Christophe Perignon : Citation Profile


HEC Paris (École des Hautes Études Commerciales)

15

H index

21

i10 index

1175

Citations

RESEARCH PRODUCTION:

23

Articles

68

Papers

RESEARCH ACTIVITY:

   22 years (1999 - 2021). See details.
   Cites by year: 53
   Journals where Christophe Perignon has often published
   Relations with other researchers
   Recent citing documents: 145.    Total self citations: 15 (1.26 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/ppe841
   Updated: 2025-01-10    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)

Urga, Giovanni (10)

Chang, Chia-Lin (10)

Andersen, Torben (9)

Bollerslev, Tim (9)

Diebold, Francis (9)

Cites to:

Kupiec, Paul (10)

Caballero, Ricardo (10)

Hirtle, Beverly (9)

Gourinchas, Pierre-Olivier (7)

Vermaelen, Theo (7)

cotter, john (7)

Engle, Robert (7)

Pelletier, Denis (6)

KRISHNAMURTHY, ARVIND (6)

Bollerslev, Tim (6)

Campbell, John (6)

Main data


Production by document typearticlepaper19992000200120022003200420052006200720082009201020112012201320142015201620172018201920202021051015Documents Highcharts.comExport to raster or vector imagePrint the chart
Cumulative documents published199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210255075100Documents Highcharts.comExport to raster or vector imagePrint the chart

Citations received20022003200420052006200720082009201020112012201320142015201620172018201920202021202220232024050100150Citations Highcharts.comExport to raster or vector imagePrint the chart
Citations by production year199920002001200220032004200520062007200820092010201120122013201420152016201720182019202020210100200300Citations Highcharts.comExport to raster or vector imagePrint the chart

H-Index: 15Most cited documents12345678910111213141516170100200300Number of citations Highcharts.comExport to raster or vector imagePrint the chart
H-Index evolution20180120180220180320180420180520180620180720180820180920181020181120181220190120190220190320190420190520190620190720190820190920191020191120191220200120200220200320200420200520200620200720200820200920201020201120201220210120210220210320210420210520210620210720210820210920211020211120211220220120220220220320220420220520220620220720220820220920221020221120221220230120230220230320230420230520230620230720230820230920231020231120231220240120240220240320240420240520240620240720240820240920241020241120241220250101020h-index Highcharts.comExport to raster or vector imagePrint the chart

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

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)


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

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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.

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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.

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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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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.

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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.

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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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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.

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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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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.

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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.

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

Works by Christophe Perignon:


Year  ↓Title  ↓Type  ↓Cited  ↓
2002Extracting Information from Options Markets: Smiles, State–Price Densities and Risk Aversion In: European Financial Management.
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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.
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article16
2017The Private Production of Safe Assets.(2017) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 16
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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.
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article21
2013Derivatives Clearing, Default Risk, and Insurance.(2013) In: Post-Print.
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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.
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article6
2019Machine Learning et nouvelles sources de données pour le scoring de crédit.(2019) In: Working Papers.
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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.
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This paper has nother version. Agregated cites: 6
paper
2009Commonality in Liquidity: A Global Perspective In: Journal of Financial and Quantitative Analysis.
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article111
2009Commonality in Liquidity: A Global Perspective.(2009) In: Post-Print.
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This paper has nother version. Agregated cites: 111
paper
2017CoMargin In: Journal of Financial and Quantitative Analysis.
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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.
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paper3
2013Systemic Risk Score: A Suggestion.(2013) In: Working Papers.
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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.
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paper2
2015Where the Risks Lie: A Survey on Systemic Risk In: HEC Research Papers Series.
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paper279
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Post-Print.
[Citation analysis]
This paper has nother version. Agregated cites: 279
paper
2015Where the Risks Lie: A Survey on Systemic Risk.(2015) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 279
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: 279
paper
2017Where the Risks Lie: A Survey on Systemic Risk.(2017) In: Review of Finance.
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This paper has nother version. Agregated cites: 279
article
2017Wholesale Funding Dry-Ups In: HEC Research Papers Series.
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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.
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article5
2014The Counterparty Risk Exposure of ETF Investors.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 5
paper
2001Evolution of market uncertainty around earnings announcements In: Journal of Banking & Finance.
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article15
2000Evolution of Market Uncertainty around Earnings Announcements.(2000) In: FAME Research Paper Series.
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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.
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article7
2007Yield-factor volatility models.(2007) In: Post-Print.
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This paper has nother version. Agregated cites: 7
paper
2008Do banks overstate their Value-at-Risk? In: Journal of Banking & Finance.
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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.
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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.
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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.
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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.
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article28
2012The Risk Map: A New Tool for Validating Risk Models.(2012) In: Working Papers.
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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.
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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.
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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.
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article24
2005Repurchasing Shares on a Second Trading Line In: FAME Research Paper Series.
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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.
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This paper has nother version. Agregated cites: 12
paper
2019What if dividends were tax-exempt? Evidence from a natural experiment In: FSES Working Papers.
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paper8
2020What If Dividends Were Tax?Exempt? Evidence from a Natural Experiment.(2020) In: Working Papers.
[Citation analysis]
This paper has nother version. Agregated cites: 8
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
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2008Impact of Overwhelming Joy on Consumer Demand In: Post-Print.
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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.
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This paper has nother version. Agregated cites: 0
paper
2009Default Risk on Derivatives Exchanges: Evidence from Clearing-House Data In: Post-Print.
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paper3
2010La gestion des risques fait sa révolution In: Post-Print.
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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.
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paper2
2012Representative Yield Curve Shocks and Stress Testing.(2012) In: Post-Print.
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This paper has nother version. Agregated cites: 2
paper
2008A New Approach to Comparing VaR Estimation Methods In: Post-Print.
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paper28
2015Implied Risk Exposures In: Post-Print.
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paper2
2014Implied Risk Exposures.(2014) In: Working Papers.
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This paper has nother version. Agregated cites: 2
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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.
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paper3
2002Component Proponents.(2002) In: Post-Print.
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This paper has nother version. Agregated cites: 3
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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.
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paper12
2006Sources of Time Variation in the Covariance Matrix of Interest Rates.(2006) In: The Journal of Business.
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This paper has nother version. Agregated cites: 12
article
2015Wholesale Funding Runs In: Working Papers.
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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.
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This paper has nother version. Agregated cites: 106
paper
2020Reproducibility Certification in Economics Research In: Working Papers.
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2012RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results In: Working Papers.
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paper2
2012Margin Backtesting In: Working Papers.
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2021Non-Standard Errors In: Working Papers.
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paper9
2017The Political Economy of Financial Innovation: Evidence from Local Governments In: The Review of Financial Studies.
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article7
2000Demand for football and intramatch winning probability: an essay on the glorious uncertainty of sports In: Applied Economics.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated December, 8 2024. Contact: CitEc Team