Pierre Giot : Citation Profile

Université de Namur

17

H index

19

i10 index

1662

Citations

RESEARCH PRODUCTION:

23

Articles

77

Papers

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 83
   Journals where Pierre Giot has often published
   Relations with other researchers
   Recent citing documents: 56.    Total self citations: 25 (1.48 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgi19
   Updated: 2025-12-20    RAS profile: 2023-03-16    
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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 Pierre Giot.

Is cited by:

Degiannakis, Stavros (72)

Hautsch, Nikolaus (34)

GUPTA, RANGAN (34)

Angelidis, Timotheos (28)

Bauwens, Luc (27)

Dionne, Georges (21)

Pierdzioch, Christian (19)

Grammig, Joachim (17)

Fernandes, Marcelo (17)

Floros, Christos (15)

Louzis, Dimitrios (15)

Cites to:

Campbell, John (60)

Shiller, Robert (36)

Bollerslev, Tim (26)

Engle, Robert (22)

Bauwens, Luc (21)

Diebold, Francis (20)

Andersen, Torben (18)

French, Kenneth (11)

Gompers, Paul (10)

Veredas, David (10)

Jasiak, Joann (9)

Main data

Where Pierre Giot has published?

Journals with more than one article published# docs
The European Journal of Finance2
Journal of Futures Markets2
Empirical Economics2
Journal of Empirical Finance2
International Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Post-Print / HAL10
Discussion Papers (ECON - Dpartement des Sciences Economiques) / Universit catholique de Louvain, Dpartement des Sciences Economiques2

Recent works citing Pierre Giot (2025 and 2024)

YearTitle of citing document
2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2024). Blasques, Francisco ; Hol, Vladim'Ir ; Tomanov, Petra. In: Papers. RePEc:arx:papers:1812.07318.

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2024High-Dimensional Mean-Variance Spanning Tests. (2024). Ardia, David ; Laurent, S'Ebastien ; Sessinou, Rosnel. In: Papers. RePEc:arx:papers:2403.17127.

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2024What events matter for exchange rate volatility ?. (2024). FREITAS LOPES, HEDIBERT ; Ferreira Batista Martins, Igor. In: Papers. RePEc:arx:papers:2411.16244.

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2024Control strategies for impactful exits in impact private equity firms. (2024). Islam, Syrus M ; Akroyd, Chris. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3419-3442.

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2024COVID‐19, Mobility Restriction Policies and Stock Market Volatility: A Cross‐Country Empirical Study. (2024). Vespignani, Joaquin ; Ahadzie, Richard Mawulawoe ; Kangogo, Moses ; Khan, Faisal ; Daugaard, Dan. In: Economic Papers. RePEc:bla:econpa:v:43:y:2024:i:2:p:184-203.

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2024The Relationship Between Stock Performance and Money Supply Based on VAR Model in the Context of E-commerce. (2024). Lianshi, Qiu. In: Economics - The Open-Access, Open-Assessment Journal. RePEc:bpj:econoa:v:18:y:2024:i:1:p:12:n:1013.

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2025Heterogeneity, Jumps and Co-Movements in Transmission of Volatility Spillovers Among Cryptocurrencies. (2025). Maria, Tantoula ; Manolis, Tzagarakis ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:29:y:2025:i:5:p:621-649:n:1002.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2449.

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2024Jumps Versus Bursts: Dissection and Origins via a New Endogenous Thresholding Approach. (2024). Zhao, Xueyan ; LINTON, OLIVER ; Hong, S Y. In: Janeway Institute Working Papers. RePEc:cam:camjip:2423.

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2024Extended multivariate EGARCH model: A model for zero€ return and negative spillovers. (2024). Xu, Yongdeng. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2024/24.

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2024The sunk cost fallacy in venture capital staging: Decision-making dynamics for follow-on investment rounds. (2024). Hogrebe, Fabian ; Lutz, Eva. In: Journal of Corporate Finance. RePEc:eee:corfin:v:86:y:2024:i:c:s0929119924000518.

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2025Examining Chinese volume–volatility nexus: A regime-switching perspective. (2025). Yan, Yayi ; Xia, Yingcun ; Wang, Shaoping. In: Economic Modelling. RePEc:eee:ecmode:v:144:y:2025:i:c:s0264999324003407.

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2025Optimal venture capital entry–exit strategy with jump–diffusion risk. (2025). Wang, Haijun ; Zuo, SI. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002845.

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2024Exit routes, investor type, and the Covid-19 crisis: Insights from UK equity-funded companies. (2024). Wilson, Nicholas ; Zouari, Sana ; Kacer, Marek. In: Economics Letters. RePEc:eee:ecolet:v:243:y:2024:i:c:s0165176524003884.

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2024Autoregressive conditional betas. (2024). Laurent, Sébastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:238:y:2024:i:2:s0304407623003469.

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2024Macroeconomic news, senior officials speeches, and emerging currency markets: An intraday analysis of price jump reaction. (2024). ben Omrane, Walid ; Ayadi, Mohamed A ; Das, Deepan Kumar. In: Emerging Markets Review. RePEc:eee:ememar:v:60:y:2024:i:c:s1566014124000426.

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2024Forecasting realized volatility: Does anything beat linear models?. (2024). Zevallos, Mauricio ; Rubesam, Alexandre ; Branco, Rafael R. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000598.

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2024Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Lyu, Yongjian ; Ke, Rui ; Yang, MO ; Chang, Jianing ; Qin, Fanshu. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002081.

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2024More is better? The impact of predictor choice on the INE oil futures volatility forecasting. (2024). Tang, Xiaoping ; Fu, Tong ; Feng, Lingbing ; Huang, Dasen. In: Energy Economics. RePEc:eee:eneeco:v:134:y:2024:i:c:s0140988324002482.

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2024Volatility dynamics of agricultural futures markets under uncertainties. (2024). Uddin, Gazi ; PARK, DONGHYUN ; Zhu, Xuening ; Sheng, Lin Wen ; Dutta, Anupam. In: Energy Economics. RePEc:eee:eneeco:v:136:y:2024:i:c:s0140988324004626.

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2024Return and volatility spillovers between the raw material and electric vehicles markets. (2024). Zilberman, David ; Petit, Mathieu ; Janda, Karel ; Alekseev, Oleg. In: Energy Economics. RePEc:eee:eneeco:v:137:y:2024:i:c:s0140988324005164.

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2025Foreign exchange markets, climate risks and contextual news: An intraday analysis. (2025). ben Omrane, Walid ; Panah, Pari Gholi ; Ayadi, Mohamed A. In: International Review of Financial Analysis. RePEc:eee:finana:v:102:y:2025:i:c:s1057521925001905.

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2024A universal exponent governing foreign exchange rate risks. (2024). Grobys, Klaus. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003545.

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2024Differentiating between successful VC exit strategies: The influences of time-since-first-funding-received by the venture and strength of US VCs in cross-border syndicates. (2024). Nguyen, Nga ; Goel, Sanjay ; Sinha, Kanhaiya K. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006902.

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2024A dynamic duration approach to venture capital exit. (2024). Wong, Yuet-Yee. In: Finance Research Letters. RePEc:eee:finlet:v:68:y:2024:i:c:s1544612324009619.

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2024Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585.

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2025News and intraday retail investor order flow in foreign exchange markets. (2025). Kaourma, Theofilia ; Milidonis, Andreas ; Nishiotis, George ; Panayides, Marios. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000368.

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2024Forecasting day-ahead expected shortfall on the EUR/USD exchange rate: The (I)relevance of implied volatility. (2024). Vrost, Toma ; Plihal, Toma ; Lyocsa, Tefan. In: International Journal of Forecasting. RePEc:eee:intfor:v:40:y:2024:i:4:p:1275-1301.

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2024Forecasting downside and upside realized volatility: The role of asymmetric information. (2024). Maki, Daiki. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494924000069.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Wei, YU ; Lyu, Yongjian ; Ke, Rui ; Kong, Mengzhen ; Qin, Fanshu. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2024Realized volatility, price informativeness, and tick size: A market microstructure approach. (2024). Xiao, Xijuan ; Yamamoto, Ryuichi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pa:p:410-426.

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2024Volatility forecasting on Chinas oil futures: New evidence from interpretable ensemble boosting trees. (2024). lucey, brian ; Zhu, Yiying ; Feng, Lingbing ; Rao, Haicheng. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1595-1615.

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2024Asymmetric effect of trading volume on realized volatility. (2024). Maki, Daiki. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003800.

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2024Recession fears and stock markets: An application of directional wavelet coherence and a machine learning-based economic agent-determined Google fear index. (2024). Brzeszczyski, Janusz ; Obojska, Lidia ; Charteris, Ailie ; Szczygielski, Jan Jakub. In: Research in International Business and Finance. RePEc:eee:riibaf:v:72:y:2024:i:pa:s0275531924002411.

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2025Linear and nonlinear econometric models against machine learning models: realized volatility prediction. (2025). Kili, Rehim. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2025-61.

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2025Spot Volatility Measurement Using a Change-Point Duration Model in the High-Frequency Market. (2025). Wang, Yan ; Xing, Haipeng ; Li, Zhicheng. In: IJFS. RePEc:gam:jijfss:v:13:y:2025:i:4:p:186-:d:1764124.

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2024Venture capital and methods of payment in mergers and acquisitions. (2024). Pham, Hung ; Nguyen, Giang. In: Post-Print. RePEc:hal:journl:hal-04325755.

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2024Autoregressive conditional betas. (2024). Francq, Christian ; Blasques, F ; Laurent, Sebastien. In: Post-Print. RePEc:hal:journl:hal-04676069.

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2024Evaluating Density Forecasts Using Weighted Multivariate Scores in a Risk Management Context. (2024). Cheng, Jie. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:6:d:10.1007_s10614-024-10571-y.

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2024Realized higher moments and trading activity. (2024). Yuan, Shu-Fang. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:3:d:10.1007_s11156-023-01227-3.

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2024Beyond probability-impact matrices in project risk management: A quantitative methodology for risk prioritisation. (2024). Pajares, J ; Gonzalez-Varona, J M ; Acebes, F ; Lopez-Paredes, A. In: Palgrave Communications. RePEc:pal:palcom:v:11:y:2024:i:1:d:10.1057_s41599-024-03180-5.

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2024High-frequency enhanced VaR: A robust univariate realized volatility model for diverse portfolios and market conditions. (2024). Kuang, Wei. In: PLOS ONE. RePEc:plo:pone00:0303962.

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2024Diversity in National Culture and Financial Harvest Exit Strategy in New Technology Ventures. (2024). Elitzur, Ramy ; Milo, Orit ; Gavious, Ilanit. In: Entrepreneurship Theory and Practice. RePEc:sae:entthe:v:48:y:2024:i:3:p:881-908.

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2025Assessing the Risk of Bitcoin Futures Market: New Evidence. (2025). Dutta, Anupam. In: Annals of Data Science. RePEc:spr:aodasc:v:12:y:2025:i:2:d:10.1007_s40745-024-00517-4.

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2024Time varying effects in survival analysis: a novel data-driven method for drift identification and variable selection. (2024). Riso, Luigi ; Babutsidze, Zakaria ; Guerzoni, Marco. In: Eurasian Business Review. RePEc:spr:eurasi:v:14:y:2024:i:1:d:10.1007_s40821-024-00260-z.

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2025Performance of government venture capital (GVC): an Asian perspective. (2025). Muhammad, Iqbal ; Serve, Stphanie. In: International Entrepreneurship and Management Journal. RePEc:spr:intemj:v:21:y:2025:i:1:d:10.1007_s11365-024-01036-7.

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2024Forecasting VaR and ES in emerging markets: The role of time‐varying higher moments. (2024). Le, Trung H. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:2:p:402-414.

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2024Can intraday data improve the joint estimation and prediction of risk measures? Evidence from a variety of realized measures. (2024). Wu, Zhimin ; Cai, Guanghui. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:1956-1974.

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2024Forecasting the realized volatility of agricultural commodity prices: Does sentiment matter?. (2024). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Forecasting. RePEc:wly:jforec:v:43:y:2024:i:6:p:2088-2125.

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2025Parametric Quantile Autoregressive Conditional Duration Models With Application to Intraday Value‐at‐Risk Forecasting. (2025). Saulo, Helton ; Dasilva, Alan ; Vila, Roberto ; Souza, Rubens ; Pal, Suvra. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:2:p:589-605.

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2025Extended Multivariate EGARCH Model: A Model for Zero‐Return and Negative Spillovers. (2025). Xu, Yongdeng. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:4:p:1266-1279.

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2025Modeling and Forecasting the CBOE VIX With the TVP‐HAR Model. (2025). Xu, Wen ; Aschakulporn, Pakorn ; Zhang, Jin E. In: Journal of Forecasting. RePEc:wly:jforec:v:44:y:2025:i:5:p:1638-1657.

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2024Revisiting the puzzle of jumps in volatility forecasting: The new insights of high‐frequency jump intensity. (2024). Wang, Tianyang ; Shangguan, Peng ; He, Mengying ; Qu, Hui. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:2:p:218-251.

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2025Unveiling Bidirectional Forecasting Between Volatility of VIX and Stock Market: Insights From Asymmetric Jumps and Cojumps. (2025). Jiang, Gongyue ; Qiao, Gaoxiu ; Liang, Chao. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:10:p:1717-1739.

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2025Commodity Price Crash Risk and Crash Risk Contagion. (2025). Jain, Prachi ; Maitra, Debasish. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:4:p:343-378.

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2025Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality. (2025). Siu, Tak Kuen. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:8:p:917-945.

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Works by Pierre Giot:

YearTitleTypeCited
2000The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks In: Annals of Economics and Statistics.
[Full Text][Citation analysis]		article196
2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 196		paper
2007An International Analysis of Earnings, Stock Prices and Bond Yields In: Journal of Business Finance & Accounting.
[Full Text][Citation analysis]		article16
2007An international analysis of earnings, stock prices and Bond yields.(2007) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2005An international analysis of earnings, stock prices and bond yields.(2005) In: Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2007An International Analysis of Earnings, Stock Prices and Bond Yields..(2007) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2005An international analysis of earnings, stock prices and bond yields.(2005) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2005An international analysis of earnings, stock prices and bond yields.(2005) In: Working Paper Research.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 16		paper
2010Volatility regimes and liquidity co-movements in cap-based portfolios In: Finance.
[Full Text][Citation analysis]		article1
2010Volatility regimes and liquidity co-movements in cap-based portfolios.(2010) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2010Volatility regimes and liquidity co-movements in cap-based portfolios..(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
1997A Gibbs sampling approach to cointegration In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper8
1998Gibbs sampling approach to cointegration.(1998) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 8		paper
1997The logarithmic ACD model: an application to market microstructure and NASDAQ In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper2
1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper5
1999Co-integration and leadership in the European off-season fresh fruit market. In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper0
1999Time transformations, intraday data and volatility models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper17
2001Time transformations, intraday data, and volatility models.(2001) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 17		paper
2000Intraday value-at-risk. In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1
2000A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper114
2004A comparison of financial duration models via density forecasts.(2004) In: LIDAM Reprints CORE.
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2000A Comparison of Financial Duration Models via Density Forecasts.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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This paper has nother version. Agregated cites: 114		paper
2004A comparison of financial duration models via density forecasts.(2004) In: International Journal of Forecasting.
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2004A comparison of financial duration models via density forecast.(2004) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 114		paper
2001Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper209
2003Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 209		paper
2003Value-at-risk for long and short trading positions.(2003) In: Journal of Applied Econometrics.
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2001VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS.(2001) In: Computing in Economics and Finance 2001.
[Citation analysis]
This paper has nother version. Agregated cites: 209		paper
2002The information content of implied volatility in agricultural commodity markets In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper43
2003The information content of implied volatility in agricultural commodity markets.(2003) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 43		paper
2003The information content of implied volatility in agricultural commodity markets.(2003) In: Journal of Futures Markets.
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This paper has nother version. Agregated cites: 43		article
2002Implied volatility indices as leading indicators of stock index returns ? In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper4
2002How large is liquidity risk in an automated auction market ? In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper13
2006How large is liquidity risk in an automated auction market?.(2006) In: LIDAM Reprints CORE.
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2006How large is liquidity risk in an automated auction market?.(2006) In: Empirical Economics.
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2002How large is liquidity risk in an automated auction market?.(2002) In: University of St. Gallen Department of Economics working paper series 2002.
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This paper has nother version. Agregated cites: 13		paper
2003The moments of Log-ACD models In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper22
2009The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE.
[Citation analysis]
This paper has nother version. Agregated cites: 22		paper
2003The information content of implied volatility indexes for forecasting volatility and market risk In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper17
2003Market risk in commodity markets: a VaR approach In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper146
2003Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE.
[Citation analysis]
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2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
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This paper has nother version. Agregated cites: 146		article
2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper125
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 125		paper
2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: Journal of International Money and Finance.
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2003The Asian financial crisis : the start of a regime switch in volatility In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper4
2005Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper1
2005Commonalities in the order book In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper21
2009Commonalities in the order book.(2009) In: LIDAM Reprints CORE.
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2005Commonalities in the order book.(2005) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2009Commonalities in the order book.(2009) In: Financial Markets and Portfolio Management.
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2009Commonalities in the order book.(2009) In: CFR Working Papers.
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