Christophe Perignon : Citation Profile

Are you Christophe Perignon?

HEC Paris (École des Hautes Études Commerciales)

15

H index

21

i10 index

1105

Citations

RESEARCH PRODUCTION:

24

Articles

68

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 50
   Journals where Christophe Perignon has often published
   Relations with other researchers
   Recent citing documents: 63.    Total self citations: 15 (1.34 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe841
   Updated: 2024-01-16    RAS profile: 2021-11-30    
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Relations with other researchers

Works with:

Hurlin, Christophe (9)

Isakov, Dusan (2)

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

Is cited by:

Jimenez-Martin, Juan (21)

Pérez-Amaral, Teodosio (17)

Hurlin, Christophe (13)

Danielsson, Jon (11)

Maillet, Bertrand (11)

Urga, Giovanni (10)

Diebold, Francis (9)

Andersen, Torben (9)

Bollerslev, Tim (9)

Schreyer, Dominik (9)

Scaillet, Olivier (8)

Cites to:

Caballero, Ricardo (10)

Kupiec, Paul (10)

Hirtle, Beverly (9)

Gourinchas, Pierre-Olivier (7)

Vermaelen, Theo (7)

Engle, Robert (7)

cotter, john (7)

Bollerslev, Tim (6)

Hall, Maximilian (6)

KRISHNAMURTHY, ARVIND (6)

Hamermesh, Daniel (6)

Main data

Where Christophe Perignon has published?

Journals with more than one article published# docs
Journal of Banking & Finance8
Journal of Finance2
Review of Finance2
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
Post-Print / HAL29
Working Papers / HAL18
FAME Research Paper Series / International Center for Financial Asset Management and Engineering2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
FSES Working Papers / Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland2

Recent works citing Christophe Perignon (2024 and 2023)

YearTitle of citing document
2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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2023Ruin Probabilities for Risk Processes in Stochastic Networks. (2023). Sulem, Agnes ; Minca, Andreea ; Cao, Zhongyuan ; Amini, Hamed. In: Papers. RePEc:arx:papers:2302.06668.

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2023Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030.

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2023The Dark Side of Algorithms? The Effect of Recommender Systems on Online Investor Behaviors. (2023). Hu, Yu Jeffrey ; He, Cheng ; Zhu, Ruiqi Rich. In: Papers. RePEc:arx:papers:2303.14263.

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2023Stablecoins and the Financing of the Real Economy. (2023). Nguyen, Benoit ; Gardin, Paul ; Barthelemy, Jean. In: Working papers. RePEc:bfr:banfra:908.

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2023Swing Pricing et dynamique des flux au regard de la crise Covid-19. (2023). Garcia, Thomas ; Baena, Antoine. In: Working papers. RePEc:bfr:banfra:914.

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2023Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: BIS Working Papers. RePEc:bis:biswps:1085.

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2023Do banks practice what they preach? Brown lending and environmental disclosure in the euro area. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Scannella, Enzo ; Polizzi, Salvatore. In: BIS Working Papers. RePEc:bis:biswps:1143.

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2023Consuming Contests: The Effect of Outcome Uncertainty on Spectator Attendance in the Australian Football League. (2023). Lakhani, Karim R ; Ferguson, Patrick J. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:326:p:410-435.

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2023The ring-fencing bonus. (2023). Thanassoulis, John ; Neamtu, Ioana ; Erten, Irem. In: Bank of England working papers. RePEc:boe:boeewp:0999.

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2023.

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2023Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: Working Paper Series. RePEc:ecb:ecbwps:20232796.

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2023Do banks practice what they preach? Brown lending and environmental disclosure in the euro area. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Scannella, Enzo ; Polizzi, Salvatore. In: Working Paper Series. RePEc:ecb:ecbwps:20232872.

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2023Intermediaries’ substitutability and financial network resilience: A hyperstructure approach. (2023). Ugolini, Stefano ; Lucena-Piquero, Delio ; Accominotti, Olivier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001069.

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2023Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070.

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2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2023Competitive intensity and industry performance of professional sports. (2023). Guironnet, Jean-Pascal. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002535.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

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2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

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2023Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market. (2023). Amenounve, Edoh ; Soumare, Issouf ; Kanga, Desire. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000365.

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2023Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378.

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2023The systemic risk of US oil and natural gas companies. (2023). Panzica, Roberto ; Fontini, Fulvio ; Caporin, Massimiliano. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001482.

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2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767.

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2023Explain systemic risk of commodity futures market by dynamic network. (2023). Zhang, Zuominyang ; Wang, Tianqi ; Lin, Jianwu ; Huang, KE ; He, Chengying. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746.

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2023Can CoCo-bonds mitigate systemic risk?. (2023). Petras, Matthias ; Kund, Arndt-Gerrit. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002028.

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2023Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617.

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2023Dynamic spillover and systemic importance analysis of global clean energy companies: A tail risk network perspective. (2023). Xing, Xiaoyun ; Zheng, Huike ; Deng, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003628.

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2023Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. (2023). Goldman, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004002.

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2023Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap. (2023). Koetter, Michael ; Wagner, Konstantin ; Colonnello, Stefano. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000994.

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2023Impact of systemic risk regulation on optimal policies and asset prices. (2023). Cui, Xuecan ; Bernard, Carole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002011.

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2023The network and own effects of global-systemically-important-bank designations. (2023). Egger, Peter ; Zhu, Jiaqing ; Li, Jie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000803.

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2023Dividend taxes and corporate choice: Evidence from 2015 tax cut in South Korea. (2023). Park, Saeyeul S ; Lee, Seung Chul. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000495.

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2023Risk spillovers in global financial markets: Evidence from the COVID-19 crisis. (2023). Zhao, Yang ; Shao, Zhiquan ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:821-840.

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2023Measurement and prediction of systemic risk in China’s banking industry. (2023). Zhao, Yue ; Lee, Chien-Chiang ; Zhang, Xinsong. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002604.

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2023Financial market spillovers and macroeconomic shocks: Evidence from China. (2023). Guo, Kun ; Wu, Jie ; Liu, Yue ; Feng, Haoyuan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000879.

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2023Wholesale funding and bank stability: The impact of economic policy uncertainty. (2023). Nguyen, Thanh Cong. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923001162.

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2023Bank Risk Literature (1978–2022): A Bibliometric Analysis and Research Front Mapping. (2023). , Abdallah ; Omran, Mohamed ; Khatatbeh, Ibrahim N ; Abdelwahed, Ahmed S ; Marie, Mohamed ; Qi, Baolei. In: Sustainability. RePEc:gam:jsusta:v:15:y:2023:i:5:p:4508-:d:1086194.

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2023Intermediaries’ Substitutability and Financial Network Resilience: A Hyperstructure Approach. (2023). Ugolini, Stefano ; Lucena-Piquero, Delio ; Accominotti, Olivier. In: Post-Print. RePEc:hal:journl:hal-04160805.

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2023Market Freeze and Bank Capital Structure Heterogeneity. (2023). Thakor, Anjan V ; Song, Fenghua. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:3:p:1856-1876.

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2023Bank Consolidation and Systemic Risk: M&A During the 2008 Financial Crisis. (2023). Senel, Gonca ; Maslak, Gregory D. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:63:y:2023:i:2:d:10.1007_s10693-022-00380-5.

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2023Macroeconomic Effects of Dividend Taxation with Investment Credit Limits. (2023). Zilberman, Roy ; Ghilardi, Matteo. In: Working Papers. RePEc:lan:wpaper:387012802.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Greiner, Ben ; Fišar, Miloš ; Reproducibility, Management Science ; Katok, Elena ; Fiar, Milo. In: OSF Preprints. RePEc:osf:osfxxx:mydzv.

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2023Measuring Systemic Risk Using Multivariate Quantile-Located ES Models*. (2023). Sanchis-Marco, Lidia ; Garcia-Jorcano, Laura. In: The Journal of Financial Econometrics. RePEc:oup:jfinec:v:21:y:2023:i:1:p:1-72..

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2023Safe Asset Carry Trade. (2023). Ranaldo, Angelo ; Ballensiefen, Benedikt. In: The Review of Asset Pricing Studies. RePEc:oup:rasset:v:13:y:2023:i:2:p:223-265..

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2023Search-Based Peer Groups and Commonality in Liquidity*. (2023). Snow, Neal M ; Chung, Dennis Y ; Brockman, Paul. In: Review of Finance. RePEc:oup:revfin:v:27:y:2023:i:1:p:33-77..

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2023Interest rate risk of Chinese commercial banks based on the GARCH-EVT model. (2023). Shan, Zhangming ; Chen, Xin ; Boamah, Valentina ; Zhou, Biao ; Tang, Decai. In: Palgrave Communications. RePEc:pal:palcom:v:10:y:2023:i:1:d:10.1057_s41599-023-02321-6.

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2023Risk measures-based cluster methods for finance. (2023). Righi, Marcelo Brutti ; Muller, Fernanda Maria ; Guedes, Pablo Cristini. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:1:d:10.1057_s41283-022-00110-0.

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2023Assessing and forecasting the market risk of bank securities holdings: a data-driven approach. (2023). Bianchi, Michele Leonardo. In: Risk Management. RePEc:pal:risman:v:25:y:2023:i:4:d:10.1057_s41283-023-00131-3.

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2023Dynamic dependencies and return connectedness among stock, gold and Bitcoin markets: Evidence from South Asia and China. (2023). Ahmed, Abdullahi D ; Lu, Ran ; Zeng, Hongjun. In: Equilibrium. Quarterly Journal of Economics and Economic Policy. RePEc:pes:ierequ:v:18:y:2023:i:1:p:49-87.

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2023Systemic Risk Transmission from the United States to Asian Economies During the COVID-19 Period. (2023). Kumar, Dilip ; Narayan, Shivani. In: Journal of Emerging Market Finance. RePEc:sae:emffin:v:22:y:2023:i:1:p:57-84.

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2023Fintech: A content analysis of the finance and information systems literature. (2023). Tran, Arthur M ; Valentine, Randall ; Corley, Ken J ; Jourdan, Zack. In: Electronic Markets. RePEc:spr:elmark:v:33:y:2023:i:1:d:10.1007_s12525-023-00624-9.

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2023Quantifying interconnectedness and centrality ranking among financial institutions with TVP-VAR framework. (2023). Zhou, Wei-Xing ; Jawadi, Fredj ; Xu, Hai-Chuan. In: Empirical Economics. RePEc:spr:empeco:v:65:y:2023:i:1:d:10.1007_s00181-022-02338-x.

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2023.

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2023Reproducibility in Management Science. (2023). Ozkes, Ali ; Huber, Christoph ; Reproducibility, Management Science ; Katok, Elena ; Greiner, Ben ; Fiar, Milo. In: Department for Strategy and Innovation Working Paper Series. RePEc:wiw:wus055:57814527.

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2023Banks of a feather: The informational advantage of being alike. (2023). von Westernhagen, Natalja ; Schultz, Alison ; Dinger, Valeriya ; Bednarek, Peter. In: Discussion Papers. RePEc:zbw:bubdps:092023.

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2023A topic modeling perspective on investor uncertainty. (2023). Seifert, Oleg ; Schnaubelt, Matthias ; Ortiz, Daniel Perico. In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:042023.

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Works by Christophe Perignon:

YearTitleTypeCited
2002Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion In: European Financial Management.
[Full Text][Citation analysis]		article13
2002Extracting information from options markets : smiles, state-price densities and risk-aversion.(2002) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 13		paper
2018Wholesale Funding Dry?Ups In: Journal of Finance.
[Full Text][Citation analysis]		article56
2017Wholesale Funding Dry-Ups.(2017) In: HEC Research Papers Series.
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This paper has nother version. Agregated cites: 56		paper
2017Wholesale funding dry-ups.(2017) In: ESRB Working Paper Series.
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This paper has nother version. Agregated cites: 56		paper
2021The Private Production of Safe Assets In: Journal of Finance.
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2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 13		paper
2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 13		paper
2017The Private Production of Safe Assets.(2017) In: HEC Research Papers Series.
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This paper has nother version. Agregated cites: 13		paper
2013Derivatives Clearing, Default Risk, and Insurance In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article21
2013Derivatives Clearing, Default Risk, and Insurance.(2013) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2019Machine learning et nouvelles sources de données pour le scoring de crédit In: Revue d'économie financière.
[Full Text][Citation analysis]		article5
2019Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: Working Papers.
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This paper has nother version. Agregated cites: 5		paper
2019Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: LEO Working Papers / DR LEO.
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This paper has nother version. Agregated cites: 5		paper
2009Commonality in Liquidity: A Global Perspective In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article102
2009Commonality in Liquidity: A Global Perspective.(2009) In: Post-Print.
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This paper has nother version. Agregated cites: 102		paper
2017CoMargin In: Journal of Financial and Quantitative Analysis.
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2015CoMargin.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2013Systemic Risk Score: A Suggestion In: HEC Research Papers Series.
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2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2014The Collateral Risk of ETFs In: HEC Research Papers Series.
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2015Where the Risks Lie: A Survey on Systemic Risk In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper234
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 234		paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 234		paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
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2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Review of Finance.
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This paper has nother version. Agregated cites: 234		article
2019The counterparty risk exposure of ETF investors In: Journal of Banking & Finance.
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2014The Counterparty Risk Exposure of ETF Investors.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 4		paper
2001Evolution of market uncertainty around earnings announcements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2000Evolution of Market Uncertainty around Earnings Announcements.(2000) In: FAME Research Paper Series.
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This paper has nother version. Agregated cites: 15		paper
1999Evolution of Market Uncertainty around Earnings Announcements..(1999) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2007Yield-factor volatility models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2007Yield-factor volatility models.(2007) In: Post-Print.
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This paper has nother version. Agregated cites: 7		paper
2008Do banks overstate their Value-at-Risk? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article61
2008Do banks overstate their Value-at-Risk?.(2008) In: Post-Print.
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This paper has nother version. Agregated cites: 61		paper
2010Diversification and Value-at-Risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article38
2010Diversification and Value-at-Risk.(2010) In: Post-Print.
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This paper has nother version. Agregated cites: 38		paper
2010The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article132
2009The Level and Quality of Value-at-Risk Disclosure by Commercial Banks.(2009) In: Post-Print.
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This paper has nother version. Agregated cites: 132		paper
2010The level and quality of Value-at-Risk disclosure by commercial banks.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 132		paper
2011The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance.
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2010The pernicious effects of contaminated data in risk management.(2010) In: Post-Print.
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This paper has nother version. Agregated cites: 4		paper
2011The Pernicious Effects of Contaminated Data in Risk Management.(2011) In: Post-Print.
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This paper has nother version. Agregated cites: 4		paper
2013The Risk Map: A new tool for validating risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article27
2012The Risk Map: A New Tool for Validating Risk Models.(2012) In: Working Papers.
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This paper has nother version. Agregated cites: 27		paper
2008How common are common return factors across the NYSE and Nasdaq? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article15
2008How common are common return factors across NYSE and Nasdaq?.(2008) In: Post-Print.
[Citation analysis]
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2019Pitfalls in systemic-risk scoring In: Journal of Financial Intermediation.
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2019Pitfalls in systemic-risk scoring.(2019) In: Post-Print.
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2017Pitfalls in Systemic-Risk Scoring.(2017) In: Working Papers.
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2007Why common factors in international bond returns are not so common In: Journal of International Money and Finance.
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2005Repurchasing Shares on a Second Trading Line In: FAME Research Paper Series.
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2005Repurchasing Shares on a Second Trading Line.(2005) In: FSES Working Papers.
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2007Repurchasing Shares on a Second Trading Line.(2007) In: Post-Print.
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2019What if dividends were tax-exempt? Evidence from a natural experiment In: FSES Working Papers.
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2020What If Dividends Were Tax?Exempt? Evidence from a Natural Experiment.(2020) In: Working Papers.
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1999On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective. In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
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2000On the dynamic interdependence of international stock markets: A Swiss perspective.(2000) In: Swiss Journal of Economics and Statistics (SJES).
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2008Impact of Overwhelming Joy on Consumer Demand In: Post-Print.
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2009Marchés Financiers: Gestion de portefeuille et des risques In: Post-Print.
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2009Marchés financiers, gestion de portefeuilles et des risques.(2009) In: Post-Print.
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2009Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data In: Post-Print.
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2010La gestion des risques fait sa révolution In: Post-Print.
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2011Clearing house, margin requirements, and systemic risk In: Post-Print.
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2011Clearing house, margin requirements, and systemic risk.(2011) In: Post-Print.
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2008Representative yield curve shocks and stress testing In: Post-Print.
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2012Representative Yield Curve Shocks and Stress Testing.(2012) In: Post-Print.
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2008A New Approach to Comparing VaR Estimation Methods In: Post-Print.
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2015Implied Risk Exposures In: Post-Print.
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2014Implied Risk Exposures.(2014) In: Working Papers.
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2015Implied Risk Exposures.(2015) In: Review of Finance.
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2004Component Proponents II In: Post-Print.
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2002Component Proponents.(2002) In: Post-Print.
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2002Estimation empirique de laversion au risque : lapport des marchés doptions In: Post-Print.
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2006Sources of time variation in the covariance matrix of interest rates In: Post-Print.
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2006Sources of Time Variation in the Covariance Matrix of Interest Rates.(2006) In: The Journal of Business.
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2015Wholesale Funding Runs In: Working Papers.
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2011Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local Authorities In: Working Papers.
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2019A Theoretical and Empirical Comparison of Systemic Risk Measures In: Working Papers.
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2013A Theoretical and Empirical Comparison of Systemic Risk Measures.(2013) In: Working Papers.
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2020Reproducibility Certification in Economics Research In: Working Papers.
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2012RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results In: Working Papers.
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2012Margin Backtesting In: Working Papers.
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2021Non-Standard Errors In: Working Papers.
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2017The Political Economy of Financial Innovation: Evidence from Local Governments In: Review of Financial Studies.
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2000Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports In: Applied Economics.
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