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Information about:
Pierre Giot

Personal Details | Affiliation | Works
This is information that was supplied by Pierre Giot in registering through RePEc. If you are Pierre Giot , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

First Name: Pierre
Middle Name:
Last Name: Giot
Suffix:

RePEc Short-ID: pgi19

Email:
Homepage:
http://www.core.ucl.ac.be/econometrics/giot.htm
Postal Address: University of Namur Dpt. of Business Administration Rempart de la Vierge 8 B-5000 Namur, Belgium
Phone: +3281724887

Affiliation

(in no particular order)

Works

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Working papers | Articles | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML, plain text, BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Research series 200509-1, National Bank of Belgium. [Downloadable!]
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  2. Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2005014, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]

  3. Mikael Petitjean & Pierre Giot, 2004. "Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison," Computing in Economics and Finance 2004 6, Society for Computational Economics.

  4. Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004. "Volatility regimes and the provisions of liquidity in order book markets," Université catholique de Louvain, Département des Sciences Economiques Working Paper 2005015, Université catholique de Louvain, Département des Sciences Economiques. [Downloadable!]

  5. Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Research series 200405-5, National Bank of Belgium. [Downloadable!]

  6. Pierre Giot & Armin Schwienbacher, 2003. "IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis," Finance 0312006, EconWPA. [Downloadable!]
    Published as:

  7. Pierre Giot & Joachim Grammig, 2002. "How large is liquidity risk in an automated auction market?," University of St. Gallen Department of Economics working paper series 2002 2002-23, Department of Economics, University of St. Gallen. [Downloadable!]
    Published as:

  8. Giot,Pierre & Laurent,Sebastien, 2001. "Modelling daily value-at-risk using realized volatility and arch type models," Research Memoranda 014, Maastricht : METEOR, Maastricht Research School of Economics of Technology and Organization. [Downloadable!]
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  9. Giot, P. & Laurent, S., 2001. "Value-at-risk for Long and Short Trading Positions," Papers 0122, Catholique de Louvain - Center for Operations Research and Economics.
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  10. Giot, P., 2000. "Intraday Value-at-Risk," Papers 0045, Catholique de Louvain - Center for Operations Research and Economics.

  11. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society. [Downloadable!]
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  12. Giot, P., 1999. "Time Transformations, Intraday Data and Volatility Models," Papers 9944, Catholique de Louvain - Center for Operations Research and Economics.

  13. Giot, P. & De Frahan, B.H. & Pirotte, N., 1999. "Co-Integration and Leadership in the European Off-Season Fresh Fruit Market," Papers 9922, Catholique de Louvain - Center for Operations Research and Economics.

  14. Bauwens, L. & Giot, P., 1998. "Asymmetric ACD Models: Introducing Price Information in ACD Models with a Two State Transition Model," Papers 9844, Catholique de Louvain - Center for Operations Research and Economics.

  15. Bauwens, L. & Giot, P., 1997. "The Logarithmic ACD Model: An Application to Market Microstructure and NASDAQ," Papers 9789, Catholique de Louvain - Center for Operations Research and Economics.


Articles

  1. Giot, Pierre & Petitjean, Mikael, 2007. "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, vol. 23(2), pages 289-305. [Downloadable!] (restricted)

  2. Alain Durré & Pierre Giot, 2007. "An International Analysis of Earnings, Stock Prices and Bond Yields," Journal of Business Finance & Accounting, Blackwell Publishing, vol. 34(3-4), pages 613-641. [Downloadable!] (restricted)
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  3. Giot, Pierre & Schwienbacher, Armin, 2007. "IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis," Journal of Banking & Finance, Elsevier, vol. 31(3), pages 679-702, March. [Downloadable!] (restricted)
    Other versions:

  4. Pierre Giot & Joachim Grammig, 2006. "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, vol. 30(4), pages 867-887, January. [Downloadable!] (restricted)
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  5. Bauwens, Luc & Ben Omrane, Walid & Giot, Pierre, 2005. "News announcements, market activity and volatility in the euro/dollar foreign exchange market," Journal of International Money and Finance, Elsevier, vol. 24(7), pages 1108-1125, November. [Downloadable!] (restricted)

  6. Bauwens, Luc & Giot, Pierre & Grammig, Joachim & Veredas, David, 2004. "A comparison of financial duration models via density forecasts," International Journal of Forecasting, Elsevier, vol. 20(4), pages 589-609. [Downloadable!] (restricted)
    Other versions:

  7. Giot, Pierre & Laurent, Sebastien, 2004. "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, vol. 11(3), pages 379-398, June. [Downloadable!] (restricted)
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  8. Pierre Giot, 2003. "Market Models: A Guide to Financial Data Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 471-473.

  9. Giot, Pierre & Laurent, Sebastien, 2003. "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, vol. 25(5), pages 435-457, September. [Downloadable!] (restricted)

  10. Pierre Giot & Sébastien Laurent, 2003. "Value-at-risk for long and short trading positions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 18(6), pages 641-663. [Downloadable!]
    Other versions:

  11. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November. [Downloadable!] (restricted)


NEP Fields

6 papers by this author were announced in
NEP, and specifically in the following field reports (number of papers):
  1. NEP-CFN: Corporate Finance (1) 2003-12-14
  2. NEP-ENT: Entrepreneurship (1) 2003-12-14
  3. NEP-FIN: Finance (4) 2002-11-04 2003-12-14 2005-05-29 2005-10-04 Author is listed
  4. NEP-FMK: Financial Markets (2) 2002-11-04 2005-10-04 Author is listed
  5. NEP-RMG: Risk Management (1) 2002-11-04

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This page was last updated on 2008-7-16.


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