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Details about Pierre Giot

E-mail:
Homepage:http://www.core.ucl.ac.be/econometrics/giot.htm
Phone:+3281724887
Postal address:University of Namur Dpt. of Business Administration Rempart de la Vierge 8 B-5000 Namur, Belgium
Workplace:Center for Operations Research and Econometrics (CORE), École des Sciences Économiques de Louvain (Economics School of Louvain), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC)
Center for Research in Finance and Management (CeReFiM), Faculté des Sciences Économiques, Sociales et de Gestion (FSESG) (Faculty of Economics, Social Sciences and Business Administration), Université de Namur (University of Namur), (more information at EDIRC)

Access statistics for papers by Pierre Giot.

Last updated 2011-10-26. Update your information in the RePEc Author Service.

Short-id: pgi19


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Working Papers

2009

  1. Commonalities in the order book
    CFR Working Papers, University of Cologne, Centre for Financial Research (CFR) Downloads View citations (6)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2005) Downloads
    Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2005) Downloads View citations (3)

    See also Journal Article in Financial Markets and Portfolio Management (2009)

2006

  1. International stock return predictability: statistical evidence and economic significance
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)
  2. Market-wide liquidity co-movements, volatility regimes and market cap sizes
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  3. Short-term market timing using the Bond-Equity Yield Ratio
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    See also Journal Article in The European Journal of Finance (2009)
  4. The information content of the Bond-Equity Yield Ratio: better than a random walk?
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    See also Journal Article in International Journal of Forecasting (2007)

2005

  1. An international analysis of earnings, stock prices and bond yields
    Working Paper Research, National Bank of Belgium Downloads View citations (5)
    See also Journal Article in Journal of Business Finance & Accounting (2007)
  2. Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield Ratio
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
  3. IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    Also in Finance, University Library of Munich, Germany (2003) Downloads View citations (2)

    See also Journal Article in Journal of Banking & Finance (2007)
  4. Volatility regimes and the provision of liquidity in order book markets
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
    Also in Discussion Papers (ECON - Département des Sciences Economiques), Université catholique de Louvain, Département des Sciences Economiques (2004) Downloads View citations (1)

2004

  1. 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
  2. How does liquidity react to stress periods in a limit order market?
    Working Paper Research, National Bank of Belgium Downloads View citations (3)

2003

  1. Market risk in commodity markets: a VaR approach
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (96)
    See also Journal Article in Energy Economics (2003)
  2. The Asian financial crisis: the start of a regime switch in volatility
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)
  3. The information content of implied volatility indexes for forecasting volatility and market risk
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (9)
  4. The moments of Log-ACD models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (16)

2002

  1. How large is liquidity risk in an automated auction market ?
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
    Also in University of St. Gallen Department of Economics working paper series 2002, Department of Economics, University of St. Gallen (2002) Downloads View citations (2)

    See also Journal Article in Empirical Economics (2006)
  2. Implied volatility indices as leading indicators of stock index returns ?
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (2)
  3. Modelling Daily Value-at-Risk Using Realized Volatility and ARCH Type Models
    Computing in Economics and Finance 2002, Society for Computational Economics
    See also Journal Article in Journal of Empirical Finance (2004)
  4. The information content of implied volatility in agricultural commodity markets
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)

2001

  1. VALUE-AT-RISK FOR LONG AND SHORT TRADING POSITIONS
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (1)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2001) Downloads View citations (2)

    See also Journal Article in Journal of Applied Econometrics (2003)

2000

  1. A Comparison of Financial Duration Models via Density Forecasts
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society Downloads View citations (29)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2000) Downloads View citations (7)

    See also Journal Article in International Journal of Forecasting (2004)
  2. Intraday value-at-risk
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)

1999

  1. Co-integration and leadership in the European off-season fresh fruit market
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  2. Time transformations, intraday data and volatility models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (17)

1998

  1. Asymmetric ACD models: introducing price information in ACD models with a two state transition model
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (3)

1997

  1. A Gibbs sampling approach to cointegration
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (4)
  2. The logarithmic ACD model: an application to market microstructure and NASDAQ
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)

Journal Articles

2011

  1. On the statistical and economic performance of stock return predictive regression models: an international perspective
    Quantitative Finance, 2011, 11, (2), 175-193 Downloads View citations (8)

2010

  1. Trading activity, realized volatility and jumps
    Journal of Empirical Finance, 2010, 17, (1), 168-175 Downloads View citations (46)

2009

  1. Commonalities in the order book
    Financial Markets and Portfolio Management, 2009, 23, (3), 209-242 Downloads View citations (4)
    See also Working Paper (2009)
  2. Short-term market timing using the bond-equity yield ratio
    The European Journal of Finance, 2009, 15, (4), 365-384 Downloads View citations (1)
    See also Working Paper (2006)
  3. Volatility regimes and order book liquidity: Evidence from the Belgian segment of Euronext
    Global Finance Journal, 2009, 20, (1), 80-97 Downloads

2007

  1. An International Analysis of Earnings, Stock Prices and Bond Yields
    Journal of Business Finance & Accounting, 2007, 34, (3-4), 613-641 Downloads View citations (6)
    See also Working Paper (2005)
  2. IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis
    Journal of Banking & Finance, 2007, 31, (3), 679-702 Downloads View citations (58)
    See also Working Paper (2005)
  3. The information content of the Bond-Equity Yield Ratio: Better than a random walk?
    International Journal of Forecasting, 2007, 23, (2), 289-305 Downloads View citations (2)
    See also Working Paper (2006)

2006

  1. How large is liquidity risk in an automated auction market?
    Empirical Economics, 2006, 30, (4), 867-887 Downloads View citations (8)
    See also Working Paper (2002)

2005

  1. Market risk models for intraday data
    The European Journal of Finance, 2005, 11, (4), 309-324 Downloads View citations (41)
  2. News announcements, market activity and volatility in the euro/dollar foreign exchange market
    Journal of International Money and Finance, 2005, 24, (7), 1108-1125 Downloads View citations (92)

2004

  1. A comparison of financial duration models via density forecasts
    International Journal of Forecasting, 2004, 20, (4), 589-609 Downloads View citations (72)
    See also Working Paper (2000)
  2. Modelling daily Value-at-Risk using realized volatility and ARCH type models
    Journal of Empirical Finance, 2004, 11, (3), 379-398 Downloads View citations (172)
    See also Working Paper (2002)

2003

  1. Asymmetric ACD models: Introducing price information in ACD models
    Empirical Economics, 2003, 28, (4), 709-731 Downloads View citations (39)
  2. Market Models: A Guide to Financial Data Analysis
    Journal of Financial Econometrics, 2003, 1, (3), 471-473
  3. Market risk in commodity markets: a VaR approach
    Energy Economics, 2003, 25, (5), 435-457 Downloads View citations (96)
    See also Working Paper (2003)
  4. Value-at-risk for long and short trading positions
    Journal of Applied Econometrics, 2003, 18, (6), 641-663 Downloads View citations (161)
    See also Working Paper (2001)
 
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