27
H index
32
i10 index
3880
Citations
University of California-Irvine | 27 H index 32 i10 index 3880 Citations RESEARCH PRODUCTION: 39 Articles 15 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Finance | 8 |
Journal of Financial and Quantitative Analysis | 5 |
Journal of Financial Economics | 5 |
Journal of International Money and Finance | 4 |
The Journal of Business | 3 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Yale School of Management Working Papers / Yale School of Management | 5 |
Year | Title of citing document | |
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2021 | Counterparty 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 | |
2020 | Quantitative 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 | |
2020 | A 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 | |
2021 | Time-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 | |
2020 | Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496. Full description at Econpapers || Download paper | |
2020 | A 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 | |
2020 | Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402. Full description at Econpapers || Download paper | |
2020 | On 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 | |
2020 | Economic 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 | |
2020 | Bayesian 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 | |
2020 | Operational 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 | |
2020 | The 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 | |
2020 | Equity 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 | |
2020 | Investment 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 | |
2020 | Modelling 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 | |
2020 | Does 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 | |
2020 | The 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 | |
2020 | Bank 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 | |
2020 | Bank 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 | |
2020 | Operational 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 | |
2021 | Can 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 | |
2020 | In-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 | |
2020 | Corporate 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 | |
2020 | Corporate 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 | |
2020 | The 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 | |
2020 | A 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 | |
2020 | Intra-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 | |
2020 | The 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 | |
2020 | Do 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 | |
2020 | Does 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 | |
2020 | The 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 | |
2020 | Does 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 | |
2020 | Further 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 | |
2020 | Forex 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 | |
2020 | What 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 | |
2020 | A 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 | |
2020 | Impact 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 | |
2020 | Predictability 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 | |
2020 | Risk dependence and cointegration between pharmaceutical stock markets: The case of China and the USA. (2020). Pérez-RodrÃÂguez, 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 | |
2020 | Incorporating 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 | |
2020 | Long-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 | |
2020 | Forecasting 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 | |
2020 | Is 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 | |
2020 | Nonparametric 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 | |
2020 | Integrated 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 | |
2021 | Horses 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 | |
2021 | Quantitative 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 | |
2020 | Rating 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 | |
2020 | The 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 | |
2020 | Disentangling 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 | |
2020 | Are 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 | |
2020 | Hedge 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 | |
2020 | Exchange-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 | |
2020 | Does 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 | |
2020 | Network 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 | |
2020 | Business 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 | |
2020 | Credit 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 | |
2020 | Do 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 | |
2020 | Historic 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 | |
2020 | Empirically 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 | |
2020 | Volatility 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 | |
2020 | Oil 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 | |
2020 | Sparse 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 | |
2020 | International 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 | |
2020 | Currency 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 | |
2020 | The 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 | |
2020 | Foreign 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 | |
2020 | Corporate 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 | |
2020 | Derivative 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 | |
2020 | A 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 | |
2020 | Customer 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 | |
2020 | Enterprise 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 | |
2020 | The 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 | |
2020 | Global 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 | |
2020 | Prime (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 | |
2020 | Revisiting 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 | |
2020 | Domestically 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 | |
2020 | The 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 | |
2020 | Long-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 | |
2020 | A 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 | |
2020 | The 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 | |
2020 | Forecasting 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 | |
2020 | How 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 | |
2020 | Bank 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 | |
2020 | Does 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 | |
2020 | Valuation 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 | |
2020 | Asymmetric 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 | |
2020 | Market 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 | |
2021 | Modeling 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 | |
2020 | Which 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 | |
2020 | On 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 | |
2020 | The 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 | |
2020 | Are 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 | |
2020 | Haste 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 | |
2020 | The 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 | |
2020 | How 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 | |
2020 | Do 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 | |
2020 | Jump 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 | |
2020 | Robust 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 | |
2020 | Risk 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 | |
2020 | A 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... |
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