Details about Mikael PETITJEAN

Access statistics for papers by Mikael PETITJEAN.

Last updated 2023-01-07. Update your information in the RePEc Author Service.

Short-id: ppe804

Working Papers

2016

1. La vitesse sur les marchés financiers: stop ou encore ?
   Post-Print, HAL
2. On the usefuleness of intraday price ranges to Gauge liquidity in cap-based portfolios
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
   Also in Post-Print, HAL (2016) View citations (2)
   See also Journal Article in Economic Modelling (2016)

2015

3. How integrated is the European carbon derivatives market?
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (5)
   Also in Post-Print, HAL (2015) View citations (5)
   See also Journal Article in Finance Research Letters (2015)

2014

4. Testing the profitability of contrarian trading strategies based on the overreaction hypothesis
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2013

5. The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
   See also Journal Article in Quantitative Finance (2013)

2012

6. Liquidity and CDS premiums on European companies around the Subprime crisis
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (6)
   See also Journal Article in Review of Derivatives Research (2012)

2011

7. 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 in Quantitative Finance (2011)

2010

8. Trading activity, realized volatility and jumps
   LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (78)
   See also Journal Article in Journal of Empirical Finance (2010)
9. Variations communes de liquidité au sein de portefeuilles de faible, moyenne et forte capitalisation: Les enseignements des crises financières asiatique et russe
   Post-Print, HAL
   Also in Post-Print, HAL (2010)
10. 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 in Finance (2010)

2009

11. 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 in The European Journal of Finance (2009)

2007

12. 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 in International Journal of Forecasting (2007)

2006

13. 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)
14. 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)

2005

15. 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)

2004

16. 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

1999

17. Des effets de la globalisation sur les inégalités régionales: quelques apports fondamentaux de l'économie géographique
    SEII Working Papers, University of Liège Faculty of Econonomics, Management and Social Sciences Department of Economics Service of International and Interregional Economics View citations (1)
    See also Journal Article in Revue Tiers Monde (2000)
18. Une introduction aux modèles de croissance: de l'exogénéité à l'endogénisation
    SEII Working Papers, University of Liège Faculty of Econonomics, Management and Social Sciences Department of Economics Service of International and Interregional Economics

1998

19. Exogeneous Technical Progress and International Trade: Is It Outdated?
    SEII Working Papers, University of Liège Faculty of Econonomics, Management and Social Sciences Department of Economics Service of International and Interregional Economics
20. La Politique Agricole Commune et l'Agenda 2000
    SEII Working Papers, University of Liège Faculty of Econonomics, Management and Social Sciences Department of Economics Service of International and Interregional Economics
21. Spécialisation industrielle et consommation apparente: le cas de la Province de Liège en Belgique
    SEII Working Papers, University of Liège Faculty of Econonomics, Management and Social Sciences Department of Economics Service of International and Interregional Economics

1997

22. Echanges internationaux et économie mondiale
    SEII Working Papers, University of Liège Faculty of Econonomics, Management and Social Sciences Department of Economics Service of International and Interregional Economics
23. The Balance of Payments in Belgium and the IMF Approach
    SEII Working Papers, University of Liège Faculty of Econonomics, Management and Social Sciences Department of Economics Service of International and Interregional Economics

Journal Articles

2016

1. On the usefulness of intraday price ranges to gauge liquidity in cap-based portfolios
   Economic Modelling, 2016, 54, (C), 67-81 View citations (2)
   See also Working Paper (2016)

2015

2. How integrated is the European carbon derivatives market?
   Finance Research Letters, 2015, 15, (C), 18-30 View citations (5)
   See also Working Paper (2015)

2014

3. DE LA MEDIOCRITE DES CONSEILS D’INVESTISSEMENT DE TEST-ACHATS INVEST SUR ACTIONS INDIVIDUELLES
   Brussels Economic Review, 2014, 57, (3), 399-421
4. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
   Journal of Financial Markets, 2014, 17, (C), 121-149 View citations (46)

2013

5. The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
   Quantitative Finance, 2013, 13, (7), 1059-1070 View citations (7)
   See also Working Paper (2013)

2012

6. Liquidity and CDS premiums on European companies around the Subprime crisis
   Review of Derivatives Research, 2012, 15, (3), 257-281 View citations (7)
   See also Working Paper (2012)

2011

7. 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 (2011)
8. To what extent is resampling useful in portfolio management?
   Applied Economics Letters, 2011, 18, (3), 239-244 View citations (3)

2010

9. Trading activity, realized volatility and jumps
   Journal of Empirical Finance, 2010, 17, (1), 168-175 View citations (94)
   See also Working Paper (2010)
10. Volatility regimes and liquidity co-movements in cap-based portfolios
    Finance, 2010, 31, (1), 55-79 View citations (1)
    See also Working Paper (2010)

2009

11. 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 (2009)

2007

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 (2007)

2000

13. Les effets de la globalisation sur les inégalités régionales: quelques apports fondamentaux de l'économie géographique
    Revue Tiers Monde, 2000, 41, (164), 775-790
    See also Working Paper (1999)