IDEAS home Printed from https://ideas.repec.org/f/pna376.html
   My authors  Follow this author

Patrick Navatte

(We have lost contact with this author. Please ask them to update the entry or send us the correct address or status for this person. Thank you.)

Personal Details

First Name:Patrick
Middle Name:
Last Name:Navatte
Suffix:
RePEc Short-ID:pna376
The above email address does not seem to be valid anymore. Please ask Patrick Navatte to update the entry or send us the correct address or status for this person. Thank you.

Affiliation

(50%) Institut de Gestion de Rennes (IGR-IAE)
Université de Rennes

Rennes, France
https://www.igr.univ-rennes.fr/
RePEc:edi:igrrefr (more details at EDIRC)

(50%) Centre de Recherche en Économie et Management (CREM)

Rennes/Caen, France
https://crem.univ-rennes.fr/
RePEc:edi:crmrefr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Patrick Navatte, 2018. "La nouvelle démographie des LBO et de l’industrie du Private Equity," Post-Print halshs-02075351, HAL.
  2. Ismail Lahlou & Patrick Navatte, 2017. "Director compensation incentives and acquisition performance," Post-Print hal-01614572, HAL.
  3. Patrick Navatte & Laurent Bironneau, 2017. "Building an internal capital market inside the supply chain: a new challenge [La mise en place d’un marché interne du capital au sein de la chaîne logistique : un nouveau défi]," Post-Print hal-01614589, HAL.
  4. Patrick Navatte & Hélyette Geman, 2017. "Robert C. Merton: L'introduction du temps continu dans la théorie financière moderne," Post-Print hal-01614641, HAL.
  5. Patrick Navatte & Guillaume Schier, 2017. "Spin-offs : Enjeux comptables et financiers à travers la littérature," Post-Print hal-01614632, HAL.
  6. Patrick Navatte & Marc Gaugain, 2016. "Supply chain finance, interêts et limites," Post-Print halshs-01354766, HAL.
  7. Franck Moraux & Patrick Navatte, 2015. "How do reservation prices impact distressed debt rescheduling?," Post-Print halshs-01116887, HAL.
  8. Maxime Debon & Franck Moraux & Patrick Navatte, 2015. "The cost of financing with callable bonds : an empirical study [Le coût du financement par obligations rachetables : une étude empirique]," Post-Print halshs-01238561, HAL.
  9. Houssam Bouzgarrou & Patrick Navatte, 2014. "Family Firms and the Choice of Payment Method in Domestic and International Acquisitions," Post-Print halshs-01074016, HAL.
  10. Florence André Le Pogamp & Patrick Navatte, 2014. "L'impact de la diversification sur la valeur de la firme. Vers une approche contingente," Post-Print halshs-01074015, HAL.
  11. Houssam Bouzgarrou & Patrick Navatte, 2013. "Ownership structure and acquirers performance: Family vs. non-family firms," Post-Print halshs-00801736, HAL.
  12. Ismail Lahlou & Patrick Navatte, 2013. "The monitoring and advisory functions of corporate boards," Post-Print halshs-00830497, HAL.
  13. Houssam Bouzgarrou & Patrick Navatte, 2013. "Family firms and the choice of payment method in acquisitions," Post-Print halshs-00831040, HAL.
  14. Franck Moraux & Patrick Navatte, 2013. "Strategic management of private benefits in a contingent claim framework," Post-Print halshs-00801221, HAL.
  15. Florence André-Le Pogamp & Patrick Navatte, 2013. "Les LBO des années 2000 : vers des effets de leviers plus restreints," Post-Print halshs-00924288, HAL.
  16. Patrick Navatte, 2012. "Fusions et acquisitions," Post-Print halshs-00740266, HAL.
  17. Rivo Randrianarivony & Patrick Navatte & Jean-Laurent Viviani, 2012. "Signalling with costly cash : is it an efficient mechanism ?," Post-Print halshs-00711643, HAL.
  18. Patrick Navatte & Houssam Bouzgarrou, 2012. "Short term wealth creation sustainability of French acquirers of unlisted versus listed firms," Post-Print halshs-00760702, HAL.
  19. Patrick Navatte & Guillaume Schier, 2011. "Le tunneling ou l'expropriation des actionnaires minoritaires: L'exemple des augmentations de capital réservées," Post-Print halshs-00600720, HAL.
  20. Franck Moraux & Patrick Navatte, 2011. "Private Benefits in a contingent claim framework: Valuation effects and other implications," Post-Print halshs-00600709, HAL.
  21. Patrick Navatte & Guillaume Schier, 2010. "La vague des fusions-acquisitions des années 1990 aux Etats-Unis," Post-Print halshs-00498104, HAL.
  22. Patrick Navatte, 2010. "Marchés et instruments financiers," Post-Print halshs-00512841, HAL.
  23. Houssam Bouzgarrou & Patrick Navatte, 2010. "Some results about acquisitions during the recent merger waves: 1997-2006," Post-Print halshs-00466769, HAL.
  24. Maxime Debon & Franck Moraux & Patrick Navatte, 2009. "Make-whole callable bonds :Covenant yield premium insights," Post-Print halshs-00391597, HAL.
  25. Dominique Philippe Martin & Patrick Navatte, 2009. "Identifying managerial risk in collaborative research networks," Post-Print halshs-00422393, HAL.
  26. Franck Moraux & Patrick Navatte, 2009. "On the Pricing and Design of Debt-Equity Swaps for Firms in Default," Post-Print halshs-00446896, HAL.
  27. Patrick Navatte & Guillaume Schier, 2008. "La mesure de la performance des fusions-acquisitions: les apports des études récentes," Post-Print halshs-00351228, HAL.
  28. Franck Moraux & Patrick Navatte, 2007. "Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications," Post-Print halshs-00257915, HAL.
  29. Franck Moraux & Patrick Navatte, 2007. "Business risk targeting and rescheduling of distressed debt," Post-Print halshs-00239188, HAL.
  30. Franck Moraux & Patrick Navatte, 2007. "Rescheduling of distressed debt and business risk targeting ex ante the reorganization," Post-Print halshs-00190849, HAL.
  31. Franck Moraux & Patrick Navatte, 2006. "The active management of distressed debt," Post-Print halshs-00093135, HAL.
  32. Franck Moraux & Patrick Navatte, 2006. "Rescheduling debt in default : the Longstaff's proposition revisited," Post-Print halshs-00078569, HAL.
  33. Florence André-Le Pogamp & Patrick Navatte, 2005. "La probabilité de conversion des obligations convertibles callable," Post-Print halshs-00071245, HAL.
  34. Florence André-Le Pogamp & Patrick Navatte, 2005. "La diversification des firmes et leur appréciation par les marchés," Post-Print halshs-00078075, HAL.
  35. Franck Moraux & Patrick Navatte, 2004. "Extending the Maturity of a defaulting debt : when it is worthwhile !," Post-Print halshs-00093034, HAL.
  36. Roland Gillet & Jean-Pierre Jobard & Patrick Navatte & Philippe Raimbourg, 2003. "Finance: finance d'entreprise, finance de marché et diagnostic financier (2ème édition)," Post-Print hal-03928660, HAL.
  37. Roland Gillet & Jean-Pierre Jobard & Patrick Navatte & Philippe Raimbourg, 2003. "Finance: finance d'entreprise, finance de marché et diagnostic financier," ULB Institutional Repository 2013/14401, ULB -- Universite Libre de Bruxelles.
  38. Patrick Navatte & H. Géman, 2003. "Robert C. MERTON : l'apport de la modélisation en temps continu à la théorie financière moderne," Post-Print halshs-00076866, HAL.
  39. Florence André-Le Pogamp & Patrick Navatte, 2002. "Probabilité de conversion des obligations convertibles "callable" et caractérisations des émetteurs," Post-Print halshs-00076640, HAL.
  40. Franck Moraux & Patrick Navatte, 2002. "Pricing credit derivatives in credit classes frameworks," Post-Print halshs-00076642, HAL.
  41. Patrick Navatte & François Quittard-Pinon, 1999. "The Valuation of Interest Rate Digital Options and Range Notes Revisited," Post-Print hal-02313167, HAL.
  42. Patrick Navatte & François Quittard-Pinon, 1998. "L'| évaluation d'obligations "corridor" sur taux d'intérêt," Post-Print hal-02312994, HAL.

Articles

  1. Patrick Navatte, 2018. "La nouvelle démographie des LBO et de l’industrie du Private Equity," Revue française de gestion, Lavoisier, vol. 0(2), pages 83-98.
  2. Lahlou, Ismail & Navatte, Patrick, 2017. "Director compensation incentives and acquisition performance," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 1-11.
  3. Patrick Navatte & Guillaume Schier, 2017. "Spin-offs : Enjeux comptables et financiers à travers la littérature," ACCRA, Association francophone de comptabilité, vol. 23(1), pages 97-125.
  4. Maxime Debon & Franck Moraux & Patrick Navatte, 2015. "Le coût du financement par obligations rachetables:une étude empirique," Revue Finance Contrôle Stratégie, revues.org, vol. 18(2), pages 17-35, June.
  5. Moraux, Franck & Navatte, Patrick, 2015. "How do reservation prices impact distressed debt rescheduling?," Economic Modelling, Elsevier, vol. 46(C), pages 269-282.
  6. Florence André-Le Pogamp & Patrick Navatte, 2014. "L'impact de la diversification sur la valeur de la firme. Vers une approche contingente," Revue française de gestion, Lavoisier, vol. 0(4), pages 107-120.
  7. Patrick Navatte & Guillaume Schier, 2010. "La vague des fusions-acquisitions des années 1990 aux États-Unis. Une lecture des résultats à l'aide de la théorie de l'agence," Revue française de gestion, Lavoisier, vol. 0(5), pages 53-67.
  8. Franck Moraux & Patrick Navatte, 2007. "Business Risk Targeting and Rescheduling of Distressed Debt," Finance, Presses universitaires de Grenoble, vol. 28(2), pages 43-78.
  9. Patrick Navatte & Christophe Villa, 2000. "The information content of implied volatility, skewness and kurtosis: empirical evidence from long‐term CAC 40 options," European Financial Management, European Financial Management Association, vol. 6(1), pages 41-56, March.
  10. Franck Moraux & Patrick Navatte & Christophe Villa, 1999. "The Predictive Power of the French Market Volatility Index: A Multi Horizons Study," Review of Finance, European Finance Association, vol. 2(3), pages 303-320.
  11. Patrick Navatte & François Quittard‐Pinon, 1999. "The Valuation of Interest Rate Digital Options and Range Notes Revisited," European Financial Management, European Financial Management Association, vol. 5(3), pages 425-440, November.
  12. Patrick Navatte, 1978. "L'étude des effets micro-économiques produits par les opérations de fusion absorption (une analyse appliquée à l'industrie française et au cas du secteur du ciment)," Revue d'Économie Industrielle, Programme National Persée, vol. 4(1), pages 117-142.

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. Ismail Lahlou & Patrick Navatte, 2017. "Director compensation incentives and acquisition performance," Post-Print hal-01614572, HAL.

    Cited by:

    1. Mamdouh Abdulaziz Saleh Al-Faryan, 2021. "The effect of board composition and managerial pay on Saudi firm performance," Review of Quantitative Finance and Accounting, Springer, vol. 57(2), pages 693-758, August.
    2. Lai Van Vo & Huong Thi Thu Le & Youngbin Kim, 2023. "Board interlocks, career prospects and corporate social responsibility," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 63(4), pages 4565-4595, December.
    3. Mahroo Irani & Mahroo Irani & Mehdi Safari Gerayeli, 2017. "Relationship between Corporate Governance and CEO Compensation among Listed Firms in Tehran Stock Exchange," International Journal of Economics and Financial Issues, Econjournals, vol. 7(1), pages 285-292.
    4. Zhu, Zhengjie & Tian, Jia, 2024. "Minimum wage and corporate investment efficiency: Evidence from China," Finance Research Letters, Elsevier, vol. 59(C).
    5. Tampakoudis, Ioannis & Noulas, Athanasios & Kiosses, Nikolaos, 2022. "The market reaction to syndicated loan announcements before and during the COVID-19 pandemic and the role of corporate governance," Research in International Business and Finance, Elsevier, vol. 60(C).
    6. Peng Xu & Guiyu Bai, 2019. "Board Governance, Sustainable Innovation Capability and Corporate Expansion: Empirical Data from Private Listed Companies in China," Sustainability, MDPI, vol. 11(13), pages 1-17, June.
    7. Hao Fang & Chieh-Hsuan Wang & Hwey-Yun Yau & Chien-Ping Chung & Yen-Hsien Lee, 2023. "The impact of board structure on bank loan herding via mediation of underperformance," Asia-Pacific Journal of Accounting & Economics, Taylor & Francis Journals, vol. 30(6), pages 1494-1517, November.

  2. Houssam Bouzgarrou & Patrick Navatte, 2014. "Family Firms and the Choice of Payment Method in Domestic and International Acquisitions," Post-Print halshs-01074016, HAL.

    Cited by:

    1. Emanuele Teti & Maurizio Dallocchio & Tancredi Currao, 2022. "Family ownership and M&A payment method," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 27(2), pages 1989-2005, April.

  3. Houssam Bouzgarrou & Patrick Navatte, 2013. "Ownership structure and acquirers performance: Family vs. non-family firms," Post-Print halshs-00801736, HAL.

    Cited by:

    1. De Cesari, Amedeo & Gonenc, Halit & Ozkan, Neslihan, 2016. "The effects of corporate acquisitions on CEO compensation and CEO turnover of family firms," Journal of Corporate Finance, Elsevier, vol. 38(C), pages 294-317.
    2. Ly, Kim Cuong & Liu, Hong & Opong, Kwaku, 2017. "Who acquires whom among stand-alone commercial banks and bank holding company affiliates?," International Review of Financial Analysis, Elsevier, vol. 54(C), pages 144-158.
    3. César Camisón & José Antonio Clemente & Sergio Camisón-Haba, 2022. "Asset tangibility, information asymmetries and intangibles as determinants of family firms leverage," Review of Managerial Science, Springer, vol. 16(7), pages 2047-2082, October.
    4. Chalevas, Constantinos G. & Doukakis, Leonidas C. & Karampinis, Nikolaos I. & Pavlopoulou, Olga-Chara, 2024. "The impact of family ownership on tax avoidance: International evidence," International Review of Financial Analysis, Elsevier, vol. 94(C).
    5. Edy Suprianto & Doddy Setiawan, 2018. "Impact of family control on the relationship between earning management and future performance in Indonesia," Business and Economic Horizons (BEH), Prague Development Center, vol. 14(2), pages 342-354, April.
    6. Qingqing Lin & Julie Jie Wen, 2021. "Family Business, Resilience, and Ethnic Tourism in Yunnan, China," Sustainability, MDPI, vol. 13(21), pages 1-9, October.
    7. Nguyen, Pascal & Rahman, Nahid & Zhao, Ruoyun, 2013. "Ownership structure and divestiture decisions: Evidence from Australian firms," International Review of Financial Analysis, Elsevier, vol. 30(C), pages 170-181.
    8. Chihkang Kenny Wu & Ngoc Anh Nguyen & Thanh Quoc Thuan Dang & Mai-Uyen Nguyen, 2022. "The Impact of COVID-19 on Ethnic Business Households Involved in Tourism in Ninh Thuan, Vietnam," Sustainability, MDPI, vol. 14(24), pages 1-15, December.
    9. Kot, Hung Wan & Leung, Harry K.M. & Tang, Gordon Y.N., 2015. "The long-term performance of index additions and deletions: Evidence from the Hang Seng Index," International Review of Financial Analysis, Elsevier, vol. 42(C), pages 407-420.
    10. González L., Ana C. & Rodríguez, Yeny E. & Gómez, Juan M. & Chávez, Helmuth & Chea, Jaly, 2021. "Family business risk-taking and financial performance: Is it easier said than done?," Journal of Family Business Strategy, Elsevier, vol. 12(4).

  4. Franck Moraux & Patrick Navatte, 2013. "Strategic management of private benefits in a contingent claim framework," Post-Print halshs-00801221, HAL.

    Cited by:

    1. Hubert de La Bruslerie, 2016. "Does debt curb controlling shareholder's private benfits? Modelling in a contingent claim framework," Post-Print hal-01945646, HAL.

  5. Franck Moraux & Patrick Navatte, 2009. "On the Pricing and Design of Debt-Equity Swaps for Firms in Default," Post-Print halshs-00446896, HAL.

    Cited by:

    1. Kenjiro Hori & Jorge Martin Cerón, 2017. "Contingent Convertible Bonds: Payoff Structures and Incentive Effects," Birkbeck Working Papers in Economics and Finance 1711, Birkbeck, Department of Economics, Mathematics & Statistics.
    2. N. Letifi & J.-L. Prigent, 2014. "On the debt capacity of growth and decay options," Working Papers 2014-391, Department of Research, Ipag Business School.
    3. Kenjiro Hori & Jorge Martin Ceron, 2014. "Agency Costs of Bail-in," Birkbeck Working Papers in Economics and Finance 1407, Birkbeck, Department of Economics, Mathematics & Statistics.

  6. Patrick Navatte & Guillaume Schier, 2008. "La mesure de la performance des fusions-acquisitions: les apports des études récentes," Post-Print halshs-00351228, HAL.

    Cited by:

    1. Mohamed-Larbi Aribou, 2017. "Fusions-acquisitions et création de valeur : Bilan des recherches et perspectives d'évolution," Post-Print hal-01468250, HAL.
    2. Jean-Paul Mereaux, 2013. "Integration Des Systemes Comptables Dans Les Fusions-Acquisitions : Une Approche Typologique Acculturative," Post-Print hal-00996776, HAL.
    3. Ludivine Chalençon, 2011. "La Performance des Fusions-Acquisitions : une Revue de la Littérature," Post-Print halshs-00690634, HAL.

  7. Franck Moraux & Patrick Navatte, 2007. "Business risk targeting and rescheduling of distressed debt," Post-Print halshs-00239188, HAL.

    Cited by:

    1. Franck Moraux & Patrick Navatte, 2015. "How do reservation prices impact distressed debt rescheduling?," Post-Print halshs-01116887, HAL.
    2. N. Letifi & J.-L. Prigent, 2014. "On the debt capacity of growth and decay options," Working Papers 2014-391, Department of Research, Ipag Business School.

  8. Roland Gillet & Jean-Pierre Jobard & Patrick Navatte & Philippe Raimbourg, 2003. "Finance: finance d'entreprise, finance de marché et diagnostic financier," ULB Institutional Repository 2013/14401, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Gabriela Ciurariu, 2017. "Assessment Of Enterprise Based On The Method Of Ratios," THE YEARBOOK OF THE "GH. ZANE" INSTITUTE OF ECONOMIC RESEARCHES, Gheorghe Zane Institute for Economic and Social Research ( from THE ROMANIAN ACADEMY, JASSY BRANCH), vol. 26(1), pages 109-119.

  9. Franck Moraux & Patrick Navatte, 2002. "Pricing credit derivatives in credit classes frameworks," Post-Print halshs-00076642, HAL.

    Cited by:

    1. Florence André-Le Pogamp & Franck Moraux, 2004. "Valuing Callable Convertible Bonds : a reduced approach," Post-Print halshs-00010137, HAL.

  10. Patrick Navatte & François Quittard-Pinon, 1999. "The Valuation of Interest Rate Digital Options and Range Notes Revisited," Post-Print hal-02313167, HAL.

    Cited by:

    1. Ting‐Pin Wu & Son‐Nan Chen, 2008. "Valuation of floating range notes in a LIBOR market model," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 28(7), pages 697-710, July.
    2. Jang, Bong-Gyu & Yoon, Ji Hee, 2010. "Analytic valuation formulas for range notes and an affine term structure model with jump risks," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2132-2145, September.
    3. João Pedro Vidal Nunes, 2004. "MultiFactor Valuation of Floating Range Notes," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 79-97, January.
    4. Ping Wu & Robert J. Elliott, 2016. "Valuation of CMS range notes in a multifactor LIBOR market model," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 3(01), pages 1-19, March.
    5. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    6. Ping Wu & Robert J. Elliott, 2017. "Valuation of certain CMS spreads," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 445-467, November.
    7. Baaquie, Belal E. & Du, Xin & Tang, Pan & Cao, Yang, 2014. "Pricing of range accrual swap in the quantum finance Libor Market Model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 401(C), pages 182-200.
    8. Bong-Gyu Jang & Kum-Hwan Roh, 2009. "Valuing qualitative options with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 819-825.

Articles

  1. Lahlou, Ismail & Navatte, Patrick, 2017. "Director compensation incentives and acquisition performance," International Review of Financial Analysis, Elsevier, vol. 53(C), pages 1-11.
    See citations under working paper version above.
  2. Franck Moraux & Patrick Navatte, 2007. "Business Risk Targeting and Rescheduling of Distressed Debt," Finance, Presses universitaires de Grenoble, vol. 28(2), pages 43-78.
    See citations under working paper version above.
  3. Patrick Navatte & Christophe Villa, 2000. "The information content of implied volatility, skewness and kurtosis: empirical evidence from long‐term CAC 40 options," European Financial Management, European Financial Management Association, vol. 6(1), pages 41-56, March.

    Cited by:

    1. Jenke ter Horst & Chris Veld, 2008. "An Empirical Analysis of the Pricing of Bank Issued Options versus Options Exchange Options," European Financial Management, European Financial Management Association, vol. 14(2), pages 288-314, March.
    2. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
    3. Nikkinen, Jussi, 2003. "Normality tests of option-implied risk-neutral densities: evidence from the small Finnish market," International Review of Financial Analysis, Elsevier, vol. 12(2), pages 99-116.
    4. Peter Christoffersen & Kris Jacobs & Bo Young Chang, 2011. "Forecasting with Option Implied Information," CREATES Research Papers 2011-46, Department of Economics and Business Economics, Aarhus University.
    5. Wilkens, Sascha & Roder, Klaus, 2006. "The informational content of option-implied distributions: Evidence from the Eurex index and interest rate futures options market," Global Finance Journal, Elsevier, vol. 17(1), pages 50-74, September.
    6. Kabir K. Dutta & David F. Babbel, 2005. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," The Journal of Business, University of Chicago Press, vol. 78(3), pages 841-870, May.
    7. Zhang, Hongwei & Zhao, Xinyi & Gao, Wang & Niu, Zibo, 2023. "The role of higher moments in predicting China's oil futures volatility: Evidence from machine learning models," Journal of Commodity Markets, Elsevier, vol. 32(C).
    8. Hollstein, Fabian & Nguyen, Duc Binh Benno & Prokopczuk, Marcel, 2019. "Asset prices and “the devil(s) you know”," Journal of Banking & Finance, Elsevier, vol. 105(C), pages 20-35.
    9. Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
    10. Vipul Kumar Singh & Pawan Kumar, 2024. "Effectiveness of deterministic option pricing models: new evidence from Nifty and Bank Nifty Index options," Journal of Asset Management, Palgrave Macmillan, vol. 25(2), pages 172-189, March.
    11. Gomes, Frederico Pechir & Takami, Marcelo Yoshio & Brandi, Vinicius Ratton, 2008. "Investigating Unusual Changes in Real-Dollar Exchange Rate," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 62(2), October.
    12. Jin Zhang & Yi Xiang, 2008. "The implied volatility smirk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 263-284.
    13. Wan-Ni Lai, 2014. "Comparison of methods to estimate option implied risk-neutral densities," Quantitative Finance, Taylor & Francis Journals, vol. 14(10), pages 1839-1855, October.
    14. Nikkinen, Jussi, 2003. "Impact of foreign ownership restrictions on stock return distributions: evidence from an option market," Journal of Multinational Financial Management, Elsevier, vol. 13(2), pages 141-159, April.

  4. Franck Moraux & Patrick Navatte & Christophe Villa, 1999. "The Predictive Power of the French Market Volatility Index: A Multi Horizons Study," Review of Finance, European Finance Association, vol. 2(3), pages 303-320.

    Cited by:

    1. Jupeng Li & Xiaoli Yu & Xingguo Luo, 2019. "Volatility index and the return–volatility relation: Intraday evidence from Chinese options market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(11), pages 1348-1359, November.
    2. Costas Siriopoulos & Athanasios Fassas, 2013. "Dynamic relations of uncertainty expectations: a conditional assessment of implied volatility indices," Review of Derivatives Research, Springer, vol. 16(3), pages 233-266, October.
    3. Dotsis, George & Psychoyios, Dimitris & Skiadopoulos, George, 2007. "An empirical comparison of continuous-time models of implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3584-3603, December.
    4. Fassas, Athanasios P. & Siriopoulos, Costas, 2021. "Implied volatility indices – A review," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 303-329.
    5. VDMV Lakshmi & Garima Sisodia & Anto Joseph & Aviral Kumar Tiwari, 2024. "The conditional impact of market conditions, volatility and liquidity shocks on the arbitrage opportunities during pre‐COVID and COVID periods," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 29(3), pages 3007-3022, July.
    6. Tanuj Nandan & Puja Agrawal, 2016. "Pricing Efficiency in CNX Nifty Index Options Using the Black–Scholes Model: A Comparative Study of Alternate Volatility Measures," Margin: The Journal of Applied Economic Research, National Council of Applied Economic Research, vol. 10(2), pages 281-304, May.
    7. Konstantinidi, Eirini & Skiadopoulos, George & Tzagkaraki, Emilia, 2008. "Can the evolution of implied volatility be forecasted? Evidence from European and US implied volatility indices," Journal of Banking & Finance, Elsevier, vol. 32(11), pages 2401-2411, November.
    8. Viteva, Svetlana & Veld-Merkoulova, Yulia V. & Campbell, Kevin, 2014. "The forecasting accuracy of implied volatility from ECX carbon options," Energy Economics, Elsevier, vol. 45(C), pages 475-484.
    9. Imlak Shaikh & Puja Padhi, 2014. "The forecasting performance of implied volatility index: evidence from India VIX," Economic Change and Restructuring, Springer, vol. 47(4), pages 251-274, November.
    10. Kozarski, R., 2013. "Pricing and hedging in the VIX derivative market," Other publications TiSEM 221fefe0-241e-4914-b6bd-c, Tilburg University, School of Economics and Management.
    11. Bruce Budd, 2017. "Canaries in the coal mine. The tale of two signals: the VIX and the MOVE Indexes," Proceedings of Economics and Finance Conferences 4807778, International Institute of Social and Economic Sciences.
    12. Sayantan Khanra & Sanjay Dhir, 2017. "Creating Value in Small-cap Firms by Mitigating Risks of Market Volatility," Vision, , vol. 21(4), pages 350-355, December.
    13. Bekiros, Stelios & Jlassi, Mouna & Naoui, Kamel & Uddin, Gazi Salah, 2017. "The asymmetric relationship between returns and implied volatility: Evidence from global stock markets," Journal of Financial Stability, Elsevier, vol. 30(C), pages 156-174.
    14. Bahram Adrangi & Arjun Chatrath & Joseph Macri & Kambiz Raffiee, 2019. "Dynamic Responses of Major Equity Markets to the US Fear Index," JRFM, MDPI, vol. 12(4), pages 1-23, September.

  5. Patrick Navatte & François Quittard‐Pinon, 1999. "The Valuation of Interest Rate Digital Options and Range Notes Revisited," European Financial Management, European Financial Management Association, vol. 5(3), pages 425-440, November.
    See citations under working paper version above.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

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 2 papers 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-BEC: Business Economics (1) 2013-10-25
  2. NEP-CFN: Corporate Finance (1) 2013-10-25
  3. NEP-CWA: Central and Western Asia (1) 2013-10-25
  4. NEP-LAW: Law and Economics (1) 2015-08-25
  5. NEP-SBM: Small Business Management (1) 2013-10-25

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Patrick Navatte should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.