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Publications

by members of

Center for Research in Finance and Management (CeReFiM)
Faculté des Sciences Économiques, Sociales et de Gestion (FSESG)
Université de Namur
Namur, Belgium

(Faculty of Economics, Social Sciences and Business Administration, University of Namur)

These are publications listed in RePEc written by members of the above institution who are registered with the RePEc Author Service. Thus this compiles the works all those currently affiliated with this institution, not those affilated at the time of publication. List of registered members. Register yourself. Citation analysis. This page is updated in the first days of each month.
| Working papers | Journal articles | Books | Chapters |

Working papers

2022

  1. Sophie Béreau & Nicolas Debarsy & Cyrille Dossougoin & Jean-Yves Gnabo, 2022. "Contagion in the Banking Industry: a Robust-to-Endogeneity Analysis," Working Papers halshs-03513049, HAL.
  2. Olivier de Bandt & Bora Durdu & Hibiki Ichiue & Yasin Mimir & Jolan Mohimont & Kalin Nikolov & Sigrid Roehrs & Jean-Guillaume Sahuc & Valerio Scalone & Michael Straughan, 2022. "Assessing the Impact of Basel III: Evidence from Structural Macroeconomic Models," Working papers 864, Banque de France.
  3. Jolan Mohimont & Maite de Sola Perea & Marie-Denise Zachary, 2022. "Softening the blow: Job retention schemes in the pandemic," Working Paper Research 414, National Bank of Belgium.
  4. Romain Houssa & Jolan Mohimont & Christopher Otrok, 2022. "Commodity Exports, Financial Frictions and International Spillovers," Globalization Institute Working Papers 419, Federal Reserve Bank of Dallas.

2021

  1. Youssef Ghallada & Alexandre Girard & Kim Oosterlinck, 2021. "Crises, credit booms and monetary regime," ULB Institutional Repository 2013/335337, ULB -- Universite Libre de Bruxelles.

2020

  1. Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020. "Common Short Selling and Excess Comovement," Cambridge Working Papers in Economics 2066, Faculty of Economics, University of Cambridge.
  2. Renaud Beaupain & Alexandre Girard, 2020. "The value of understanding central bank communication," Post-Print hal-02509297, HAL.

2019

  1. BEREAU Sophie, & GNABO Jean-Yves, & VANHOMWEGEN Henri,, 2019. "Making a difference: European mutual funds distinctiveness and peers’ performance," LIDAM Discussion Papers CORE 2019015, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo, 2019. "A multilevel analysis to systemic exposure: insights from local and system-wide information," Papers 1910.08611, arXiv.org.
  3. Romain Houssa & Jolan Mohimont & Chris Otrok, 2019. "A model for international spillovers to emerging markets," Working Paper Research 370, National Bank of Belgium.
  4. Jolan Mohimont, 2019. "Welfare effects of business cycles and monetary policies in a small open emerging economy," Working Paper Research 376, National Bank of Belgium.

2017

  1. Y'erali Gandica & Marco Valerio Geraci & Sophie B'ereau & Jean-Yves Gnabo, 2017. "Fragmentation, integration and macroprudential surveillance of the US financial industry: Insights from network science," Papers 1707.00296, arXiv.org, revised Jan 2018.
  2. Alexandre Girard & Matthieu Picault, 2017. "L’évolution de la communication des banques centrales depuis les crises des subprimes et de l’euro," Post-Print hal-03529917, HAL.

2016

  1. Nicolas DEBARSY & Jean-Yves GNABO & Malik KERKOUR, 2016. "Sovereign Wealth Funds’ cross-border investments: assessing the role of country-level drivers and spatial competition," LEO Working Papers / DR LEO 2173, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
  2. Jean-Yves Gnabo & Malik Kerkour & Christelle Lecourt & Hélène Raymond-Feingold, 2016. "Understanding the Decision Making Process of Sovereign Wealth Funds: The Case of Temasek," EconomiX Working Papers 2016-16, University of Paris Nanterre, EconomiX.
  3. DEBARSY, Nicolas & DOSSOUGOIN, Cyrille & ERTUR, Cem & GNABO, Jean-Yves, 2016. "Measuring sovereign risk spillovers and assessing the role of transmission channels: a spatial econometrics approach," LIDAM Discussion Papers CORE 2016053, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. Jean-Yves Gnabo & Nicolas K. Scholtes, 2016. "Assessing the role of interbank network structure in business and financial cycle analysis," Working Paper Research 307, National Bank of Belgium.

2015

  1. Marco Valerio Geraci & Jean-Yves Gnabo, 2015. "Measuring interconnectedness between financial institutions with Bayesian time-varying vector autoregressions," Working Papers ECARES 2015-51, ULB -- Universite Libre de Bruxelles.
  2. Mr. Christopher Otrok & Romain Houssa & Jolan Mohimont, 2015. "The Sources of Business Cycles in a Low Income Country," IMF Working Papers 2015/040, International Monetary Fund.

2014

  1. Braione, Manuela & Scholtes, Nicolas K., 2014. "Construction of value-at-risk forecasts under different distributional assumptions within a BEKK framework," LIDAM Discussion Papers CORE 2014059, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2013

  1. Romain Houssa & Jolan Mohimont & Chris Otrok, 2013. "Credit Shocks and Macroeconomic Fluctuations in Emerging Markets," CESifo Working Paper Series 4281, CESifo.

2011

  1. GIOT, Pierre & PETITJEAN, Mikael, 2011. "On the statistical and economic performance of stock return predictive regression models: an international perspective," LIDAM Reprints CORE 2327, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2010

  1. R. Beaupain & P. Giot & M. Petitjean, 2010. "Volatility regimes and liquidity co-movements in cap-based portfolios," Post-Print hal-00675977, HAL.
  2. GIOT, Pierre & LAURENT, Sébastien & PETITJEAN, Mikael, 2010. "Trading activity, realized volatility and jumps," LIDAM Reprints CORE 2223, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2009

  1. GIOT, Pierre, 2009. "L'irrésistible ascension de la finance comportementale," LIDAM Reprints CORE 2133, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. A. Durre & H. Beltran & P. Giot, 2009. "Volatility regimes and order book liquidity: evidence from the Belgian segment of Euronext," Post-Print hal-00787205, HAL.

2008

  1. Jean-Yves Gnabo & Luiz de Mello & Diego Moccero, 2008. "Interdependencies between Monetary Policy and Foreign Exchange Intervention under Inflation Targeting: The Case of Brazil and the Czech Republic," WIDER Working Paper Series RP2008-95, World Institute for Development Economic Research (UNU-WIDER).

2006

  1. GIOT, Pierre & PETITJEAN, Mikael, 2006. "International stock return predictability: statistical evidence and economic significance," LIDAM Discussion Papers CORE 2006088, 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," LIDAM Discussion Papers CORE 2006102, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. GIOT, Pierre & PETITJEAN, Mikael, 2006. "Short-term market timing using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2006090, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. GIOT, Pierre & PETITJEAN, Mikael, 2006. "The information content of the Bond-Equity Yield Ratio: better than a random walk?," LIDAM Discussion Papers CORE 2006089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. FRAIPONT, Sarah & GIOT, Pierre, 2006. "Les oeuvres d'art comme placements financiers: le cas de l'art moderne classique et de ses différents courants," LIDAM Reprints CORE 1985, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. A. Durre & P. Giot, 2006. "Appraising the Fed model: An international analysis of earnings, stock prices and bond yields," Post-Print hal-00260895, HAL.
  7. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2006. "Intervention policy of the BoJ: a unified approach," DULBEA Working Papers 06-15.RS, ULB -- Universite Libre de Bruxelles.

2005

  1. Alain Durré & Pierre Giot, 2005. "An international analysis of earnings, stock prices and bond yields," Working Paper Research 73, National Bank of Belgium.
  2. 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.
  3. GIOT, Pierre & PETITJEAN, Mikael, 2005. "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE 2005010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. GIOT, Pierre, 2005. "Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators?," LIDAM Reprints CORE 1848, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. GIOT, Pierre, 2005. "Market risk models for intraday data," LIDAM Reprints CORE 1850, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. GIOT, Pierre, 2005. "Stocks, bonds and the equity risk premium: Some recent academic perspectives," LIDAM Reprints CORE 1794, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. A. Durre & H. Beltran & P. Giot, 2005. "Volatility Regimes, Order Books and Liquidity: The case of Euronext," Post-Print hal-00269316, HAL.
  8. GIOT, Pierre, 2005. "Implied volatility indexes and daily Value at Risk models," LIDAM Reprints CORE 1840, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2004

  1. 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.
  2. 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.
  3. 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.

2003

  1. Pierre Giot & Armin Schwienbacher, 2003. "IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis," Finance 0312006, University Library of Munich, Germany.
  2. GIOT, Pierre & LAURENT, Sébastien, 2003. "Market risk in commodity markets: a VaR approach," LIDAM Discussion Papers CORE 2003028, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003. "The moments of Log-ACD models," LIDAM Discussion Papers CORE 2003011, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. GIOT, Pierre, 2003. "The Asian financial crisis : the start of a regime switch in volatility," LIDAM Discussion Papers CORE 2003078, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  5. GIOT, Pierre, 2003. "The information content of implied volatility indexes for forecasting volatility and market risk," LIDAM Discussion Papers CORE 2003027, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  6. BAUWENS, Luc & BEN OMRANE, Walid & GIOT, Pierre, 2003. "News announcements, market activity and volatility in the Euro/Dollar foreign exchange market," LIDAM Discussion Papers CORE 2003029, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  7. BAUWENS, Luc & GIOT, Pierre, 2003. "Asymmetric ACD models: Introducing price information in ACD models," LIDAM Reprints CORE 1670, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2002

  1. 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.
  2. Pierre Giot & Sébastien Laurent, 2002. "Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models," Computing in Economics and Finance 2002 52, Society for Computational Economics.
  3. GIOT, Pierre, 2002. "The information content of implied volatility in agricultural commodity markets," LIDAM Discussion Papers CORE 2002038, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. GIOT, Pierre, 2002. "Implied volatility indices as leading indicators of stock index returns ?," LIDAM Discussion Papers CORE 2002050, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

2001

  1. 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.
  2. Alain de Crombrugghe, 2001. "Policy Options for Joining the Euro," LICOS Discussion Papers 10301, LICOS - Centre for Institutions and Economic Performance, KU Leuven.

2000

  1. 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.
  2. GIOT, Pierre, 2000. "Intraday value-at-risk," LIDAM Discussion Papers CORE 2000045, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. BAUWENS, Luc & GIOT, Pierre, 2000. "Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models," LIDAM Reprints CORE 1442, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  4. BAUWENS, Luc & GIOT, Pierre, 2000. "The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks," LIDAM Reprints CORE 1497, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1999

  1. GIOT, Pierre, 1999. "Time transformations, intraday data and volatility models," LIDAM Discussion Papers CORE 1999044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. GIOT, Pierre & HENRY DE FRAHAN, Bruno & PIROTTE, Nicolas, 1999. "Co-integration and leadership in the European off-season fresh fruit market," LIDAM Discussion Papers CORE 1999022, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1998

  1. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," LIDAM Discussion Papers CORE 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. de Crombrugghe, A. & Gevers, L., 1998. "Conflict Within Economic Dynasties: Selfishness vs Descending Altruism," Papers 210, Notre-Dame de la Paix, Sciences Economiques et Sociales.

1997

  1. BAUWENS, LUC & GIOT, Pierre, 1997. "The logarithmic ACD model: an application to market microstructure and NASDAQ," LIDAM Discussion Papers CORE 1997089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  2. BAUWENS, Luc & GIOT, Pierre, 1997. "A Gibbs sampling approach to cointegration," LIDAM Discussion Papers CORE 1997016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  3. Fakin, Barbara & de Crombrugghe, Alain, 1997. "Field adjustments in transition economies : social transfers and the efficiency of public spending - a comparison with OECD countries," Policy Research Working Paper Series 1803, The World Bank.
  4. de Crombrugghe, Alain, 1997. "Wage and pension pressure on the Polish budget," Policy Research Working Paper Series 1793, The World Bank.
  5. de Crombrugghe, A & de Walque, G, 1997. "Taxing Excess Wages to Promote Employment : The Case of Poland 1990-1991," Papers 194, Notre-Dame de la Paix, Sciences Economiques et Sociales.
  6. de Crombrugghe, Alain L & de Walque, Gregory, 1997. "Fiscal Norming of Wages to Promote Employment with Monopoly Unions," CEPR Discussion Papers 1766, C.E.P.R. Discussion Papers.

1996

  1. de Crombrugghe, A & Minton-Beddoes, Z & Sachs, J-D, 1996. "EU Membership for Central Europe : Commitments, Speed and Conditionality," Papers 29, Notre-Dame de la Paix, Sciences Economiques et Sociales.
  2. De Crombrugghe, A., 1996. "The Wage and Pension Pressure Hypothesis and the Polish Budget 1989-1993," Papers 176, Notre-Dame de la Paix, Sciences Economiques et Sociales.

1995

  1. Alain de Crombrugghe & Barbara Fakin, 1995. "Soviet Union, Russia, Budget System, Economic Transition," CASE Network Studies and Analyses 0045, CASE-Center for Social and Economic Research.

1993

  1. De Crombrugghe, A. & Lipton, D., 1993. "The Government Budget and the Economic Transformation of Poland," Research Paper 111, World Institute for Development Economics Research.

1990

  1. de CROMBRUGGHE, Alain & TULKENS, Henry, 1990. "On Pareto improving commodity tax changes under fiscal competition," LIDAM Reprints CORE 895, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

1987

  1. De Crombrugghe, A. & Tulkens, H., 1987. "On Pareto improving tax changes under fiscal competition," LIDAM Discussion Papers CORE 1987005, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

Journal articles

2022

  1. Mohimont, Jolan, 2022. "Welfare effects of business cycles and monetary policies in a small open emerging economy," Journal of Economic Dynamics and Control, Elsevier, vol. 136(C).

2021

  1. M. V. Geraci & J. Mohimont & Ch. Piette, 2021. "The issuance of debt securities by Belgian non-financial corporations," Economic Review, National Bank of Belgium, issue ii, pages 158-172, september.
  2. Youssef Ghallada & Alexandre Girard & Kim Oosterlinck, 2021. "Crises, credit booms and monetary regime," Economics Bulletin, AccessEcon, vol. 41(3), pages 1431-1443.

2020

  1. Sophie Béreau & Jean-Yves Gnabo & Henri Vanhomwegen, 2020. "Making a Difference: European Mutual Funds Distinctiveness and Peers’ Performance," Finance, Presses universitaires de Grenoble, vol. 41(2), pages 7-51.
  2. Beaupain, Renaud & Girard, Alexandre, 2020. "The value of understanding central bank communication," Economic Modelling, Elsevier, vol. 85(C), pages 154-165.

2018

  1. Dahlqvist, Carl-Henrik & Gnabo, Jean-Yves, 2018. "Effective network inference through multivariate information transfer estimation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 499(C), pages 376-394.
  2. Geraci, Marco Valerio & Gnabo, Jean-Yves, 2018. "Measuring Interconnectedness between Financial Institutions with Bayesian Time-Varying Vector Autoregressions," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 53(3), pages 1371-1390, June.

2017

  1. Gejadze, Maia & Giot, Pierre & Schwienbacher, Armin, 2017. "Private equity fundraising and firm specialization," The Quarterly Review of Economics and Finance, Elsevier, vol. 64(C), pages 259-274.
  2. Debarsy, Nicolas & Gnabo, Jean-Yves & Kerkour, Malik, 2017. "Sovereign wealth funds’ cross-border investments: Assessing the role of country-level drivers and spatial competition," Journal of International Money and Finance, Elsevier, vol. 76(C), pages 68-87.
  3. Gnabo, J.Y. & Kerkour, M. & Lecourt, C. & Raymond, H., 2017. "Understanding the decision-making process of sovereign wealth funds: The case of Temasek," International Economics, Elsevier, vol. 152(C), pages 91-106.
  4. Alexandre Girard & Matthieu Picault, 2017. "L’évolution de la communication des banques centrales depuis les crises des subprimes et de l’euro," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(4), pages 101-112.
  5. Alexandre Girard, 2017. "Introduction : La crise de l’euro et les voies d’approfondissement de l’Union monétaire," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(4), pages 5-8.

2016

  1. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2016. "Economic policy uncertainty and risk spillovers in the Eurozone," Journal of International Money and Finance, Elsevier, vol. 65(C), pages 24-45.
  2. Bernal, Oscar & Girard, Alexandre & Gnabo, Jean-Yves, 2016. "The importance of conflicts of interest in attributing sovereign credit ratings," International Review of Law and Economics, Elsevier, vol. 47(C), pages 48-66.
  3. Manuela Braione & Nicolas K. Scholtes, 2016. "Forecasting Value-at-Risk under Different Distributional Assumptions," Econometrics, MDPI, vol. 4(1), pages 1-27, January.

2015

  1. Gnabo, Jean-Yves & Moccero, Diego Nicolas, 2015. "Risk management, nonlinearity and aggressiveness in monetary policy: The case of the US Fed," Journal of Banking & Finance, Elsevier, vol. 55(C), pages 281-294.
  2. Romain Houssa & Jolan Mohimont & Christopher Otrok, 2015. "Sources of Business Cycles in a Low Income Country," Pacific Economic Review, Wiley Blackwell, vol. 20(1), pages 125-148, February.

2014

  1. Giot, Pierre & Hege, Ulrich & Schwienbacher, Armin, 2014. "Are novice private equity funds risk-takers? Evidence from a comparison with established funds," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 55-71.
  2. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2014. "Assessing the contribution of banks, insurance and other financial services to systemic risk," Journal of Banking & Finance, Elsevier, vol. 47(C), pages 270-287.
  3. Gnabo, Jean-Yves & Hvozdyk, Lyudmyla & Lahaye, Jérôme, 2014. "System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies," Journal of International Money and Finance, Elsevier, vol. 48(PA), pages 147-174.
  4. Dewachter, Hans & Erdemlioglu, Deniz & Gnabo, Jean-Yves & Lecourt, Christelle, 2014. "The intra-day impact of communication on euro-dollar volatility and jumps," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 131-154.

2012

  1. Jean-Yves Gnabo & J�rôme Lahaye & S�bastien Laurent & Christelle Lecourt, 2012. "Do jumps mislead the FX market?," Quantitative Finance, Taylor & Francis Journals, vol. 12(10), pages 1521-1532, October.

2011

  1. Pierre Giot & Mikael Petitjean, 2011. "On the statistical and economic performance of stock return predictive regression models: an international perspective," Quantitative Finance, Taylor & Francis Journals, vol. 11(2), pages 175-193.
  2. Alain de Crombrugghe & Gregory de Walque, 2011. "Wage and employment effects of a wage norm," The Economics of Transition, The European Bank for Reconstruction and Development, vol. 19(3), pages 541-561, July.

2010

  1. 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.
  2. Renaud Beaupain & Pierre Giot & Mikael Petitjean, 2010. "Volatility regimes and liquidity co-movements in cap-based portfolios," Finance, Presses universitaires de Grenoble, vol. 31(1), pages 55-79.

2009

  1. Pierre Giot & Mikael Petitjean, 2009. "Short-term market timing using the bond-equity yield ratio," The European Journal of Finance, Taylor & Francis Journals, vol. 15(4), pages 365-384.
  2. Héléna Beltran-Lopez & Pierre Giot & Joachim Grammig, 2009. "Commonalities in the order book," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 23(3), pages 209-242, September.
  3. 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.
  4. Gnabo, Jean-Yves & Teiletche, Jérôme, 2009. "Foreign-exchange intervention strategies and market expectations: insights from Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(3), pages 432-446, July.
  5. Gnabo, Jean-Yves & Laurent, Sébastien & Lecourt, Christelle, 2009. "Does transparency in central bank intervention policy bring noise to the FX market?: The case of the Bank of Japan," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(1), pages 94-111, February.
  6. Bernal, Oscar & Gnabo, Jean-Yves, 2009. "Announcements, financial operations or both? Generalizing central banks' FX reaction functions," Journal of the Japanese and International Economies, Elsevier, vol. 23(4), pages 367-394, December.

2008

  1. Jean-Yves Gnabo & Christelle Lecourt, 2008. "Foreign Exchange Intervention Policy: With or Without Transparency? The Case of Japan," Economie Internationale, CEPII research center, issue 113, pages 5-34.
  2. Alain De CROMBRUGGHE & Michel TENIKUE & Julie SUREDA, 2008. "Performance Analysis For A Sample Of Microfinance Institutions In India," Annals of Public and Cooperative Economics, Wiley Blackwell, vol. 79(2), pages 269-299, June.

2007

  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.
  2. 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.
  3. Pierre Giot & Sébastien Laurent, 2007. "The information content of implied volatility in light of the jump/continuous decomposition of realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 27(4), pages 337-359, April.
  4. 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, April.

2006

  1. 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.

2005

  1. 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.
  2. Pierre Giot, 2005. "Market risk models for intraday data," The European Journal of Finance, Taylor & Francis Journals, vol. 11(4), pages 309-324.

2004

  1. 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.
  2. 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.

2003

  1. Giot, Pierre & Laurent, Sebastien, 2003. "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, vol. 25(5), pages 435-457, September.
  2. 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.
  3. Luc Bauwens & Pierre Giot, 2003. "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, vol. 28(4), pages 709-731, November.
  4. Pierre Giot, 2003. "Market Models: A Guide to Financial Data Analysis," The Journal of Financial Econometrics, Society for Financial Econometrics, vol. 1(3), pages 471-473.
  5. Pierre Giot, 2003. "The information content of implied volatility in agricultural commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 23(5), pages 441-454, May.

2000

  1. Luc Bauwens & Pierre Giot, 2000. "The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks," Annals of Economics and Statistics, GENES, issue 60, pages 117-149.

1991

  1. de Crombrugghe, Alain & Roubini, Nouriel & Sachs, Jeffrey D, 1991. "Dynamic Strategic Monetary Policies and Coordination in Interdependent Economies: Comment," American Economic Review, American Economic Association, vol. 81(5), pages 1439-1442, December.

1990

  1. de Crombrugghe, Alain & Tulkens, Henry, 1990. "On Pareto improving commodity tax changes under fiscal competition," Journal of Public Economics, Elsevier, vol. 41(3), pages 335-350, April.

Books

2017

  1. Cumming, Douglas J. & Wood, Geoffrey & Filatotchev, Igor & Reinecke, Juliane (ed.), 2017. "The Oxford Handbook of Sovereign Wealth Funds," OUP Catalogue, Oxford University Press, number 9780198754800, November.

Chapters

1994

  1. Alain de Crombrugghe & David Lipton, 1994. "The Government Budget and the Economic Transformation of Poland," NBER Chapters, in: The Transition in Eastern Europe, Volume 2, Restructuring, pages 111-136, National Bureau of Economic Research, Inc.

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