Details about Diane Pierret

Access statistics for papers by Diane Pierret.

Last updated 2022-09-20. Update your information in the RePEc Author Service.

Short-id: ppi339

Working Papers

2018

1. Lender of Last Resort versus Buyer of Last Resort – Evidence from the European Sovereign Debt Crisis
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (10)

2017

2. Stressed Banks
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2016

3. Lender of last resort versus buyer of last resort: The impact of the European Central Bank actions on the bank-sovereign nexus
   ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research View citations (6)

2014

4. Systemic risk and the solvency-liquidity nexus of banks
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (2)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2014) View citations (3)
   See also Journal Article Systemic Risk and the Solvency-Liquidity Nexus of Banks, International Journal of Central Banking, International Journal of Central Banking (2015) View citations (26) (2015)
5. Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (156)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (31)
   NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (37)
   LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2014) View citations (152)
   See also Journal Article Testing macroprudential stress tests: The risk of regulatory risk weights, Journal of Monetary Economics, Elsevier (2014) View citations (149) (2014)

2013

6. Modelling multivariate volatility of electricity futures
   LIDAM Reprints ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) View citations (7)
7. The systemic risk of energy markets
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (12)
   Also in LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2013) View citations (11)

2011

8. Multivariate Volatility Modeling of Electricity Futures
   SFB 649 Discussion Papers, Humboldt University, Collaborative Research Center 649 View citations (13)
   Also in LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2011) View citations (22)
   LIDAM Discussion Papers ISBA, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA) (2011) View citations (12)
   See also Journal Article MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (2013) View citations (31) (2013)

Journal Articles

2015

1. Systemic Risk and the Solvency-Liquidity Nexus of Banks
   International Journal of Central Banking, 2015, 11, (3), 193-227 View citations (26)
   See also Working Paper Systemic risk and the solvency-liquidity nexus of banks, LIDAM Discussion Papers ISBA (2014) View citations (2) (2014)

2014

2. Testing macroprudential stress tests: The risk of regulatory risk weights
   Journal of Monetary Economics, 2014, 65, (C), 36-53 View citations (149)
   See also Working Paper Testing Macroprudential Stress Tests: The Risk of Regulatory Risk Weights, CEPR Discussion Papers (2014) View citations (156) (2014)

2013

3. MULTIVARIATE VOLATILITY MODELING OF ELECTRICITY FUTURES
   Journal of Applied Econometrics, 2013, 28, (5), 743-761 View citations (31)
   See also Working Paper Multivariate Volatility Modeling of Electricity Futures, SFB 649 Discussion Papers (2011) View citations (13) (2011)