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Florian Ielpo

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.

    Cited by:

    1. Dangxing Chen, 2019. "Does the leverage effect affect the return distribution?," Papers 1909.08662, arXiv.org, revised Sep 2019.
    2. Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
    3. Jin, Jiayu & Han, Liyan & Xu, Yang, 2022. "Does the SDR stabilize investing in commodities?," International Review of Economics & Finance, Elsevier, vol. 81(C), pages 160-172.
    4. Pan, Qunxing & Mei, Xiaowen & Gao, Tianqing, 2022. "Modeling dynamic conditional correlations with leverage effects and volatility spillover effects: Evidence from the Chinese and US stock markets affected by the recent trade friction," The North American Journal of Economics and Finance, Elsevier, vol. 59(C).
    5. Chevallier, Julien & Ielpo, Florian, 2017. "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 763-778.

  2. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2015. "A time series approach to option pricing: Models, Methods and Empirical Performances," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01015308, HAL.

    Cited by:

    1. Bertrand K. Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01020293, HAL.
    2. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    3. Bertrand K Hassani, 2014. "Risk Appetite in Practice: Vulgaris Mathematica," Documents de travail du Centre d'Economie de la Sorbonne 14037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  3. Mathieu Gatumel & Florian Ielpo, 2014. "Commodity Markets through the business cycle," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01302479, HAL.

    Cited by:

    1. Aneeta Elsa Simon & Manu K.S., 2023. "Does Sentiments Impact the Returns of Commodity Derivatives? An Evidence from Multi-commodity Exchange India," Vision, , vol. 27(1), pages 79-92, February.
    2. Hayette Gatfaoui, 2018. "Diversifying portfolios of U.S. stocks with crude oil and natural gas: A regime-dependent optimization with several risk measures," Papers 1811.02382, arXiv.org.
    3. Wei Yang & Ai Han & Yongmiao Hong & Shouyang Wang, 2016. "Analysis of crisis impact on crude oil prices: a new approach with interval time series modelling," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1917-1928, December.
    4. Charalampos Stasinakis & Georgios Sermpinis & Ioannis Psaradellis & Thanos Verousis, 2016. "Krill-Herd Support Vector Regression and heterogeneous autoregressive leverage: evidence from forecasting and trading commodities," Quantitative Finance, Taylor & Francis Journals, vol. 16(12), pages 1901-1915, December.
    5. Lof, Matthijs & Nyberg, Henri, 2017. "Noncausality and the commodity currency hypothesis," Energy Economics, Elsevier, vol. 65(C), pages 424-433.
    6. Zhang, Yongmin & Ding, Shusheng, 2021. "Liquidity effects on price and return co-movements in commodity futures markets," International Review of Financial Analysis, Elsevier, vol. 76(C).
    7. Chevallier, Julien & Ielpo, Florian, 2017. "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 763-778.

  4. Florian Ielpo & Benoît Sévi, 2014. "Forecasting the density of oil futures," Working Papers 2014-601, Department of Research, Ipag Business School.

    Cited by:

    1. Wang, Yudong & Liu, Li & Wu, Chongfeng, 2020. "Forecasting commodity prices out-of-sample: Can technical indicators help?," International Journal of Forecasting, Elsevier, vol. 36(2), pages 666-683.
    2. Julien Chevallier & Benoît Sévi, 2013. "A Fear Index to Predict Oil Futures Returns," Working Papers 2013.62, Fondazione Eni Enrico Mattei.
    3. Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012. "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, vol. 9(4), pages 231-237.
    4. Liu, Li & Wang, Yudong & Yang, Li, 2018. "Predictability of crude oil prices: An investor perspective," Energy Economics, Elsevier, vol. 75(C), pages 193-205.

  5. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Petrică Andreea-Cristina & Stancu Stelian, 2017. "The determinants of exchange rates and the movements of EUR/RON exchange rate via non-linear stochastic processes," Proceedings of the International Conference on Business Excellence, Sciendo, vol. 11(1), pages 937-948, July.
    2. Chevallier, Julien & Ielpo, Florian, 2017. "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 763-778.

  6. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2013. "Option pricing with discrete time jump processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00964950, HAL.

    Cited by:

    1. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-02505861, HAL.
    2. Christophe Chorro & Florian Ielpo & Benoît Sévi, 2020. "The contribution of intraday jumps to forecasting the density of returns," Post-Print halshs-02505861, HAL.
    3. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    4. Chorro, Christophe & Ielpo, Florian & Sévi, Benoît, 2020. "The contribution of intraday jumps to forecasting the density of returns," Journal of Economic Dynamics and Control, Elsevier, vol. 113(C).
    5. Larsson, Karl, 2023. "Parametric heat wave insurance," Journal of Commodity Markets, Elsevier, vol. 31(C).
    6. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
    7. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  7. Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00947001, HAL.

    Cited by:

    1. Mariya Gubareva & Benjamin Keddad, 2022. "Emerging markets financial sector debt: A Markov‐switching study of interest rate sensitivity," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(4), pages 3851-3863, October.
    2. Baur, Dirk G. & Dichtl, Hubert & Drobetz, Wolfgang & Wendt, Viktoria-Sophie, 2020. "Investing in gold – Market timing or buy-and-hold?," International Review of Financial Analysis, Elsevier, vol. 71(C).
    3. Benjamin R. Auer, 2021. "Have trend-following signals in commodity futures markets become less reliable in recent years?," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 35(4), pages 533-553, December.

  8. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012. "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00511965, HAL.

    Cited by:

    1. Thilini V. Mahanama & Abootaleb Shirvani, 2020. "A Natural Disasters Index," Papers 2008.03672, arXiv.org.
    2. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
    3. A. Alexandre Trindade & Abootaleb Shirvani & Xiaohan Ma, 2020. "A Socioeconomic Well-Being Index," Applied Economics and Finance, Redfame publishing, vol. 7(4), pages 48-62, July.
    4. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    5. Joan del Castillo & Juan-Pablo Ortega, 2011. "Hedging of time discrete auto-regressive stochastic volatility options," Papers 1110.6322, arXiv.org.
    6. Yuan Hu & Svetlozar T. Rachev & Frank J. Fabozzi, 2019. "Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation," Papers 1908.05419, arXiv.org.
    7. Zhu, Ke & Ling, Shiqing, 2014. "Model-based pricing for financial derivatives," MPRA Paper 56623, University Library of Munich, Germany.
    8. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Post-Print halshs-00611706, HAL.
    9. Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
    10. Thisari K. Mahanama & Abootaleb Shirvani & Svetlozar Rachev & Frank J. Fabozzi, 2023. "The Financial Market of Environmental Indices," Papers 2308.15661, arXiv.org.
    11. Alexandru Badescu & Robert J. Elliott & Reg Kulperger & Jarkko Miettinen & Tak Kuen Siu, 2011. "A Comparison Of Pricing Kernels For Garch Option Pricing With Generalized Hyperbolic Distributions," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(05), pages 669-708.
    12. Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
    13. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Post-Print halshs-00523371, HAL.
    14. Larsson, Karl, 2023. "Parametric heat wave insurance," Journal of Commodity Markets, Elsevier, vol. 31(C).
    15. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
    16. Davide Lauria & W. Brent Lindquist & Svetlozar T. Rachev & Yuan Hu, 2023. "Unifying Market Microstructure and Dynamic Asset Pricing," Papers 2304.02356, arXiv.org, revised Feb 2024.
    17. Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Documents de travail du Centre d'Economie de la Sorbonne 15085, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    18. Guo, Zi-Yi, 2017. "Empirical Performance of GARCH Models with Heavy-tailed Innovations," EconStor Preprints 167626, ZBW - Leibniz Information Centre for Economics.
    19. Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01244239, HAL.
    20. Badescu, Alexandru & Elliott, Robert J. & Ortega, Juan-Pablo, 2015. "Non-Gaussian GARCH option pricing models and their diffusion limits," European Journal of Operational Research, Elsevier, vol. 247(3), pages 820-830.
    21. Papantonis, Ioannis & Rompolis, Leonidas & Tzavalis, Elias, 2023. "Improving variance forecasts: The role of Realized Variance features," International Journal of Forecasting, Elsevier, vol. 39(3), pages 1221-1237.
    22. Thilini Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2022. "A Natural Disasters Index," Environmental Economics and Policy Studies, Springer;Society for Environmental Economics and Policy Studies - SEEPS, vol. 24(2), pages 263-284, April.
    23. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    24. Thilini V. Mahanama & Abootaleb Shirvani & Svetlozar Rachev, 2023. "The Financial Market of Indices of Socioeconomic Wellbeing," Papers 2303.05654, arXiv.org.
    25. Matthieu Garcin & Dominique Guegan, 2015. "Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact," Post-Print halshs-01244239, HAL.
    26. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  9. Mathieu Gatumel & Florian Ielpo, 2011. "The Number of Regimes Across Asset Returns: Identification and Economic Value," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00658540, HAL.

    Cited by:

    1. Donatien Hainaut & Yang Shen & Yan Zeng, 2018. "How do capital structure and economic regime affect fair prices of bank’s equity and liabilities?," Annals of Operations Research, Springer, vol. 262(2), pages 519-545, March.
    2. Donatien Hainaut & Yan Shen & Yan Zeng, 2016. "How do capital structure and economic regime affect fair prices of bank's equity and liabilities?," Post-Print hal-01394133, HAL.
    3. Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
    4. Hainaut, Donatien & Goutte, Stephane, 2019. "A switching microstructure model for stock prices," LIDAM Reprints ISBA 2019024, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    5. Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(15), pages 1383-1402, October.

  10. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00523371, HAL.

    Cited by:

    1. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.

  11. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2009. "Martingalized Historical approach for Option Pricing," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00376756, HAL.

    Cited by:

    1. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
    2. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effects in the Returns of US Equities," Documents de travail du Centre d'Economie de la Sorbonne 14022r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2017.
    3. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Post-Print halshs-00611706, HAL.
    4. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012. "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," PSE-Ecole d'économie de Paris (Postprint) hal-00511965, HAL.
    5. Badescu, Alexandru & Cui, Zhenyu & Ortega, Juan-Pablo, 2016. "A note on the Wang transform for stochastic volatility pricing models," Finance Research Letters, Elsevier, vol. 19(C), pages 189-196.
    6. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Post-Print halshs-00523371, HAL.
    7. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2017. "Testing for Leverage Effects in the Returns of US Equities," Post-Print halshs-00973922, HAL.
    8. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2012. "Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations," Post-Print hal-00511965, HAL.
    9. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Option pricing for GARCH-type models with generalized hyperbolic innovations," Post-Print halshs-00469529, HAL.
    10. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes," Post-Print halshs-00505145, HAL.
    11. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Statistical evidence of tax fraud on the carbon allowances market," Post-Print halshs-00523458, HAL.
    12. Marius-Cristian Frunza & Dominique Guegan, 2010. "Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market," Post-Print halshs-00504209, HAL.
    13. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Documents de travail du Centre d'Economie de la Sorbonne 14022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  12. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308687, HAL.

    Cited by:

    1. Petr Gapko & Martin Šmíd, 2010. "Modeling a Distribution of Mortgage Credit Losses," Working Papers IES 2010/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.

  13. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281585, HAL.

    Cited by:

    1. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results," Post-Print hal-00308687, HAL.
    2. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
    3. Chorro, C. & Guégan, D. & Ielpo, F., 2010. "Martingalized historical approach for option pricing," Finance Research Letters, Elsevier, vol. 7(1), pages 24-28, March.
    4. Petr Gapko & Martin Šmíd, 2010. "Modeling a Distribution of Mortgage Credit Losses," Working Papers IES 2010/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
    5. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," Post-Print halshs-00368336, HAL.
    6. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.

  14. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results," Documents de travail du Centre d'Economie de la Sorbonne b08047, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results," Post-Print hal-00308687, HAL.
    2. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
    3. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
    4. Chorro, C. & Guégan, D. & Ielpo, F., 2010. "Martingalized historical approach for option pricing," Finance Research Letters, Elsevier, vol. 7(1), pages 24-28, March.
    5. Petr Gapko & Martin Šmíd, 2010. "Modeling a Distribution of Mortgage Credit Losses," Working Papers IES 2010/23, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, revised Sep 2010.
    6. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281585, HAL.
    7. Lorenzo Mercuri & Fabio Bellini, 2014. "Option Pricing in a Dynamic Variance-Gamma Model," Papers 1405.7342, arXiv.org.

  15. Dominique Guegan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest rates," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188331, HAL.

    Cited by:

    1. Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2013. "Central bank communication and correlation between financial markets: Canada and the United States," International Economics and Economic Policy, Springer, vol. 10(2), pages 277-296, June.
    2. Marie Briere & Florian Ielpo, 2007. "Yield curve reaction to macroeconomic news in Europe :disentangling the US influence," Working Papers CEB 07-038.RS, ULB -- Universite Libre de Bruxelles.
    3. Di Maggio, Marco, 2010. "The Political Economy of the Yield Curve," MPRA Paper 20697, University Library of Munich, Germany.

  16. Marie Briere & Florian Ielpo, 2007. "Yield curve reaction to macroeconomic news in Europe :disentangling the US influence," Working Papers CEB 07-038.RS, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Weigerding, Michael, 2020. "Seasonal liquidity effects and their determinants on the covered bond market," The Quarterly Review of Economics and Finance, Elsevier, vol. 78(C), pages 288-303.
    2. Jakob Haan, 2008. "The effect of ECB communication on interest rates: An assessment," The Review of International Organizations, Springer, vol. 3(4), pages 375-398, December.

  17. Dominique Guegan & Florian Ielpo, 2007. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00188247, HAL.

    Cited by:

    1. Maria Elvira Mancino & Simona Sanfelici, 2020. "Identifying financial instability conditions using high frequency data," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 15(1), pages 221-242, January.
    2. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.

  18. Dominique Guégan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest," Documents de travail du Centre d'Economie de la Sorbonne b07062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Melanie-Kristin Beck & Bernd Hayo & Matthias Neuenkirch, 2013. "Central bank communication and correlation between financial markets: Canada and the United States," International Economics and Economic Policy, Springer, vol. 10(2), pages 277-296, June.
    2. Aymen Belgacem, 2009. "Fundamentals, Macroeconomic Announcements and Asset Prices," EconomiX Working Papers 2009-16, University of Paris Nanterre, EconomiX.
    3. Marie Briere & Florian Ielpo, 2007. "Yield curve reaction to macroeconomic news in Europe :disentangling the US influence," Working Papers CEB 07-038.RS, ULB -- Universite Libre de Bruxelles.
    4. Di Maggio, Marco, 2010. "The Political Economy of the Yield Curve," MPRA Paper 20697, University Library of Munich, Germany.

  19. Ielpo, Florian & Guégan, Dominique, 2006. "An econometric specification of monetary policy dark art," MPRA Paper 1004, University Library of Munich, Germany, revised 07 Oct 2006.

    Cited by:

    1. Dominique Guegan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00368356, HAL.

Articles

  1. Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.

    Cited by:

    1. Yabei Zhu & Xingguo Luo & Qi Xu, 2023. "Industry variance risk premium, cross‐industry correlation, and expected returns," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(1), pages 3-32, January.
    2. Yin, Kedong & Liu, Zhe & Jin, Xue, 2020. "Interindustry volatility spillover effects in China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    3. Gorkem Bostanci & Kamil Yilmaz, 2015. "How Connected is the Global Sovereign Credit Risk Network?," Koç University-TUSIAD Economic Research Forum Working Papers 1515, Koc University-TUSIAD Economic Research Forum.
    4. Mehmet Balcilar & Zeynel Abidin Ozdemir & Huseyin Ozdemir, 2021. "Dynamic return and volatility spillovers among S&P 500, crude oil, and gold," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 153-170, January.
    5. Fu Qiao & Yan Yan, 2020. "How does stock market reflect the change in economic demand? A study on the industry-specific volatility spillover networks of China's stock market during the outbreak of COVID-19," Papers 2007.07487, arXiv.org.
    6. Ying-Ying Shen & Zhi-Qiang Jiang & Jun-Chao Ma & Gang-Jin Wang & Wei-Xing Zhou, 2022. "Sector connectedness in the Chinese stock markets," Empirical Economics, Springer, vol. 62(2), pages 825-852, February.
    7. Samitas, Aristeidis & Kampouris, Elias & Polyzos, Stathis, 2022. "Covid-19 pandemic and spillover effects in stock markets: A financial network approach," International Review of Financial Analysis, Elsevier, vol. 80(C).
    8. Laborda, Ricardo & Olmo, Jose, 2021. "Volatility spillover between economic sectors in financial crisis prediction: Evidence spanning the great financial crisis and Covid-19 pandemic," Research in International Business and Finance, Elsevier, vol. 57(C).
    9. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
    10. Lai T. Hoang & Dirk G. Baur, 2021. "Spillovers and Asset Allocation," JRFM, MDPI, vol. 14(8), pages 1-31, July.
    11. Lin, Sihan & Chen, Shoudong, 2021. "Dynamic connectedness of major financial markets in China and America," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 646-656.
    12. Zeng, Sheng & Liu, Xinchun & Li, Xiafei & Wei, Qi & Shang, Yue, 2019. "Information dominance among hedging assets: Evidence from return and volatility directional spillovers in time and frequency domains," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    13. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "Volatility spillovers during market supply shocks: The case of negative oil prices," Resources Policy, Elsevier, vol. 74(C).
    14. Corbet, Shaen & Hou, Yang (Greg) & Hu, Yang & Oxley, Les, 2021. "An analysis of investor behaviour and information flows surrounding the negative WTI oil price futures event," Energy Economics, Elsevier, vol. 104(C).
    15. Elie Bouri, 2019. "The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters," Risks, MDPI, vol. 7(4), pages 1-15, December.
    16. Gong, Xiao-Li & Liu, Jian-Min & Xiong, Xiong & Zhang, Wei, 2022. "Research on stock volatility risk and investor sentiment contagion from the perspective of multi-layer dynamic network," International Review of Financial Analysis, Elsevier, vol. 84(C).

  2. Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2018. "Testing for leverage effects in the returns of US equities," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 290-306.
    See citations under working paper version above.
  3. Chevallier, Julien & Ielpo, Florian, 2017. "Investigating the leverage effect in commodity markets with a recursive estimation approach," Research in International Business and Finance, Elsevier, vol. 39(PB), pages 763-778.

    Cited by:

    1. Bahloul, Walid & Bouri, Abdelfettah, 2016. "The impact of investor sentiment on returns and conditional volatility in U.S. futures markets," Journal of Multinational Financial Management, Elsevier, vol. 36(C), pages 89-102.
    2. Baur, Dirk G. & Dimpfl, Thomas, 2018. "The asymmetric return-volatility relationship of commodity prices," Energy Economics, Elsevier, vol. 76(C), pages 378-387.
    3. Bahloul, Walid & Bouri, Abdelfettah, 2016. "Profitability of return and sentiment-based investment strategies in US futures markets," Research in International Business and Finance, Elsevier, vol. 36(C), pages 254-270.

  4. Florian Ielpo, 2015. "Forward Rates, Monetary Policy and the Economic Cycle," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(4), pages 241-260, July.

    Cited by:

    1. Kyle E. Binder & Mohsen Pourahmadi & James W. Mjelde, 2020. "The role of temporal dependence in factor selection and forecasting oil prices," Empirical Economics, Springer, vol. 58(3), pages 1185-1223, March.
    2. Kyle E. Binder & James W. Mjelde, 2018. "Projecting impacts of carbon dioxide emission reductions in the US electric power sector: evidence from a data-rich approach," Climatic Change, Springer, vol. 151(2), pages 143-155, November.

  5. Mathieu Gatumel & Florian Ielpo, 2014. "The Number Of Regimes Across Asset Returns: Identification And Economic Value," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(06), pages 1-25.
    See citations under working paper version above.
  6. Da Fonseca José & Grasselli Martino & Ielpo Florian, 2014. "Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(3), pages 1-37, May.

    Cited by:

    1. José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, vol. 10(2), pages 151-180, May.
    2. Chiarella, Carl & Hsiao, Chih-Ying & Tô, Thuy-Duong, 2016. "Stochastic correlation and risk premia in term structure models," Journal of Empirical Finance, Elsevier, vol. 37(C), pages 59-78.
    3. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    4. Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
    5. Marcos Escobar & Christoph Gschnaidtner, 2018. "A multivariate stochastic volatility model with applications in the foreign exchange market," Review of Derivatives Research, Springer, vol. 21(1), pages 1-43, April.
    6. Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
    7. Alfonsi, Aurélien & Kebaier, Ahmed & Rey, Clément, 2016. "Maximum likelihood estimation for Wishart processes," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3243-3282.
    8. Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
    9. Long Teng & Matthias Ehrhardt & Michael Günther, 2016. "On The Heston Model With Stochastic Correlation," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-25, September.
    10. José Da Fonseca & Martino Grasselli & Florian Ielpo, 2011. "Hedging (Co)Variance Risk With Variance Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 899-943.
    11. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
    12. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
    13. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2018. "Dynamic derivative strategies with stochastic interest rates and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 49-71.
    14. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    15. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
    16. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
    17. Song, Jian & Yao, Jianfeng & Yuan, Wangjun, 2022. "Recent advances on eigenvalues of matrix-valued stochastic processes," Journal of Multivariate Analysis, Elsevier, vol. 188(C).

  7. Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2014. "Commodity markets through the business cycle," Quantitative Finance, Taylor & Francis Journals, vol. 14(9), pages 1597-1618, September.
    See citations under working paper version above.
  8. Julien Chevallier & Florian Ielpo, 2014. "Twenty years of jumps in commodity markets," International Review of Applied Economics, Taylor & Francis Journals, vol. 28(1), pages 64-82, January.

    Cited by:

    1. Julien Chevallier & St�phane Goutte, 2015. "Detecting jumps and regime switches in international stock markets returns," Applied Economics Letters, Taylor & Francis Journals, vol. 22(13), pages 1011-1019, September.
    2. Neil A. Wilmot, 2019. "Heavy Metals: Might as Well Jump," IJFS, MDPI, vol. 7(2), pages 1-14, June.
    3. Maslyuk-Escobedo, Svetlana & Rotaru, Kristian & Dokumentov, Alexander, 2017. "News sentiment and jumps in energy spot and futures markets," Pacific-Basin Finance Journal, Elsevier, vol. 45(C), pages 186-210.
    4. Charles F. Mason & Neil A. Wilmot, 2023. "On Climate Fat Tails and Politics," CESifo Working Paper Series 10815, CESifo.
    5. Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2017. "Jumps in Commodity Markets," Hannover Economic Papers (HEP) dp-615, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    6. Abakah, Emmanuel Joel Aikins & Nasreen, Samia & Tiwari, Aviral Kumar & Lee, Chien-Chiang, 2023. "U.S. leveraged loan and debt markets: Implications for optimal portfolio and hedging," International Review of Financial Analysis, Elsevier, vol. 87(C).
    7. Chih-Chen Hsu & An-Sing Chen & Shih-Kuei Lin & Ting-Fu Chen, 2017. "The affine styled-facts price dynamics for the natural gas: evidence from daily returns and option prices," Review of Quantitative Finance and Accounting, Springer, vol. 48(3), pages 819-848, April.
    8. Manuel Ammann & Mathis Moerke & Marcel Prokopczuk & Christoph Matthias Würsig, 2023. "Commodity tail risks," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(2), pages 168-197, February.
    9. Jena, Sangram Keshari & Tiwari, Aviral Kumar & Hammoudeh, Shawkat & Roubaud, David, 2019. "Distributional predictability between commodity spot and futures: Evidence from nonparametric causality-in-quantiles tests," Energy Economics, Elsevier, vol. 78(C), pages 615-628.
    10. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Shao, Xuefeng & Le, TN-Lan & Gyamfi, Matthew Ntow, 2023. "Financial technology stocks, green financial assets, and energy markets: A quantile causality and dependence analysis," Energy Economics, Elsevier, vol. 118(C).
    11. Huhtala, Anni & Ropponen, Olli, 2020. "Resource and Environmental Policies for the Mining Industry: What Should Governments Do About the Increasing Social and Environmental Risks?," Working Papers 137, VATT Institute for Economic Research.
    12. Tiwari, Aviral Kumar & Abakah, Emmanuel Joel Aikins & Bonsu, Christiana Osei & Karikari, Nana Kwasi & Hammoudeh, Shawkat, 2022. "The effects of public sentiments and feelings on stock market behavior: Evidence from Australia," Journal of Economic Behavior & Organization, Elsevier, vol. 193(C), pages 443-472.
    13. Elie Bouri, 2019. "The Effect of Jumps in the Crude Oil Market on the Sovereign Risks of Major Oil Exporters," Risks, MDPI, vol. 7(4), pages 1-15, December.
    14. Boako, Gideon & Alagidede, Paul, 2016. "Global commodities and African stocks: A ‘market of one?’," International Review of Financial Analysis, Elsevier, vol. 44(C), pages 226-237.

  9. Julien Chevallier & Florian Ielpo, 2013. "Volatility spillovers in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(13), pages 1211-1227, September.

    Cited by:

    1. Geert Dhaene & Piet Sercu & Jianbin Wu, 2022. "Volatility spillovers: A sparse multivariate GARCH approach with an application to commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(5), pages 868-887, May.
    2. Yin, Kedong & Liu, Zhe & Jin, Xue, 2020. "Interindustry volatility spillover effects in China’s stock market," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 539(C).
    3. Ding, Yinghui & Chen, Shan & Li, Haoran & Sun, Qingru & Chen, Hanyu & Yu, Hui, 2023. "Causality inference among base metal, rare metal and precious metal markets," Resources Policy, Elsevier, vol. 85(PB).
    4. Powell, Robert J. & Vo, Duc H. & Pham, Thach N. & Singh, Abhay K., 2017. "The long and short of commodity tails and their relationship to Asian equity markets," Journal of Asian Economics, Elsevier, vol. 52(C), pages 32-44.
    5. Magkonis, Georgios & Tsouknidis, Dimitris A., 2017. "Dynamic spillover effects across petroleum spot and futures volatilities, trading volume and open interest," International Review of Financial Analysis, Elsevier, vol. 52(C), pages 104-118.
    6. Śmiech, Sławomir & Papież, Monika & Dąbrowski, Marek A. & Fijorek, Kamil, 2018. "What drives food price volatility? Evidence based on a generalized VAR approach applied to the food, financial and energy markets," Economics Discussion Papers 2018-55, Kiel Institute for the World Economy (IfW Kiel).
    7. Just, Małgorzata & Echaust, Krzysztof, 2022. "Dynamic spillover transmission in agricultural commodity markets: What has changed after the COVID-19 threat?," Economics Letters, Elsevier, vol. 217(C).
    8. Rafael Baptista Palazzi & Ata Assaf & Marcelo Cabus Klotzle, 2024. "Dynamic connectedness between energy markets and the Brazilian cash market: An empirical analysis pre‐ and post‐COVID‐19," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(1), pages 27-56, January.
    9. Takashi Miyazaki & Shigeyuki Hamori, 2016. "The determinants of a simultaneous crash in gold and stock markets: An ordered logit approach," Discussion Papers 1603, Graduate School of Economics, Kobe University.
    10. Mohammad Isleimeyyeh & Amine Ben Amar & Stéphane Goutte & Ramzi Benkraiem, 2022. "Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?," Post-Print hal-03674806, HAL.
    11. Néjib Hachicha & Amine Ben Amar & Ikrame Ben Slimane & Makram Bellalah & Jean-Luc Prigent, 2022. "Dynamic connectedness and optimal hedging strategy among commodities and financial indices," Post-Print hal-03745047, HAL.
    12. Liu, Bin & Xiao, Wen & Zhu, Xingting, 2023. "How does inter-industry spillover improve the performance of volatility forecasting?," The North American Journal of Economics and Finance, Elsevier, vol. 65(C).
    13. Jozef Baruník, Evzen Kocenda and Lukáa Vácha, 2015. "Volatility Spillovers Across Petroleum Markets," The Energy Journal, International Association for Energy Economics, vol. 0(Number 3).
    14. Gong, Xu & Xu, Jun & Liu, Tangyong & Zhou, Zicheng, 2022. "Dynamic volatility connectedness between industrial metal markets," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
    15. Brian M. Lucey, 2014. "Return and Volatility Spillovers in Industrial Metals," The Institute for International Integration Studies Discussion Paper Series iiisdp463, IIIS.
    16. Ben Amar, Amine & Goutte, Stéphane & Isleimeyyeh, Mohammad, 2022. "Asymmetric cyclical connectedness on the commodity markets: Further insights from bull and bear markets," The Quarterly Review of Economics and Finance, Elsevier, vol. 85(C), pages 386-400.
    17. Papież, Monika & Rubaszek, Michał & Szafranek, Karol & Śmiech, Sławomir, 2022. "Are European natural gas markets connected? A time-varying spillovers analysis," Resources Policy, Elsevier, vol. 79(C).
    18. Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
    19. Caporin, Massimiliano & Naeem, Muhammad Abubakr & Arif, Muhammad & Hasan, Mudassar & Vo, Xuan Vinh & Hussain Shahzad, Syed Jawad, 2021. "Asymmetric and time-frequency spillovers among commodities using high-frequency data," Resources Policy, Elsevier, vol. 70(C).
    20. Radu Lupu & Adrian Cantemir Călin & Cristina Georgiana Zeldea & Iulia Lupu, 2021. "Systemic Risk Spillovers in the European Energy Sector," Energies, MDPI, vol. 14(19), pages 1-23, October.
    21. Nishimura, Yusaku & Sun, Bianxia, 2018. "The intraday volatility spillover index approach and an application in the Brexit vote," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 55(C), pages 241-253.
    22. Lin, Sihan & Chen, Shoudong, 2021. "Dynamic connectedness of major financial markets in China and America," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 646-656.
    23. Jahantigh , Forough & Rahmi Ghasemabadi , Mohammad & Jalali , Omolbanin, 2018. "The Impact of Monetary Policy Shock on the Price of Storable Goods: A Case Study of Food," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 13(4), pages 471-490, October.
    24. Lu, Ran & Xu, Wen & Zeng, Hongjun & Zhou, Xiangjing, 2023. "Volatility connectedness among the Indian equity and major commodity markets under the COVID-19 scenario," Economic Analysis and Policy, Elsevier, vol. 78(C), pages 1465-1481.
    25. Balcilar, Mehmet & Gabauer, David & Umar, Zaghum, 2021. "Crude Oil futures contracts and commodity markets: New evidence from a TVP-VAR extended joint connectedness approach," Resources Policy, Elsevier, vol. 73(C).
    26. Takashi Miyazaki, 2019. "Clarifying the Response of Gold Return to Financial Indicators: An Empirical Comparative Analysis Using Ordinary Least Squares, Robust and Quantile Regressions," JRFM, MDPI, vol. 12(1), pages 1-18, February.
    27. Sanjay Kumar Rout & Hrushikesh Mallick, 2022. "Sovereign Bond Market Shock Spillover Over Different Maturities: A Journey from Normal to Covid-19 Period," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 29(4), pages 697-734, December.
    28. Wang, Gang-Jin & Xie, Chi & Zhao, Longfeng & Jiang, Zhi-Qiang, 2018. "Volatility connectedness in the Chinese banking system: Do state-owned commercial banks contribute more?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 57(C), pages 205-230.
    29. Ciner, Cetin & Lucey, Brian & Yarovaya, Larisa, 2020. "Spillovers, integration and causality in LME non-ferrous metal markets," Journal of Commodity Markets, Elsevier, vol. 17(C).
    30. Chen, Xiangyu & Tongurai, Jittima, 2022. "Spillovers and interdependency across base metals: Evidence from China's futures and spot markets," Resources Policy, Elsevier, vol. 75(C).
    31. Debasish Maitra & Varun Dawar, 2019. "Return and Volatility Spillover among Commodity Futures, Stock Market and Exchange Rate: Evidence from India," Global Business Review, International Management Institute, vol. 20(1), pages 214-237, February.
    32. Liu, Lu & Zhang, Xiang, 2019. "Financialization and commodity excess spillovers," International Review of Economics & Finance, Elsevier, vol. 64(C), pages 195-216.

  10. Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013. "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2417-2445.
    See citations under working paper version above.
  11. Julien Chevallier & Mathieu Gatumel & Florian Ielpo, 2013. "Understanding momentum in commodity markets," Applied Economics Letters, Taylor & Francis Journals, vol. 20(15), pages 1383-1402, October.
    See citations under working paper version above.
  12. Julien Chevallier & Florian Ielpo, 2013. "Cross-market linkages between commodities, stocks and bonds," Applied Economics Letters, Taylor & Francis Journals, vol. 20(10), pages 1008-1018, July.

    Cited by:

    1. Urom, Christian & Anochiwa, Lasbrey & Yuni, Denis & Idume, Gabriel, 2019. "Asymmetric linkages among precious metals, global equity and bond yields: The role of volatility and business cycle factors," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    2. Hamadi, Hassan & Bassil, Charbel & Nehme, Tamara, 2017. "News surprises and volatility spillover among agricultural commodities: The case of corn, wheat, soybean and soybean oil," Research in International Business and Finance, Elsevier, vol. 41(C), pages 148-157.
    3. Alessandra Amendola & Marinella Boccia & Vincenzo Candila & Giampiero M. Gallo, 2020. "Energy and non–energy Commodities: Spillover Effects on African Stock Markets," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-7.
    4. Vincenzo Candila & Salvatore Farace, 2018. "On the Volatility Spillover between Agricultural Commodities and Latin American Stock Markets," Risks, MDPI, vol. 6(4), pages 1-16, October.
    5. Sharma, Aarzoo, 2022. "A comparative analysis of the financialization of commodities during COVID-19 and the global financial crisis using a quantile regression approach," Resources Policy, Elsevier, vol. 78(C).
    6. Noureddine Benlagha, 2014. "Dependence structure between nominal and index-linked bond returns: a bivariate copula and DCC-GARCH approach," Applied Economics, Taylor & Francis Journals, vol. 46(31), pages 3849-3860, November.

  13. Florian Ielpo, 2013. "Forecasting the European Credit Cycle Using Macroeconomic Variables," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(3), pages 226-246, April.

    Cited by:

    1. Chang Liu & Raja Nassar & Min Guo, 2015. "A Method of Retail Mortgage Stress Testing: Based on Time‐Frame and Magnitude Analysis," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 34(4), pages 261-274, July.

  14. Fang, Yan & Ielpo, Florian & Sévi, Benoît, 2012. "Empirical bias in intraday volatility measures," Finance Research Letters, Elsevier, vol. 9(4), pages 231-237.

    Cited by:

    1. Sévi, Benoît, 2015. "Explaining the convenience yield in the WTI crude oil market using realized volatility and jumps," Economic Modelling, Elsevier, vol. 44(C), pages 243-251.
    2. Aitor Ciarreta & Peru Muniainy & Ainhoa Zarraga, 2017. "Modelling Realized Volatility in Electricity Spot Prices: New insights and Application to the Japanese Electricity Market," ISER Discussion Paper 0991, Institute of Social and Economic Research, Osaka University.
    3. Omura, Akihiro & Li, Bin & Chung, Richard & Todorova, Neda, 2018. "Convenience yield, realised volatility and jumps: Evidence from non-ferrous metals," Economic Modelling, Elsevier, vol. 70(C), pages 496-510.

  15. Christophe Chorro & Dominique Gu�gan & Florian Ielpo, 2012. "Option pricing for GARCH-type models with generalized hyperbolic innovations," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1079-1094, April.
    See citations under working paper version above.
  16. José Da Fonseca & Martino Grasselli & Florian Ielpo, 2011. "Hedging (Co)Variance Risk With Variance Swaps," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 14(06), pages 899-943.

    Cited by:

    1. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    2. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
    3. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
    4. Giovanni Salvi & Anatoliy V. Swishchuk, 2012. "Modeling and Pricing of Covariance and Correlation Swaps for Financial Markets with Semi-Markov Volatilities," Papers 1205.5565, arXiv.org.
    5. Marcos Escobar & Daniel Krause & Rudi Zagst, 2016. "Stochastic covariance and dimension reduction in the pricing of basket options," Review of Derivatives Research, Springer, vol. 19(3), pages 165-200, October.
    6. Jan Baldeaux & Eckhard Platen, 2012. "Computing Functionals of Multidimensional Diffusions via Monte Carlo Methods," Papers 1204.1126, arXiv.org.
    7. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
    8. Bas Peeters, 2012. "Risk premiums in a simple market model for implied volatility," Quantitative Finance, Taylor & Francis Journals, vol. 13(5), pages 739-748, January.
    9. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    10. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
    11. Ziegler, Alexandre & Schürhoff, Norman, 2011. "Variance risk, financial intermediation, and the cross-section of expected option returns," CEPR Discussion Papers 8268, C.E.P.R. Discussion Papers.
    12. Giovanni Salvi & Anatoliy V. Swishchuk, 2014. "Covariance And Correlation Swaps For Financial Markets With Markov-Modulated Volatilities," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 17(01), pages 1-23.

  17. Chorro, C. & Guégan, D. & Ielpo, F., 2010. "Martingalized historical approach for option pricing," Finance Research Letters, Elsevier, vol. 7(1), pages 24-28, March.
    See citations under working paper version above.
  18. Florian Ielpo & Guillaume Simon, 2010. "Mean-reversion properties of implied volatilities," The European Journal of Finance, Taylor & Francis Journals, vol. 16(6), pages 587-610.

    Cited by:

    1. Sebastiano Vitali & Miloš Kopa & Gabriele Giana, 2023. "Implied volatility smoothing at COVID-19 times," Computational Management Science, Springer, vol. 20(1), pages 1-42, December.

  19. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.

    Cited by:

    1. Zhu, Bangzhu & Ma, Shujiao & Chevallier, Julien & Wei, Yiming, 2014. "Modelling the dynamics of European carbon futures price: A Zipf analysis," Economic Modelling, Elsevier, vol. 38(C), pages 372-380.
    2. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2011. "Option pricing with discrete time jump processes," Documents de travail du Centre d'Economie de la Sorbonne 11037r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Apr 2012.
    3. Zhu, Bangzhu & Huang, Liqing & Yuan, Lili & Ye, Shunxin & Wang, Ping, 2020. "Exploring the risk spillover effects between carbon market and electricity market: A bidimensional empirical mode decomposition based conditional value at risk approach," International Review of Economics & Finance, Elsevier, vol. 67(C), pages 163-175.
    4. Jia, Jun-Jun & Xu, Jin-Hua & Fan, Ying, 2016. "The impact of verified emissions announcements on the European Union emissions trading scheme: A bilaterally modified dummy variable modelling analysis," Applied Energy, Elsevier, vol. 173(C), pages 567-577.
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