4
H index
2
i10 index
87
Citations
Mikael PETITJEAN : Citation Profile
Lille Économie et Management (LEM) (80% share) | RESEARCH PRODUCTION: 15 Articles 30 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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19 years (1997 - 2016). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with Mikael PETITJEAN. | Is cited by:
| Cites to:
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Main data
Where Mikael PETITJEAN has published?
| Journals with more than one article published | # docs |
|---|---|
| Quantitative Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Post-Print / HAL | 6 |
Recent works citing Mikael PETITJEAN (2018 and 2017)
| Year | Title of citing document |
|---|---|
| 2017 | Generalized 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. Full description at Econpapers || Download paper |
| 2018 | Liquidity 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. Full description at Econpapers || Download paper |
| 2017 | Predicting 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. Full description at Econpapers || Download paper |
| 2017 | International 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. Full description at Econpapers || Download paper |
| 2017 | Identifying 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. Full description at Econpapers || Download paper |
| 2018 | Intraday 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. Full description at Econpapers || Download paper |
| 2018 | Does 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. Full description at Econpapers || Download paper |
| 2017 | Forecasting 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. Full description at Econpapers || Download paper |
| 2017 | The 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. Full description at Econpapers || Download paper |
| 2017 | A 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. Full description at Econpapers || Download paper |
| 2017 | International 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. Full description at Econpapers || Download paper |
| 2018 | Did 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. Full description at Econpapers || Download paper |
| 2017 | Information 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. Full description at Econpapers || Download paper |
| 2017 | The 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. Full description at Econpapers || Download paper |
| 2017 | OPEC 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. Full description at Econpapers || Download paper |
| 2018 | Volatility Jumps: The Role of Geopolitical Risks. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201805. Full description at Econpapers || Download paper |
| 2018 | Oil Shocks and Volatility Jumps. (2018). Wohar, Mark ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos. In: Working Papers. RePEc:pre:wpaper:201825. Full description at Econpapers || Download paper |
| 2018 | Predicting 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. Full description at Econpapers || Download paper |
| 2018 | The 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. Full description at Econpapers || Download paper |
| 2017 | Information 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. Full description at Econpapers || Download paper |
Works by Mikael PETITJEAN:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | DE LA MEDIOCRITE DES CONSEILS D’INVESTISSEMENT DE TEST-ACHATS INVEST SUR ACTIONS INDIVIDUELLES In: Brussels Economic Review. [Citation analysis] | article | 0 |
| 2010 | Volatility regimes and liquidity co-movements in cap-based portfolios In: Finance. [Full Text][Citation analysis] | article | 1 |
| 2010 | Volatility regimes and liquidity co-movements in cap-based portfolios.(2010) In: CORE Discussion Papers RP. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2010 | Volatility regimes and liquidity co-movements in cap-based portfolios..(2010) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2005 | Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio In: CORE Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
| 2006 | International stock return predictability: statistical evidence and economic significance In: CORE Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
| 2006 | The information content of the Bond-Equity Yield Ratio: better than a random walk? In: CORE Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
| 2007 | The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: CORE Discussion Papers RP. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2007 | The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: International Journal of Forecasting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
| 2006 | Short-term market timing using the Bond-Equity Yield Ratio In: CORE Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
| 2009 | Short-term market timing using the bond-equity yield ratio.(2009) In: CORE Discussion Papers RP. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2009 | Short-term market timing using the bond-equity yield ratio.(2009) In: The European Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2006 | Market-wide liquidity co-movements, volatility regimes and market cap sizes In: CORE Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Trading activity, realized volatility and jumps In: CORE Discussion Papers RP. [Full Text][Citation analysis] | paper | 43 |
| 2010 | Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 43 | article | |
| 2011 | On the statistical and economic performance of stock return predictive regression models: an international perspective In: CORE Discussion Papers RP. [Full Text][Citation analysis] | paper | 7 |
| 2011 | On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: CORE Discussion Papers RP. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
| 2011 | On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 2012 | Liquidity and CDS premiums on European companies around the Subprime crisis In: CORE Discussion Papers RP. [Full Text][Citation analysis] | paper | 6 |
| 2012 | Liquidity and CDS premiums on European companies around the Subprime crisis.(2012) In: Review of Derivatives Research. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2013 | The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks In: CORE Discussion Papers RP. [Citation analysis] | paper | 4 |
| 2013 | The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks.(2013) In: Quantitative Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
| 2014 | Testing the profitability of contrarian trading strategies based on the overreaction hypothesis In: CORE Discussion Papers RP. [Citation analysis] | paper | 0 |
| 2015 | How integrated is the European carbon derivatives market? In: CORE Discussion Papers RP. [Citation analysis] | paper | 0 |
| 2016 | On the usefuleness of intraday price ranges to Gauge liquidity in cap-based portfolios In: CORE Discussion Papers RP. [Citation analysis] | paper | 0 |
| 2016 | On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios In: Economic Modelling. [Full Text][Citation analysis] | article | 0 |
| 2016 | On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios.(2016) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2015 | How integrated is the European carbon derivatives market? In: Finance Research Letters. [Full Text][Citation analysis] | article | 0 |
| 2015 | How integrated is the European carbon derivatives market?.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2014 | Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 11 |
| 2013 | Bank failures and regulation: a critical review In: Journal of Financial Regulation and Compliance. [Full Text][Citation analysis] | article | 2 |
| 2010 | Variations 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] | paper | 0 |
| 2010 | Variations 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. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2016 | La vitesse sur les marchés financiers : stop ou encore ? In: Post-Print. [Citation analysis] | paper | 0 |
| 2000 | Les effets de la globalisation sur les inégalités régionales : quelques apports fondamentaux de léconomie géographique In: Revue Tiers Monde. [Full Text][Citation analysis] | article | 1 |
| 1999 | Des effets de la globalisation sur les inégalités régionales : quelques apports fondamentaux de léconomie géographique.(1999) In: SEII Working Papers. [Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2004 | Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison In: Computing in Economics and Finance 2004. [Citation analysis] | paper | 0 |
| 1997 | Echanges internationaux et économie mondiale In: SEII Working Papers. [Citation analysis] | paper | 0 |
| 1997 | The Balance of Payments in Belgium and the IMF Approach In: SEII Working Papers. [Citation analysis] | paper | 0 |
| 1998 | Exogeneous Technical Progress and International Trade : Is It Outdated? In: SEII Working Papers. [Citation analysis] | paper | 0 |
| 1998 | Spécialisation industrielle et consommation apparente : le cas de la Province de Liège en Belgique In: SEII Working Papers. [Citation analysis] | paper | 0 |
| 1998 | La Politique Agricole Commune et lAgenda 2000 In: SEII Working Papers. [Citation analysis] | paper | 0 |
| 1999 | Une introduction aux modèles de croissance : de lexogénéité à lendogénisation In: SEII Working Papers. [Citation analysis] | paper | 0 |
| 2011 | To what extent is resampling useful in portfolio management? In: Applied Economics Letters. [Full Text][Citation analysis] | article | 1 |
| 2011 | The performance of popular stochastic volatility option pricing models during the subprime crisis In: Applied Financial Economics. [Full Text][Citation analysis] | article | 1 |
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