Details about Jean-Pierre Zigrand
Access statistics for papers by Jean-Pierre Zigrand.
Last updated 2020-03-07. Update your information in the RePEc Author Service.
Short-id: pzi2
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Working Papers
2010
- Risk Appetite and Endogenous Risk
FMG Discussion Papers, Financial Markets Group View citations (28)
2009
- Endogenous Liquidity and Contagion
FMG Discussion Papers, Financial Markets Group
2007
- Strategic Financial Innovation in Segmented Markets
FMG Discussion Papers, Financial Markets Group View citations (6)
Also in FMG Discussion Papers, Financial Markets Group (2004)  CEPR Discussion Papers, C.E.P.R. Discussion Papers (2004) 
See also Journal Article Strategic Financial Innovation in Segmented Markets, The Review of Financial Studies, Society for Financial Studies (2009) View citations (20) (2009)
2006
- Consistent Measures of Risk
FMG Discussion Papers, Financial Markets Group View citations (3)
- Equilibrium Asset Pricing with Systemic Risk
FMG Discussion Papers, Financial Markets Group View citations (3)
See also Journal Article Equilibrium asset pricing with systemic risk, Economic Theory, Springer (2008) View citations (23) (2008)
2004
- (IAM Series No 004) Highwaymen or Heroes: Should Hedge Funds be Regulated?
FMG Discussion Papers, Financial Markets Group
2003
- On time-scaling of risk and the square–root–of–time rule
FMG Discussion Papers, Financial Markets Group 
See also Journal Article On time-scaling of risk and the square-root-of-time rule, Journal of Banking & Finance, Elsevier (2006) View citations (57) (2006)
2002
- Rational Asset Pricing Implications from Realistic Trading Frictions
FMG Discussion Papers, Financial Markets Group View citations (1)
See also Journal Article Rational Asset Pricing Implications from Realistic Trading Frictions, The Journal of Business, University of Chicago Press (2005) View citations (1) (2005)
2001
- Asset Price Dynamics with Value-at-Risk Constrained Traders
FMG Discussion Papers, Financial Markets Group View citations (8)
- On Physics and Finance
FMG Special Papers, Financial Markets Group
- Rational Limits to Arbitrage
FMG Discussion Papers, Financial Markets Group View citations (3)
- What Happens When You Regulate Risk? Evidence from a Simple Equilibrium Model
FMG Discussion Papers, Financial Markets Group View citations (17)
1999
- Arbitrage and Endogenous Market Integration
FMG Discussion Papers, Financial Markets Group View citations (6)
Journal Articles
2009
- Strategic Financial Innovation in Segmented Markets
The Review of Financial Studies, 2009, 22, (8), 2941-2971 View citations (20)
See also Working Paper Strategic Financial Innovation in Segmented Markets, FMG Discussion Papers (2007) View citations (6) (2007)
2008
- Equilibrium asset pricing with systemic risk
Economic Theory, 2008, 35, (2), 293-319 View citations (23)
See also Working Paper Equilibrium Asset Pricing with Systemic Risk, FMG Discussion Papers (2006) View citations (3) (2006)
2006
- Endogenous market integration, manipulation and limits to arbitrage
Journal of Mathematical Economics, 2006, 42, (3), 301-314 View citations (7)
- On time-scaling of risk and the square-root-of-time rule
Journal of Banking & Finance, 2006, 30, (10), 2701-2713 View citations (57)
See also Working Paper On time-scaling of risk and the square–root–of–time rule, FMG Discussion Papers (2003) (2003)
2005
- Highwaymen or heroes: Should hedge funds be regulated?: A survey
Journal of Financial Stability, 2005, 1, (4), 522-543 View citations (8)
- Rational Asset Pricing Implications from Realistic Trading Frictions
The Journal of Business, 2005, 78, (3), 871-892 View citations (1)
See also Working Paper Rational Asset Pricing Implications from Realistic Trading Frictions, FMG Discussion Papers (2002) View citations (1) (2002)
2004
- A general equilibrium analysis of strategic arbitrage
Journal of Mathematical Economics, 2004, 40, (8), 923-952 View citations (11)
- The impact of risk regulation on price dynamics
Journal of Banking & Finance, 2004, 28, (5), 1069-1087 View citations (103)
Chapters
2012
- Endogenous and Systemic Risk
A chapter in Quantifying Systemic Risk, 2012, pp 73-94 View citations (22)
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