6
H index
2
i10 index
190
Citations
Lille Économie et Management (LEM) (66% share) | 6 H index 2 i10 index 190 Citations RESEARCH PRODUCTION: 15 Articles 30 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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: |
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 |
Year | Title of citing document |
---|---|
2021 | Impact 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. Full description at Econpapers || Download paper |
2021 | Pattern 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Predicting 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | Are 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. Full description at Econpapers || Download paper |
2021 | Market 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Fundamental 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2022 | Stock 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. Full description at Econpapers || Download paper |
2022 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | OPEC 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. Full description at Econpapers || Download paper |
2022 | Futures 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | Dynamics 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. Full description at Econpapers || Download paper |
2021 | Bullish 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. Full description at Econpapers || Download paper |
2021 | Uncertainty 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. Full description at Econpapers || Download paper |
2021 | Forecasting 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. Full description at Econpapers || Download paper |
2021 | El 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. Full description at Econpapers || Download paper |
2021 | Regional Carbon Markets in China: Cointegration and Heterogeneity. (2021). Lyu, Chenyan. In: Working Papers. RePEc:hhs:cbsnow:2021_013. Full description at Econpapers || Download paper |
2022 | Arbitrage constraints and behaviour of volatility components: Evidence from a natural experiment. (2022). Jacob, Joshy ; Srivastava, Pranjal. In: IIMA Working Papers. RePEc:iim:iimawp:14685. Full description at Econpapers || Download paper |
2021 | Dynamics 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. Full description at Econpapers || Download paper |
2021 | Investor 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. Full description at Econpapers || Download paper |
2021 | Exchange Rate Jumps and Geopolitical Risks. (2021). GUPTA, RANGAN ; Vortelinos, Dimitrios ; Konstantatos, Christoforos ; Gkillas, Konstantinos. In: Working Papers. RePEc:pre:wpaper:202171. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2022 | Climate Risks and State-Level Stock-Market Realized Volatility. (2022). Cepni, Oguzhan ; Gupta, Rangan ; Pierdzioch, Christian ; Bonato, Matteo. In: Working Papers. RePEc:pre:wpaper:202246. Full description at Econpapers || Download paper |
2022 | Business 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. Full description at Econpapers || Download paper |
2022 | The 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. Full description at Econpapers || Download paper |
2021 | Is 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2021 | Realized 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. Full description at Econpapers || Download paper |
2022 | A 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. Full description at Econpapers || Download paper |
2021 | Predicting 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. Full description at Econpapers || Download paper |
2022 | Unprofitability 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. Full description at Econpapers || Download paper |
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: LIDAM Reprints CORE. [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: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 1 |
2006 | International stock return predictability: statistical evidence and economic significance In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 3 |
2006 | The information content of the Bond-Equity Yield Ratio: better than a random walk? In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 2 |
2007 | The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: LIDAM Reprints CORE. [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: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 6 |
2009 | Short-term market timing using the bond-equity yield ratio.(2009) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | 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: 6 | article | |
2006 | Market-wide liquidity co-movements, volatility regimes and market cap sizes In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
2010 | Trading activity, realized volatility and jumps In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 92 |
2010 | Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 92 | article | |
2011 | On the statistical and economic performance of stock return predictive regression models: an international perspective In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 9 |
2011 | On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: LIDAM Reprints CORE. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | 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: 9 | article | |
2012 | Liquidity and CDS premiums on European companies around the Subprime crisis In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 8 |
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: 8 | article | |
2013 | The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks In: LIDAM Reprints CORE. [Citation analysis] | paper | 7 |
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: 7 | article | |
2014 | Testing the profitability of contrarian trading strategies based on the overreaction hypothesis In: LIDAM Reprints CORE. [Citation analysis] | paper | 0 |
2015 | How integrated is the European carbon derivatives market? In: LIDAM Reprints CORE. [Citation analysis] | paper | 5 |
2015 | How integrated is the European carbon derivatives market?.(2015) In: Finance Research Letters. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
2015 | How integrated is the European carbon derivatives market?.(2015) In: Post-Print. [Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
2016 | On the usefuleness of intraday price ranges to Gauge liquidity in cap-based portfolios In: LIDAM Reprints CORE. [Citation analysis] | paper | 2 |
2016 | On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios.(2016) In: Economic Modelling. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | article | |
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: 2 | 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 | 43 |
2013 | Bank failures and regulation: a critical review In: Journal of Financial Regulation and Compliance. [Full Text][Citation analysis] | article | 4 |
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 | 3 |
2011 | The performance of popular stochastic volatility option pricing models during the subprime crisis In: Applied Financial Economics. [Full Text][Citation analysis] | article | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated January, 6 2023. Contact: CitEc Team