Christophe Hurlin

University of Orleans

Université d'Orléans

Rue de Blois B.P. 6739 45

France

SCHOLARLY PAPERS

29

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Scholarly Papers (29)

1.
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Non-Standard Errors

University of St.Gallen, School of Finance Research Paper No. 2021/17
Number of pages: 56 Posted: 23 Nov 2021 Last Revised: 08 Apr 2022
Albert J. Menkveld, Anna Dreber, Felix Holzmeister, Juergen Huber, Magnus Johannesson, Michael Kirchler, Michael Razen, Utz Weitzel, David Abad, Menachem (Meni) Abudy, Tobias Adrian, Yacine Ait-Sahalia, Olivier Akmansoy, Jamie Alcock, Vitali Alexeev, Arash Aloosh, Livia Amato, Diego Amaya, James Angel, Amadeus Bach, Edwin Baidoo, Gaetan Bakalli, Andrea Barbon, Oksana Bashchenko, Parampreet Christopher Bindra, Geir Hoidal Bjonnes, Jeff Black, Bernard S. Black, Santiago Bohorquez, Oleg Bondarenko, Charles S. Bos, Ciril Bosch-Rosa, Elie Bouri, Christian T. Brownlees, Anna Calamia, Viet Nga Cao, Gunther Capelle-Blancard, Laura Capera, Massimiliano Caporin, Allen Carrion, Tolga Caskurlu, Bidisha Chakrabarty, Mikhail Chernov, William M. Cheung, Ludwig B. Chincarini, Tarun Chordia, Sheung Chi Chow, Benjamin Clapham, Jean-Edouard Colliard, Carole Comerton-Forde, Edward Curran, Thong Dao, Wale Dare, Ryan J. Davies, Riccardo De Blasis, Gianluca De Nard, Fany Declerck, Oleg Deev, Hans Degryse, Solomon Deku, Christophe Desagre, Mathijs A. Van Dijk, Chukwuma Dim, Thomas Dimpfl, Yunjiang Dong, Philip Drummond, Tom Dudda, Ariadna Dumitrescu, Teodor Dyakov, Anne Haubo Dyhrberg, Michał Dzieliński, Asli Eksi, Izidin El Kalak, Saskia ter Ellen, Nicolas Eugster, Martin D.D. Evans, Michael Farrell, Ester Félez-Viñas, Gerardo Ferrara, El Mehdi FERROUHI, Andrea Flori, Jonathan Fluharty-Jaidee, Sean Foley, Kingsley Y. L. Fong, Thierry Foucault, Tatiana Franus, Francesco A. Franzoni, Bart Frijns, Michael Frömmel, Servanna Fu, Sascha Füllbrunn, Baoqing Gan, Thomas Gehrig, Dirk Gerritsen, Javier Gil-Bazo, Lawrence R. Glosten, Thomas Gomez, Arseny Gorbenko, Ufuk Güçbilmez, Joachim Grammig, Vincent Gregoire, Björn Hagströmer, Julien Hambuckers, Erik Hapnes, Jeffrey H. Harris, Lawrence Harris, Simon Hartmann, Jean-Baptiste Hasse, Nikolaus Hautsch, Xuezhong He, Davidson Heath, Simon Hediger, Terrence Hendershott, Ann Marie Hibbert, Erik Hjalmarsson, Seth A. Hoelscher, Peter Hoffmann, Craig W. Holden, Alex R. Horenstein, Wenqian Huang, Da Huang, Christophe Hurlin, Alexey Ivashchenko, Subramanian R. Iyer, Hossein Jahanshahloo, Naji Jalkh, Charles M. Jones, Simon Jurkatis, Petri Jylha, Andreas Kaeck, Gabriel Kaiser, Arzé Karam, Egle Karmaziene, Bernhard Kassner, Markku Kaustia, Ekaterina Kazak, Fearghal Kearney, Vincent van Kervel, Saad Khan, Marta Khomyn, Tony Klein, Olga Klein, Alexander Klos, Michael Koetter, Jan Pieter Krahnen, Aleksey Kolokolov, Robert A. Korajczyk, Roman Kozhan, Amy Kwan, Quentin Lajaunie, FY Eric C Lam, Marie Lambert, Hugues Langlois, Jens Lausen, Tobias Lauter, Markus Leippold, Vladimir Levin, Yijie Li, (Michael) Hui Li, Chee Yoong Liew, Thomas Lindner, Oliver B. Linton, Jiacheng Liu, Anqi Liu, Guillermo Llorente, Matthijs Lof, Ariel Lohr, Francis A. Longstaff, Alejandro Lopez-Lira, Shawn Mankad, Nicola Mano, Alexis Marchal, Charles Martineau, Francesco Mazzola, Debrah Meloso, Roxana Mihet, Vijay Mohan, Sophie Moinas, David Moore, Liangyi Mu, Dmitriy Muravyev, Dermot Murphy, Gabor Neszveda, Christian Neumeier, Ulf Nielsson, Mahendrarajah Nimalendran, Sven Nolte, Lars L. Norden, Peter O'Neill, Khaled Obaid, Bernt Arne Ødegaard, Per Östberg, Marcus Painter, Stefan Palan, Imon Palit, Andreas Park, Roberto Pascual, Paolo Pasquariello, Lubos Pastor, Vinay Patel, Andrew J. Patton, Neil D. Pearson, Loriana Pelizzon, Matthias Pelster, Christophe Pérignon, Cameron Pfiffer, Richard Philip, Tomáš Plíhal, Puneet Prakash, Oliver-Alexander Press, Tina Prodromou, Tālis J. Putniņš, Gaurav Raizada, David A. Rakowski, Angelo Ranaldo, Luca Regis, Stefan Reitz, Thomas Renault, Rex Wang Renjie, Roberto Renò, Steven Riddiough, Kalle Rinne, Paul Rintamäki, Ryan Riordan, Thomas Rittmannsberger, Iñaki Rodríguez-Longarela, Dominik Rösch, Lavinia Rognone, Brian Roseman, Ioanid Rosu, Saurabh Roy, Nicolas Rudolf, Stephen Rush, Khaladdin Rzayev, Aleksandra Rzeźnik, Anthony Sanford, Harikumar Sankaran, Asani Sarkar, Lucio Sarno, O. Scaillet, Stefan Scharnowski, Klaus Reiner Schenk-Hoppé, Andrea Schertler, Michael Schneider, Florian Schroeder, Norman Schürhoff, Philipp Schuster, Marco A. Schwarz, Mark S. Seasholes, Norman Seeger, Or Shachar, Andriy Shkilko, Jessica Shui, Mario Sikic, Giorgia Simion, Lee A. Smales, Paul Söderlind, Elvira Sojli, Konstantin Sokolov, Laima Spokeviciute, Denitsa Stefanova, Marti G. Subrahmanyam, Sebastian Neusüss, Barnabas Szaszi, Oleksandr Talavera, Yuehua Tang, Nicholas Taylor, Wing Wah Tham, Erik Theissen, Julian Thimme, Ian Tonks, Hai Tran, Luca Trapin, Anders B. Trolle, Giorgio Valente, Robert A. Van Ness, Aurelio Vasquez, Thanos Verousis, Patrick Verwijmeren, Anders Vilhelmsson, Grigory Vilkov, Vladimir Vladimirov, Sebastian Vogel, Stefan Voigt, Wolf Wagner, Thomas Walther, Patrick Weiss, Michel van der Wel, Ingrid M. Werner, P. Joakim Westerholm, Christian Westheide, Evert Wipplinger, Michael Wolf, Christian C. P. Wolff, Leonard Wolk, Wing-Keung Wong, Jan Wrampelmeyer, Shuo Xia, Dacheng Xiu, Ke Xu, Caihong Xu, Pradeep K. Yadav, José Yagüe, Cheng Yan, Antti Yang, Woongsun Yoo, Wenjia Yu, Shihao Yu, Bart Z. Yueshen, Darya Yuferova, Marcin Zamojski, Abalfazl Zareei, Stefan Zeisberger, S. Sarah Zhang, Xiaoyu Zhang, Zhuo Zhong, Z. Ivy Zhou, Chen Zhou, Xingyu Sonya Zhu, Marius Zoican, Remco C. J. Zwinkels, Jian Chen, Teodor Duevski, Ge Gao, Roland Gemayel, Dudley Gilder, Paul Kuhle, Emiliano Pagnotta, Michele Pelli, Jantje Sönksen, Lu Zhang, Konrad Ilczuk, Dimitar Bogoev, Ya Qian, Hans C. Wika, Yihe Yu, Lu Zhao, Michael Mi, Li Bao, Andreea Vaduva, Marcel Prokopczuk, Marcel Prokopczuk, Alejandro Avetikian and Zhen-Xing Wu
Vrije Universiteit Amsterdam, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, University of Innsbruck, VU University Amsterdam, Universidad de Alicante, Bar-Ilan University - Graduate School of Business Administration, International Monetary Fund, Princeton University - Department of Economics, CNRS, University of Oxford, University of Technology Sydney, Neoma Business School, University of Chicago - Booth School of Business, Wilfrid Laurier University, Georgetown University - Department of Finance, University of Mannheim, Tennessee Technological University, EM Lyon (Ecole de Management de Lyon) - Emlyon Business School, University of St. Gallen, Swiss Finance Institute - HEC Lausanne, University of Innsbruck, BI Norwegian Business School, University of Memphis, Northwestern University - Pritzker School of Law, Universidad EAFIT, University of Illinois at Chicago - Department of Finance, VU University Amsterdam, Technische Universität Berlin, Lebanese American University, Universitat Pompeu Fabra - Faculty of Economic and Business Sciences, Toulouse Business School - TBS Education, Monash University, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Vrije Universiteit Amsterdam, University of Padua - Department of Statistical Sciences, University of Memphis - Fogelman College of Business and Economics, University of Amsterdam Business School, Saint Louis University - Richard A. Chaifetz School of Business, UCLA Anderson, Waseda University, University of San Francisco, Emory University - Department of Finance, Australian National University (ANU), Goethe University Frankfurt Faculty of Economics and Business Administration, HEC Paris - Finance Department, University of Melbourne - Department of Finance, Macquarie University - Faculty of Business and Economics, Nottingham Trent University, University of Liège - HEC Liège, Babson College - Finance Division, Polytechnic University of Marche - Department of Management, University of Zurich - Department of Banking and Finance, Universite de Toulouse 1 Capitole, Masaryk University, KU Leuven - Faculty of Business and Economics (FEB), Nottingham Trent University - Nottingham Business School, Catholic University of Louvain (UCL) - Louvain Finance (LFIN), Erasmus University Rotterdam (EUR), Frankfurt School of Finance & Management, University of Hohenheim, Queen's University (Canada), Queen's School of Business, Students, Monash University, Technische Universität Dresden, ESADE Business School, EDHEC Business School, The University of Sydney - Discipline of Finance, Stockholm Business School, Stockholm University, Salisbury University - Perdue School of Business, Cardiff Business School, Norges Bank, University of Queensland - Business School, Georgetown University - Department of Economics, University of Virginia - Darden School of Business, University of Technology Sydney, Bank of England, Ibn Tofail University, Politecnico di Milano, Public Company Accounting Oversight Board, Macquarie University, University of New South Wales - School of Banking and Finance, HEC Paris - Finance Department, City University London - Bayes Business School, Universita della Svizzera italiana (USI Lugano), Open University of the Netherlands - School of Management, Ghent University - Department of Financial Economics, University of Essex, Radboud University Nijmegen - Institute for Management Research, University of Technology Sydney, University of Vienna, Utrecht University - School of Economics, Universitat Pompeu Fabra, Columbia University, Utrecht University, Monash University - Department of Banking and Finance, University of Glasgow - Adam Smith Business School, University of Tuebingen, HEC Montreal - Department of Finance, Stockholm University - Stockholm Business School, University of Liège - HEC Liège, Aalto University, American University - Department of Finance and Real Estate, University of Southern California - Marshall School of Business - Finance and Business Economics Department, Vienna University of Economics and Business, Aix-Marseille University - Aix-Marseille School of Economics, University of Vienna - Department of Statistics and Operations Research, Xi'an Jiaotong-Liverpool University (XJTLU), University of Utah - David Eccles School of Business, University of Zurich - Department of Banking and Finance, University of California, Berkeley - Haas School of Business, West Virginia University - Department of Finance, University of Gothenburg - Centre for Finance, Missouri State University - College of Business, European Central Bank (ECB), Indiana University - Kelley School of Business - Department of Finance, University of Miami - School of Business Administration - Department of Economics, Bank for International Settlements, University of Utah - David Eccles School of Business, University of Orleans, VU University Amsterdam, University of New Mexico, Cardiff University, Saint Joseph University, Columbia University, Bank of England, Aalto University, University of Sussex, Universite du Luxembourg, Durham University, VU University Amsterdam, Ludwig-Maximilians-Universität München, Aalto University, University of Manchester, Queen's University Belfast - Queen's Management School, Pontifical Catholic University of Chile, HEC Montreal, University of Adelaide, Queen's University Belfast - Queen's Management School, University of Warwick - Warwick Business School, University of Kiel - Institute for Quantitative Business and Economics Research (QBER), Halle Institute for Economic Research, Goethe University Frankfurt, University of Manchester - Manchester Business School, Northwestern University - Kellogg School of Management, University of Warwick - Warwick Business School, University of New South Wales (UNSW), Square Research Center, Independent Consultant, University of Liège - HEC Liège, HEC Paris - Finance Department, Goethe University Frankfurt - Faculty of Economics and Business Administration, Leibniz University Hannover, University of Zurich, Universite du Luxembourg, S&P Global Ratings, La Trobe University, UCSI University, Malaysia, Vienna University of Economics and Business, University of Cambridge, Purdue University, The University of Sydney, Universidad Autonoma de Madrid, Aalto University, Arizona State University (ASU) - Finance Department, University of California, Los Angeles (UCLA) - Finance Area, University of Florida - Department of Finance, Insurance and Real Estate, North Carolina State University - Department of Business Management, Swiss Finance Institute - USI Lugano, EPFL, University of Toronto - Rotman School of Management and UTSC Management, Erasmus University Rotterdam (EUR), Toulouse Business School - TBS Education, Swiss Finance Institute - HEC Lausanne, RMIT University, Universite de Toulouse 1 Capitole, Loyola Marymount University, Queen's University Belfast, Michigan State University - Department of Finance, University of Illinois at Chicago, John von Neumann University - MNB Institute, Macquarie University, Copenhagen Business School, University of Florida - Department of Finance, Insurance and Real Estate, Radboud University, Stockholm University - Stockholm Business School, Financial Conduct Authority, California State University-East Bay, University of Stavanger, University of Zurich - Department of Banking and Finance, Saint Louis University - Department of Finance, University of Graz, RMIT University - Blockchain Innovation Hub, University of Toronto at Mississauga, Universidad de las Islas Baleares, University of Michigan, Stephen M. Ross School of Business, University of Chicago - Booth School of Business, University of Technology Sydney (UTS), Duke University - Department of Economics, University of Illinois at Urbana-Champaign - Department of Finance, Goethe University Frankfurt - Faculty of Economics and Business Administration, Paderborn University, HEC Paris - Finance Department, University of Oregon - Department of Finance, University of Sydney Business School, Masaryk University - Department of finance, Missouri State University, Copenhagen Business School, The University of Wollongong, University of Technology Sydney (UTS), Indian Institute of Management, Ahmedabad, University of Texas at Arlington, University of St. Gallen, University of Turin, University of Kiel, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), VU University Amsterdam, University of Verona - Department of Economics, University of Toronto, Universite du Luxembourg - Department of Finance, Aalto University, Queen's University - Smith School of Business, University of Innsbruck, Stockholm University - Stockholm Business School, State University of New York at Buffalo - School of Management, University of Manchester - Alliance Manchester Business School, Oklahoma State University - Department of Finance, HEC Paris - Finance Department, University of Massachusetts Amherst, University of Lausanne, Bowling Green State University - Department of Finance, University of Edinburgh, York University - Schulich School of Business, HEC Montreal - Department of Finance, New Mexico State University, Federal Reserve Bank of New York, University of Cambridge - Judge Business School, Swiss Finance Institute - University of Geneva, University of Mannheim, University of Manchester - Department of Economics, University of Graz, Deutsche Bundesbank, Macquarie University, Swiss Finance Institute - HEC Lausanne, University of Stuttgart, Heinrich Heine University Dusseldorf - Duesseldorf Institute for Competition Economics (DICE), Arizona State University (ASU), VU University Amsterdam, Federal Reserve Bank of New York, Wilfrid Laurier University - Lazaridis School of Business and Economics, Federal Housing Finance Agency, University of Zurich, Vienna University of Economics and Business, University of Western Australia, University of St. Gallen, UNSW Australia Business School, School of Banking and Finance, University of Memphis - Fogelman College of Business and Economics, Cardiff University, Universite du Luxembourg, New York University (NYU) - Leonard N. Stern School of Business, Aalto University, Eötvös Loránd University, University of Birmingham, University of Florida - Department of Finance, University of Bristol - School of Economics, Finance and Management, University of New South Wales (UNSW), University of Mannheim - Finance Area, Karlsruhe Institute of Technology, University of Bristol, Loyola Marymount University - Department of Finance, University of Bologna, Copenhagen Business School, Hong Kong Institute for Monetary and Financial Research (HKIMR), University of Mississippi - Department of Finance, Instituto Tecnológico Autónomo de México (ITAM) - Department of Business Administration, University of Essex, Erasmus University Rotterdam (EUR), Lund University - Department of Economics, Frankfurt School of Finance & Management, University of Amsterdam Business School, Erasmus University Rotterdam (EUR), University of Copenhagen, Erasmus University Rotterdam (EUR), Utrecht University - School of Economics, Vienna University of Economics and Business - Department of Finance, Accounting & Statistics, Erasmus University Rotterdam, The Ohio State University - Fisher College of Business, University of Sydney Business School, University of Vienna - Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, University of Zurich - Department of Economics, University of Luxembourg, VU University Amsterdam, Asia University, Department of Finance, Vrije Universiteit Amsterdam, School of Business and Economics, Halle Institute for Economic Research, University of Chicago - Booth School of Business, University of Victoria, Stockholm University - Stockholm Business School, University of Oklahoma Price College of Business, University of Murcia, University of Essex - Essex Business School, Erasmus University Rotterdam, Central Michigan University, Aalto University, VU University Amsterdam, INSEAD - Finance, Norwegian School of Economics (NHH) - Department of Finance, University of Gothenburg, Centre for Finance, Stockholm University, Radboud University, Institute for Management Research, University of Manchester - Alliance Manchester Business School, VU University Amsterdam, University of Melbourne - Department of Finance, University of Wollongong - School of Accounting, Economics & Finance, Erasmus University Rotterdam (EUR), Bank for International Settlements (BIS), University of Toronto at Mississauga - Department of Management, VU University Amsterdam - Department of Finance and Financial Sector Management, Queen's University, HEC Paris, University of Birmingham, King's College London, Cardiff University, Universidad Autonoma de Madrid, Singapore Management University, University of Zurich - Department of Banking and Finance, University of Tübingen, University of Luxembourg, affiliation not provided to SSRN, EDF Energy, United Kingdom, Aalto University, Norges Bank, University at Buffalo, SUNY, Southwestern University of Finance and Economics (SWUFE), The University of Sydney, University of Toulouse Capitole, UC3M, University of Reading - ICMA CentreLeibniz Universität Hannover - Faculty of Economics and Management, Pontifical Catholic University of Chile and Zhongnan University of Economics and Law - School of Finance
Downloads 5,771 (1,887)

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non-standard errors, multi-analyst approach, liquidity

2.

A Theoretical and Empirical Comparison of Systemic Risk Measures

HEC Paris Research Paper No. FIN-2014-1030
Number of pages: 47 Posted: 21 Dec 2011 Last Revised: 21 Jan 2014
Université Paris Dauphine - LEDa-SDFi, University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 3,664 (4,162)
Citation 56

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Banking Regulation, Systemically Important Financial Firms, Marginal Expected Shortfall, SRISK, CoVaR, Systemic vs. Systematic Risk

3.

Where the Risks Lie: A Survey on Systemic Risk

HEC Paris Research Paper No. FIN-2015-1088
Number of pages: 58 Posted: 15 Mar 2015 Last Revised: 09 Feb 2016
Université Paris Dauphine - LEDa-SDFi, HEC Paris - Finance Department, University of Orleans and HEC Paris - Finance Department
Downloads 2,082 (10,576)
Citation 71

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Banking, Macroprudential Regulation, Systemically Important Financial In- stitutions, Financial Crises, Too-Big-To-Fail

4.
Downloads 1,574 ( 16,458)
Citation 8

The Risk Map: A New Tool for Validating Risk Models

Number of pages: 40 Posted: 04 May 2011 Last Revised: 14 Mar 2013
Gilbert Colletaz, Christophe Hurlin and Christophe Pérignon
University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 1,191 (24,615)
Citation 5

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Financial risk management, Tail Risk, Basel III

The Risk Map: A New Tool for Backtesting Value-at-Risk Models

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 29 Posted: 12 May 2011
Gilbert Colletaz, Christophe Hurlin and Christophe Pérignon
University of Orleans, University of Orleans and HEC Paris - Finance Department
Downloads 383 (108,610)
Citation 3

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5.

The Counterparty Risk Exposure of ETF Investors

HEC Paris Research Paper No. FIN-2014-1050
Number of pages: 49 Posted: 06 Jul 2014 Last Revised: 16 Mar 2019
University of Orleans, University of Geneva, HEC Paris - Finance Department and HEC Paris
Downloads 1,290 (22,203)
Citation 3

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Asset management, passive investment, derivatives, optimal collateral portfolio, systemic risk

6.

The Fairness of Credit Scoring Models

HEC Paris Research Paper No. FIN-2021-1411
Number of pages: 46 Posted: 18 Feb 2021 Last Revised: 23 May 2022
Christophe Hurlin, Christophe Pérignon and Sébastien Saurin
University of Orleans, HEC Paris - Finance Department and University of Orleans, Laboratoire d'économie d'Orléans, Students
Downloads 735 (49,061)

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Fairness; Credit scoring models; Discrimination; Machine Learning; Artificial Intelligence

7.

Pitfalls in Systemic-Risk Scoring

HEC Paris Research Paper No. FIN-2013-1005
Number of pages: 81 Posted: 28 Sep 2013 Last Revised: 09 Feb 2018
Sylvain Benoit, Christophe Hurlin and Christophe Pérignon
Université Paris Dauphine - LEDa-SDFi, University of Orleans and HEC Paris - Finance Department
Downloads 612 (62,224)
Citation 6

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G-SIFI, regulatory capital, Basel Committee

8.

Margin Backtesting

Number of pages: 19 Posted: 09 Feb 2012
Christophe Hurlin and Christophe Pérignon
University of Orleans and HEC Paris - Finance Department
Downloads 518 (76,703)
Citation 2

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Collateral Requirements, Futures Markets, Tail Risk, Derivatives Clearing

9.

Implied Risk Exposures

HEC Paris Research Paper No. FIN-2013-1012
Number of pages: 53 Posted: 22 May 2013 Last Revised: 08 Oct 2014
Sylvain Benoit, Christophe Hurlin and Christophe Pérignon
Université Paris Dauphine - LEDa-SDFi, University of Orleans and HEC Paris - Finance Department
Downloads 428 (96,286)
Citation 1

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Herding, Risk Disclosure, (Stressed) Value-at-Risk, Regulatory Capital

10.

Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds

Number of pages: 42 Posted: 07 Apr 2020 Last Revised: 15 Jan 2021
CEROS, Paris Nanterre University, Laboratoire d'Economie d'Orléans, University of Orleans and affiliation not provided to SSRN
Downloads 407 (101,999)
Citation 3

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Risk management; Credit scoring; Machine Learning; Interpretability; Econometrics

11.

CoMargin

Number of pages: 66 Posted: 14 Oct 2011 Last Revised: 21 Dec 2015
University of Western Ontario, University of Orleans, American University - Department of Finance and Real Estate and HEC Paris - Finance Department
Downloads 406 (102,296)
Citation 2

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Collateral, Counterparty Risk, Derivatives Markets, Extreme Dependence

12.

Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures

Swiss Finance Institute Research Paper No. 19-48 (2019)
Number of pages: 64 Posted: 19 Sep 2019 Last Revised: 08 Apr 2020
University of Orleans, University of Orleans, University of Orleans and Swiss Finance Institute - University of Geneva
Downloads 387 (108,181)
Citation 1

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13.

Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance

Number of pages: 38 Posted: 06 Apr 2022
HEC Paris - Finance Department, CNRS, University of Orleans, Stockholm School of Economics - Department of Economics, University of Innsbruck - Department of Economics, University of Innsbruck, Stockholm School of Economics - Department of Economics, University of Innsbruck, Vrije Universiteit Amsterdam, University of Innsbruck and VU University Amsterdam
Downloads 308 (138,633)

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computational reproducibility, open science, credibility of research, multi-analyst study, data-availability policy, scientific publishing

14.

RunMyCode.Org: A Novel Dissemination and Collaboration Platform for Executing Published Computational Results

Number of pages: 8 Posted: 18 Sep 2012
Victoria Stodden, Christophe Hurlin and Christophe Pérignon
University of Illinois at Urbana-Champaign - Graduate School of Library and Information Science, University of Orleans and HEC Paris - Finance Department
Downloads 244 (175,344)
Citation 5

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15.

The Economics of Research Reproducibility

HEC Paris Research Paper No. FIN-2019-1345
Number of pages: 51 Posted: 12 Jul 2019 Last Revised: 27 Dec 2021
HEC Paris - Finance Department, University of Orleans and HEC Paris - Finance Department
Downloads 218 (195,314)
Citation 1

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data availability policy, open science, confidential data, replicability

16.

Risk Measure Inference

Number of pages: 37 Posted: 26 Oct 2013 Last Revised: 16 Mar 2015
University of Orleans, AMSE, Erasmus University Rotterdam (EUR) - Department of Business Economics and Maastricht University - Department of Quantitative Economics
Downloads 186 (225,367)
Citation 5

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Bootstrap, Grouped Ranking, Risk Measures, Uncertainty

17.

Network Effects of the Productivity of Infrastructure in Developing Countries

World Bank Policy Research Working Paper No. 3808
Number of pages: 26 Posted: 17 Jan 2006
Christophe Hurlin
University of Orleans
Downloads 179 (232,912)

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Infrastructure, Threshold Panel Regression Models

18.

A Robust Conditional Realized Extended 4-CAPM

Number of pages: 43 Posted: 18 Feb 2009 Last Revised: 31 Aug 2009
Christophe Hurlin, Patrick Kouontchou and Bertrand B. Maillet
University of Orleans, University of Lorraine - CEREFIGE and EMLyon Business School (Paris Campus)
Downloads 168 (245,756)
Citation 2

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Realized Betas, CAPM, Multifactor Pricing Models, High Frequency Data, Robust Estimation

Does Soft Information Matter? An Application of Gravity Models to Financial Analysts' Forecasts

International Conference of the French Finance Association (AFFI), May 11-13, 2011
Number of pages: 21 Posted: 12 May 2011
Banque de France, University of Orleans, University of Orleans and University of Orleans
Downloads 73 (442,173)

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Does Soft Information Matter? An Application of Gravity Models to Financial Analysts' Forecasts

Number of pages: 29 Posted: 19 Mar 2011
University of Orleans, University of Orleans, University of Orleans and Banque de France
Downloads 60 (490,241)

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panel regression, financial analysts, forecasts, accuracy, optimism, pessimism, soft information

20.

Estimates of Government Net Capital Stocks for 26 Developing Countries, 1970-2002

World Bank Policy Research Working Paper No. 3858
Number of pages: 55 Posted: 20 Apr 2016
Florence Arestoff and Christophe Hurlin
Université Paris IX Dauphine and University of Orleans
Downloads 130 (301,718)
Citation 2

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Investment and Investment Climate, Economic Theory & Research, Markets and Market Access, Public Sector Economics & Finance, Economic Stabilization

21.

Granular Borrowers

Université Paris-Dauphine Research Paper No. 3391768
Number of pages: 54 Posted: 07 Jun 2019
Paul Beaumont, Thibault Libert and Christophe Hurlin
Paris Dauphine University, Banque de France and University of Orleans
Downloads 101 (359,940)
Citation 1

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granularity, bank concentration, cyclicality of credit, liquidity risk

22.

Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the 'Min' Condition

Number of pages: 29 Posted: 20 Aug 2003
Christophe Hurlin and Rafaƚ Kierzenkowski
University of Orleans and Université Paris IX Dauphine
Downloads 82 (409,265)
Citation 2

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disequilibrium, monetary standard and regimes, non-stationarity and cointegration, transition, Poland

23.

Why Don't Banks Lend to Egypt's Private Sector?

World Bank Policy Research Working Paper No. 6094
Number of pages: 36 Posted: 20 Apr 2016
Santiago Herrera, Christophe Hurlin and Chahir Zaki
World Bank, University of Orleans and Cairo University
Downloads 72 (440,248)

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Economic Theory & Research, Banks & Banking Reform, Debt Markets, Currencies and Exchange Rates, Markets and Market Access

24.

The Feldstein-Horioka Puzzle: A Panel Smooth Transition Regression Approach

Economic Modelling Vol. 25 (2) 284-299
Number of pages: 31 Posted: 18 Aug 2016
Julien Fouquau, Christophe Hurlin and Isabelle Rabaud
University of Orleans, University of Orleans and University of Orleans
Downloads 51 (519,870)
Citation 7

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Feldstein Horioka Puzzle, Panel Smooth Threshold Regression Models, saving-investment association, capital mobility

25.

Cross-Country-Heterogeneous and Time-Varying Effects of Unconventional Monetary Policies in AEs on Portfolio Inflows to EMEs

Bank of Korea WP 2014-5
Number of pages: 38 Posted: 28 Mar 2015
Kyoungsoo Yoon and Christophe Hurlin
The Bank of Korea and University of Orleans
Downloads 25 (663,439)

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portfolio inflows, unconventional monetary policy, emerging market economies, cross-country heterogeneity, time variability, nonlinearity, panel smooth transition regression model

26.

How Did the Japanese Employment System Change Investigating the Heterogeneity of Downsizing Practices Across Firms

KIER Discussion Paper Series No. 883, 2014
Number of pages: 44 Posted: 27 Mar 2018
Ecole des Hautes Etudes en Sciences Sociales (EHESS), CORE-Université catholique Louvain, University of Orleans and Kobe University
Downloads 11 (779,730)
Citation 1

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27.

The Heterogeneity of Employment Adjustment Across Japanese Firms. A Study Using Panel Data

Number of pages: 31 Posted: 27 Mar 2018
Christophe Hurlin and Sebastien Lechevalier
University of Orleans and Ecole des Hautes Etudes en Sciences Sociales (EHESS)
Downloads 3 (862,736)
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28.

Network Effects and Infrastructure Productivity in Developing Countries

Oxford Bulletin of Economics and Statistics, Vol. 75, Issue 6, pp. 887-913, 2013
Number of pages: 27 Posted: 22 Nov 2013
Bertrand Candelon, Gilbert Colletaz and Christophe Hurlin
University of Maastricht - Department of Economics, University of Orleans and University of Orleans
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29.

Credit Market Disequilibrium in Poland: Can We Find What We Expect? Non-Stationarity and the Short-Side Rule

Economic Systems, Vol. 31, No. 2, 2007
Posted: 05 Jul 2007
Christophe Hurlin and Rafaƚ Kierzenkowski
University of Orleans and Université Paris IX Dauphine

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Disequilibrium, Monetary standard and regimes, Non-stationarity and cointegration, Transition, Poland