Access Statistics for Florian Ielpo

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 time series approach to option pricing: Models, Methods and Empirical Performances 0 0 0 0 2 4 6 74
An econometric specification of monetary policy dark art 0 0 0 55 0 0 3 246
Commodity Markets through the business cycle 0 1 1 5 3 5 9 30
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 3 1 1 1 29
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 12 1 1 1 65
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 85 0 2 4 421
Forecasting the density of oil futures 0 0 0 27 0 2 2 117
Further evidence on the impact of economic news on interest 0 0 1 37 0 0 4 145
Further evidence on the impact of economic news on interest rates 0 0 0 0 1 2 3 14
Further evidence on the impact of economic news on interest rates 0 0 0 10 1 1 1 42
Further evidence on the impact of economic news on interest rates 0 0 0 56 0 2 11 206
Identifying and Explaining the Number of Regimes Driving Asset Returns 0 0 0 12 3 3 4 33
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 1 3 3 58
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 2 93
Martingalized Historical approach for Option Pricing 0 0 0 33 1 1 1 115
Martingalized Historical approach for Option Pricing 0 0 0 23 1 1 2 117
Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations 0 0 0 26 2 3 4 101
Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results 0 0 1 86 2 4 5 221
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology 0 0 0 61 1 2 5 158
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 10 1 1 2 50
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 48 0 0 0 158
Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology 0 0 0 72 0 0 2 158
Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results 0 0 0 102 0 2 4 234
Option pricing with discrete time jump processes 0 0 0 12 2 3 4 171
Option pricing with discrete time jump processes 0 0 0 0 1 4 5 26
Option pricing with discrete time jump processes 0 0 0 35 1 2 2 176
Option pricing with discrete time jump processes 0 0 0 18 0 2 3 62
Testing for Leverage Effect in Financial Returns 0 0 0 78 0 2 19 253
Testing for Leverage Effects in the Returns of US Equities 0 0 0 2 1 2 5 32
Testing for Leverage Effects in the Returns of US Equities 0 0 0 45 1 3 6 106
Testing for leverage effects in the returns of US equities 0 0 0 0 1 4 6 14
The Number of Regimes Across Asset Returns: Identification and Economic Value 0 0 1 33 1 2 6 101
The contribution of jumps to forecasting the density of returns 0 0 1 56 0 0 3 40
The contribution of jumps to forecasting the density of returns 0 0 0 39 3 4 8 46
Understanding momentum in commodity markets 0 0 0 0 2 2 4 33
Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate 0 0 0 0 1 2 3 14
Yield curve reaction to macroeconomic news in Europe:disentangling the US influence 0 0 0 271 0 8 56 1,362
Total Working Papers 0 1 5 1,414 35 80 209 5,321

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
An anatomy of global risk premiums 0 0 0 3 0 0 5 24
Commodity markets through the business cycle 1 2 2 14 1 3 5 58
Common risk factors in commodities 4 6 19 248 18 22 66 907
Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production 0 0 0 7 0 0 0 38
Cross-market linkages between commodities, stocks and bonds 0 0 0 31 1 2 3 97
Empirical bias in intraday volatility measures 0 0 0 13 1 1 4 69
Equity, credit and the business cycle 0 0 0 19 0 1 2 86
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 0 25 0 1 2 98
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 0 0 2 2 84
Forecasting the European Credit Cycle Using Macroeconomic Variables 0 0 0 0 0 0 0 43
Forward Rates, Monetary Policy and the Economic Cycle 0 0 0 2 0 1 2 21
Further Evidence on the Impact of Economic News on Interest Rates 0 0 0 8 0 0 1 57
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 1 1 1 0 1 2 10
Investigating the leverage effect in commodity markets with a recursive estimation approach 1 1 3 25 1 4 23 100
Martingalized historical approach for option pricing 0 0 0 15 0 0 1 93
Mean-reversion properties of implied volatilities 0 0 1 16 0 2 6 96
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 6 0 1 2 41
Option pricing with discrete time jump processes 0 0 0 15 0 2 3 70
Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event 0 0 0 50 1 2 4 200
Sector spillovers in credit markets 0 0 2 10 1 3 40 94
THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE 0 0 0 2 0 3 6 18
Testing for leverage effects in the returns of US equities 0 0 0 2 0 1 2 20
Twenty years of jumps in commodity markets 0 0 0 16 0 1 5 74
Understanding momentum in commodity markets 0 0 0 24 0 1 2 62
Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate 0 0 0 0 0 0 4 76
Volatility spillovers in commodity markets 0 0 1 48 0 0 5 116
“Time series momentum” in commodity markets 0 0 2 35 0 2 4 77
Total Journal Articles 6 10 31 635 24 56 201 2,729

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Statistics updated 2021-11-05