Ielpo, Florian : rechercher sur Z-Library

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1

Commodity markets through the business cycle

Chevallier, Julien, Gatumel, Mathieu, Ielpo, Florian

Journal:

Quantitative Finance

Année:

2014

Langue:

english

Fichier:

PDF, 438 KB

english, 2014

2

Understanding momentum in commodity markets

Chevallier, Julien, Gatumel, Mathieu, Ielpo, Florian

Journal:

Applied Economics Letters

Année:

2013

Langue:

english

Fichier:

PDF, 522 KB

english, 2013

3

“Time series momentum” in commodity markets

Chevallier, Julien, Ielpo, Florian

Journal:

Managerial Finance

Année:

2014

Langue:

english

Fichier:

PDF, 230 KB

english, 2014

4

Option pricing for GARCH-type models with generalized hyperbolic innovations

Chorro, Christophe, Guégan, Dominique, Ielpo, Florian

Journal:

Quantitative Finance

Année:

2012

Langue:

english

Fichier:

PDF, 447 KB

english, 2012

5

Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals

Blin, Olivier, Ielpo, Florian, Lee, Joan, Teiletche, Jerome

Journal:

SSRN Electronic Journal

Année:

2018

Langue:

english

Fichier:

PDF, 675 KB

english, 2018

6

Volatility spillovers in commodity markets

Chevallier, Julien, Ielpo, Florian

Journal:

Applied Economics Letters

Année:

2013

Langue:

english

Fichier:

PDF, 763 KB

english, 2013

7

Forecasting the European Credit Cycle Using Macroeconomic Variables

Journal:

Journal of Forecasting

Année:

2012

Langue:

english

Fichier:

PDF, 964 KB

english, 2012

8

THE NUMBER OF REGIMES ACROSS ASSET RETURNS: IDENTIFICATION AND ECONOMIC VALUE

GATUMEL, MATHIEU, IELPO, FLORIAN

Journal:

International Journal of Theoretical and Applied Finance

Année:

2014

Langue:

english

Fichier:

PDF, 382 KB

english, 2014

9

HEDGING (CO)VARIANCE RISK WITH VARIANCE SWAPS

DA FONSECA, JOSÉ, GRASSELLI, MARTINO, IELPO, FLORIAN

Journal:

International Journal of Theoretical and Applied Finance

Année:

2011

Langue:

english

Fichier:

PDF, 1.74 MB

english, 2011

10

Determining the Maximum Number of Uncorrelated Strategies in a Global Portfolio

Boon, Ling-Ni, Ielpo, Florian

Journal:

The Journal of Alternative Investments

Année:

2014

Langue:

english

Fichier:

PDF, 2.04 MB

english, 2014

11

Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function

Da Fonseca, José, Grasselli, Martino, Ielpo, Florian

Journal:

Studies in Nonlinear Dynamics and Econometrics

Année:

2014

Langue:

english

Fichier:

PDF, 3.84 MB

english, 2014

12

An anatomy of global risk premiums

Boon, Ling-Ni, Ielpo, Florian

Journal:

Journal of Asset Management

Année:

2016

Langue:

english

Fichier:

PDF, 293 KB

english, 2016

13

Engineering Investment Process || Active Portfolio Construction

Année:

2017

Langue:

english

Fichier:

PDF, 2.99 MB

english, 2017

14

Engineering Investment Process || Gauging Economic Influences on Quantitative Strategies

Année:

2017

Langue:

english

Fichier:

PDF, 961 KB

english, 2017

15

Engineering Investment Process || Backtesting and Statistical Significance of Performance

Année:

2017

Langue:

english

Fichier:

PDF, 1.30 MB

english, 2017

16

Fundamental bubbles in equity markets

Ielpo, Florian, Kniahin, Mikita

Journal:

Soft Computing - A Fusion of Foundations, Methodologies and Applications

Année:

2019

Fichier:

PDF, 772 KB

2019

17

Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event

Julien Chevallier, Florian Ielpo, Ludovic Mercier

Journal:

Année:

2009

Langue:

english

Fichier:

PDF, 678 KB

english, 2009

18

Empirical bias in intraday volatility measures

Fang, Yan, Ielpo, Florian, Sévi, Benoît

Journal:

Finance Research Letters

Année:

2012

Langue:

english

Fichier:

PDF, 186 KB

english, 2012

19

Twenty years of jumps in commodity markets

Chevallier, Julien, Ielpo, Florian

Journal:

International Review of Applied Economics

Année:

2014

Langue:

english

Fichier:

PDF, 402 KB

english, 2014

20

Mean-reversion properties of implied volatilities

Ielpo, Florian, Simon, Guillaume

Journal:

European Journal of Finance

Année:

2010

Langue:

english

Fichier:

PDF, 310 KB

english, 2010

21

Option pricing with discrete time jump processes

Guégan, Dominique, Ielpo, Florian, Lalaharison, Hanjarivo

Journal:

Journal of Economic Dynamics and Control

Année:

2013

Langue:

english

Fichier:

PDF, 1.59 MB

english, 2013

22

Investigating the leverage effect in commodity markets with a recursive estimation approach

Chevallier, Julien, Ielpo, Florian

Journal:

Research in International Business and Finance

Année:

2014

Langue:

english

Fichier:

PDF, 995 KB

english, 2014

23

A Time Series Approach to Option Pricing ||

Chorro, Christophe, Guégan, Dominique, Ielpo, Florian

Année:

2015

Langue:

english

Fichier:

PDF, 3.68 MB

english, 2015

24

Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production

Chevallier, Julien, Ielpo, Florian

Journal:

Australian Economic Review

Année:

2014

Langue:

english

Fichier:

PDF, 200 KB

english, 2014

25

Cross-market linkages between commodities, stocks and bonds

Chevallier, Julien, Ielpo, Florian

Journal:

Applied Economics Letters

Année:

2013

Langue:

english

Fichier:

PDF, 445 KB

english, 2013

26

Equity, credit and the business cycle

Journal:

Applied Financial Economics

Année:

2012

Langue:

english

Fichier:

PDF, 313 KB

english, 2012

27

A Time Series Approach to Option Pricing || From Time Series of Returns to Option Prices: The Stochastic Discount Factor Approach

Chorro, Christophe, Guégan, Dominique, Ielpo, Florian

Année:

2015

Langue:

english

Fichier:

PDF, 588 KB

english, 2015

28

Forward Rates, Monetary Policy and the Economic Cycle

Journal:

Journal of Forecasting

Année:

2015

Langue:

english

Fichier:

PDF, 1.05 MB

english, 2015

29

Engineering Investment Process || Understanding the Investment Universe

Année:

2017

Langue:

english

Fichier:

PDF, 674 KB

english, 2017

30

Sector Spillovers in Credit Markets

Collet, Jerome, Ielpo, Florian

Journal:

Journal of Banking & Finance

Année:

2018

Langue:

english

Fichier:

PDF, 1.43 MB

english, 2018

31

Mean-reversion Properties of Implied Volatilities

Ielpo, Florian, Simon, Guillaume

Journal:

SSRN Electronic Journal

Année:

2010

Langue:

english

Fichier:

PDF, 335 KB

english, 2010

32

Forecasting the European Credit Cycle Using Macroeconomic Variables

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 445 KB

english, 2011

33

Testing for leverage effects in the returns of US equities

Chorro, Christophe, Guégan, Dominique, Ielpo, Florian, Lalaharison, Hanjarivo

Journal:

Journal of Empirical Finance

Année:

2018

Langue:

english

Fichier:

PDF, 721 KB

english, 2018

34

Forward Rates, Monetary Policy and the Economic Cycle

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 1.04 MB

english, 2011

35

The Number of Regimes Across Asset Returns: Identification and Economic Value

Gatumel, Mathieu, Ielpo, Florian

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 524 KB

english, 2011

36

Option Pricing for GARCH-Type Models with Generalized Hyperbolic Innovations

Guegan, Dominique, Chorro, Christophe, Ielpo, Florian

Journal:

SSRN Electronic Journal

Année:

2010

Langue:

english

Fichier:

PDF, 1.14 MB

english, 2010

37

Equity, Credit and the Business Cycle

Journal:

SSRN Electronic Journal

Année:

2011

Langue:

english

Fichier:

PDF, 850 KB

english, 2011

38

Sector Spillovers in Credit Markets

Collet, Jerome, Ielpo, Florian

Journal:

SSRN Electronic Journal

Année:

2017

Langue:

english

Fichier:

PDF, 1.95 MB

english, 2017

39

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function

Da Fonseca, José, Grasselli, Martino, Ielpo, Florian

Journal:

SSRN Electronic Journal

Année:

2007

Langue:

english

Fichier:

PDF, 742 KB

english, 2007

40

Hedging (Co)Variance Risk with Variance Swaps

Da Fonseca, José, Grasselli, Martino, Ielpo, Florian

Journal:

SSRN Electronic Journal

Année:

2008

Langue:

english

Fichier:

PDF, 1.87 MB

english, 2008

41

Engineering Investment Process || Dealing with Risk Factors

Année:

2017

Langue:

english

Fichier:

PDF, 14.74 MB

english, 2017

42

Macroeconomic Fundamentals to the Commodity Risk Premium

Boon, Ling-Ni, Ielpo, Florian

Journal:

SSRN Electronic Journal

Année:

2016

Langue:

english

Fichier:

PDF, 280 KB

english, 2016

43

Measuring Risk Appetite from Financial Assets' Excess Returns

Gatumel, Mathieu, Ielpo, Florian

Journal:

SSRN Electronic Journal

Année:

2013

Langue:

english

Fichier:

PDF, 664 KB

english, 2013

44

Risk Aversion and Institutional Information Disclosure on the European Carbon Market: A Case-Study of the 2006 Compliance Event

Chevallier, Julien, Ielpo, Florian, Mercier, Ludovic

Journal:

SSRN Electronic Journal

Année:

2008

Langue:

english

Fichier:

PDF, 593 KB

english, 2008

45

Testing for Leverage Effect in Financial Returns

Chorro, Christophe, Guegan, Dominique, Ielpo, Florian, Lalaharison, Hanjarivo

Journal:

SSRN Electronic Journal

Année:

2014

Langue:

english

Fichier:

PDF, 383 KB

english, 2014

46

Engineering Investment Process || Introduction

Année:

2017

Fichier:

PDF, 375 KB

2017

47

The contribution of intraday jumps to forecasting the density of returns

Chorro, Christophe, Ielpo, Florian, SÃ©vi, BenoÃ®t

Journal:

Journal of Economic Dynamics and Control

Année:

2020

Fichier:

PDF, 1.65 MB

2020