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 11 66
An econometric specification of monetary policy dark art 0 0 0 54 1 3 5 237
Commodity Markets through the business cycle 0 0 0 3 1 2 5 12
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 12 0 2 3 59
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 3 0 1 1 25
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 85 0 1 3 412
Forecasting the density of oil futures 0 0 0 26 0 6 10 100
Further evidence on the impact of economic news on interest 0 0 0 36 0 1 1 135
Further evidence on the impact of economic news on interest rates 0 0 0 10 1 1 1 40
Further evidence on the impact of economic news on interest rates 0 0 0 0 0 0 5 9
Further evidence on the impact of economic news on interest rates 0 0 0 56 0 1 3 189
Identifying and Explaining the Number of Regimes Driving Asset Returns 0 0 0 12 1 1 2 27
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 0 0 0 51
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes 0 0 0 31 1 1 3 88
Martingalized Historical approach for Option Pricing 0 0 0 22 1 2 35 112
Martingalized Historical approach for Option Pricing 0 0 0 33 0 1 43 111
Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations 0 0 0 26 0 20 26 92
Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results 0 0 0 83 0 0 1 213
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology 0 0 0 60 1 2 7 150
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 10 1 2 4 47
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 48 1 2 4 155
Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology 0 0 0 72 1 4 5 150
Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results 0 0 2 99 0 2 6 223
Option pricing with discrete time jump processes 0 0 0 17 0 3 7 53
Option pricing with discrete time jump processes 0 0 0 12 0 3 113 164
Option pricing with discrete time jump processes 0 0 0 0 0 3 5 18
Option pricing with discrete time jump processes 0 0 0 35 0 3 6 163
Testing for Leverage Effect in Financial Returns 0 0 0 78 3 3 33 218
Testing for Leverage Effects in the Returns of US Equities 0 0 2 44 2 6 14 94
Testing for Leverage Effects in the Returns of US Equities 0 0 1 2 1 5 13 23
Testing for leverage effects in the returns of US equities 0 0 0 0 1 5 6 8
The Number of Regimes Across Asset Returns: Identification and Economic Value 0 1 2 32 1 4 5 91
The contribution of jumps to forecasting the density of returns 0 0 0 39 0 3 9 30
The contribution of jumps to forecasting the density of returns 0 0 0 55 0 1 9 33
Understanding momentum in commodity markets 0 0 0 0 1 4 7 27
Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate 0 0 0 0 1 3 3 10
Yield curve reaction to macroeconomic news in Europe:disentangling the US influence 0 0 0 270 1 2 14 1,277
Total Working Papers 0 1 7 1,396 21 103 428 4,912


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 1 1 3 3 1 4 9 10
Commodity markets through the business cycle 0 0 0 12 2 3 5 50
Common risk factors in commodities 3 11 21 212 11 38 103 752
Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production 0 0 0 7 0 1 1 29
Cross-market linkages between commodities, stocks and bonds 0 0 0 31 2 3 5 88
Empirical bias in intraday volatility measures 0 0 1 13 1 4 6 61
Equity, credit and the business cycle 0 0 0 19 1 2 4 81
Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function 0 1 7 24 0 1 11 90
Flexible time series models for subjective distribution estimation with monetary policy in view 0 0 0 0 1 2 8 78
Forecasting the European Credit Cycle Using Macroeconomic Variables 0 0 0 0 0 0 1 41
Forward Rates, Monetary Policy and the Economic Cycle 0 0 0 2 0 0 0 17
Further Evidence on the Impact of Economic News on Interest Rates 0 0 1 8 0 0 3 53
HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS 0 0 0 0 0 1 2 4
Investigating the leverage effect in commodity markets with a recursive estimation approach 0 1 7 19 3 8 23 61
Martingalized historical approach for option pricing 0 0 0 14 1 2 3 87
Mean-reversion properties of implied volatilities 0 0 0 14 1 1 1 88
Option pricing for GARCH-type models with generalized hyperbolic innovations 0 0 0 6 1 2 7 34
Option pricing with discrete time jump processes 0 0 0 14 0 4 7 57
Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event 0 0 0 50 0 4 5 192
Sector spillovers in credit markets 0 0 2 6 1 4 16 31
THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE 0 0 1 2 0 2 3 8
Testing for leverage effects in the returns of US equities 0 0 2 2 0 4 13 15
Twenty years of jumps in commodity markets 0 0 0 14 2 3 8 60
Understanding momentum in commodity markets 0 1 2 22 2 4 6 56
Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate 0 0 0 0 0 2 6 70
Volatility spillovers in commodity markets 0 0 0 45 1 2 4 102
“Time series momentum” in commodity markets 0 0 2 28 1 1 3 65
Total Journal Articles 4 15 49 567 32 102 263 2,280


Statistics updated 2019-12-03