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Thomas Chuffart

Personal Details

First Name:Thomas
Middle Name:
Last Name:Chuffart
Suffix:
RePEc Short-ID:pch1224
[This author has chosen not to make the email address public]
http://www.thomaschuffart.fr
Terminal Degree:2015 École d'Économie d'Aix-Marseille; Aix-Marseille Université (from RePEc Genealogy)

Affiliation

(50%) Centre de Recherche sur les Stratégies Économiques (CRESE)
UFR des Sciences Juridiques, Économiques, Politiques et de Gestion
Université de Franche-Comté

Besançon, France
http://crese.univ-fcomte.fr/
RePEc:edi:crufcfr (more details at EDIRC)

(50%) EconomiX
Université Paris-Nanterre (Paris X)

Nanterre, France
http://economix.fr/
RePEc:edi:modemfr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Thomas Chuffart & Cyril Dell'Eva, 2020. "The role of carry trades on the effectiveness of Japan's quantitative easing," Post-Print hal-03157207, HAL.
  2. Thomas Chuffart & Emma Hooper, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Post-Print hal-02194152, HAL.
  3. Thomas Chuffart & Emmanuel Flachaire & Anne Peguin-Feissolle, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Post-Print hal-02083772, HAL.
  4. Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," AMSE Working Papers 1339, Aix-Marseille School of Economics, France, revised 14 Jul 2013.

    repec:hal:journl:hal-03157208 is not listed on IDEAS

Articles

  1. Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).
  2. Thomas Chuffart & Cyril Dell'Eva, 2020. "The role of carry trades on the effectiveness of Japan's quantitative easing," International Economics, CEPII research center, issue 161, pages 30-40.
  3. Chuffart, Thomas & Hooper, Emma, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Energy Economics, Elsevier, vol. 80(C), pages 904-916.
  4. Chuffart Thomas & Flachaire Emmanuel & Péguin-Feissolle Anne, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-17, December.
  5. Thomas Chuffart, 2015. "Selection Criteria in Regime Switching Conditional Volatility Models," Econometrics, MDPI, vol. 3(2), pages 1-28, May.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Thomas Chuffart & Emma Hooper, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Post-Print hal-02194152, HAL.

    Cited by:

    1. Huang, Wei-Qiang & Liu, Peipei, 2023. "Cross-market risk spillovers among sovereign CDS, stock, foreign exchange and commodity markets: An interacting network perspective," International Review of Financial Analysis, Elsevier, vol. 90(C).
    2. Theocharis, Dimitrios & Rodrigues, Vasco Sanchez & Pettit, Stephen & Haider, Jane, 2019. "Feasibility of the Northern Sea Route: The role of distance, fuel prices, ice breaking fees and ship size for the product tanker market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 129(C), pages 111-135.
    3. Zainuddin Saenong & Abd Azis Muthalib & Pasrun Adam & Wali Aya Rumbia & Heppi Millia & La Ode Saidi, 2020. "Symmetric and Asymmetric Effect of Crude Oil Prices and Exchange Rate on Bond Yields in Indonesia," International Journal of Energy Economics and Policy, Econjournals, vol. 10(2), pages 95-100.
    4. He, Zhipeng & Zhang, Shuguang, 2024. "Risk contagion and diversification among sovereign CDS, stock, foreign exchange and commodity markets: Fresh evidence from G7 and BRICS countries," Finance Research Letters, Elsevier, vol. 62(PB).
    5. Alturki,Sultan Abdulaziz M & Hibbert,Ann Marie, 2021. "The Impact of Oil Shocks on Sovereign Default Risk," Policy Research Working Paper Series 9546, The World Bank.
    6. Su, Chi-Wei & Qin, Meng & Tao, Ran & Umar, Muhammad, 2020. "Does oil price really matter for the wage arrears in Russia?," Energy, Elsevier, vol. 208(C).
    7. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2023. "Systemwide directional connectedness from Crude Oil to sovereign credit risk," Journal of Commodity Markets, Elsevier, vol. 30(C).
    8. Wang, Jun & Sun, Xiaolei & Li, Jianping, 2020. "How do sovereign credit default swap spreads behave under extreme oil price movements? Evidence from G7 and BRICS countries," Finance Research Letters, Elsevier, vol. 34(C).
    9. Mathias Manguzvane & Mduduzi Biyase, 2023. "Exchange rate risk and sovereign debt risk in South Africa: A Regime Dependent Approach," Economics Working Papers edwrg-04-2023, College of Business and Economics, University of Johannesburg, South Africa, revised 2023.
    10. Ehouman, Yao Axel, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a copula approach," International Economics, Elsevier, vol. 168(C), pages 76-97.
    11. Naifar, Nader & Shahzad, Syed Jawad Hussain & Hammoudeh, Shawkat, 2020. "Dynamic nonlinear impacts of oil price returns and financial uncertainties on credit risks of oil-exporting countries," Energy Economics, Elsevier, vol. 88(C).
    12. Feng, Qianqian & Sun, Xiaolei & Liu, Chang & Li, Jianping, 2021. "Spillovers between sovereign CDS and exchange rate markets: The role of market fear," The North American Journal of Economics and Finance, Elsevier, vol. 55(C).
    13. Theocharis, Dimitrios & Rodrigues, Vasco Sanchez & Pettit, Stephen & Haider, Jane, 2021. "Feasibility of the Northern Sea Route for seasonal transit navigation: The role of ship speed on ice and alternative fuel types for the oil product tanker market," Transportation Research Part A: Policy and Practice, Elsevier, vol. 151(C), pages 259-283.
    14. Yihong Ma, Simon Cottrell, Sarath Delpachitra, Xiao Yu, Ping Jiang, and Quan Tran Ha Minh, 2023. "What Drives Credit Spreads of Oil Companies? Evidence from the Upstream, Integrated and Downstream Industries," The Energy Journal, International Association for Energy Economics, vol. 0(Number 5).
    15. Bajaj, Vimmy & Kumar, Pawan & Singh, Vipul Kumar, 2022. "Linkage dynamics of sovereign credit risk and financial markets: A bibliometric analysis," Research in International Business and Finance, Elsevier, vol. 59(C).
    16. Yao Axel Ehouman, 2021. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters : Evidence using a Copula Approach," Post-Print hal-03348410, HAL.
    17. ERER, Deniz, 2022. "The Asymmetrical Impact Of Policy Responses On Volatility Of Sovereign Default Swaps," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", vol. 26(3), pages 35-54, September.
    18. Wang, Qunwei & Liu, Mengmeng & Xiao, Ling & Dai, Xingyu & Li, Matthew C. & Wu, Fei, 2022. "Conditional sovereign CDS in market basket risk scenario: A dynamic vine-copula analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).
    19. Yao Axel Ehouman, 2020. "Dependence structure between oil price volatility and sovereign credit risk of oil exporters: Evidence using a Copula Approach," EconomiX Working Papers 2020-31, University of Paris Nanterre, EconomiX.
    20. Cheuathonghua, Massaporn & de Boyrie, Maria E. & Pavlova, Ivelina & Wongkantarakorn, Jutamas, 2022. "Extreme risk spillovers from commodity indexes to sovereign CDS spreads of commodity dependent countries: A VAR quantile analysis," International Review of Financial Analysis, Elsevier, vol. 80(C).

  2. Thomas Chuffart & Emmanuel Flachaire & Anne Peguin-Feissolle, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Post-Print hal-02083772, HAL.

    Cited by:

    1. Elsas, Ralf & Schoch, Daniela Stephanie, 2023. "Robust inference in single firm/single event analyses," Journal of Corporate Finance, Elsevier, vol. 80(C).

  3. Thomas Chuffart, 2013. "Selection Criteria in Regime Switching Conditional Volatility Models," AMSE Working Papers 1339, Aix-Marseille School of Economics, France, revised 14 Jul 2013.

    Cited by:

    1. Thomas Chuffart & Emmanuel Flachaire & Anne Péguin-Feissolle, 2017. "Testing for misspecification in the short-run component of GARCH-type models," Post-Print hal-03157205, HAL.
    2. Maddalena Cavicchioli, 2021. "Statistical inference for mixture GARCH models with financial application," Computational Statistics, Springer, vol. 36(4), pages 2615-2642, December.

Articles

  1. Chuffart, Thomas, 2022. "Interest in cryptocurrencies predicts conditional correlation dynamics," Finance Research Letters, Elsevier, vol. 46(PA).

    Cited by:

    1. Dunbar, Kwamie & Owusu-Amoako, Johnson, 2023. "Predictability of crypto returns: The impact of trading behavior," Journal of Behavioral and Experimental Finance, Elsevier, vol. 39(C).
    2. Bonaparte, Yosef & Bernile, Gennaro, 2023. "A new “Wall Street Darling?” effects of regulation sentiment in cryptocurrency markets," Finance Research Letters, Elsevier, vol. 52(C).
    3. Bouri, Elie & Kamal, Elham & Kinateder, Harald, 2023. "FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies," Finance Research Letters, Elsevier, vol. 56(C).

  2. Chuffart, Thomas & Hooper, Emma, 2019. "An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela," Energy Economics, Elsevier, vol. 80(C), pages 904-916.
    See citations under working paper version above.
  3. Chuffart Thomas & Flachaire Emmanuel & Péguin-Feissolle Anne, 2018. "Testing for misspecification in the short-run component of GARCH-type models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(5), pages 1-17, December.
    See citations under working paper version above.
  4. Thomas Chuffart, 2015. "Selection Criteria in Regime Switching Conditional Volatility Models," Econometrics, MDPI, vol. 3(2), pages 1-28, May.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

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Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ECM: Econometrics (1) 2013-07-28
  2. NEP-ETS: Econometric Time Series (1) 2013-07-28

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