This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Citations of
Jean-Pierre Zigrand

For current contact information and a more complete listing of works, please see here

The citations below have been collected in an experimental project, CitEc. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.

| Working papers | Articles | Access and download statistics

Working papers

  1. Jean-Pierre Zigrand & Jon Danielsson, 2003. "On time-scaling of risk and the square–root–of–time rule," FMG Discussion Papers dp439, Financial Markets Group. [Downloadable!] (restricted)
    Published as:

    Cited by:

    1. Amy S. K. Wong, 2006. "Basel II and the Risk Management of Basket Options with Time-Varying Correlations," International Journal of Central Banking, International Journal of Central Banking, vol. 2(4), December. [Downloadable!]
    2. Wagner P. Gaglianone & Luiz Renato Lima & Oliver Linton, 2008. "Evaluating Value-at-Risk Models via Quantile Regressions," Working Papers Series 161, Central Bank of Brazil, Research Department. [Downloadable!]
      Other versions:

  2. Jean-Pierre Zigrand & Jon Danielsson, 2001. "What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model," FMG Discussion Papers dp393, Financial Markets Group. [Downloadable!] (restricted)

    Cited by:

    1. Edgardo Barandiarán, 2003. "El Prestamista de Última Instancia en la Nueva Industria Bancaria," Cuadernos de Economía (Latin American Journal of Economics), Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 40(120), pages 337-358. [Downloadable!]
    2. Dimitri Vayanos, 2004. "Flight to Quality, Flight to Liquidity, and the Pricing of Risk," NBER Working Papers 10327, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    3. Bernd Hofmann, 2005. "Procyclicality: The Macroeconomic Impact of Risk-Based Capital Requirements," Financial Markets and Portfolio Management, Springer, vol. 19(2), pages 179-200, August. [Downloadable!] (restricted)
    4. Cornelis A. Los & Rossitsa M. Yalamova, 2004. "Multi-Fractal Spectral Analysis of the 1987 Stock Market Crash," Finance 0409050, EconWPA. [Downloadable!]
    5. Wolfgang Bühler & Christian Koziol, 2004. "Banking Regulation and Financial Accelerators: A One-Period Model with Unlimited Liability," Discussion Papers 17, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]

Articles

  1. Danielsson, Jon & Zigrand, Jean-Pierre, 2006. "On time-scaling of risk and the square-root-of-time rule," Journal of Banking & Finance, Elsevier, vol. 30(10), pages 2701-2713, October. [Downloadable!] (restricted)
    Other versions:

    See citations under working paper version above.

  2. Danielsson, Jon & Taylor, Ashley & Zigrand, Jean-Pierre, 2005. "Highwaymen or heroes: Should hedge funds be regulated?: A survey," Journal of Financial Stability, Elsevier, vol. 1(4), pages 522-543, October. [Downloadable!] (restricted)

    Cited by:

    1. Michel Aglietta & Sandra Rigot, 2008. "The regulation of hedge funds under the prism of the financial crisis," EconomiX Working Papers 2008-20, University of Paris West - Nanterre la Défense, EconomiX. [Downloadable!]

  3. Danielsson, Jon & Shin, Hyun Song & Zigrand, Jean-Pierre, 2004. "The impact of risk regulation on price dynamics," Journal of Banking & Finance, Elsevier, vol. 28(5), pages 1069-1087, May. [Downloadable!] (restricted)

    Cited by:

    1. Hakenes, Hendrik & Schnabel, Isabel, 2005. "Bank Size and Risk-Taking under Basel II," Sonderforschungsbereich 504 Publications 05-07, Sonderforschungsbereich 504, Universität Mannheim & Sonderforschungsbereich 504, University of Mannheim. [Downloadable!]
      Other versions:
      • Hendrik Hakenes & Isabel Schnabel, 2006. "Bank Size and Risk-Taking under Basel II," Discussion Papers 88, SFB/TR 15 Governance and the Efficiency of Economic Systems, Free University of Berlin, Humboldt University of Berlin, University of Bonn, University of Mannheim, University of Munich. [Downloadable!]
    2. Stephen Morris & Hyun Song Shin, 2003. "Liquidity Black Holes," Cowles Foundation Discussion Papers 1434, Cowles Foundation, Yale University. [Downloadable!]
      Other versions:
    3. Mark Carey & Rene M. Stulz, 2005. "The Risks of Financial Institutions," NBER Working Papers 11442, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    4. Trino-Manuel Ñíguez, 2008. "Volatility and VaR forecasting in the Madrid Stock Exchange," Spanish Economic Review, Springer, vol. 10(3), pages 169-196, September. [Downloadable!] (restricted)
    5. Veronica Guerrieri & Péter Kondor, 2009. "Fund Managers, Career Concerns, and Asset Price Volatility," NBER Working Papers 14898, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    6. Tobias Adrian & Hyun Song Shin, 2008. "Liquidity and leverage," Staff Reports 328, Federal Reserve Bank of New York. [Downloadable!]
    7. Carey, Mark & Stulz, Rene M., 2005. "The Risks of Financial Institutions," Working Paper Series 2005-13, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
    8. Jón Daníelsson & Jean-Pierre Zigrand, 2008. "Equilibrium asset pricing with systemic risk," Economic Theory, Springer, vol. 35(2), pages 293-319, May. [Downloadable!] (restricted)
      Other versions:

Did you know? You too can volunteer for RePEc, for example by editing a NEP report.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.