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Publications

by members of

Université de Namur → Faculté Économie, Management, Communication, Sciences Po → Center for Research in Finance and Management (CeReFiM)

University of Namur → Faculty of Economics, Management, Communications, Political Science

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

2025

  1. Thomas Lejeune & Jolan Mohimont, 2025, "Long-Term Loans and Capital Requirements in Universal Banking: Sectoral Spillovers and Crowding Out Effects," Working Paper Research, National Bank of Belgium, number 474, Apr.

2024

  1. Olivier de Bandt & Bora Durdu & Hibiki Ichiue & Yasin Mimir & Jolan Mohimont & Kalin Nikolov & Sigrid Roehrs & Jean-Guillaume Sahuc & Valério Scalone & Michael Straughan, 2024, "Assessing the Impact of Basel III: Review of Transmission Channels and Insights from Policy Models," Post-Print, HAL, number hal-04459638, Feb.

2022

  1. Eli Agba & Hamza Bennani & Jean-Yves Gnabo, 2022, "Assessing the sources of heterogeneity in eurozone response to unconventional monetary policy," Post-Print, HAL, number hal-04202585, Mar, DOI: 10.1080/00036846.2022.2047600.
  2. Sophie Béreau & Nicolas Debarsy & Cyrille Dossougoin & Jean-Yves Gnabo, 2022, "Contagion in the Banking Industry: a Robust-to-Endogeneity Analysis," Working Papers, HAL, number halshs-03513049, Jan.
  3. 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, Banque de France, number 864.
  4. Romain Houssa & Jolan Mohimont & Christopher Otrok, 2022, "Commodity Exports, Financial Frictions and International Spillovers," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 419, Dec, DOI: 10.24149/gwp419.
  5. Jolan Mohimont & Maite de Sola Perea & Marie-Denise Zachary, 2022, "Softening the blow: Job retention schemes in the pandemic," Working Paper Research, National Bank of Belgium, number 414, Sep.

2021

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

2020

  1. Renaud Beaupain & Alexandre Girard, 2020, "The value of understanding central bank communication," Post-Print, HAL, number hal-02509297, Feb, DOI: 10.1016/j.econmod.2019.05.013.
  2. Geraci, M. V. & Gnabo, J-Y. & Veredas, D., 2020, "Common Short Selling and Excess Comovement: Evidence from a Sample of LSE Stocks," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 2066, Jul.

2019

  1. Y'erali Gandica & Sophie B'ereau & Jean-Yves Gnabo, 2019, "A multilevel analysis to systemic exposure: insights from local and system-wide information," Papers, arXiv.org, number 1910.08611, Oct.
  2. BEREAU Sophie, & GNABO Jean-Yves, & VANHOMWEGEN Henri,, 2019, "Making a difference: European mutual funds distinctiveness and peers’ performance," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2019015, Jul.
  3. Romain Houssa & Jolan Mohimont & Chris Otrok, 2019, "A Model for International Spillovers to Emerging Markets," CESifo Working Paper Series, CESifo, number 7702.
  4. Jolan Mohimont, 2019, "Welfare effects of business cycles and monetary policies in a small open emerging economy," Working Paper Research, National Bank of Belgium, number 376, Nov.

2017

  1. 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, number hal-03529917, DOI: 10.3917/rpve.564.0101.
  2. 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, arXiv.org, number 1707.00296, Jul, revised Jan 2018.

2016

  1. 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, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2016053, Dec.
  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, University of Paris Nanterre, EconomiX, number 2016-16.
  3. 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, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans, number 2173.
  4. Jean-Yves Gnabo & Nicolas K. Scholtes, 2016, "Assessing the role of interbank network structure in business and financial cycle analysis," Working Paper Research, National Bank of Belgium, number 307, Oct.
  5. BRAIONE, Manuela & SCHOLTES, Nicolas K., 2016, "Forecasting Value-at-Risk under Different Distributional Assumptions," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2733, Jan.

2015

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

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, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2014059, Nov.

2013

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

2011

  1. Alain de Crombrugghe & Gregory de Walque, 2011, "Wage and employment effects of a wage norm : The Polish transition experience," Working Paper Research, National Bank of Belgium, number 209, Jan.
  2. GIOT, Pierre & PETITJEAN, Mikael, 2011, "On the statistical and economic performance of stock return predictive regression models: an international perspective," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2327, Jan, DOI: 10.1080/14697680903468971.

2010

  1. GIOT, Pierre & LAURENT, Sébastien & PETITJEAN, Mikael, 2010, "Trading activity, realized volatility and jumps," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2223, Jan, DOI: 10.1016/j.jempfin.2009.07.001.
  2. BEAUPAIN, Renoud & GIOT, Pierre & PETITJEAN, Mikael, 2010, "Volatility regimes and liquidity co-movements in cap-based portfolios," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2328, Jan.

2009

  1. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2009, "Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2132, Jan, DOI: 10.1016/j.gfj.2009.02.001.
  2. GIOT, Pierre, 2009, "L'irrésistible ascension de la finance comportementale," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2133, Jan.

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, World Institute for Development Economic Research (UNU-WIDER), number RP2008-95.

2007

  1. DURRE, Alain & GIOT, Pierre, 2007, "An international analysis of earnings, stock prices and Bond yields," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1984, Jan, DOI: 10.1111/j.1468-5957.2007.02010.x.

2006

  1. GIOT, Pierre & PETITJEAN, Mikael, 2006, "International stock return predictability: statistical evidence and economic significance," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006088, Oct.
  2. GIOT, Pierre & PETITJEAN, Mikael, 2006, "The information content of the Bond-Equity Yield Ratio: better than a random walk?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006089, Oct.
  3. GIOT, Pierre & PETITJEAN, Mikael, 2006, "Short-term market timing using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006090, Oct.
  4. BEAUPAIN, Renaud & GIOT, Pierre & PETITJEAN, Mikael, 2006, "Market-wide liquidity co-movements, volatility regimes and market cap sizes," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2006102, Oct.
  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, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1985, Jan.
  6. A. Durre & P. Giot, 2006, "Appraising the Fed model: An international analysis of earnings, stock prices and bond yields," Post-Print, HAL, number hal-00260895, May.
  7. Michel Beine & Oscar Bernal Diaz & Jean-Yves Gnabo & Christelle Lecourt, 2006, "Intervention policy of the BoJ: a unified approach," DULBEA Working Papers, ULB -- Universite Libre de Bruxelles, number 06-15.RS, Nov.

2005

  1. GIOT, Pierre & PETITJEAN, Mikael, 2005, "Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005010, Feb.
  2. BELTRAN, Helena & GIOT, Pierre & GRAMMIG, Joachim, 2005, "Commonalities in the order book," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005011, Feb.
  3. BELTRAN, Helena & DURRE, Alain & GIOT, Pierre, 2005, "Volatility regimes and the provision of liquidity in order book markets," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005012, Feb.
  4. GIOT, Pierre & SCHWIENBACHER, Armin, 2005, "IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2005013, Feb.
  5. GIOT, Pierre, 2005, "Stocks, bonds and the equity risk premium: Some recent academic perspectives," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1794, Jan.
  6. GIOT, Pierre, 2005, "Implied volatility indexes and daily Value at Risk models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1840, Jan, DOI: 10.3905/jod.2005.517186.
  7. GIOT, Pierre, 2005, "Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators?," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1848, Jan, DOI: 10.3905/jpm.2005.500363.
  8. GIOT, Pierre, 2005, "Market risk models for intraday data," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1850, Jan, DOI: 10.1080/1351847032000143396.
  9. A. Durre & H. Beltran & P. Giot, 2005, "Volatility Regimes, Order Books and Liquidity: The case of Euronext," Post-Print, HAL, number hal-00269316, Jan.

2004

  1. GIOT, Pierre & LAURENT, Sébastien, 2004, "Modelling daily Value-at-Risk using realized volatility and ARCH type models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1708, Jan.
  2. Helena Beltran & Alain Durré & Pierre Giot, 2004, "How does liquidity react to stress periods in a limit order market?," Working Paper Research, National Bank of Belgium, number 49, May.
  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, Society for Computational Economics, number 6, Aug.

2003

  1. BAUWENS, Luc & GALLI, Fausto & GIOT, Pierre, 2003, "The moments of Log-ACD models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003011, Feb.
  2. GIOT, Pierre, 2003, "The information content of implied volatility indexes for forecasting volatility and market risk," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003027, Apr.
  3. GIOT, Pierre & LAURENT, Sébastien, 2003, "Market risk in commodity markets: a VaR approach," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003028, Apr.
  4. 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, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003029, Mar.
  5. GIOT, Pierre, 2003, "The Asian financial crisis : the start of a regime switch in volatility," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003078, Nov.
  6. BAUWENS, Luc & GIOT, Pierre, 2003, "Asymmetric ACD models: Introducing price information in ACD models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1670, Jan, DOI: 10.1007/s00181-003-0155-7.

2002

  1. GIOT, Pierre, 2002, "The information content of implied volatility in agricultural commodity markets," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002038, Jun.
  2. GIOT, Pierre, 2002, "Implied volatility indices as leading indicators of stock index returns ?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002050, Sep.
  3. GIOT, Pierre & GRAMMIG, Joachim, 2002, "How large is liquidity risk in an automated auction market ?," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2002054, Oct.

2001

  1. Alain de Crombrugghe, 2001, "Policy Options for Joining the Euro," LICOS Discussion Papers, LICOS - Centre for Institutions and Economic Performance, KU Leuven, number 10301.
  2. GIOT, Pierre & LAURENT, Sébastien, 2001, "Value-at-risk for long and short trading positions," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2001022, Apr.

2000

  1. GIOT, Pierre, 2000, "Intraday value-at-risk," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000045, Sep.
  2. BAUWENS , Luc & GIOT, Pierre & GRAMMIG, Joachim & VEREDAS, David, 2000, "A comparison of financial duration models via density forecasts," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2000060, Dec.
  3. BAUWENS, Luc & GIOT, Pierre, 2000, "Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1442, Jan.
  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, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1497, Jan.

1999

  1. 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, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1999022, Apr.
  2. GIOT, Pierre, 1999, "Time transformations, intraday data and volatility models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1999044, Aug.

1998

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

1997

  1. De Crombrugghe, Alain & de Walque, Gregory, 1997, "Fiscal Norming of Wages to Promote Employment with Monopoly Unions," CEPR Discussion Papers, Centre for Economic Policy Research, number 1766, Dec.
  2. De Crombrugghe, Alain, 1997, "Wage and Pension Pressure on the Polish Budget," CEPR Discussion Papers, Centre for Economic Policy Research, number 1767, Dec.
  3. de Crombrugghe, A & de Walque, G, 1997, "Taxing Excess Wages to Promote Employment : The Case of Poland 1990-1991," Papers, Notre-Dame de la Paix, Sciences Economiques et Sociales, number 194.
  4. 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, The World Bank, number 1803, Jul.
  5. BAUWENS, Luc & GIOT, Pierre, 1997, "A Gibbs sampling approach to cointegration," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997016, Feb.
  6. BAUWENS, LUC & GIOT, Pierre, 1997, "The logarithmic ACD model: an application to market microstructure and NASDAQ," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1997089, Nov.

1996

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

1995

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

1990

  1. de CROMBRUGGHE, Alain & TULKENS, Henry, 1990, "On Pareto improving commodity tax changes under fiscal competition," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 895, Jan, DOI: 10.1016/0047-2727(90)90065-P.

1987

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

Undated

  1. de Crombrugghe, Alain & Lipton, David, undated, "The Government Budget and the Economic Transformation of Poland," WIDER Working Papers, United Nations University, World Institute for Development Economic Research (UNU-WIDER), number 295433, DOI: 10.22004/ag.econ.295433.

Journal articles

2025

  1. Perez Riaza, Baptiste & Gnabo, Jean-Yves, 2025, "From depegs to jumps: The role of stablecoin instabilities in crypto market dynamics," Journal of International Money and Finance, Elsevier, volume 155, issue C, DOI: 10.1016/j.jimonfin.2025.103339.

2024

  1. Dulak, Thomas & Gnabo, Jean-Yves, 2024, "Climate litigation and financial markets: A disciplinary effect?," International Review of Financial Analysis, Elsevier, volume 95, issue PB, DOI: 10.1016/j.irfa.2024.103496.
  2. Mohimont, Jolan & de Sola Perea, Maite & Zachary, Marie-Denise, 2024, "Softening the blow: Job retention schemes in the pandemic," Journal of Public Economics, Elsevier, volume 238, issue C, DOI: 10.1016/j.jpubeco.2024.105198.
  3. Olivier de Bandt & Bora Durdu & Hibiki Ichiue & Yasin Mimir & Jolan Mohimont & Kalin Nikolov & Sigrid Roehrs & Jean-Guillaume Sahuc & Valerio Scalone & Michael Straughan, 2024, "Assessing the Impact of Basel III: Review of Transmission Channels and Insights from Policy Models," International Journal of Central Banking, International Journal of Central Banking, volume 20, issue 1, pages 1-52, February.
  4. M.V.Geraci & J. Mohimont, 2024, "A decomposition of euro area macroeconomic uncertainty," Economic Review, National Bank of Belgium, pages 1-25, July.

2023

  1. Girard, Alexandre & Gnabo, Jean-Yves & Londoño van Rutten, Rodrigo, 2023, "Firm performance and the crowd effect in lobbying competition," Finance Research Letters, Elsevier, volume 53, issue C, DOI: 10.1016/j.frl.2022.103618.
  2. Girard, Alexandre & Gnabo, Jean-Yves & Londoño van Rutten, Rodrigo, 2023, "Corporate lobbying and firm performance variability," Finance Research Letters, Elsevier, volume 58, issue PC, DOI: 10.1016/j.frl.2023.104524.
  3. Perez Riaza, Baptiste & Gnabo, Jean-Yves, 2023, "Decentralized Autonomous Organizations (DAOs): Catalysts for enhanced market efficiency," Finance Research Letters, Elsevier, volume 58, issue PB, DOI: 10.1016/j.frl.2023.104445.
  4. Geraci, Marco Valerio & Gnabo, Jean-Yves & Veredas, David, 2023, "Common short selling and excess comovement: Evidence from a sample of LSE stocks," Journal of Financial Markets, Elsevier, volume 65, issue C, DOI: 10.1016/j.finmar.2023.100833.
  5. Houssa, Romain & Mohimont, Jolan & Otrok, Christopher, 2023, "Commodity exports, financial frictions, and international spillovers," European Economic Review, Elsevier, volume 158, issue C, DOI: 10.1016/j.euroecorev.2023.104465.

2022

  1. Gnabo, Jean-Yves & Soudant, Joey, 2022, "Monetary policy and portfolio rebalancing: Evidence from European equity mutual funds," Journal of Financial Stability, Elsevier, volume 63, issue C, DOI: 10.1016/j.jfs.2022.101059.
  2. Eli Agba & Hamza Bennani & Jean-Yves Gnabo, 2022, "Assessing the sources of heterogeneity in eurozone response to unconventional monetary policy," Applied Economics, Taylor & Francis Journals, volume 54, issue 48, pages 5549-5574, October, DOI: 10.1080/00036846.2022.2047600.
  3. Mohimont, Jolan, 2022, "Welfare effects of business cycles and monetary policies in a small open emerging economy," Journal of Economic Dynamics and Control, Elsevier, volume 136, issue C, DOI: 10.1016/j.jedc.2022.104316.
  4. M. de Sola Perea & J. Mohimont & M.D. Zachary, 2022, "At the heart of the turmoil : the pandemic, households and their financial situation," Economic Review, National Bank of Belgium, pages 1-22, October.

2021

  1. Youssef Ghallada & Alexandre Girard & Kim Oosterlinck, 2021, "Crises, credit booms and monetary regime," Economics Bulletin, AccessEcon, volume 41, issue 3, pages 1431-1443.
  2. 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.

2020

  1. Beaupain, Renaud & Girard, Alexandre, 2020, "The value of understanding central bank communication," Economic Modelling, Elsevier, volume 85, issue C, pages 154-165, DOI: 10.1016/j.econmod.2019.05.013.
  2. Sophie Béreau & Jean-Yves Gnabo & Henri Vanhomwegen, 2020, "Making a Difference: European Mutual Funds Distinctiveness and Peers’ Performance," Finance, Presses universitaires de Grenoble, volume 41, issue 2, pages 7-51.

2018

  1. 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, volume 53, issue 3, pages 1371-1390, June.
  2. Dahlqvist, Carl-Henrik & Gnabo, Jean-Yves, 2018, "Effective network inference through multivariate information transfer estimation," Physica A: Statistical Mechanics and its Applications, Elsevier, volume 499, issue C, pages 376-394, DOI: 10.1016/j.physa.2018.02.053.

2017

  1. Gejadze, Maia & Giot, Pierre & Schwienbacher, Armin, 2017, "Private equity fundraising and firm specialization," The Quarterly Review of Economics and Finance, Elsevier, volume 64, issue C, pages 259-274, DOI: 10.1016/j.qref.2016.06.012.
  2. 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, volume 0, issue 4, pages 5-8.
  3. 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, volume 0, issue 4, pages 101-112.
  4. 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, volume 76, issue C, pages 68-87, DOI: 10.1016/j.jimonfin.2017.05.007.
  5. J.Y. Gnabo & M. Kerkour & C. Lecourt & H. Raymond, 2017, "Understanding the decision-making process of sovereign wealth funds: The case of Temasek," International Economics, CEPII research center, issue 152, pages 91-106.
  6. 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, volume 152, issue C, pages 91-106, DOI: 10.1016/j.inteco.2017.06.003.

2016

  1. 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, volume 47, issue C, pages 48-66, DOI: 10.1016/j.irle.2016.05.010.
  2. Bernal, Oscar & Gnabo, Jean-Yves & Guilmin, Grégory, 2016, "Economic policy uncertainty and risk spillovers in the Eurozone," Journal of International Money and Finance, Elsevier, volume 65, issue C, pages 24-45, DOI: 10.1016/j.jimonfin.2016.02.017.
  3. Manuela Braione & Nicolas K. Scholtes, 2016, "Forecasting Value-at-Risk under Different Distributional Assumptions," Econometrics, MDPI, volume 4, issue 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, volume 55, issue C, pages 281-294, DOI: 10.1016/j.jbankfin.2013.11.016.
  2. Romain Houssa & Jolan Mohimont & Christopher Otrok, 2015, "Sources of Business Cycles in a Low Income Country," Pacific Economic Review, Wiley Blackwell, volume 20, issue 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, volume 27, issue C, pages 55-71, DOI: 10.1016/j.jcorpfin.2014.02.008.
  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, volume 47, issue C, pages 270-287, DOI: 10.1016/j.jbankfin.2014.05.030.
  3. 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, volume 43, issue C, pages 131-154, DOI: 10.1016/j.jimonfin.2014.01.003.
  4. 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, volume 48, issue PA, pages 147-174, DOI: 10.1016/j.jimonfin.2014.07.002.

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, volume 12, issue 10, pages 1521-1532, October, DOI: 10.1080/14697688.2012.697186.

2011

  1. 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, volume 19, issue 3, pages 541-561, July.
  2. 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, volume 11, issue 2, pages 175-193, DOI: 10.1080/14697680903468971.

2010

  1. Renaud Beaupain & Pierre Giot & Mikael Petitjean, 2010, "Volatility regimes and liquidity co-movements in cap-based portfolios," Finance, Presses universitaires de Grenoble, volume 31, issue 1, pages 55-79.
  2. Giot, Pierre & Laurent, Sébastien & Petitjean, Mikael, 2010, "Trading activity, realized volatility and jumps," Journal of Empirical Finance, Elsevier, volume 17, issue 1, pages 168-175, January.

2009

  1. Beltran, Helena & Durré, Alain & Giot, Pierre, 2009, "Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext," Global Finance Journal, Elsevier, volume 20, issue 1, pages 80-97.
  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, volume 23, issue 3, pages 209-242, September, DOI: 10.1007/s11408-009-0109-y.
  3. Pierre Giot & Mikael Petitjean, 2009, "Short-term market timing using the bond-equity yield ratio," The European Journal of Finance, Taylor & Francis Journals, volume 15, issue 4, pages 365-384, DOI: 10.1080/13518470802466097.
  4. 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, volume 19, issue 1, pages 94-111, February.
  5. 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, volume 19, issue 3, pages 432-446, July.
  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, volume 23, issue 4, pages 367-394, December.

2008

  1. 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, volume 79, issue 2, pages 269-299, June, DOI: 10.1111/j.1467-8292.2008.00362.x.
  2. 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.

2007

  1. Alain Durré & Pierre Giot, 2007, "An International Analysis of Earnings, Stock Prices and Bond Yields," Journal of Business Finance & Accounting, Wiley Blackwell, volume 34, issue 3‐4, pages 613-641, April, DOI: 10.1111/j.1468-5957.2007.02010.x.
  2. Giot, Pierre & Petitjean, Mikael, 2007, "The information content of the Bond-Equity Yield Ratio: Better than a random walk?," International Journal of Forecasting, Elsevier, volume 23, issue 2, pages 289-305.
  3. Giot, Pierre & Schwienbacher, Armin, 2007, "IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis," Journal of Banking & Finance, Elsevier, volume 31, issue 3, pages 679-702, March.
  4. 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., volume 27, issue 4, pages 337-359, April.

2006

  1. Pierre Giot & Joachim Grammig, 2006, "How large is liquidity risk in an automated auction market?," Empirical Economics, Springer, volume 30, issue 4, pages 867-887, January, DOI: 10.1007/s00181-005-0003-z.

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, volume 24, issue 7, pages 1108-1125, November.
  2. Pierre Giot, 2005, "Market risk models for intraday data," The European Journal of Finance, Taylor & Francis Journals, volume 11, issue 4, pages 309-324, DOI: 10.1080/1351847032000143396.

2004

  1. Giot, Pierre & Laurent, Sebastien, 2004, "Modelling daily Value-at-Risk using realized volatility and ARCH type models," Journal of Empirical Finance, Elsevier, volume 11, issue 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, volume 20, issue 4, pages 589-609.

2003

  1. Giot, Pierre & Laurent, Sebastien, 2003, "Market risk in commodity markets: a VaR approach," Energy Economics, Elsevier, volume 25, issue 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., volume 18, issue 6, pages 641-663, DOI: 10.1002/jae.710.
  3. Pierre Giot, 2003, "Market Models: A Guide to Financial Data Analysis," Journal of Financial Econometrics, Oxford University Press, volume 1, issue 3, pages 471-473.
  4. Luc Bauwens & Pierre Giot, 2003, "Asymmetric ACD models: Introducing price information in ACD models," Empirical Economics, Springer, volume 28, issue 4, pages 709-731, November, DOI: 10.1007/s00181-003-0155-7.
  5. Pierre Giot, 2003, "The information content of implied volatility in agricultural commodity markets," Journal of Futures Markets, John Wiley & Sons, Ltd., volume 23, issue 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, volume 81, issue 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, volume 41, issue 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, ISBN: ARRAY(0x82da91b8).

Chapters

2024

  1. Jean-Yves Gnabo & Malik Kerkour & Louise Schraverus, 2024, "Sovereign Wealth Funds During Crises," Springer Books, Springer, chapter 0, in: H. Kent Baker & Jeffrey H. Harris & Ghiyath F. Nakshbendi, "The Palgrave Handbook of Sovereign Wealth Funds", DOI: 10.1007/978-3-031-50821-9_30.

1994

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

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