Pierre Giot

Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Rempart de la Vierge 8

B-5000 Namur

Belgium

SCHOLARLY PAPERS

26

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CITATIONS
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222

Scholarly Papers (26)

1.

Implied Volatility Indices as Leading Indicators of Stock Index Returns?

CORE Discussion Paper No. 2002/50
Number of pages: 35 Posted: 27 Feb 2003
Pierre Giot
Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 1,616 (7,026)
Citation 3

Abstract:

Implied volatility, VIX index, trading, return and risk

2.

IPOs, Trade Sales and Liquidations: Modelling Venture Capital Exits Using Survival Analysis

Number of pages: 31
Pierre Giot and Armin Schwienbacher
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and SKEMA Business School
Downloads 810 (19,898)
Citation 25

Abstract:

venture capital, divestment, IPO, trade sale, survival analysis

3.

The Information Content of Implied Volatility Indexes for Forecasting Volatility and Market Risk

Number of pages: 54 Posted: 15 Jan 2003
Pierre Giot
Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 686 (26,345)
Citation 4

Abstract:

VIX, Implied volatility, Volatility forecast, VaR, Density forecasts

An International Analysis of Earnings, Stock Prices and Bond Yields

ECB Working Paper No. 515
Number of pages: 51 Posted: 26 Aug 2005
Alain Durré and Pierre Giot
European Central Bank (ECB) - Directorate General Economics and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 385 (59,094)
Citation 12

Abstract:

stock indexes, earnings, long-run relationships, interest rates, inflation, market valuation

An International Analysis of Earnings, Stock Prices and Bond Yields

National Bank of Belgium Working Paper No. 73
Number of pages: 53 Posted: 13 Oct 2010
Alain Durré and Pierre Giot
European Central Bank (ECB) - Directorate General Economics and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 47 (329,946)
Citation 12

Abstract:

stock indexes, earnings, long-run relationships, interest rates, inflation, market valuation

An International Analysis of Earnings, Stock Prices and Bond Yields

Journal of Business Finance & Accounting, Vol. 34, No. 3-4, pp. 613-641, April/May 2007
Number of pages: 29 Posted: 04 Jun 2007
Alain Durré and Pierre Giot
European Central Bank (ECB) - Directorate General Economics and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 14 (478,492)
Citation 12
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Abstract:

5.

Modelling Daily Value-At-Risk Using Realized Volatility and Arch Type Models

Universiteit Maastricht Meteor Working Paper No. RM/01/026
Number of pages: 25 Posted: 28 Jan 2003
Pierre Giot and Sébastien Laurent
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM)
Downloads 429 (47,692)
Citation 40

Abstract:

Value-at-Risk, Realized Volatility, Skewed Student Distribution, APARCH

6.

Dynamic Asset Allocation Between Stocks and Bonds Using the Bond-Equity Yield Ratio

CORE Discussion Paper No. 2005/10
Number of pages: 55 Posted: 23 Feb 2006
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Louvain School of Management (UCL)
Downloads 416 (51,343)

Abstract:

7.

The Logarithmic ACD Model: An Application to the Bid-Ask Quote Process of Three NYSE Stocks

Annales d'Economie et de Statistique, Vol. 60, pp. 117-149, 2000
Number of pages: 34 Posted: 22 Feb 2006
Luc Bauwens and Pierre Giot
Université catholique de Louvain and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 394 (50,798)
Citation 45

Abstract:

duration, high frquency data, liquidity, market microstructure

8.

The Asian Financial Crisis: The Start of a Regime Switch in Volatility

Number of pages: 9 Posted: 24 Jun 2003
Pierre Giot
Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 357 (63,762)
Citation 1

Abstract:

implied volatility, financial crisis, Markov switching model, stock market

News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

CORE Discussion Paper
Number of pages: 27 Posted: 07 May 2003
Walid Ben Omrane, Luc Bauwens and Pierre Giot
Brock University - Department of Finance, Operations and Information Systems (FOIS), Université catholique de Louvain and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 353 (65,518)
Citation 21

Abstract:

foreign exchange market, volatility, news announcements, high frequency data

News Announcements, Market Activity and Volatility in the Euro/Dollar Foreign Exchange Market

Journal of Internztional Money and Finance, Vol. 24, pp. 1108-1125, 2005
Posted: 21 Feb 2006
Luc Bauwens, Walid Ben Omrane and Pierre Giot
Université catholique de Louvain, Brock University - Department of Finance, Operations and Information Systems (FOIS) and Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Abstract:

foreign exchange market, volatility, news announcements, high frequency data

10.

How Large is Liquidity Risk in an Automated Auction Market?

U of St. Gallen Dept. of Economics Working Paper No. 2002-23
Number of pages: 35 Posted: 14 Nov 2002
Joachim Grammig and Pierre Giot
Eberhard Karls Universitaet Tübingen and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 303 (77,244)
Citation 8

Abstract:

Liquidity, Value-at-Risk, Microstructure

11.

Asymmetric ACD Models: Introducing Price Information in ACD Models with a Two State Transition Model

Empirical Economics, Vol. 28, No. 4, pp. 709-731
Number of pages: 24 Posted: 08 Apr 2005
Luc Bauwens and Pierre Giot
Université catholique de Louvain and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 292 (76,683)
Citation 7

Abstract:

Duration and transition model, High frequency data, Market microstructure

12.

International Stock Return Predictability: Statistical Evidence and Economic Significance

Quantitative FInance, Vol. 11 (2), 2011
Number of pages: 65 Posted: 06 Dec 2006 Last Revised: 23 Jan 2016
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Louvain School of Management (UCL)
Downloads 274 (85,612)
Citation 5

Abstract:

13.

Short-Term Market Timing Using the Bond-Equity Yield Ratio

European Journal of Finance, 15(4), 2009.
Number of pages: 28 Posted: 06 Dec 2006 Last Revised: 23 Jan 2016
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Louvain School of Management (UCL)
Downloads 246 (91,594)
Citation 2

Abstract:

14.

Expected and Unexpected Cost of Trading in the Xetra Automated Auction Market

Number of pages: 19 Posted: 20 Feb 2002
Facultés Universitaires Notre-Dame de la Paix (FUNDP), Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Eberhard Karls Universitaet Tübingen
Downloads 212 (112,579)
Citation 1

Abstract:

XETRA, automated auction market, market liquidity, trading risk, intraday data

15.

The Moments of Log-ACD Models

CORE Discussion Paper
Number of pages: 26 Posted: 25 Feb 2003
Luc Bauwens, Fausto Galli and Pierre Giot
Université catholique de Louvain, Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 207 (107,693)
Citation 10

Abstract:

Duration model, overdispersion, autocorrelation function, high frequency financial data

16.
Downloads 194 (124,796)
Citation 5

Commonalities in the Order Book

CORE Discussion Paper
Number of pages: 45 Posted: 23 Feb 2006
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Eberhard Karls Universitaet Tübingen
Downloads 194 (124,587)
Citation 5

Abstract:

limit order book, commonalities, liquidity, market microstructure

Commonalities in the Order Book

Financial Markets and Portfolio Management, Vol. 23, No. 3, pp. 209-242, 2009
Posted: 20 Jun 2010
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Eberhard Karls Universitaet Tübingen

Abstract:

Limit order book, Commonalities, Liquidity, Market microstructure

17.

A Comparison of Financial Duration Models via Density Forecast

International Journal of Forecasting, Vol. 20, pp. 589-604
Number of pages: 37 Posted: 09 Sep 2005
Université catholique de Louvain, Eberhard Karls Universitaet Tübingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 189 (119,658)
Citation 21

Abstract:

Duration processes, transactions data, intra-day financial markets, density forecast evaluation

18.

The Information Content of the Bond-Equity Yield Ratio: Better than a Random Walk?

International Journal of Forecasting, Vol. 27, No. 2, 2007
Number of pages: 46 Posted: 06 Dec 2006 Last Revised: 23 Jan 2016
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Louvain School of Management (UCL)
Downloads 169 (139,458)

Abstract:

19.

Trading Activity, Realized Volatility and Jumps

Journal of Empirical Finance, Vol. 17, 2010
Number of pages: 35 Posted: 19 Jan 2009 Last Revised: 23 Jan 2016
Facultés Universitaires Notre-Dame de la Paix (FUNDP), French National Center for Scientific Research (CNRS) - Research Group in Quantitative Saving (GREQAM) and Louvain School of Management (UCL)
Downloads 119 (177,425)
Citation 11

Abstract:

volume, volatility, transactions, jumps, bi-power variation

20.

Volatility Regimes and the Provision of Liquidity in Order Book Markets

CORE Discussion Paper No. 2005/12
Number of pages: 41 Posted: 08 Feb 2006
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), European Central Bank (ECB) - Directorate General Economics and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 113 (192,438)

Abstract:

order book, volatility, liquidity

21.

The Asian Financial Crisis: the Start of a Regime Switch in Volatility'

CORE Discussion Paper No. 2003/78
Number of pages: 9 Posted: 25 May 2007
Pierre Giot
Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 105 (205,476)
Citation 1

Abstract:

implied volatility, financial crisis, Markov switching model, stock market.

22.

Private Equity Fundraising and Firm Specialization

Number of pages: 42 Posted: 09 Oct 2012 Last Revised: 05 Jun 2015
IESEG School of Management, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and SKEMA Business School
Downloads 89 (170,149)

Abstract:

Private equity, specialization, fundraising, competing risks model

23.

Are Novice Private Equity Funds Risk-Takers? Evidence from a Comparison with Established Funds

29th International Conference of the French Finance Association (AFFI) 2012, Journal of Corporate Finance, Vol. 27, No. 55-71, 2014
Number of pages: 40 Posted: 05 Nov 2012 Last Revised: 20 Feb 2015
Pierre Giot, Ulrich Hege and Armin Schwienbacher
Facultés Universitaires Notre-Dame de la Paix (FUNDP), Toulouse School of Economics and SKEMA Business School
Downloads 78 (211,187)

Abstract:

private equity funds, venture capital, buyouts, learning, reputation, risk-taking.

24.

How Does Liquidity React to Stress Periods in a Limit Order Market?

National Bank of Belgium Working Paper No. 49
Number of pages: 67 Posted: 14 Oct 2010
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), European Central Bank (ECB) - Directorate General Economics and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 38 (349,062)

Abstract:

order book, volatility, liquidity

Market Models: A Guide to Financial Data Analysis

Journal of Financial Econometrics, Vol. 1, No. 3, pp. 471-473, 2003
Posted: 29 Feb 2008
Pierre Giot
Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Abstract:

Market Models: A Guide to Financial Data Analysis

Journal of Financial Econometrics, Vol. 1, pp. 471-473, 2003
Posted: 29 Feb 2008
Pierre Giot
Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Abstract:

26.

Liquidity Co-Movements, Market Capitalization, and Volatility

FInance (Journal of the French Finance Association), Vol. 31 (1), 2010
Posted: 21 Mar 2007 Last Revised: 23 Jan 2016
Catholic University of Lille - Institut d'Économie Scientifique et de Gestion (IESEG), Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Louvain School of Management (UCL)

Abstract:

commonality, liquidity, volatility, regime, market, capitalization, index