Mikael PETITJEAN : Citation Profile


Are you Mikael PETITJEAN?

Lille Économie et Management (LEM) (66% share)
Université Catholique de Louvain (34% share)

6

H index

2

i10 index

190

Citations

RESEARCH PRODUCTION:

15

Articles

30

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 10
   Journals where Mikael PETITJEAN has often published
   Relations with other researchers
   Recent citing documents: 35.    Total self citations: 5 (2.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe804
   Updated: 2023-01-08    RAS profile: 2022-09-04    
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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 Mikael PETITJEAN.

Is cited by:

GUPTA, RANGAN (24)

Wohar, Mark (9)

Pierdzioch, Christian (8)

Będowska-Sójka, Barbara (6)

Novotny, Jan (6)

Sensoy, Ahmet (6)

Demirer, Riza (5)

Sévi, Benoît (5)

JAWADI, Fredj (4)

Gkillas (Gillas), Konstantinos (4)

Nguyen, Duc Khuong (3)

Cites to:

Campbell, John (48)

Shiller, Robert (29)

Giot, Pierre (14)

Diebold, Francis (9)

French, Kenneth (9)

Bauwens, Luc (7)

Rigobon, Roberto (6)

Stambaugh, Robert (6)

Veredas, David (5)

Laurent, Sébastien (5)

Goetzmann, William (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 (2022 and 2021)


YearTitle of citing document
2021Impact of rough stochastic volatility models on long-term life insurance pricing. (2021). Hainaut, Donatien ; Barbarin, Jerome ; Dupret, Jean-Loup. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2021017.

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2021Pattern recognition in trading behaviors before stock price jumps: new method based on multivariate time series classification. (2020). Azencott, Robert ; Kong, AO ; Zhu, Hongliang. In: Papers. RePEc:arx:papers:2011.04939.

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2021The impact of trading behavioral biases on market liquidity under different volatility levels: Evidence from the Chinese commodity futures market. (2021). Zheng, Kaixin ; Tse, Yiuman ; Liu, Qingfu. In: The Financial Review. RePEc:bla:finrev:v:56:y:2021:i:4:p:671-692.

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2021Predicting Stock Market Movements in the United States: The Role of Presidential Approval Ratings. (2021). GUPTA, RANGAN ; Wohar, Mark E ; Kanda, Patrick. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:1:p:324-335.

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2021The profitability of trading on large Lévy jumps. (2021). Pan, Zheyao ; Gray, Phil ; Chan, Kam Fong. In: International Review of Finance. RePEc:bla:irvfin:v:21:y:2021:i:2:p:627-635.

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2022Are high frequency traders responsible for extreme price movements?. (2022). Westerholm, Joakim P ; Prodromou, Tina. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:94-111.

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2021Market instability and technical trading at high frequency: Evidence from NASDAQ stocks. (2021). Vargas, Nicolas ; Petitjean, Mikael ; Erdemlioglu, Deniz. In: Economic Modelling. RePEc:eee:ecmode:v:102:y:2021:i:c:s0264999321001814.

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2021The liquidity mechanics of dealer banks in the market-based credit system. (2021). Becker, Christoph. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002376.

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2021Fundamental volatility and informative trading volume in a rational expectations equilibrium. (2021). Mao, Yipeng ; Luo, Dan. In: Economic Modelling. RePEc:eee:ecmode:v:105:y:2021:i:c:s0264999321002522.

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2021The impact of central clearing on the market for single-name credit default swaps. (2021). Dionne, Georges ; Breton, Michele ; Ben-Abdallah, Ramzi ; Akari, Mohamed-Ali. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:56:y:2021:i:c:s106294082030231x.

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2022Stock return prediction: Stacking a variety of models. (2022). Cheng, Tingting ; Bo, Albert. In: Journal of Empirical Finance. RePEc:eee:empfin:v:67:y:2022:i:c:p:288-317.

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2022Forecasting volatility of EUA futures: New evidence. (2022). Umar, Muhammad ; Liang, Chao ; Huang, Yisu ; Guo, Xiaozhu. In: Energy Economics. RePEc:eee:eneeco:v:110:y:2022:i:c:s0140988322001918.

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2021OPEC news and jumps in the oil market. (2021). Yoon, Seong-Min ; Pierdzioch, Christian ; Gupta, Rangan ; Gkillas, Konstantinos. In: Energy Economics. RePEc:eee:eneeco:v:96:y:2021:i:c:s0140988321000013.

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2022Futures volatility forecasting based on big data analytics with incorporating an order imbalance effect. (2022). Zhang, Yongmin ; Cui, Tianxiang ; Ding, Shusheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002137.

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2022The prediction of price gap anomaly in Chinese stock market: Evidence from the dependent functional logit model. (2022). Cui, Xin ; Xu, Boyu ; LI, Qifang ; Bao, Haohua ; Su, Zhifang. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000307.

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2021Dynamics of return and liquidity (co) jumps in emerging foreign exchange markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengeti, Suleyman. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:73:y:2021:i:c:s1042443121000962.

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2021Bullish and Bearish Engulfing Japanese Candlestick patterns: A statistical analysis on the S&P 500 index. (2021). Pollacia, Lissa ; Saxena, Atul ; Jamaloodeen, Mohamed ; Heinz, Adrian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:79:y:2021:i:c:p:221-244.

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2021Uncertainty Due to Infectious Diseases and Stock–Bond Correlation. (2021). Siriopoulos, Costas ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Econometrics. RePEc:gam:jecnmx:v:9:y:2021:i:2:p:17-:d:539153.

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2021Forecasting the Volatility of Crude Oil: The Role of Uncertainty and Spillovers. (2021). Pierdzioch, Christian ; GUPTA, RANGAN. In: Energies. RePEc:gam:jeners:v:14:y:2021:i:14:p:4173-:d:591975.

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2021El Niño, La Niña, and the Forecastability of the Realized Variance of Heating Oil Price Movements. (2021). Pierdzioch, Christian ; GUPTA, RANGAN ; Bouri, Elie ; Balcilar, Mehmet. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:14:p:7987-:d:596011.

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2021Regional Carbon Markets in China: Cointegration and Heterogeneity. (2021). Lyu, Chenyan. In: Working Papers. RePEc:hhs:cbsnow:2021_013.

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2022Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment. (2022). Jacob, Joshy ; Srivastava, Pranjal. In: IIMA Working Papers. RePEc:iim:iimawp:14685.

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2021Dynamics of Return and Liquidity (Co)Jumps in Emerging Foreign Exchange Markets. (2021). Sensoy, Ahmet ; Nguyen, Duc Khuong ; Serdengecti, Suleyman. In: MPRA Paper. RePEc:pra:mprapa:105162.

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2021Investor Confidence and Forecastability of US Stock Market Realized Volatility : Evidence from Machine Learning. (2021). Pierdzioch, Christian ; Nel, Jacobus ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202118.

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2021Exchange Rate Jumps and Geopolitical Risks. (2021). GUPTA, RANGAN ; Vortelinos, Dimitrios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202171.

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2022The Effects of Conventional and Unconventional Monetary Policy Shocks on US REITs Moments: Evidence from VARs with Functional Shocks. (2022). Cepni, Oguzhan ; Bonato, Matteo ; Gupta, Rangan ; Wang, Shixuan. In: Working Papers. RePEc:pre:wpaper:202219.

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2022Climate Risks and State-Level Stock-Market Realized Volatility. (2022). Cepni, Oguzhan ; Gupta, Rangan ; Pierdzioch, Christian ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202246.

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2022Business Applications and State-Level Stock Market Realized Volatility: A Forecasting Experiment. (2022). Pierdzioch, Christian ; Bonato, Matteo ; Cepni, Oguzhan ; Gupta, Rangan. In: Working Papers. RePEc:pre:wpaper:202247.

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2022The effect of short selling on volatility and jumps. (2022). Wee, Marvin ; Treepongkaruna, Sirimon ; Foong, Glenn Kit ; Padungsaksawasdi, Chaiyuth. In: Australian Journal of Management. RePEc:sae:ausman:v:47:y:2022:i:1:p:34-52.

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2021Is liquidity wasted? The zero-returns on the Warsaw Stock Exchange. (2021). Będowska-Sójka, Barbara ; Bdowska-Sojka, Barbara. In: Annals of Operations Research. RePEc:spr:annopr:v:297:y:2021:i:1:d:10.1007_s10479-020-03849-5.

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2021The relationship between trend and volume on the bitcoin market. (2021). Mentel, Urszula ; Bilan, Yuriy ; Szetela, Beata . In: Eurasian Economic Review. RePEc:spr:eurase:v:11:y:2021:i:1:d:10.1007_s40822-021-00166-5.

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2021Realized Volatility, Jump and Beta: evidence from Canadian Stock Market. (2021). Chowdhury, Biplob ; Gajurel, Dinesh. In: Applied Economics. RePEc:taf:applec:v:53:y:2021:i:55:p:6376-6397.

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2022A new risk measurement method for Chinas carbon market. (2022). Wagan, Zulfiqar Ali ; Wang, Wenjun ; Yang, YU ; Zhang, Chen. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:27:y:2022:i:1:p:1280-1290.

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2021Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2021). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Journal of Forecasting. RePEc:wly:jforec:v:40:y:2021:i:3:p:416-438.

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2022Unprofitability of food market investments. (2022). Auer, Benjamin R ; Vinzelberg, Anja. In: Managerial and Decision Economics. RePEc:wly:mgtdec:v:43:y:2022:i:7:p:2887-2910.

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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.
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2010Volatility regimes and liquidity co-movements in cap-based portfolios In: Finance.
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article1
2010Volatility regimes and liquidity co-movements in cap-based portfolios.(2010) In: LIDAM Reprints CORE.
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2010Volatility regimes and liquidity co-movements in cap-based portfolios..(2010) In: Post-Print.
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2005Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE.
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2006International stock return predictability: statistical evidence and economic significance In: LIDAM Discussion Papers CORE.
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2006The information content of the Bond-Equity Yield Ratio: better than a random walk? In: LIDAM Discussion Papers CORE.
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2007The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: LIDAM Reprints CORE.
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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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2006Short-term market timing using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE.
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2009Short-term market timing using the bond-equity yield ratio.(2009) In: LIDAM Reprints CORE.
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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: LIDAM Discussion Papers CORE.
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2010Trading activity, realized volatility and jumps In: LIDAM Reprints CORE.
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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: LIDAM Reprints CORE.
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2011On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: LIDAM Reprints CORE.
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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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2012Liquidity and CDS premiums on European companies around the Subprime crisis In: LIDAM Reprints CORE.
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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: LIDAM Reprints CORE.
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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: LIDAM Reprints CORE.
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2015How integrated is the European carbon derivatives market? In: LIDAM Reprints CORE.
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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: LIDAM Reprints CORE.
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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.
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2013Bank failures and regulation: a critical review In: Journal of Financial Regulation and Compliance.
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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.
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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.
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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.
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1998Exogeneous Technical Progress and International Trade : Is It Outdated? In: SEII Working Papers.
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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.
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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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