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

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104

CROSSREF CITATIONS

418

Scholarly Papers (26)

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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 1,936 (10,366)
Citation 16

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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 (29,374)
Citation 5

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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 (39,097)
Citation 7

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

4.

An International Analysis of Earnings, Stock Prices and Bond Yields

Downloads 539 ( 64,914)
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 (77,337)

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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 (442,879)
Citation 50

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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 (710,271)
Citation 4
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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 (70,636)
Citation 36

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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 (72,233)
Citation 2

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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 (75,553)

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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 (98,936)
Citation 4

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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 ( 98,936)
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 (98,124)
Citation 10

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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)

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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 (117,415)
Citation 8

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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 (118,993)

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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 (126,049)
Citation 5

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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 (127,002)
Citation 3

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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 (143,846)
Citation 14

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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 (170,664)

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

16.

Commonalities in the Order Book

Downloads 215 (178,176)
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 (177,898)
Citation 4

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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

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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 (178,176)
Citation 8

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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 (178,934)
Citation 2

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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 (204,361)
Citation 2

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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 (232,619)
Citation 10

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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 134 (267,046)
Citation 4

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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 (289,881)

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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 (291,643)

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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 (508,613)
Citation 145

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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 (747,816)
Citation 1

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

26.

Market Models: A Guide to Financial Data Analysis

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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)

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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)

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