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Details about Christian de Peretti

Homepage:https://isfa.univ-lyon1.fr/recherche/membres-du-laboratoire/
Phone:+33 (0)6 19 16 47 65
Postal address:Ecole Centrale de Lyon Département C.L.E.S. 36 avenue Guy de Collongue F-69134 Ecully cedex France.
Workplace:Institut de Science Financière et d'Assurances (École ISFA) (French School of Actuarial and Management Studies), Université Claude Bernard (Lyon 1) (Claude Bernanrd University of Lyon), (more information at EDIRC)

Access statistics for papers by Christian de Peretti.

Last updated 2024-04-07. Update your information in the RePEc Author Service.

Short-id: pde507


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Working Papers

2022

  1. Does economic policy uncertainty matter for the co-movements between precious metals and BRICS stock markets: A cross-quantilogram approach
    Working Papers, HAL
  2. On the performances of Dynamic Conditional Correlation models in the Sovereign CDS market and the corresponding bond market
    Post-Print, HAL Downloads

2021

  1. Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches
    Post-Print, HAL Downloads View citations (9)
    See also Journal Article Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches, Resources Policy, Elsevier (2021) Downloads View citations (10) (2021)

2020

  1. Is the role of precious metals as precious as they are? Revisiting the role of precious metals for the G-7 stock markets: A multivariate vine copula and BiVaR approaches
    Working Papers, HAL Downloads View citations (1)

2019

  1. International risk spillover in the sovereign credit markets: An empirical analysis
    Post-Print, HAL Downloads View citations (2)
  2. On the Informational Market Efficiency of the Worldwide Sovereign Credit Default Swap
    Post-Print, HAL Downloads
  3. The Impact of the Exchange Rate Volatilities on Stock Market Returns Dynamic
    Working Papers, HAL Downloads View citations (4)

2018

  1. A New Approach in Nonparametric Estimation of Returns in Mean-DownSide Risk Portfolio frontier
    Post-Print, HAL Downloads
    Also in Post-Print, HAL (2015) View citations (1)
  2. Are financial markets efficient at a high frequency? A neural network and Pattern recognition analysis
    Post-Print, HAL
  3. Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
    Post-Print, HAL Downloads View citations (6)
    See also Journal Article Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier, Annals of Operations Research, Springer (2018) Downloads View citations (8) (2018)
  4. The Credit Default Swap market contagion during recent crises: International evidence
    Post-Print, HAL Downloads View citations (2)
    See also Journal Article The Credit Default Swap market contagion during recent crises: international evidence, Review of Quantitative Finance and Accounting, Springer (2019) Downloads View citations (5) (2019)
  5. The role of political patronage on risk-taking behavior of banks in Middle East and North Africa region
    Working Papers, HAL Downloads

2017

  1. Claims reserving modelling with a novel dynamic Generalized Autoregressive Conditional Sinistrality Model
    Post-Print, HAL
  2. Do political connections affect banks' leverage? Evidence from some MENA countries
    Post-Print, HAL
  3. Do political connections affect banks' leverage? Evidence from some Middle Eastern and North African countries
    Working Papers, HAL Downloads View citations (1)
    See also Journal Article Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries, Journal of Management & Governance, Springer (2019) Downloads View citations (4) (2019)
  4. The Volatility Spillover Effect between Index Options and their Underlying Markets: Evidence from the US, the UK, and Taiwan
    Post-Print, HAL
  5. “Reserve modelling and the aggregation of risks using time varying copula models
    Post-Print, HAL View citations (3)

2016

  1. A cost-effectiveness analysis of the ZIRA test in breast cancer
    Post-Print, HAL
  2. Conditional Mean-Variance and Mean-Semivariance models in portfolio optimization
    Working Papers, HAL Downloads View citations (1)
    Also in Working Papers, HAL (2016) Downloads View citations (1)
  3. Does derivative instruments use increase accounting performance of banks in emerging and recently developed countries
    Post-Print, HAL View citations (1)
  4. Predictive models to estimate utility from clinical questionnaires in ă schizophrenia: findings from EuroSC
    Post-Print, HAL
  5. Pricing Perpetual Turbo-Warrants
    Post-Print, HAL
  6. Solvency capital requirement for a temporal dependent losses in insurance
    Post-Print, HAL View citations (3)

2015

  1. Le traitement de l’incertitude dans les évaluations médico-économiques
    Post-Print, HAL
  2. Median-Based Nonparametric Estimation of Returns in Mean-Down Side Risk Portfolio Frontier
    Post-Print, HAL View citations (1)
  3. The Effect of Derivative Instrument Use on stock return performance: Evidence from Banks in Emerging and Recently Developed Countries
    Post-Print, HAL

2014

  1. Effect of the Use of Derivative Instruments on Bank’s Performance: Evidence from Emerging and Recently Developed Countries
    Post-Print, HAL

2011

  1. A Nonlinear Panel Unit Root Test under Cross Section Dependence
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (16)
    Also in Working Papers, Business School - Economics, University of Glasgow (2009) View citations (14)
    Working Papers, Business School - Economics, University of Glasgow (2008) View citations (12)
    Working Papers, Business School - Economics, University of Glasgow (2011) Downloads View citations (15)
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne (2007) Downloads View citations (3)
  2. Pegfilgrastim versus Filgrastim after high-dose chemotherapy and autologous stem cell transplantation in adult patients with lymphoma and myeloma: cost-effectiveness evaluation alongside a randomized controlled trial
    Post-Print, HAL

2010

  1. A Bootstrap Neural Network Based Heterogeneous Panel Unit Root Test: Application to Exchange Rates
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads
    Also in Working Papers, Business School - Economics, University of Glasgow (2010) Downloads

2009

  1. A strong hysteretic model of Okun's Law: Theory and a preliminary investigation
    Post-Print, HAL View citations (10)
    Also in Post-Print, HAL (2009) View citations (18)

    See also Journal Article A strong hysteretic model of Okun's Law: theory and a preliminary investigation, International Review of Applied Economics, Taylor & Francis Journals (2009) Downloads View citations (26) (2009)

2008

  1. Confidence Region for long memory based on Inverting Bootstrap Tests: an application to Stock Market Indices
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne Downloads
  2. Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: A Gap in the Literature? A New Proposal
    Documents de recherche, Centre d'Études des Politiques Économiques (EPEE), Université d'Evry Val d'Essonne Downloads
  3. Is the consumption-income ratio stationary? Evidence from a nonlinear panel unit root test for OECD and non-OECD countries
    Working Papers, Business School - Economics, University of Glasgow Downloads View citations (3)
  4. Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries
    SIRE Discussion Papers, Scottish Institute for Research in Economics (SIRE) Downloads View citations (1)
    See also Journal Article IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES, Manchester School, University of Manchester (2013) Downloads View citations (11) (2013)

2006

  1. Bootstrapping Neural tests for conditional heteroskedasticity
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads
  2. Graphical Methods for Investigating the Finite-sample Properties of Confidence Regions: an application to long memory
    Computing in Economics and Finance 2006, Society for Computational Economics Downloads

2004

  1. Stopping Tests in the Sequential Estimation for Multiple Structural Breaks
    Econometric Society 2004 Latin American Meetings, Econometric Society Downloads View citations (7)

2002

  1. unilateral and bilateral bootstrap tests for long memory
    Computing in Economics and Finance 2002, Society for Computational Economics

Journal Articles

2023

  1. Investor behavior in the currency option market during the COVID-19 pandemic
    The Journal of Economic Asymmetries, 2023, 28, (C) Downloads View citations (1)
  2. Political patronage and banks’ leverage in the Middle Eastern and North African region: A new neural panel regression analysis
    The Quarterly Review of Economics and Finance, 2023, 89, (C), 298-306 Downloads
  3. Pricing of European currency options considering the dynamic information costs
    Global Finance Journal, 2023, 58, (C) Downloads View citations (4)

2021

  1. Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches
    Resources Policy, 2021, 73, (C) Downloads View citations (10)
    See also Working Paper Is the role of precious metals as precious as they are? A vine copula and BiVaR approaches, Post-Print (2021) Downloads View citations (9) (2021)

2020

  1. Dynamics and causality in distribution between spot and future precious metals: A copula approach
    Resources Policy, 2020, 66, (C) Downloads View citations (18)
  2. The role of political patronage in the risk-taking behaviour of banks in the Middle East and North Africa
    Research in International Business and Finance, 2020, 53, (C) Downloads View citations (3)

2019

  1. Do political connections affect bank leverage? Evidence from some Middle Eastern and North African countries
    Journal of Management & Governance, 2019, 23, (4), 989-1006 Downloads View citations (4)
    See also Working Paper Do political connections affect banks' leverage? Evidence from some Middle Eastern and North African countries, Working Papers (2017) Downloads View citations (1) (2017)
  2. Nonlinearities in the oil effects on the sovereign credit risk: A self-exciting threshold autoregression approach
    Research in International Business and Finance, 2019, 50, (C), 106-133 Downloads View citations (4)
  3. The Credit Default Swap market contagion during recent crises: international evidence
    Review of Quantitative Finance and Accounting, 2019, 53, (1), 1-46 Downloads View citations (5)
    See also Working Paper The Credit Default Swap market contagion during recent crises: International evidence, Post-Print (2018) Downloads View citations (2) (2018)

2018

  1. Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier
    Annals of Operations Research, 2018, 262, (2), 653-681 Downloads View citations (8)
    See also Working Paper Mean and median-based nonparametric estimation of returns in mean-downside risk portfolio frontier, Post-Print (2018) Downloads View citations (6) (2018)

2013

  1. Effect of the Use of Derivative Instruments on Accounting Risk: Evidence from Banks in Emerging and Recently Developed Countries
    Annals of Economics and Finance, 2013, 14, (1), 169-178 Downloads View citations (1)
  2. IS THE CONSUMPTION–INCOME RATIO STATIONARY? EVIDENCE FROM LINEAR AND NON-LINEAR PANEL UNIT ROOT TESTS FOR OECD AND NON-OECD COUNTRIES
    Manchester School, 2013, 81, (1), 102-120 Downloads View citations (11)
    See also Working Paper Is the consumption-income ratio stationary? Evidence from linear and nonlinear panel unit root tests for OECD and non-OECD countries, SIRE Discussion Papers (2008) Downloads View citations (1) (2008)

2012

  1. Empirical test of the efficiency of the UK covered warrants market: Stochastic dominance and likelihood ratio test approach
    Journal of Empirical Finance, 2012, 19, (1), 162-174 Downloads View citations (59)

2010

  1. Graphical methods for investigating the finite-sample properties of confidence regions
    Computational Statistics & Data Analysis, 2010, 54, (2), 262-271 Downloads View citations (2)

2009

  1. A strong hysteretic model of Okun's Law: theory and a preliminary investigation
    International Review of Applied Economics, 2009, 23, (4), 445-462 Downloads View citations (26)
    See also Working Paper A strong hysteretic model of Okun's Law: Theory and a preliminary investigation, Post-Print (2009) View citations (10) (2009)

2007

  1. Analysing the performance of bootstrap neural tests for conditional heteroskedasticity in ARCH-M models
    Computational Statistics & Data Analysis, 2007, 51, (5), 2442-2460 Downloads View citations (2)

2004

  1. Neural Tests for Conditional Heteroskedasticity in ARCH-M Models
    Studies in Nonlinear Dynamics & Econometrics, 2004, 8, (3), 24 Downloads View citations (1)

2003

  1. Bilateral Bootstrap Tests for Long Memory: An Application to the Silver Market
    Computational Economics, 2003, 22, (2), 187-212 Downloads View citations (9)
 
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