Christophe Perignon : Citation Profile

HEC Paris (École des Hautes Études Commerciales)

15

H index

22

i10 index

1309

Citations

RESEARCH PRODUCTION:

24

Articles

68

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 59
   Journals where Christophe Perignon has often published
   Relations with other researchers
   Recent citing documents: 146.    Total self citations: 15 (1.13 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe841
   Updated: 2025-12-27    RAS profile: 2021-11-30    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers

Works with:

Hurlin, Christophe (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)

Alexander, Carol (9)

Schreyer, Dominik (9)

Diebold, Francis (9)

Cites to:

Caballero, Ricardo (10)

Kupiec, Paul (10)

Hirtle, Beverly (9)

Engle, Robert (7)

cotter, john (7)

Gourinchas, Pierre-Olivier (7)

Vermaelen, Theo (7)

KRISHNAMURTHY, ARVIND (6)

Hall, Maximilian (6)

Hamermesh, Daniel (6)

Bollerslev, Tim (6)

Main data

Where Christophe Perignon has published?

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

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

Recent works citing Christophe Perignon (2025 and 2024)

YearTitle of citing document
2025ESG Reporting and Systemic Risk: Evidence from European Markets. (2025). Filip, Radu Ion ; Cosoveanu, Georgiana ; Tigu, Gabriela ; Hurduzeu, Gheorghe ; Lupu, Iulia. In: The AMFITEATRU ECONOMIC journal. RePEc:aes:amfeco:v:27:y:2025:i:70:p:869.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Deep Generative Modeling for Financial Time Series with Application in VaR: A Comparative Review. (2024). Han, Xusi ; Zhu, Xuejun ; Guo, Steve ; Li, Shuang ; Fu, Rao ; Ericson, Lars. In: Papers. RePEc:arx:papers:2401.10370.

Full description at Econpapers || Download paper

2025Statistical Validation of Contagion Centrality in Financial Networks. (2025). Feinstein, Zachary ; Sadeghi, Agathe. In: Papers. RePEc:arx:papers:2404.14337.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Portfolio Stress Testing and Value at Risk (VaR) Incorporating Current Market Conditions. (2024). Nagpal, Krishan Mohan. In: Papers. RePEc:arx:papers:2409.18970.

Full description at Econpapers || Download paper

2025Risk forecasting using Long Short-Term Memory Mixture Density Networks. (2025). Herrig, Nico. In: Papers. RePEc:arx:papers:2501.01278.

Full description at Econpapers || Download paper

2025Mapping Microscopic and Systemic Risks in TradFi and DeFi: a literature review. (2025). Vivo, Pierpaolo ; Caccioli, Fabio ; Bartolucci, Silvia ; Aufiero, Sabrina. In: Papers. RePEc:arx:papers:2508.12007.

Full description at Econpapers || Download paper

2025Probability equivalent level for CoVaR and VaR in bivariate Student-\textit{t} copulas with application to foreign exchange risk monitoring. (2025). Flores-Silva, Daniela I ; Su, Alfonso ; Sordo, Miguel A. In: Papers. RePEc:arx:papers:2510.15934.

Full description at Econpapers || Download paper

2025Money Talks: Transaction Costs, the Value of Convenience, and the Cross-Section of Safe Asset Returns. (2025). Nenov, Plamen ; Schneider, Fabienne ; Syrstad, Olav ; Juelsrud, Ragnar. In: Staff Working Papers. RePEc:bca:bocawp:25-34.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Fragile wholesale deposits, liquidity risk, and banks maturity transformation. (2025). Müller, Carola ; Sarmiento, Miguel ; Busch, Matias Ossandon ; Pinzon-Puerto, Freddy ; Mller, Carola. In: BIS Working Papers. RePEc:bis:biswps:1263.

Full description at Econpapers || Download paper

2024Currency flotation and dividend policies: Evidence from Chinas central parity reform. (2024). Luo, Yilin ; Thewissen, James ; Ni, Chenkai. In: Financial Management. RePEc:bla:finmgt:v:53:y:2024:i:1:p:145-174.

Full description at Econpapers || Download paper

2024Financial stability, stranded assets and the low‐carbon transition – A critical review of the theoretical and applied literatures. (2024). Daumas, Louis. In: Journal of Economic Surveys. RePEc:bla:jecsur:v:38:y:2024:i:3:p:601-716.

Full description at Econpapers || Download paper

2024Interpretable Machine Learning Using Partial Linear Models. (2024). Hué, Sullivan ; Hacheme, Gilles ; Laurent, Sbastien ; Flachaire, Emmanuel. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:519-540.

Full description at Econpapers || Download paper

2024Value‐at‐Risk under Measurement Error. (2024). Taamouti, Abderrahim ; Song, Xiaojun ; Doukali, Mohamed. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:86:y:2024:i:3:p:690-713.

Full description at Econpapers || Download paper

2024Unraveling the Dividend Puzzle: A Field Experiment. (2024). XIE, Jing ; Wang, Xiaoqiao ; Zhao, Xiaofeng ; Zhang, Bohui. In: Working Papers. RePEc:boa:wpaper:202406.

Full description at Econpapers || Download paper

2025Taxing Corporate or Shareholder Income. (2025). Berg, Kristoffer. In: CESifo Working Paper Series. RePEc:ces:ceswps:_12149.

Full description at Econpapers || Download paper

2024Tackling the volatility paradox: spillover persistence and systemic risk. (2024). Kubitza, Christian. In: Working Paper Series. RePEc:ecb:ecbwps:20242981.

Full description at Econpapers || Download paper

2025Foreign demand for safety and macroeconomic instability. (2025). Vanasco, Victoria ; Castells-Jauregui, Madalen ; Kuvshinov, Dmitry ; Richter, Bjrn. In: Working Paper Series. RePEc:ecb:ecbwps:20253126.

Full description at Econpapers || Download paper

2024Financial shock transmission in Chinas banking and housing sectors: A network analysis. (2024). Yu, Ziliang ; Li, Yang ; Nong, Huifu. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:82:y:2024:i:c:p:701-723.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Stock market pattern recognition using symbol entropy analysis. (2024). Magner, Nicolas S ; Valle, Mauricio A ; Lavin, Jaime F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:73:y:2024:i:c:s106294082400086x.

Full description at Econpapers || Download paper

2025Systemic risk and network effects in RCEP financial markets: Evidence from the TEDNQR model. (2025). Zhang, Feipeng ; Luo, Qiong ; Chen, Yan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s1062940824002420.

Full description at Econpapers || Download paper

2025Economic policy uncertainty, investor sentiment and systemic financial risk: Evidence from China. (2025). Zhao, Xiaofang ; Fang, Guobin ; Zhou, Xuehua ; Ma, Huimin ; Deng, Yaoxun ; Xie, Luoyan. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:76:y:2025:i:c:s106294082400281x.

Full description at Econpapers || Download paper

2025Asymmetry and determinants of financial connectivity in G20: Evidence from a quantile-based and lasso regression analysis. (2025). Liu, Xiaoxing ; Yang, Guangyi. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:77:y:2025:i:c:s1062940825000191.

Full description at Econpapers || Download paper

2025From collapse to contagion: How bank failures influence stock markets. (2025). Tepl, Petr ; Bro, Vclav. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825000841.

Full description at Econpapers || Download paper

2025Tail risk spillover and systemic importance among fossil energy markets: Evidence from china. (2025). Zheng, Huike ; Gao, Chiyuan ; Deng, Jing. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:79:y:2025:i:c:s1062940825001019.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Monitoring bank risk around the world using unsupervised learning. (2025). TARAZI, Amine ; Lardy, Jean-Pierre ; Armand, Paul ; Mercadier, Mathieu. In: European Journal of Operational Research. RePEc:eee:ejores:v:324:y:2025:i:2:p:590-615.

Full description at Econpapers || Download paper

2025Systemic risk between banks and firms in dual-layer dynamic networks. (2025). Qian, Shuitu ; You, Hang ; Zhang, Xiaoyuan. In: Emerging Markets Review. RePEc:eee:ememar:v:66:y:2025:i:c:s1566014125000251.

Full description at Econpapers || Download paper

2024Non-standard errors in asset pricing: Mind your sorts. (2024). Verwijmeren, Patrick ; van Vliet, Bart ; Soebhag, Amar. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000525.

Full description at Econpapers || Download paper

2024The 2008 short-selling ban’s impact on tail risk. (2024). Bostandzic, Denefa ; Bartl, Jonas ; Irresberger, Felix ; Weiss, Gregor ; Yang, Ruomei. In: Journal of Empirical Finance. RePEc:eee:empfin:v:78:y:2024:i:c:s0927539824000677.

Full description at Econpapers || Download paper

2024Stock price synchronicity and stock liquidity: International evidence. (2024). Pham, Thu Phuong ; Dang, Tung ; Brockman, Paul. In: Journal of Empirical Finance. RePEc:eee:empfin:v:79:y:2024:i:c:s0927539824000756.

Full description at Econpapers || Download paper

2025On the performance of volatility-managed equity factors — International and further evidence. (2025). Schwarz, Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:80:y:2025:i:c:s092753982400094x.

Full description at Econpapers || Download paper

2025Tail risk dynamics of banks with score-driven extreme value models. (2025). Herrera, Rodrigo ; Clements, Adam ; Fuentes, Fernanda. In: Journal of Empirical Finance. RePEc:eee:empfin:v:81:y:2025:i:c:s0927539825000155.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Systemic risk spillovers among global energy firms: Does geopolitical risk matter?. (2024). Zhu, BO ; Liu, Jiahao. In: Energy Economics. RePEc:eee:eneeco:v:140:y:2024:i:c:s014098832400745x.

Full description at Econpapers || Download paper

2025Multiscale systemic risk spillovers in Chinese energy market: Evidence from a tail-event driven network analysis. (2025). Zhang, Feipeng ; Yuan, DI ; Zhou, Sitong. In: Energy Economics. RePEc:eee:eneeco:v:142:y:2025:i:c:s0140988324008600.

Full description at Econpapers || Download paper

2025Digital transformation in banking: Curbing procyclical leverage to strengthen financial stability. (2025). Huang, Zeyu ; Wang, LI ; Yang, Yining. In: International Review of Financial Analysis. RePEc:eee:finana:v:103:y:2025:i:c:s1057521925002923.

Full description at Econpapers || Download paper

2025Understanding risk spillover in multi-layer financial networks: The role of bank–firm connections. (2025). Wang, Guanghou ; Zhao, Han ; Shu, Lei ; Song, Lei. In: International Review of Financial Analysis. RePEc:eee:finana:v:105:y:2025:i:c:s1057521925004910.

Full description at Econpapers || Download paper

2024FinTech, systemic risk and bank market power – Australian perspective. (2024). Saklain, Md Sohel. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002837.

Full description at Econpapers || Download paper

2024Empirical research on banks risk disclosure: Systematic literature review, bibliometric analysis and future research agenda. (2024). Mies, Michael. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pa:s1057521924002898.

Full description at Econpapers || Download paper

2024Retail traders and co-movement: Evidence from Robinhood trading activity. (2024). faff, robert ; Oliver, Barry ; Haghighi, Afshin. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003636.

Full description at Econpapers || Download paper

2024The writing on the wall: A connectedness-based analysis of ownership structure and bank risk in China. (2024). Wang, Ming-Hui ; Zhou, Jia-Qi ; Wu, Feng-Lin. In: International Review of Financial Analysis. RePEc:eee:finana:v:95:y:2024:i:pb:s1057521924003971.

Full description at Econpapers || Download paper

2024Interbank deposits and bank systemic risk. (2024). Cao, Zhiling ; Wen, Fenghua ; Sadiq, Muhammad ; Liu, Yulin. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006501.

Full description at Econpapers || Download paper

2024Systemic risk effects of climate transition on financial stability. (2024). Ugolini, Andrea ; Reboredo, Juan ; Ojea-Ferreiro, Javier. In: International Review of Financial Analysis. RePEc:eee:finana:v:96:y:2024:i:pb:s1057521924006549.

Full description at Econpapers || Download paper

2025Systemic risk from overlapping portfolios: A multi-objective optimization framework. (2025). Maringer, Dietmar ; Sulas, Alessandro ; Paterlini, Sandra. In: International Review of Financial Analysis. RePEc:eee:finana:v:97:y:2025:i:c:s1057521924007269.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Identification of systemic financial risks: The role of climate risks. (2025). Yang, Sitong ; Su, Hongyu ; Li, Shouwei ; Zhu, Wenqiang. In: Finance Research Letters. RePEc:eee:finlet:v:74:y:2025:i:c:s1544612324017562.

Full description at Econpapers || Download paper

2025How do systematic risk spillovers reshape investment outcomes?. (2025). Tiwari, Aviral ; Silva, Emilson ; Roubaud, David ; Tao, Miaomiao. In: Finance Research Letters. RePEc:eee:finlet:v:75:y:2025:i:c:s1544612325000741.

Full description at Econpapers || Download paper

2025Liquidity spillovers in US stock market based on multilayer networks. (2025). Huang, Chuangxia ; Yuan, Jinyu. In: Finance Research Letters. RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004945.

Full description at Econpapers || Download paper

2025How do community banks access liquidity during funding stress events?. (2025). Herb, Patrick ; Kim, Raymond. In: Finance Research Letters. RePEc:eee:finlet:v:80:y:2025:i:c:s1544612325006014.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Too-systemic-to-fail: Empirical comparison of systemic risk measures in the Eurozone financial system. (2024). Armanious, Amir. In: Journal of Financial Stability. RePEc:eee:finsta:v:73:y:2024:i:c:s1572308924000585.

Full description at Econpapers || Download paper

2024Do repeated government infusions help financial stability? Evidence from an emerging market. (2024). Morohunfolu, Olaleye ; Kalimipalli, Madhu ; Ramachandran, Shankar. In: Journal of Financial Stability. RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001190.

Full description at Econpapers || Download paper

2024A dealer’s funding liquidity risk and its money market trades in the 2007/08 crisis. (2024). Reitz, Stefan ; Fecht, Falko ; Weber, Patrick. In: Journal of Financial Stability. RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001220.

Full description at Econpapers || Download paper

2024Macroprudential policy and systemic risk in G20 nations. (2024). Narayan, Shivani ; Kumar, Dilip. In: Journal of Financial Stability. RePEc:eee:finsta:v:75:y:2024:i:c:s1572308924001256.

Full description at Econpapers || Download paper

2025Systemic risk and oil price volatility shocks. (2025). Filis, George ; Filippidis, Michail ; Colak, Gonul ; Chatziantoniou, Ioannis ; Tzouvanas, Panagiotis. In: Journal of Financial Stability. RePEc:eee:finsta:v:79:y:2025:i:c:s1572308925000610.

Full description at Econpapers || Download paper

2024Tail risk network analysis of Asian banks. (2024). Powell, Robert ; Bannigidadmath, Deepa ; Pham, Thach N. In: Global Finance Journal. RePEc:eee:glofin:v:62:y:2024:i:c:s1044028324000899.

Full description at Econpapers || Download paper

2025Not just the news: Higher moments of macroeconomic variables and sovereign bond returns. (2025). Wang, Zijun ; Wald, John K ; Li, Yulin. In: Global Finance Journal. RePEc:eee:glofin:v:66:y:2025:i:c:s1044028325000407.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2025Predicting the conditional distribution of US stock market systemic Stress: The role of climate risks. (2025). GUPTA, RANGAN ; Cepni, Oguzhan ; Caraiani, Petre ; Caporin, Massimiliano. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:101:y:2025:i:c:s1042443125000460.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Credit rating downgrades and systemic risk. (2024). Kladakis, George ; Skouralis, Alexandros. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:90:y:2024:i:c:s1042443123001701.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2025Sudden stops of capital inflows, macroprudential policies, and bank systemic risk: An international investigation. (2025). Song, Gaoya ; Lu, Yiming ; Wang, YU. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000010.

Full description at Econpapers || Download paper

2025Other comprehensive income volatility and bank risk. (2025). Zhang, Junrui ; Su, Yang ; Zhou, Mingming ; Zhao, Hong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:99:y:2025:i:c:s1042443125000058.

Full description at Econpapers || Download paper

2024Behavioral risk profiling: Measuring loss aversion of individual investors. (2024). van Dolder, Dennie ; Vandenbroucke, Jurgen. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:168:y:2024:i:c:s0378426624002073.

Full description at Econpapers || Download paper

2025Do ETFs increase the comovements of their underlying assets? Evidence from a switch in ETF replication technique. (2025). Marta, Thomas ; Riva, Fabrice. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:170:y:2025:i:c:s0378426624002474.

Full description at Econpapers || Download paper

2025Achieving safety: Personal, private, and public provision. (2025). Perotti, Enrico ; Terovitis, Spyros. In: Journal of Economic Theory. RePEc:eee:jetheo:v:224:y:2025:i:c:s0022053125000080.

Full description at Econpapers || Download paper

2024Liquidity regulation and banks: Theory and evidence. (2024). Sundaresan, Suresh ; Xiao, Kairong. In: Journal of Financial Economics. RePEc:eee:jfinec:v:151:y:2024:i:c:s0304405x23001873.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Latent fragility: Conditioning banks joint probability of default on the financial cycle. (2024). Schüler, Yves ; Schuler, Yves ; Hiebert, Paul ; Bochmann, Paul ; Segoviano, Miguel A. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624000949.

Full description at Econpapers || Download paper

2024Measuring systemic risk in Asian foreign exchange markets. (2024). Chen, Yanghan ; Lin, Juan. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:146:y:2024:i:c:s0261560624001220.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Managerial macroeconomic perception and systemic risk in China. (2024). Liu, Yumin ; Guo, Peng ; Jiang, Fuwei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002579.

Full description at Econpapers || Download paper

2024Multilayer network analysis of idiosyncratic volatility connectedness: Evidence from China. (2024). Ouyang, Zisheng ; Zhou, Xuewei ; Lu, Min. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:88:y:2024:i:c:s0927538x24002853.

Full description at Econpapers || Download paper

2025Regional financial risk and firms access to trade credit: Evidence from China. (2025). Zhang, Yun ; Shi, Luqing ; Yin, Zhujia ; Song, Linjia ; Yang, Xin. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:90:y:2025:i:c:s0927538x24003949.

Full description at Econpapers || Download paper

2025Does AI contribute to systemic risk reduction in non-financial corporations?. (2025). Han, Wang-Zhe ; Meng, Wanshan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:100:y:2025:i:c:s1062976925000146.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2024Tail risk connectedness among GCC banks episodes from the Global Financial Crisis to COVID-19 pandemic. (2024). Maghyereh, Aktham ; Abdoh, Hussein. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:96:y:2024:i:c:s1062976924000759.

Full description at Econpapers || Download paper

2024Macro-prudential policy, digital transformations and banks’ risk-taking. (2024). Li, Yongkui ; Gao, Xiang ; Chao, Xiangrui ; Du, Qixuan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:98:y:2024:i:c:s1062976924001479.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2024Banking on resilience: EU macroprudential policy and systemic risk. (2024). Neill, Ashleigh. In: International Review of Economics & Finance. RePEc:eee:reveco:v:93:y:2024:i:pa:p:678-699.

Full description at Econpapers || Download paper

2025Subjective probabilities under behavioral heuristics. (2025). Semenov, Andrei ; Rahman, Oriana. In: International Review of Economics & Finance. RePEc:eee:reveco:v:98:y:2025:i:c:s1059056025000620.

Full description at Econpapers || Download paper

2025Research on sovereign credit and international banking industry tail risk contagion ----Perspective from double-layer complex network. (2025). Xiao-Li, Gong ; Zhuo-Cheng, WU ; Xiong, Xiong ; Wei, Zhang. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025001558.

Full description at Econpapers || Download paper

2025Cross-border capital inflows and systemic financial risks. (2025). Zhang, Siyu ; Miao, Wenlong ; Xu, Haoran. In: International Review of Economics & Finance. RePEc:eee:reveco:v:99:y:2025:i:c:s1059056025002126.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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
2018Wholesale Funding Dry‐Ups In: Journal of Finance.
[Full Text][Citation analysis]		article65
2017Wholesale Funding Dry-Ups.(2017) In: HEC Research Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2017Wholesale funding dry-ups.(2017) In: ESRB Working Paper Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 65		paper
2021The Private Production of Safe Assets In: Journal of Finance.
[Full Text][Citation analysis]		article19
2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		paper
2017The Private Production of Safe Assets.(2017) In: HEC Research Papers Series.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 19		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]		article6
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: 6		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: 6		paper
2009Commonality in Liquidity: A Global Perspective In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article116
2009Commonality in Liquidity: A Global Perspective.(2009) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 116		paper
2017CoMargin In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article0
2015CoMargin.(2015) In: Working Papers.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper330
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 330		paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 330		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: 330		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: 330		article
2019The counterparty risk exposure of ETF investors In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2014The Counterparty Risk Exposure of ETF Investors.(2014) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		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]		article77
2008Do banks overstate their Value-at-Risk?.(2008) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 77		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]		article146
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: 146		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: 146		paper
2011The pernicious effects of contaminated data in risk management In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article6
2010The pernicious effects of contaminated data in risk management.(2010) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2011The Pernicious Effects of Contaminated Data in Risk Management.(2011) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 6		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]		article27
2019Pitfalls in systemic-risk scoring.(2019) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2017Pitfalls in Systemic-Risk Scoring.(2017) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 27		paper
2007Why common factors in international bond returns are not so common In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article27
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.
[Full Text][Citation analysis]
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]		paper9
2020What If Dividends Were Tax‐Exempt? Evidence from a Natural Experiment.(2020) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 9		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).
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 8		article
In: .
[Citation analysis]		paper38
In: .
[Citation analysis]		paper0
In: .
[Citation analysis]		paper0
In: .
[Citation analysis]		paper0
In: .
[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.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 2		paper
2015Implied Risk Exposures.(2015) In: Review of Finance.
[Full Text][Citation analysis]
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]		paper112
2013A Theoretical and Empirical Comparison of Systemic Risk Measures.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 112		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]		paper14
2017The Political Economy of Financial Innovation: Evidence from Local Governments In: The Review of Financial Studies.
[Full Text][Citation analysis]		article8
2000Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports In: Applied Economics.
[Full Text][Citation analysis]		article64

CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 22 2025. Contact: CitEc Team