Christophe Perignon : Citation Profile


Are you Christophe Perignon?

HEC Paris (École des Hautes Études Commerciales)

16

H index

19

i10 index

810

Citations

RESEARCH PRODUCTION:

21

Articles

59

Papers

RESEARCH ACTIVITY:

   19 years (1999 - 2018). See details.
   Cites by year: 42
   Journals where Christophe Perignon has often published
   Relations with other researchers
   Recent citing documents: 159.    Total self citations: 15 (1.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe841
   Updated: 2020-02-16    RAS profile: 2019-07-01    
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Relations with other researchers


Works with:

Hurlin, Christophe (16)

Colliard, Jean-Edouard (5)

thesmar, david (4)

Kacperczyk, Marcin (3)

Harris, Jeffrey (2)

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

Is cited by:

McAleer, Michael (34)

Jimenez-Martin, Juan (27)

perez-amaral, teodosio (21)

Danielsson, Jon (13)

Maillet, Bertrand (13)

Ruiz, Esther (12)

Christoffersen, Peter (12)

Hammoudeh, Shawkat (12)

Chang, Chia-Lin (11)

Bollerslev, Tim (11)

Diebold, Francis (11)

Cites to:

Christoffersen, Peter (11)

Hirtle, Beverly (9)

Vermaelen, Theo (7)

Engle, Robert (7)

cotter, john (7)

Kupiec, Paul (6)

Hall, Maximilian (6)

Campbell, John (6)

Pelletier, Denis (5)

Vissing-Jorgensen, Annette (5)

Smith, Daniel (5)

Main data


Where Christophe Perignon has published?


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

Working Papers Series with more than one paper published# docs
Post-Print / HAL27
Working Papers / HAL14
FAME Research Paper Series / International Center for Financial Asset Management and Engineering2

Recent works citing Christophe Perignon (2019 and 2018)


YearTitle of citing document
2018The dynamics of factor loadings in the cross-section of returns. (2018). Urga, Giovanni ; Mikkelsen, Jakob ; Hillebrand, Eric ; Borghi, Riccardo. In: CREATES Research Papers. RePEc:aah:create:2018-38.

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2017The Economic Consequences of Social-Network Structure. (2017). Zenou, Yves ; Jackson, Matthew ; Rogers, Brian W. In: Journal of Economic Literature. RePEc:aea:jeclit:v:55:y:2017:i:1:p:49-95.

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2019On a robust risk measurement approach for capital determination errors minimization. (2019). Righi, Marcelo Brutti. In: Papers. RePEc:arx:papers:1707.09829.

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2019Spectral backtests of forecast distributions with application to risk management. (2019). Gordy, Michael ; McNeil, Alexander J ; Lok, Hsiao Yen . In: Papers. RePEc:arx:papers:1708.01489.

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2018An SPDE Model for Systemic Risk with Endogenous Contagion. (2018). Sojmark, Andreas ; Hambly, Ben. In: Papers. RePEc:arx:papers:1801.10088.

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2018Understanding Flash Crash Contagion and Systemic Risk: A Micro-Macro Agent-Based Approach. (2018). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Papers. RePEc:arx:papers:1805.08454.

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2019SlideVaR: a risk measure with variable risk attitudes. (2019). Hu, Wentao. In: Papers. RePEc:arx:papers:1907.11855.

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2019Virtual Historical Simulation for estimating the conditional VaR of large portfolios. (2019). Francq, Christian ; Zakoian, Jean-Michel. In: Papers. RePEc:arx:papers:1909.04661.

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2017Trading Fees and Intermarket Competition. (2017). Werner, Ingrid M ; Rindi, Barbara ; Panayides, Marios. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1751.

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2018The redistributive effects of bank capital regulation. (2018). Petriconi, Silvio ; Marquez, Roberto ; Carletti, Elena. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp18102.

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2018Seeking Safety. (2018). Perotti, Enrico ; Ahnert, Toni. In: Staff Working Papers. RePEc:bca:bocawp:18-41.

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2018Interconnectedness, Firm Resilience and Monetary Policy. (2018). Tabak, Benjamin ; Silva, Thiago ; da Silva, Michel Alexandre ; Guerra, Solange Maria. In: Working Papers Series. RePEc:bcb:wpaper:478.

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2018A Survey of Systemic Risk Indicators. (2018). Rogantini Picco, Anna ; Di Cesare, Antonio. In: Questioni di Economia e Finanza (Occasional Papers). RePEc:bdi:opques:qef_458_18.

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2018Listening to the buzz: social media sentiment and retail depositors trust. (2018). Moscatelli, Mirko ; Accornero, Matteo. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1165_18.

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2018Always look on the bright side? Central counterparties and interbank markets during the financial crisis. (2018). Affinito, Massimiliano ; Piazza, Matteo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1181_18.

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2017Illiquid Collateral and Bank Lending during the European Sovereign Debt Crisis. (2017). Nguyen, Benoît ; Bignon, Vincent ; Barthélemy, Jean. In: Working papers. RePEc:bfr:banfra:631.

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2018Monetary Policy and Collateral Constraints since the European Debt Crisis. (2018). Nguyen, Benoît ; Bignon, Vincent ; Barthélemy, Jean ; Barthelemy, J. In: Working papers. RePEc:bfr:banfra:669.

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2018Monetary Policy and Long-Run Systemic Risk-Taking. (2018). Popescu, Alexandra ; Levieuge, Gregory ; Colletaz, Gilbert. In: Working papers. RePEc:bfr:banfra:694.

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2019Central counterparty exposure in stressed markets. (2019). Yu, Shihao ; Menkveld, Albert ; Huang, Wenqian. In: BIS Working Papers. RePEc:bis:biswps:833.

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2018Systemic Risk and Financial Fragility in the Chinese Economy: A Dynamic Factor Model Approach. (2018). Vasilenko, Alexey. In: Bank of Russia Working Paper Series. RePEc:bkr:wpaper:wps30.

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2017The Future of Money: Liquidity co-movement between financial institutions and real estate firms: evidence from China. (2017). Xie, RU ; Williams, Jonathan ; Huang, Sheng. In: Working Papers. RePEc:bng:wpaper:17004.

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2019Taking regulation seriously: fire sales under solvency and liquidity constraints. (2019). lepore, caterina ; Schaanning, Eric ; Coen, Jamie. In: Bank of England working papers. RePEc:boe:boeewp:0793.

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2018Testing the systemic risk differences in banks. (2018). Jokivuolle, Esa ; Vioto, Davide ; Tunaru, Radu. In: Research Discussion Papers. RePEc:bof:bofrdp:2018_013.

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2018Did the Basel process of capital regulation enhance the resiliency of European Banks?. (2018). Gehrig, Thomas ; Iannino, Maria Chiara . In: Research Discussion Papers. RePEc:bof:bofrdp:2018_016.

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2017Measuring the systemic importance of banks. (2017). Sakellaris, Plutarchos ; Moratis, George. In: Working Papers. RePEc:bog:wpaper:240.

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2018Finance, Talent Allocation, and Growth. (2018). Frsard, Laurent ; D'Acunto, Francesco. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6883.

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2018Have Capital Market Anomalies Worldwide Attenuated in the Recent Era of High Liquidity and Trading Activity?. (2018). Rottmann, Horst ; Auer, Benjamin R. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7204.

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2017Disentangling the relationship between liquidity and returns in Latin America. (2017). Taborda, Rodrigo ; French, Joseph. In: Documentos CEDE. RePEc:col:000089:015606.

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2017Regulatory arbitrage and the efficiency of banking regulation. (2017). Boyer, Pierre ; Kempf, Hubert. In: Working Papers. RePEc:crs:wpaper:2017-06.

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2019A multi-agent methodology to assess the effectiveness of alternative systemic risk adjusted capital requirements. (2019). Gurgone, A ; Iori, G. In: Working Papers. RePEc:cty:dpaper:19/05.

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2017SenSR: A sentiment-based systemic risk indicator. (2017). Rustige, Jordi ; Lammers, Philip ; Garmaev, Evgeny ; Borovkova, Svetlana. In: DNB Working Papers. RePEc:dnb:dnbwpp:553.

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2017Illiquid Collateral and Bank Lending during the European Sovereign Debt Crisis. (2017). Nguyen, Benoît ; Bignon, Vincent ; Barthélemy, Jean. In: EconomiX Working Papers. RePEc:drm:wpaper:2017-21.

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2019Time-Varying General Dynamic Factor Models and the Measurement of Financial Connectedness. (2019). Soccorsi, Stefano ; Hallin, Marc ; Barigozzi, Matteo. In: Working Papers ECARES. RePEc:eca:wpaper:2013/283963.

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2019Anticipating the bust: a new cyclical systemic risk indicator to assess the likelihood and severity of financial crises. (2019). Lang, Jan Hannes ; Ruzicka, Josef ; Fahr, Stephan ; Izzo, Cosimo. In: Occasional Paper Series. RePEc:ecb:ecbops:2019219.

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2019Macroprudential policy at the ECB: Institutional framework, strategy, analytical tools and policies. (2019). Fell, John ; Altimar, Sergio Nicoletti ; Constancio, Vitor ; Salleo, Carmelo ; Pires, Fatima ; Kapadia, Sujit ; Hiebert, Paul ; Henry, Jerome ; Detken, Carsten ; Cabral, Ines. In: Occasional Paper Series. RePEc:ecb:ecbops:2019227.

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2017Financial transaction taxes, market composition, and liquidity. (2017). Hoffmann, Peter ; Colliard, Jean-Edouard. In: Working Paper Series. RePEc:ecb:ecbwps:20172030.

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2017On collateral: implications for financial stability and monetary policy. (2017). Hoerova, Marie ; Heider, Florian ; Corradin, Stefano. In: Working Paper Series. RePEc:ecb:ecbwps:20172107.

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2019Does liquidity regulation impede the liquidity profile of collateral?. (2019). Schmidt, Kirsten. In: Working Paper Series. RePEc:ecb:ecbwps:20192256.

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2019Behind the scenes of the beauty contest: window dressing and the G-SIB framework. (2019). Wedow, Michael ; Parisi, Laura ; Mangiante, Giacomo ; Behn, Markus. In: Working Paper Series. RePEc:ecb:ecbwps:20192298.

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2019Understanding flash crash contagion and systemic risk: A micro–macro agent-based approach. (2019). Wooldridge, Michael ; Calinescu, Anisoara ; Paulin, James. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:200-229.

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2018Monetary policy and long-run systemic risk-taking. (2018). LEVIEUGE, Gregory ; Popescu, Alexandra ; Colletaz, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:165-184.

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2017Sovereign debt and systemic risk in the eurozone. (2017). Popescu, Alexandra ; Turcu, Camelia. In: Economic Modelling. RePEc:eee:ecmode:v:67:y:2017:i:c:p:275-284.

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2018Systemic risk in the US: Interconnectedness as a circuit breaker. (2018). Dungey, Mardi ; Veredas, David ; Luciani, Matteo. In: Economic Modelling. RePEc:eee:ecmode:v:71:y:2018:i:c:p:305-315.

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2019A key determinant of commodity price Co-movement: The role of daily market liquidity. (2019). Scheffel, Eric M ; Ding, Shusheng ; Zhang, Yongmin. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:170-180.

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2019International trade, foreign direct investments, and firms’ systemic risk : Evidence from the Netherlands. (2019). Braekers, Roel ; Vancauteren, Mark ; van Cauwenberge, Annelies ; Vandemaele, Sigrid . In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:361-386.

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2017Liquidity Commonality in Foreign Exchange Markets During the Global Financial Crisis and the Sovereign Debt Crisis: Effects of Macroeconomic and Quantitative Easing Announcements. (2017). Gau, Yin-Feng ; Hsu, Chih-Chiang ; Chang, Ya-Ting. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:172-192.

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2017Determinants of commonality in liquidity: Evidence from an order-driven emerging market. (2017). Goyal, Abhinav ; Wadhwa, Kavita ; Syamala, Sudhakara Reddy. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:38-52.

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2018Effect of banking and macroeconomic variables on systemic risk: An application of ΔCOVAR for an emerging economy. (2018). de Mendonça, Helder ; da Silva, Rafael Bernardo ; de Mendona, Helder Ferreira ; deMendona, Helder Ferreira . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:141-157.

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2018Foreign equity flows: Boon or bane to the liquidity of Malaysian stock market?. (2018). Lim, Kian-Ping ; Goh, Kim-Leng ; Liew, Ping-Xin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:45:y:2018:i:c:p:161-181.

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2019A brief survey on the choice of parameters for: “Kernel density estimation for time series data”. (2019). Oneill, Robert ; Semeyutin, Artur. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304376.

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2018Stock liquidity and ownership structure during and after the 2008 Global Financial Crisis: Empirical evidence from an emerging market. (2018). Hai, Ly Thi ; Tran, Hoa Xuan ; Phuong, Thao Thi. In: Emerging Markets Review. RePEc:eee:ememar:v:37:y:2018:i:c:p:114-133.

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2019Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions. (2019). Zhu, Xiaoqian ; Li, Jianping ; Yao, Yanzhen. In: Emerging Markets Review. RePEc:eee:ememar:v:40:y:2019:i:c:2.

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2017Multiple risk measures for multivariate dynamic heavy–tailed models. (2017). Bernardi, Mauro ; Petrella, Lea ; Maruotti, Antonello. In: Journal of Empirical Finance. RePEc:eee:empfin:v:43:y:2017:i:c:p:1-32.

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2018Measuring long-term tail risk: Evaluating the performance of the square-root-of-time rule. (2018). Wang, Jying-Nan ; Hsu, Yuan-Teng ; Du, Jiangze. In: Journal of Empirical Finance. RePEc:eee:empfin:v:47:y:2018:i:c:p:120-138.

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2019Forecasting the joint distribution of Australian electricity prices using dynamic vine copulae. (2019). Pourkhanali, Armin ; Alavifard, Farzad ; Manner, Hans ; Tafakori, Laleh. In: Energy Economics. RePEc:eee:eneeco:v:78:y:2019:i:c:p:143-164.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2018Stock market liquidity and trading activity: Is China different?. (2018). Marshall, Ben ; Anderson, Hamish D. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:32-51.

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2019Pricing of time-varying illiquidity within the Eurozone: Evidence using a Markov switching liquidity-adjusted capital asset pricing model. (2019). Ozkan, Aydin ; Grillini, Stefano ; Sharma, Abhijit. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:145-158.

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2019Backtesting VaR and ES under the magnifying glass. (2019). Panopoulou, Ekaterini ; Argyropoulos, Christos. In: International Review of Financial Analysis. RePEc:eee:finana:v:64:y:2019:i:c:p:22-37.

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2018A simulation comparison of risk measures for portfolio optimization. (2018). Righi, Marcelo Brutti ; Borenstein, Denis. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:105-112.

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2018Investor sentiment and emerging stock market liquidity. (2018). Debata, Byomakesh ; Mahakud, Jitendra ; Dash, Saumya Ranjan. In: Finance Research Letters. RePEc:eee:finlet:v:26:y:2018:i:c:p:15-31.

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2019Commonality in ask-side vs. bid-side liquidity. (2019). Sensoy, Ahmet. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:198-207.

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2019How effective is the tail mean-variance model in the fund of fund selection? An empirical study using various risk measures. (2019). Wu, Xin ; Huang, Wenli ; Wang, Qiyu ; Zhang, Chao. In: Finance Research Letters. RePEc:eee:finlet:v:29:y:2019:i:c:p:239-244.

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2019The effect of non-traditional banking activities on systemic risk: Does bank size matter?. (2019). Kamani, Eric Fina. In: Finance Research Letters. RePEc:eee:finlet:v:30:y:2019:i:c:p:297-305.

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2019Sorting out the financials: Making economic sense out of statistical factors. (2019). Vidovi, Luka ; Lonarski, Igor. In: Finance Research Letters. RePEc:eee:finlet:v:31:y:2019:i:c:p:110-118.

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2017The determinants and pricing of liquidity commonality around the world. (2017). Moshirian, Fariborz ; Zhang, Bohui ; Ghee, Claudia Koon ; Qian, Xiaolin. In: Journal of Financial Markets. RePEc:eee:finmar:v:33:y:2017:i:c:p:22-41.

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2018The effects of conference call tones on market perceptions of value uncertainty. (2018). DeLisle, Jared ; Borochin, Paul A ; Price, Mckay S ; Cicon, James E. In: Journal of Financial Markets. RePEc:eee:finmar:v:40:y:2018:i:c:p:75-91.

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2018When are extreme daily returns not lottery? At earnings announcements!. (2018). Nguyen, Harvey ; Truong, Cameron. In: Journal of Financial Markets. RePEc:eee:finmar:v:41:y:2018:i:c:p:92-116.

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2017Firm size, ownership structure, and systematic liquidity risk: The case of an emerging market. (2017). Sensoy, Ahmet. In: Journal of Financial Stability. RePEc:eee:finsta:v:31:y:2017:i:c:p:62-80.

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2018Measuring systemic risk across financial market infrastructures. (2018). Li, Fu Chun ; Perez-Saiz, Hector. In: Journal of Financial Stability. RePEc:eee:finsta:v:34:y:2018:i:c:p:1-11.

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2018Bank capital, institutional environment and systemic stability. (2018). Mare, Davide Salvatore ; Demirguc-Kunt, Asli ; Demirgu-Kunt, Asli ; Anginer, Deniz. In: Journal of Financial Stability. RePEc:eee:finsta:v:37:y:2018:i:c:p:97-106.

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2018Bank lending and systemic risk: A financial-real sector network approach with feedback. (2018). Silva, Thiago ; Tabak, Benjamin Miranda ; da Silva, Michel. In: Journal of Financial Stability. RePEc:eee:finsta:v:38:y:2018:i:c:p:98-118.

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2018Systemic risk in a structural model of bank default linkages. (2018). Kreis, Yvonne. In: Journal of Financial Stability. RePEc:eee:finsta:v:39:y:2018:i:c:p:221-236.

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2018Performance ranking (dis)similarities in commodity markets. (2018). Zhang, Hanxiong ; Vortelinos, Dimitrios I ; Auer, Benjamin R. In: Global Finance Journal. RePEc:eee:glofin:v:35:y:2018:i:c:p:115-137.

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2018Disentangling the relationship between liquidity and returns in Latin America. (2018). Taborda, Rodrigo ; French, Joseph. In: Global Finance Journal. RePEc:eee:glofin:v:36:y:2018:i:c:p:23-40.

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2019Municipal financing costs following disasters. (2019). Kryzanowski, Lawrence ; Bourdeau-Brien, Michael. In: Global Finance Journal. RePEc:eee:glofin:v:40:y:2019:i:c:p:48-64.

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2019Conditional tail risk measures for the skewed generalised hyperbolic family. (2019). Landsman, Zinoviy ; Ignatieva, Katja. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:86:y:2019:i:c:p:98-114.

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2017Is there a competition-stability trade-off in European banking?. (2017). Lucotte, Yannick ; Leroy, Aurélien. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:46:y:2017:i:c:p:199-215.

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2019A new macro stress testing approach for financial realignment in the Eurozone. (2019). Apergis, Emmanuel. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:61:y:2019:i:c:p:52-80.

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2019What are the real effects of financial market liquidity? Evidence on bank lending from the euro area. (2019). Pliszka, Kamil ; Foos, Daniel ; Dombret, Andreas R ; Schulz, Alexander. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:152-183.

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2019Risk perceptions and international stock market liquidity. (2019). Marshall, Ben R ; Anderson, Hamish D. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:62:y:2019:i:c:p:94-116.

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2019Model risk of expected shortfall. (2019). Zhang, Ning ; Lazar, Emese. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:105:y:2019:i:c:p:74-93.

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2019Decomposing and backtesting a flexible specification for CoVaR. (2019). Paterlini, Sandra ; Caporin, Massimiliano ; Bonaccolto, Giovanni. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:108:y:2019:i:c:s0378426619302341.

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2018Multinomial VaR backtests: A simple implicit approach to backtesting expected shortfall. (2018). Lok, Yen ; McNeil, Alexander J ; Kratz, Marie. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:88:y:2018:i:c:p:393-407.

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2019“Too central to fail” systemic risk measure using PageRank algorithm. (2019). Jeong, Deokjong ; Yun, Tae-Sub ; Park, Sunyoung. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:162:y:2019:i:c:p:251-272.

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2019Have capital market anomalies worldwide attenuated in the recent era of high liquidity and trading activity?. (2019). Rottmann, Horst ; Auer, Benjamin R. In: Journal of Economics and Business. RePEc:eee:jebusi:v:103:y:2019:i:c:p:61-79.

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2017Efficiency and stability of a financial architecture with too-interconnected-to-fail institutions. (2017). Gofman, Michael . In: Journal of Financial Economics. RePEc:eee:jfinec:v:124:y:2017:i:1:p:113-146.

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2017Systemic risk in clearing houses: Evidence from the European repo market. (2017). thesmar, david ; Ors, Evren ; Derrien, Franois ; Boissel, Charles. In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:3:p:511-536.

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2018Micro(structure) before macro? The predictive power of aggregate illiquidity for stock returns and economic activity. (2018). Chen, Yong ; Paye, Bradley S ; Eaton, Gregory W. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:1:p:48-73.

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2018Corporate governance of banks and financial stability. (2018). Anginer, Deniz ; Ma, Kebin ; Huizinga, Harry ; Demirguc-Kunt, Asli. In: Journal of Financial Economics. RePEc:eee:jfinec:v:130:y:2018:i:2:p:327-346.

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2019The information sensitivity of debt in good and bad times. (2019). Macchiavelli, Marco ; Brancati, Emanuele. In: Journal of Financial Economics. RePEc:eee:jfinec:v:133:y:2019:i:1:p:99-112.

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2018Why do some banks contribute more to global systemic risk?. (2018). Bostandzic, Denefa . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:35:y:2018:i:pa:p:17-40.

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2018Factors of the term structure of sovereign yield spreads. (2018). Trueck, Stefan ; Truck, Stefan ; Wellmann, Dennis. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:56-75.

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2018Systemic risk and bank size. (2018). Varotto, Simone ; Zhao, Lei. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:82:y:2018:i:c:p:45-70.

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2017Global banking and the conduct of macroprudential policy in a monetary union. (2017). Vermandel, Gauthier ; Poutineau, Jean-Christophe. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:54:y:2017:i:pb:p:306-331.

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2019Utilizing professional accounting concepts to understand and respond to academic dishonesty in accounting programs. (2019). Lento, Camillo ; Bujaki, Merridee ; Sayed, Naqi. In: Journal of Accounting Education. RePEc:eee:joaced:v:47:y:2019:i:c:p:28-47.

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2017Global investigation of return autocorrelation and its determinants. (2017). Jain, Pawan ; Xue, Wenjun. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:43:y:2017:i:c:p:200-217.

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2018The role of algorithmic trading in stock liquidity and commonality in electronic limit order markets. (2018). Moriyasu, Hiroshi ; Yu, Jing ; Wee, Marvin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:103-128.

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2018Market volatility, liquidity shocks, and stock returns: Worldwide evidence. (2018). Marshall, Ben ; Anderson, Hamish D. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:49:y:2018:i:c:p:164-199.

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2019Chinas financial network with international spillovers: A first look. (2019). Ma, Jun ; Yu, Ziliang ; Yang, Jian. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:58:y:2019:i:c:s0927538x19301258.

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More than 100 citations found, this list is not complete...

Works by Christophe Perignon:


YearTitleTypeCited
2002Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion In: European Financial Management.
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article8
2018Wholesale Funding Dry‐Ups In: Journal of Finance.
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article17
2017Wholesale Funding Dry-Ups.(2017) In: HEC Research Papers Series.
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2017Wholesale funding dry-ups.(2017) In: ESRB Working Paper Series.
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This paper has another version. Agregated cites: 17
paper
2013Derivatives Clearing, Default Risk, and Insurance In: Journal of Risk & Insurance.
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article9
2017The Private Production of Safe Assets In: CEPR Discussion Papers.
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paper2
2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 2
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2017The Private Production of Safe Assets.(2017) In: HEC Research Papers Series.
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This paper has another version. Agregated cites: 2
paper
2009Commonality in Liquidity: A Global Perspective In: Journal of Financial and Quantitative Analysis.
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article73
2017CoMargin In: Journal of Financial and Quantitative Analysis.
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article0
2015CoMargin.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 0
paper
2013Systemic Risk Score: A Suggestion In: HEC Research Papers Series.
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paper3
2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
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This paper has another version. Agregated cites: 3
paper
2014The Collateral Risk of ETFs In: HEC Research Papers Series.
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paper2
2015Where the Risks Lie: A Survey on Systemic Risk In: HEC Research Papers Series.
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paper65
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 65
paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
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This paper has another version. Agregated cites: 65
paper
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Review of Finance.
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This paper has another version. Agregated cites: 65
article
2019The counterparty risk exposure of ETF investors In: Journal of Banking & Finance.
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article1
2014The Counterparty Risk Exposure of ETF Investors.(2014) In: Working Papers.
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This paper has another version. Agregated cites: 1
paper
2001Evolution of market uncertainty around earnings announcements In: Journal of Banking & Finance.
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article11
2000Evolution of Market Uncertainty around Earnings Announcements.(2000) In: FAME Research Paper Series.
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This paper has another version. Agregated cites: 11
paper
1999Evolution of Market Uncertainty around Earnings Announcements..(1999) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
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This paper has another version. Agregated cites: 11
paper
2007Yield-factor volatility models In: Journal of Banking & Finance.
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article5
2008Do banks overstate their Value-at-Risk? In: Journal of Banking & Finance.
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article51
2010Diversification and Value-at-Risk In: Journal of Banking & Finance.
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article29
2010The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance.
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article97
2011The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance.
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article4
2013The Risk Map: A new tool for validating risk models In: Journal of Banking & Finance.
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article15
2012The Risk Map: A New Tool for Validating Risk Models.(2012) In: Working Papers.
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This paper has another version. Agregated cites: 15
paper
2008How common are common return factors across the NYSE and Nasdaq? In: Journal of Financial Economics.
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article10
2007Why common factors in international bond returns are not so common In: Journal of International Money and Finance.
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article19
2005Repurchasing Shares on a Second Trading Line In: FAME Research Paper Series.
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paper5
2005Repurchasing Shares on a Second Trading Line.(2005) In: FSES Working Papers.
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This paper has another version. Agregated cites: 5
paper
1999On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective. In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
[Citation analysis]
paper6
2000On the dynamic interdependence of international stock markets: A Swiss perspective.(2000) In: Swiss Journal of Economics and Statistics (SJES).
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paper0
2009Commonality in Liquidity: A Global Perspective In: Post-Print.
[Citation analysis]
paper47
2008Do banks overstate their Value-at-Risk? In: Post-Print.
[Citation analysis]
paper16
2008Impact of Overwhelming Joy on Consumer Demand In: Post-Print.
[Citation analysis]
paper1
2007Yield-factor volatility models In: Post-Print.
[Citation analysis]
paper4
2007Repurchasing Shares on a Second Trading Line In: Post-Print.
[Citation analysis]
paper6
2009Marchés Financiers: Gestion de portefeuille et des risques In: Post-Print.
[Citation analysis]
paper0
2009Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data In: Post-Print.
[Citation analysis]
paper3
2009The Level and Quality of Value-at-Risk Disclosure by Commercial Banks In: Post-Print.
[Citation analysis]
paper0
2010Diversification and Value-at-Risk In: Post-Print.
[Citation analysis]
paper22
2010The level and quality of Value-at-Risk disclosure by commercial banks In: Post-Print.
[Citation analysis]
paper73
2010The pernicious effects of contaminated data in risk management In: Post-Print.
[Citation analysis]
paper0
2010La gestion des risques fait sa révolution In: Post-Print.
[Citation analysis]
paper0
2011Clearing house, margin requirements, and systemic risk In: Post-Print.
[Citation analysis]
paper1
2011Clearing house, margin requirements, and systemic risk In: Post-Print.
[Citation analysis]
paper0
2011The Pernicious Effects of Contaminated Data in Risk Management In: Post-Print.
[Citation analysis]
paper2
2008How common are common return factors across NYSE and Nasdaq? In: Post-Print.
[Citation analysis]
paper4
2008Representative yield curve shocks and stress testing In: Post-Print.
[Citation analysis]
paper2
2013Derivatives Clearing, Default Risk, and Insurance In: Post-Print.
[Citation analysis]
paper9
2008A New Approach to Comparing VaR Estimation Methods In: Post-Print.
[Citation analysis]
paper18
2012Representative Yield Curve Shocks and Stress Testing In: Post-Print.
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paper0
2015Implied Risk Exposures In: Post-Print.
[Citation analysis]
paper1
2017Where the Risks Lie: A Survey on Systemic Risk In: Post-Print.
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paper31
2004Component Proponents II In: Post-Print.
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paper1
2002Component Proponents In: Post-Print.
[Citation analysis]
paper2
2002Extracting information from options markets : smiles, state-price densities and risk-aversion In: Post-Print.
[Citation analysis]
paper4
2002Estimation empirique de laversion au risque : lapport des marchés doptions In: Post-Print.
[Citation analysis]
paper0
2006Sources of time variation in the covariance matrix of interest rates In: Post-Print.
[Citation analysis]
paper1
2017Pitfalls in Systemic-Risk Scoring In: Working Papers.
[Citation analysis]
paper2
2015Wholesale Funding Runs In: Working Papers.
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paper0
2011Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local Authorities In: Working Papers.
[Citation analysis]
paper0
2012RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results In: Working Papers.
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paper0
2013A Theoretical and Empirical Comparison of Systemic Risk Measures In: Working Papers.
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paper60
2012Margin Backtesting In: Working Papers.
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paper4
2014Implied Risk Exposures In: Working Papers.
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paper1
2015Implied Risk Exposures.(2015) In: Review of Finance.
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This paper has another version. Agregated cites: 1
article
2017The Political Economy of Financial Innovation: Evidence from Local Governments In: Review of Financial Studies.
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article2
2000Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports In: Applied Economics.
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article30
2006Sources of Time Variation in the Covariance Matrix of Interest Rates In: The Journal of Business.
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article6

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated February, 4 2020. Contact: CitEc Team