Vassilis Polimenis
Personal Details
First Name: | Vassilis |
Middle Name: | |
Last Name: | Polimenis |
Suffix: | |
RePEc Short-ID: | ppo227 |
[This author has chosen not to make the email address public] | |
Terminal Degree: | 2001 Finance Department; Wharton School of Business; University of Pennsylvania (from RePEc Genealogy) |
Affiliation
Cyprus International Institute of Management (CIIM)
Nicosia, Cyprushttp://www.ciim.ac.cy/
RePEc:edi:ciimacy (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Vassilis Polimenis, 2022. "The Lepto-Variance of Stock Returns," Papers 2207.04867, arXiv.org, revised Oct 2022.
- Vassilis Polimenis, 2020. "Uncovering a factor-based expected return conditioning structure with Regression Trees jointly for many stocks," Papers 2007.08115, arXiv.org.
- Vassilis Polimenis, 2020. "Trading on the Floor after Sweeping the Book," Papers 2001.06445, arXiv.org.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019.
"Non-Stationary Dividend-Price Ratios,"
Papers
1902.06053, arXiv.org.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
- Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005.
"Affine Model for Credit Risk Analysis,"
Working Papers
2005-44, Center for Research in Economics and Statistics.
- C. Gourieroux & A. Monfort & V. Polimenis, 2006. "Affine Models for Credit Risk Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 494-530.
- Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2002. "Affine Term Structure Models," Working Papers 2002-49, Center for Research in Economics and Statistics.
Articles
- Catherine Georgiou & Ioannis Neokosmidis & Vassilis Polimenis, 2022. "Modified ratios and the cyclically adjusted price-earnings ratio," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 27(2), pages 209-231.
- O. Theodosiadou & V. Polimenis & G. Tsaklidis, 2019. "A semi-parametric method for estimating the beta coefficients of the hidden two-sided asset return jumps," Journal of Applied Statistics, Taylor & Francis Journals, vol. 46(12), pages 2180-2197, September.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019.
"Non-stationary dividend-price ratios,"
Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-Stationary Dividend-Price Ratios," Papers 1902.06053, arXiv.org.
- Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016. "The modified dividend–price ratio," International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
- Ourania Theodosiadou & Vassilis Polimenis & George Tsaklidis, 2016. "Sensitivity analysis of market and stock returns by considering positive and negative jumps," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 17(4), pages 456-472, August.
- Vassilis Polimenis & Ioannis Papantonis, 2014. "Jointly estimating jump betas," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 15(2), pages 131-148, March.
- Nikolas L. Hourvouliades & Vassilis Polimenis, 2012. "Day-of-the-week effect around the 2008 financial crisis," Global Business and Economics Review, Inderscience Enterprises Ltd, vol. 14(4), pages 283-307.
- Chung, Y. Peter & Johnson, Herb & Polimenis, Vassilis, 2011. "The critical stock price for the American put option," Finance Research Letters, Elsevier, vol. 8(1), pages 8-14, March.
- Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
- C. Gourieroux & A. Monfort & V. Polimenis, 2006.
"Affine Models for Credit Risk Analysis,"
Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 494-530.
- Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005. "Affine Model for Credit Risk Analysis," Working Papers 2005-44, Center for Research in Economics and Statistics.
- Vassilis Polimenis, 2005. "A realistic model of market liquidity and depth," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(5), pages 443-464, May.
- Polimenis, Vassilis, 2005.
"Slow and fast markets,"
Journal of Economics and Business, Elsevier, vol. 57(6), pages 576-593.
RePEc:eme:jrfpps:v:15:y:2014:i:2:p:131-148 is not listed on IDEAS
RePEc:eme:jrfpps:v:17:y:2016:i:4:p:456-472 is not listed on IDEAS
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
- Vassilis Polimenis & Ioannis Neokosmidis, 2019.
"Non-Stationary Dividend-Price Ratios,"
Papers
1902.06053, arXiv.org.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-stationary dividend-price ratios," Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
Cited by:
- Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 24-37, December.
- Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005.
"Affine Model for Credit Risk Analysis,"
Working Papers
2005-44, Center for Research in Economics and Statistics.
- C. Gourieroux & A. Monfort & V. Polimenis, 2006. "Affine Models for Credit Risk Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 494-530.
Cited by:
- Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
- Alain Monfort & Jean-Paul Renne, 2010.
"Default, Liquidity and Crises : An Econometric Framework,"
Working Papers
2010-46, Center for Research in Economics and Statistics.
- Monfort, A. & Renne, J-P., 2011. "Default, liquidity and crises: an econometric framework," Working papers 340, Banque de France.
- Alain Monfort & Jean-Paul Renne, 2013. "Default, Liquidity, and Crises: an Econometric Framework," Journal of Financial Econometrics, Oxford University Press, vol. 11(2), pages 221-262, March.
- Jérémy Leymarie & Christophe Hurlin & Antoine Patin, 2018.
"Loss Functions for LGD Models Comparison,"
Post-Print
hal-01923050, HAL.
- Christophe Hurlin & Jérémy Leymarie & Antoine Patin, 2018. "Loss functions for LGD model comparison," Working Papers halshs-01516147, HAL.
- Gonzalo Camba-Méndez & Dobromił Serwa, 2014.
"Market perception of sovereign credit risk in the euro area during the financial crisis,"
NBP Working Papers
185, Narodowy Bank Polski.
- Camba-Méndez, Gonzalo & Serwa, Dobromil, 2014. "Market perception of sovereign credit risk in the euro area during the financial crisis," Working Paper Series 1710, European Central Bank.
- Camba-Méndez, Gonzalo & Serwa, Dobromił, 2016. "Market perception of sovereign credit risk in the euro area during the financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 168-189.
- Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
- Gouriéroux, Christian, 2003. "Économétrie de la finance : l’exemple du risque de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 79(4), pages 399-418, Décembre.
- Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
- Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
- Alain Monfort & Olivier Féron, 2011.
"Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options,"
Working Papers
2011-12, Center for Research in Economics and Statistics.
- Alain Monfort & Olivier Féron, 2012. "Joint econometric modeling of spot electricity prices, forwards and options," Review of Derivatives Research, Springer, vol. 15(3), pages 217-256, October.
- Bogdan Constantin VORONEANU, 2013. "Current Trends In The Approach Of The Credit Relationships Between Banks And Companies," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 3(3), pages 91-97, June.
- Hao Wang & Anthony Bellotti & Rong Qu & Ruibin Bai, 2024. "Discrete-Time Survival Models with Neural Networks for Age–Period–Cohort Analysis of Credit Risk," Risks, MDPI, vol. 12(2), pages 1-26, February.
- H. Bertholon & A. Monfort & F. Pegoraro, 2008.
"Econometric Asset Pricing Modelling,"
Journal of Financial Econometrics, Oxford University Press, vol. 6(4), pages 407-458, Fall.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2008. "Econometric Asset Pricing Modelling," Working papers 223, Banque de France.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
- Gouriéroux, C. & Monfort, A. & Renne, J-P., 2013.
"Pricing Default Events: Surprise, Exogeneity and Contagion,"
Working papers
455, Banque de France.
- Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014. "Pricing default events: Surprise, exogeneity and contagion," Journal of Econometrics, Elsevier, vol. 182(2), pages 397-411.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
- Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
- Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005.
"International Money and Stock Market Contingent Claims,"
Working Papers
2005-41, Center for Research in Economics and Statistics.
- Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
- Monfort, A. & Pegoraro, F., 2007.
"Multi-Lag Term Structure Models with Stochastic Risk Premia,"
Working papers
189, Banque de France.
- Alain Monfort & Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Center for Research in Economics and Statistics.
- Patrick Gagliardini, 2005.
"Stochastic Migration Models with Application to Corporate Risk,"
Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 188-226.
- Patrick Gagliardini & Christian Gourieroux, 2004. "Stochastic Migration Models with Application to Corporate Risk," Working Papers 2004-35, Center for Research in Economics and Statistics.
- Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.
- Monfort, Alain & Pegoraro, Fulvio, 2012.
"Asset pricing with Second-Order Esscher Transforms,"
Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1678-1687.
- Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
- Alain MONFORT & Fulvio PEGORARO, 2010. "Asset Pricing with Second-Order Esscher Transforms," Working Papers 2010-54, Center for Research in Economics and Statistics.
- Alain Monfort & Fulvio Pegoraro, 2007.
"Switching VARMA Term Structure Models - Extended Version,"
Working Papers
2007-19, Center for Research in Economics and Statistics.
- Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
Working papers
188, Banque de France.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
- Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
- Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
- Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
- Monfort, A. & Renne, J-P., 2011.
"Credit and liquidity risks in euro area sovereign yield curves,"
Working papers
352, Banque de France.
- Alain Monfort & Jean-Paul Renne, 2011. "Credit and Liquidity Risks in Euro-area Sovereign Yield Curves," Working Papers 2011-26, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
- Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
- Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2002.
"Affine Term Structure Models,"
Working Papers
2002-49, Center for Research in Economics and Statistics.
Cited by:
- Drew D. Creal & Jing Cynthia Wu, 2014.
"Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility,"
NBER Working Papers
20115, National Bureau of Economic Research, Inc.
- Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
- Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2010.
"Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk,"
Working Papers
2010-07, Center for Research in Economics and Statistics.
- Patrick Gagliardini & Christian Gouriéroux, 2011. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 237-280, Spring.
- Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
- Monfort, A., 2009.
"Optimal Portfolio Allocation under Asset and Surplus VaR Constraints,"
Working papers
251, Banque de France.
- Alain Monfort, 2008. "Optimal portfolio allocation under asset and surplus VaR constraints," Journal of Asset Management, Palgrave Macmillan, vol. 9(3), pages 178-192, September.
- Realdon, Marco, 2006.
"Quadratic term structure models in discrete time,"
Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
- Marco Realdon, 2006. "Quadratic Term Structure Models in Discrete Time," Discussion Papers 06/01, Department of Economics, University of York.
- Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005.
"International Money and Stock Market Contingent Claims,"
Working Papers
2005-41, Center for Research in Economics and Statistics.
- Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
- Monfort, A. & Pegoraro, F., 2007.
"Multi-Lag Term Structure Models with Stochastic Risk Premia,"
Working papers
189, Banque de France.
- Alain Monfort & Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Center for Research in Economics and Statistics.
- Marco Realdon, 2006. "The Target Rate and Term Structure of Interest Rates," Discussion Papers 06/15, Department of Economics, University of York.
- Gourieroux, C. & Monfort, A., 2008.
"Quadratic stochastic intensity and prospective mortality tables,"
Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
- Christian Gourieroux & Alain Monfort, 2007. "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers 2007-30, Center for Research in Economics and Statistics.
- Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
- Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
- Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
- Qiang Dai & Kenneth J. Singleton & Wei Yang, 2007.
"Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields,"
The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1669-1706, 2007 12.
- Qiang Dai & Kenneth J. Singleton & Wei Yang, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields," Proceedings, Federal Reserve Bank of San Francisco, issue Mar.
- Nielsen, Heino Bohn & Rahbek, Anders, 2014.
"Unit root vector autoregression with volatility induced stationarity,"
Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit Root Vector Autoregression with volatility Induced Stationarity," CREATES Research Papers 2012-29, Department of Economics and Business Economics, Aarhus University.
- Anders Rahbek & Heino Bohn Nielsen, 2012. "Unit root vector autoregression with volatility induced stationarity," Discussion Papers 12-02, University of Copenhagen. Department of Economics.
- Alain Monfort & Fulvio Pegoraro, 2007.
"Switching VARMA Term Structure Models - Extended Version,"
Working Papers
2007-19, Center for Research in Economics and Statistics.
- Monfort, A. & Pegoraro, F., 2007. "Switching VARMA Term Structure Models - Extended Version," Working papers 191, Banque de France.
- Bertholon, H. & Monfort, A. & Pegoraro, F., 2007.
"Pricing and Inference with Mixtures of Conditionally Normal Processes,"
Working papers
188, Banque de France.
- Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2006. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working Papers 2006-28, Center for Research in Economics and Statistics.
- Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021.
"Estimation of a nonparametric model for bond prices from cross-section and time series information,"
Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.
- Bonsoo Koo & Davide La Vecchia & Oliver Linton, 2020. "Estimation of a Nonparametric Model for Bond Prices from Cross-Section and Time Series Information," Monash Econometrics and Business Statistics Working Papers 4/20, Monash University, Department of Econometrics and Business Statistics.
- Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
- Drew D. Creal & Jing Cynthia Wu, 2014.
"Estimation of Affine Term Structure Models with Spanned or Unspanned Stochastic Volatility,"
NBER Working Papers
20115, National Bureau of Economic Research, Inc.
Articles
- Vassilis Polimenis & Ioannis Neokosmidis, 2019.
"Non-stationary dividend-price ratios,"
Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
See citations under working paper version above.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-Stationary Dividend-Price Ratios," Papers 1902.06053, arXiv.org.
- Polimenis, Vassilis & Neokosmidis, Ioannis M., 2016.
"The modified dividend–price ratio,"
International Review of Financial Analysis, Elsevier, vol. 45(C), pages 31-38.
Cited by:
- Catherine Georgiou, 2022. "Modifications on Book-Valued Ratios," International Journal of Business and Economic Sciences Applied Research (IJBESAR), International Hellenic University (IHU), Kavala Campus, Greece (formerly Eastern Macedonia and Thrace Institute of Technology - EMaTTech), vol. 15(3), pages 24-37, December.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019.
"Non-stationary dividend-price ratios,"
Journal of Asset Management, Palgrave Macmillan, vol. 20(7), pages 552-567, December.
- Vassilis Polimenis & Ioannis Neokosmidis, 2019. "Non-Stationary Dividend-Price Ratios," Papers 1902.06053, arXiv.org.
- Algaba, Andres & Boudt, Kris, 2017. "Generalized financial ratios to predict the equity premium," Economic Modelling, Elsevier, vol. 66(C), pages 244-257.
- Ed-Dafali, Slimane & Patel, Ritesh & Iqbal, Najaf, 2023. "A bibliometric review of dividend policy literature," Research in International Business and Finance, Elsevier, vol. 65(C).
- Chung, Y. Peter & Johnson, Herb & Polimenis, Vassilis, 2011.
"The critical stock price for the American put option,"
Finance Research Letters, Elsevier, vol. 8(1), pages 8-14, March.
Cited by:
- Liu, Yanchu & Cui, Zhenyu & Zhang, Ning, 2016. "Integral representation of vega for American put options," Finance Research Letters, Elsevier, vol. 19(C), pages 204-208.
- Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008.
"Optimal portfolio allocation with higher moments,"
Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
Cited by:
- M. Haley, 2014. "Gaussian and logistic adaptations of smoothed safety first," Annals of Finance, Springer, vol. 10(2), pages 333-345, May.
- Gomez-Gonzalez, Jose Eduardo & Hirs-Garzon, Jorge & Uribe, Jorge M., 2020. "Spillovers beyond the variance: exploring the natural gas and oil higher order risk linkages with the global financial markets," Working papers 46, Red Investigadores de Economía.
- Redouane Elkamhia & Denitsa Stefanova, 2011. "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers 11-028/2/DSF10, Tinbergen Institute.
- Buckley, Winston & Long, Hongwei & Marshall, Mario, 2016. "Numerical approximations of optimal portfolios in mispriced asymmetric Lévy markets," European Journal of Operational Research, Elsevier, vol. 252(2), pages 676-686.
- Xuan Vinh Vo & Thi Tuan Anh Tran, 2021. "Higher-order comoments and asset returns: evidence from emerging equity markets," Annals of Operations Research, Springer, vol. 297(1), pages 323-340, February.
- Julien Chevallier & Benoît Sévi, 2014.
"On the Stochastic Properties of Carbon Futures Prices,"
Post-Print
hal-01474249, HAL.
- Julien Chevallier & Benoît Sévi, 2012. "On the Stochastic Properties of Carbon Futures Prices," Working Papers halshs-00720166, HAL.
- Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2013.
"Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures,"
Monash Econometrics and Business Statistics Working Papers
28/13, Monash University, Department of Econometrics and Business Statistics.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2017. "Inference on Self‐Exciting Jumps in Prices and Volatility Using High‐Frequency Measures," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 504-532, April.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Papers 1401.3911, arXiv.org, revised Mar 2016.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2016. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 8/16, Monash University, Department of Econometrics and Business Statistics.
- Worapree Maneesoonthorn & Catherine S. Forbes & Gael M. Martin, 2014. "Inference on Self-Exciting Jumps in Prices and Volatility using High Frequency Measures," Monash Econometrics and Business Statistics Working Papers 30/14, Monash University, Department of Econometrics and Business Statistics.
- Frederik Herzberg, 2013. "First steps towards an equilibrium theory for Lévy financial markets," Annals of Finance, Springer, vol. 9(3), pages 543-572, August.
- Hayette Gatfaoui, 2010.
"Investigating the dependence structure between credit default swap spreads and the U.S. financial market,"
Annals of Finance, Springer, vol. 6(4), pages 511-535, October.
- Hayette Gatfaoui, 2010. "Investigating the Dependence Structure between Credit Default Swap Spreads and the U.S. Financial Market," Post-Print hal-00565525, HAL.
- Dimitri Vallière & Yuri Kabanov & Emmanuel Lépinette, 2016. "Consumption-investment problem with transaction costs for Lévy-driven price processes," Finance and Stochastics, Springer, vol. 20(3), pages 705-740, July.
- Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017.
"Harmful Diversification: Evidence from Alternative Investments,"
ICMA Centre Discussion Papers in Finance
icma-dp2017-09, Henley Business School, University of Reading.
- Platanakis, Emmanouil & Sakkas, Athanasios & Sutcliffe, Charles, 2019. "Harmful diversification: Evidence from alternative investments," The British Accounting Review, Elsevier, vol. 51(1), pages 1-23.
- Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.
- Massimo Guidolin & Giovanna Nicodano, 2009.
"Small caps in international equity portfolios: the effects of variance risk,"
Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
- Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy).
- Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis.
- Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2011.
"Can standard preferences explain the prices of out-of-the-money S&P 500 put options?,"
Working Paper Series
WP-2011-11, Federal Reserve Bank of Chicago.
- Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Can Standard Preferences Explain the Prices of out of the Money S&P 500 Put Options," NBER Working Papers 11861, National Bureau of Economic Research, Inc.
- Xing Jin & Dan Luo & Xudong Zeng, 2021. "Tail Risk and Robust Portfolio Decisions," Management Science, INFORMS, vol. 67(5), pages 3254-3275, May.
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Cited by:
- Vassilis Polimenis, 2020. "Trading on the Floor after Sweeping the Book," Papers 2001.06445, arXiv.org.
- Polimenis, Vassilis, 2005. "Slow and fast markets," Journal of Economics and Business, Elsevier, vol. 57(6), pages 576-593.
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NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 4 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.- NEP-FMK: Financial Markets (1) 2020-08-17
- NEP-FOR: Forecasting (1) 2019-02-25
- NEP-HME: Heterodox Microeconomics (1) 2022-08-29
- NEP-MST: Market Microstructure (1) 2020-02-03
- NEP-RMG: Risk Management (1) 2022-08-29
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