Details about Florian Ielpo

Access statistics for papers by Florian Ielpo.

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

Short-id: pie2

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 (4)
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2017)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2017) View citations (1)
   See also Journal Article Testing for leverage effects in the returns of US equities, Journal of Empirical Finance, Elsevier (2018) View citations (4) (2018)

2017

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

2015

3. 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

4. Commodity Markets through the business cycle
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (8)
   See also Journal Article Commodity markets through the business cycle, Quantitative Finance, Taylor & Francis Journals (2014) View citations (10) (2014)
5. Forecasting the density of oil futures
   Working Papers, Department of Research, Ipag Business School View citations (6)
6. 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 (2)

2013

7. Option pricing with discrete time jump processes
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (8)
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012)
   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)
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012)
   See also Journal Article Option pricing with discrete time jump processes, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (10) (2013)
8. Understanding momentum in commodity markets
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (3)
   See also Journal Article Understanding momentum in commodity markets, Applied Economics Letters, Taylor & Francis Journals (2013) View citations (3) (2013)

2012

9. Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (27)
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) View citations (7)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) View citations (6)
   See also Journal Article Option pricing for GARCH-type models with generalized hyperbolic innovations, Quantitative Finance, Taylor & Francis Journals (2012) View citations (26) (2012)

2011

10. Identifying and Explaining the Number of Regimes Driving Asset Returns
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
11. The Number of Regimes Across Asset Returns: Identification and Economic Value
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)
    See also Journal Article THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE, International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd. (2014) View citations (2) (2014)

2010

12. Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL 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 (2010) View citations (2)
13. Martingalized Historical approach for Option Pricing
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (15)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) View citations (3)
    See also Journal Article Martingalized historical approach for option pricing, Finance Research Letters, Elsevier (2010) View citations (15) (2010)

2009

14. Further evidence on the impact of economic news on interest rates
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) View citations (2)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2007) View citations (6)
    MPRA Paper, University Library of Munich, Germany (2007) View citations (2)
    See also Journal Article Further Evidence on the Impact of Economic News on Interest Rates, Frontiers in Finance and Economics, SKEMA Business School (2009) (2009)
15. 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 Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate, The IUP Journal of Monetary Economics, IUP Publications (2009) (2009)

2008

16. Flexible time series models for subjective distribution estimation with monetary policy in view
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL 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 (2007)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007)
    See also Journal Article Flexible time series models for subjective distribution estimation with monetary policy in view, Brussels Economic Review, ULB -- Universite Libre de Bruxelles (2008) View citations (2) (2008)
17. Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (1)
18. Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (4)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) View citations (6)
19. 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 View citations (8)

2007

20. Yield curve reaction to macroeconomic news in Europe:disentangling the US influence
    Working Papers CEB, ULB -- Universite Libre de Bruxelles View citations (3)

2006

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

Journal Articles

2018

1. Sector spillovers in credit markets
   Journal of Banking & Finance, 2018, 94, (C), 267-278 View citations (23)
2. Testing for leverage effects in the returns of US equities
   Journal of Empirical Finance, 2018, 48, (C), 290-306 View citations (4)
   See also Working Paper Testing for leverage effects in the returns of US equities, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2018) View citations (4) (2018)

2017

3. Investigating the leverage effect in commodity markets with a recursive estimation approach
   Research in International Business and Finance, 2017, 39, (PB), 763-778 View citations (3)

2016

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

2015

5. Forward Rates, Monetary Policy and the Economic Cycle
   Journal of Forecasting, 2015, 34, (4), 241-260 View citations (2)

2014

6. Commodity markets through the business cycle
   Quantitative Finance, 2014, 14, (9), 1597-1618 View citations (10)
   See also Working Paper Commodity Markets through the business cycle, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2014) View citations (8) (2014)
7. Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production
   Australian Economic Review, 2014, 47, (2), 189-198
8. Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function
   Studies in Nonlinear Dynamics & Econometrics, 2014, 18, (3), 253-289 View citations (20)
9. THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE
   International Journal of Theoretical and Applied Finance (IJTAF), 2014, 17, (06), 1-25 View citations (2)
   See also Working Paper The Number of Regimes Across Asset Returns: Identification and Economic Value, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2011) View citations (4) (2011)
10. Twenty years of jumps in commodity markets
    International Review of Applied Economics, 2014, 28, (1), 64-82 View citations (17)

2013

11. Common risk factors in commodities
    Economics Bulletin, 2013, 33, (4), 2801-2816
12. Cross-market linkages between commodities, stocks and bonds
    Applied Economics Letters, 2013, 20, (10), 1008-1018 View citations (6)
13. Forecasting the European Credit Cycle Using Macroeconomic Variables
    Journal of Forecasting, 2013, 32, (3), 226-246 View citations (2)
14. Option pricing with discrete time jump processes
    Journal of Economic Dynamics and Control, 2013, 37, (12), 2417-2445 View citations (10)
    See also Working Paper Option pricing with discrete time jump processes, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2013) View citations (8) (2013)
15. Understanding momentum in commodity markets
    Applied Economics Letters, 2013, 20, (15), 1383-1402 View citations (3)
    See also Working Paper Understanding momentum in commodity markets, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2013) View citations (3) (2013)
16. Volatility spillovers in commodity markets
    Applied Economics Letters, 2013, 20, (13), 1211-1227 View citations (45)

2012

17. Empirical bias in intraday volatility measures
    Finance Research Letters, 2012, 9, (4), 231-237 View citations (4)
18. Equity, credit and the business cycle
    Applied Financial Economics, 2012, 22, (12), 939-954 View citations (5)
19. Option pricing for GARCH-type models with generalized hyperbolic innovations
    Quantitative Finance, 2012, 12, (7), 1079-1094 View citations (26)
    See also Working Paper Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2012) View citations (27) (2012)

2011

20. HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS
    International Journal of Theoretical and Applied Finance (IJTAF), 2011, 14, (06), 899-943 View citations (13)

2010

21. Martingalized historical approach for option pricing
    Finance Research Letters, 2010, 7, (1), 24-28 View citations (15)
    See also Working Paper Martingalized Historical approach for Option Pricing, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2010) View citations (15) (2010)
22. Mean-reversion properties of implied volatilities
    The European Journal of Finance, 2010, 16, (6), 587-610 View citations (2)

2009

23. Further Evidence on the Impact of Economic News on Interest Rates
    Frontiers in Finance and Economics, 2009, 6, (2), 1 - 45
    See also Working Paper Further evidence on the impact of economic news on interest rates, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2009) View citations (2) (2009)
24. 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 View citations (65)
25. 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 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) (2009) (2009)

2008

26. Flexible time series models for subjective distribution estimation with monetary policy in view
    Brussels Economic Review, 2008, 51, (1), 79-103 View citations (2)
    See also Working Paper Flexible time series models for subjective distribution estimation with monetary policy in view, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2008) View citations (2) (2008)