Pierre Giot : Citation Profile

Are you Pierre Giot?

Université de Namur

17

H index

19

i10 index

1616

Citations

RESEARCH PRODUCTION:

23

Articles

77

Papers

RESEARCH ACTIVITY:

   20 years (1997 - 2017). See details.
   Cites by year: 80
   Journals where Pierre Giot has often published
   Relations with other researchers
   Recent citing documents: 65.    Total self citations: 25 (1.52 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pgi19
   Updated: 2024-12-03    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)

Fernandes, Marcelo (17)

Grammig, Joachim (17)

Louzis, Dimitrios (15)

Floros, Christos (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
Journal of Futures Markets2
The European Journal of Finance2
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 (2024 and 2023)

YearTitle of citing document
2023.

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2023A mutually exciting rough jump diffusion for financial modelling. (2023). Hainaut, Donatien. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023011.

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2024Zero-Inflated Autoregressive Conditional Duration Model for Discrete Trade Durations with Excessive Zeros. (2018). Blasques, Francisco ; Tomanov, Petra ; Hol, Vladim'Ir. In: Papers. RePEc:arx:papers:1812.07318.

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2023Price Impact of Order Flow Imbalance: Multi-level, Cross-sectional and Forecasting. (2021). Zhang, Chao ; Cucuringu, Mihai ; Cont, Rama. In: Papers. RePEc:arx:papers:2112.13213.

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2023Measuring tail risk at high-frequency: An $L_1$-regularized extreme value regression approach with unit-root predictors. (2023). Trapin, Luca ; Sun, LI ; Hambuckers, Julien. In: Papers. RePEc:arx:papers:2301.01362.

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

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2023.

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2023.

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2023Uncertainty and realized jumps in the pound-dollar exchange rate: evidence from over one century of data. (2023). GUPTA, RANGAN ; Dimitrios, Vortelinos ; Konstantinos, Gkillas. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:27:y:2023:i:1:p:25-47:n:8.

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2023A comparison of high-frequency realized variance measures: Does anything beat ACD(1,1)?. (2023). Wiedemann, Timo ; Segnon, Mawuli ; Schulte-Tillmann, Bjoern. In: CQE Working Papers. RePEc:cqe:wpaper:10523.

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2023Early individual stakeholders, first venture capital investment, and exit in the UK startup ecosystem. (2023). Perez-Castrillo, David ; Macho-Stadler, Ines ; Nieto-Postigo, Jonas ; Banal-Estaol, Albert. In: Journal of Corporate Finance. RePEc:eee:corfin:v:80:y:2023:i:c:s092911992300069x.

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2023A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market. (2023). Xing, Haipeng ; Chen, Xinyun ; Li, Zhicheng. In: Economic Modelling. RePEc:eee:ecmode:v:118:y:2023:i:c:s0264999322003194.

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2023Price Risk Analysis using GARCH Family Models: Evidence from Shanghai Crude Oil Futures Market. (2023). Si, Xiaoli ; Pei, Haotian ; Yang, Aijun ; Bei, Shuhua. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001797.

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2023Laplacian-energy-like measure: Does it improve the Cross-Sectional Absolute Deviation herding model?. (2023). Yang, Xin ; Deng, Yanchen ; Cai, Yaqian ; Huang, Chuangxia. In: Economic Modelling. RePEc:eee:ecmode:v:127:y:2023:i:c:s0264999323002857.

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2023Quasi score-driven models. (2023). Laurent, Sebastien ; Francq, Christian ; Blasques, F. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:251-275.

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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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2023Bayesian estimation of realized GARCH-type models with application to financial tail risk management. (2023). , Edward ; Watanabe, Toshiaki. In: Econometrics and Statistics. RePEc:eee:ecosta:v:28:y:2023:i:c:p:30-46.

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2023The contribution of jump signs and activity to forecasting stock price volatility. (2023). Murphy, Anthony ; Izzeldin, Marwan ; Hizmeri, Rodrigo ; Bu, Ruijun ; Tsionas, Mike. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:144-164.

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2023Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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

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2023Chinese agricultural futures volatility: New insights from potential domestic and global predictors. (2023). Huang, Dengshi ; Su, Yuandong ; Lu, Xinjie. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923003022.

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2023ESG positioning in private infrastructure fundraising. (2023). Tarsalewska, Monika ; Park, Min ; Duncombe, Samuel ; Trojanowski, Grzegorz. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004404.

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2023Climate risks and state-level stock market realized volatility. (2023). Pierdzioch, Christian ; GUPTA, RANGAN ; Cepni, Oguzhan ; Bonato, Matteo. In: Journal of Financial Markets. RePEc:eee:finmar:v:66:y:2023:i:c:s1386418123000526.

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2023Discovering the drivers of stock market volatility in a data-rich world. (2023). Ryu, Doojin ; Cho, Hoon ; Chun, Dohyun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001561.

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2023Estimation of value at risk for copper. (2023). Papathanasiou, Spyros ; Konstantatos, Christoforos ; Gkillas, Konstantinos ; Wohar, Mark. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:32:y:2023:i:c:s2405851323000417.

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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). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2023On a quantile autoregressive conditional duration model. (2023). Vila, Roberto ; Balakrishnan, Narayanaswamy ; Saulo, Helton. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:203:y:2023:i:c:p:425-448.

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2024Realized volatility, price informativeness, and tick size: A market microstructure approach. (2024). Yamamoto, Ryuichi ; Xiao, Xijuan. 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). Zhu, Yiying ; Lucey, Brian ; Rao, Haicheng ; Feng, Lingbing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:1595-1615.

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2023Return–volume nexus in financial markets: A survey of research. (2023). Yamani, Ehab. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000363.

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2023Distribution Prediction of Decomposed Relative EVA Measure with Levy-Driven Mean-Reversion Processes: The Case of an Automotive Sector of a Small Open Economy. (2023). Ratmanova, Iveta ; Ponik, Antonin ; Lisztwanova, Karolina ; Dluhoova, Dana ; Zmekal, Zdenk. In: Forecasting. RePEc:gam:jforec:v:5:y:2023:i:2:p:25-471:d:1158257.

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2023Markov-Regime Switches in Oil Markets: The Fear Factor Dynamics. (2023). Okawa, Hiroyuki. In: JRFM. RePEc:gam:jjrfmx:v:16:y:2023:i:2:p:67-:d:1045068.

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2023.

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2023A New Neural Network Approach for Predicting the Volatility of Stock Market. (2023). Kim, Geonwoo ; Koo, Eunho. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:4:d:10.1007_s10614-022-10261-7.

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2023Same same but different: how preferential claims trigger valuation discounts in equity tranches of VC-backed firms. (2023). Schwetzler, Bernhard ; Schreiter, Maximilian ; Lodowicks, Arnd ; Kaboth, Julian. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:60:y:2023:i:3:d:10.1007_s11156-022-01115-2.

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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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2023The timing dilemma: understanding the determinants of innovative startups’ patent collateralization for loans. (2023). Wu, Bingde ; Hu, Die ; Zhang, Hao ; Yang, Xue. In: Small Business Economics. RePEc:kap:sbusec:v:60:y:2023:i:1:d:10.1007_s11187-022-00645-2.

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2023Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla. In: Journal of Banking Regulation. RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z.

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2023Backtesting VaR Models: A Τwo-Stage Procedure. (2007). Degiannakis, Stavros ; Angelidis, Timotheos. In: MPRA Paper. RePEc:pra:mprapa:80418.

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

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2023Do artificial neural networks provide improved volatility forecasts: Evidence from Asian markets. (2023). Kambouroudis, Dimos ; McMillan, David G ; Sahiner, Mehmet. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:3:d:10.1007_s12197-023-09629-8.

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2023Long-Memory, Asymmetry and Fat-Tailed GARCH Models in Value-at-Risk Estimation: Empirical Evidence from the Global Real Estate Markets. (2023). Mighri, Zouheir ; Jaziri, Raouf. In: Journal of Quantitative Economics. RePEc:spr:jqecon:v:21:y:2023:i:1:d:10.1007_s40953-022-00331-w.

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2023A class of Minimum Distance Estimators in Markovian Multiplicative Error Models. (2023). Balakrishna, Narayana ; Perera, Indeewara ; Koul, Hira L. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-021-00274-x.

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2023Review of Statistical Approaches for Modeling High-Frequency Trading Data. (2023). Ravishanker, Nalini ; Basu, Sumanta ; Karpman, Kara ; Dutta, Chiranjit. In: Sankhya B: The Indian Journal of Statistics. RePEc:spr:sankhb:v:85:y:2023:i:1:d:10.1007_s13571-022-00280-7.

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2023Value‐at‐risk under market shifts through highly flexible models. (2018). Nguyen, Duc Khuong ; BenSaïda, Ahmed ; Boubaker, Sabri ; Bensaida, Ahmed ; Slim, Skander. In: Journal of Forecasting. RePEc:wly:jforec:v:37:y:2018:i:8:p:790-804.

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2023El Niño, La Niña, and forecastability of the realized variance of agricultural commodity prices: Evidence from a machine learning approach. (2023). Pierdzioch, Christian ; Gupta, Rangan ; Epni, Ouzhan ; Bonato, Matteo. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:4:p:785-801.

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2023A new model for forecasting VaR and ES using intraday returns aggregation. (2023). Li, Handong ; Song, Shijia. In: Journal of Forecasting. RePEc:wly:jforec:v:42:y:2023:i:5:p:1039-1054.

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2023Impact of crude oil volatility jumps on sustainable investments: Evidence from India. (2023). Uddin, Gazi Salah ; Park, Donghyun ; Ghosh, Sajal ; Kanjilal, Kakali ; Dutta, Anupam. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:10:p:1450-1468.

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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.
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2000The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks.(2000) In: LIDAM Reprints CORE.
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This paper has nother version. Agregated cites: 191		paper
2007An International Analysis of Earnings, Stock Prices and Bond Yields In: Journal of Business Finance & Accounting.
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2007An international analysis of earnings, stock prices and Bond yields.(2007) In: LIDAM Reprints CORE.
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2005An international analysis of earnings, stock prices and bond yields.(2005) In: Working Paper Series.
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2007An International Analysis of Earnings, Stock Prices and Bond Yields..(2007) In: Post-Print.
[Citation analysis]
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2005An international analysis of earnings, stock prices and bond yields.(2005) In: Post-Print.
[Citation analysis]
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2005An international analysis of earnings, stock prices and bond yields.(2005) In: Working Paper Research.
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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.
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2010Volatility regimes and liquidity co-movements in cap-based portfolios..(2010) In: Post-Print.
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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.
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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.
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1998Asymmetric ACD models: introducing price information in ACD models with a two state transition model In: LIDAM Discussion Papers CORE.
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1999Co-integration and leadership in the European off-season fresh fruit market. In: LIDAM Discussion Papers CORE.
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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.
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2000Intraday value-at-risk. In: LIDAM Discussion Papers CORE.
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2000A comparison of financial duration models via density forecasts In: LIDAM Discussion Papers CORE.
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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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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.
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2001Value-at-risk for long and short trading positions In: LIDAM Discussion Papers CORE.
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2003Value-at-Risk for long and short trading positions.(2003) In: LIDAM Reprints CORE.
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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.
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2002The information content of implied volatility in agricultural commodity markets In: LIDAM Discussion Papers CORE.
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2003The information content of implied volatility in agricultural commodity markets.(2003) In: LIDAM Reprints CORE.
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2003The information content of implied volatility in agricultural commodity markets.(2003) In: Journal of Futures Markets.
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2002Implied volatility indices as leading indicators of stock index returns ? In: LIDAM Discussion Papers CORE.
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2002How large is liquidity risk in an automated auction market ? In: LIDAM Discussion Papers CORE.
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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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2003The moments of Log-ACD models In: LIDAM Discussion Papers CORE.
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2009The moments of Log-ACD models.(2009) In: LIDAM Reprints CORE.
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2003The information content of implied volatility indexes for forecasting volatility and market risk In: LIDAM Discussion Papers CORE.
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2003Market risk in commodity markets: a VaR approach In: LIDAM Discussion Papers CORE.
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2003Market risk in commodity markets: a VaR approach.(2003) In: LIDAM Reprints CORE.
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2003Market risk in commodity markets: a VaR approach.(2003) In: Energy Economics.
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2003News announcements, market activity and volatility in the Euro/Dollar foreign exchange market In: LIDAM Discussion Papers CORE.
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2005News announcements, market activity and volatility in the euro/dollar foreign exchange market.(2005) In: LIDAM Reprints CORE.
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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.
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2005Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE.
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2005Commonalities in the order book In: LIDAM Discussion Papers CORE.
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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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2005Volatility regimes and the provision of liquidity in order book markets In: LIDAM Discussion Papers CORE.
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2004Volatility regimes and the provisions of liquidity in order book markets.(2004) In: Discussion Papers (ECON - Département des Sciences Economiques).
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2006Volatility regimes and the provision of liquidity in order book markets..(2006) In: Post-Print.
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2006Volatility regimes and the provision of liquidity in order book markets..(2006) In: Post-Print.
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2005Volatility regimes and the provision of liquidity in order book markets..(2005) In: Post-Print.
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2005Volatility regimes and the provision of liquidity in order book markets..(2005) In: Post-Print.
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2005IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]		paper113
2007IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis.(2007) In: LIDAM Reprints CORE.
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2007IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis.(2007) In: Journal of Banking & Finance.
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2003IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis.(2003) In: Finance.
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2006International stock return predictability: statistical evidence and economic significance In: LIDAM Discussion Papers CORE.
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2006The information content of the Bond-Equity Yield Ratio: better than a random walk? In: LIDAM Discussion Papers CORE.
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2007The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: LIDAM Reprints CORE.
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2007The information content of the Bond-Equity Yield Ratio: Better than a random walk?.(2007) In: International Journal of Forecasting.
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2006Short-term market timing using the Bond-Equity Yield Ratio In: LIDAM Discussion Papers CORE.
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2009Short-term market timing using the bond-equity yield ratio.(2009) In: LIDAM Reprints CORE.
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2009Short-term market timing using the bond-equity yield ratio.(2009) In: The European Journal of Finance.
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2006Market-wide liquidity co-movements, volatility regimes and market cap sizes In: LIDAM Discussion Papers CORE.
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2000Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models In: LIDAM Reprints CORE.
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2003Asymmetric ACD models: Introducing price information in ACD models In: LIDAM Reprints CORE.
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2003Asymmetric ACD models: Introducing price information in ACD models.(2003) In: Empirical Economics.
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2004Modelling daily Value-at-Risk using realized volatility and ARCH type models. In: LIDAM Reprints CORE.
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2004Modelling daily Value-at-Risk using realized volatility and ARCH type models.(2004) In: Journal of Empirical Finance.
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2002Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models.(2002) In: Computing in Economics and Finance 2002.
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2001Modelling daily value-at-risk using realized volatility and arch type models.(2001) In: Research Memorandum.
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2005Stocks, bonds and the equity risk premium: Some recent academic perspectives In: LIDAM Reprints CORE.
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2005Implied volatility indexes and daily Value at Risk models In: LIDAM Reprints CORE.
[Citation analysis]		paper31
2005Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators? In: LIDAM Reprints CORE.
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2005Market risk models for intraday data In: LIDAM Reprints CORE.
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2005Market risk models for intraday data.(2005) In: The European Journal of Finance.
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2006Les oeuvres dart comme placements financiers: le cas de lart moderne classique et de ses différents courants In: LIDAM Reprints CORE.
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2009Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext In: LIDAM Reprints CORE.
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2009Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext.(2009) In: Global Finance Journal.
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2009Volatility regimes and order book liquidity: evidence from the Belgian segment of Euronext..(2009) In: Post-Print.
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2009Lirrésistible ascension de la finance comportementale In: LIDAM Reprints CORE.
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2010Trading activity, realized volatility and jumps In: LIDAM Reprints CORE.
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2010Trading activity, realized volatility and jumps.(2010) In: Journal of Empirical Finance.
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2011On the statistical and economic performance of stock return predictive regression models: an international perspective In: LIDAM Reprints CORE.
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2011On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: LIDAM Reprints CORE.
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2011On the statistical and economic performance of stock return predictive regression models: an international perspective.(2011) In: Quantitative Finance.
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2014Are novice private equity funds risk-takers? Evidence from a comparison with established funds In: Journal of Corporate Finance.
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2017Private equity fundraising and firm specialization In: The Quarterly Review of Economics and Finance.
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2006Appraising the Fed model: An international analysis of earnings, stock prices and bond yields. In: Post-Print.
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2005Volatility Regimes, Order Books and Liquidity: The case of Euronext. In: Post-Print.
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2004How does liquidity react to stress periods in a limit order market? In: Working Paper Research.
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2003Market Models: A Guide to Financial Data Analysis In: Journal of Financial Econometrics.
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2004Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison In: Computing in Economics and Finance 2004.
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