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 2 16 101
An econometric specification of monetary policy dark art 0 0 0 55 1 4 11 264
Commodity Markets through the business cycle 0 0 0 5 2 2 4 41
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 12 0 0 4 71
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 85 3 4 11 434
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 3 2 2 5 35
Forecasting the density of oil futures 0 0 0 29 4 6 10 138
Further evidence on the impact of economic news on interest rates 0 0 0 56 3 5 12 220
Further evidence on the impact of economic news on interest rates 0 0 0 0 1 1 3 18
Further evidence on the impact of economic news on interest rates 0 0 0 39 2 2 7 158
Further evidence on the impact of economic news on interest rates 0 0 0 10 1 2 5 49
Identifying and Explaining the Number of Regimes Driving Asset Returns 0 0 0 12 1 1 2 38
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 6 102
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 1 32 3 6 13 73
Martingalized Historical approach for Option Pricing 0 0 0 24 1 1 8 127
Martingalized Historical approach for Option Pricing 0 0 0 33 2 3 7 124
Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations 0 0 0 26 2 2 9 113
Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results 0 0 0 87 1 1 3 227
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology 0 0 0 61 2 2 8 168
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 48 1 2 8 172
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 11 3 3 7 63
Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology 0 0 1 73 5 6 12 174
Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results 0 0 0 105 2 10 23 268
Option pricing with discrete time jump processes 0 0 0 12 1 1 5 181
Option pricing with discrete time jump processes 0 0 0 18 2 3 7 77
Option pricing with discrete time jump processes 0 0 0 35 1 1 14 198
Option pricing with discrete time jump processes 0 0 0 0 2 3 6 35
Testing for Leverage Effect in Financial Returns 0 0 0 78 4 5 15 308
Testing for Leverage Effects in the Returns of US Equities 0 1 1 3 1 2 5 41
Testing for Leverage Effects in the Returns of US Equities 0 0 0 47 4 6 13 128
Testing for leverage effects in the returns of US equities 0 0 0 0 0 2 2 23
The Number of Regimes Across Asset Returns: Identification and Economic Value 0 0 0 33 2 2 6 108
The contribution of jumps to forecasting the density of returns 0 0 0 39 0 0 8 63
The contribution of jumps to forecasting the density of returns 0 0 0 57 3 3 10 54
Understanding momentum in commodity markets 0 0 0 0 2 2 5 40
Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate 0 0 0 0 2 3 7 23
Yield curve reaction to macroeconomic news in Europe:disentangling the US influence 0 0 0 273 3 3 6 1,377
Total Working Papers 0 1 3 1,432 69 103 303 5,834

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 6 2 6 11 47
Commodity markets through the business cycle 0 0 0 20 3 5 15 88
Common risk factors in commodities 1 1 3 272 8 10 24 1,000
Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production 0 0 0 8 1 2 4 46
Cross-market linkages between commodities, stocks and bonds 0 0 1 33 1 2 9 112
Empirical bias in intraday volatility measures 0 0 0 17 3 4 10 88
Equity, credit and the business cycle 0 0 0 19 1 2 8 98
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 0 3 35 4 7 17 133
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 0 1 1 4 92
Forecasting the European Credit Cycle Using Macroeconomic Variables 0 0 0 0 3 3 4 51
Forward Rates, Monetary Policy and the Economic Cycle 0 0 0 3 5 5 9 34
Further Evidence on the Impact of Economic News on Interest Rates 0 0 0 8 2 5 12 71
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 1 3 3 3 13 28
Investigating the leverage effect in commodity markets with a recursive estimation approach 0 0 0 28 5 6 21 144
Martingalized historical approach for option pricing 0 0 0 17 3 6 12 111
Mean-reversion properties of implied volatilities 0 0 0 18 4 6 12 122
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 6 3 4 12 56
Option pricing with discrete time jump processes 0 0 0 17 5 6 18 93
Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event 0 0 0 51 5 10 20 230
Sector spillovers in credit markets 1 1 2 18 2 3 12 123
THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE 0 0 0 2 0 1 9 29
Testing for leverage effects in the returns of US equities 0 0 0 3 1 3 11 37
Twenty years of jumps in commodity markets 0 0 0 18 0 0 8 91
Understanding momentum in commodity markets 0 0 0 24 2 4 17 82
Volatility spillovers in commodity markets 0 0 1 61 1 3 18 165
Total Journal Articles 2 2 11 687 68 107 310 3,171
2 registered items for which data could not be found
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Statistics updated 2026-05-06