Mikael PETITJEAN : Citation Profile

Are you Mikael PETITJEAN?

Lille Économie et Management (LEM) (80% share)
Université Catholique de Louvain (20% share)

4

H index

2

i10 index

98

Citations

RESEARCH PRODUCTION:

15

Articles

30

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 5
   Journals where Mikael PETITJEAN has often published
   Relations with other researchers
   Recent citing documents: 30.    Total self citations: 5 (4.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe804
   Updated: 2019-03-23    RAS profile: 2018-07-16    
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Relations with other researchers

Works with:

Mazza, Paolo (7)

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

Is cited by:

Wohar, Mark (7)

GUPTA, RANGAN (6)

Novotny, Jan (5)

Sévi, Benoît (5)

JAWADI, Fredj (4)

Mazza, Paolo (3)

Urga, Giovanni (2)

Rossi, Eduardo (2)

Santucci de Magistris, Paolo (2)

Lichard, Tomas (2)

Schrimpf, Andreas (2)

Cites to:

Campbell, John (35)

Shiller, Robert (24)

French, Kenneth (9)

Diebold, Francis (9)

Giot, Pierre (7)

Goetzmann, William (7)

Rigobon, Roberto (6)

Brown, Stephen (6)

Stambaugh, Robert (6)

Durré, Alain (5)

Wohar, Mark (5)

Main data

Where Mikael PETITJEAN has published?

Journals with more than one article published# docs
Quantitative Finance2

Working Papers Series with more than one paper published# docs
Post-Print / HAL6

Recent works citing Mikael PETITJEAN (2018 and 2017)

YearTitle of citing document
2017Generalized financial ratios to predict the equity premium. (2017). Algaba, Andres ; Boudt, Kris. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:244-257.

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2018Liquidity tail risk and credit default swap spreads. (2018). Irresberger, Felix ; Gabrysch, Sandra. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:3:p:1137-1153.

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

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2017International stock return predictability: Evidence from new statistical tests. (2017). Kim, Jae ; Darné, Olivier ; Charles, Amelie ; Darne, Olivier. In: International Review of Financial Analysis. RePEc:eee:finana:v:54:y:2017:i:c:p:97-113.

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2017Identifying events in financial time series – A new approach with bipower variation. (2017). Andor, Gyorgy ; Bohak, Andras . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:42-48.

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2018The coherence of liquidity measures. The evidence from the emerging market. (2018). Bdowska-Sojka, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:118-123.

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2018Volatility jumps: The role of geopolitical risks. (2018). Gkillas, Konstantinos ; Wohar, Mark E ; Gupta, Rangan. In: Finance Research Letters. RePEc:eee:finlet:v:27:y:2018:i:c:p:247-258.

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2018Intraday momentum in FX markets: Disentangling informed trading from liquidity provision. (2018). Frömmel, Michael ; Lampaert, Kevin ; Frommel, Michael ; Elaut, Gert. In: Journal of Financial Markets. RePEc:eee:finmar:v:37:y:2018:i:c:p:35-51.

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2018Does intraday technical trading have predictive power in precious metal markets?. (2018). Batten, Jonathan ; Urquhart, Andrew ; Peat, Maurice ; McGroarty, Frank ; Lucey, Brian M. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:52:y:2018:i:c:p:102-113.

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2018What drives corporate CDS spreads? A comparison across US, UK and EU firms. (2018). Pereira, John ; Nurullah, Mohamed ; Sorwar, Ghulam. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:56:y:2018:i:c:p:188-200.

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2017Forecasting market returns: bagging or combining?. (2017). Wohar, Mark ; Jordan, Steven J ; Vivian, Andrew. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:102-120.

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2017The effect of investor sentiment on gold market return dynamics: Evidence from a nonparametric causality-in-quantiles approach. (2017). GUPTA, RANGAN ; Demirer, Riza ; Bonato, Matteo ; Balcilar, Mehmet. In: Resources Policy. RePEc:eee:jrpoli:v:51:y:2017:i:c:p:77-84.

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2018The volatility-volume relationship in the LME futures market for industrial metals. (2018). Clements, Adam ; Todorova, Neda. In: Resources Policy. RePEc:eee:jrpoli:v:58:y:2018:i:c:p:111-124.

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2018Arbitrage opportunities and liquidity: An intraday event study on cross-listed stocks. (2018). Ghadhab, Imen. In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:46:y:2018:i:c:p:1-10.

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2017A literature review of technical analysis on stock markets. (2017). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Lima, Jessica ; Farias, Rodolfo Toribio . In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:66:y:2017:i:c:p:115-126.

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2017International Stock Return Predictability: Evidence from New Statistical Tests. (2017). Kim, Jae ; Darné, Olivier ; Darne, Olivier ; Charles, Amelie. In: Post-Print. RePEc:hal:journl:hal-01626101.

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2018Did crisis alter trading of two major oil futures markets?. (2018). Adeinat, Iman ; Wei, Peihwang ; al Rahahleh, Naseem. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:1:d:10.1007_s11147-017-9133-7.

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2018Volume, Volatility, and Public News Announcements. (2018). Bollerslev, Tim ; Xue, Yuan ; Li, Jia. In: Review of Economic Studies. RePEc:oup:restud:v:85:y:2018:i:4:p:2005-2041..

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2017Information Flow Interpretation of Heteroskedasticity for Capital Asset Pricing: An Expectation-based View of Risk. (2017). Senarathne, Chamil W ; Jayasinghe, Prabhath . In: MPRA Paper. RePEc:pra:mprapa:78771.

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2017The Sources of Country and Industry Variations in ASEAN Stock Returns. (2017). Hooy, Chee-Wooi ; CHONG, Terence Tai Leung ; Lee, Meng-Horng . In: MPRA Paper. RePEc:pra:mprapa:80574.

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2017OPEC News Announcement Effect on Volatility in the Crude Oil Market: A Reconsideration. (2017). Yoon, Seong-Min ; Lau, Chi Keung ; GUPTA, RANGAN ; Marco, Chi Keung. In: Working Papers. RePEc:pre:wpaper:201754.

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2018Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805.

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2018Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825.

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2018Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings. (2018). Wohar, Mark ; Kanda, Patrick ; GUPTA, RANGAN. In: Working Papers. RePEc:pre:wpaper:201830.

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2019The impact of central clearing on the market for single-name credit default swaps. (2018). Dionne, Georges ; Breton, Michele ; Ben-Abdallah, Ramzi ; Akari, Mohamed-Ali. In: Working Papers. RePEc:ris:crcrmw:2018_001.

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2018The erratic behaviour of the EU ETS on the path towards consolidation and price stability. (2018). Galan-Valdivieso, Federico ; Huete-Morales, Maria-Dolores ; Villar-Rubio, Elena. In: International Environmental Agreements: Politics, Law and Economics. RePEc:spr:ieaple:v:18:y:2018:i:5:d:10.1007_s10784-018-9411-3.

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2017Modelling the relationship between future energy intraday volatility and trading volume with wavelet. (2017). Ftiti, Zied ; JAWADI, Fredj ; Louhichi, Wal. In: Applied Economics. RePEc:taf:applec:v:49:y:2017:i:20:p:1981-1993.

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2017Information Arrival and Volatility: Evidence from the Saudi Stock Exchange (Tadawul). (2017). . In: Panoeconomicus. RePEc:voj:journl:v:64:y:2017:i:1:p:45-59.

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2018The Magnet Effect of Circuit Breakers: A role of price jumps and market liquidity. (2018). Jian, Zhi Hong ; Wu, Shuai ; Zhou, Jie ; Zhu, Zhican. In: Departmental Working Papers. RePEc:win:winwop:2018-01.

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Works by Mikael PETITJEAN:

YearTitleTypeCited
2014DE LA MEDIOCRITE DES CONSEILS D’INVESTISSEMENT DE TEST-ACHATS INVEST SUR ACTIONS INDIVIDUELLES In: Brussels Economic Review.
[Citation analysis]		article0
2010Volatility regimes and liquidity co-movements in cap-based portfolios In: Finance.
[Full Text][Citation analysis]		article1
2010Volatility regimes and liquidity co-movements in cap-based portfolios.(2010) In: CORE Discussion Papers RP.
[Citation analysis]
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2010Volatility regimes and liquidity co-movements in cap-based portfolios..(2010) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 1		paper
2005Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper1
2006International stock return predictability: statistical evidence and economic significance In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper3
2006The information content of the Bond-Equity Yield Ratio: better than a random walk? In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper2
2007The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: CORE Discussion Papers RP.
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2007The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: International Journal of Forecasting.
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This paper has another version. Agregated cites: 2		article
2006Short-term market timing using the Bond-Equity Yield Ratio In: CORE Discussion Papers.
[Full Text][Citation analysis]		paper4
2009Short-term market timing using the bond-equity yield ratio.(2009) In: CORE Discussion Papers RP.
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2009Short-term market timing using the bond-equity yield ratio.(2009) In: The European Journal of Finance.
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2006Market-wide liquidity co-movements, volatility regimes and market cap sizes In: CORE Discussion Papers.
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2010Trading activity, realized volatility and jumps In: CORE Discussion Papers RP.
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2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
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2011On the statistical and economic performance of stock return predictive regression models: an international perspective In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper8
2011On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: CORE Discussion Papers RP.
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2011On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: Quantitative Finance.
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This paper has another version. Agregated cites: 8		article
2012Liquidity and CDS premiums on European companies around the Subprime crisis In: CORE Discussion Papers RP.
[Full Text][Citation analysis]		paper7
2012Liquidity and CDS premiums on European companies around the Subprime crisis.(2012) In: Review of Derivatives Research.
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2013The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks In: CORE Discussion Papers RP.
[Citation analysis]		paper4
2013The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks.(2013) In: Quantitative Finance.
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2014Testing the profitability of contrarian trading strategies based on the overreaction hypothesis In: CORE Discussion Papers RP.
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2015How integrated is the European carbon derivatives market? In: CORE Discussion Papers RP.
[Citation analysis]		paper1
2015How integrated is the European carbon derivatives market?.(2015) In: Finance Research Letters.
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2015How integrated is the European carbon derivatives market?.(2015) In: Post-Print.
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2016On the usefuleness of intraday price ranges to Gauge liquidity in cap-based portfolios In: CORE Discussion Papers RP.
[Citation analysis]		paper0
2016On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios.(2016) In: Economic Modelling.
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2016On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios.(2016) In: Post-Print.
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2014Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks In: Journal of Financial Markets.
[Full Text][Citation analysis]		article16
2013Bank failures and regulation: a critical review In: Journal of Financial Regulation and Compliance.
[Full Text][Citation analysis]		article2
2010Variations communes de liquidité au sein de portefeuilles de faible, moyenne et forte capitalisation: Les enseignements des crises financières asiatique et russe. In: Post-Print.
[Citation analysis]		paper0
2010Variations communes de liquidité au sein de portefeuilles de faible, moyenne et forte capitalisation : les enseignements des crises financières asiatique et russe..(2010) In: Post-Print.
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2016La vitesse sur les marchés financiers : stop ou encore ? In: Post-Print.
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2000Les effets de la globalisation sur les inégalités régionales : quelques apports fondamentaux de léconomie géographique In: Revue Tiers Monde.
[Full Text][Citation analysis]		article1
1999Des effets de la globalisation sur les inégalités régionales : quelques apports fondamentaux de léconomie géographique.(1999) In: SEII Working Papers.
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2004Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison In: Computing in Economics and Finance 2004.
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1997Echanges internationaux et économie mondiale In: SEII Working Papers.
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1997The Balance of Payments in Belgium and the IMF Approach In: SEII Working Papers.
[Citation analysis]		paper0
1998Exogeneous Technical Progress and International Trade : Is It Outdated? In: SEII Working Papers.
[Citation analysis]		paper0
1998Spécialisation industrielle et consommation apparente : le cas de la Province de Liège en Belgique In: SEII Working Papers.
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1998La Politique Agricole Commune et lAgenda 2000 In: SEII Working Papers.
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1999Une introduction aux modèles de croissance : de lexogénéité à lendogénisation In: SEII Working Papers.
[Citation analysis]		paper0
2011To what extent is resampling useful in portfolio management? In: Applied Economics Letters.
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2011The performance of popular stochastic volatility option pricing models during the subprime crisis In: Applied Financial Economics.
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