Jean-Pierre Zigrand : Citation Profile


Are you Jean-Pierre Zigrand?

London School of Economics (LSE)

7

H index

5

i10 index

223

Citations

RESEARCH PRODUCTION:

8

Articles

2

Papers

1

Chapters

RESEARCH ACTIVITY:

   11 years (2001 - 2012). See details.
   Cites by year: 20
   Journals where Jean-Pierre Zigrand has often published
   Relations with other researchers
   Recent citing documents: 23.    Total self citations: 4 (1.76 %)

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   Permalink: http://citec.repec.org/pzi2
   Updated: 2022-06-25    RAS profile: 2020-03-07    
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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 (14)

Rahi, Rohit (11)

BORIO, Claudio (11)

Altunbas, Yener (9)

Farmer, J. (7)

Kondor, Péter (7)

Marques-Ibanez, David (6)

Shin, Hyun Song (6)

Anthropelos, Michail (5)

Dunne, Peter (5)

Degiannakis, Stavros (4)

Cites to:

Gale, Douglas (9)

Shin, Hyun Song (9)

Sonnenschein, Hugo (4)

Hall, Maximilian (4)

Chen, Zhiwu (4)

Danielsson, Jon (4)

van Damme, Eric (3)

Shleifer, Andrei (3)

Shubik, Martin (3)

Morris, Stephen (3)

Allen, Franklin (3)

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 (2021 and 2020)


YearTitle of citing document
2021Equilibrium in thin security markets under restricted participation. (2019). Anthropelos, Michail ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1802.09954.

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2021Tail Granger causalities and where to find them: extreme risk spillovers vs. spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Papers. RePEc:arx:papers:2005.01160.

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2020Systemic Risk in Market Microstructure of Crude Oil and Gasoline Futures Prices: A Hawkes Flocking Model Approach. (2020). Lee, Kyungsub ; Jang, Hyun Jin. In: Papers. RePEc:arx:papers:2012.04181.

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2021Marginals Versus Copulas: Which Account For More Model Risk In Multivariate Risk Forecasting?. (2021). Timphus, Maike ; Fritzsch, Simon ; Weiss, Gregor. In: Papers. RePEc:arx:papers:2109.10946.

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2020Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540.

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2021Non-bank financial intermediaries and financial stability. (2021). Schrimpf, Andreas ; Shin, Hyun Song ; Aramonte, Sirio. In: BIS Working Papers. RePEc:bis:biswps:972.

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2021Optimal investment, derivative demand, and arbitrage under price impact. (2021). Spiliopoulos, Konstantinos ; Robertson, Scott ; Anthropelos, Michail. In: Mathematical Finance. RePEc:bla:mathfi:v:31:y:2021:i:1:p:3-35.

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2020Tail Granger causalities and where to find them: Extreme risk spillovers vs spurious linkages. (2020). Lillo, Fabrizio ; Campajola, Carlo ; Zaoli, Silvia ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:121:y:2020:i:c:s0165188920301901.

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2021Optimal market-Making strategies under synchronised order arrivals with deep neural networks. (2021). Zheng, Harry ; Lee, Kyungsub ; Jang, Hyun Jin ; Choi, So Eun. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:125:y:2021:i:c:s0165188921000336.

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2021Leverage and systemic risk pro-cyclicality in the Chinese financial system. (2021). Urga, Giovanni ; Pellini, Elisabetta ; Cincinelli, Peter. In: International Review of Financial Analysis. RePEc:eee:finana:v:78:y:2021:i:c:s1057521921002210.

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2021A two-stage general approach to aggregate multiple bank risks. (2021). Li, Jian Ping ; Wei, LU ; Zhu, Xiaoqian. In: Finance Research Letters. RePEc:eee:finlet:v:40:y:2021:i:c:s154461232030533x.

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2021A model of delegation with a VaR constraint. (2021). Qiu, Zhigang ; Wang, Hefei ; Li, AO ; Jiang, Ying ; Guo, Rui. In: Finance Research Letters. RePEc:eee:finlet:v:42:y:2021:i:c:s1544612320317098.

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2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

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2020.

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2020Sustainable Financial Risk Modelling Fitting the SDGs: Some Reflections. (2020). Walter, Christian. In: Sustainability. RePEc:gam:jsusta:v:12:y:2020:i:18:p:7789-:d:416749.

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2021Computational Valuation Model of Housing Price Using Pseudo Self Comparison Method. (2021). Choi, Seung Woo ; Yi, Mun Yong. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:20:p:11489-:d:658814.

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2021The New Standardised Approach as a Credible Fallback. (2021). Rossignolo, Adrian F. In: Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance). RePEc:imx:journl:v:16:y:2021:i:tnea:a:1.

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2020An energy-based measure for long-run horizon risk quantification. (2020). Maurer, Frantz ; Tzagkarakis, George . In: Annals of Operations Research. RePEc:spr:annopr:v:289:y:2020:i:2:d:10.1007_s10479-020-03609-5.

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2020Investment dealer collateral and leverage procyclicality. (2020). Allen, Jason ; Usher, Andrew. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:2:d:10.1007_s00181-018-1553-1.

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2022Operational risk assessment of third-party payment platforms: a case study of China. (2022). Li, Jian Ping ; Yao, Yinhong. In: Financial Innovation. RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00332-x.

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2022Fuelling fire sales? Prudential regulation and crises: evidence from the Italian market. (2022). leardi, alessandro. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:46:y:2022:i:1:d:10.1007_s12197-021-09558-4.

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2020Is systemic risk systematic? Evidence from the U.S. stock markets. (2020). Park, Sunyoung ; Kim, Kanghyun ; Choi, Seo Joon. In: International Journal of Finance & Economics. RePEc:wly:ijfiec:v:25:y:2020:i:4:p:642-663.

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2020How Does the Stock Market View Bank Regulatory Capital Forbearance Policies?. (2020). Lai, Van Son ; Ye, Xiaoxia. In: Journal of Money, Credit and Banking. RePEc:wly:jmoncb:v:52:y:2020:i:8:p:1873-1907.

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Works by Jean-Pierre Zigrand:


YearTitleTypeCited
2004Strategic Financial Innovation in Segmented Markets In: CEPR Discussion Papers.
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paper18
2009Strategic Financial Innovation in Segmented Markets.(2009) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 18
article
2005Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability.
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article7
2004The impact of risk regulation on price dynamics In: Journal of Banking & Finance.
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article97
2006On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance.
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article47
2004A general equilibrium analysis of strategic arbitrage In: Journal of Mathematical Economics.
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article8
2006Endogenous market integration, manipulation and limits to arbitrage In: Journal of Mathematical Economics.
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article6
2001On Physics and Finance In: FMG Special Papers.
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paper0
2012Endogenous and Systemic Risk In: NBER Chapters.
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chapter20
2008Equilibrium asset pricing with systemic risk In: Economic Theory.
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article20
2005Rational Asset Pricing Implications from Realistic Trading Frictions In: The Journal of Business.
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article0

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