Philippe Jorion : Citation Profile

University of California-Irvine

30

H index

37

i10 index

4911

Citations

RESEARCH PRODUCTION:

50

Articles

18

Papers

2

Chapters

RESEARCH ACTIVITY:

   39 years (1985 - 2024). See details.
   Cites by year: 125
   Journals where Philippe Jorion has often published
   Relations with other researchers
   Recent citing documents: 136.    Total self citations: 12 (0.24 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pjo72
   Updated: 2025-05-17    RAS profile: 2025-04-06    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Philippe Jorion.

Is cited by:

Bartram, Söhnke (33)

Allen, David (26)

Taylor, Mark (22)

Papell, David (21)

Bekaert, Geert (20)

Kilian, Lutz (19)

Sarno, Lucio (19)

faff, robert (19)

Xiao, Tim (18)

HASAN, IFTEKHAR (17)

van Dijk, Mathijs (17)

Cites to:

Goetzmann, William (9)

Frankel, Jeffrey (8)

Mishkin, Frederic (7)

Rose, Andrew (4)

Fisher, Eric (4)

Einav, Liran (3)

Stulz, René (3)

Fama, Eugene (3)

Duffie, Darrell (3)

Mehra, Rajnish (3)

Perron, Pierre (3)

Main data

Where Philippe Jorion has published?

Journals with more than one article published# docs
Journal of Finance9
Financial Analysts Journal7
Journal of Financial Economics5
Journal of Financial and Quantitative Analysis5
Journal of International Money and Finance4
The Journal of Business3
European Financial Management2
The Review of Financial Studies2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
NBER Working Papers / National Bureau of Economic Research, Inc7
Yale School of Management Working Papers / Yale School of Management5
Yale School of Management Working Papers / Yale School of Management2

Recent works citing Philippe Jorion (2025 and 2024)

YearTitle of citing document
2024Impact of the total expenditure shocks on food security: VAR model. (2024). Al-Mahish, Mohammed ; Elzaki, Raga M ; Alkunain, Batool. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:355971.

Full description at Econpapers || Download paper

2024Analysis of the Sensitivity of the Corporations Market Activity Indicators with a Neutral Approach to the Dividend Policy. (2024). Krylov, Sergey I. In: Journal of Applied Economic Research. RePEc:aiy:jnjaer:v:23:y:2024:i:1:p:180-205.

Full description at Econpapers || Download paper

2024Geometric insights into robust portfolio construction. (2024). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194.

Full description at Econpapers || Download paper

2024Keep it Tighter -- A Story on Analytical Mean Embeddings. (2024). Szab, Zolt'An ; Chamakh, Linda. In: Papers. RePEc:arx:papers:2110.09516.

Full description at Econpapers || Download paper

2024Convergence of Heavy-Tailed Hawkes Processes and the Microstructure of Rough Volatility. (2024). Xu, Wei ; Horst, Ulrich ; Zhang, Rouyi. In: Papers. RePEc:arx:papers:2312.08784.

Full description at Econpapers || Download paper

2024Functional Limit Theorems for Hawkes Processes. (2024). Xu, Wei ; Horst, Ulrich. In: Papers. RePEc:arx:papers:2401.11495.

Full description at Econpapers || Download paper

2024Covariance Matrix Analysis for Optimal Portfolio Selection. (2024). Shen, Lim Hao. In: Papers. RePEc:arx:papers:2407.08748.

Full description at Econpapers || Download paper

2024Investment strategies based on forecasts are (almost) useless. (2024). Weba, Michael. In: Papers. RePEc:arx:papers:2408.01772.

Full description at Econpapers || Download paper

2024Anatomy of Machines for Markowitz: Decision-Focused Learning for Mean-Variance Portfolio Optimization. (2024). Lee, Yongjae ; Tae, Inwoo. In: Papers. RePEc:arx:papers:2409.09684.

Full description at Econpapers || Download paper

2024Pricing Multi-strike Quanto Call Options on Multiple Assets with Stochastic Volatility, Correlation, and Exchange Rates. (2024). Meissner, Gunter A ; Ter-Avanesov, Boris. In: Papers. RePEc:arx:papers:2411.16617.

Full description at Econpapers || Download paper

2024Mean--Variance Portfolio Selection by Continuous-Time Reinforcement Learning: Algorithms, Regret Analysis, and Empirical Study. (2024). Yu, Xun ; Jia, Yanwei ; Huang, Yilie. In: Papers. RePEc:arx:papers:2412.16175.

Full description at Econpapers || Download paper

2025Assessment of Portfolio Credit Risk under Dynamic Default Correlation. (2025). Matveev, Aleksandr. In: Russian Journal of Money and Finance. RePEc:bkr:journl:v:84:y:2025:i:1:p:129-142.

Full description at Econpapers || Download paper

2024The market risk premium in Australia: Forward‐looking evidence from the options market. (2024). Svec, Jiri ; Aspris, Angelo ; Flezvias, Ester ; Foley, Sean ; Malloch, Hamish. In: Accounting and Finance. RePEc:bla:acctfi:v:64:y:2024:i:4:p:3951-3972.

Full description at Econpapers || Download paper

2024Is research on hedge fund performance published selectively? A quantitative survey. (2024). Novak, Jiri ; Irsova, Zuzana ; Havranek, Tomas ; Yang, Fan. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:4:p:1085-1131.

Full description at Econpapers || Download paper

2024Currency Management by International Fixed‐Income Mutual Funds. (2024). Sialm, Clemens ; Zhu, Qifei. In: Journal of Finance. RePEc:bla:jfinan:v:79:y:2024:i:6:p:4037-4081.

Full description at Econpapers || Download paper

2024Corporate cash holdings and industry risk. (2024). Lee, Jinsook. In: Journal of Financial Research. RePEc:bla:jfnres:v:47:y:2024:i:2:p:435-470.

Full description at Econpapers || Download paper

2024Exchange Rates and Sovereign Risk: A Nonlinear Approach Based on Local Gaussian Correlations. (2024). Mahadeo, Scott ; Heinlein, Reinhold ; Legrenzi, Gabriella D. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11019.

Full description at Econpapers || Download paper

2024Living La Vida Loca? Remote Investing in Latin America, 1869-1929. (2024). Grossman, Richard ; Gallagher, Ine ; Campbell, Gareth. In: CESifo Working Paper Series. RePEc:ces:ceswps:_11562.

Full description at Econpapers || Download paper

2024Portfolio management with big data. (2024). Sentana, Enrique ; Pearanda, Francisco. In: Working Papers. RePEc:cmf:wpaper:wp2024_2411.

Full description at Econpapers || Download paper

2024Determinants of Financial Hedging Strategies among Commodity Producer Firms in Latin America. (2024). Giraldo, Iader ; Sanchez, Juan Camilo ; Huertas, Cristian. In: Documentos de trabajo. RePEc:col:000566:021196.

Full description at Econpapers || Download paper

2024Factor investing and asset allocation strategies: a comparison of factor versus sector optimization. (2024). Wolff, Dominik ; Taushanov, Georgi ; Bessler, Wolfgang. In: Publications of Darmstadt Technical University, Institute for Business Studies (BWL). RePEc:dar:wpaper:149873.

Full description at Econpapers || Download paper

2025Imports, Exports, and the Currency Composition of Corporate Debt. (2025). Kwon, Ohyun ; Jiao, Yang. In: Working Papers. RePEc:drx:wpaper:202518.

Full description at Econpapers || Download paper

2024Customer concentration and shareholder litigation risk: Evidence from a quasi-natural experiment. (2024). Lee, Sang Mook ; Jiraporn, Pornsit ; Chatjuthamard, Pattanaporn ; Wongsinhirun, Nopparat. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s221463502300076x.

Full description at Econpapers || Download paper

2024Sustainable risk preferences on asset allocation: a higher order optimal portfolio study. (2024). Esparcia, Carlos ; Diaz, Antonio ; Escribano, Ana. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:41:y:2024:i:c:s2214635024000029.

Full description at Econpapers || Download paper

2024How does currency risk impact firms? New evidence from bank loan contracts. (2024). Bergbrant, Mikael C ; Hunter, Delroy M ; Francis, Bill B. In: Journal of Corporate Finance. RePEc:eee:corfin:v:84:y:2024:i:c:s092911992400004x.

Full description at Econpapers || Download paper

2024Credit risk contagion in complex companies network–Empirical research based on listed agricultural companies. (2024). Zhang, Wanjuan ; Wang, Jing. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:938-953.

Full description at Econpapers || Download paper

2024Benefits of diversification in EU capital markets: Evidence from stock portfolios. (2024). Gossé, Jean-Baptiste ; Gosse, Jean-Baptiste ; Jehle, Camille. In: Economic Modelling. RePEc:eee:ecmode:v:135:y:2024:i:c:s0264999324000816.

Full description at Econpapers || Download paper

2024Copper-to-gold ratio as a leading indicator for the 10-Year Treasury yield. (2024). Parnes, Dror. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001390.

Full description at Econpapers || Download paper

2024Quanto fund protection using partial lookback participation. (2024). Lee, Minha ; Ha, Hongjun ; Kim, Eunchae. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s1062940824001116.

Full description at Econpapers || Download paper

2024Computational dynamics of information ratios. (2024). Marohn, Marcel ; Auer, Benjamin R. In: Economics Letters. RePEc:eee:ecolet:v:236:y:2024:i:c:s0165176524000946.

Full description at Econpapers || Download paper

2024An empirical review of dynamic extreme value models for forecasting value at risk, expected shortfall and expectile. (2024). Herrera, Rodrigo ; Candia, Claudio. In: Journal of Empirical Finance. RePEc:eee:empfin:v:77:y:2024:i:c:s0927539824000239.

Full description at Econpapers || Download paper

2024Time-varying jump intensity and volatility forecasting of crude oil returns. (2024). Chen, Yan ; Zhang, Lei ; Bouri, Elie. In: Energy Economics. RePEc:eee:eneeco:v:129:y:2024:i:c:s014098832300734x.

Full description at Econpapers || Download paper

2024The contagion effect of overconfidence in business group. (2024). Niu, Siqian ; Gao, Peng ; Vochozka, Marek. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s1057521923005057.

Full description at Econpapers || Download paper

2024Sector-specific calendar anomalies in the US equity market. (2024). Valadkhani, Abbas ; O'Mahony, Barry. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002795.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024The impact of COVID-19 on global financial markets: A multiscale volatility spillover analysis. (2024). Hong, Yongmiao ; Cheng, Zishu ; Wei, Yunjie ; Wang, Shouyang ; Cui, Ruhong ; Li, Mingchen. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003867.

Full description at Econpapers || Download paper

2024How technological innovation influence operational risk: Evidence from banks in China. (2024). Zhang, Yongjie ; Feng, XU ; Xiong, Xiong ; Hu, Mingya. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924004125.

Full description at Econpapers || Download paper

2024The dark side of well-connected directors: Evidence from private firm acquisitions. (2024). Lin, Chih-Yung ; Tsao, Kuang-Chih ; Chung, Huimin ; Bui, Dien Giau. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s105752192400615x.

Full description at Econpapers || Download paper

2024Social media attention and retail investor behavior: Evidence from r/wallstreetbets. (2024). Warkulat, Sonja ; Pelster, Matthias. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006537.

Full description at Econpapers || Download paper

2024Does peer firms debt default have positive externalities: The investment efficiency perspective. (2024). Song, Yuhang ; Jin, Long ; Pan, Changchun. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323011595.

Full description at Econpapers || Download paper

2024Investor traps: Funds launched during booms. (2024). Liu, Xinxin ; Xu, Quanyi ; Qin, Qirui. In: Finance Research Letters. RePEc:eee:finlet:v:61:y:2024:i:c:s1544612324000746.

Full description at Econpapers || Download paper

2024Risk transmission, systemic fragility of banks’ interacting customers and credit worthiness assessment. (2024). Storani, Saverio ; Cerqueti, Roy ; Pampurini, Francesca ; Quaranta, Anna Grazia. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000916.

Full description at Econpapers || Download paper

2024Constructing Bayesian tangency portfolios under short-selling restrictions. (2024). Niklasson, Vilhelm ; Bodnar, Taras. In: Finance Research Letters. RePEc:eee:finlet:v:62:y:2024:i:pa:s1544612324000953.

Full description at Econpapers || Download paper

2024US dollar and oil market uncertainty: New evidence from explainable machine learning. (2024). Kocaarslan, Baris. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004057.

Full description at Econpapers || Download paper

2024Shrinkage and thresholding approaches for expected utility portfolios: An analysis in terms of predictive ability. (2024). Dutta, Sumanjay ; Jain, Shashi. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004562.

Full description at Econpapers || Download paper

2024Geopolitical risk and the dynamics of REITs returns. (2024). Desfleurs, Aurelie ; Coen, Alain. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004677.

Full description at Econpapers || Download paper

2024Over-hedging in the shadow of weaker litigation threat. (2024). Freund, Steven ; Luu, Nguyen H ; Nguyen, Hien T ; Phan, Hieu V. In: Finance Research Letters. RePEc:eee:finlet:v:69:y:2024:i:pb:s1544612324011516.

Full description at Econpapers || Download paper

2024The dynamic effects of debtor bankruptcy on unsecured creditors stock liquidity. (2024). Pham, Thu Phuong ; Zurbruegg, Ralf ; Tran, Ngoc Anh ; Nguyen, Dinh Trung. In: Journal of Financial Stability. RePEc:eee:finsta:v:74:y:2024:i:c:s1572308924001074.

Full description at Econpapers || Download paper

2024Stabilizing global foreign exchange markets in the time of COVID-19: The role of vaccinations. (2024). Li, Xiao-Ming ; Thanh, Thao Thac ; Pham, Son Duy. In: Global Finance Journal. RePEc:eee:glofin:v:59:y:2024:i:c:s1044028323001187.

Full description at Econpapers || Download paper

2024Does national culture influence malfeasance in banks around the world?. (2024). Conlon, Thomas ; Huan, Xing ; Muckley, Cal B. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001567.

Full description at Econpapers || Download paper

2024Default dependence in the insurance and banking sectors: A copula approach. (2024). Zhao, Yang ; Zhang, Xuan ; Kim, Minjoo ; Yan, Cheng. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001798.

Full description at Econpapers || Download paper

2024Green bond issuance and credit risk: International evidence. (2024). Shen, Long ; Ballester, Laura ; Gonzalez-Urteaga, Ana. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000799.

Full description at Econpapers || Download paper

2024International crash risk premium. (2024). Chen, Steven Shu-Hsiu. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:94:y:2024:i:c:s1042443124000805.

Full description at Econpapers || Download paper

2024The Shock of US-China trade war and the job Market: Downstream shrinkage and upstream employment. (2024). Kong, Dongmin ; Ye, Yongwei ; Yang, Wei ; Tao, Yunqing. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:96:y:2024:i:c:s1042443124001239.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Mandatory financial information disclosure and credit ratings. (2024). Balsmeier, Benjamin ; Doherr, Thorsten ; Vanhaverbeke, Steven. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:78:y:2024:i:1:s0165410124000065.

Full description at Econpapers || Download paper

2024Operational loss recoveries and the macroeconomic environment: Evidence from the U.S. banking sector. (2024). Frame, Scott W ; McLemore, Ping ; Lazaryan, Nika ; Mihov, Atanas. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:165:y:2024:i:c:s0378426624001377.

Full description at Econpapers || Download paper

2025Customer concentration, firm R&D investment and moderation effects. (2025). Zuo, Wenming ; Ma, Baichao ; He, Xinming ; Zhao, Shan. In: Journal of Business Research. RePEc:eee:jbrese:v:186:y:2025:i:c:s0148296324005137.

Full description at Econpapers || Download paper

2024Managerial structure in the hedge fund industry. (2024). Chen, Yuhao ; Kuang, Huan ; Liang, Bing. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000172.

Full description at Econpapers || Download paper

2024RMB exchange rate volatility and the cross-section of Chinese A-share returns. (2024). Ding, Wenjie ; Qiao, Tongshuai ; Han, Liyan ; Li, Donghui. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:142:y:2024:i:c:s0261560624000111.

Full description at Econpapers || Download paper

2024Implied parameter estimation for jump diffusion option pricing models: Pricing accuracy and the role of loss and evaluation functions. (2024). , Julie ; Hilliard, Jitka. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:35:y:2024:i:c:s2405851324000278.

Full description at Econpapers || Download paper

2024The mechanism of enterprise credit guarantee risk contagion considering ESG. (2024). Liu, Xuejuan ; Zhang, Jingyi. In: Mathematics and Computers in Simulation (MATCOM). RePEc:eee:matcom:v:221:y:2024:i:c:p:503-514.

Full description at Econpapers || Download paper

2024Extrapolation and option-implied kurtosis in volatility forecasting. (2024). Shiu, Yung-Ming ; Wu, Tu-Cheng ; Pan, Ging-Ginq. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:84:y:2024:i:c:s0927538x24000374.

Full description at Econpapers || Download paper

2024Hedging global currency risk: A dynamic machine learning approach. (2024). Pagnottoni, Paolo ; Spelta, Alessandro. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:649:y:2024:i:c:s0378437124004576.

Full description at Econpapers || Download paper

2024Does Islamic investing modify portfolio performance? Time-varying optimization strategies for conventional and Shariah energy-ESG-utilities portfolio. (2024). Rashidi, Muhammad Mahdi ; Asl, Mahdi Ghaemi ; Rezgui, Hichem ; Tavakkoli, Hamid Raza. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:37-57.

Full description at Econpapers || Download paper

2024Customer concentration, managerial risk aversion, and hostile takeover threats. (2024). Lee, Sang Mook ; Jiraporn, Pornsit ; Sarajoti, Pattarake ; Chatjuthamard, Pattanaporn. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:95:y:2024:i:c:p:268-279.

Full description at Econpapers || Download paper

2024Transmission process and determinants of sovereign credit contagions: Global evidence. (2024). Lien, Donald ; Chen, Chun-Da. In: International Review of Economics & Finance. RePEc:eee:reveco:v:89:y:2024:i:pb:p:552-567.

Full description at Econpapers || Download paper

2024Interdependence and spillovers between big oil companies and regional and global energy equity markets. (2024). Yoon, Seong-Min ; Arreola Hernandez, Jose ; Hanif, Waqas ; Kang, Sang Hoon ; Boako, Gideon. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:451-469.

Full description at Econpapers || Download paper

2024Inter-industry network and credit risk. (2024). Huang, Mu-Nan ; Lee, Han-Hsing. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:598-625.

Full description at Econpapers || Download paper

2024Why risk attitude differs between macro and micro level? A decoherence perspective. (2024). Yi, Zhen ; Zhang, Yuwei ; Zhu, Chao. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:978-997.

Full description at Econpapers || Download paper

2024Do hedge funds bet against beta?. (2024). Riley, Timothy B ; Yan, Qing ; Malakhov, Alexey. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:1507-1525.

Full description at Econpapers || Download paper

2024The Federal Reserve’s Quantitative Easing policy and volatility spillovers: Evidence from Australia. (2024). de Mello, Lurion ; Yahyaei, Hamid ; Singh, Abhay. In: International Review of Economics & Finance. RePEc:eee:reveco:v:94:y:2024:i:c:s1059056024003897.

Full description at Econpapers || Download paper

2024The term structure of yield curve and connectedness among ESG investments. (2024). Umar, Zaghum ; Jiang, Shaohua ; Iqbal, Najaf ; Ruman, Asif M. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002714.

Full description at Econpapers || Download paper

2024Basel liquidity regulation and credit risk market perception: Evidence from large European banks. (2024). Rigoni, Ugo ; Simion, Giorgia ; Cavezzali, Elisa ; Veller, Andrea. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000205.

Full description at Econpapers || Download paper

2024The Democratization of Wealth Management: Hedged Mutual Fund Blockchain Protocol. (2024). Kashyap, Ravi. In: Research in International Business and Finance. RePEc:eee:riibaf:v:71:y:2024:i:c:s0275531924002800.

Full description at Econpapers || Download paper

2024Assessing the nexus between currency exchange rate returns, currency risk hedging and international investments: Intelligent network-based analysis. (2024). Pan, Yanchun ; Saleh, Mamdouh Abdulaziz ; Yao, Hongxing ; Naveed, Hafiz Muhammad. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:206:y:2024:i:c:s0040162524003007.

Full description at Econpapers || Download paper

2024Do high-speed railways have an impact on population change? evidence from Japan. (2024). Suzuki, YU ; Terabe, Shintaro ; Wang, Jingyuan ; Yaginuma, Hideki ; Uno, Haruka. In: Transportation Research Part A: Policy and Practice. RePEc:eee:transa:v:187:y:2024:i:c:s0965856424002350.

Full description at Econpapers || Download paper

2024Financing a dual capital-constrained supply chain: Profit enhancement and diffusion effect of default risk. (2024). Xu, Xun ; Xie, Xiaofeng ; Chen, Xiangfeng ; Gu, Jing. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:181:y:2024:i:c:s1366554523003769.

Full description at Econpapers || Download paper

2024Memory moves markets. (2024). Charles, Constantin. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:125551.

Full description at Econpapers || Download paper

2024Linear Factor Models and the Estimation of Expected Returns. (2024). Werker, Bas ; Sarisoy, Cisil. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2024-14.

Full description at Econpapers || Download paper

2024Revisiting Stock Market Index for the Helsinki Stock Exchange 1912–1981. (2024). Vaihekoski, Mika. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:3:p:90-:d:1342221.

Full description at Econpapers || Download paper

2024Practical Improvements to Mean-Variance Optimization for Multi-Asset Class Portfolios. (2024). Lolic, Marin. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:5:p:183-:d:1385628.

Full description at Econpapers || Download paper

2024Portfolio Optimization with Sector Return Prediction Models. (2024). Bessler, Wolfgang ; Wolff, Dominik. In: JRFM. RePEc:gam:jjrfmx:v:17:y:2024:i:6:p:254-:d:1418899.

Full description at Econpapers || Download paper

2024Quantitative Portfolio Management: Review and Outlook. (2024). Yew, Rand Kwong ; Senescall, Michael. In: Mathematics. RePEc:gam:jmathe:v:12:y:2024:i:18:p:2897-:d:1479653.

Full description at Econpapers || Download paper

2024Energy-Related Uncertainty and Idiosyncratic Return Volatility: Implications for Sustainable Investment Strategies in Chinese Firms. (2024). Kong, Yusheng ; Naz, Salma ; Ali, Hyder ; Siddiqui, Faiza. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:17:p:7423-:d:1465837.

Full description at Econpapers || Download paper

2024Sustainable Development of the Real Economy: Supply Chain Finance and Enterprise Financialization. (2024). Zhang, Qiancheng ; Dong, Jingjing. In: Sustainability. RePEc:gam:jsusta:v:16:y:2024:i:9:p:3574-:d:1381969.

Full description at Econpapers || Download paper

2024Operational Risk Management: Optimal Inspection Policy. (2024). Xu, Yuqian ; Kim, Youngsoo. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:6:p:4087-4104.

Full description at Econpapers || Download paper

2024Optimal Portfolio Choice with Unknown Benchmark Efficiency. (2024). Wang, Xiaolu ; Kan, Raymond. In: Management Science. RePEc:inm:ormnsc:v:70:y:2024:i:9:p:6117-6138.

Full description at Econpapers || Download paper

2024Connectedness between Currency Risk Hedging and Firm Value: A Deep Neural Network-based Evaluation. (2024). Haris, Muhammad ; Mohsin, Muhammad ; Akhtar, Muhammad ; Naveed, Hafiz Muhammad ; Memon, Bilal Ahmed ; Hongxing, Yao ; Ali, Shoaib. In: Computational Economics. RePEc:kap:compec:v:63:y:2024:i:2:d:10.1007_s10614-022-10353-4.

Full description at Econpapers || Download paper

2024Empirical Performance of an ESG Assets Portfolio from US Market. (2024). SADEFO KAMDEM, Jules ; Benhmad, Franois ; Pokou, Fredy. In: Computational Economics. RePEc:kap:compec:v:64:y:2024:i:3:d:10.1007_s10614-023-10491-3.

Full description at Econpapers || Download paper

2025Portfolio Optimization with Prediction-Based Return Using Long Short-Term Memory Neural Networks: Testing on Upward and Downward European Markets. (2025). Martnez-Barbero, Xavier ; Cervell-Royo, Roberto ; Ribal, Javier. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:3:d:10.1007_s10614-024-10604-6.

Full description at Econpapers || Download paper

2025Volatility Dynamics and Mixed Jump-GARCH Model Based Jump Detection in Financial Markets. (2025). Song, Yuping ; Zhu, Min ; Zheng, Xin. In: Computational Economics. RePEc:kap:compec:v:65:y:2025:i:5:d:10.1007_s10614-024-10633-1.

Full description at Econpapers || Download paper

2025CEO Narcissism and Credit Ratings. (2025). Perotti, Pietro ; Fairchild, Richard ; Hou, Zehan. In: Journal of Business Ethics. RePEc:kap:jbuset:v:197:y:2025:i:1:d:10.1007_s10551-024-05691-2.

Full description at Econpapers || Download paper

2024Structural Drivers of Credit Rating Uncertainty: An Examination of the Changes Imposed by Dodd-Frank. (2024). Duanmu, Jun ; McBrayer, Garrett A. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:65:y:2024:i:2:d:10.1007_s10693-023-00399-2.

Full description at Econpapers || Download paper

2024High-Frequency Contagion between Aggregate and Regional Housing Markets of the United States with Financial Assets: Evidence from Multichannel Tests. (2024). GUPTA, RANGAN ; Aye, Goodness C ; Hassapis, Christis ; Christou, Christina. In: The Journal of Real Estate Finance and Economics. RePEc:kap:jrefec:v:69:y:2024:i:2:d:10.1007_s11146-022-09919-8.

Full description at Econpapers || Download paper

2024How does credit market innovation affect the fiscal policy of state governments?. (2024). Chen, Sheng-Syan. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:2:d:10.1007_s11156-023-01207-7.

Full description at Econpapers || Download paper

2024Macroeconomic uncertainty and earnings management: evidence from commodity firms. (2024). Pierotti, Mariarita ; Greco, Giulio ; Rigamonti, Alessandro Paolo ; Capocchi, Alessandro. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:62:y:2024:i:4:d:10.1007_s11156-024-01246-8.

Full description at Econpapers || Download paper

2024Vertical propagation of default risk along the supply chain. (2024). Yun, Mu-Shu. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:1:d:10.1007_s11156-024-01251-x.

Full description at Econpapers || Download paper

2024The diversification benefits of cryptocurrency factor portfolios: Are they there?. (2024). Newton, David ; Xiao, Libo ; Wu, Haoran ; Platanakis, Emmanouil ; Han, Weihao. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:2:d:10.1007_s11156-024-01260-w.

Full description at Econpapers || Download paper

2024Shedding light on foreign currency cash flow hedges: transparency and the hedging decision. (2024). Marshall, Beverly B ; Jin, Han. In: Review of Quantitative Finance and Accounting. RePEc:kap:rqfnac:v:63:y:2024:i:2:d:10.1007_s11156-024-01263-7.

Full description at Econpapers || Download paper

2025Evolutionary and agent-based computational finance: The new paradigms for asset pricing. (2025). Pastushkov, A. In: Journal of the New Economic Association. RePEc:nea:journl:y:2025:i:66:p:196-222.

Full description at Econpapers || Download paper

More than 100 citations found, this list is not complete...

Works by Philippe Jorion:

YearTitleTypeCited
2010Risk Management In: Annual Review of Financial Economics.
[Full Text][Citation analysis]		article2
2009Risk Management Lessons from the Credit Crisis In: European Financial Management.
[Full Text][Citation analysis]		article38
2000Risk management lessons from Long‐Term Capital Management In: European Financial Management.
[Full Text][Citation analysis]		article104
2010Information Transfer Effects of Bond Rating Downgrades In: The Financial Review.
[Full Text][Citation analysis]		article27
1986 Integration vs. Segmentation in the Canadian Stock Market. In: Journal of Finance.
[Full Text][Citation analysis]		article127
1990 Purchasing Power Parity in the Long Run. In: Journal of Finance.
[Full Text][Citation analysis]		article441
1993 Testing the Predictive Power of Dividend Yields. In: Journal of Finance.
[Full Text][Citation analysis]		article164
1992Testing the Predictive Power of Dividend Yields..(1992) In: Columbia - Graduate School of Business.
[Citation analysis]
This paper has nother version. Agregated cites: 164		paper
1993 Currency Hedging for International Portfolios. In: Journal of Finance.
[Full Text][Citation analysis]		article123
1995 Predicting Volatility in the Foreign Exchange Market. In: Journal of Finance.
[Full Text][Citation analysis]		article276
1999Global Stock Markets in the Twentieth Century In: Journal of Finance.
[Full Text][Citation analysis]		article191
2006Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers In: Journal of Finance.
[Full Text][Citation analysis]		article228
2009Credit Contagion from Counterparty Risk In: Journal of Finance.
[Full Text][Citation analysis]		article177
2024A (Sub)penny for Your Thoughts: Tracking Retail Investor Activity in TAQ In: Journal of Finance.
[Full Text][Citation analysis]		article2
1986Bayes-Stein Estimation for Portfolio Analysis In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article325
1991The Pricing of Exchange Rate Risk in the Stock Market In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article269
1999Re-Emerging Markets In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article52
1997Re-emerging Markets.(1997) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
1998Re-Emerging Markets.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2000Re-emerging Markets.(2000) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2000Re-emerging Markets.(2000) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		paper
2011The Determinants of Operational Risk in U.S. Financial Institutions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article41
2014The Strategic Listing Decisions of Hedge Funds In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article10
1993Time-series tests of a non-expected-utility model of asset pricing In: European Economic Review.
[Full Text][Citation analysis]		article28
1989Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing.(1989) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
1999Multivariate unit root tests of the PPP hypothesis In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article35
1999Multivariate Unit root Tests of the PPP Hypothesis.(1999) In: ULB Institutional Repository.
[Citation analysis]
This paper has nother version. Agregated cites: 35		paper
1992The choice of a multicurrency portfolio for a central bank: Bonds, eurodeposits, and forward contracts In: Global Finance Journal.
[Full Text][Citation analysis]		article0
1996Does real interest parity hold at longer maturities? In: Journal of International Economics.
[Full Text][Citation analysis]		article20
1995Valuing executive stock options with endogenous departure In: Journal of Accounting and Economics.
[Full Text][Citation analysis]		article34
1996Returns to Japanese investors from US investments In: Japan and the World Economy.
[Full Text][Citation analysis]		article3
1990Option listing and stock returns : An empirical analysis In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article55
1991Bayesian and CAPM estimators of the means: Implications for portfolio selection In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article86
2014Are hedge fund managers systematically misreporting? Or not? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article7
1991A multicountry comparison of term-structure forecasts at long horizons In: Journal of Financial Economics.
[Full Text][Citation analysis]		article149
1991A Multi-Country Comparison of Term Structure Forecasts at Long Horizons.(1991) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 149		paper
2005Informational effects of regulation FD: evidence from rating agencies In: Journal of Financial Economics.
[Full Text][Citation analysis]		article175
2007Good and bad credit contagion: Evidence from credit default swaps In: Journal of Financial Economics.
[Full Text][Citation analysis]		article278
2010The performance of emerging hedge funds and managers In: Journal of Financial Economics.
[Full Text][Citation analysis]		article77
1992Term premiums and the integration of the eurocurrency markets In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article9
1996Mean reversion in real exchange rates: evidence and implications for forecasting In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article122
1987Interest rates and risk premia in the stock market and in the foreign exchange market In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article62
1988Foreign exchange risk premia volatility once again In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article3
2024Who is Minding the Store? Order Routing and Competition in Retail Trade Execution In: Finance and Economics Discussion Series.
[Full Text][Citation analysis]		paper0
2003The Long-Term Risks of Global Stock Markets In: Financial Management.
[Citation analysis]		article10
1989OPTION LISTING AND STOCK RETURNS. In: Columbia - Graduate School of Business.
[Citation analysis]		paper8
1996Risk and Turnover in the Foreign Exchange Market In: NBER Chapters.
[Full Text][Citation analysis]		chapter52
2007Bank Trading Risk and Systemic Risk In: NBER Chapters.
[Full Text][Citation analysis]		chapter12
2005Bank Trading Risk and Systemic Risk.(2005) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		paper
1988The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper44
1997A Century of Global Stock Markets In: NBER Working Papers.
[Full Text][Citation analysis]		paper9
2000A Century of Global Stock Markets.(2000) In: NBER Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2004A Century of Global Stock Markets.(2004) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2000A Century of Global Stock Markets.(2000) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
2000A Century of Global Stock Markets.(2000) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 9		paper
1988On Jump Processes in the Foreign Exchange and Stock Markets In: The Review of Financial Studies.
[Full Text][Citation analysis]		article271
2019The Fix Is In: Properly Backing out Backfill Bias In: The Review of Financial Studies.
[Full Text][Citation analysis]		article10
Fallacies about the effects of market risk management systems In: Journal of Risk.
[Full Text][Citation analysis]		article0
1996The January Effect: Still There after All These Years In: Financial Analysts Journal.
[Full Text][Citation analysis]		article3
1996Risk2: Measuring the Risk in Value at Risk In: Financial Analysts Journal.
[Full Text][Citation analysis]		article5
2003Portfolio Optimization with Tracking-Error Constraints In: Financial Analysts Journal.
[Full Text][Citation analysis]		article8
2008Risk Management for Event-Driven Funds In: Financial Analysts Journal.
[Full Text][Citation analysis]		article0
2010Hidden Survivorship in Hedge Fund Returns In: Financial Analysts Journal.
[Full Text][Citation analysis]		article2
2012Is There a Cost to Transparency? In: Financial Analysts Journal.
[Full Text][Citation analysis]		article1
2021Hedge Funds vs. Alternative Risk Premia In: Financial Analysts Journal.
[Full Text][Citation analysis]		article1
1985International Portfolio Diversification with Estimation Risk. In: The Journal of Business.
[Full Text][Citation analysis]		article252
1990The Exchange-Rate Exposure of U.S. Multinationals. In: The Journal of Business.
[Full Text][Citation analysis]		article450
1995A Longer Look at Dividend Yields. In: The Journal of Business.
[Full Text][Citation analysis]		article30
1998A Longer Look at Dividend Yields.(1998) In: Yale School of Management Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 30		paper
1989An empirical investigation of the early exercise premium of foreign currency options In: Journal of Futures Markets.
[Full Text][Citation analysis]		article3

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated April, 14 2025. Contact: CitEc Team