Florian Ielpo : Citation Profile


Are you Florian Ielpo?

Université Paris 1 (Panthéon-Sorbonne)

8

H index

8

i10 index

277

Citations

RESEARCH PRODUCTION:

25

Articles

37

Papers

RESEARCH ACTIVITY:

   12 years (2006 - 2018). See details.
   Cites by year: 23
   Journals where Florian Ielpo has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 21 (7.05 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pie2
   Updated: 2024-04-18    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 Florian Ielpo.

Is cited by:

Chevallier, Julien (29)

Sévi, Benoît (10)

Wei, Yi-Ming (9)

Gnoatto, Alessandro (9)

Goutte, Stéphane (7)

DA FONSECA, José (5)

Neuenkirch, Matthias (4)

Ben Amar, Amine (4)

Śmiech, Sławomir (4)

Tiwari, Aviral (4)

Hayo, Bernd (4)

Cites to:

Bollerslev, Tim (28)

GUEGAN, Dominique (25)

Andersen, Torben (25)

Engle, Robert (23)

Diebold, Francis (23)

Laurent, Sébastien (14)

Maheu, John (13)

McCurdy, Thomas (11)

Giot, Pierre (11)

Jagannathan, Ravi (11)

Campbell, John (10)

Main data


Where Florian Ielpo has published?


Journals with more than one article published# docs
Applied Economics Letters3
Finance Research Letters2
International Journal of Theoretical and Applied Finance (IJTAF)2
Quantitative Finance2
Journal of Forecasting2

Working Papers Series with more than one paper published# docs
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL22
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne11
MPRA Paper / University Library of Munich, Germany2

Recent works citing Florian Ielpo (2024 and 2023)


YearTitle of citing document
2023The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654.

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2024Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356.

Full description at Econpapers || Download paper

2023The Financial Market of Environmental Indices. (2023). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thisari K. In: Papers. RePEc:arx:papers:2308.15661.

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2023On Climate Fat Tails and Politics. (2023). Mason, Charles ; Wilmot, Neil A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10815.

Full description at Econpapers || Download paper

2023Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario. (2023). Zhou, Xiangjing ; Zeng, Hongjun ; Xu, Wen ; Lu, Ran. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1465-1481.

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2023How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013.

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2023Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis. (2023). Abakah, Emmanuel ; Ntowgyamfi, Matthew ; Le, Tn-Lan ; Shao, Xuefeng ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: Energy Economics. RePEc:eee:eneeco:v:118:y:2023:i:c:s0140988322006272.

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2023U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging. (2023). Lee, Chien-Chiang ; Tiwari, Aviral Kumar ; Nasreen, Samia ; Aikins, Emmanuel Joel. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000303.

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2023Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237.

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2023Parametric heat wave insurance. (2023). Larsson, Karl. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000351.

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2023Causality inference among base metal, rare metal and precious metal markets. (2023). Yu, Hui ; Chen, Hanyu ; Sun, Qingru ; Li, Haoran ; Ding, Yinghui. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723007699.

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2023Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9.

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2023Does Sentiments Impact the Returns of Commodity Derivatives? An Evidence from Multi-commodity Exchange India. (2023). , Manu ; Simon, Aneeta Elsa. In: Vision. RePEc:sae:vision:v:27:y:2023:i:1:p:79-92.

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2023Implied volatility smoothing at COVID-19 times. (2023). Giana, Gabriele ; Kopa, Milo ; Vitali, Sebastiano. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00465-z.

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2023Industry variance risk premium, cross?industry correlation, and expected returns. (2023). Xu, QI ; Luo, Xingguo ; Zhu, Yabei. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:1:p:3-32.

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2023Commodity tail risks. (2023). Prokopczuk, Marcel ; Wursig, Christoph Matthias ; Moerke, Mathis ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:168-197.

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2024Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre? and post?COVID?19. (2024). Assaf, Ata ; Palazzi, Rafael Baptista ; Klotzle, Marcelo Cabus. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:44:y:2024:i:1:p:27-56.

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Works by Florian Ielpo:


YearTitleTypeCited
2014Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production In: Australian Economic Review.
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article0
2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics.
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article18
2008Flexible time series models for subjective distribution estimation with monetary policy in view In: Brussels Economic Review.
[Citation analysis]
article2
2007Flexible time series models for subjective distribution estimation with monetary policy in view.(2007) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 2
paper
2008Flexible time series models for subjective distribution estimation with monetary policy in view.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 2
paper
2007Flexible time series models for subjective distribution estimation with monetary policy in view.(2007) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2
paper
2013Common risk factors in commodities In: Economics Bulletin.
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article0
2013Option pricing with discrete time jump processes In: Journal of Economic Dynamics and Control.
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article5
2013Option pricing with discrete time jump processes.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2012Option pricing with discrete time jump processes.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 5
paper
2011Option pricing with discrete time jump processes.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2012Option pricing with discrete time jump processes.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has nother version. Agregated cites: 5
paper
2018Testing for leverage effects in the returns of US equities In: Journal of Empirical Finance.
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article5
2017Testing for Leverage Effects in the Returns of US Equities.(2017) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 5
paper
2018Testing for leverage effects in the returns of US equities.(2018) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has nother version. Agregated cites: 5
paper
2017Testing for Leverage Effects in the Returns of US Equities.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has nother version. Agregated cites: 5
paper
2009Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event In: Energy Policy.
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article64
2010Martingalized historical approach for option pricing In: Finance Research Letters.
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article10
2009Martingalized Historical approach for Option Pricing.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 10
paper
2010Martingalized Historical approach for Option Pricing.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 10
paper
2012Empirical bias in intraday volatility measures In: Finance Research Letters.
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article4
2018Sector spillovers in credit markets In: Journal of Banking & Finance.
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article18
2017Investigating the leverage effect in commodity markets with a recursive estimation approach In: Research in International Business and Finance.
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article3
2008Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper1
2012Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper25
2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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This paper has nother version. Agregated cites: 25
paper
2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has nother version. Agregated cites: 25
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2012Option pricing for GARCH-type models with generalized hyperbolic innovations.(2012) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 25
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2013Understanding momentum in commodity markets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper3
2013Understanding momentum in commodity markets.(2013) In: Applied Economics Letters.
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This paper has nother version. Agregated cites: 3
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2015A time series approach to option pricing: Models, Methods and Empirical Performances In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper2
2014Commodity Markets through the business cycle In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Commodity markets through the business cycle.(2014) In: Quantitative Finance.
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This paper has nother version. Agregated cites: 8
article
2007Further evidence on the impact of economic news on interest rates In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper3
2009Further evidence on the impact of economic news on interest rates.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]
This paper has nother version. Agregated cites: 3
paper
2007Further evidence on the impact of economic news on interest rates.(2007) In: MPRA Paper.
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This paper has nother version. Agregated cites: 3
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2008Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper6
2008Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology.(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has nother version. Agregated cites: 6
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2009Understanding the Importance of the Duration and Size of the Variations of Feds Target Rate In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper0
2009Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate.(2009) In: The IUP Journal of Monetary Economics.
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This paper has nother version. Agregated cites: 0
article
2010Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper0
2010Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has nother version. Agregated cites: 0
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2011The Number of Regimes Across Asset Returns: Identification and Economic Value In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE.(2014) In: International Journal of Theoretical and Applied Finance (IJTAF).
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This paper has nother version. Agregated cites: 4
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2011Identifying and Explaining the Number of Regimes Driving Asset Returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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paper0
2017The contribution of jumps to forecasting the density of returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2017The contribution of jumps to forecasting the density of returns.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne.
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This paper has nother version. Agregated cites: 0
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2014Forecasting the density of oil futures In: Working Papers.
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paper5
2014Testing for Leverage Effect in Financial Returns In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper1
2007Further evidence on the impact of economic news on interest In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
paper5
2008Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results In: Documents de travail du Centre d'Economie de la Sorbonne.
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paper5
2016An anatomy of global risk premiums In: Journal of Asset Management.
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article0
2006An econometric specification of monetary policy dark art In: MPRA Paper.
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paper0
2007Yield curve reaction to macroeconomic news in Europe :disentangling the US influence In: Working Papers CEB.
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paper3
2013Cross-market linkages between commodities, stocks and bonds In: Applied Economics Letters.
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article6
2013Volatility spillovers in commodity markets In: Applied Economics Letters.
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article36
2012Equity, credit and the business cycle In: Applied Financial Economics.
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article4
2010Mean-reversion properties of implied volatilities In: The European Journal of Finance.
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article1
2014Twenty years of jumps in commodity markets In: International Review of Applied Economics.
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article15
2013Forecasting the European Credit Cycle Using Macroeconomic Variables In: Journal of Forecasting.
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article1
2015Forward Rates, Monetary Policy and the Economic Cycle In: Journal of Forecasting.
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article2
2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
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article12

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