Jean-Yves Gnabo

Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Rempart de la Vierge, 8

Namur B-5000

Belgium

SCHOLARLY PAPERS

14

DOWNLOADS
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1,511

SSRN CITATIONS
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Top 26,013

in Total Papers Citations

12

CROSSREF CITATIONS

15

Scholarly Papers (14)

1.

Assessing the Contribution of Banks, Insurance and Other Financial Services to Systemic Risk

Journal of Banking and Finance, Forthcoming
Number of pages: 18 Posted: 19 Jul 2013 Last Revised: 04 Sep 2014
Oscar Bernal, Jean-Yves Gnabo and Grégory Guilmin
University of Namur, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and University of Namur
Downloads 242 (129,151)
Citation 4

Abstract:

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Systemic risk, CoVaR, Quantile regression, Stochastic dominance test

2.

Economic Policy Uncertainty and Risk Spillovers in the Eurozone

Number of pages: 26 Posted: 24 Jan 2015
Oscar Bernal, Jean-Yves Gnabo and Grégory Guilmin
University of Namur, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and University of Namur
Downloads 204 (152,294)
Citation 2

Abstract:

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Euro area, Economic Policy Uncertainty, Risk Spillovers, Government bond spreads, Debt crisis, CoVaR, Quantile regression

Short Selling and Excess Return Correlation

Number of pages: 29 Posted: 30 Oct 2017 Last Revised: 18 Dec 2017
Marco Valerio Geraci, Jean-Yves Gnabo and David Veredas
University of Cambridge - Cambridge-INET Institute, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Vlerick Business School
Downloads 136 (216,809)

Abstract:

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short selling, correlation, informed trading

Short Selling and Excess Return Correlation

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 38 Posted: 04 Jun 2018
Marco Valerio Geraci, Jean-Yves Gnabo and David Veredas
University of Cambridge - Cambridge-INET Institute, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Vlerick Business School
Downloads 59 (372,599)

Abstract:

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short selling, correlation, informed trading

4.

Does Transparency in Central Bank Intervention Policy Bring Noise to the FX Market? The Case of the Bank of Japan

Number of pages: 26 Posted: 26 Sep 2006
Jean-Yves Gnabo, Sébastien Laurent and Christelle Lecourt
Facultés Universitaires Notre-Dame de la Paix (FUNDP), AMSE and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 127 (228,126)
Citation 5

Abstract:

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Central banks, Foreign exchange market, Interventions, Communication policy, Rumours

5.

The Importance of Conflicts of Interest in Attributing Sovereign Credit Ratings

Number of pages: 47 Posted: 12 Feb 2015 Last Revised: 10 Aug 2016
Oscar Bernal, Alexandre Girard and Jean-Yves Gnabo
University of Namur - Center for Research in Finance and Management (CeReFiM), Saint-Louis University, Brussels and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 117 (242,553)

Abstract:

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Credit Rating Agencies, NRSRO, Rating Solicitation, Sovereign Credit Rating, Conflicts of Interest

6.

How Transparent is the Intervention Exchange Rate Policy of the Bank of Japan?

Number of pages: 31 Posted: 07 Nov 2005
Jean-Yves Gnabo and Christelle Lecourt
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 112 (250,277)
Citation 6

Abstract:

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Foreign exchange market, central bank interventions, transparency, rumours

7.

Intervention Policy of the Boj: A Unified Approach

CESifo Working Paper Series No. 1894
Number of pages: 37 Posted: 16 Nov 2006
University of Luxemburg, Free University of Brussels, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 108 (256,785)
Citation 1

Abstract:

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FX intervention, Secrecy Puzzle, Market Detection, Nested

8.

Spatial Dependence in Sovereign Wealth Funds' Investments

Number of pages: 30 Posted: 07 Jan 2016
Nicolas Debarsy, Jean-Yves Gnabo and Malik Kerkour
University of Orleans, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and University of Namur - Department of Finance
Downloads 106 (260,229)

Abstract:

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Sovereign Wealth Funds, Pull Factors, Spatial Econometrics, Inverse Hyperbolic Sine Transformation, Interactions

9.

Foreign-Exchange Intervention Strategies and Market Expectations: Insights from Japan

Number of pages: 36 Posted: 04 Jul 2008
Jean-Yves Gnabo and Jerome Teiletche
Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Unigestion
Downloads 89 (291,937)
Citation 2

Abstract:

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Central Bank Interventions, Event Studies, Communication Policy, Risk Neutral Density

10.

Talks, Financial Operations or Both? Generalizing Central Banks' FX Reaction Functions

Number of pages: 27 Posted: 26 Sep 2006
Oscar Bernal and Jean-Yves Gnabo
Free University of Brussels and Facultés Universitaires Notre-Dame de la Paix (FUNDP)
Downloads 89 (291,937)
Citation 5

Abstract:

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Central banks, Foreign exchange market, Interventions

11.

The Intra-Day Impact of Communication on Euro-Dollar Volatility and Jumps

KU Leuven - Center for Economic Studies Discussion Paper No. DPS13.04
Number of pages: 37 Posted: 11 Mar 2013
Catholic University of Leuven (KUL) - Department of Economics, IESEG School of Management, LEM-CNRS 9221, France, Facultés Universitaires Notre-Dame de la Paix (FUNDP) and Facultés Universitaires Notre-Dame de la Paix (FUNDP) - Department of Business Administration
Downloads 67 (344,362)
Citation 4

Abstract:

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Central bank communication, Exchange rate communication, Official statements, High-frequency data, Jump process, Volatility

12.

System-Wide Tail Comovements: A Bootstrap Test for Cojump Identification on the S&P 500, US Bonds and Exchange Rates

Number of pages: 44 Posted: 08 Oct 2014
Jean-Yves Gnabo, Liudmyla Hvozdyk and Jérôme Lahaye
Facultés Universitaires Notre-Dame de la Paix (FUNDP), University of Essex and Fordham University
Downloads 55 (380,064)
Citation 1

Abstract:

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cojump, jump, bootstrap, diffusion, Brownian, semi-martingale, high-frequency, simulation, risk, diversification

13.

Measuring Interconnectedness Between Financial Institutions with Bayesian Time-Varying Vector Autoregressions

Journal of Financial and Quantitative Analysis (JFQA) doi: 10.1017/S0022109018000108
Posted: 24 Dec 2015 Last Revised: 01 Jun 2018
Marco Valerio Geraci and Jean-Yves Gnabo
University of Cambridge - Cambridge-INET Institute and Facultés Universitaires Notre-Dame de la Paix (FUNDP)

Abstract:

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financial interconnectedness, time-varying parameter, systemic risk

14.

The Risk Management Approach to Monetary Policy, Nonlinearity and Aggressiveness: The Case of the US Fed

ECB Working Paper No. 1792
Posted: 23 Jun 2015
Diego Moccero and Jean-Yves Gnabo
European Central Bank (ECB) and Facultés Universitaires Notre-Dame de la Paix (FUNDP)

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aggressiveness; monetary policy; risk management; smooth-transition regression model; US Fed