Details about Pierre Giot

Access statistics for papers by Pierre Giot.

Last updated 2023-03-16. Update your information in the RePEc Author Service.

Short-id: pgi19

Working Papers

2011

1. On the statistical and economic performance of stock return predictive regression models: an international perspective
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (9)
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (9)
   See also Journal Article On the statistical and economic performance of stock return predictive regression models: an international perspective, Quantitative Finance, Taylor & Francis Journals (2011) View citations (9) (2011)

2010

2. Trading activity, realized volatility and jumps
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (90)
   See also Journal Article Trading activity, realized volatility and jumps, Journal of Empirical Finance, Elsevier (2010) View citations (98) (2010)
3. Volatility regimes and liquidity co-movements in cap-based portfolios
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
   Also in Post-Print, HAL (2010) View citations (1)
   See also Journal Article Volatility regimes and liquidity co-movements in cap-based portfolios, Finance, Presses universitaires de Grenoble (2010) View citations (1) (2010)

2009

4. Commonalities in the order book
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (15)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (2)
   Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) View citations (5)
   CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) (2009) View citations (17)
   See also Journal Article Commonalities in the order book, Financial Markets and Portfolio Management, Springer (2009) View citations (15) (2009)
5. L'irrésistible ascension de la finance comportementale
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
6. Short-term market timing using the bond-equity yield ratio
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) View citations (2)
   See also Journal Article Short-term market timing using the bond-equity yield ratio, The European Journal of Finance, Taylor & Francis Journals (2009) View citations (3) (2009)
7. The moments of Log-ACD models
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (21)
8. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
   Also in Post-Print, HAL (2009) View citations (1)
   See also Journal Article Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext, Global Finance Journal, Elsevier (2009) View citations (1) (2009)

2007

9. An International Analysis of Earnings, Stock Prices and Bond Yields
   Post-Print, HAL View citations (6)
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2007) View citations (2)
   Post-Print, HAL (2005) View citations (7)
   Working Paper Series, European Central Bank (2005) View citations (14)
   Working Paper Research, National Bank of Belgium (2005) View citations (10)
   See also Journal Article An International Analysis of Earnings, Stock Prices and Bond Yields, Journal of Business Finance & Accounting, Wiley Blackwell (2007) View citations (2) (2007)
10. IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (103)
    Also in Finance, University Library of Munich, Germany (2003) View citations (8)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (1)
    See also Journal Article IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis, Journal of Banking & Finance, Elsevier (2007) View citations (107) (2007)
11. The information content of the Bond-Equity Yield Ratio: Better than a random walk?
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006)
    See also Journal Article The information content of the Bond-Equity Yield Ratio: Better than a random walk?, International Journal of Forecasting, Elsevier (2007) View citations (2) (2007)

2006

12. Appraising the Fed model: An international analysis of earnings, stock prices and bond yields
    Post-Print, HAL
13. How large is liquidity risk in an automated auction market?
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (10)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) View citations (4)
    University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen (2002) View citations (3)
    See also Journal Article How large is liquidity risk in an automated auction market?, Empirical Economics, Springer (2006) View citations (10) (2006)
14. International stock return predictability: statistical evidence and economic significance
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
15. Les oeuvres d'art comme placements financiers: le cas de l'art moderne classique et de ses différents courants
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
16. Market-wide liquidity co-movements, volatility regimes and market cap sizes
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
17. Volatility regimes and the provision of liquidity in order book markets
    Post-Print, HAL
    Also in Post-Print, HAL (2005) View citations (2)
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2004) View citations (1)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) View citations (3)
    Post-Print, HAL (2005) View citations (2)
    Post-Print, HAL (2006)

2005

18. Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
19. Implied volatility indexes and daily Value at Risk models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (33)
20. Market risk models for intraday data
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (55)
    See also Journal Article Market risk models for intraday data, The European Journal of Finance, Taylor & Francis Journals (2005) View citations (59) (2005)
21. News announcements, market activity and volatility in the euro/dollar foreign exchange market
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (37)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (6)
    See also Journal Article News announcements, market activity and volatility in the euro/dollar foreign exchange market, Journal of International Money and Finance, Elsevier (2005) View citations (118) (2005)
22. Relationships between implied volatility indexes and stock index return. Are implied volatility indexes leading indicators?
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
23. Stocks, bonds and the equity risk premium: Some recent academic perspectives
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
24. Volatility Regimes, Order Books and Liquidity: The case of Euronext
    Post-Print, HAL

2004

25. A comparison of financial duration models via density forecast
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (85)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) View citations (12)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (31)
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2004) View citations (85)
    See also Journal Article A comparison of financial duration models via density forecasts, International Journal of Forecasting, Elsevier (2004) View citations (94) (2004)
26. Forecasting the Bond-Equity Yield Ratio Using Regime Switching and Cointegration Models: An international Comparison
    Computing in Economics and Finance 2004, Society for Computational Economics
27. How does liquidity react to stress periods in a limit order market?
    Working Paper Research, National Bank of Belgium View citations (4)
28. Modelling daily Value-at-Risk using realized volatility and ARCH type models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (182)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2001) View citations (6)
    Computing in Economics and Finance 2002, Society for Computational Economics (2002) View citations (1)
    See also Journal Article Modelling daily Value-at-Risk using realized volatility and ARCH type models, Journal of Empirical Finance, Elsevier (2004) View citations (226) (2004)

2003

29. Asymmetric ACD models: Introducing price information in ACD models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (43)
    See also Journal Article Asymmetric ACD models: Introducing price information in ACD models, Empirical Economics, Springer (2003) View citations (54) (2003)
30. Market risk in commodity markets: a VaR approach
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (144)
    Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2003) View citations (125)
    See also Journal Article Market risk in commodity markets: a VaR approach, Energy Economics, Elsevier (2003) View citations (132) (2003)
31. The Asian financial crisis: the start of a regime switch in volatility
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)
32. The information content of implied volatility in agricultural commodity markets
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (42)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2002) View citations (4)
    See also Journal Article The information content of implied volatility in agricultural commodity markets, Journal of Futures Markets, John Wiley & Sons, Ltd. (2003) View citations (34) (2003)
33. The information content of implied volatility indexes for forecasting volatility and market risk
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (17)
34. Value-at-Risk for long and short trading positions
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (154)
    Also in Computing in Economics and Finance 2001, Society for Computational Economics (2001) View citations (2)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) View citations (3)
    See also Journal Article Value-at-risk for long and short trading positions, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2003) View citations (205) (2003)

2002

35. Implied volatility indices as leading indicators of stock index returns ?
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (4)

2001

36. Time transformations, intraday data, and volatility models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (3)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (18)

2000

37. Intraday value-at-risk
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
38. Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
39. The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (175)
    See also Journal Article The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks, Annals of Economics and Statistics, GENES (2000) View citations (192) (2000)

1999

40. Co-integration and leadership in the European off-season fresh fruit market
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

1998

41. Asymmetric ACD models: introducing price information in ACD models with a two state transition model
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
42. Gibbs sampling approach to cointegration
    LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
    Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1997) View citations (4)

1997

43. The logarithmic ACD model: an application to market microstructure and NASDAQ
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)

Journal Articles

2017

1. Private equity fundraising and firm specialization
   The Quarterly Review of Economics and Finance, 2017, 64, (C), 259-274 View citations (2)

2014

2. Are novice private equity funds risk-takers? Evidence from a comparison with established funds
   Journal of Corporate Finance, 2014, 27, (C), 55-71 View citations (9)

2011

3. On the statistical and economic performance of stock return predictive regression models: an international perspective
   Quantitative Finance, 2011, 11, (2), 175-193 View citations (9)
   See also Working Paper On the statistical and economic performance of stock return predictive regression models: an international perspective, LIDAM Reprints CORE (2011) View citations (9) (2011)

2010

4. Trading activity, realized volatility and jumps
   Journal of Empirical Finance, 2010, 17, (1), 168-175 View citations (98)
   See also Working Paper Trading activity, realized volatility and jumps, LIDAM Reprints CORE (2010) View citations (90) (2010)
5. Volatility regimes and liquidity co-movements in cap-based portfolios
   Finance, 2010, 31, (1), 55-79 View citations (1)
   See also Working Paper Volatility regimes and liquidity co-movements in cap-based portfolios, LIDAM Reprints CORE (2010) (2010)

2009

6. Commonalities in the order book
   Financial Markets and Portfolio Management, 2009, 23, (3), 209-242 View citations (15)
   See also Working Paper Commonalities in the order book, LIDAM Reprints CORE (2009) View citations (15) (2009)
7. Short-term market timing using the bond-equity yield ratio
   The European Journal of Finance, 2009, 15, (4), 365-384 View citations (3)
   See also Working Paper Short-term market timing using the bond-equity yield ratio, LIDAM Reprints CORE (2009) View citations (6) (2009)
8. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext
   Global Finance Journal, 2009, 20, (1), 80-97 View citations (1)
   See also Working Paper Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext, LIDAM Reprints CORE (2009) View citations (1) (2009)

2007

9. An International Analysis of Earnings, Stock Prices and Bond Yields
   Journal of Business Finance & Accounting, 2007, 34, (3‐4), 613-641 View citations (2)
   See also Working Paper An International Analysis of Earnings, Stock Prices and Bond Yields, Post-Print (2007) View citations (6) (2007)
10. IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis
    Journal of Banking & Finance, 2007, 31, (3), 679-702 View citations (107)
    See also Working Paper IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis, LIDAM Reprints CORE (2007) View citations (103) (2007)
11. The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
    Journal of Futures Markets, 2007, 27, (4), 337-359 View citations (41)
12. The information content of the Bond-Equity Yield Ratio: Better than a random walk?
    International Journal of Forecasting, 2007, 23, (2), 289-305 View citations (2)
    See also Working Paper The information content of the Bond-Equity Yield Ratio: Better than a random walk?, LIDAM Reprints CORE (2007) View citations (2) (2007)

2006

13. How large is liquidity risk in an automated auction market?
    Empirical Economics, 2006, 30, (4), 867-887 View citations (10)
    See also Working Paper How large is liquidity risk in an automated auction market?, LIDAM Reprints CORE (2006) View citations (10) (2006)

2005

14. Market risk models for intraday data
    The European Journal of Finance, 2005, 11, (4), 309-324 View citations (59)
    See also Working Paper Market risk models for intraday data, LIDAM Reprints CORE (2005) View citations (55) (2005)
15. News announcements, market activity and volatility in the euro/dollar foreign exchange market
    Journal of International Money and Finance, 2005, 24, (7), 1108-1125 View citations (118)
    See also Working Paper News announcements, market activity and volatility in the euro/dollar foreign exchange market, LIDAM Reprints CORE (2005) View citations (37) (2005)

2004

16. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 View citations (94)
    See also Working Paper A comparison of financial duration models via density forecast, ULB Institutional Repository (2004) View citations (85) (2004)
17. Modelling daily Value-at-Risk using realized volatility and ARCH type models
    Journal of Empirical Finance, 2004, 11, (3), 379-398 View citations (226)
    See also Working Paper Modelling daily Value-at-Risk using realized volatility and ARCH type models, LIDAM Reprints CORE (2004) View citations (182) (2004)

2003

18. Asymmetric ACD models: Introducing price information in ACD models
    Empirical Economics, 2003, 28, (4), 709-731 View citations (54)
    See also Working Paper Asymmetric ACD models: Introducing price information in ACD models, LIDAM Reprints CORE (2003) View citations (43) (2003)
19. Market Models: A Guide to Financial Data Analysis
    Journal of Financial Econometrics, 2003, 1, (3), 471-473
20. Market risk in commodity markets: a VaR approach
    Energy Economics, 2003, 25, (5), 435-457 View citations (132)
    See also Working Paper Market risk in commodity markets: a VaR approach, LIDAM Discussion Papers CORE (2003) View citations (144) (2003)
21. The information content of implied volatility in agricultural commodity markets
    Journal of Futures Markets, 2003, 23, (5), 441-454 View citations (34)
    See also Working Paper The information content of implied volatility in agricultural commodity markets, LIDAM Reprints CORE (2003) View citations (42) (2003)
22. Value-at-risk for long and short trading positions
    Journal of Applied Econometrics, 2003, 18, (6), 641-663 View citations (205)
    See also Working Paper Value-at-Risk for long and short trading positions, LIDAM Reprints CORE (2003) View citations (154) (2003)

2000

23. The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
    Annals of Economics and Statistics, 2000, (60), 117-149 View citations (192)
    See also Working Paper The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks, LIDAM Reprints CORE (2000) View citations (175) (2000)