Sessi Tokpavi : Citation Profile

Are you Sessi Tokpavi?

Université d'Orléans

7

H index

7

i10 index

273

Citations

RESEARCH PRODUCTION:

9

Articles

19

Papers

RESEARCH ACTIVITY:

   13 years (2006 - 2019). See details.
   Cites by year: 21
   Journals where Sessi Tokpavi has often published
   Relations with other researchers
   Recent citing documents: 41.    Total self citations: 8 (2.85 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pto340
   Updated: 2024-12-03    RAS profile: 2019-12-19    
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Relations with other researchers

Works with:

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

Is cited by:

Asai, Manabu (15)

Dumitrescu, Elena Ivona (13)

Hurlin, Christophe (12)

Caporin, Massimiliano (9)

Çevik, Emrah (5)

Candelon, Bertrand (5)

Wied, Dominik (4)

Bontemps, Christian (3)

Cardoso, Ana Rute (3)

Gallo, Giampiero (3)

Heijke, Hans (3)

Cites to:

Engle, Robert (18)

Candelon, Bertrand (12)

Manganelli, Simone (12)

Wolf, Michael (11)

Hurlin, Christophe (10)

Ledoit, Olivier (10)

Bollerslev, Tim (9)

Hong, Yongmiao (7)

Lo, Andrew (6)

Uppal, Raman (6)

Hautsch, Nikolaus (6)

Main data

Where Sessi Tokpavi has published?

Journals with more than one article published# docs
Revue économique2

Working Papers Series with more than one paper published# docs
EconomiX Working Papers / University of Paris Nanterre, EconomiX6
LEO Working Papers / DR LEO / Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans6
Working Papers / HAL5
Research Memorandum / Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)2

Recent works citing Sessi Tokpavi (2024 and 2023)

YearTitle of citing document
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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2023A practical multivariate approach to testing volatility spillover. (2023). Urga, Giovanni ; Leong, Soon Heng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:153:y:2023:i:c:s0165188923001008.

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2023Interconnectedness and extreme risk: Evidence from dual banking systems. (2023). bouoiyour, jamal ; Addi, Abdelhamid. In: Economic Modelling. RePEc:eee:ecmode:v:120:y:2023:i:c:s026499932200387x.

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2024Heterogeneity effect of positive and negative jumps on the realized volatility: Evidence from China. (2024). Xu, Yang ; Zhang, Qichao ; Huang, Jiefei ; Song, Yuping. In: Economic Modelling. RePEc:eee:ecmode:v:136:y:2024:i:c:s0264999324001019.

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2024Volatility spillovers across the spot and futures oil markets after news announcements. (2024). Gkillas, Konstantinos ; Floros, Christos ; Apostolakis, George N ; Wohar, Mark. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s1062940823001250.

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2023A robust Glasso approach to portfolio selection in high dimensions. (2023). Gu, Xinhua ; Shu, Lianjie ; Ding, Wenliang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:22-37.

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2023Modeling and forecasting dynamic conditional correlations with opening, high, low, and closing prices. (2023). Fiszeder, Piotr ; Molnar, Peter ; Fadziski, Marcin. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:308-321.

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2023Intraday VaR: A copula-based approach. (2023). Ye, Wuyi ; Liu, Xiaoquan ; Wang, Keli. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823000774.

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2023The risk spillover of high carbon enterprises in China: Evidence from the stock market. (2023). Yin, Hua ; Zhu, Pingheng ; Wu, Baohui ; Wen, Fenghua. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004371.

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2023Differences in carbon risk spillovers with green versus traditional assets: Evidence from a full distributional analysis. (2023). Liu, Yang ; Duan, Kun ; Huang, Yingying ; Yan, Cheng. In: Energy Economics. RePEc:eee:eneeco:v:127:y:2023:i:pa:s0140988323005479.

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2024Can a boost in oil prices suspend the evolution of the green transportation market? Relationships between green indices and Brent oil. (2024). Eza, Pavel ; Kliber, Agata. In: Energy. RePEc:eee:energy:v:295:y:2024:i:c:s0360544224008090.

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2023Interconnected networks: Measuring extreme risk connectedness between China’s financial sector and real estate sector. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: International Review of Financial Analysis. RePEc:eee:finana:v:90:y:2023:i:c:s1057521923004088.

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2023Time-frequency extreme risk spillover network of cryptocurrency coins, DeFi tokens and NFTs. (2023). Peng, Cheng ; Tang, Yiding ; Zhu, Huiming ; Qiao, Xingzhi. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006651.

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2023Quantifying systemic risk in the cryptocurrency market: A sectoral analysis. (2023). Evik, Emrah Ismail ; Altinkeski, Buket Kirci ; Gunay, Samet ; Goodell, John W. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009583.

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2024Temporal networks and financial contagion. (2024). Nocciola, Luca ; Vouldis, Angelos ; Franch, Fabio. In: Journal of Financial Stability. RePEc:eee:finsta:v:71:y:2024:i:c:s1572308924000093.

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2023The impact of crisis periods and monetary decisions of the Fed and the ECB on the sovereign yield curve network. (2023). Kotro, Balazs B ; Huszar, Zsuzsa R ; Badics, Milan Csaba. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:88:y:2023:i:c:s1042443123001051.

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2024No safe haven, only diversification and contagion — Intraday evidence around the COVID-19 pandemic. (2024). Zhou, Yinggang ; Lin, Juan ; Bei, Zeyun. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000561.

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2023Time-frequency dependence and connectedness among global oil markets: Fresh evidence from higher-order moment perspective. (2023). Maghyereh, Aktham ; Cui, Jinxin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000132.

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2024Exploring crisis-driven return spillovers in APEC stock markets: A frequency dynamics analysis. (2024). Sidhu, Arpit ; Bajaj, Parminder Kaur ; Kumari, Vineeta ; Kakran, Shubham. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:29:y:2024:i:c:s1703494923000543.

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2023Spillover effects between internet financial industry and traditional financial industry: Evidence from the Chinese stock market. (2023). Cheng, Lee-Young ; Wang, Shengjin ; Yang, Yuhong ; Li, Ruihai ; Shen, Anran ; Zheng, Yingfei. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:79:y:2023:i:c:s0927538x23000379.

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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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2024Do geopolitical risk, economic policy uncertainty, and oil implied volatility drive assets across quantiles and time-horizons?. (2024). Gemici, Eray ; Gok, Remzi ; Bouri, Elie ; Kara, Erkan. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:93:y:2024:i:c:p:137-154.

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2024Multilayer networks in the frequency domain: Measuring volatility connectedness among Chinese financial institutions. (2024). Wang, Gang-Jin ; Zhou, Xuewei ; Ouyang, Zisheng ; Lu, Min ; Liu, Shuwen. In: International Review of Economics & Finance. RePEc:eee:reveco:v:92:y:2024:i:c:p:909-928.

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2023Multilayer networks in the frequency domain: Measuring extreme risk connectedness of Chinese financial institutions. (2023). Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000703.

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2024Extreme state media reporting and the extreme stock market during COVID-19: A multi-quantile VaR Granger causality approach in China. (2024). Su, Xiaojian ; Jiang, Yanhui ; Hong, Yun ; Deng, Chao. In: Research in International Business and Finance. RePEc:eee:riibaf:v:67:y:2024:i:pa:s0275531923002696.

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2024Imported financial risk in global stock markets: Evidence from the interconnected network. (2024). Liu, KE ; Lu, Min ; Zhou, Xuewei ; Ouyang, Zisheng. In: Research in International Business and Finance. RePEc:eee:riibaf:v:69:y:2024:i:c:s027553192400093x.

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2024Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem. (2024). Maillet, Bertrand ; Costola, Michele ; Zhang, Xiang ; Yuan, Zhining. In: Post-Print. RePEc:hal:journl:hal-04514343.

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2023Monitoring Value-at-Risk and Expected Shortfall Forecasts. (2023). Demetrescu, Matei ; Hoga, Yannick. In: Management Science. RePEc:inm:ormnsc:v:69:y:2023:i:5:p:2954-2971.

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2023Dynamic spatiotemporal correlation coefficient based on adaptive weight. (2023). Yu, Xuezeng ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00437-3.

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2023Industry return lead-lag relationships between the US and other major countries. (2023). Sebastio, Helder ; Silva, Nuno ; Monteiro, Ana. In: Financial Innovation. RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-022-00439-1.

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2023Systemically important banks - emerging risk and policy responses: An agent-based investigation. (2023). Roventini, Andrea ; Napoletano, Mauro ; Popoyan, Lilit. In: LEM Papers Series. RePEc:ssa:lemwps:2023/30.

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Works by Sessi Tokpavi:

YearTitleTypeCited
2008Une évaluation des procédures de Backtesting. « Tout va pour le mieux dans le meilleur des mondes » In: Finance.
[Full Text][Citation analysis]		article4
2007Un test de validité de la Value at Risk In: Revue économique.
[Full Text][Citation analysis]		article2
2015Commentaire sur l’article « Droits de contrôle versus droits pécuniaires, crise financière et vulnérabilité des banques européennes » In: Revue économique.
[Full Text][Citation analysis]		article0
2012Testing for crude oil markets globalization during extreme price movements In: EconomiX Working Papers.
[Full Text][Citation analysis]		paper5
2013Testing for the Systemically Important Financial Institutions: a Conditional Approach In: EconomiX Working Papers.
[Full Text][Citation analysis]		paper0
2013Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach In: EconomiX Working Papers.
[Full Text][Citation analysis]		paper0
2014A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion In: EconomiX Working Papers.
[Full Text][Citation analysis]		paper61
2016A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion.(2016) In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 61		article
2017Testing for Extreme Volatility Transmission with Realized Volatility Measures In: EconomiX Working Papers.
[Full Text][Citation analysis]		paper3
2018Stocks and Bonds: Flight-to-Safety for Ever? In: EconomiX Working Papers.
[Full Text][Citation analysis]		paper4
2019Measuring network systemic risk contributions: A leave-one-out approach In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]		article23
2013Testing for Granger causality in distribution tails: An application to oil markets integration In: Economic Modelling.
[Full Text][Citation analysis]		article24
2015Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach In: European Journal of Operational Research.
[Full Text][Citation analysis]		article32
2012Sampling error and double shrinkage estimation of minimum variance portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]		article14
2011Sampling error and double shrinkage estimation of minimum variance portfolios.(2011) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 14		paper
2006Backtesting VaR Accuracy: A New Simple Test In: Working Papers.
[Full Text][Citation analysis]		paper3
2007Une Evaluation des Procédures de Backtesting In: Working Papers.
[Full Text][Citation analysis]		paper6
2007Une évaluation des procédures de Backtesting.(2007) In: LEO Working Papers / DR LEO.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 6		paper
2007Irregularly Spaced Intraday Value at Risk (ISIVaR) Models : Forecasting and Predictive Abilities In: Working Papers.
[Full Text][Citation analysis]		paper1
2007Irregularly Spaced Intraday Value-at-Risk (ISIVaR) Models: Forecasting and Predictive Abilities.(2007) In: LEO Working Papers / DR LEO.
[Citation analysis]
This paper has nother version. Agregated cites: 1		paper
2008Backtesting Value-at-Risk: A GMM Duration-Based Test In: Working Papers.
[Full Text][Citation analysis]		paper72
2009Backtesting Value-at-Risk: A GMM Duration-Based Test.(2009) In: LEO Working Papers / DR LEO.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2008Backtesting Value-at-Risk: A GMM Duration-Based Test.(2008) In: LEO Working Papers / DR LEO.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		paper
2011Backtesting Value-at-Risk: A GMM Duration-Based Test.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 72		article
2013High-Frequency Risk Measures In: Working Papers.
[Full Text][Citation analysis]		paper0
2008Sélection dynamique de portefeuille dans un cadre Moyenne-VaR : une approche GARCH multivariée In: LEO Working Papers / DR LEO.
[Citation analysis]		paper0
2006Backtesting VaR Accuracy: A Simple and Powerful Test In: LEO Working Papers / DR LEO.
[Full Text][Citation analysis]		paper4
2009The Americanization of European higher education and research In: Research Memorandum.
[Full Text][Citation analysis]		paper15

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