Mikael PETITJEAN : Citation Profile

Are you Mikael PETITJEAN?

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

5

H index

2

i10 index

118

Citations

RESEARCH PRODUCTION:

15

Articles

30

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 6
   Journals where Mikael PETITJEAN has often published
   Relations with other researchers
   Recent citing documents: 48.    Total self citations: 5 (4.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe804
   Updated: 2020-05-23    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:

GUPTA, RANGAN (11)

Wohar, Mark (7)

Novotny, Jan (5)

Sévi, Benoît (5)

JAWADI, Fredj (4)

Gkillas (Gillas), Konstantinos (4)

Demirer, Riza (3)

Mazza, Paolo (3)

Rosa, Carlo (3)

Schrimpf, Andreas (2)

Lichard, Tomas (2)

Cites to:

Campbell, John (35)

Shiller, Robert (24)

Diebold, Francis (9)

French, Kenneth (9)

Giot, Pierre (7)

Stambaugh, Robert (6)

Rigobon, Roberto (6)

Wohar, Mark (5)

Durré, Alain (5)

Goetzmann, William (5)

Brown, Stephen (4)

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
2019Predicting intraday jumps in stock prices using liquidity measures and technical indicators. (2019). Azencott, Robert ; Zhu, Hongliang ; Kong, AO. In: Papers. RePEc:arx:papers:1912.07165.

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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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2019The relationship between trading activity and stock market volatility: Does the volume threshold matter?. (2019). Slim, Skander ; Koubaa, Yosra. In: Economic Modelling. RePEc:eee:ecmode:v:82:y:2019:i:c:p:168-184.

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2019Noise traders and smart money: Evidence from online searches. (2019). Belvaux, Bertrand ; Zouaoui, Mohamed ; Herve, Fabrice. In: Economic Modelling. RePEc:eee:ecmode:v:83:y:2019:i:c:p:141-149.

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2020Forecasting stock market volatility: The role of technical variables. (2020). Liu, LI ; Pan, Zhiyuan. In: Economic Modelling. RePEc:eee:ecmode:v:84:y:2020:i:c:p:55-65.

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2019International implied volatility risk indexes and Saudi stock return-volatility predictabilities. (2019). Azibi, Jamel ; Tissaoui, Kais . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:65-84.

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2019Time-varying risk aversion and realized gold volatility. (2019). GUPTA, RANGAN ; Demirer, Riza ; Pierdzioch, Christian ; Gkillas, Konstantinos. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818306399.

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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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2019A multiple regime extension to the Heston–Nandi GARCH(1,1) model. (2019). Constantinou, Nick ; Diaz-Hernandez, Adan . In: Journal of Empirical Finance. RePEc:eee:empfin:v:53:y:2019:i:c:p:162-180.

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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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2019Intraday volume-volatility nexus in the FX markets: Evidence from an emerging market. (2019). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:1-12.

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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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2019The causality between liquidity and volatility in the Polish stock market. (2019). Kliber, Agata ; Bdowska-Sojka, Barbara. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:110-115.

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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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2019Jumps in option prices and their determinants: Real-time evidence from the E-mini S&P 500 options market. (2019). Skiadopoulos, George ; Neumann, Michael ; Konstantinidi, Eirini ; Kapetanios, George. In: Journal of Financial Markets. RePEc:eee:finmar:v:46:y:2019:i:c:s1386418118300168.

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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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2020The impact of global financial crisis on informational efficiency: Evidence from price-volume relation in crude palm oil futures market. (2020). Lau, Wee Yeap ; Go, You-How. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:17:y:2020:i:c:s2405851317300028.

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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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2019Downside jump risk and the levels of futures-cash basis. (2019). Chen, Chin-Ho. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:57:y:2019:i:c:s0927538x19300745.

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2020Market liquidity and macro announcement around intraday jumps: Evidence from Chinese stock index futures markets. (2020). Sun, Bianxia ; Gao, Yang. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318539.

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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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2019An Agent-Based Model of a Pricing Process with Power Law, Volatility Clustering, and Jumps. (2019). Luo, Qixuan ; Shi, YU ; Li, Han Dong . In: Complexity. RePEc:hin:complx:3429412.

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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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2020Oil shocks and volatility jumps. (2020). GUPTA, RANGAN ; Wohar, Mark E ; Gkillas, Konstantinos. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:54:y:2020:i:1:d:10.1007_s11156-018-00788-y.

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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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2019Monetary Policy Uncertainty and Volatility Jumps in Advanced Equity Markets. (2019). Kyei, Clement ; GUPTA, RANGAN ; Gkillas (Gillas), Konstantinos ; Bouri, Elie. In: Working Papers. RePEc:pre:wpaper:201939.

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2019Moments-Based Spillovers across Gold and Oil Markets. (2019). Wang, Shixuan ; GUPTA, RANGAN ; Marco, Chi Keung ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:201966.

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2019Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests. (2019). Pierdzioch, Christian ; GUPTA, RANGAN ; Demirer, Riza ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:201972.

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2019The impact of central clearing on the market for single-name credit default swaps. (2019). 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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2019Testing the effect of technical analysis on market quality and order book dynamics. (2019). Petitjean, Mikael ; Mazza, Paolo. In: Applied Economics. RePEc:taf:applec:v:51:y:2019:i:18:p:1947-1976.

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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). Zhou, Jie ; Wu, Shuai ; Zhu, Zhican ; Jian, Zhihong. 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.
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2010Volatility regimes and liquidity co-movements in cap-based portfolios In: Finance.
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2010Volatility regimes and liquidity co-movements in cap-based portfolios.(2010) In: CORE Discussion Papers RP.
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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: CORE Discussion Papers.
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2006International stock return predictability: statistical evidence and economic significance In: CORE Discussion Papers.
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2006The information content of the Bond-Equity Yield Ratio: better than a random walk? In: CORE Discussion Papers.
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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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2006Short-term market timing using the Bond-Equity Yield Ratio In: CORE Discussion Papers.
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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.
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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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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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2012Liquidity and CDS premiums on European companies around the Subprime crisis In: CORE Discussion Papers RP.
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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: CORE Discussion Papers RP.
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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: CORE Discussion Papers RP.
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2015How integrated is the European carbon derivatives market? In: CORE Discussion Papers RP.
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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: CORE Discussion Papers RP.
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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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