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International stock return predictability : statistical evidence and economic significance

Giot, Pierre (contributor); Petitjean, Mikael (contributor) - 2006

Persistent link: https://www.econbiz.de/10003386818

Short-term market timing using the Bond-Equity Yield Ratio

Giot, Pierre (contributor); Petitjean, Mikael (contributor) - 2006

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Implied volatility indexes and daily value at risk models

Giot, Pierre - In: The journal of derivatives : the official publication … 12 (2004) 4, pp. 54-64

Persistent link: https://www.econbiz.de/10003010792

The performance of popular stochastic volatility option pricing models during the subprime crisis

Moyaert, Thibaut; Petitjean, Mikael - In: Applied financial economics 21 (2011) 13/15, pp. 1059-1068

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Intraday liquidity dynamics and news releases around price jumps : evidence from the DJIA stocks

Boudt, Kris; Petitjean, Mikael - In: Journal of financial markets 17 (2014), pp. 121-149

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Intraday Liquidity Dynamics and News Releases around Price Jumps : Evidence from the DJIA Stocks

Boudt, Kris - 2016

We study the dynamics of liquidity around jumps by identifying their exact intraday timing and retrieve all macroeconomic and firm-specific news for the 30 constituents of the Dow Jones Industrial Average index. We match around a third of the jumps with macroeconomic news announcements, while...

Persistent link: https://www.econbiz.de/10013008757