9
H index
8
i10 index
290
Citations
Florian Ielpo : Citation Profile
Université Paris 1 (Panthéon-Sorbonne) | RESEARCH PRODUCTION: 25 Articles 37 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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12 years (2006 - 2018). 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:
| Cites to:
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Main data
Where Florian Ielpo has published?
| Journals with more than one article published | # docs |
|---|---|
| Applied Economics Letters | 3 |
| International Journal of Theoretical and Applied Finance (IJTAF) | 2 |
| Finance Research Letters | 2 |
| Quantitative Finance | 2 |
| Journal of Forecasting | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) / HAL | 22 |
| Documents de travail du Centre d'Economie de la Sorbonne / Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne | 11 |
| MPRA Paper / University Library of Munich, Germany | 2 |
Recent works citing Florian Ielpo (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | The Financial Market of Indices of Socioeconomic Wellbeing. (2023). Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thilini V. In: Papers. RePEc:arx:papers:2303.05654. Full description at Econpapers || Download paper |
| 2024 | Unifying Market Microstructure and Dynamic Asset Pricing. (2023). Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan ; Lauria, Davide. In: Papers. RePEc:arx:papers:2304.02356. Full description at Econpapers || Download paper |
| 2023 | The Financial Market of Environmental Indices. (2023). Fabozzi, Frank J ; Rachev, Svetlozar ; Shirvani, Abootaleb ; Mahanama, Thisari K. In: Papers. RePEc:arx:papers:2308.15661. Full description at Econpapers || Download paper |
| 2023 | On Climate Fat Tails and Politics. (2023). Mason, Charles ; Wilmot, Neil A. In: CESifo Working Paper Series. RePEc:ces:ceswps:_10815. Full description at Econpapers || Download paper |
| 2023 | Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario. (2023). Zhou, Xiangjing ; Zeng, Hongjun ; Xu, Wen ; Lu, Ran. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:78:y:2023:i:c:p:1465-1481. Full description at Econpapers || Download paper |
| 2023 | How does inter-industry spillover improve the performance of volatility forecasting?. (2023). Zhu, Xingting ; Xiao, Wen ; Liu, Bin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:65:y:2023:i:c:s1062940823000013. Full description at Econpapers || Download paper |
| 2024 | Contagion 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. 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 | U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging. (2023). Lee, Chien-Chiang ; Tiwari, Aviral Kumar ; Nasreen, Samia ; Aikins, Emmanuel Joel. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000303. Full description at Econpapers || Download paper |
| 2024 | The shape of the Treasury yield curve and commodity prices. (2024). Qadan, Mahmoud ; Bayaa, Yasmeen. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924002436. Full description at Econpapers || Download paper |
| 2024 | Pricing 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. Full description at Econpapers || Download paper |
| 2024 | Interconnectedness between stock and credit markets: The role of European G-SIBs in a multilayer perspective. (2024). Pacelli, Vincenzo ; Wang, Gang-Jin ; di Tommaso, Caterina ; Foglia, Matteo. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443124000088. Full description at Econpapers || Download paper |
| 2023 | Improving variance forecasts: The role of Realized Variance features. (2023). Papantonis, Ioannis ; Tzavalis, Elias ; Rompolis, Leonidas. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1221-1237. Full description at Econpapers || Download paper |
| 2023 | Parametric heat wave insurance. (2023). Larsson, Karl. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s2405851323000351. Full description at Econpapers || Download paper |
| 2023 | Do gold and the US dollar diversify global sectoral risk? Evidence from connectedness and dynamic conditional correlation measures. (2023). Dar, Arif ; Bhanja, Niyati ; Shah, Adil Ahmad. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:28:y:2023:i:c:s1703494923000166. Full description at Econpapers || Download paper |
| 2023 | Causality inference among base metal, rare metal and precious metal markets. (2023). Yu, Hui ; Chen, Hanyu ; Sun, Qingru ; Li, Haoran ; Ding, Yinghui. In: Resources Policy. RePEc:eee:jrpoli:v:85:y:2023:i:pb:s0301420723007699. Full description at Econpapers || Download paper |
| 2024 | Commodity futures markets under stress and stress-free periods: Further insights from a quantile connectedness approach. (2024). Bellalah, Makram ; ben Amar, Amine ; Abricha, Amal. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:229-246. Full description at Econpapers || Download paper |
| 2024 | Do shipping freight markets impact commodity markets?. (2024). Wohar, Mark ; Trabelsi, Nader ; Aikins, Emmanuel Joel ; Tiwari, Aviral Kumar. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:986-1014. Full description at Econpapers || Download paper |
| 2024 | Uncovering dynamic connectedness of Artificial intelligence stocks with agri-commodity market in wake of COVID-19 and Russia-Ukraine Invasion. (2024). Sinha, Neena ; Abedin, Mohammad Zoynul ; Yadav, Miklesh Prasad ; Arya, Vandana. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002726. Full description at Econpapers || Download paper |
| 2023 | Multivariate Regime Switching Model Estimation and Asset Allocation. (2023). Zhang, Xili ; Xu, Weidong ; Zheng, Kai. In: Computational Economics. RePEc:kap:compec:v:61:y:2023:i:1:d:10.1007_s10614-021-10203-9. Full description at Econpapers || Download paper |
| 2023 | Does Sentiments Impact the Returns of Commodity Derivatives? An Evidence from Multi-commodity Exchange India. (2023). , Manu ; Simon, Aneeta Elsa. In: Vision. RePEc:sae:vision:v:27:y:2023:i:1:p:79-92. Full description at Econpapers || Download paper |
| 2023 | Implied volatility smoothing at COVID-19 times. (2023). Giana, Gabriele ; Kopa, Milo ; Vitali, Sebastiano. In: Computational Management Science. RePEc:spr:comgts:v:20:y:2023:i:1:d:10.1007_s10287-023-00465-z. Full description at Econpapers || Download paper |
| 2023 | Commodity tail risks. (2023). Prokopczuk, Marcel ; Wursig, Christoph Matthias ; Moerke, Mathis ; Ammann, Manuel. In: Journal of Futures Markets. RePEc:wly:jfutmk:v:43:y:2023:i:2:p:168-197. Full description at Econpapers || Download paper |
Works by Florian Ielpo:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2014 | Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production In: Australian Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2014 | Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function In: Studies in Nonlinear Dynamics & Econometrics. [Full Text][Citation analysis] | article | 19 |
| 2008 | Flexible time series models for subjective distribution estimation with monetary policy in view In: Brussels Economic Review. [Citation analysis] | article | 2 |
| 2007 | Flexible 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 | |
| 2008 | Flexible 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 | |
| 2007 | Flexible 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 | |
| 2013 | Common risk factors in commodities In: Economics Bulletin. [Full Text][Citation analysis] | article | 0 |
| 2013 | Option pricing with discrete time jump processes In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 6 |
| 2013 | Option 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 | |
| 2012 | Option 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 | |
| 2011 | Option 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 | |
| 2012 | Option 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 | |
| 2018 | Testing for leverage effects in the returns of US equities In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 5 |
| 2017 | Testing 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: 5 | paper | |
| 2018 | Testing for leverage effects in the returns of US equities.(2018) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2017 | Testing 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: 5 | paper | |
| 2009 | Risk 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] | article | 64 |
| 2010 | Martingalized historical approach for option pricing In: Finance Research Letters. [Full Text][Citation analysis] | article | 10 |
| 2009 | Martingalized 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: 10 | paper | |
| 2010 | Martingalized 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: 10 | paper | |
| 2012 | Empirical bias in intraday volatility measures In: Finance Research Letters. [Full Text][Citation analysis] | article | 4 |
| 2018 | Sector spillovers in credit markets In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 21 |
| 2017 | Investigating the leverage effect in commodity markets with a recursive estimation approach In: Research in International Business and Finance. [Full Text][Citation analysis] | article | 3 |
| 2008 | Option 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] | paper | 1 |
| 2012 | Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 25 |
| 2010 | Option 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: 25 | paper | |
| 2010 | Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | paper | |
| 2012 | Option pricing for GARCH-type models with generalized hyperbolic innovations.(2012) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 25 | article | |
| 2013 | Understanding momentum in commodity markets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 3 |
| 2013 | Understanding momentum in commodity markets.(2013) In: Applied Economics Letters. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | article | |
| 2015 | A time series approach to option pricing: Models, Methods and Empirical Performances In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Citation analysis] | paper | 2 |
| 2014 | Commodity Markets through the business cycle In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 9 |
| 2014 | Commodity markets through the business cycle.(2014) In: Quantitative Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
| 2007 | Further evidence on the impact of economic news on interest rates In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 5 |
| 2009 | Further 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 | |
| 2007 | Further 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 | |
| 2007 | Further 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 | |
| 2008 | Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 6 |
| 2008 | Option 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 | |
| 2009 | Understanding 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] | paper | 0 |
| 2009 | Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate.(2009) In: The IUP Journal of Monetary Economics. [Citation analysis] This paper has nother version. Agregated cites: 0 | article | |
| 2010 | Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2010 | Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2011 | The Number of Regimes Across Asset Returns: Identification and Economic Value In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 4 |
| 2014 | THE 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 | |
| 2011 | Identifying and Explaining the Number of Regimes Driving Asset Returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2017 | The contribution of jumps to forecasting the density of returns In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). [Full Text][Citation analysis] | paper | 0 |
| 2017 | The contribution of jumps to forecasting the density of returns.(2017) In: Documents de travail du Centre d'Economie de la Sorbonne. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
| 2014 | Forecasting the density of oil futures In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2014 | Testing for Leverage Effect in Financial Returns In: Documents de travail du Centre d'Economie de la Sorbonne. [Citation analysis] | paper | 1 |
| 2008 | Option 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] | paper | 5 |
| 2016 | An anatomy of global risk premiums In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
| 2006 | An econometric specification of monetary policy dark art In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Yield curve reaction to macroeconomic news in Europe :disentangling the US influence In: Working Papers CEB. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Cross-market linkages between commodities, stocks and bonds In: Applied Economics Letters. [Full Text][Citation analysis] | article | 6 |
| 2013 | Volatility spillovers in commodity markets In: Applied Economics Letters. [Full Text][Citation analysis] | article | 43 |
| 2012 | Equity, credit and the business cycle In: Applied Financial Economics. [Full Text][Citation analysis] | article | 4 |
| 2010 | Mean-reversion properties of implied volatilities In: The European Journal of Finance. [Full Text][Citation analysis] | article | 2 |
| 2014 | Twenty years of jumps in commodity markets In: International Review of Applied Economics. [Full Text][Citation analysis] | article | 17 |
| 2013 | Forecasting the European Credit Cycle Using Macroeconomic Variables In: Journal of Forecasting. [Citation analysis] | article | 1 |
| 2015 | Forward Rates, Monetary Policy and the Economic Cycle In: Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
| 2011 | HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 12 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team