Access Statistics for Pierre Giot

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Comparison of Financial Duration Models via Density Forecasts 0 2 13 328 0 2 22 685
A comparison of financial duration models via density forecasts 1 3 15 19 13 30 95 836
An international analysis of earnings, stock prices and bond yields 4 6 26 151 9 20 113 499
An international analysis of earnings, stock prices and bond yields 1 2 11 199 3 9 54 733
Asymmetric ACD models: introducing price information in ACD models with a two state transition model 5 9 20 20 9 19 55 861
Co-integration and leadership in the European off-season fresh fruit market 1 3 7 8 2 13 28 528
Commonalities in the order book 1 1 8 74 1 3 22 212
Commonalities in the order book 0 0 1 1 0 1 6 6
Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio 1 5 34 35 5 20 121 122
Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison 0 0 0 0 48 67 212 1,049
How does liquidity react to stress periods in a limit order market? 0 4 15 115 3 16 62 379
How large is liquidity risk in an automated auction market ? 0 1 3 3 0 4 14 14
How large is liquidity risk in an automated auction market? 0 1 10 173 4 9 36 367
IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis 2 13 100 869 36 97 453 2,776
IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis 1 2 14 14 1 4 32 32
Implied volatility indices as leading indicators of stock index returns ? 0 5 24 24 0 7 68 71
International stock return predictability: statistical evidence and economic significance 0 2 18 21 2 12 66 79
Intraday value-at-risk 3 6 23 24 10 20 65 697
Market risk in commodity markets: a VaR approach 4 10 60 63 7 30 141 147
Market-wide liquidity co-movements, volatility regimes and market cap sizes 0 6 20 23 0 15 85 93
Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models 0 0 0 0 3 9 42 475
Modelling daily value-at-risk using realized volatility and arch type models 4 14 50 473 11 41 143 1,206
Short-term market timing using the Bond-Equity Yield Ratio 0 1 22 24 2 8 107 114
The Asian financial crisis: the start of a regime switch in volatility 1 2 9 9 1 3 30 32
The information content of implied volatility in agricultural commodity markets 2 3 15 17 7 24 76 79
The information content of implied volatility indexes for forecasting volatility and market risk 1 3 22 24 3 9 48 51
The information content of the Bond-Equity Yield Ratio: better than a random walk? 4 8 27 30 20 48 158 164
The logarithmic ACD model: an application to market microstructure and NASDAQ 2 4 12 12 3 10 38 1,728
The moments of Log-ACD models 0 0 4 4 6 15 33 33
Time transformations, intraday data and volatility models 1 3 18 20 3 7 56 776
VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS 0 0 0 0 14 36 158 1,555
Value-at-risk for long and short trading positions 2 6 21 23 3 11 51 811
Volatility regimes and the provision of liquidity in order book markets 0 0 5 5 3 5 27 27
Volatility regimes and the provisions of liquidity in order book markets 2 4 11 84 3 12 45 259
Total Working Papers 43 129 638 2,889 235 636 2,762 17,496


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A comparison of financial duration models via density forecasts 0 0 8 68 0 0 16 197
An International Analysis of Earnings, Stock Prices and Bond Yields 1 7 20 67 2 13 65 207
Asymmetric ACD models: Introducing price information in ACD models 1 5 18 102 3 7 31 253
Commonalities in the order book 1 6 10 10 1 7 16 16
How large is liquidity risk in an automated auction market? 0 1 9 29 0 1 18 90
IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis 2 3 13 46 4 10 45 157
Market Models: A Guide to Financial Data Analysis 0 0 0 0 4 11 71 342
Market risk in commodity markets: a VaR approach 0 4 20 175 6 18 52 407
Modelling daily Value-at-Risk using realized volatility and ARCH type models 3 9 61 377 6 22 149 903
News announcements, market activity and volatility in the euro/dollar foreign exchange market 0 4 13 77 1 6 25 188
Short-term market timing using the bond-equity yield ratio 0 9 16 16 7 31 77 77
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks 2 2 3 3 2 7 11 11
The information content of the Bond-Equity Yield Ratio: Better than a random walk? 0 1 4 21 0 4 22 89
Trading activity, realized volatility and jumps 1 1 1 1 3 3 3 3
Value-at-risk for long and short trading positions 0 8 59 624 2 27 117 1,445
Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext 0 4 4 4 1 6 12 12
Total Journal Articles 11 64 259 1,620 42 173 730 4,397


Statistics updated 2010-03-03