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Pierre Giot · Study
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Author
Pierre Giot
28 works
· latest 2016
· 4 institutions
cluster: provisional
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26
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28
Citations
3,986
Works here
28
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Most cited in this library
Relationships Between Implied Volatility Indexes and Stock Index Returns
2005 · 432 citations
Modelling daily Value-at-Risk using realized volatility and ARCH type models
2004 · 399 citations
Value‐at‐risk for long and short trading positions
2003 · 373 citations
IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis
2006 · 300 citations
Market risk in commodity markets: a VaR approach
2003 · 263 citations
Works
28 shown
Private equity fundraising and firm specialization
The Quarterly Review of Economics and Finance
·
2016
·
3 authors
22
citations
Are novice private equity funds risk-takers? Evidence from a comparison with established funds
Journal of Corporate Finance
·
2014
·
3 authors
·
Open access
23
citations
How Does Liquidity React to Stress Periods in a Limit Order Market?
SSRN Electronic Journal
·
2010
·
3 authors
·
preprint
·
Open access
162
citations
An International Analysis of Earnings, Stock Prices and Bond Yields
SSRN Electronic Journal
·
2010
·
2 authors
·
preprint
·
Open access
123
citations
Trading activity, realized volatility and jumps
Journal of Empirical Finance
·
2009
·
3 authors
159
citations
Trading Activity, Realized Volatility and Jumps
SSRN Electronic Journal
·
2008
·
3 authors
·
preprint
·
Open access
72
citations
An International Analysis of Earnings, Stock Prices and Bond Yields
Journal of Business Finance & Accounting
·
2007
·
2 authors
32
citations
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility
Journal of Futures Markets
·
2007
·
2 authors
98
citations
IPOs, trade sales and liquidations: Modelling venture capital exits using survival analysis
Journal of Banking & Finance
·
2006
·
2 authors
300
citations
News announcements, market activity and volatility in the euro/dollar foreign exchange market
Journal of International Money and Finance
·
2005
·
3 authors
·
Open access
217
citations
How large is liquidity risk in an automated auction market?
Empirical Economics
·
2005
·
2 authors
42
citations
Market risk models for intraday data
European Journal of Finance
·
2005
·
1 author
126
citations
Implied Volatility Indexes and Daily Value at Risk Models
The Journal of Derivatives
·
2005
·
1 author
104
citations
Relationships Between Implied Volatility Indexes and Stock Index Returns
The Journal of Portfolio Management
·
2005
·
1 author
432
citations
An International Analysis of Earnings, Stock Prices and Bond Yields
SSRN Electronic Journal
·
2005
·
2 authors
·
preprint
·
Open access
71
citations
Modelling daily Value-at-Risk using realized volatility and ARCH type models
Journal of Empirical Finance
·
2004
·
2 authors
399
citations
A comparison of financial duration models via density forecasts
International Journal of Forecasting
·
2003
·
4 authors
·
Open access
212
citations
Asymmetric ACD models: Introducing price information in ACD models
Empirical Economics
·
2003
·
2 authors
125
citations
Market risk in commodity markets: a VaR approach
Energy Economics
·
2003
·
2 authors
·
Open access
263
citations
Value‐at‐risk for long and short trading positions
Journal of Applied Econometrics
·
2003
·
2 authors
·
Open access
373
citations
The information content of implied volatility in agricultural commodity markets
Journal of Futures Markets
·
2003
·
1 author
·
Open access
78
citations
Modelling Daily Value-at-Risk Using Realized Volatility and Arch Type Models
SSRN Electronic Journal
·
2003
·
2 authors
·
preprint
·
Open access
79
citations
The Moments of Log-Acd Models
SSRN Electronic Journal
·
2003
·
3 authors
·
preprint
·
Open access
47
citations
Market Models: A Guide to Financial Data Analysis
SSRN Electronic Journal
·
2003
·
1 author
·
preprint
·
Open access
31
citations
Econometric Modelling of Stock Market Intraday Activity
Advanced studies in theoretical and applied econometrics
·
2001
·
2 authors
·
book
129
citations
The logarithmic ACD model : an application to the bid-ask quote process and three NYSE stocks
Annals of Economics and Statistics
·
2000
·
2 authors
91
citations
Time transformations, intraday data, and volatility models
The Journal of Computational Finance
·
2000
·
1 author
88
citations
The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks
SSRN Electronic Journal
·
2000
·
2 authors
·
preprint
·
Open access
88
citations