7
H index
7
i10 index
243
Citations
Université d'Orléans | 7 H index 7 i10 index 243 Citations RESEARCH PRODUCTION: 10 Articles 19 Papers RESEARCH ACTIVITY: 13 years (2006 - 2019). See details. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pto340 |
Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Sessi Tokpavi. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Revue économique | 2 |
Year | Title of citing document |
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2023 | A practical multivariate approach to testing volatility spillover. (2023). Urga, Giovanni ; Leong, Soon Heng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001008. Full description at Econpapers || Download paper |
2023 | Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x. Full description at Econpapers || Download paper |
2023 | A robust Glasso approach to portfolio selection in high dimensions. (2023). Gu, Xinhua ; Shu, Lianjie ; Ding, Wenliang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:22-37. Full description at Econpapers || Download paper |
2023 | Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321. Full description at Econpapers || Download paper |
2023 | Time-frequency extreme risk spillover network of cryptocurrency coins, DeFi tokens and NFTs. (2023). Peng, Cheng ; Tang, Yiding ; Zhu, Huiming ; Qiao, Xingzhi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006651. Full description at Econpapers || Download paper |
2023 | Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000132. Full description at Econpapers || Download paper |
2023 | Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379. Full description at Econpapers || Download paper |
2023 | Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703. Full description at Econpapers || Download paper |
2023 | Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971. Full description at Econpapers || Download paper |
2023 | Dynamic spatiotemporal correlation coefficient based on adaptive weight. (2023). Yu, Xuezeng ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00437-3. Full description at Econpapers || Download paper |
2023 | Industry return lead-lag relationships between the US and other major countries. (2023). Sebastio, Helder ; Silva, Nuno ; Monteiro, Ana. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00439-1. Full description at Econpapers || Download paper |
2023 | Systemically important banks - emerging risk and policy responses: An agent-based investigation. (2023). Roventini, Andrea ; Napoletano, Mauro ; Popoyan, Lilit. In: LEM Papers Series. RePEc:ssa:lemwps:2023/30. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2008 | Une évaluation des procédures de Backtesting. « Tout va pour le mieux dans le meilleur des mondes » In: Finance. [Full Text][Citation analysis] | article | 4 |
2007 | Un test de validité de la Value at Risk In: Revue économique. [Full Text][Citation analysis] | article | 2 |
2015 | Commentaire sur l’article « Droits de contrôle versus droits pécuniaires, crise financière et vulnérabilité des banques européennes » In: Revue économique. [Full Text][Citation analysis] | article | 0 |
2012 | Testing for crude oil markets globalization during extreme price movements In: EconomiX Working Papers. [Full Text][Citation analysis] | paper | 5 |
2013 | Testing for the Systemically Important Financial Institutions: a Conditional Approach In: EconomiX Working Papers. [Full Text][Citation analysis] | paper | 0 |
2013 | Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach In: EconomiX Working Papers. [Full Text][Citation analysis] | paper | 0 |
2014 | A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion In: EconomiX Working Papers. [Full Text][Citation analysis] | paper | 48 |
2016 | A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion.(2016) In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 48 | article | |
2017 | Testing for Extreme Volatility Transmission with Realized Volatility Measures In: EconomiX Working Papers. [Full Text][Citation analysis] | paper | 3 |
2018 | Stocks and Bonds: Flight-to-Safety for Ever? In: EconomiX Working Papers. [Full Text][Citation analysis] | paper | 4 |
2019 | Measuring network systemic risk contributions: A leave-one-out approach In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 15 |
2013 | Testing for Granger causality in distribution tails: An application to oil markets integration In: Economic Modelling. [Full Text][Citation analysis] | article | 22 |
2015 | Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach In: European Journal of Operational Research. [Full Text][Citation analysis] | article | 31 |
2012 | Sampling error and double shrinkage estimation of minimum variance portfolios In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 12 |
2011 | Sampling error and double shrinkage estimation of minimum variance portfolios.(2011) In: Research Memorandum. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2006 | Backtesting VaR Accuracy: A New Simple Test In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
2007 | Une Evaluation des Procédures de Backtesting In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
2007 | Une évaluation des procédures de Backtesting.(2007) In: LEO Working Papers / DR LEO. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 6 | paper | |
2007 | Irregularly Spaced Intraday Value at Risk (ISIVaR) Models : Forecasting and Predictive Abilities In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
2007 | Irregularly Spaced Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities.(2007) In: LEO Working Papers / DR LEO. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
2008 | Backtesting Value-at-Risk: A GMM Duration-Based Test In: Working Papers. [Full Text][Citation analysis] | paper | 68 |
2009 | Backtesting Value-at-Risk: A GMM Duration-Based Test.(2009) In: LEO Working Papers / DR LEO. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2008 | Backtesting Value-at-Risk: A GMM Duration-Based Test.(2008) In: LEO Working Papers / DR LEO. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | paper | |
2011 | Backtesting Value-at-Risk: A GMM Duration-Based Test.(2011) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 68 | article | |
2013 | High-Frequency Risk Measures In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
2008 | Sélection dynamique de portefeuille dans un cadre Moyenne-VaR : une approche GARCH multivariée In: LEO Working Papers / DR LEO. [Citation analysis] | paper | 0 |
2006 | Backtesting VaR Accuracy: A Simple and Powerful Test In: LEO Working Papers / DR LEO. [Full Text][Citation analysis] | paper | 4 |
2009 | The Americanization of European higher education and research In: Research Memorandum. [Full Text][Citation analysis] | paper | 15 |
2016 | Forecasting High?Frequency Risk Measures In: Journal of Forecasting. [Full Text][Citation analysis] | article | 0 |
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