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 0 1 67
An econometric specification of monetary policy dark art 0 1 1 55 0 2 8 242
Commodity Markets through the business cycle 0 0 1 4 0 0 9 19
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 12 0 2 7 64
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 3 0 0 4 28
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 85 0 0 5 416
Forecasting the density of oil futures 0 0 1 27 0 1 17 111
Further evidence on the impact of economic news on interest 0 0 0 36 2 2 7 141
Further evidence on the impact of economic news on interest rates 0 0 0 0 0 0 2 11
Further evidence on the impact of economic news on interest rates 0 0 0 10 0 0 2 41
Further evidence on the impact of economic news on interest rates 0 0 0 56 1 1 4 192
Identifying and Explaining the Number of Regimes Driving Asset Returns 0 0 0 12 0 0 3 29
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 1 1 4 91
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 4 55
Martingalized Historical approach for Option Pricing 0 0 1 23 0 0 5 115
Martingalized Historical approach for Option Pricing 0 0 0 33 0 0 3 113
Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations 0 0 0 26 1 1 25 97
Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results 0 0 2 85 0 0 3 216
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology 0 0 1 61 0 0 5 153
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 10 0 0 3 48
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 48 0 0 5 158
Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology 0 0 0 72 1 1 10 156
Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results 0 0 2 101 1 2 8 229
Option pricing with discrete time jump processes 0 0 0 0 0 0 6 21
Option pricing with discrete time jump processes 0 0 0 35 2 2 14 174
Option pricing with discrete time jump processes 0 0 1 18 1 1 9 59
Option pricing with discrete time jump processes 0 0 0 12 0 0 6 167
Testing for Leverage Effect in Financial Returns 0 0 0 78 2 4 17 232
Testing for Leverage Effects in the Returns of US Equities 0 0 1 45 0 1 9 97
Testing for Leverage Effects in the Returns of US Equities 0 0 0 2 1 1 9 27
Testing for leverage effects in the returns of US equities 0 0 0 0 0 0 5 8
The Number of Regimes Across Asset Returns: Identification and Economic Value 0 0 1 32 0 0 7 94
The contribution of jumps to forecasting the density of returns 0 0 0 39 0 0 8 35
The contribution of jumps to forecasting the density of returns 0 0 0 55 0 0 5 37
Understanding momentum in commodity markets 0 0 0 0 0 0 6 29
Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate 0 0 0 0 0 0 4 11
Yield curve reaction to macroeconomic news in Europe:disentangling the US influence 0 0 1 271 0 3 30 1,305
Total Working Papers 0 1 13 1,408 13 25 279 5,088


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 1 3 1 5 11 17
Commodity markets through the business cycle 0 0 0 12 0 0 6 53
Common risk factors in commodities 4 7 26 227 8 22 104 818
Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production 0 0 0 7 0 3 10 38
Cross-market linkages between commodities, stocks and bonds 0 0 0 31 0 1 9 94
Empirical bias in intraday volatility measures 0 0 0 13 0 0 8 65
Equity, credit and the business cycle 0 0 0 19 0 0 4 83
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 2 25 0 1 7 96
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 0 0 1 6 82
Forecasting the European Credit Cycle Using Macroeconomic Variables 0 0 0 0 0 0 2 43
Forward Rates, Monetary Policy and the Economic Cycle 0 0 0 2 0 0 2 19
Further Evidence on the Impact of Economic News on Interest Rates 0 0 0 8 0 1 3 56
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 0 0 0 0 5 8
Investigating the leverage effect in commodity markets with a recursive estimation approach 0 0 4 22 0 1 23 76
Martingalized historical approach for option pricing 0 0 1 15 0 1 7 92
Mean-reversion properties of implied volatilities 0 1 1 15 0 1 3 90
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 6 1 1 5 37
Option pricing with discrete time jump processes 0 0 1 15 0 1 14 67
Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event 0 0 0 50 0 0 8 196
Sector spillovers in credit markets 1 1 1 7 1 3 20 47
THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE 0 0 0 2 1 2 5 11
Testing for leverage effects in the returns of US equities 0 0 0 2 0 3 7 18
Twenty years of jumps in commodity markets 0 0 2 16 0 0 11 68
Understanding momentum in commodity markets 0 0 2 23 0 1 7 59
Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate 0 0 0 0 0 0 4 72
Volatility spillovers in commodity markets 0 0 1 46 0 1 7 107
“Time series momentum” in commodity markets 0 0 3 31 0 0 6 70
Total Journal Articles 5 9 45 597 12 49 304 2,482


Statistics updated 2020-09-04