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Details about Florian Ielpo

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Homepage:http://www.florian-ielpo.com
Workplace:Centre de recherche de mathématiques et économie mathématique (CERMSEM) (Center for Research in Mathematics and Mathematical Economics), Centre d'Économie de la Sorbonne (Sorbonne Economic Centre), Université Paris 1 (Panthéon-Sorbonne) (University of Paris 1), (more information at EDIRC)

Access statistics for papers by Florian Ielpo.

Last updated 2019-06-16. Update your information in the RePEc Author Service.

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Working Papers

2018

  1. Testing for leverage effects in the returns of US equities
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) Downloads View citations (1)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2017) Downloads

    See also Journal Article in Journal of Empirical Finance (2018)

2017

  1. The contribution of jumps to forecasting the density of returns
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) Downloads

2015

  1. A time series approach to option pricing: Models, Methods and Empirical Performances
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)

2014

  1. Commodity Markets through the business cycle
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    See also Journal Article in Quantitative Finance (2014)
  2. Forecasting the density of oil futures
    Working Papers, Department of Research, Ipag Business School Downloads View citations (4)
  3. Testing for Leverage Effect in Financial Returns
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (1)

2013

  1. Option pricing with discrete time jump processes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) View citations (4)

    See also Journal Article in Journal of Economic Dynamics and Control (2013)
  2. Understanding momentum in commodity markets
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article in Applied Economics Letters (2013)

2012

  1. Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (18)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads View citations (5)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (4)

    See also Journal Article in Quantitative Finance (2012)

2011

  1. Identifying and Explaining the Number of Regimes Driving Asset Returns
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  2. The Number of Regimes Across Asset Returns: Identification and Economic Value
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    See also Journal Article in International Journal of Theoretical and Applied Finance (IJTAF) (2014)

2010

  1. Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads View citations (2)
  2. Martingalized Historical approach for Option Pricing
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (13)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads

    See also Journal Article in Finance Research Letters (2010)

2009

  1. Further evidence on the impact of economic news on interest rates
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in MPRA Paper, University Library of Munich, Germany (2007) Downloads View citations (2)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) Downloads View citations (2)

    See also Journal Article in Frontiers in Finance and Economics (2009)
  2. Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article in The IUP Journal of Monetary Economics (2009)

2008

  1. Flexible time series models for subjective distribution estimation with monetary policy in view
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2007) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) Downloads

    See also Journal Article in Brussels Economic Review (2008)
  2. Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  3. Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads View citations (5)
  4. Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (6)

2007

  1. Further evidence on the impact of economic news on interest
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (6)
  2. Yield curve reaction to macroeconomic news in Europe:disentangling the US influence
    Working Papers CEB, ULB -- Universite Libre de Bruxelles Downloads View citations (2)

2006

  1. An econometric specification of monetary policy dark art
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)

Journal Articles

2018

  1. Sector spillovers in credit markets
    Journal of Banking & Finance, 2018, 94, (C), 267-278 Downloads View citations (1)
  2. Testing for leverage effects in the returns of US equities
    Journal of Empirical Finance, 2018, 48, (C), 290-306 Downloads View citations (1)
    See also Working Paper (2018)

2017

  1. Investigating the leverage effect in commodity markets with a recursive estimation approach
    Research in International Business and Finance, 2017, 39, (PB), 763-778 Downloads View citations (1)

2016

  1. An anatomy of global risk premiums
    Journal of Asset Management, 2016, 17, (4), 229-243 Downloads

2015

  1. Forward Rates, Monetary Policy and the Economic Cycle
    Journal of Forecasting, 2015, 34, (4), 241-260 Downloads View citations (1)

2014

  1. Commodity markets through the business cycle
    Quantitative Finance, 2014, 14, (9), 1597-1618 Downloads View citations (4)
    See also Working Paper (2014)
  2. Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production
    Australian Economic Review, 2014, 47, (2), 189-198 Downloads
  3. Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
    Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (3), 37 Downloads View citations (17)
  4. THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE
    International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (06), 1-25 Downloads View citations (1)
    See also Working Paper (2011)
  5. Twenty years of jumps in commodity markets
    International Review of Applied Economics, 2014, 28, (1), 64-82 Downloads View citations (6)
  6. “Time series momentum” in commodity markets
    Managerial Finance, 2014, 40, (7), 662-680 Downloads

2013

  1. Common risk factors in commodities
    Economics Bulletin, 2013, 33, (4), 2801-2816 Downloads
  2. Cross-market linkages between commodities, stocks and bonds
    Applied Economics Letters, 2013, 20, (10), 1008-1018 Downloads View citations (2)
  3. Forecasting the European Credit Cycle Using Macroeconomic Variables
    Journal of Forecasting, 2013, 32, (3), 226-246 View citations (2)
  4. Option pricing with discrete time jump processes
    Journal of Economic Dynamics and Control, 2013, 37, (12), 2417-2445 Downloads View citations (5)
    See also Working Paper (2013)
  5. Understanding momentum in commodity markets
    Applied Economics Letters, 2013, 20, (15), 1383-1402 Downloads
    See also Working Paper (2013)
  6. Volatility spillovers in commodity markets
    Applied Economics Letters, 2013, 20, (13), 1211-1227 Downloads View citations (12)

2012

  1. Empirical bias in intraday volatility measures
    Finance Research Letters, 2012, 9, (4), 231-237 Downloads View citations (3)
  2. Equity, credit and the business cycle
    Applied Financial Economics, 2012, 22, (12), 939-954 Downloads View citations (3)
  3. Option pricing for GARCH-type models with generalized hyperbolic innovations
    Quantitative Finance, 2012, 12, (7), 1079-1094 Downloads View citations (17)
    See also Working Paper (2012)

2011

  1. HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (06), 899-943 Downloads View citations (12)

2010

  1. Martingalized historical approach for option pricing
    Finance Research Letters, 2010, 7, (1), 24-28 Downloads View citations (13)
    See also Working Paper (2010)
  2. Mean-reversion properties of implied volatilities
    The European Journal of Finance, 2010, 16, (6), 587-610 Downloads

2009

  1. Further Evidence on the Impact of Economic News on Interest Rates
    Frontiers in Finance and Economics, 2009, 6, (2), 1 - 45 Downloads
    See also Working Paper (2009)
  2. Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event
    Energy Policy, 2009, 37, (1), 15-28 Downloads View citations (58)
  3. Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate
    The IUP Journal of Monetary Economics, 2009, VII, (3-4), 44-72
    See also Working Paper (2009)

2008

  1. Flexible time series models for subjective distribution estimation with monetary policy in view
    Brussels Economic Review, 2008, 51, (1), 79-103 View citations (1)
    See also Working Paper (2008)
 
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