Jean-Pierre Zigrand : Citation Profile

Are you Jean-Pierre Zigrand?

London School of Economics (LSE)

7

H index

6

i10 index

247

Citations

RESEARCH PRODUCTION:

8

Articles

15

Papers

1

Chapters

RESEARCH ACTIVITY:

   13 years (1999 - 2012). See details.
   Cites by year: 19
   Journals where Jean-Pierre Zigrand has often published
   Relations with other researchers
   Recent citing documents: 43.    Total self citations: 7 (2.76 %)

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   Permalink: http://citec.repec.org/pzi2
   Updated: 2020-02-08    RAS profile: 2011-01-05    
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Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Pierre Zigrand.

Is cited by:

Gambacorta, Leonardo (13)

Rahi, Rohit (12)

BORIO, Claudio (11)

Danielsson, Jon (11)

Farmer, J. (10)

Altunbas, Yener (9)

Taylor, Ashley (6)

Shin, Hyun Song (6)

Marques-Ibanez, David (6)

Kondor, Péter (5)

Corrado, Luisa (4)

Cites to:

Shin, Hyun Song (10)

Gale, Douglas (9)

Shleifer, Andrei (8)

Sonnenschein, Hugo (6)

Morris, Stephen (6)

Chen, Zhiwu (5)

Danielsson, Jon (5)

Grossman, Sanford (5)

Waldmann, Robert (4)

Hall, Maximilian (4)

Summers, Lawrence (4)

Main data

Where Jean-Pierre Zigrand has published?

Journals with more than one article published# docs
Journal of Mathematical Economics2
Journal of Banking & Finance2

Recent works citing Jean-Pierre Zigrand (2018 and 2017)

YearTitle of citing document
2019Equilibrium in thin security markets under restricted participation. (2019). Anthropelos, Michail ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1802.09954.

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2018Optimal Investment, Demand and Arbitrage under Price Impact. (2018). Anthropelos, Michail ; Spiliopoulos, Konstantinos ; Robertson, Scott. In: Papers. RePEc:arx:papers:1804.09151.

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2018When panic makes you blind: a chaotic route to systemic risk. (2018). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:1805.00785.

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2019Does the leverage effect affect the return distribution?. (2019). Chen, Dangxing. In: Papers. RePEc:arx:papers:1909.08662.

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2017Market volatility, monetary policy and the term premium. (2017). Mohanty, Madhusudan ; Mallick, Sushanta ; Zampolli, Fabrizio . In: BIS Working Papers. RePEc:bis:biswps:606.

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2017Macroprudential policy and bank risk. (2017). Gambacorta, Leonardo ; Binici, Mahir ; Altunbas, Yener. In: BIS Working Papers. RePEc:bis:biswps:646.

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2019Liquidity and tail-risk interdependencies in the euro area sovereign bond market. (2019). Clancy, Daragh ; Filiani, Pasquale ; Dunne, Peter G. In: Research Technical Papers. RePEc:cbi:wpaper:11/rt/19.

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2018How Effective are Sovereign Bond-Backed Securities as a Spillover Prevention Device. (2018). Dunne, Peter ; Cronin, David. In: Research Technical Papers. RePEc:cbi:wpaper:4/rt/18.

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2018Financial Cycles, Credit Bubbles and Stabilization Policies. (2018). Schuler, Tobias ; Corrado, Luisa. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7422.

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2018Financial Bubbles in Interbank Lending. (2018). Schuler, Tobias ; Corrado, Luisa. In: ifo Working Paper Series. RePEc:ces:ifowps:_260.

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2017Macroprudential policy and bank risk. (2017). Gambacorta, Leonardo ; Binici, Mahir ; Altunbas, Yener. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12138.

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2017The two faces of interbank correlation. (2017). Wagner, Wolf ; Silva Buston, Consuelo ; Schaeck, Klaus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12363.

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2019Financial cycles, credit bubbles and stabilization policies. (2019). Corrado, Luisa ; Schuler, Tobias. In: Working Paper Series. RePEc:ecb:ecbwps:20192336.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2017Impact of value-at-risk models on market stability. (2017). Llacay, Barbara ; Peffer, Gilbert. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:223-256.

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2017Portfolio diversification and systemic risk in interbank networks. (2017). Tasca, Paolo ; Deghi, Andrea ; Battiston, Stefano. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:82:y:2017:i:c:p:96-124.

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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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2017Robust multivairiate extreme value at risk allocation. (2017). Belbachir, M ; Belhajjam, A ; el Ouardirhi, S. In: Finance Research Letters. RePEc:eee:finlet:v:23:y:2017:i:c:p:1-11.

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2019Margin requirements and systemic liquidity risk. (2019). Bakoush, Mohamed ; Wolfe, Simon ; Gerding, Enrico H. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:58:y:2019:i:c:p:78-95.

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2019Systemic risk and competition revisited. (2019). Silva-Buston, Consuelo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:101:y:2019:i:c:p:188-205.

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2019An equilibrium model of risk management spillover. (2019). Ye, Zhiqiang ; Qiu, Zhigang ; Jiang, Ying ; Huang, Shiyang. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:107:y:2019:i:c:3.

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2017Option pricing under time-varying risk-aversion with applications to risk forecasting. (2017). Kiesel, Rudiger ; Rahe, Florentin . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:76:y:2017:i:c:p:120-138.

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2017An analysis of the consistency of banks’ internal ratings. (2017). Koziol, Philipp ; Berg, Tobias. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:78:y:2017:i:c:p:27-41.

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2017An evaluation of bank measures for market risk before, during and after the financial crisis. (2017). Brien, James O ; Szersze, Pawe J ; Obrien, James . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:80:y:2017:i:c:p:215-234.

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2018Is food financialized? Yes, but only when liquidity is abundant. (2018). Oran, Adil ; Soytas, Ugur ; Ordu, Beyza Mina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:95:y:2018:i:c:p:82-96.

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2018Macroprudential policy and bank risk. (2018). Gambacorta, Leonardo ; Binici, Mahir ; Altunbas, Yener. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:81:y:2018:i:c:p:203-220.

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2019How effective are sovereign bond-backed securities as a spillover prevention device?. (2019). Dunne, Peter ; Cronin, David. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:96:y:2019:i:c:p:49-66.

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2017The evolution of risk and bailout strategy in banking systems. (2017). Brede, Markus ; McGroarty, Frank ; de Caux, Robert . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:468:y:2017:i:c:p:109-118.

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2017An integrated macro-financial risk-based approach to the stressed capital requirement. (2017). Liu, Xiaochun. In: Review of Financial Economics. RePEc:eee:revfin:v:34:y:2017:i:c:p:86-98.

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2018On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming. In: Risks. RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

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2019Measurement of the displaced commercial risk in Islamic Banks. (2018). Chayeh, Zeinab ; Viviani, Jean-Laurent ; Toumi, Kaouther . In: Post-Print. RePEc:hal:journl:halshs-01806496.

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2019Basel IV A gloomy future for Expected Shortfall risk models. Evidence from the Mexican Stock Market. (2019). Rossignolo, Adrian F. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:pnea:p:559-582.

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2019Testing the Predictive Ability of Corridor Implied Volatility Under GARCH Models. (2019). Lu, Shan. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:26:y:2019:i:2:d:10.1007_s10690-018-9262-5.

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2018Financial statements based bank risk aggregation. (2018). Li, Jianping ; Wu, Dengsheng ; Zhu, Xiaoqian ; Lee, Cheng-Few ; Wei, LU. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:50:y:2018:i:3:d:10.1007_s11156-017-0642-0.

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2017Measuring Financial Cycle Length and Assessing Synchronization using Wavelets. (2017). Altr, Mois ; Barnea, Dinu ; Kubinschi, Matei. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:3:p:18-36.

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2018Financial Bubbles in Interbank Lending. (2018). Schuler, Tobias ; Corrado, Luisa. In: CEIS Research Paper. RePEc:rtv:ceisrp:427.

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2017ТЕОРИЯ ФИНАНСОВЫХ ИННОВАЦИЙ. КРИТИЧЕСКИЙ ОБЗОР ОСНОВНЫХ ПОДХОДОВ // THE THEORY OF FINANCIAL INNOVATIONS. A CRITICAL REVIEW OF PRINCIPAL APPROAC. (2017). Klyuchnikov, I ; М. Сигова В., ; И. Ключников К., ; Sigova, M. In: Финансы: теория и практика/Finance: Theory and Practice // Finance: Theory and Practice. RePEc:scn:financ:y:2016:i:6:p:85-95.

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2018Arbitrage pricing in non-Walrasian financial markets. (2018). Carvajal, Andres. In: Economic Theory. RePEc:spr:joecth:v:66:y:2018:i:4:d:10.1007_s00199-017-1074-8.

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2017Forecasting Value-at-Risk under Temporal and Portfolio Aggregation. (2017). van Dijk, Dick ; Kole, Erik ; Opschoor, Anne ; Markwat, Thijs . In: Tinbergen Institute Discussion Papers. RePEc:tin:wpaper:20150140.

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2017Models of Financial Stability and their Application in Stress Tests. (2017). Farmer, J. ; Wetzer, Thom ; Keinniejenhuis, Alissa M ; Aymanns, Christoph . In: Working Papers on Finance. RePEc:usg:sfwpfi:2018:05.

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2019Bayesian modeling and forecasting of Value‐at‐Risk via threshold realized volatility. (2019). Chen, Cathy W. S. ; Watanabe, Toshiaki. In: Applied Stochastic Models in Business and Industry. RePEc:wly:apsmbi:v:35:y:2019:i:3:p:747-765.

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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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2017LOST IN CONTAGION? BUILDING A LIQUIDATION INDEX FROM COVARIANCE DYNAMICS. (2017). Wagalath, Lakshithe. In: International Journal of Theoretical and Applied Finance (IJTAF). RePEc:wsi:ijtafx:v:20:y:2017:i:01:n:s0219024917500017.

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Works by Jean-Pierre Zigrand:

YearTitleTypeCited
2004Strategic Financial Innovation in Segmented Markets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper17
2004Strategic Financial Innovation in Segmented Markets.(2004) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		paper
2007Strategic Financial Innovation in Segmented Markets.(2007) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		paper
2009Strategic Financial Innovation in Segmented Markets.(2009) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 17		article
2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
[Full Text][Citation analysis]		article5
2004The impact of risk regulation on price dynamics In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article87
2006On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article39
2003On time-scaling of risk and the square–root–of–time rule.(2003) In: FMG Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39		paper
2004A general equilibrium analysis of strategic arbitrage In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article7
2006Endogenous market integration, manipulation and limits to arbitrage In: Journal of Mathematical Economics.
[Full Text][Citation analysis]		article6
1999Arbitrage and Endogenous Market Integration In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper6
2001Rational Limits to Arbitrage In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper1
2001What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper18
2001Asset Price Dynamics with Value-at-Risk Constrained Traders In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper9
2002Rational Asset Pricing Implications from Realistic Trading Frictions In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper1
2005Rational Asset Pricing Implications from Realistic Trading Frictions.(2005) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1		article
2004(IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated? In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper0
2006Equilibrium Asset Pricing with Systemic Risk In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper16
2008Equilibrium asset pricing with systemic risk.(2008) In: Economic Theory.
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This paper has another version. Agregated cites: 16		article
2006Consistent Measures of Risk In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper2
2009Endogenous Liquidity and Contagion In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper0
2010Risk Appetite and Endogenous Risk In: FMG Discussion Papers.
[Full Text][Citation analysis]		paper26
2001On Physics and Finance In: FMG Special Papers.
[Full Text][Citation analysis]		paper0
2012Endogenous and Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]		chapter7

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