Philippe Jorion : Citation Profile

Are you Philippe Jorion?

University of California-Irvine

30

H index

36

i10 index

4842

Citations

RESEARCH PRODUCTION:

48

Articles

18

Papers

2

Chapters

RESEARCH ACTIVITY:

   39 years (1985 - 2024). See details.
   Cites by year: 124
   Journals where Philippe Jorion has often published
   Relations with other researchers
   Recent citing documents: 183.    Total self citations: 12 (0.25 %)

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   Permalink: http://citec.repec.org/pjo72
   Updated: 2024-11-08    RAS profile: 2024-09-05    
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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:

Bartram, Söhnke (33)

Allen, David (26)

Taylor, Mark (22)

Papell, David (21)

Bekaert, Geert (20)

Kilian, Lutz (19)

faff, robert (19)

Sarno, Lucio (18)

Xiao, Tim (18)

van Dijk, Mathijs (17)

Du, Ding (16)

Cites to:

Goetzmann, William (9)

Frankel, Jeffrey (8)

Mishkin, Frederic (7)

Rose, Andrew (4)

Fisher, Eric (4)

Fama, Eugene (3)

Engle, Robert (3)

Brown, Stephen (3)

Stulz, René (3)

Mehra, Rajnish (3)

Meese, Richard (3)

Main data

Where Philippe Jorion has published?

Journals with more than one article published# docs
Journal of Finance8
Financial Analysts Journal7
Journal of Financial Economics5
Journal of Financial and Quantitative Analysis5
Journal of International Money and Finance4
The Journal of Business3
Journal of Banking & Finance2
The Review of Financial Studies2
European Financial Management2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc7
Yale School of Management Working Papers / Yale School of Management5
Yale School of Management Working Papers / Yale School of Management2

Recent works citing Philippe Jorion (2024 and 2023)

YearTitle of citing document
2024.

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2024Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

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2023Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051.

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2023Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030.

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2023Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298.

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2023Regularity in forex returns during financial distress: Evidence from India. (2023). Datta, Radhika Prosad. In: Papers. RePEc:arx:papers:2308.04181.

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2023DeFi Security: Turning The Weakest Link Into The Strongest Attraction. (2023). Kashyap, Ravi. In: Papers. RePEc:arx:papers:2312.00033.

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2023Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2023). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

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2023.

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2023Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068.

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2023Corporate reputation and hedging activities. (2023). Yang, Jimmy J ; Deng, Zero. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1223-1247.

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2023Are founding families less willing to bear risk? Evidence from the currency exposure and internationalization strategy of family firms. (2023). Reeb, David M ; Hunter, Delroy M ; Bergbrant, Mikael C ; Anderson, Ronald C. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:41-66.

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2023Exploring the performance of US international bond mutual funds. (2023). Littlejohn, Elizabeth ; Fletcher, Jonathan ; Marshall, Andrew. In: The Financial Review. RePEc:bla:finrev:v:58:y:2023:i:4:p:765-782.

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2023Executive compensation and corporate risk management. (2023). Eckles, David L ; Carson, James M ; Yun, Jiyeon. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:521-557.

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2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Legrenzi, Gabriella Deborah ; Heinlein, Reinhold. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

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2023Per Capita Income Convergence and Divergence of Selected OECD Countries to and from the US: A Reappraisal for the period 1900-2018. (2023). Konya, Laszlo. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:23:y:2023:i:1_2.

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2024Can 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.

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2023Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS. (2023). Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-25.

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2023The Role of Environmental Conditions and Purchasing Power Parity in Determining Quality of Life among Big Asian Cities. (2023). Audi, Marc ; Ali, Amjad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-34.

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2023Credit rating and managerial behavior in investment decision making: Evidence from the Korean market. (2023). Kim, Changki ; Thompson, Ephraim Kwashie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000059.

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2023The impact of more able managers on corporate trade credit. (2023). Wang, Hongxia ; Ngo, Thanh ; James, Hui Liang. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:40:y:2023:i:c:s2214635023000710.

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2024Customer concentration and shareholder litigation risk: Evidence from a quasi-natural experiment. (2024). Lee, Sangmook ; Jiraporn, Pornsit ; Chatjuthamard, Pattanaporn ; Wongsinhirun, Nopparat. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s221463502300076x.

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2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Escribano, Ana ; Diaz, Antonio. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

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2024How does currency risk impact firms? New evidence from bank loan contracts. (2024). Hunter, Delroy M ; Francis, Bill B ; Bergbrant, Mikael C. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992400004x.

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2023Trade competitiveness and the aggregate returns in global stock markets. (2023). Umar, Zaghum ; Zaremba, Adam ; Long, Huaigang ; Chiah, Mardy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000246.

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2023Socially conscious investment funds and home country institutions. (2023). Smimou, K ; Hoover, Gary A. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:79:y:2023:i:c:p:395-417.

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2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Jehle, Camille ; Gosse, Jean-Baptiste. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

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2024Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield. (2024). Parnes, Dror. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001390.

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2023Beyond rocket science: A factor model for convertible bond returns. (2023). Yu, Mei ; Wang, Haixu ; Li, Zhiyong. In: Economics Letters. RePEc:eee:ecolet:v:233:y:2023:i:c:s0165176523003877.

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2024Computational dynamics of information ratios. (2024). Marohn, Marcel ; Auer, Benjamin R. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000946.

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2023Taking stock of long-horizon predictability tests: Are factor returns predictable?. (2023). KOSTAKIS, ALEXANDROS ; Magdalinos, Tassos ; Stamatogiannis, Michalis P. In: Journal of Econometrics. RePEc:eee:econom:v:237:y:2023:i:2:s0304407623000052.

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2023Robust international portfolio optimization with worst?case mean?CVaR. (2022). Luan, Fei ; Zhang, Weiguo ; Liu, Yongjun. In: European Journal of Operational Research. RePEc:eee:ejores:v:303:y:2022:i:2:p:877-890.

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2023Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831.

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2023Customer–supplier relationships and non-linear financial policy response. (2023). Zhao, Longkai ; Wong, Kacheng. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:180-205.

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2023When “time varying” volatility meets “transaction cost” in portfolio selection. (2023). Li, E ; Wen, T ; Liao, Y ; Gibberd, A ; Bu, D ; Qiao, W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:220-237.

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2023Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis. (2023). Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Le, Tn-Lan ; Shao, Xuefeng ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006272.

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2023Economic policy uncertainty, jump dynamics, and oil price volatility. (2023). Qi, YU ; Pan, NA ; Li, Xin ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001330.

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2023Determinants and real effects of joint hedging: An empirical analysis of US oil and gas producers. (2023). Dionne, Georges ; Mnasri, Mohamed ; el Hraiki, Rayane. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323002992.

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2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Bouri, Elie ; Chen, Yan ; Zhang, Lei. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

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2023Heterogeneous impacts of oil prices on Chinas stock market: Based on a new decomposition method. (2023). Ai, Chunrong ; Xu, Jie ; Liu, Feng. In: Energy. RePEc:eee:energy:v:268:y:2023:i:c:s0360544223000385.

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2023The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395.

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2023Commodity exposure in the eurozone: How EU energy security is conditioned by the Euro. (2023). Martinez-Salgueiro, Andrea ; Vivel-Bua, Milagros ; de Llano-Paz, Fernando ; Lado-Sestayo, Ruben. In: Energy. RePEc:eee:energy:v:277:y:2023:i:c:s0360544223009222.

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2023Information flows and the law of one price. (2023). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004161.

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2023Internal or external control? How to respond to credit risk contagion in complex enterprises network. (2023). Feng, Hairong ; Chao, Xiangrui ; Qian, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001205.

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2023Leading indicators for the US housing market: New empirical evidence and thoughts about implications for risk managers and ESG investors. (2023). Wegener, Christoph ; Saft, Danilo ; Desmyter, Steven ; Basse, Tobias. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002818.

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2023Exchange rate co-movements and corporate foreign exchange exposures: A study on RMB. (2023). Yu, Jishuang ; Wang, Wenqing ; He, Qing. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003472.

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2024The contagion effect of overconfidence in business group. (2024). Niu, Siqian ; Vochozka, Marek ; Gao, Peng. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005057.

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2023Customers’ litigation risk and suppliers’ cash holding decision: From the perspective of risk contagion. (2023). Huang, KE ; Zhu, Ying. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003458.

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2023Credit rating downgrades and stock price crash risk: International evidence. (2023). Zhong, Rui ; Treepongkaruna, Sirimon ; Lan, Yihui ; Ha, Thu. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003616.

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2023Do derivatives benefit shareholders? Evidence from India. (2023). Gupta, Aastha ; Chaudhry, Neeru. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003847.

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2023Deconstructing the Gerber statistic. (2023). Polakow, Daniel ; Flint, Emlyn. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005160.

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2023Can machine learning identify sector-level financial ratios that predict sector returns?. (2023). Shelly, Stuart ; Kuppenheimer, Gregory ; Strauss, Jack. In: Finance Research Letters. RePEc:eee:finlet:v:57:y:2023:i:c:s154461232300613x.

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2023Asset pricing with dividend surprises. (2023). Wang, Yan ; Li, Shi ; Guo, Pancheng. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323007250.

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2023Regression, multicollinearity and Markowitz. (2023). Mellado, Cristhian ; Contreras, Mauricio ; Ortiz, Roberto. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009224.

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2024Does peer firms debt default have positive externalities: The investment efficiency perspective. (2024). Pan, Changchun ; Song, Yuhang ; Jin, Long. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011595.

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2024Investor traps: Funds launched during booms. (2024). Qin, Qirui ; Liu, Xinxin ; Xu, Quanyi. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000746.

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2024Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Quaranta, Anna Grazia ; Pampurini, Francesca ; Cerqueti, Roy ; Storani, Saverio. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916.

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2024Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953.

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2024US dollar and oil market uncertainty: New evidence from explainable machine learning. (2024). Kocaarslan, Baris. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057.

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2024Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability. (2024). Jain, Shashi ; Dutta, Sumanjay. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004562.

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2024Geopolitical risk and the dynamics of REITs returns. (2024). Desfleurs, Aurelie ; Coen, Alain. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004677.

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2023Investor information and bank instability during the European debt crisis. (2023). Ross, Chase P ; Iorgova, Silvia. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001218.

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2023Firm performance & effective mitigation of adverse business scenarios. (2023). Sun, Jerry ; Pandher, Gurupdesh. In: Global Finance Journal. RePEc:eee:glofin:v:58:y:2023:i:c:s1044028323000844.

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2024Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

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2023The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies. (2023). Alshater, Muneer M ; el Khoury, Rim ; Tian, Maoxi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001846.

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2023Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000884.

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2023Currency carry trades, risk management, and firm value: Evidence from Korean banking industry. (2023). Kim, Sungjae Francis. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s104244312300118x.

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2023Information effect of credit rating announcements in transition economies. (2023). Zabolotnyuk, Yuriy ; Afik, Zvika. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001464.

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2024Does national culture influence malfeasance in banks around the world?. (2024). Conlon, Thomas ; Huan, Xing ; Muckley, Cal B. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001567.

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2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Yan, Cheng ; Kim, Minjoo ; Zhang, Xuan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

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2023Early Warning Systems for identifying financial instability. (2023). Sanfelici, Simona ; Allaj, Erindi. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:4:p:1777-1803.

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2023Fixed income conference calls. (2023). Zhu, Zhiwei ; Xu, DA ; Shohfi, Thomas ; de Franco, Gus. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000416.

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2023Detecting political event risk in the option market. (2023). KOSTAKIS, ALEXANDROS ; Otsubo, Yoichi ; Mu, Liangyi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002047.

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2023COVID-19 Pandemic and Global Corporate CDS Spreads. (2023). Wu, Eliza ; To, Thomas Y ; Marra, Miriam ; Hasan, Iftekhar ; Zhang, Gaiyan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622001984.

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2023Customer concentration and firm risk: The role of outside directors from a major customer. (2023). Park, Kwangwoo ; Kim, Hyun-Dong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s0378426623000948.

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2023Customer concentration and stock liquidity. (2023). Le, Anh-Tuan ; Huang, Henry Hongren ; Do, Trung K. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426623001401.

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2023Correlation scenarios and correlation stress testing. (2023). Woebbeking, F ; Packham, N. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67.

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2024Managerial structure in the hedge fund industry. (2024). Liang, Bing ; Kuang, Huan ; Chen, Yuhao. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000172.

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2023CEO risk preferences, hedging intensity, and firm value. (2023). Mandal, Sonik ; Doukas, John A ; Chowdhury, Rajib. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001541.

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2023Conditional mean reversion of financial ratios and the predictability of returns. (2023). Tokpavi, S ; Jasinski, A ; Boucher, C. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:137:y:2023:i:c:s0261560623001080.

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2023Cross-border capital flows and information spillovers across the equity and currency markets in emerging economies. (2023). Demirer, Riza ; Ferrer, Roman ; Bathia, Deven ; Raheem, Ibrahim D. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s0261560623001493.

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2023Sparse and stable international portfolio optimization and currency risk management. (2023). Ulrych, Urban ; Burkhardt, Raphael. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:139:y:2023:i:c:s026156062300150x.

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2024RMB exchange rate volatility and the cross-section of Chinese A-share returns. (2024). Li, Donghui ; Han, Liyan ; Ding, Wenjie ; Qiao, Tongshuai. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000111.

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2023Uncertain tone, asset volatility and credit default swap spreads. (2023). Ramani, Srikanth ; Patel, Saurin ; Doshi, Hitesh ; Sooy, Matthew. In: Journal of Contemporary Accounting and Economics. RePEc:eee:jocaae:v:19:y:2023:i:3:s1815566923000309.

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2023Corporate commodity exposure: A multi-country longitudinal study. (2023). lucey, brian ; Vigne, Samuel ; Laing, Elaine ; Han, XU. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000193.

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2023Examining the Contagion Effect of Credit Risk in a Supply Chain under Trade Credit and Bank Loan Offering. (2023). Xu, Xun ; Gu, Jing ; Shi, Xinyu ; Xie, Xiaofeng. In: Omega. RePEc:eee:jomega:v:115:y:2023:i:c:s030504832200158x.

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2023Stochastic behavior of exchange rate on an international supply chain under random energy price. (2023). Sarkar, Biswajit ; Mittal, Mandeep. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:205:y:2023:i:c:p:232-250.

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2023Credit risk contagion and optimal dual control—An SIS/R model. (2023). Fan, Hong ; Chen, Naixi. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:210:y:2023:i:c:p:448-472.

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2024The mechanism of enterprise credit guarantee risk contagion considering ESG. (2024). Liu, Xuejuan ; Zhang, Jingyi. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:221:y:2024:i:c:p:503-514.

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2023Modernising operational risk management in financial institutions via data-driven causal factors analysis: A pre-registered report. (2023). Vanstone, Bruce J ; Stern, Steven ; Gepp, Adrian ; Bilson, Christopher ; Cornwell, Nikki. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002013.

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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
2009Risk Management Lessons from the Credit Crisis In: European Financial Management.
[Full Text][Citation analysis]		article38
2000Risk management lessons from Long‐Term Capital Management In: European Financial Management.
[Full Text][Citation analysis]		article103
2010Information Transfer Effects of Bond Rating Downgrades In: The Financial Review.
[Full Text][Citation analysis]		article27
1986 Integration vs. Segmentation in the Canadian Stock Market. In: Journal of Finance.
[Full Text][Citation analysis]		article127
1990 Purchasing Power Parity in the Long Run. In: Journal of Finance.
[Full Text][Citation analysis]		article439
1993 Testing the Predictive Power of Dividend Yields. In: Journal of Finance.
[Full Text][Citation analysis]		article165
1992Testing the Predictive Power of Dividend Yields..(1992) In: Columbia - Graduate School of Business.
[Citation analysis]
This paper has nother version. Agregated cites: 165		paper
1993 Currency Hedging for International Portfolios. In: Journal of Finance.
[Full Text][Citation analysis]		article119
1995 Predicting Volatility in the Foreign Exchange Market. In: Journal of Finance.
[Full Text][Citation analysis]		article275
1999Global Stock Markets in the Twentieth Century In: Journal of Finance.
[Full Text][Citation analysis]		article188
2006Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers In: Journal of Finance.
[Full Text][Citation analysis]		article225
2009Credit Contagion from Counterparty Risk In: Journal of Finance.
[Full Text][Citation analysis]		article174
1986Bayes-Stein Estimation for Portfolio Analysis In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article316
1991The Pricing of Exchange Rate Risk in the Stock Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article267
1999Re-Emerging Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article50
1997Re-emerging Markets.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
1998Re-Emerging Markets.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 50		paper
2000Re-emerging Markets.(2000) In: Yale School of Management Working Papers.
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This paper has nother version. Agregated cites: 50		paper
.() In: .
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This paper has nother version. Agregated cites: 50		paper
2011The Determinants of Operational Risk in U.S. Financial Institutions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article38
2014The Strategic Listing Decisions of Hedge Funds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article6
1993Time-series tests of a non-expected-utility model of asset pricing In: European Economic Review.
[Full Text][Citation analysis]		article27
1989Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 27		paper
1999Multivariate unit root tests of the PPP hypothesis In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article35
1999Multivariate Unit root Tests of the PPP Hypothesis.(1999) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 35		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]		article20
1995Valuing executive stock options with endogenous departure In: Journal of Accounting and Economics.
[Full Text][Citation analysis]		article34
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]		article55
1991Bayesian and CAPM estimators of the means: Implications for portfolio selection In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article86
2014Are hedge fund managers systematically misreporting? Or not? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article7
1991A multicountry comparison of term-structure forecasts at long horizons In: Journal of Financial Economics.
[Full Text][Citation analysis]		article150
1991A Multi-Country Comparison of Term Structure Forecasts at Long Horizons.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 150		paper
2005Informational effects of regulation FD: evidence from rating agencies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article172
2007Good and bad credit contagion: Evidence from credit default swaps In: Journal of Financial Economics.
[Full Text][Citation analysis]		article271
2010The performance of emerging hedge funds and managers In: Journal of Financial Economics.
[Full Text][Citation analysis]		article77
1992Term premiums and the integration of the eurocurrency markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article9
1996Mean reversion in real exchange rates: evidence and implications for forecasting In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article119
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]		article62
1988Foreign exchange risk premia volatility once again In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article3
2024Who is Minding the Store? Order Routing and Competition in Retail Trade Execution In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2003The Long-Term Risks of Global Stock Markets In: Financial Management.
[Citation analysis]		article10
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]		chapter53
2007Bank Trading Risk and Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]		chapter12
2005Bank Trading Risk and Systemic Risk.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		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]		paper9
2000A Century of Global Stock Markets.(2000) In: NBER Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2004A Century of Global Stock Markets.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2000A Century of Global Stock Markets.(2000) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
.() In: .
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This paper has nother version. Agregated cites: 9		paper
1988On Jump Processes in the Foreign Exchange and Stock Markets In: The Review of Financial Studies.
[Full Text][Citation analysis]		article267
2019The Fix Is In: Properly Backing out Backfill Bias In: The Review of Financial Studies.
[Full Text][Citation analysis]		article10
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[Full Text][Citation analysis]		article1
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[Full Text][Citation analysis]		article1
1985International Portfolio Diversification with Estimation Risk. In: The Journal of Business.
[Full Text][Citation analysis]		article247
1990The Exchange-Rate Exposure of U.S. Multinationals. In: The Journal of Business.
[Full Text][Citation analysis]		article447
1995A Longer Look at Dividend Yields. In: The Journal of Business.
[Full Text][Citation analysis]		article32
1998A Longer Look at Dividend Yields.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 32		paper
1989An empirical investigation of the early exercise premium of foreign currency options In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team