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Patrick Navatte

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Personal Details

First Name:Patrick
Middle Name:
Last Name:Navatte
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RePEc Short-ID:pna376
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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. 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.
    2. Zhu, Zhengjie & Tian, Jia, 2024. "Minimum wage and corporate investment efficiency: Evidence from China," Finance Research Letters, Elsevier, vol. 59(C).
    3. Al-Faryan, Mamdouh Abdulaziz Saleh, 2021. "The Effect of Board Composition and Managerial Pay on Saudi Firm Performance," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, issue Online fi.
    4. 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).
    5. 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.
    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. 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.
    2. 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.
    3. 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.
    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. João Pedro Vidal Nunes, 2004. "MultiFactor Valuation of Floating Range Notes," Mathematical Finance, Wiley Blackwell, vol. 14(1), pages 79-97, January.
    3. 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.
    4. 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.
    5. 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.
    6. Bong-Gyu Jang & Kum-Hwan Roh, 2009. "Valuing qualitative options with stochastic volatility," Quantitative Finance, Taylor & Francis Journals, vol. 9(7), pages 819-825.
    7. 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.
    8. 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.

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. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
    2. 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.
    3. 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.
    4. 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.
    5. Kabir K. Dutta & David F. Babbel, 2002. "Extracting Probabilistic Information from the Prices of Interest Rate Options: Tests of Distributional Assumptions," Center for Financial Institutions Working Papers 02-26, Wharton School Center for Financial Institutions, University of Pennsylvania.
    6. Jin Zhang & Yi Xiang, 2008. "The implied volatility smirk," Quantitative Finance, Taylor & Francis Journals, vol. 8(3), pages 263-284.
    7. 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.
    8. 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.
    9. 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.
    10. 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).
    11. 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.
    12. 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.
    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. 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.
    3. Xuan Vinh Vo & Kevin Daly, 2008. "Volatility amongst firms in the Dow Jones Eurostoxx50 Index," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 569-582.
    4. 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.
    5. 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.
    6. 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.
    7. 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.
    8. 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.
    9. 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.
    10. 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.
    11. 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.
    12. 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.
    13. 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.
    14. 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.
    15. 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.
    16. George Skiadopoulos, 2004. "The Greek implied volatility index: construction and properties," Applied Financial Economics, Taylor & Francis Journals, vol. 14(16), pages 1187-1196.

  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.

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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 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

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