Philippe Jorion : Citation Profile


Are you Philippe Jorion?

University of California-Irvine

26

H index

31

i10 index

2961

Citations

RESEARCH PRODUCTION:

40

Articles

15

Papers

2

Chapters

RESEARCH ACTIVITY:

   29 years (1985 - 2014). See details.
   Cites by year: 102
   Journals where Philippe Jorion has often published
   Relations with other researchers
   Recent citing documents: 164.    Total self citations: 10 (0.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo72
   Updated: 2017-05-29    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 (33)

Bartram, Söhnke (32)

Allen, David (24)

Kilian, Lutz (22)

Papell, David (19)

Taylor, Mark (18)

Sarno, Lucio (17)

Engel, Charles (17)

Bekaert, Geert (17)

Bodnar, Gordon (16)

Powell, Robert (15)

Cites to:

Goetzmann, William (8)

Mishkin, Frederic (6)

Fisher, Eric (4)

Brown, Stephen (3)

Rose, Andrew (2)

Lo, Andrew (2)

Prescott, Edward (2)

Fama, Eugene (2)

Edison, Hali (2)

Park, Joon (2)

Scholes, Myron (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 (2017 and 2016)


YearTitle of citing document
2016Accelerated Depreciation, Default Risk and Investment Decisions. (2016). Panteghini, Paolo ; Vergalli, Sergio . In: ET: Economic Theory. RePEc:ags:feemet:232220.

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2016Fluctuation-bias trade-off in portfolio optimization under Expected Shortfall with $\ell_2$ regularization. (2016). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor . In: Papers. RePEc:arx:papers:1602.08297.

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2016Stock Selection as a Problem in Phylogenetics -- Evidence from the ASX. (2016). Rea, William ; Zhan, Juan ; Cheng, Hannah . In: Papers. RePEc:arx:papers:1603.02354.

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2016Replica approach to mean-variance portfolio optimization. (2016). Kondor, Imre ; Caccioli, Fabio . In: Papers. RePEc:arx:papers:1606.08679.

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2016International Portfolio Optimisation with Integrated Currency Overlay Costs and Constraints. (2016). Parkes, Andrew J ; Chatsanga, Nonthachote . In: Papers. RePEc:arx:papers:1611.01463.

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2017Optimal shrinkage-based portfolio selection in high dimensions. (2017). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Yarema . In: Papers. RePEc:arx:papers:1611.01958.

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2016The Asset Liability Management problem of a nuclear operator : a numerical stochastic optimization approach. (2016). Warin, Xavier . In: Papers. RePEc:arx:papers:1611.04877.

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2016A New Set of Financial Instruments. (2016). Rachev, T ; Fabozzi, Frank J. In: Papers. RePEc:arx:papers:1612.00828.

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2016Predictability Hidden by Anomalous Observations. (2016). Scaillet, Olivier ; Camponovo, Lorenzo ; Trojani, Fabio . In: Papers. RePEc:arx:papers:1612.05072.

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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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2016The dynamic Black-Litterman approach to asset allocation. (2016). Stoja, Evarist ; Harris, Richard ; Tan, Linzhi . In: Bank of England working papers. RePEc:boe:boeewp:0596.

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2016When did the stock market start to react less to downgrades by Moody’s, S&P and Fitch?. (2016). Marandola, G ; Mossucca, R. In: Working Papers. RePEc:bol:bodewp:wp1066.

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2017On the estimation of regime-switching Lévy models. (2017). 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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2016Financial Markets in the Face of the Apocalypse. (2016). Ronn, Ehud I ; Bialkowski, Jedrzej . In: Working Papers in Economics. RePEc:cbt:econwp:16/14.

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2016Accelerated Depreciation, Default Risk and Investment Decisions. (2016). Panteghini, Paolo ; Vergalli, Sergio . In: CESifo Working Paper Series. RePEc:ces:ceswps:_5713.

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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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2016How Do Investors and Firms React to an Unexpected Currency Appreciation Shock?. (2016). Fahlenbrach, Ruediger ; Efing, Matthias ; Herpfer, Christoph ; Kruger, Philipp . In: Swiss Finance Institute Research Paper Series. RePEc:chf:rpseri:rp1565.

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2016Network externalities across financial institutions. (2016). Castro, Carlos ; Preciado, Sergio ; Ordoez, Juan S. In: DOCUMENTOS DE TRABAJO. RePEc:col:000092:014287.

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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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2016What Makes a Safe Haven? Equity and Currency Returns for Six OECD Countries during the Financial Crisis. (2016). Min, Hong-Ghi ; Shin, Sang-Ook ; McDonald, Judith A. In: Annals of Economics and Finance. RePEc:cuf:journl:y:2016:v:17:i:2:min.

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2016Change Detection and the Causal Impact of the Yield Curve. (2016). Shi, Shuping ; Hurn, Stan ; PEter, . In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2058.

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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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2016Market Interactions in Gold and Stock Markets: Evidences from Saudi Arabia. (2016). Haque, Mohammad Imdadul ; Afsal, E M. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-27.

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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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2016The Ricochet Effect of Bad News. (2016). Cox, Raymond ; Donker, Han ; Dayanandan, Ajit . In: The International Journal of Accounting. RePEc:eee:accoun:v:51:y:2016:i:3:p:385-401.

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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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2016Pricing of foreign exchange risk and market segmentation: Evidence from Pakistans equity market. (2016). Iqbal, Javed ; Azher, Sara . In: Journal of Asian Economics. RePEc:eee:asieco:v:43:y:2016:i:c:p:37-48.

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2016Institutional investments in pure play stocks and implications for hedging decisions. (2016). Minton, Bernadette A ; Schrand, Catherine . In: Journal of Corporate Finance. RePEc:eee:corfin:v:37:y:2016:i:c:p:132-151.

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2016Rating friends: The effect of personal connections on credit ratings. (2016). Mura, Roberto ; Marchica, Maria-Teresa ; Khatami, Seyed Hossein . In: Journal of Corporate Finance. RePEc:eee:corfin:v:39:y:2016:i:c:p:222-241.

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2016A Bayesian non-parametric approach to asymmetric dynamic conditional correlation model with application to portfolio selection. (2016). Galeano, Pedro ; Ausin, Concepcion M ; Virbickait, Audron . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:814-829.

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2016Hedge fund seeding via fees-for-seed swaps under idiosyncratic risk. (2016). Ewald, Christian-Oliver ; Zhang, Hai . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:71:y:2016:i:c:p:45-59.

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2016Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression. (2016). Baruník, Jozef ; Hlinkova, Michaela ; Barunik, Jozef . In: Economic Modelling. RePEc:eee:ecmode:v:54:y:2016:i:c:p:503-514.

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2016Volatility risk premium implications of GARCH option pricing models. (2016). Papantonis, Ioannis . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:104-115.

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2016Real estate global beta and spillovers: An international study. (2016). Liow, Kim ; Newell, Graeme . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:297-313.

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2016Revisiting the bull and bear markets notions in the Tunisian stock market: New evidence from multi-state duration-dependence Markov-switching models. (2016). Bejaoui, Azza ; Karaa, Adel . In: Economic Modelling. RePEc:eee:ecmode:v:59:y:2016:i:c:p:529-545.

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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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2016More possessions, more worry. (2016). Simaan, Yusif ; Levy, Haim . In: European Journal of Operational Research. RePEc:eee:ejores:v:255:y:2016:i:3:p:893-902.

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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). , 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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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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2016The benefits of improved covariance estimation. (2016). Turtle, H J ; Wang, Kainan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:233-246.

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2016Effects of financial turmoil on financial integration and risk premia in emerging markets. (2016). COUHARDE, Cécile ; Boubakri, Salem ; Raymond, Helene . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:120-138.

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2016A network approach to portfolio selection. (2016). Zareei, Abalfazl ; Peralta, Gustavo . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:157-180.

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2016Bank fragility and contagion: Evidence from the bank CDS market. (2016). Ballester, Laura ; Gonzalez-Urteaga, Ana ; Casu, Barbara . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pa:p:394-416.

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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). Alexander, Gordon J ; Yan, Shu ; Baptista, Alexandre M. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:161-186.

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2016The directional volatility connectedness between crude oil and equity markets: New evidence from implied volatility indexes. (2016). Bouri, Elie ; Maghyereh, Aktham I ; Awartani, Basel . In: Energy Economics. RePEc:eee:eneeco:v:57:y:2016:i:c:p:78-93.

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2016Oil price risk exposure: A comparison of financial and non-financial subsectors. (2016). KATIRCIOGLU, SALIH ; Shaeri, Komeil ; Adaoglu, Cahit . In: Energy. RePEc:eee:energy:v:109:y:2016:i:c:p:712-723.

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2016The tone of financial news and the perceptions of stock and CDS traders. (2016). Liebmann, Michael ; Neumann, Dirk ; Orlov, Alexei G. In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:159-175.

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2016Analyzing hedging strategies for fixed income portfolios: A Bayesian approach for model selection. (2016). Bessler, Wolfgang ; Leonhardt, Alexander . In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:239-256.

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2016The information content of issuer rating changes: Evidence for the G7 stock markets. (2016). Hu, Haoshen ; Prokop, Jorg ; Kaspereit, Thomas . In: International Review of Financial Analysis. RePEc:eee:finana:v:47:y:2016:i:c:p:99-108.

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2016New findings on repurchase anomaly — The first-month effect. (2016). Li, Lingxiang . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:331-349.

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2016Reviewing the hedge funds literature I: Hedge funds and hedge funds managerial characteristics. (2016). Hudson, Robert ; Azevedo, Alcino ; el Kalak, Izidin . In: International Review of Financial Analysis. RePEc:eee:finana:v:48:y:2016:i:c:p:85-97.

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2016Option pricing on foreign exchange in a Markov-modulated, incomplete-market economy. (2016). Lian, Yu-Min ; Chen, Jun-Home . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:208-219.

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2016Pricing vulnerable options with stochastic default barriers. (2016). Wang, Xingchun . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:305-313.

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2016Conditional dependence of US and EU sovereign CDS: A time-varying copula-based estimationAuthor-Name: Atil, Ahmed. (2016). Bradford, Marc ; Lahiani, Amine ; Elmarzougui, Abdelaziz . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:42-53.

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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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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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2016CDS pricing and accounting disclosures: Evidence from U.S. bank holding corporations around the recent financial crisis. (2016). Kanagaretnam, Kiridaran ; Zhang, Sanjian Bill . In: Journal of Financial Stability. RePEc:eee:finsta:v:22:y:2016:i:c:p:33-44.

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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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2016The quest for banking stability in the euro area: The role of government interventions. (2016). Paltalidis, Nikos ; Vergos, Konstantinos ; Kizys, Renatas . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:40:y:2016:i:c:p:111-133.

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2016Less is more: Testing financial integration using identification-robust asset pricing models. (2016). Beaulieu, Marie-Claude ; Khalaf, Lynda ; Gagnon, Marie-Helene . In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:45:y:2016:i:c:p:171-190.

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2016Customer concentration risk and the cost of equity capital. (2016). Dhaliwal, Dan ; Shaikh, Sarah ; Serfling, Matthew ; Judd, Scott J. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:61:y:2016:i:1:p:23-48.

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2016Do hedge funds dynamically manage systematic risk?. (2016). Rau, Raghavendra ; Namvar, Ethan ; Pukthuanthong, Kuntara ; Phillips, Blake . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:64:y:2016:i:c:p:1-15.

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2016On stability of operational risk estimates by LDA: From causes to approaches. (2016). Fabozzi, Frank J ; Zhou, Xiaoping ; Durfee, Antonina V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:266-278.

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2016Derivatives usage, securitization, and the crash sensitivity of bank stocks. (2016). Trapp, Rouven . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:71:y:2016:i:c:p:183-205.

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2017Information in CDS spreads. (2017). Norden, Lars . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:118-135.

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2017Corporate social responsibility and CEO confidence. (2017). McCarthy, Scott ; Song, Sizhe ; Oliver, Barry . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:75:y:2017:i:c:p:280-291.

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2017Why do firms engage in selective hedging? Evidence from the gold mining industry. (2017). Adam, Tim R ; Salas, Jesus M ; Fernando, Chitru S. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:77:y:2017:i:c:p:269-282.

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2017Market adaptation to Regulation Fair Disclosure: The use of industry information to enhance the informational environment. (2017). Yu, Susana ; Webb, Gwendolyn . In: Journal of Economics and Business. RePEc:eee:jebusi:v:89:y:2017:i:c:p:1-12.

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2016Short interest and aggregate stock returns. (2016). Zhou, Guofu ; Ringgenberg, Matthew ; Rapach, David E. In: Journal of Financial Economics. RePEc:eee:jfinec:v:121:y:2016:i:1:p:46-65.

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2016Limited attention, marital events and hedge funds. (2016). Ray, Sugata ; Teo, Melvyn ; Lu, Yan . In: Journal of Financial Economics. RePEc:eee:jfinec:v:122:y:2016:i:3:p:607-624.

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2017The term structure of credit spreads, firm fundamentals, and expected stock returns. (2017). Han, Bing ; Zhou, YI ; Subrahmanyam, Avanidhar . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:147-171.

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2017Trade credit and the joint effects of supplier and customer financial characteristics. (2017). Shenoy, Jaideep ; Williams, Ryan . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:29:y:2017:i:c:p:68-80.

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2016Firm-level effects of asymmetric intervention in foreign exchange markets: Evidence from the Swiss currency floor. (2016). Streit, Daniel . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:60:y:2016:i:c:p:289-312.

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2016The impact and the spillover effect of a sovereign rating announcement on the euro area CDS market. (2016). Drago, Danilo ; Gallo, Raffaele . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:67:y:2016:i:c:p:264-286.

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2016Understanding bilateral exchange rate risks. (2016). Li, Guangzhong ; Zhu, Jiaqing . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:103-129.

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2016Network effects in currency internationalisation: Insights from BIS triennial surveys and implications for the renminbi. (2016). Yu, Xiangrong ; He, Dong. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:68:y:2016:i:c:p:203-229.

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2016The anatomy of sovereign risk contagion. (2016). Wu, Eliza ; Remolona, Eli ; Erdem, Magdalena ; Kalotychou, Elena . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:69:y:2016:i:c:p:264-286.

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2016Exchange rate exposure and risk management: The case of Japanese exporting firms. (2016). Ito, Takatoshi ; Shimizu, Junko ; Sato, Kiyotaka ; Koibuchi, Satoshi . In: Journal of the Japanese and International Economies. RePEc:eee:jjieco:v:41:y:2016:i:c:p:17-29.

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2016The dynamics of precious metal markets VaR: A GARCHEVT approach. (2016). Zhang, Zijing . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:14-27.

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2016The connectedness between crude oil and financial markets: Evidence from implied volatility indices. (2016). Aktham, Maghyereh ; Cherif, Guermat ; Awartani, Basel . In: Journal of Commodity Markets. RePEc:eee:jocoma:v:4:y:2016:i:1:p:56-69.

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2016Market liquidity risks of foreign exchange derivatives and cross-country equity portfolio allocations. (2016). Neupane, Suman ; Thapa, Chandra ; Marshall, Andrew . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:34:y:2016:i:c:p:46-64.

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2016Investigating temporal variation in the global and regional integration of African stock markets. (2016). Watts, Edward J ; Loudon, Geoffrey ; Boamah, Nicholas Addai . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:36:y:2016:i:c:p:103-118.

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2017Multinationals and the impact of corruption on financial derivatives use and firm value: Evidence from East Asia. (2017). Kim, Huong Trang ; Nguyen, Quang ; Papanastassiou, Marina . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:39:y:2017:i:c:p:39-59.

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2016Foreign bias in Australian-domiciled mutual fund holdings. (2016). Mishra, Anil. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:39:y:2016:i:c:p:101-123.

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2016How corporate derivatives use impact firm performance?. (2016). Lau, Chee Kwong . In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:40:y:2016:i:pa:p:102-114.

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2016Hawkes-diffusion process and the conditional probability of defaults in the Eurozone. (2016). Park, Yuen Jung ; Ryu, Doojin ; Kim, Jungmu . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:449:y:2016:i:c:p:301-310.

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2016Interdependence between Greece and other European stock markets: A comparison of wavelet and VMD copula, and the portfolio implications. (2016). Shahzad, Syed Jawad Hussain ; Kumar, Ronald ; Hussain, Syed Jawad ; Ameer, Saba ; Ali, Sajid . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:457:y:2016:i:c:p:8-33.

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2017Interdependence and contagion among industry-level US credit markets: An application of wavelet and VMD based copula approaches. (2017). Shahzad, Syed Jawad Hussain ; Kumar, Ronald ; Mensi, Walid ; Nor, Safwan Mohd ; Hussain, Syed Jawad . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:466:y:2017:i:c:p:310-324.

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2016Do socially (ir)responsible investments pay? New evidence from international ESG data. (2016). Auer, Benjamin R ; Schuhmacher, Frank . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:51-62.

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2016Sin stock returns and investor sentiment. (2016). Liston, Daniel Perez . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:59:y:2016:i:c:p:63-70.

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2016Market integration and efficiency of CDS and equity markets. (2016). Schiereck, Dirk ; Kolaric, Sascha ; Kiesel, Florian . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:61:y:2016:i:c:p:209-229.

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2017Do analysts forecasts of term spread differential help predict directional change in exchange rates?. (2017). Baghestani, Hamid ; Toledo, Hugo . In: International Review of Economics & Finance. RePEc:eee:reveco:v:47:y:2017:i:c:p:62-69.

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2016Can hedge funds time global equity markets? Evidence from emerging markets. (2016). Aiken, Adam ; Kilic, Osman ; Reid, Sean . In: Review of Financial Economics. RePEc:eee:revfin:v:29:y:2016:i:c:p:2-11.

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2016The performance of female hedge fund managers. (2016). Aggarwal, Rajesh ; Boyson, Nicole M. In: Review of Financial Economics. RePEc:eee:revfin:v:29:y:2016:i:c:p:23-36.

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2016Are Smart Beta strategies suitable for hedge fund portfolios?. (2016). Hitaj, Asmerilda . In: Review of Financial Economics. RePEc:eee:revfin:v:29:y:2016:i:c:p:37-51.

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2016Systemic risk of European financial institutions: Estimation and ranking by the Marginal Expected Shortfall. (2016). Derbali, Abdelkader ; Hallara, Slaheddine . In: Research in International Business and Finance. RePEc:eee:riibaf:v:37:y:2016:i:c:p:113-134.

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2016Executive pensions, risk-shifting, and foreign exchange exposure. (2016). Krapl, Alain A ; White, Reilly S. In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:376-392.

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2017The effects of fair value reporting on corporate foreign exchange exposures. (2017). Krapl, Alain ; Salyer, Robert . In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pa:p:215-238.

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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.
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article2
2000Risk management lessons from Long‐Term Capital Management In: European Financial Management.
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article26
2010Information Transfer Effects of Bond Rating Downgrades In: The Financial Review.
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article10
1986 Integration vs. Segmentation in the Canadian Stock Market. In: Journal of Finance.
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article88
1989 The Time Variation of Risk and Return in the Foreign Exchange and Stock Markets. In: Journal of Finance.
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article73
1988The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets.(1988) In: NBER Working Papers.
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paper
1990 Purchasing Power Parity in the Long Run. In: Journal of Finance.
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article332
1993 Testing the Predictive Power of Dividend Yields. In: Journal of Finance.
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article127
1992Testing the Predictive Power of Dividend Yields..(1992) In: Columbia - Graduate School of Business.
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This paper has another version. Agregated cites: 127
paper
1993 Currency Hedging for International Portfolios. In: Journal of Finance.
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article81
1995 Predicting Volatility in the Foreign Exchange Market. In: Journal of Finance.
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article191
1999Global Stock Markets in the Twentieth Century In: Journal of Finance.
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article138
2006Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers In: Journal of Finance.
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article73
2009Credit Contagion from Counterparty Risk In: Journal of Finance.
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article60
1986Bayes-Stein Estimation for Portfolio Analysis In: Journal of Financial and Quantitative Analysis.
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article155
1991The Pricing of Exchange Rate Risk in the Stock Market In: Journal of Financial and Quantitative Analysis.
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article167
1999Re-Emerging Markets In: Journal of Financial and Quantitative Analysis.
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article47
1997Re-emerging Markets.(1997) In: NBER Working Papers.
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This paper has another version. Agregated cites: 47
paper
1998Re-Emerging Markets.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 47
paper
2000Re-emerging Markets.(2000) In: Yale School of Management Working Papers.
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paper
2012The Determinants of Operational Risk in U.S. Financial Institutions In: Journal of Financial and Quantitative Analysis.
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article2
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.
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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]
article30
1999Multivariate Unit root Tests of the PPP Hypothesis.(1999) In: ULB Institutional Repository.
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This paper has another version. Agregated cites: 30
paper
1992The choice of a multicurrency portfolio for a central bank: Bonds, eurodeposits, and forward contracts In: Global Finance Journal.
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article0
1996Does real interest parity hold at longer maturities? In: Journal of International Economics.
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article13
1995Valuing executive stock options with endogenous departure In: Journal of Accounting and Economics.
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article17
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.
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article39
1991Bayesian and CAPM estimators of the means: Implications for portfolio selection In: Journal of Banking & Finance.
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article49
2014Are hedge fund managers systematically misreporting? Or not? In: Journal of Financial Economics.
[Full Text][Citation analysis]
article0
1991A multicountry comparison of term-structure forecasts at long horizons In: Journal of Financial Economics.
[Full Text][Citation analysis]
article126
1991A Multi-Country Comparison of Term Structure Forecasts at Long Horizons.(1991) In: NBER Working Papers.
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This paper has another version. Agregated cites: 126
paper
2005Informational effects of regulation FD: evidence from rating agencies In: Journal of Financial Economics.
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article67
2007Good and bad credit contagion: Evidence from credit default swaps In: Journal of Financial Economics.
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article124
2010The performance of emerging hedge funds and managers In: Journal of Financial Economics.
[Full Text][Citation analysis]
article31
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]
article105
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]
article41
1988Foreign exchange risk premia volatility once again In: Journal of International Money and Finance.
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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.
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chapter34
2007Bank Trading Risk and Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]
chapter5
2005Bank Trading Risk and Systemic Risk.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 5
paper
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.
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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.
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article187
1985International Portfolio Diversification with Estimation Risk. In: The Journal of Business.
[Full Text][Citation analysis]
article156
1990The Exchange-Rate Exposure of U.S. Multinationals. In: The Journal of Business.
[Full Text][Citation analysis]
article283
1995A Longer Look at Dividend Yields. In: The Journal of Business.
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article25
1998A Longer Look at Dividend Yields.(1998) In: Yale School of Management Working Papers.
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This paper has another version. Agregated cites: 25
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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