7
H index
5
i10 index
223
Citations
London School of Economics (LSE) | 7 H index 5 i10 index 223 Citations RESEARCH PRODUCTION: 8 Articles 2 Papers 1 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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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: | Cites to: |
Journals with more than one article published | # docs |
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Journal of Mathematical Economics | 2 |
Journal of Banking & Finance | 2 |
Year | Title of citing document |
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2021 | Equilibrium in thin security markets under restricted participation. (2019). Anthropelos, Michail ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:1802.09954. Full description at Econpapers || Download paper |
2021 | Tail 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. Full description at Econpapers || Download paper |
2020 | Systemic 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. Full description at Econpapers || Download paper |
2021 | Marginals 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. Full description at Econpapers || Download paper |
2020 | Regulatory Banking Leverage: what do you know?. (2020). Kimura, Herbert ; da Rosa, Douglas. In: Working Papers Series. RePEc:bcb:wpaper:540. Full description at Econpapers || Download paper |
2021 | Non-bank financial intermediaries and financial stability. (2021). Schrimpf, Andreas ; Shin, Hyun Song ; Aramonte, Sirio. In: BIS Working Papers. RePEc:bis:biswps:972. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2020 | Tail 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. Full description at Econpapers || Download paper |
2021 | Optimal 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. Full description at Econpapers || Download paper |
2021 | Leverage 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2021 | A 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. Full description at Econpapers || Download paper |
2020 | How 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. Full description at Econpapers || Download paper |
2020 | . Full description at Econpapers || Download paper |
2020 | Sustainable 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. Full description at Econpapers || Download paper |
2021 | Computational 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. Full description at Econpapers || Download paper |
2021 | The 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. Full description at Econpapers || Download paper |
2020 | An 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. Full description at Econpapers || Download paper |
2020 | Investment 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. Full description at Econpapers || Download paper |
2022 | Operational 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. Full description at Econpapers || Download paper |
2022 | Fuelling 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. Full description at Econpapers || Download paper |
2020 | Is 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. Full description at Econpapers || Download paper |
2020 | How 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. Full description at Econpapers || Download paper |
Year | Title | Type | Cited |
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2004 | Strategic Financial Innovation in Segmented Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
2009 | Strategic Financial Innovation in Segmented Markets.(2009) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 18 | article | |
2005 | Highwaymen or heroes: Should hedge funds be regulated?: A survey In: Journal of Financial Stability. [Full Text][Citation analysis] | article | 7 |
2004 | The impact of risk regulation on price dynamics In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 97 |
2006 | On time-scaling of risk and the square-root-of-time rule In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 47 |
2004 | A general equilibrium analysis of strategic arbitrage In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 8 |
2006 | Endogenous market integration, manipulation and limits to arbitrage In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 6 |
2001 | On Physics and Finance In: FMG Special Papers. [Full Text][Citation analysis] | paper | 0 |
2012 | Endogenous and Systemic Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 20 |
2008 | Equilibrium asset pricing with systemic risk In: Economic Theory. [Full Text][Citation analysis] | article | 20 |
2005 | Rational Asset Pricing Implications from Realistic Trading Frictions In: The Journal of Business. [Full Text][Citation analysis] | article | 0 |
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