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Pierre Giot

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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

  1. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," CORE Discussion Papers 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006. "Market-wide liquidity co-movements, volatility regimes and market cap sizes," CORE Discussion Papers 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," CORE Discussion Papers 2006088, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," CORE Discussion Papers 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Working Paper Research 73, National Bank of Belgium.
  6. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," CORE Discussion Papers 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. Helena, BELTRAN & Pierre, GIOT & Joachim, GRAMMIG, 2005. "Commonalities in the order book," Discussion Papers (ECON - Département des Sciences Economiques) 2005014, Université catholique de Louvain, Département des Sciences Economiques.
  8. Helena, BELTRAN & Alain, DURRE & Pierre, GIOT, 2004. "Volatility regimes and the provisions of liquidity in order book markets," Discussion Papers (ECON - Département des Sciences Economiques) 2005015, Université catholique de Louvain, Département des Sciences Economiques.
  9. Helena Beltran & Alain Durré & Pierre Giot, 2004. "How does liquidity react to stress periods in a limit order market?," Working Paper Research 49, National Bank of Belgium.
  10. 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.
  11. GIOT, Pierre, 2003. "The information content of implied volatility indexes for forecasting volatility and market risk," CORE Discussion Papers 2003027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  12. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003. "The moments of Log-ACD models," CORE Discussion Papers 2003011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  13. Pierre Giot & Armin Schwienbacher, 2003. "IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis," Finance 0312006, EconWPA.
  14. GIOT, Pierre, 2003. "The Asian financial crisis : the start of a regime switch in volatility," CORE Discussion Papers 2003078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  15. GIOT, Pierre & LAURENT, Sébastien, 2003. "Market risk in commodity markets: a VaR approach," CORE Discussion Papers 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  16. GIOT, Pierre, 2002. "Implied volatility indices as leading indicators of stock index returns ?," CORE Discussion Papers 2002050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  17. 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.
  18. GIOT, Pierre, 2002. "The information content of implied volatility in agricultural commodity markets," CORE Discussion Papers 2002038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  19. 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.
  20. Pierre Giot and S»bastien Laurent, 2001. "Value-At-Risk For Long And Short Trading Positions," Computing in Economics and Finance 2001 94, Society for Computational Economics.
  21. 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.
  22. GIOT, Pierre, 2000. "Intraday value-at-risk," CORE Discussion Papers 2000045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  23. GIOT, Pierre & HENRY DE FRAHAN, Bruno & PIROTTE, Nicolas, 1999. "Co-integration and leadership in the European off-season fresh fruit market," CORE Discussion Papers 1999022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  24. GIOT, Pierre & ,, 1999. "Time transformations, intraday data and volatility models ," CORE Discussion Papers 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  25. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," CORE Discussion Papers 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  26. BAUWENS, LUC & GIOT, Pierre, 1997. "The logarithmic ACD model: an application to market microstructure and NASDAQ," CORE Discussion Papers 1997089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  27. BAUWENS Luc, GIOT Pierre,, 1997. "A Gibbs sampling approach to cointegration," CORE Discussion Papers 1997016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Articles

  1. Pierre Giot & Mikael Petitjean, 2011. "On the statistical and economic performance of stock return predictive regression models: an international perspective," Quantitative Finance, Taylor and Francis Journals, vol. 11(2), pages 175-193.
  2. Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael, 2010. "Trading activity, realized volatility and jumps," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 168-175, January.
  3. Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009. "Commonalities in the order book," Financial Markets and Portfolio Management, Springer, vol. 23(3), pages 209-242, September.
  4. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," European Journal of Finance, Taylor and Francis Journals, vol. 15(4), pages 365-384.
  5. Beltran, Helena & Durré, Alain & Giot, Pierre, 2009. "Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext," Global Finance Journal, Elsevier, vol. 20(1), pages 80-97.
  6. Alain Durré & Pierre Giot, 2007. "An International Analysis of Earnings, Stock Prices and Bond Yields," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 34(3-4), pages 613-641.
  7. 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.
  8. 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.
  9. 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.
  10. 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.
  11. Pierre Giot, 2005. "Market risk models for intraday data," European Journal of Finance, Taylor and Francis Journals, vol. 11(4), pages 309-324.
  12. 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.
  13. 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.
  14. Pierre Giot, 2003. "Market Models: A Guide to Financial Data Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 1(3), pages 471-473.
  15. Giot, Pierre & Laurent, Sebastien, 2003. "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, vol. 25(5), pages 435-457, September.
  16. 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.
  17. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November.
    RePEc:adr:anecst:y:2000:i:59-60:p:06 is not listed on IDEAS

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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