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Predicting issuer credit ratings using a semiparametric method
Giot, Pierre; Laurent, Sébastien; Petitjean, Mikael - In: Journal of empirical finance 17 (2010) 1, pp. 120-138
Persistent link: https://www.econbiz.de/10008349675
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Volatility regimes and liquidity co-movements in cap-based portfolios
Beaupain, Renaud; Giot, Pierre; Petitjean, Mikael - In: Finance : revue de l'Association Française de Finance 31 (2010) 1, pp. 55-79
Persistent link: https://www.econbiz.de/10009918930
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Short-term market timing using the bond-equity yield ratio
Giot, Pierre; Petitjean, Mikael - In: The European journal of finance 15 (2009) 3-4, pp. 365-384
Persistent link: https://www.econbiz.de/10008275566
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Market risk in commodity markets: a VaR approach
Giot, Pierre; Laurent, Sébastien - In: Energy economics 25 (2003) 5, pp. 435-458
Persistent link: https://www.econbiz.de/10007654726
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Value-at-risk for long and short trading positions
Giot, Pierre; Laurent, Sébastien - In: Journal of applied econometrics 18 (2003) 6, pp. 641-664
Persistent link: https://www.econbiz.de/10006966137
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Modelling daily Value-at-Risk using realized volatility and ARCH type models
Giot, Pierre; Laurent, Sébastien - In: Journal of empirical finance 11 (2004) 3, pp. 379-398
Persistent link: https://www.econbiz.de/10007230369
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The information content of implied volatility in light of the jump-continuous decomposition of realized volatility
Giot, Pierre; Laurent, Sébastien - In: The journal of futures markets 27 (2007) 4, pp. 337-360
Persistent link: https://www.econbiz.de/10007609382
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The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
DUVINAGE, MATTHIEU; MAZZA, PAOLO; PETITJEAN, MIKAEL - In: Quantitative finance 13 (2013) 7, pp. 1059-1070
Persistent link: https://www.econbiz.de/10010141822
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De l'(in)utilité des agences de notation - Regards économiques
Petitjean, Mikael - In: Problèmes économiques : le meilleur de la presse et … (2012) 3057, pp. 56-55
Persistent link: https://www.econbiz.de/10010062717
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The performance of popular stochastic volatility option pricing models during the subprime crisis
Moyaert, Thibaut; Petitjean, Mikael - In: Applied financial economics 21 (2011) 14, pp. 1059-1069
Persistent link: https://www.econbiz.de/10009178759