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Information about:
Pierre Giot

Personal Details | Affiliation | Works
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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

| 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)
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  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)
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  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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