Christophe Perignon : Citation Profile

Are you Christophe Perignon?

HEC Paris (École des Hautes Études Commerciales)

15

H index

21

i10 index

1164

Citations

RESEARCH PRODUCTION:

23

Articles

68

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 52
   Journals where Christophe Perignon has often published
   Relations with other researchers
   Recent citing documents: 139.    Total self citations: 15 (1.27 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe841
   Updated: 2024-12-03    RAS profile: 2021-11-30    
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Relations with other researchers

Works with:

Hurlin, Christophe (9)

Isakov, Dusan (2)

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

Is cited by:

Jimenez-Martin, Juan (29)

Pérez-Amaral, Teodosio (23)

Hurlin, Christophe (16)

Danielsson, Jon (14)

Righi, Marcelo (13)

Maillet, Bertrand (11)

Chang, Chia-Lin (10)

Urga, Giovanni (10)

Diebold, Francis (9)

Hammoudeh, Shawkat (9)

Bollerslev, Tim (9)

Cites to:

Caballero, Ricardo (10)

Kupiec, Paul (10)

Hirtle, Beverly (9)

Vermaelen, Theo (7)

cotter, john (7)

Gourinchas, Pierre-Olivier (7)

Engle, Robert (7)

Bollerslev, Tim (6)

Pelletier, Denis (6)

KRISHNAMURTHY, ARVIND (6)

Hall, Maximilian (6)

Main data

Where Christophe Perignon has published?

Journals with more than one article published# docs
Journal of Banking & Finance8
Review of Finance2
Journal of Financial and Quantitative Analysis2

Working Papers Series with more than one paper published# docs
Post-Print / HAL29
Working Papers / HAL18
HEC Research Papers Series / HEC Paris5
FSES Working Papers / Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland2
CEPR Discussion Papers / C.E.P.R. Discussion Papers2
FAME Research Paper Series / International Center for Financial Asset Management and Engineering2

Recent works citing Christophe Perignon (2024 and 2023)

YearTitle of citing document
2023FINANCIAL RISK OPTIMISATION METHODS: A SURVEY. (2023). Chiper, Alexandra-Maria. In: Review of Economic and Business Studies. RePEc:aic:revebs:y:2023:j:31:chipera.

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2024Formation of Optimal Interbank Lending Networks under Liquidity Shocks. (2022). Sircar, Ronnie ; Rigobon, Daniel E. In: Papers. RePEc:arx:papers:2211.12404.

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2023Ruin Probabilities for Risk Processes in Stochastic Networks. (2023). Sulem, Agnes ; Minca, Andreea ; Cao, Zhongyuan ; Amini, Hamed. In: Papers. RePEc:arx:papers:2302.06668.

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2023Tail 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.

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2023The Dark Side of Algorithms? The Effect of Recommender Systems on Online Investor Behaviors. (2023). Hu, Yu Jeffrey ; He, Cheng ; Zhu, Ruiqi Rich. In: Papers. RePEc:arx:papers:2303.14263.

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2024Statistical Validation of Contagion Centrality in Financial Networks. (2024). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

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2024Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials. (2024). Lu, Yang ; Hurlin, Christophe. In: Papers. RePEc:arx:papers:2405.02012.

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2024Pre-Publication Revisions of Bank Financial Statements: a novel way to monitor banks?. (2024). van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Working Papers Series. RePEc:bcb:wpaper:590.

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2023Stablecoins and the Financing of the Real Economy. (2023). Nguyen, Benoit ; Gardin, Paul ; Barthelemy, Jean. In: Working papers. RePEc:bfr:banfra:908.

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2023Swing Pricing et dynamique des flux au regard de la crise Covid-19. (2023). Garcia, Thomas ; Baena, Antoine. In: Working papers. RePEc:bfr:banfra:914.

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2024Sectoral Dynamics of Safe Assets in Advanced Economies. (2024). Kuvshinov, Dmitry ; Jauregui, Madalen Castells ; Vanasco, Victoria ; Richter, Bjorn. In: Working Papers. RePEc:bge:wpaper:1438.

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2023Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: BIS Working Papers. RePEc:bis:biswps:1085.

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2023Do banks practice what they preach? Brown lending and environmental disclosure in the euro area. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Scannella, Enzo ; Polizzi, Salvatore. In: BIS Working Papers. RePEc:bis:biswps:1143.

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2023An empirical investigation of the quality of value?at?risk disclosure in Australia. (2022). Smith, Daniel R ; Campbell, Angus. In: Accounting and Finance. RePEc:bla:acctfi:v:62:y:2022:i:1:p:469-491.

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2023Financial effects of carbon risk and carbon disclosure: A review. (2023). Wang, Qingxia. In: Accounting and Finance. RePEc:bla:acctfi:v:63:y:2023:i:4:p:4175-4219.

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2023Consuming Contests: The Effect of Outcome Uncertainty on Spectator Attendance in the Australian Football League. (2023). Lakhani, Karim R ; Ferguson, Patrick J. In: The Economic Record. RePEc:bla:ecorec:v:99:y:2023:i:326:p:410-435.

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2024Tail Risk Networks of Insurers Around the Globe: An Empirical Examination of Systemic Risk for G‐SIIs vs Non‐G‐SIIs. (2020). Sun, Tao ; Chen, Hua. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:2:p:285-318.

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2023.

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2023Supervisory policy stimulus: evidence from the euro area dividend recommendation. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Dautovi, Ernest. In: Working Paper Series. RePEc:ecb:ecbwps:20232796.

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2023Do banks practice what they preach? Brown lending and environmental disclosure in the euro area. (2023). Reghezza, Alessio ; Gambacorta, Leonardo ; Scannella, Enzo ; Polizzi, Salvatore. In: Working Paper Series. RePEc:ecb:ecbwps:20232872.

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2023Intermediaries’ substitutability and financial network resilience: A hyperstructure approach. (2023). Ugolini, Stefano ; Lucena-Piquero, Delio ; Accominotti, Olivier. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001069.

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2023Systemic risk of optioned portfolio: Controllability and optimization. (2023). Ma, Jiali ; Cui, Xueting ; Zhu, Shushang ; Pang, Xiaochuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001070.

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2023The asymmetric dynamics of stock–bond liquidity correlation in China: The role of macro-financial determinants. (2023). Pan, Beier. In: Economic Modelling. RePEc:eee:ecmode:v:124:y:2023:i:c:s0264999323001074.

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2023Cross-border Italian sovereign risk transmission in EMU countries. (2023). Napolitano, Oreste ; Fiorelli, Cristiana ; D'Uva, Marcella ; Capasso, Salvatore. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002365.

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2023Competitive intensity and industry performance of professional sports. (2023). Guironnet, Jean-Pascal. In: Economic Modelling. RePEc:eee:ecmode:v:126:y:2023:i:c:s0264999323002535.

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2023Time-varying risk spillovers in Chinese stock market – New evidence from high-frequency data. (2023). Yang, Guang-Yi ; Tang, Chun ; Liu, Xiao-Xing ; Zhou, Dong-Hai. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822002054.

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2023A description of the COVID-19 outbreak role in financial risk forecasting. (2023). Righi, Marcelo Brutti ; Santos, Samuel Solgon ; Muller, Fernanda Maria. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:66:y:2023:i:c:s1062940823000177.

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2024Risk characteristics and connectedness in cryptocurrency markets: New evidence from a non-linear framework. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001596.

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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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2024How macroeconomic conditions affect systemic risk in the short and long-run?. (2024). Kurter, Zeynep O. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s106294082400007x.

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2024Is there a dark side to financial inclusion? Understanding the relationship between financial inclusion and market risk. (2024). Muller, Fernanda Maria ; Righi, Marcelo Brutti ; Foguesatto, Cristian Rogerio. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000652.

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2024Dynamic monitoring of financial security risks: A novel China financial risk index and an early warning system. (2024). Zhang, Wenyu. In: Economics Letters. RePEc:eee:ecolet:v:234:y:2024:i:c:s0165176523004718.

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2023Forecasting value-at-risk and expected shortfall in large portfolios: A general dynamic factor model approach. (2023). Trucíos, Carlos ; Hallin, Marc ; Trucios, Carlos. In: Econometrics and Statistics. RePEc:eee:ecosta:v:27:y:2023:i:c:p:1-15.

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2023Optimal scenario-dependent multivariate shortfall risk measure and its application in risk capital allocation. (2023). Ma, Tiejun ; Xu, Huifu ; Wang, Wei. In: European Journal of Operational Research. RePEc:eee:ejores:v:306:y:2023:i:1:p:322-347.

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2024Persistence in financial connectedness and systemic risk. (2024). Baruník, Jozef ; Ellington, Michael ; Barunik, Jozef. In: European Journal of Operational Research. RePEc:eee:ejores:v:314:y:2024:i:1:p:393-407.

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2023Systemic risk spillovers and the determinants in the stock markets of the Belt and Road countries. (2023). Xie, Chi ; Zhu, You ; Wang, Gang-Jin ; Feng, Yusen. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000250.

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2023Can corporate financing through the stock market create systemic risk? Evidence from the BRVM securities market. (2023). Amenounve, Edoh ; Soumare, Issouf ; Kanga, Desire. In: Emerging Markets Review. RePEc:eee:ememar:v:55:y:2023:i:c:s1566014123000365.

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2023Optimizing systemic risk through credit network reconstruction. (2023). Xiaoxing, Liu ; Jing, MA ; Chao, Wang. In: Emerging Markets Review. RePEc:eee:ememar:v:57:y:2023:i:c:s1566014123000651.

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2023Multilayer network analysis for measuring the inter-connectedness between the oil market and G20 stock markets. (2023). Zhang, Xinhua ; Tang, Rui ; Dai, Zhifeng. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001378.

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2023The systemic risk of US oil and natural gas companies. (2023). Panzica, Roberto ; Fontini, Fulvio ; Caporin, Massimiliano. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001482.

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2023Research on tail risk contagion in international energy markets—The quantile time-frequency volatility spillover perspective. (2023). Xiong, Xiong ; Jia, Kai-Wen ; Wu, Zhuo-Cheng ; Zhao, Min ; Gong, Xiao-Li. In: Energy Economics. RePEc:eee:eneeco:v:121:y:2023:i:c:s0140988323001767.

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2024Forecasting the VaR of the crude oil market: A combination of mixed data sampling and extreme value theory. (2024). Yang, MO ; Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Chang, Jianing. In: Energy Economics. RePEc:eee:eneeco:v:133:y:2024:i:c:s0140988324002081.

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2023Extreme risk contagion between international crude oil and Chinas energy-intensive sectors: New evidence from quantile Granger causality and spillover methods. (2023). Sun, Yan-Lin ; Chen, Bin-Xia. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028621.

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2023Explain systemic risk of commodity futures market by dynamic network. (2023). Zhang, Zuominyang ; Wang, Tianqi ; Lin, Jianwu ; Huang, KE ; He, Chengying. In: International Review of Financial Analysis. RePEc:eee:finana:v:88:y:2023:i:c:s1057521923001746.

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2023Can CoCo-bonds mitigate systemic risk?. (2023). Petras, Matthias ; Kund, Arndt-Gerrit. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002028.

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2023The crucial role of the five-year Treasury in the US yield curve. (2023). Chen, Yu-Lun. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003447.

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2023Fintech inputs, non-performing loans risk reduction and bank performance improvement. (2023). Wu, Wanting ; Mao, Kunyuan ; Wang, Haijun ; Luo, Haohan. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003654.

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2023Time-varying bond market integration and the impact of financial crises. (2023). Hyde, Stuart ; Cho, Sungjun ; Qin, Weiping. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004258.

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2023Measurement and contagion modelling of systemic risk in Chinas financial sectors: Evidence for functional data analysis and complex network. (2023). Gu, Qinen ; Li, Shaofang ; Tian, Sihua. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004295.

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2023A study of interconnections and contagion among Chinese financial institutions using a ?CoV aR network. (2022). Xu, Zezhou ; Mo, Dongxu ; Chen, Yan. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s1544612321003950.

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2023Forecasting and backtesting systemic risk in the cryptocurrency market. (2023). Egan, Paul ; Cao, Guangxi ; Fang, Sheng. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001617.

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2023Dynamic spillover and systemic importance analysis of global clean energy companies: A tail risk network perspective. (2023). Xing, Xiaoyun ; Zheng, Huike ; Deng, Jing. In: Finance Research Letters. RePEc:eee:finlet:v:55:y:2023:i:pb:s1544612323003628.

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2023Uncertainty in systemic risks rankings: Bayesian and frequentist analysis. (2023). Goldman, Elena. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323004002.

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2023European bank credit risk transmission during the credit Suisse collapse. (2023). Bouri, Elie ; Foglia, Matteo ; Nekhili, Ramzi. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pb:s1544612323008243.

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2023Macro-prudential policy and systemic risk of real estate firms: Evidence from China. (2023). Kong, Dongmin ; Wang, Lijuan ; Li, Xiao-Lin. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323008905.

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2024Measuring systemic risk contribution: A higher-order moment augmented approach. (2024). Huang, Guanglin ; Wang, Peiwen. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s1544612323012059.

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2024Commonality in volatility among green, brown, and sustainable energy indices. (2024). Sensoy, Ahmet ; Palma, Alessia ; Rahman, Molla Ramizur ; Banerjee, Ameet Kumar. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s1544612324004148.

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2024External wealth of nations and systemic risk. (2024). Ongena, Steven ; Chiper, Alexandra Maria ; Andrie, Alin Marius ; Sprincean, Nicu. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s157230892300092x.

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2024Bank opacity, systemic risk and financial stability. (2024). Mies, Michael. In: Journal of Financial Stability. RePEc:eee:finsta:v:70:y:2024:i:c:s1572308923001110.

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2024Probability equivalent level for CoVaR and VaR. (2024). Suarez-Llorens, Alfonso ; Sordo, Miguel A ; Pellerey, Franco ; Ortega-Jimenez, Patricia. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:115:y:2024:i:c:p:22-35.

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2023Global systemic risk dynamic network connectedness during the COVID-19: Evidence from nonlinear Granger causality. (2023). Sha, Yezhou ; Yin, Shiqi ; Zhang, Ping. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:85:y:2023:i:c:s1042443123000513.

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2023Policy uncertainty and bank systemic risk: A perspective of risk decomposition. (2023). Wang, QI ; Fang, YI ; Zhao, Yang. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123000951.

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2023Do world stock markets “jump” together? A measure of high-frequency volatility risk spillover networks. (2023). Liu, Xiao-Xing ; Zhou, Dong-Hai. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001117.

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2023The impact of COVID-19 related policy interventions on international systemic risk. (2023). Vioto, Davide ; Duygun, Meryem ; Bevilacqua, Mattia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001270.

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2023Liquidity risk, return performance, and tracking error: Synthetic vs. Physical ETFs. (2023). Seok, Sangik ; Cho, Hoon ; Kim, Jinhwan. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001531.

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2024Financial market connectedness between the U.S. and China: A new perspective based on non-linear causality networks. (2024). Sun, Yan-Lin ; Chen, Bin-Xia. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001543.

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2024Liquidity dynamics between virtual and equity markets. (2024). Huang, Sherena S. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:91:y:2024:i:c:s1042443123001853.

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2023Static and dynamic models for multivariate distribution forecasts: Proper scoring rule tests of factor-quantile versus multivariate GARCH models. (2023). Meng, Xiaochun ; Han, Yang ; Alexander, Carol. In: International Journal of Forecasting. RePEc:eee:intfor:v:39:y:2023:i:3:p:1078-1096.

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2023Compensation regulation in banking: Executive director behavior and bank performance after the EU bonus cap. (2023). Koetter, Michael ; Wagner, Konstantin ; Colonnello, Stefano. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:76:y:2023:i:1:s0165410122000994.

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2023Impact of systemic risk regulation on optimal policies and asset prices. (2023). Cui, Xuecan ; Bernard, Carole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002011.

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2023The case for CASE: Estimating heterogeneous systemic effects. (2023). Zhu, Guangwei ; Escanciano, Juan Carlos ; Du, Zaichao. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:157:y:2023:i:c:s0378426623002133.

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2024Pre-publication revisions of bank financial statements: A novel way to monitor banks?. (2024). van Doornik, Bernardus ; Norden, Lars ; Naeem, Mahvish ; Guettler, Andre. In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:58:y:2024:i:c:s1042957324000020.

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2023The network and own effects of global-systemically-important-bank designations. (2023). Egger, Peter ; Zhu, Jiaqing ; Li, Jie. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000803.

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2024Smart systemic-risk scores. (2024). Benoit, Sylvain. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:140:y:2024:i:c:s0261560623001699.

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2024Does mixed frequency variables help to forecast value at risk in the crude oil market?. (2024). Ke, Rui ; Qin, Fanshu ; Lyu, Yongjian ; Kong, Mengzhen ; Wei, YU. In: Resources Policy. RePEc:eee:jrpoli:v:88:y:2024:i:c:s0301420723011376.

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2023Dividend taxes and corporate choice: Evidence from 2015 tax cut in South Korea. (2023). Park, Saeyeul S ; Lee, Seung Chul. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000495.

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2023Systemically important financial institutions and drivers of systemic risk: Evidence from India. (2023). Bouri, Elie ; Kumar, Dilip ; Narayan, Shivani. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:82:y:2023:i:c:s0927538x23002263.

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2024Political uncertainty and commonality in liquidity. (2024). Dang, Tung ; Nguyen, MY ; Luong, Hoang. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:83:y:2024:i:c:s0927538x23003207.

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2023Is there a risk premium? Evidence from thirteen measures. (2023). Ramos, Henrique Pinto ; Muller, Fernanda Maria ; Fracasso, Lais Martins ; Righi, Marcelo Brutti. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:92:y:2023:i:c:p:182-199.

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2024Commodity 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.

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2024Investment network and stock’s systemic risk contribution: Evidence from China. (2024). Borjigin, Sumuya ; Xiang, Youtao. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:94:y:2024:i:c:p:113-132.

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2023Risk spillovers in global financial markets: Evidence from the COVID-19 crisis. (2023). Zhao, Yang ; Shao, Zhiquan ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:821-840.

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2024Media sentiment, deposit stability and bank systemic risk: Evidence from China. (2024). Yuan, Yan ; Wang, Yanru ; Fang, YI. In: International Review of Economics & Finance. RePEc:eee:reveco:v:91:y:2024:i:c:p:1150-1172.

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2024Measuring spatial impacts and tracking cross-border risk. (2024). Xiao, Yang ; Wang, BO. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:50-84.

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2023Measurement and prediction of systemic risk in China’s banking industry. (2023). Zhao, Yue ; Lee, Chien-Chiang ; Zhang, Xinsong. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002604.

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2023Financial market spillovers and macroeconomic shocks: Evidence from China. (2023). Guo, Kun ; Wu, Jie ; Liu, Yue ; Feng, Haoyuan. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000879.

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2024Over-expected shocks and financial market security: Evidence from Chinas markets. (2024). Sensoy, Ahmet ; Chen, Shoudong ; Li, Yueshan ; Wang, LU. In: Research in International Business and Finance. RePEc:eee:riibaf:v:68:y:2024:i:c:s0275531923003203.

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2024Commonality in liquidity and corporate default risk - Evidence from China. (2024). Zan, Bingyan ; Li, Jintian ; He, Feng ; Fu, Yumei. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s0275531924000734.

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

Works by Christophe Perignon:

YearTitleTypeCited
2002Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion In: European Financial Management.
[Full Text][Citation analysis]		article14
2002Extracting information from options markets : smiles, state-price densities and risk-aversion.(2002) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2021The Private Production of Safe Assets In: Journal of Finance.
[Full Text][Citation analysis]		article16
2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 16		paper
2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 16		paper
2017The Private Production of Safe Assets.(2017) In: HEC Research Papers Series.
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This paper has nother version. Agregated cites: 16		paper
2013Derivatives Clearing, Default Risk, and Insurance In: Journal of Risk & Insurance.
[Full Text][Citation analysis]		article21
2013Derivatives Clearing, Default Risk, and Insurance.(2013) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 21		paper
2019Machine learning et nouvelles sources de données pour le scoring de crédit In: Revue d'économie financière.
[Full Text][Citation analysis]		article5
2019Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2019Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: LEO Working Papers / DR LEO.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2009Commonality in Liquidity: A Global Perspective In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article110
2009Commonality in Liquidity: A Global Perspective.(2009) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 110		paper
2017CoMargin In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article0
2015CoMargin.(2015) In: Working Papers.
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This paper has nother version. Agregated cites: 0		paper
2013Systemic Risk Score: A Suggestion In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper3
2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
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This paper has nother version. Agregated cites: 3		paper
2014The Collateral Risk of ETFs In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper2
2015Where the Risks Lie: A Survey on Systemic Risk In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper273
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 273		paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 273		paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 273		paper
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Review of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 273		article
2017Wholesale Funding Dry-Ups In: HEC Research Papers Series.
[Full Text][Citation analysis]		paper17
2017Wholesale funding dry-ups.(2017) In: ESRB Working Paper Series.
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This paper has nother version. Agregated cites: 17		paper
2019The counterparty risk exposure of ETF investors In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2014The Counterparty Risk Exposure of ETF Investors.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2001Evolution of market uncertainty around earnings announcements In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article15
2000Evolution of Market Uncertainty around Earnings Announcements.(2000) In: FAME Research Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 15		paper
1999Evolution of Market Uncertainty around Earnings Announcements..(1999) In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2007Yield-factor volatility models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article7
2007Yield-factor volatility models.(2007) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 7		paper
2008Do banks overstate their Value-at-Risk? In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article76
2008Do banks overstate their Value-at-Risk?.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 76		paper
2010Diversification and Value-at-Risk In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article40
2010Diversification and Value-at-Risk.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2010The level and quality of Value-at-Risk disclosure by commercial banks In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article143
2009The Level and Quality of Value-at-Risk Disclosure by Commercial Banks.(2009) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 143		paper
2010The level and quality of Value-at-Risk disclosure by commercial banks.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 143		paper
2011The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article5
2010The pernicious effects of contaminated data in risk management.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2011The Pernicious Effects of Contaminated Data in Risk Management.(2011) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 5		paper
2013The Risk Map: A new tool for validating risk models In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article28
2012The Risk Map: A New Tool for Validating Risk Models.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 28		paper
2008How common are common return factors across the NYSE and Nasdaq? In: Journal of Financial Economics.
[Full Text][Citation analysis]		article15
2008How common are common return factors across NYSE and Nasdaq?.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 15		paper
2019Pitfalls in systemic-risk scoring In: Journal of Financial Intermediation.
[Full Text][Citation analysis]		article26
2019Pitfalls in systemic-risk scoring.(2019) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2017Pitfalls in Systemic-Risk Scoring.(2017) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 26		paper
2007Why common factors in international bond returns are not so common In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article24
2005Repurchasing Shares on a Second Trading Line In: FAME Research Paper Series.
[Full Text][Citation analysis]		paper12
2005Repurchasing Shares on a Second Trading Line.(2005) In: FSES Working Papers.
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This paper has nother version. Agregated cites: 12		paper
2007Repurchasing Shares on a Second Trading Line.(2007) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 12		paper
2019What if dividends were tax-exempt? Evidence from a natural experiment In: FSES Working Papers.
[Full Text][Citation analysis]		paper7
2020What If Dividends Were Tax?Exempt? Evidence from a Natural Experiment.(2020) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 7		paper
1999On the Dynamic Interdependence of International Stock Markets: a Swiss Perspective. In: Ecole des Hautes Etudes Commerciales, Universite de Geneve-.
[Citation analysis]		paper8
2000On the dynamic interdependence of international stock markets: A Swiss perspective.(2000) In: Swiss Journal of Economics and Statistics (SJES).
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This paper has nother version. Agregated cites: 8		article
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[Citation analysis]		paper0
2008Impact of Overwhelming Joy on Consumer Demand In: Post-Print.
[Citation analysis]		paper13
2009Marchés Financiers: Gestion de portefeuille et des risques In: Post-Print.
[Citation analysis]		paper0
2009Marchés financiers, gestion de portefeuilles et des risques.(2009) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 0		paper
2009Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data In: Post-Print.
[Citation analysis]		paper3
2010La gestion des risques fait sa révolution In: Post-Print.
[Citation analysis]		paper0
2011Clearing house, margin requirements, and systemic risk In: Post-Print.
[Citation analysis]		paper4
2011Clearing house, margin requirements, and systemic risk.(2011) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 4		paper
2008Representative yield curve shocks and stress testing In: Post-Print.
[Citation analysis]		paper2
2012Representative Yield Curve Shocks and Stress Testing.(2012) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2008A New Approach to Comparing VaR Estimation Methods In: Post-Print.
[Citation analysis]		paper28
2015Implied Risk Exposures In: Post-Print.
[Citation analysis]		paper2
2014Implied Risk Exposures.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 2		paper
2015Implied Risk Exposures.(2015) In: Review of Finance.
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This paper has nother version. Agregated cites: 2		article
2004Component Proponents II In: Post-Print.
[Citation analysis]		paper3
2002Component Proponents.(2002) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 3		paper
2002Estimation empirique de laversion au risque : lapport des marchés doptions In: Post-Print.
[Citation analysis]		paper0
2006Sources of time variation in the covariance matrix of interest rates In: Post-Print.
[Citation analysis]		paper12
2006Sources of Time Variation in the Covariance Matrix of Interest Rates.(2006) In: The Journal of Business.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 12		article
2015Wholesale Funding Runs In: Working Papers.
[Citation analysis]		paper0
2011Is Mister Mayor Running a Hedge Fund? The Use of Toxic Loans by Local Authorities In: Working Papers.
[Citation analysis]		paper0
2019A Theoretical and Empirical Comparison of Systemic Risk Measures In: Working Papers.
[Citation analysis]		paper106
2013A Theoretical and Empirical Comparison of Systemic Risk Measures.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 106		paper
2020Reproducibility Certification in Economics Research In: Working Papers.
[Citation analysis]		paper0
2012RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results In: Working Papers.
[Full Text][Citation analysis]		paper2
2012Margin Backtesting In: Working Papers.
[Full Text][Citation analysis]		paper5
2021Non-Standard Errors In: Working Papers.
[Full Text][Citation analysis]		paper9
2017The Political Economy of Financial Innovation: Evidence from Local Governments In: The Review of Financial Studies.
[Full Text][Citation analysis]		article7
2000Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports In: Applied Economics.
[Full Text][Citation analysis]		article60

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