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 0 1 3 81
An econometric specification of monetary policy dark art 0 0 0 55 0 0 0 250
Commodity Markets through the business cycle 0 0 0 5 0 1 1 35
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 3 0 0 0 29
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 85 0 0 0 421
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 12 0 0 0 66
Forecasting the density of oil futures 0 0 0 29 0 0 2 124
Further evidence on the impact of economic news on interest 0 0 1 39 0 0 2 149
Further evidence on the impact of economic news on interest rates 0 0 0 56 0 0 0 206
Further evidence on the impact of economic news on interest rates 0 0 0 10 0 0 0 42
Further evidence on the impact of economic news on interest rates 0 0 0 0 0 0 0 14
Identifying and Explaining the Number of Regimes Driving Asset Returns 0 0 0 12 0 1 1 34
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 1 59
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 0 94
Martingalized Historical approach for Option Pricing 0 0 0 24 0 0 0 118
Martingalized Historical approach for Option Pricing 0 0 0 33 0 0 0 116
Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations 0 0 0 26 0 0 0 103
Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results 0 0 0 86 0 0 0 222
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology 0 0 0 61 0 0 0 159
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 48 0 0 0 161
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 10 0 0 2 52
Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology 0 0 0 72 0 0 1 160
Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results 0 0 0 105 0 0 4 244
Option pricing with discrete time jump processes 0 0 0 18 0 1 1 66
Option pricing with discrete time jump processes 0 0 0 35 0 0 1 183
Option pricing with discrete time jump processes 0 0 0 12 0 0 0 172
Option pricing with discrete time jump processes 0 0 0 0 0 0 0 27
Testing for Leverage Effect in Financial Returns 0 0 0 78 0 3 5 285
Testing for Leverage Effects in the Returns of US Equities 0 0 0 2 0 1 1 34
Testing for Leverage Effects in the Returns of US Equities 0 0 1 47 1 1 2 110
Testing for leverage effects in the returns of US equities 0 0 0 0 0 0 0 17
The Number of Regimes Across Asset Returns: Identification and Economic Value 0 0 0 33 0 0 0 101
The contribution of jumps to forecasting the density of returns 0 0 0 39 0 0 4 54
The contribution of jumps to forecasting the density of returns 0 0 1 57 0 0 1 43
Understanding momentum in commodity markets 0 0 0 0 0 0 0 34
Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate 0 0 0 0 0 0 0 15
Yield curve reaction to macroeconomic news in Europe:disentangling the US influence 0 0 0 271 0 0 0 1,368
Total Working Papers 0 0 3 1,425 1 9 32 5,448


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 4 0 0 2 31
Commodity markets through the business cycle 0 1 3 18 0 1 5 66
Common risk factors in commodities 0 0 7 268 1 1 21 965
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 0 0 0 101
Empirical bias in intraday volatility measures 1 1 3 17 1 2 4 76
Equity, credit and the business cycle 0 0 0 19 0 1 1 90
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 1 1 5 32 1 1 7 111
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 0 0 0 0 87
Forecasting the European Credit Cycle Using Macroeconomic Variables 0 0 0 0 0 0 0 45
Forward Rates, Monetary Policy and the Economic Cycle 0 0 0 2 0 0 0 22
Further Evidence on the Impact of Economic News on Interest Rates 0 0 0 8 0 0 0 57
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 0 2 0 0 0 13
Investigating the leverage effect in commodity markets with a recursive estimation approach 0 1 1 28 0 2 10 118
Martingalized historical approach for option pricing 0 0 0 17 0 0 0 97
Mean-reversion properties of implied volatilities 0 0 1 17 0 1 3 104
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 6 0 0 0 42
Option pricing with discrete time jump processes 0 0 0 17 0 0 1 74
Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event 0 0 0 51 1 1 3 208
Sector spillovers in credit markets 0 0 0 16 0 0 2 110
THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE 0 0 0 2 0 0 0 19
Testing for leverage effects in the returns of US equities 0 0 0 3 0 0 0 22
Twenty years of jumps in commodity markets 0 0 1 18 0 0 1 81
Understanding momentum in commodity markets 0 0 0 24 0 1 2 64
Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate 0 0 0 0 0 1 1 79
Volatility spillovers in commodity markets 1 1 4 56 1 1 8 138
Total Journal Articles 3 5 25 663 5 13 71 2,858
1 registered items for which data could not be found


Statistics updated 2024-06-06