Lorán Chollete

UiS Business School

PB 8002

Stavanger, 4036

Norway

SCHOLARLY PAPERS

11

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9

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10

Scholarly Papers (11)

Modeling International Financial Returns with a Multivariate Regime Switching Copula

Number of pages: 43 Posted: 09 Mar 2008
Lorán Chollete, Alfonso Valdesogo and Andréas Heinen
UiS Business School, Universidad Carlos III de Madrid and University of Cergy-Pontoise - THEMA
Downloads 461 (79,222)
Citation 12

Abstract:

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Asymmetric dependence, Canonical vine copula, International returns, Regime-Switching, Risk Management, Value-at-Risk

Modeling International Financial Returns with a Multivariate Regime-Switching Copula

Journal of Financial Econometrics, Vol. 7, Issue 4, pp. 437-480, 2009
Posted: 09 Oct 2009
Lorán Chollete, Andréas Heinen and Alfonso Valdesogo
UiS Business School, University of Cergy-Pontoise - THEMA and Universidad Carlos III de Madrid

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asymmetric dependence, canonical vine copula, international returns, portfolio selection, regime-switching, risk management, Value at Risk

2.

The Risk Components of Liquidity

EFA 2008 Athens Meetings Paper
Number of pages: 24 Posted: 17 Mar 2008
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 392 (96,612)
Citation 3

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Liquidity Risk, Liquidity Factors, Asset Pricing, Market Microstructure

3.

What Captures Liquidity Risk? Order Based Versus Trade Based Liquidity Measures

Number of pages: 47 Posted: 02 Mar 2007
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 346 (111,223)

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Market microstructure, Common factor, Asset pricing, Liquidity factor, High frequency liquidity

Financial Distress and Idiosyncratic Volatility: An Empirical Investigation

NHH Finance & Management Science Discussion Paper No. 8/2006
Number of pages: 28 Posted: 07 Mar 2007
Lorán Chollete and Jing Chen
UiS Business School and Columbia University - Columbia Business School
Downloads 247 (157,817)
Citation 5

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Distress risk, idiosyncratic volatility, single-beta CAPM

Financial Distress and Idiosyncratic Volatility: An Empirical Investigation

Posted: 21 Dec 2009 Last Revised: 24 Mar 2010
Jing Chen, Lorán Chollete and Rina Ray
Columbia University - Columbia Business School, UiS Business School and Norwegian School of Economics (NHH)

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Distress risk, idiosyncratic volatility, single-beta CAPM

5.

The Propagation of Financial Extremes: An Application to Subprime Market Spillovers

Number of pages: 58 Posted: 17 Mar 2008
Lorán Chollete
UiS Business School
Downloads 188 (204,460)

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Extreme event, Subprime Market, Dynamics, Endogeneity, Public Good

6.

Pricing Implications of Shared Variance in Liquidity Measures

NHH Dept. of Finance & Management Science Discussion Paper No. 2006/9
Number of pages: 35 Posted: 07 Mar 2007
Lorán Chollete, Randi Naes and Johannes Atle Skjeltorp
UiS Business School, Norwegian Ministry of Trade and Industry and Central Bank of Norway
Downloads 168 (225,201)

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Market microstructure, Common factor, Asset pricing, Liquidity factor, high frequency liquidity

7.

Frequent Turbulence? A Dynamic Copula Approach

NHH Dept. of Finance & Management Science Discussion Paper No. 2006/10
Number of pages: 44 Posted: 07 Mar 2007
Lorán Chollete and Andréas Heinen
UiS Business School and University of Cergy-Pontoise - THEMA
Downloads 162 (232,326)
Citation 2

Abstract:

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International Markets, Turbulence, Hidden Markov Model, Copula

8.

The Propagation of Financial Extremes

Number of pages: 38 Posted: 17 Jul 2008
Lorán Chollete
UiS Business School
Downloads 88 (361,416)
Citation 3

Abstract:

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Extreme Event, Subprime Market, Dynamics, Endogeneity, Public Good, Central Bank Policy

9.

A Model of Endogenous Extreme Events

Number of pages: 47 Posted: 16 Mar 2012 Last Revised: 19 Mar 2012
Lorán Chollete
UiS Business School
Downloads 53 (472,652)

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Endogenous Risk, Extreme Event, Financial Congestion, Network, Public Good

10.

Central Banking and Financial Stability in the Long Run

Number of pages: 43 Posted: 18 Jun 2013
Jin Cao and Lorán Chollete
Norges Bank - Research Department and UiS Business School
Downloads 31 (576,901)

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central bank, correlation-indexed security, discipline effect, stability effect

11.

Monetary Policy and Financial Stability in the Long Run

Norges Bank Working Paper 21
Number of pages: 44 Posted: 12 Nov 2013
Jin Cao and Lorán Chollete
Norges Bank - Research Department and UiS Business School
Downloads 27 (601,027)

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Central Bank, Correlation-Indexed Security, Discipline Effect, Stability Effect