Pierre Giot

Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Rempart de la Vierge 8

B-5000 Namur

Belgium

  • Facultés Universitaires Notre-Dame de la Paix (FUNDP)

SCHOLARLY PAPERS

26

DOWNLOADS
Rank 5,671

SSRN RANKINGS

Top 5,671

in Total Papers Downloads

9,639

SSRN CITATIONS
Rank 2,579

SSRN RANKINGS

Top 2,579

in Total Papers Citations

104

CROSSREF CITATIONS

418

Scholarly Papers (26)

Actions:
Email selected abstracts
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 1,938 (10,372)
Citation 16

Abstract:

Loading...

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 976 (29,447)
Citation 5

Abstract:

Loading...

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 795 (39,210)
Citation 7

Abstract:

Loading...

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

4.

An International Analysis of Earnings, Stock Prices and Bond Yields

Downloads 539 ( 65,092)
Citation 49

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 464 (77,513)

Abstract:

Loading...

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 61 (443,859)
Citation 50

Abstract:

Loading...

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 (711,602)
Citation 4
  • Add to Cart

Abstract:

Loading...

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 AMSE
Downloads 504 (70,820)
Citation 36

Abstract:

Loading...

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

6.

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 495 (72,386)
Citation 2

Abstract:

Loading...

duration, high frquency data, liquidity, market microstructure

7.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 477 (75,757)

Abstract:

Loading...

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 379 (99,155)
Citation 4

Abstract:

Loading...

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

9.

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

Downloads 379 ( 99,155)
Citation 10

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 379 (98,340)
Citation 10

Abstract:

Loading...

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:

Loading...

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 Universität Tübingen and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 325 (117,700)
Citation 8

Abstract:

Loading...

Liquidity, Value-at-Risk, Microstructure

11.

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

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 321 (119,283)

Abstract:

Loading...

Duration and transition model, High frequency data, Market microstructure

12.

On the statistical and economic performance of stock return predictive regression models: an international perspective

Quantitative FInance, Vol. 11 (2), 2011
Number of pages: 36 Posted: 06 Dec 2006 Last Revised: 19 Jan 2021
Pierre Giot and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 304 (126,363)
Citation 5

Abstract:

Loading...

predictability, profitability, efficiency, out-of-sample.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 302 (127,343)
Citation 3

Abstract:

Loading...

14.

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 268 (144,212)
Citation 14

Abstract:

Loading...

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

15.

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

Number of pages: 19 Posted: 20 Feb 2002
Pierre Giot, Helena M. Beltran-Lopez and Joachim Grammig
Facultés Universitaires Notre-Dame de la Paix (FUNDP), Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE) and Eberhard Karls Universität Tübingen
Downloads 225 (171,086)

Abstract:

Loading...

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

16.

Commonalities in the Order Book

Downloads 215 (178,627)
Citation 4

Commonalities in the Order Book

CORE Discussion Paper
Number of pages: 45 Posted: 23 Feb 2006
Helena M. Beltran-Lopez, Pierre Giot and Joachim Grammig
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Eberhard Karls Universität Tübingen
Downloads 215 (178,348)
Citation 4

Abstract:

Loading...

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
Helena M. Beltran-Lopez, Pierre Giot and Joachim Grammig
Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE), Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Eberhard Karls Universität Tübingen

Abstract:

Loading...

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
Luc Bauwens, Joachim Grammig, David Veredas and Pierre Giot
Université catholique de Louvain, Eberhard Karls Universität Tübingen, Vlerick Business School and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 215 (178,627)
Citation 8

Abstract:

Loading...

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

18.

Private Equity Fundraising and Firm Specialization

Number of pages: 42 Posted: 09 Oct 2012 Last Revised: 05 Jun 2015
Maia Gejadze, Pierre Giot and Armin Schwienbacher
IESEG School of Management, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and SKEMA Business School
Downloads 214 (179,400)
Citation 2

Abstract:

Loading...

Private equity, specialization, fundraising, competing risks model

19.

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 Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 185 (204,865)
Citation 2

Abstract:

Loading...

20.

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
Pierre Giot, Sébastien Laurent and Mikael Petitjean
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 159 (233,204)
Citation 10

Abstract:

Loading...

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

21.

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 136 (264,595)
Citation 4

Abstract:

Loading...

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

22.

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
Helena M. Beltran-Lopez, Alain Durré and Pierre Giot
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 120 (290,563)

Abstract:

Loading...

order book, volatility, liquidity

23.

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 119 (292,290)

Abstract:

Loading...

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

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
Helena M. Beltran-Lopez, Alain Durré and Pierre Giot
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 43 (509,695)
Citation 145

Abstract:

Loading...

order book, volatility, liquidity

25.

Volatility regimes and liquidity co-movements in cap-based portfolios

Finance (Journal of the French Finance Association), Vol. 31 (1), 2010
Number of pages: 29 Posted: 21 Mar 2007 Last Revised: 19 Jan 2021
Renaud Beaupain, Pierre Giot and Mikael Petitjean
Catholic University of Lille - IESEG School of Management, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Catholic University of Lille - IÉSEG School of Management, Lille Campus
Downloads 6 (749,149)
Citation 1

Abstract:

Loading...

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

26.

Market Models: A Guide to Financial Data Analysis

Downloads 0 (810,065)

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:

Loading...

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:

Loading...