30
H index
34
i10 index
4691
Citations
University of California-Irvine | 30 H index 34 i10 index 4691 Citations RESEARCH PRODUCTION: 41 Articles 17 Papers 2 Chapters RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
|
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: | Cites to: |
Working Papers Series with more than one paper published | # docs |
---|---|
NBER Working Papers / National Bureau of Economic Research, Inc | 7 |
Yale School of Management Working Papers / Yale School of Management | 5 |
Yale School of Management Working Papers / Yale School of Management | 2 |
Year | Title of citing document | |
---|---|---|
2022 | Portfolio construction and performance evaluation: Evidence from India and Iran. (2022). Kiassi, Fatemeh. In: Theoretical and Applied Economics. RePEc:agr:journl:v:4(633):y:2022:i:4(633):p:217-230. Full description at Econpapers || Download paper | |
2022 | Geometric insights into robust portfolio construction with gearing. (2021). Gebbie, Tim ; Dalmeyer, Lara. In: Papers. RePEc:arx:papers:2107.06194. Full description at Econpapers || Download paper | |
2022 | Correlation scenarios and correlation stress testing. (2021). Woebbeking, F ; Packham, N. In: Papers. RePEc:arx:papers:2107.06839. Full description at Econpapers || Download paper | |
2023 | Bitcoin Volatility and Intrinsic Time Using Double Subordinated Levy Processes. (2021). Rachev, Svetlozar T ; Lindquist, Brent W ; Mittnik, Stefan ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:2109.15051. Full description at Econpapers || Download paper | |
2022 | Stock prices and Macroeconomic indicators: Investigating a correlation in Indian context. (2021). Mehta, Ram ; Patni, Sujay ; Rawat, Dhruv. In: Papers. RePEc:arx:papers:2112.08071. Full description at Econpapers || Download paper | |
2022 | Derivatives Holdings and Systemic Risk in the U.S. Banking Sector. (2022). Mayordomo, Sergio ; Pena, Juan Ignacio ; Rodriguez-Moreno, Maria. In: Papers. RePEc:arx:papers:2202.02254. Full description at Econpapers || Download paper | |
2022 | Are all Credit Default Swap Databases equal?. (2022). Mayordomo, Sergio ; Schwartz, Eduardo S ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02273. Full description at Econpapers || Download paper | |
2022 | Measuring Systemic Risk: Common Factor Exposures and Tail Dependence Effects. (2022). Chiu, Wan-Chien ; Wang, Chih-Wei ; Pena, Juan Ignacio. In: Papers. RePEc:arx:papers:2202.02276. Full description at Econpapers || Download paper | |
2022 | Reducing overestimating and underestimating volatility via the augmented blending-ARCH model. (2022). Yi, Shao ; Lu, Jun. In: Papers. RePEc:arx:papers:2203.12456. Full description at Econpapers || Download paper | |
2022 | Estimation of growth in fund models. (2022). Ruf, Johannes ; Koo, Hyeng Keun ; Kardaras, Constantinos. In: Papers. RePEc:arx:papers:2208.02573. Full description at Econpapers || Download paper | |
2023 | Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets. (2023). Zhou, Wei-Xing ; Dai, Peng-Fei. In: Papers. RePEc:arx:papers:2303.11030. Full description at Econpapers || Download paper | |
2023 | Precision versus Shrinkage: A Comparative Analysis of Covariance Estimation Methods for Portfolio Allocation. (2023). Jain, Shashi ; Dutta, Sumanjay. In: Papers. RePEc:arx:papers:2305.11298. Full description at Econpapers || Download paper | |
2023 | Regularity in forex returns during financial distress: Evidence from India. (2023). Datta, Radhika Prosad. In: Papers. RePEc:arx:papers:2308.04181. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | Forecasting swap rate volatility with information from swaptions. (2023). Xie, Jinming ; Liu, Xiaoxi. In: BIS Working Papers. RePEc:bis:biswps:1068. Full description at Econpapers || Download paper | |
2023 | Corporate reputation and hedging activities. (2023). Yang, Jimmy J ; Deng, Zero. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:s1:p:1223-1247. Full description at Econpapers || Download paper | |
2022 | Industry tournament incentives and corporate hedging policies. (2022). Tuncez, Ahmet M ; Nart, Ahmet ; Lonare, Gunratan. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:2:p:399-453. Full description at Econpapers || Download paper | |
2023 | Are founding families less willing to bear risk? Evidence from the currency exposure and internationalization strategy of family firms. (2023). Reeb, David M ; Hunter, Delroy M ; Bergbrant, Mikael C ; Anderson, Ronald C. In: Financial Management. RePEc:bla:finmgt:v:52:y:2023:i:1:p:41-66. Full description at Econpapers || Download paper | |
2022 | Enhanced disclosure of credit derivatives, information asymmetry and credit risk. (2022). Zhao, Qiuhong. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:5-6:p:717-751. Full description at Econpapers || Download paper | |
2022 | Intra?industry spillover effects: Evidence from bankruptcy filings. (2022). , Phong ; Le, Nhan. In: Journal of Business Finance & Accounting. RePEc:bla:jbfnac:v:49:y:2022:i:7-8:p:1113-1144. Full description at Econpapers || Download paper | |
2022 | A New Test of Risk Factor Relevance. (2022). Sussman, Abigail B ; Hartzmark, Samuel M ; Chinco, Alex. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:4:p:2183-2238. Full description at Econpapers || Download paper | |
2022 | Modelling clusters of corporate defaults: Regime?switching models significantly reduce the contagion source. (2022). Maruotti, Antonello ; Bulla, Jan ; Berentsen, Geir D ; Stove, Brd. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:71:y:2022:i:3:p:698-722. Full description at Econpapers || Download paper | |
2022 | Ambiguity in a pandemic recession, asset prices, and lockdown policy. (2022). Suzuki, Shiba ; Morimoto, Keiichi. In: Journal of Public Economic Theory. RePEc:bla:jpbect:v:24:y:2022:i:5:p:1039-1070. Full description at Econpapers || Download paper | |
2023 | Executive compensation and corporate risk management. (2023). Eckles, David L ; Carson, James M ; Yun, Jiyeon. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:90:y:2023:i:2:p:521-557. Full description at Econpapers || Download paper | |
2022 | Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc. (2022). Hertrich, Markus. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:2:p:450-489. Full description at Econpapers || Download paper | |
2023 | Per Capita Income Convergence and Divergence of Selected OECD Countries to and from the US: A Reappraisal for the period 1900-2018. (2023). Konya, Laszlo. In: Applied Econometrics and International Development. RePEc:eaa:aeinde:v:23:y:2023:i:1_2. Full description at Econpapers || Download paper | |
2023 | Assessing the Asymmetric Effect of Local Realized Exchange Rate Volatility and Implied Volatilities in Energy Market on Exchange Rate Returns in BRICS. (2023). Qabhobho, Thobekile. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-02-25. Full description at Econpapers || Download paper | |
2023 | The Role of Environmental Conditions and Purchasing Power Parity in Determining Quality of Life among Big Asian Cities. (2023). Audi, Marc ; Ali, Amjad. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2023-03-34. Full description at Econpapers || Download paper | |
2023 | Credit rating and managerial behavior in investment decision making: Evidence from the Korean market. (2023). Kim, Changki ; Thompson, Ephraim Kwashie. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:37:y:2023:i:c:s2214635023000059. Full description at Econpapers || Download paper | |
2022 | Corporate hedging and the variance of stock returns. (2022). Brownlees, Christian ; Ippolito, Filippo ; Biguri, Kizkitza. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002698. Full description at Econpapers || Download paper | |
2022 | Lumpy investment and credit risk. (2022). Zhang, Chuanqian ; Jiao, Feng. In: Journal of Corporate Finance. RePEc:eee:corfin:v:77:y:2022:i:c:s0929119922001365. Full description at Econpapers || Download paper | |
2022 | Oil price shocks and the hedging benefit of airline investments. (2022). Güntner, Jochen ; Ohlinger, Peter ; Guntner, Jochen. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:143:y:2022:i:c:s0165188922002111. Full description at Econpapers || Download paper | |
2023 | Trade competitiveness and the aggregate returns in global stock markets. (2023). Umar, Zaghum ; Zaremba, Adam ; Long, Huaigang ; Chiah, Mardy. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:148:y:2023:i:c:s0165188923000246. Full description at Econpapers || Download paper | |
2022 | Inter-portfolio credit risk contagion including macroeconomic and financial factors: A case study for Ecuador. (2022). Tonato, Ronny ; Uquillas, Adriana. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:73:y:2022:i:c:p:299-320. Full description at Econpapers || Download paper | |
2022 | Board attributes, hedging activities and exchange rate risk: Multi-country firm-level evidence. (2022). Sikarwar, Ekta. In: Economic Modelling. RePEc:eee:ecmode:v:110:y:2022:i:c:s0264999322000463. Full description at Econpapers || Download paper | |
2022 | Does state ownership affect rating quality? Evidence from Chinas corporate bond market. (2022). Luo, Ronghua ; Fang, Hongyan ; Wang, Yuyue. In: Economic Modelling. RePEc:eee:ecmode:v:111:y:2022:i:c:s0264999322000876. Full description at Econpapers || Download paper | |
2022 | Firms’ COVID-19 Pandemic Exposure and Corporate Cash Policy: Evidence from China. (2022). Zhao, Yang ; Wang, Kai ; Suardi, Sandy ; He, Zhongda. In: Economic Modelling. RePEc:eee:ecmode:v:116:y:2022:i:c:s0264999322002401. Full description at Econpapers || Download paper | |
2022 | Convertible bond issuance volume, capital structure, and firm value. (2022). Ni, Yensen ; Huang, Paoyu ; Liao, Yulu. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:60:y:2022:i:c:s1062940822000298. Full description at Econpapers || Download paper | |
2022 | Hedging the extreme risk of cryptocurrency. (2022). Owusu-Amoako, Johnson ; Dunbar, Kwamie. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001486. Full description at Econpapers || Download paper | |
2022 | Asset selection based on high frequency Sharpe ratio. (2022). Chen, Min ; Lian, Yimin ; Wang, Christina Dan. In: Journal of Econometrics. RePEc:eee:econom:v:227:y:2022:i:1:p:168-188. Full description at Econpapers || Download paper | |
2022 | Reconciling mean-variance portfolio theory with non-Gaussian returns. (2022). Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:729-740. Full description at Econpapers || Download paper | |
2022 | Assessing the impact of jumps in an option pricing model: A gradient estimation approach. (2022). Heidergott, Bernd ; Borovkova, Svetlana ; Volk-Makarewicz, Warren . In: European Journal of Operational Research. RePEc:eee:ejores:v:298:y:2022:i:2:p:740-751. Full description at Econpapers || Download paper | |
2022 | Why estimation alone causes Markowitz portfolio selection to fail and what we might do about it. (2022). Zhao, Yuan ; Lamb, John D ; Mynbayeva, Elmira. In: European Journal of Operational Research. RePEc:eee:ejores:v:301:y:2022:i:2:p:694-707. Full description at Econpapers || Download paper | |
2023 | Corporate credit risk counter-cyclical interdependence: A systematic analysis of cross-border and cross-sector correlation dynamics. (2023). Christopoulos, Apostolos ; Zopounidis, Constantin ; Karanasos, Menelaos ; Yfanti, Stavroula. In: European Journal of Operational Research. RePEc:eee:ejores:v:304:y:2023:i:2:p:813-831. Full description at Econpapers || Download paper | |
2022 | Exchange rate exposure for exporting and domestic firms in central and Eastern Europe. (2022). Frömmel, Michael ; Frommel, Michael ; Asif, Raheel. In: Emerging Markets Review. RePEc:eee:ememar:v:51:y:2022:i:pa:s1566014121000716. Full description at Econpapers || Download paper | |
2022 | Cross-border M&As and credit risk: Evidence from the CDS market. (2022). Col, Burcin ; Ismailescu, Iuliana. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:51-73. Full description at Econpapers || Download paper | |
2022 | Hedging and investment trade-offs in the U.S. oil industry. (2022). Veronese, Giovanni ; Ferriani, Fabrizio. In: Energy Economics. RePEc:eee:eneeco:v:106:y:2022:i:c:s0140988321005843. Full description at Econpapers || Download paper | |
2022 | Chinas energy stock market jumps: To what extent does the COVID-19 pandemic play a part?. (2022). Wang, Qunwei ; Bi, Xiaoyi ; Dai, Xingyu ; Tong, Yuan. In: Energy Economics. RePEc:eee:eneeco:v:109:y:2022:i:c:s0140988322001153. Full description at Econpapers || Download paper | |
2022 | Conditional capital surplus and shortfall across renewable and non-renewable resource firms. (2022). Okimoto, Tatsuyoshi ; Irawan, Denny. In: Energy Economics. RePEc:eee:eneeco:v:112:y:2022:i:c:s0140988322002535. Full description at Econpapers || Download paper | |
2023 | Financial 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. Full description at Econpapers || Download paper | |
2023 | Economic policy uncertainty, jump dynamics, and oil price volatility. (2023). Qi, YU ; Pan, NA ; Li, Xin ; Shao, Shuai ; Liu, Feng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001330. Full description at Econpapers || Download paper | |
2023 | Heterogeneous impacts of oil prices on Chinas stock market: Based on a new decomposition method. (2023). Ai, Chunrong ; Xu, Jie ; Liu, Feng. In: Energy. RePEc:eee:energy:v:268:y:2023:i:c:s0360544223000385. Full description at Econpapers || Download paper | |
2023 | The equity-oil hedge: A comparison between volatility and alternative risk frameworks. (2023). Kuang, Wei. In: Energy. RePEc:eee:energy:v:271:y:2023:i:c:s0360544223004395. Full description at Econpapers || Download paper | |
2023 | Commodity exposure in the eurozone: How EU energy security is conditioned by the Euro. (2023). Martinez-Salgueiro, Andrea ; Vivel-Bua, Milagros ; de Llano-Paz, Fernando ; Lado-Sestayo, Ruben. In: Energy. RePEc:eee:energy:v:277:y:2023:i:c:s0360544223009222. Full description at Econpapers || Download paper | |
2022 | Regulatory technology (Reg-Tech) in financial stability supervision: Taxonomy, key methods, applications and future directions. (2022). Ergu, Daji ; Qian, Qian ; Li, Tie ; Chen, Jia ; Ran, Qin ; Chao, Xiangrui. In: International Review of Financial Analysis. RePEc:eee:finana:v:80:y:2022:i:c:s1057521922000035. Full description at Econpapers || Download paper | |
2022 | Do we need higher-order comoments to enhance mean-variance portfolios? Evidence from a simplified jump process. (2022). Simaan, Yusif ; Khashanah, Khaldoun. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000412. Full description at Econpapers || Download paper | |
2022 | Misconduct risk in banking services: Does a propensity to be sanctioned exist?. (2022). Verdoliva, Vincenzo ; Sampagnaro, Gabriele ; Salerno, Dario ; del Gaudio, Belinda L. In: International Review of Financial Analysis. RePEc:eee:finana:v:81:y:2022:i:c:s1057521922000527. Full description at Econpapers || Download paper | |
2022 | Social trust and corporate financial asset holdings: Evidence from China. (2022). Gu, Leilei ; Ma, Sichao ; Liu, Zhongyang ; Wang, Hongyu. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200134x. Full description at Econpapers || Download paper | |
2022 | Internationalization, foreign exchange exposure and firm risk. (2022). Vithessonthi, Chaiporn ; Likitwongkajon, Napaporn. In: International Review of Financial Analysis. RePEc:eee:finana:v:83:y:2022:i:c:s105752192200285x. Full description at Econpapers || Download paper | |
2023 | Information flows and the law of one price. (2023). Talavera, Oleksandr ; Tran, VU ; Fan, Rui. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004161. Full description at Econpapers || Download paper | |
2023 | Internal or external control? How to respond to credit risk contagion in complex enterprises network. (2023). Feng, Hairong ; Chao, Xiangrui ; Qian, Qian. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001205. Full description at Econpapers || Download paper | |
2022 | A new measure of realized volatility: Inertial and reverse realized semivariance. (2022). Zou, Kai ; Tao, Yunqing ; Luo, Xin. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pa:s1544612321005882. Full description at Econpapers || Download paper | |
2022 | An enhanced Gerber statistic for portfolio optimization. (2022). Broby, Daniel ; Smyth, William. In: Finance Research Letters. RePEc:eee:finlet:v:49:y:2022:i:c:s1544612322004317. Full description at Econpapers || Download paper | |
2022 | Product market competition and stock return dependence. (2022). Liu, LU ; Asgharian, Hossein. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004123. Full description at Econpapers || Download paper | |
2022 | Has the Evergrande debt crisis rattled Chinese capital markets? A series of event studies and their implications. (2022). Altman, Edward ; Yu, Jing ; Hu, Xiaolu. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322004457. Full description at Econpapers || Download paper | |
2022 | Does commodity hedging with derivatives reduce stock price volatility?. (2022). Zhou, Qichong ; Wang, Ningli. In: Finance Research Letters. RePEc:eee:finlet:v:50:y:2022:i:c:s1544612322005001. Full description at Econpapers || Download paper | |
2022 | Is the index efficient? A worldwide tour with stochastic dominance. (2022). Xu, Xia ; le Courtois, Olivier ; Kolokolova, Olga. In: Journal of Financial Markets. RePEc:eee:finmar:v:59:y:2022:i:pb:s1386418121000410. Full description at Econpapers || Download paper | |
2022 | Does the U.S. president affect the stock market?. (2022). Montone, Maurizio. In: Journal of Financial Markets. RePEc:eee:finmar:v:61:y:2022:i:c:s1386418121000768. Full description at Econpapers || Download paper | |
2022 | Cross country linkages and transmission of sovereign risk: Evidence from China’s credit default swaps. (2022). Helwege, Jean ; Zhang, Gaiyan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308920301418. Full description at Econpapers || Download paper | |
2022 | Risk shifting and regulatory arbitrage: Evidence from operational risk. (2022). Ebrahim, Alireza ; Clark, Brian. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001212. Full description at Econpapers || Download paper | |
2022 | The implications of dependence, tail dependence, and bounds’ measures for counterparty credit risk pricing. (2022). Kimura, Herbert ; Sobreiro, Vinicius Amorim ; Belitsky, Vladimir ; Arismendi-Zambrano, Juan. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001261. Full description at Econpapers || Download paper | |
2022 | The drivers of cyber risk. (2022). Leach, Thomas ; Giudici, Paolo ; Gambacorta, Leonardo ; Aldasoro, Iaki. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s1572308922000171. Full description at Econpapers || Download paper | |
2023 | Investor information and bank instability during the European debt crisis. (2023). Ross, Chase P ; Iorgova, Silvia. In: Journal of Financial Stability. RePEc:eee:finsta:v:64:y:2023:i:c:s1572308922001218. Full description at Econpapers || Download paper | |
2022 | Contraction under minimum wages? Operational and financial advantages of multinational subsidiaries in China. (2022). Clegg, Jeremy ; Lu, Jane Wenzhen ; Norback, Pehr-Johan ; Duanmu, Jing-Lin. In: International Business Review. RePEc:eee:iburev:v:31:y:2022:i:2:s0969593121001542. Full description at Econpapers || Download paper | |
2022 | Currency volatility and global technological innovation. (2022). HSU, Po-Hsuan ; Xu, QI ; Wang, Zigan ; Taylor, Mark P. In: Journal of International Economics. RePEc:eee:inecon:v:137:y:2022:i:c:s0022199622000393. Full description at Econpapers || Download paper | |
2022 | Understanding the transmission of COVID-19 news to French financial markets in early 2020. (2022). Thorbecke, Willem. In: International Economics. RePEc:eee:inteco:v:170:y:2022:i:c:p:103-114. Full description at Econpapers || Download paper | |
2022 | Press freedom and operational losses: The monitoring role of the media. (2022). Keresztúri, Judit Lilla ; Berlinger, Edina ; Tamasne, Zsuzsanna Vneki ; Lubloy, agnes ; Kereszturi, Judit Lilla. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443121002006. Full description at Econpapers || Download paper | |
2022 | Covered interest rate parity deviations in the Asia-Pacific. (2022). Rajaguru, Gulasekaran ; Brailsford, Tim ; Bilson, Chris. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:77:y:2022:i:c:s1042443122000178. Full description at Econpapers || Download paper | |
2022 | Revisiting the PPP puzzle: Nominal exchange rate rigidity and region of inaction. (2022). Choi, Jae Hoon ; Song, Seongho. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:78:y:2022:i:c:s1042443122000300. Full description at Econpapers || Download paper | |
2022 | Credit risk interdependence in global financial markets: Evidence from three regions using multiple and partial wavelet approaches. (2022). Choi, Sun-Yong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:80:y:2022:i:c:s1042443122001093. Full description at Econpapers || Download paper | |
2022 | Financial derivatives, analyst forecasts, and stock price synchronicity: Evidence from an emerging market. (2022). Liu, Chengyun ; Zhang, Miaomiao ; Su, Kun. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:81:y:2022:i:c:s1042443122001433. Full description at Econpapers || Download paper | |
2023 | The nonlinear and negative tail dependence and risk spillovers between foreign exchange and stock markets in emerging economies. (2023). Alshater, Muneer M ; el Khoury, Rim ; Tian, Maoxi. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001846. Full description at Econpapers || Download paper | |
2023 | Non-Linear Time Series Models in Empirical Finance,: Philip Hans Franses and Dick van Dijk, Cambridge University Press, Cambridge, 2000, 296 pp., Paperback, ISBN 0-521-77965-0, $33, [UK pound]22.95, [. (2003). Lebaron, Blake. In: International Journal of Forecasting. RePEc:eee:intfor:v:19:y:2003:i:4:p:751-752. Full description at Econpapers || Download paper | |
2022 | Market power and credit rating standards: Global evidence. (2022). Yu, Gwen ; Wang, Shiheng ; Kraft, Pepa ; Hung, Mingyi. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:73:y:2022:i:2:s0165410121000896. Full description at Econpapers || Download paper | |
2023 | Fixed income conference calls. (2023). Zhu, Zhiwei ; Xu, DA ; Shohfi, Thomas ; de Franco, Gus. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:75:y:2023:i:1:s0165410122000416. Full description at Econpapers || Download paper | |
2022 | Market-consistent valuation of natural catastrophe risk. (2022). Braun, Alexander ; Beer, Simone. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621003010. Full description at Econpapers || Download paper | |
2022 | Dynamic comovement among banks, systemic risk, and the macroeconomy. (2022). Kishor, N ; Ma, Jun ; Kapinos, Pavel. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426620301606. Full description at Econpapers || Download paper | |
2022 | The CDS market reaction to loan renegotiation announcements. (2022). Sewaid, Ahmed ; Martin-Oliver, Alfredo ; Silaghi, Florina. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:138:y:2022:i:c:s0378426622000310. Full description at Econpapers || Download paper | |
2022 | Discretionary earnings smoothing, credit quality, and firm value. (2022). Simko, Paul J ; Allayannis, George . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426622001078. Full description at Econpapers || Download paper | |
2023 | Detecting political event risk in the option market. (2023). KOSTAKIS, ALEXANDROS ; Otsubo, Yoichi ; Mu, Liangyi. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002047. Full description at Econpapers || Download paper | |
2023 | COVID-19 Pandemic and Global Corporate CDS Spreads. (2023). Wu, Eliza ; To, Thomas Y ; Marra, Miriam ; Hasan, Iftekhar ; Zhang, Gaiyan. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:147:y:2023:i:c:s0378426622001984. Full description at Econpapers || Download paper | |
2023 | Customer concentration and firm risk: The role of outside directors from a major customer. (2023). Park, Kwangwoo ; Kim, Hyun-Dong. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:152:y:2023:i:c:s0378426623000948. Full description at Econpapers || Download paper | |
2023 | Correlation scenarios and correlation stress testing. (2023). Woebbeking, F ; Packham, N. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:205:y:2023:i:c:p:55-67. Full description at Econpapers || Download paper | |
2022 | Stocks for the long run? Evidence from a broad sample of developed markets. (2022). Odoherty, Michael S ; Cederburg, Scott ; Anarkulova, Aizhan. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:409-433. Full description at Econpapers || Download paper | |
2022 | Equity tail risk and currency risk premiums. (2022). Londono, Juan M. ; Xiao, Xiao ; Fan, Zhenzhen. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:1:p:484-503. Full description at Econpapers || Download paper | |
2022 | Searching for the equity premium. (2022). Zhang, LU ; Bai, Hang. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:2:p:897-926. Full description at Econpapers || Download paper | |
2022 | Biases in long-horizon predictive regressions. (2022). Richardson, Matthew ; Israel, Ronen ; Boudoukh, Jacob. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:3:p:937-969. Full description at Econpapers || Download paper | |
2022 | On the information content of credit ratings and market-based measures of default risk. (2022). Lee, Jung Hoon ; Kapadia, Nishad ; Gredil, Oleg R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:146:y:2022:i:1:p:172-204. Full description at Econpapers || Download paper | |
2022 | A leverage-based measure of financial stability. (2022). Tepper, Alexander ; Borowiecki, Karol Jan ; Adrian, Tobias. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:51:y:2022:i:c:s1042957321000085. Full description at Econpapers || Download paper | |
2023 | CEO risk preferences, hedging intensity, and firm value. (2023). Mandal, Sonik ; Doukas, John A ; Chowdhury, Rajib. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001541. Full description at Econpapers || Download paper | |
2023 | Examining the Contagion Effect of Credit Risk in a Supply Chain under Trade Credit and Bank Loan Offering. (2023). Xu, Xun ; Gu, Jing ; Shi, Xinyu ; Xie, Xiaofeng. In: Omega. RePEc:eee:jomega:v:115:y:2023:i:c:s030504832200158x. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2010 | Risk Management In: Annual Review of Financial Economics. [Full Text][Citation analysis] | article | 2 |
2009 | Risk Management Lessons from the Credit Crisis In: European Financial Management. [Full Text][Citation analysis] | article | 33 |
2000 | Risk management lessons from Long?Term Capital Management In: European Financial Management. [Full Text][Citation analysis] | article | 102 |
2010 | Information Transfer Effects of Bond Rating Downgrades In: The Financial Review. [Full Text][Citation analysis] | article | 25 |
1986 | Integration vs. Segmentation in the Canadian Stock Market. In: Journal of Finance. [Full Text][Citation analysis] | article | 127 |
1990 | Purchasing Power Parity in the Long Run. In: Journal of Finance. [Full Text][Citation analysis] | article | 437 |
1993 | Testing the Predictive Power of Dividend Yields. In: Journal of Finance. [Full Text][Citation analysis] | article | 160 |
1992 | Testing the Predictive Power of Dividend Yields..(1992) In: Columbia - Graduate School of Business. [Citation analysis] This paper has another version. Agregated cites: 160 | paper | |
1993 | Currency Hedging for International Portfolios. In: Journal of Finance. [Full Text][Citation analysis] | article | 118 |
1995 | Predicting Volatility in the Foreign Exchange Market. In: Journal of Finance. [Full Text][Citation analysis] | article | 269 |
1999 | Global Stock Markets in the Twentieth Century In: Journal of Finance. [Full Text][Citation analysis] | article | 187 |
2006 | Firm Value and Hedging: Evidence from U.S. Oil and Gas Producers In: Journal of Finance. [Full Text][Citation analysis] | article | 212 |
2009 | Credit Contagion from Counterparty Risk In: Journal of Finance. [Full Text][Citation analysis] | article | 153 |
1986 | Bayes-Stein Estimation for Portfolio Analysis In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 295 |
1991 | The Pricing of Exchange Rate Risk in the Stock Market In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 265 |
1999 | Re-Emerging Markets In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 50 |
1997 | Re-emerging Markets.(1997) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
1998 | Re-Emerging Markets.(1998) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
2000 | Re-emerging Markets.(2000) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | ||
2011 | The Determinants of Operational Risk in U.S. Financial Institutions In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 35 |
2014 | The Strategic Listing Decisions of Hedge Funds In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 3 |
1993 | Time-series tests of a non-expected-utility model of asset pricing In: European Economic Review. [Full Text][Citation analysis] | article | 25 |
1989 | Time-Series Tests of a Non-Expected-Utility Model of Asset Pricing.(1989) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | paper | |
1999 | Multivariate unit root tests of the PPP hypothesis In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 35 |
1999 | Multivariate Unit root Tests of the PPP Hypothesis.(1999) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 35 | paper | |
1992 | The choice of a multicurrency portfolio for a central bank: Bonds, eurodeposits, and forward contracts In: Global Finance Journal. [Full Text][Citation analysis] | article | 0 |
1996 | Does real interest parity hold at longer maturities? In: Journal of International Economics. [Full Text][Citation analysis] | article | 20 |
1995 | Valuing executive stock options with endogenous departure In: Journal of Accounting and Economics. [Full Text][Citation analysis] | article | 34 |
1996 | Returns to Japanese investors from US investments In: Japan and the World Economy. [Full Text][Citation analysis] | article | 3 |
1990 | Option listing and stock returns : An empirical analysis In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 55 |
1991 | Bayesian and CAPM estimators of the means: Implications for portfolio selection In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 82 |
2014 | Are hedge fund managers systematically misreporting? Or not? In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 7 |
1991 | A multicountry comparison of term-structure forecasts at long horizons In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 149 |
1991 | A Multi-Country Comparison of Term Structure Forecasts at Long Horizons.(1991) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 149 | paper | |
2005 | Informational effects of regulation FD: evidence from rating agencies In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 167 |
2007 | Good and bad credit contagion: Evidence from credit default swaps In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 258 |
2010 | The performance of emerging hedge funds and managers In: Journal of Financial Economics. [Full Text][Citation analysis] | article | 74 |
1992 | Term premiums and the integration of the eurocurrency markets In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 9 |
1996 | Mean reversion in real exchange rates: evidence and implications for forecasting In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 119 |
1987 | Interest 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] | article | 60 |
1988 | Foreign exchange risk premia volatility once again In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 3 |
2003 | The Long-Term Risks of Global Stock Markets In: Financial Management. [Citation analysis] | article | 9 |
1989 | OPTION LISTING AND STOCK RETURNS. In: Columbia - Graduate School of Business. [Citation analysis] | paper | 8 |
1996 | Risk and Turnover in the Foreign Exchange Market In: NBER Chapters. [Full Text][Citation analysis] | chapter | 53 |
2007 | Bank Trading Risk and Systemic Risk In: NBER Chapters. [Full Text][Citation analysis] | chapter | 12 |
2005 | Bank Trading Risk and Systemic Risk.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
1988 | The Time-Variation of Risk and Return in the Foreign Exchange and Stock Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 44 |
1997 | A Century of Global Stock Markets In: NBER Working Papers. [Full Text][Citation analysis] | paper | 8 |
2000 | A Century of Global Stock Markets.(2000) In: NBER Working Papers. [Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2004 | A Century of Global Stock Markets.(2004) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
2000 | A Century of Global Stock Markets.(2000) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
.() In: . [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | ||
1988 | On Jump Processes in the Foreign Exchange and Stock Markets In: Review of Financial Studies. [Full Text][Citation analysis] | article | 262 |
2019 | The Fix Is In: Properly Backing out Backfill Bias In: Review of Financial Studies. [Full Text][Citation analysis] | article | 9 |
1985 | International Portfolio Diversification with Estimation Risk. In: The Journal of Business. [Full Text][Citation analysis] | article | 237 |
1990 | The Exchange-Rate Exposure of U.S. Multinationals. In: The Journal of Business. [Full Text][Citation analysis] | article | 442 |
1995 | A Longer Look at Dividend Yields. In: The Journal of Business. [Full Text][Citation analysis] | article | 31 |
1998 | A Longer Look at Dividend Yields.(1998) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 31 | paper | |
1989 | An empirical investigation of the early exercise premium of foreign currency options In: Journal of Futures Markets. [Full Text][Citation analysis] | article | 3 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team