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Details about Mikael PETITJEAN

Homepage:http://www.mpetitjean.com/
Workplace:Lille Économie et Management (LEM), (more information at EDIRC)
Institut de Recherche Multidisciplinaire pour la Modélisation et l'Analyse Quantitative (IMMAQ) (Institute for Multidisciplinary Research in Quantitative Modelling and Analysis), Université Catholique de Louvain (Catholic University of Louvain-la-Neuve), (more information at EDIRC)

Access statistics for papers by Mikael PETITJEAN.

Last updated 2018-07-16. Update your information in the RePEc Author Service.

Short-id: ppe804


Jump to Journal Articles

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
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
    Also in Post-Print, HAL (2016)

    See also Journal Article in Economic Modelling (2016)

2015

  1. How integrated is the European carbon derivatives market?
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
    Also in Post-Print, HAL (2015) View citations (1)

    See also Journal Article in Finance Research Letters (2015)

2014

  1. Testing the profitability of contrarian trading strategies based on the overreaction hypothesis
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

2013

  1. The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
    See also Journal Article in Quantitative Finance (2013)

2012

  1. Liquidity and CDS premiums on European companies around the Subprime crisis
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (5)
    See also Journal Article in Review of Derivatives Research (2012)

2011

  1. On the statistical and economic performance of stock return predictive regression models: an international perspective
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) Downloads View citations (1)

    See also Journal Article in Quantitative Finance (2011)

2010

  1. Trading activity, realized volatility and jumps
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (7)
    See also Journal Article in Journal of Empirical Finance (2010)
  2. 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)
  3. Volatility regimes and liquidity co-movements in cap-based portfolios
    Post-Print, HAL View citations (1)
    Also in CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2010)

    See also Journal Article in Finance (2010)

2009

  1. Short-term market timing using the bond-equity yield ratio
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads View citations (1)
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads View citations (1)

    See also Journal Article in The European Journal of Finance (2009)

2007

  1. The information content of the Bond-Equity Yield Ratio: Better than a random walk?
    CORE Discussion Papers RP, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
    Also in CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2006) Downloads

    See also Journal Article in International Journal of Forecasting (2007)

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

2005

  1. 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)

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

1999

  1. 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)
  2. 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

  1. 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
  2. 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
  3. 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

  1. 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
  2. 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 Downloads
    See also Working Paper (2016)

2015

  1. How integrated is the European carbon derivatives market?
    Finance Research Letters, 2015, 15, (C), 18-30 Downloads View citations (1)
    See also Working Paper (2015)

2014

  1. DE LA MEDIOCRITE DES CONSEILS D’INVESTISSEMENT DE TEST-ACHATS INVEST SUR ACTIONS INDIVIDUELLES
    Brussels Economic Review, 2014, 57, (3), 399-421
  2. Intraday liquidity dynamics and news releases around price jumps: Evidence from the DJIA stocks
    Journal of Financial Markets, 2014, 17, (C), 121-149 Downloads View citations (15)

2013

  1. Bank failures and regulation: a critical review
    Journal of Financial Regulation and Compliance, 2013, 21, (1), 16-38 Downloads View citations (2)
  2. The intra-day performance of market timing strategies and trading systems based on Japanese candlesticks
    Quantitative Finance, 2013, 13, (7), 1059-1070 Downloads View citations (4)
    See also Working Paper (2013)

2012

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

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)
    See also Working Paper (2011)
  2. The performance of popular stochastic volatility option pricing models during the subprime crisis
    Applied Financial Economics, 2011, 21, (14), 1059-1068 Downloads View citations (1)
  3. To what extent is resampling useful in portfolio management?
    Applied Economics Letters, 2011, 18, (3), 239-244 Downloads View citations (1)

2010

  1. Trading activity, realized volatility and jumps
    Journal of Empirical Finance, 2010, 17, (1), 168-175 Downloads View citations (46)
    See also Working Paper (2010)
  2. Volatility regimes and liquidity co-movements in cap-based portfolios
    Finance, 2010, 31, (1), 55-79 Downloads
    See also Working Paper (2010)

2009

  1. 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 (2009)

2007

  1. 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 (2007)

2000

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