Sessi Tokpavi : Citation Profile


Are you Sessi Tokpavi?

Université d'Orléans

7

H index

4

i10 index

188

Citations

RESEARCH PRODUCTION:

10

Articles

52

Papers

RESEARCH ACTIVITY:

   14 years (2005 - 2019). See details.
   Cites by year: 13
   Journals where Sessi Tokpavi has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 9 (4.57 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pto340
   Updated: 2020-02-08    RAS profile: 2019-12-19    
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Relations with other researchers


Works with:

Maillet, Bertrand (4)

Candelon, Bertrand (4)

Mignon, Valérie (2)

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

Is cited by:

Asai, Manabu (19)

McAleer, Michael (13)

Dumitrescu, Elena Ivona (8)

Wied, Dominik (7)

Hurlin, Christophe (6)

Maillet, Bertrand (6)

Caporin, Massimiliano (6)

Danielsson, Jon (6)

Sutcliffe, Charles (5)

Nguyen, Duc Khuong (5)

Bontemps, Christian (4)

Cites to:

Engle, Robert (13)

Candelon, Bertrand (10)

Wolf, Michael (10)

Ledoit, Olivier (9)

Manganelli, Simone (9)

Bollerslev, Tim (8)

Granger, Clive (8)

Christoffersen, Peter (8)

Hurlin, Christophe (7)

Epstein, Larry (6)

Hong, Yongmiao (6)

Main data


Where Sessi Tokpavi has published?


Journals with more than one article published# docs
Revue conomique2

Working Papers Series with more than one paper published# docs
Post-Print / HAL32
LEO Working Papers / DR LEO / Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans6
EconomiX Working Papers / University of Paris Nanterre, EconomiX6
Working Papers / HAL5
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)2

Recent works citing Sessi Tokpavi (2019 and 2018)


YearTitle of citing document
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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2019Robust Asset Allocation for Robo-Advisors. (2019). Roncalli, Thierry ; Lezmi, Edmond ; Bourgeron, Thibault. In: Papers. RePEc:arx:papers:1902.07449.

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2019Machine Learning Optimization Algorithms & Portfolio Allocation. (2019). Roncalli, Thierry ; Perrin, Sarah. In: Papers. RePEc:arx:papers:1909.10233.

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2018International and Macroeconomic Determinants of Oil Price: Evidence from Gulf Cooperation Council Countries. (2018). Albaity, Mohamed ; Mustafa, Hasan. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2018-01-9.

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2019Financial contagion and flight to quality between emerging markets and U.S. bond market. (2019). Gulolu, Bulent ; Soylu, Pinar Kaya. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:50:y:2019:i:c:s1062940818304042.

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2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2018Risk spillover of international crude oil to Chinas firms: Evidence from granger causality across quantile. (2018). Peng, Cheng ; Chen, Xiuyun ; Guo, Yawei ; Zhu, Huiming. In: Energy Economics. RePEc:eee:eneeco:v:72:y:2018:i:c:p:188-199.

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2019Time-varying energy and stock market integration in Asia. (2019). Wagner, Niklas ; Batten, Jonathan ; Szilagyi, Peter G ; Kinateder, Harald. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:777-792.

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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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2018Identifying contagion: A unifying approach. (2018). Gebka, Bartosz ; Robert, ; Sewraj, Deeya. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:55:y:2018:i:c:p:224-240.

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2019Detecting underestimates of risk in VaR models. (2019). Thiele, Stephen . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:12-20.

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2018Forecasting the value-at-risk of Chinese stock market using the HARQ model and extreme value theory. (2018). Liu, Guangqiang ; Hu, Yang ; Yu, Jiang ; Chen, Yongfei ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:499:y:2018:i:c:p:288-297.

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2018Estimation error in mean returns and the mean-variance efficient frontier. (2018). Simaan, Majeed ; Tang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:56:y:2018:i:c:p:109-124.

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2018Spectral Backtests of Forecast Distributions with Application to Risk Management. (2018). Gordy, Michael ; McNeil, Alexander J. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2018-21.

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2018The Lead–Lag Relationship between Oil Futures and Spot Prices—A Literature Review. (2018). Zavadska, Miroslava ; Coughlan, Joseph ; Morales, Lucia. In: International Journal of Financial Studies. RePEc:gam:jijfss:v:6:y:2018:i:4:p:89-:d:179491.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2018Target Matrix Estimators in Risk-Based Portfolios. (2018). Neffelli, Marco. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:4:p:125-:d:180674.

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2019Dynamic Transmission of Correlation between Investor Attention and Stock Price: Evidence from China’s Energy Industry Typical Stocks. (2019). Feng, Sida ; Guo, Sui ; Qi, Yajie ; Li, Huajiao. In: Complexity. RePEc:hin:complx:3540523.

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2018Moment-based tests under parameter uncertainty. (2018). Bontemps, Christian. In: IDEI Working Papers. RePEc:ide:wpaper:32565.

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2019Ripples on financial networks. (2019). Chakrabarti, Anindya S ; Bansal, Avijit ; Kumar, Sudarshan. In: IIMA Working Papers. RePEc:iim:iimawp:14613.

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2018How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Mogel, Benjamin ; Auer, Benjamin R. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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2018Measuring Network Systemic Risk Contributions: A Leave-one-out Approach. (2018). Tokpavi, Sessi ; Hue, Sullivan. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2608.

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2018Measuring network systemic risk contributions: A leave-one-out approach. (2018). Lucotte, Yannick ; Tokpavi, Sessi ; Hue, Sullivan. In: LEO Working Papers / DR LEO. RePEc:leo:wpaper:2708.

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2018Risk-based strategies: the social responsibility of investment universes does matter. (2018). Lapointe, Vincent ; BERTRAND, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2081-4.

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2018Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature. (2018). Zhang, Yuanyuan ; Guo, Sini ; Li, Xiang. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:2-2018.

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2018Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market. (2018). Su, Fei. In: PhD Thesis. RePEc:uts:finphd:39.

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2018Value‐at‐risk under market shifts through highly flexible models. (2018). Nguyen, Duc Khuong ; BenSaïda, Ahmed ; Slim, Skander ; Boubaker, Sabri ; Bensaida, Ahmed. In: Journal of Forecasting. RePEc:wly:jforec:v:37:y:2018:i:8:p:790-804.

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2018Robust performance hypothesis testing with smooth functions of population moments. (2018). Wolf, Michael ; Ledoit, Olivier. In: ECON - Working Papers. RePEc:zur:econwp:305.

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Works by Sessi Tokpavi:


YearTitleTypeCited
2008Une évaluation des procédures de Backtesting. « Tout va pour le mieux dans le meilleur des mondes » In: Finance.
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article0
2007Un test de validité de la Value at Risk In: Revue économique.
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article2
2015Commentaire sur lâarticle « Droits de contrôle versus droits pécuniaires, crise financière et vulnérabilité des banques européennes » In: Revue économique.
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article0
2012Testing for crude oil markets globalization during extreme price movements In: EconomiX Working Papers.
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paper3
2013Testing for the Systemically Important Financial Institutions: a Conditional Approach In: EconomiX Working Papers.
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paper0
2013Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach In: EconomiX Working Papers.
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paper0
2014A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion In: EconomiX Working Papers.
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paper22
2014A Nonparametric Test for Grangercausality in Distribution with Application to Financial Contagion.(2014) In: Working Papers.
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paper
2016A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion.(2016) In: Journal of Business & Economic Statistics.
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This paper has another version. Agregated cites: 22
article
2017Testing for Extreme Volatility Transmission with Realized Volatility Measures In: EconomiX Working Papers.
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paper3
2018Stocks and Bonds: Flight-to-Safety for Ever? In: EconomiX Working Papers.
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paper0
2019Measuring network systemic risk contributions: A leave-one-out approach In: Journal of Economic Dynamics and Control.
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article1
2013Testing for Granger causality in distribution tails: An application to oil markets integration In: Economic Modelling.
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article14
2015Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach In: European Journal of Operational Research.
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article13
2012Sampling error and double shrinkage estimation of minimum variance portfolios In: Journal of Empirical Finance.
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article8
2011Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios.(2011) In: Research Memorandum.
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This paper has another version. Agregated cites: 8
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2015Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach In: Post-Print.
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paper8
2012Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios In: Post-Print.
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paper5
2015A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion In: Post-Print.
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paper1
2012Testing for crude oil markets globalization during extreme price movements In: Post-Print.
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paper1
2014Comovement and Contagion in Financial Markets In: Post-Print.
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paper0
2012Testing for crude oil markets globalization during extreme price movements In: Post-Print.
[Citation analysis]
paper1
2014A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion In: Post-Print.
[Citation analysis]
paper0
2015Global Minimum Variance Portfolio Optimisation Under some Model Risk: A Robust Regression-based Approach In: Post-Print.
[Citation analysis]
paper8
2014Comovement and Contagion in Financial Markets In: Post-Print.
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paper0
2017Quand l’union fait la force : un indice de risque systémique, When unity makes strenght: a systemic risk index In: Post-Print.
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paper0
2019Stocks and Bonds: Flight-to-Safety for Ever? In: Post-Print.
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paper0
2007Un Test de Validité de la Value-at-Risk In: Post-Print.
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paper0
2006Bactesting Var Accuracy : A New Simple Test In: Post-Print.
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paper0
2006Backtesting Value at Risk Accuracy : A New Simple Test In: Post-Print.
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paper0
2006Backtesting Value at Risk Accuracy : A New Simple Test In: Post-Print.
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paper3
2005Une évaluation des procédures de Backtesting : Tout va pour le mieux dans le meilleur des mondes In: Post-Print.
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paper0
2006Backtesting Value at Risk Accuracy : A New Simple Test In: Post-Print.
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paper0
2006Backtesting Value at Risk Accuracy : A New Simple Test In: Post-Print.
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paper3
2006Backtesting Value at Risk Accuracy : A New Simple Test In: Post-Print.
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paper0
2006Backtesting Value at Risk Accuracy : A New Simple Test In: Post-Print.
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paper0
2007Backtesting Value-at-Risk Accuracy: A New Simple Test In: Post-Print.
[Citation analysis]
paper5
2007Un test de Validité de la Value-at-risk In: Post-Print.
[Citation analysis]
paper0
2007Une évaluation des procédures de Backtesting : Tout va pour le mieux dans le meilleur des mondes In: Post-Print.
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paper0
2007Une évaluation des procédures de Backtesting : Tout va pour le mieux dans le meilleur des mondes In: Post-Print.
[Citation analysis]
paper1
2007Backtesting Value-at-Risk Accuracy: A New Simple Test In: Post-Print.
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paper5
2008Backtesting Value-at-Risk : A GMM Duration-based Test In: Post-Print.
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2008Backtesting Value-at-Risk : A GMM Duration-based Test In: Post-Print.
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2008Backtesting Value-at-Risk : A GMM Duration-based Test In: Post-Print.
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paper4
2008Backtesting Value-at-Risk: A GMM Duration-Based Test In: Post-Print.
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2008Backtesting Value-at-Risk: A GMM Duration-Based-Test In: Post-Print.
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2008Backtesting Value-at-Risk: A GMM Duration-Based Test In: Post-Print.
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paper7
2008Sélection dynamique de portefeuille dans un cadre Moyenne-VaR: une approche GARCH multivariée In: Post-Print.
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2006Backtesting VaR Accuracy: A New Simple Test In: Working Papers.
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2007Une Evaluation des Procédures de Backtesting In: Working Papers.
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2007Une évaluation des procédures de Backtesting.(2007) In: LEO Working Papers / DR LEO.
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2007Irregularly Spaced Intraday Value at Risk (ISIVaR) Models : Forecasting and Predictive Abilities In: Working Papers.
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paper1
2007Irregularly Spaced Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities.(2007) In: LEO Working Papers / DR LEO.
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This paper has another version. Agregated cites: 1
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2008Backtesting Value-at-Risk: A GMM Duration-Based Test In: Working Papers.
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2009Backtesting Value-at-Risk: A GMM Duration-Based Test.(2009) In: LEO Working Papers / DR LEO.
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This paper has another version. Agregated cites: 57
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2008Backtesting Value-at-Risk: A GMM Duration-Based Test.(2008) In: LEO Working Papers / DR LEO.
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This paper has another version. Agregated cites: 57
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2011Backtesting Value-at-Risk: A GMM Duration-Based Test.(2011) In: Journal of Financial Econometrics.
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This paper has another version. Agregated cites: 57
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2009Backtesting value-at-risk : a GMM duration-based test.(2009) In: Research Memorandum.
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This paper has another version. Agregated cites: 57
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2013High-Frequency Risk Measures In: Working Papers.
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2008Sélection dynamique de portefeuille dans un cadre Moyenne-VaR : une approche GARCH multivariée In: LEO Working Papers / DR LEO.
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paper0
2006Backtesting VaR Accuracy: A Simple and Powerful Test In: LEO Working Papers / DR LEO.
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2016Forecasting High‐Frequency Risk Measures In: Journal of Forecasting.
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