Florian Ielpo : Citation Profile

Université Paris 1 (Panthéon-Sorbonne)

9

H index

9

i10 index

311

Citations

RESEARCH PRODUCTION:

25

Articles

37

Papers

RESEARCH ACTIVITY:

   12 years (2006 - 2018). See details.
   Cites by year: 25
   Journals where Florian Ielpo has often published
   Relations with other researchers
   Recent citing documents: 31.    Total self citations: 21 (6.33 %)

MORE DETAILS IN:
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   Permalink: http://citec.repec.org/pie2
   Updated: 2025-12-27    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)

Ben Amar, Amine (6)

DA FONSECA, José (6)

Tiwari, Aviral (5)

Wang, Gang-Jin (4)

Kočenda, Evžen (4)

Śmiech, Sławomir (4)

Cites to:

Bollerslev, Tim (28)

Engle, Robert (26)

GUEGAN, Dominique (25)

Andersen, Torben (25)

Diebold, Francis (23)

Laurent, Sébastien (14)

Maheu, John (14)

Galí, Jordi (12)

Gertler, Mark (12)

Giot, Pierre (12)

McCurdy, Thomas (12)

Main data

Where Florian Ielpo has published?

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

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 (2025 and 2024)

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

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2025Multivariate Affine GARCH with Heavy Tails: A Unified Framework for Portfolio Optimization and Option Valuation. (2025). Fabozzi, Frank J ; Rachev, Svetlozar T ; Jha, Ayush ; Shirvani, Abootaleb ; Jaffri, Ali. In: Papers. RePEc:arx:papers:2505.12198.

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2024Extreme time-frequency connectedness between energy sector markets and financial markets. (2024). Belghouthi, Houssem Eddine ; Alomari, Mohammed ; Kang, Sang Hoon ; Vo, Xuan Vinh ; Mensi, Walid. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:84:y:2024:i:c:p:847-877.

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2024Contagion effects of external monetary shocks on systemic financial risk in China: Evidence from the Euro area and Japan. (2024). Ruan, Jia ; Ni, Jianhui. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082300178x.

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2025Dynamic connectedness between crude oil futures and energy industrial bond credit spread: Evidence from China. (2025). Ren, Yi-Shuai ; Klein, Tony ; Jiang, Yong ; Liu, Pei-Zhi ; Weber, Olaf. In: Energy Economics. RePEc:eee:eneeco:v:143:y:2025:i:c:s0140988325001173.

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2025An asymmetric volatility analysis of the negative oil price during the first COVID-19 wave. (2025). Sssmuth, Bernd ; Birnstengel, Carolin. In: International Review of Financial Analysis. RePEc:eee:finana:v:100:y:2025:i:c:s1057521925000468.

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2025Unveiling the asymmetric dynamic spillovers in industry bond credit risk: Is the energy industry the prime mover?. (2025). Jiang, Yong ; Klein, Tony ; Ren, Yi-Shuai. In: International Review of Financial Analysis. RePEc:eee:finana:v:101:y:2025:i:c:s1057521925001012.

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2024The shape of the Treasury yield curve and commodity prices. (2024). Bayaa, Yasmeen ; Qadan, Mahmoud. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002436.

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2025Regional bank failures and volatility transmission. (2025). Wiesen, Thomas ; Lastrapes, William D. In: Journal of Financial Stability. RePEc:eee:finsta:v:78:y:2025:i:c:s1572308925000336.

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2024Pricing guaranteed annuity options in a linear-rational Wishart mortality model. (2024). DA FONSECA, José. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:122-131.

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2024Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective. (2024). Wang, Gang-Jin ; Foglia, Matteo ; Pacelli, Vincenzo ; di Tommaso, Caterina. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000088.

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2025A general option pricing framework for affine fractionally integrated models. (2025). Badescu, Alexandru ; Augustyniak, Maciej ; Jayaraman, Sarath Kumar ; Bgin, Jean-Franois. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:171:y:2025:i:c:s0378426624002607.

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2024On climate fat tails and politics. (2024). Mason, Charles ; Wilmot, Neil A. In: Resources Policy. RePEc:eee:jrpoli:v:92:y:2024:i:c:s0301420724003738.

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2024Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Ben Amar, Amine ; Bellalah, Makram ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246.

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2024Do shipping freight markets impact commodity markets?. (2024). Wohar, Mark ; Tiwari, Aviral ; Trabelsi, Nader ; Aikins, Emmanuel Joel. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:986-1014.

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2024Exploring the dynamic links, implications for hedging and investment strategies between Sukuk and commodity market volatility: Evidence from country level analysis. (2024). Billah, Syed ; Balli, Faruk ; Hadhri, Sinda ; Sahabuddin, Mohammad. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:350-371.

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2024Spillover dynamics among commodities along the Chinese oil industrial chain: From the perspective of multidimensional networks. (2024). Bai, Jiangyao ; Liu, Shuhao ; Qi, Yajie. In: International Review of Economics & Finance. RePEc:eee:reveco:v:96:y:2024:i:pb:s105905602400604x.

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2024Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion. (2024). Arya, Vandana ; Sinha, Neena ; Abedin, Mohammad Zoynul ; Yadav, Miklesh Prasad. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002726.

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2024Deciphering asymmetric spillovers in US industries: Insights from higher-order moments. (2024). Shafiullah, Muhammad ; lucey, brian ; Naeem, Muhammad Abubakr ; Senthilkumar, Arunachalam. In: Research in International Business and Finance. RePEc:eee:riibaf:v:70:y:2024:i:pa:s0275531924001065.

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2025Multiscale cross-sector tail credit risk spillovers in China: Evidence from EEMD-based VAR quantile analysis. (2025). Wu, Xinyu ; Liu, Xiaoli ; Hau, Liya. In: Research in International Business and Finance. RePEc:eee:riibaf:v:73:y:2025:i:pa:s0275531924003957.

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2025Event-driven changes in connectedness among commodities and commodity currencies: A quantile, network and probabilistic analysis. (2025). Kočenda, Evžen ; Albrecht, Peter ; de Oliveira, Alexandre Silva ; Koenda, Even ; Ceretta, Paulo Sergio ; Drbek, Michal. In: Research in International Business and Finance. RePEc:eee:riibaf:v:75:y:2025:i:c:s0275531925000376.

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2025Government Announcements Through Harvest Reports, Extreme Market Conditions, and Commodity Price Volatility. (2025). Sobrinho, Erica Juvercina ; Malaquias, Rodrigo Fernandes. In: Commodities. RePEc:gam:jcommo:v:4:y:2025:i:4:p:21-:d:1756850.

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2025From Fields to Futures: Connectedness Among Edible Oil and Oilseeds- Where Soybean Leads, Others Follow. (2025). Rajib, Prabina ; Tiwari, Priyanshu ; Sarma, Nilotpal. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:32:y:2025:i:2:d:10.1007_s10690-024-09458-7.

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2024Score-Driven Modeling with Jumps: An Application to S&P500 Returns and Options. (2024). Guizzardi, Andrea ; Ballestra, Luca Vincenzo ; Dinnocenzo, Enzo. In: Journal of Financial Econometrics. RePEc:oup:jfinec:v:22:y:2024:i:2:p:375-406..

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2024The Risk Spillover Effects and Network Connectedness Between Real Estate and Other Sectors in China. (2024). Hu, Wenhua ; Li, Wei ; Pang, Jing. In: SAGE Open. RePEc:sae:sagope:v:14:y:2024:i:2:p:21582440241240866.

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2024Using interpolated implied volatility for analysing exogenous market changes. (2024). Vitali, Sebastiano ; MacIak, Matu. In: Computational Management Science. RePEc:spr:comgts:v:21:y:2024:i:1:d:10.1007_s10287-024-00505-2.

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2024Uncertainty about interest rates and crude oil prices. (2024). Cohen, Gil ; Qadan, Mahmoud. In: Financial Innovation. RePEc:spr:fininn:v:10:y:2024:i:1:d:10.1186_s40854-023-00551-w.

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2025Conditional Correlation via Generalized Random Forests with Application to Hedge Funds. (2025). Escobar Anel, Marcos ; Aghapour, Ahmad ; Escobar-Anel, Marcos ; Arian, Hamid ; Seco, Luis. In: SN Operations Research Forum. RePEc:spr:snopef:v:6:y:2025:i:3:d:10.1007_s43069-025-00548-4.

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

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2025Which Way Does the Wind Blow Between SPX Futures and VIX Futures?. (2025). Kurov, Alexander ; Aikins, Ekow A. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:45:y:2025:i:2:p:79-90.

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

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Works by Florian Ielpo:

YearTitleTypeCited
2014Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production In: Australian Economic Review.
[Full Text][Citation analysis]		article1
2014Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics.
[Full Text][Citation analysis]		article20
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).
[Full Text][Citation analysis]
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).
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]		article1
2013Option pricing with discrete time jump processes In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article6
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: 6		paper
2012Option pricing with discrete time jump processes.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		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: 6		paper
2012Option pricing with discrete time jump processes.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2018Testing for leverage effects in the returns of US equities In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article7
2017Testing for Leverage Effects in the Returns of US Equities.(2017) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		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: 7		paper
2017Testing for Leverage Effects in the Returns of US Equities.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2009Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event In: Energy Policy.
[Full Text][Citation analysis]		article64
2010Martingalized historical approach for option pricing In: Finance Research Letters.
[Full Text][Citation analysis]		article11
2009Martingalized Historical approach for Option Pricing.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2010Martingalized Historical approach for Option Pricing.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 11		paper
2012Empirical bias in intraday volatility measures In: Finance Research Letters.
[Full Text][Citation analysis]		article4
2018Sector spillovers in credit markets In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article26
2017Investigating the leverage effect in commodity markets with a recursive estimation approach In: Research in International Business and Finance.
[Full Text][Citation analysis]		article4
2008Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper1
2012Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper29
2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 29		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: 29		paper
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: 29		article
2013Understanding momentum in commodity markets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper3
2013Understanding momentum in commodity markets.(2013) In: Applied Economics Letters.
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This paper has nother version. Agregated cites: 3		article
2015A time series approach to option pricing: Models, Methods and Empirical Performances In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Citation analysis]		paper2
2014Commodity Markets through the business cycle In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper10
2014Commodity markets through the business cycle.(2014) In: Quantitative Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 10		article
2007Further evidence on the impact of economic news on interest rates In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper5
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: 5		paper
2007Further evidence on the impact of economic news on interest rates.(2007) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2007Further evidence on the impact of economic news on interest rates.(2007) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2008Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper6
2008Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology.(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
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).
[Citation analysis]		paper0
2010Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		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		paper
2011The Number of Regimes Across Asset Returns: Identification and Economic Value In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper4
2014THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE.(2014) In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 4		article
2011Identifying and Explaining the Number of Regimes Driving Asset Returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
2017The contribution of jumps to forecasting the density of returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
[Full Text][Citation analysis]		paper0
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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2009Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate In: The IUP Journal of Monetary Economics.
[Citation analysis]		article0
2014Forecasting the density of oil futures In: Working Papers.
[Full Text][Citation analysis]		paper5
2014Testing for Leverage Effect in Financial Returns In: Documents de travail du Centre d'Economie de la Sorbonne.
[Citation analysis]		paper1
2008Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results In: Documents de travail du Centre d'Economie de la Sorbonne.
[Full Text][Citation analysis]		paper5
2016An anatomy of global risk premiums In: Journal of Asset Management.
[Full Text][Citation analysis]		article0
2006An econometric specification of monetary policy dark art In: MPRA Paper.
[Full Text][Citation analysis]		paper0
2007Yield curve reaction to macroeconomic news in Europe :disentangling the US influence In: Working Papers CEB.
[Full Text][Citation analysis]		paper3
2013Cross-market linkages between commodities, stocks and bonds In: Applied Economics Letters.
[Full Text][Citation analysis]		article7
2013Volatility spillovers in commodity markets In: Applied Economics Letters.
[Full Text][Citation analysis]		article46
2012Equity, credit and the business cycle In: Applied Financial Economics.
[Full Text][Citation analysis]		article4
2010Mean-reversion properties of implied volatilities In: The European Journal of Finance.
[Full Text][Citation analysis]		article2
2014Twenty years of jumps in commodity markets In: International Review of Applied Economics.
[Full Text][Citation analysis]		article17
2013Forecasting the European Credit Cycle Using Macroeconomic Variables In: Journal of Forecasting.
[Citation analysis]		article1
2015Forward Rates, Monetary Policy and the Economic Cycle In: Journal of Forecasting.
[Full Text][Citation analysis]		article2
2011HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]		article12

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