: 26		paper
1989An empirical investigation of the early exercise premium of foreign currency options In: Journal of Futures Markets.
[Full Text][Citation analysis]		article2

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