Florian Ielpo

Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)

Associated Researcher

106-112 Boulevard de l'hopital

106-112 Boulevard de l'Hôpital

Paris Cedex 13, 75647

France

SCHOLARLY PAPERS

23

DOWNLOADS
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Top 9,910

in Total Papers Downloads

6,223

SSRN CITATIONS
Rank 16,967

SSRN RANKINGS

Top 16,967

in Total Papers Citations

26

CROSSREF CITATIONS

39

Scholarly Papers (23)

1.

Alternative Risk Premia Timing: A Point-in-Time Macro, Sentiment, Valuation Analysis

Forthcoming in Journal of Systematic Investing
Number of pages: 35 Posted: 28 Sep 2018 Last Revised: 20 Jan 2021
Olivier Blin, Florian Ielpo, Joan Lee and Jerome Teiletche
Unigestion SA, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Unigestion and Unigestion
Downloads 1,266 (20,528)
Citation 4

Abstract:

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Alternative Risk Premia, Carry, Trend-Following, Momentum, Equity Factors, Risk-Based Investing, Macro Regimes, Asset Allocation

2.

Estimating the Wishart Affine Stochastic Correlation Model Using the Empirical Characteristic Function

Number of pages: 47 Posted: 06 Dec 2007 Last Revised: 24 Jan 2017
José Da Fonseca, Martino Grasselli and Florian Ielpo
Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 822 (38,034)
Citation 17

Abstract:

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Wishart Process, Empirical Characteristic Function, Stochastic Correlation

3.
Downloads 793 ( 39,977)
Citation 15

Hedging (Co)Variance Risk with Variance Swaps

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 46 Posted: 04 Mar 2008 Last Revised: 24 Jan 2017
José Da Fonseca, Martino Grasselli and Florian Ielpo
Auckland University of Technology - Faculty of Business & Law, University of Padova - Department of Mathematics and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 556 (62,871)
Citation 7

Abstract:

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Wishart Affine Stochastic Correlation model, complete and incomplete markets, variance swaps, optimal portfolio choice

Hedging (Co)Variance Risk with Variance Swaps

Number of pages: 46 Posted: 19 Feb 2009
José Da Fonseca, Florian Ielpo and Martino Grasselli
Auckland University of Technology - Faculty of Business & Law, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Padova - Department of Mathematics
Downloads 237 (164,604)
Citation 12

Abstract:

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Wishart Affine Stochastic Correlation model, complete and incomplete markets, variance swaps, optimal portfolio choice with derivatives

4.

The Number of Regimes Across Asset Returns: Identification and Economic Value

Number of pages: 23 Posted: 10 Sep 2011 Last Revised: 03 Apr 2012
Mathieu Gatumel and Florian Ielpo
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 470 (78,286)
Citation 8

Abstract:

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Bull and bear markets, Markov switching models, Number of regimes, Density based tests

5.

Mean-reversion Properties of Implied Volatilities

Number of pages: 35 Posted: 16 Oct 2007 Last Revised: 24 Jul 2010
Florian Ielpo and Guillaume Simon
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Capital Fund Management
Downloads 373 (102,500)

Abstract:

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Implied Volatility, Stylized Fact, Stochastic Volatility Models, Volatility

6.

Risk Aversion and Institutional Information Disclosure on the European Carbon Market: A Case-Study of the 2006 Compliance Event

Energy Policy, Forthcoming
Number of pages: 45 Posted: 08 Apr 2008 Last Revised: 24 May 2014
Julien Chevallier, Florian Ielpo and Ludovic Mercier
University of Paris 8 Vincennes-Saint Denis, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and affiliation not provided to SSRN
Downloads 304 (128,221)
Citation 1

Abstract:

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EU ETS, Risk Aversion, Option Prices, Futures Prices

7.

Yield Curve Reaction to Macroeconomic News in Europe: Disentangling the US Influence

Number of pages: 18 Posted: 07 Dec 2007
Marie Briere and Florian Ielpo
Amundi Asset Management and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 265 (147,852)
Citation 2

Abstract:

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Announcements, News, Swap Rates, Yield Curve, Interest Rates, Euro Area

8.

Measuring Risk Appetite from Financial Assets' Excess Returns

Number of pages: 31 Posted: 04 Oct 2013 Last Revised: 19 Jul 2015
Mathieu Gatumel and Florian Ielpo
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 231 (169,187)

Abstract:

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Risk Appetite, Cross Market Linkages, Markov Switching, Financial Crisis Prediction

Option Pricing for Garch-Type Models with Generalized Hyperbolic Innovations

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 30 Posted: 24 Oct 2010
Florian Ielpo, Dominique Guegan and Christophe Chorro
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 122 (292,329)

Abstract:

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Generalized hyperbolic distribution, Option pricing, Incomplete markets, CAC 40, SP 500, GARCH-type models

Option Pricing for GARCH-Type Models with Generalized Hyperbolic Innovations

Centre d’Economie de la Sorbonne Working Paper No. 2010.23
Number of pages: 31 Posted: 18 Jul 2010
Dominique Guegan, Christophe Chorro and Florian Ielpo
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 92 (354,889)
Citation 2

Abstract:

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Generalized Hyperbolic Distribution, Option Pricing, Incomplete Markets, CAC 40, SP 500, GARCH-Type Models

10.

Equity, Credit and the Business Cycle

Number of pages: 31 Posted: 03 Mar 2011
Florian Ielpo
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 213 (182,731)

Abstract:

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Asset Allocation, Markov Switching, Density Test, Equity, Credit

11.

Understanding the Importance of the Timing and the Size of the Variations the Fed's Target Rate

C.E.S.-A.C. Working Paper No. 2006-01
Number of pages: 22 Posted: 20 Mar 2006 Last Revised: 12 Sep 2008
Dominique Guegan and Florian Ielpo
Ecole Normale Superieure de Cachan and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 196 (197,282)
Citation 1

Abstract:

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Taylor rule, duration models, probit models, Central Bank expectations, Factor based methods

12.

Forward Rates, Monetary Policy and the Economic Cycle

Number of pages: 35 Posted: 01 Mar 2011 Last Revised: 24 Jan 2017
Florian Ielpo
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 168 (225,593)

Abstract:

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risk premium, affine models, FAVAR, Central Bank forecasting, forward rates

13.

Forecasting the European Credit Cycle Using Macroeconomic Variables

Number of pages: 36 Posted: 01 Mar 2011
Florian Ielpo
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 163 (231,488)
Citation 1

Abstract:

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Credit cycle, Switching regimes, Density forecast

14.

Further Evidence on the Impact of Economic News on Interest Rates

Centre d'Economie de la Sorbonne (C.E.S.-A.C.) Working Paper No. 2007-03
Number of pages: 32 Posted: 04 Jun 2007 Last Revised: 07 Oct 2008
Dominique Guegan and Florian Ielpo
Ecole Normale Superieure de Cachan and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 145 (254,979)
Citation 3

Abstract:

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Macroeconomic Announcements, Interest Rates Dynamic, Outliers, Reaction Function, Principal Component

15.

Option Pricing with Discrete Time Jump Processes

Number of pages: 29 Posted: 01 Jul 2011
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 125 (285,901)
Citation 2

Abstract:

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16.

The Contribution of Intraday Jumps to Forecasting the Density of Returns

Number of pages: 42 Posted: 12 Jan 2017 Last Revised: 04 Apr 2019
Christophe Chorro, Florian Ielpo and Benoît Sévi
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and University of Nantes
Downloads 120 (294,510)

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Density Forecasting, Jumps, Realized Volatility, Bipower Variation, Median Realized Volatility, Leverage Effect

17.

Macroeconomic Fundamentals to the Commodity Risk Premium

Number of pages: 14 Posted: 08 Jun 2017
Ling-Ni Boon and Florian Ielpo
Tilburg University and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 84 (372,423)

Abstract:

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Commodities, risk premium, fundamentals, asset allocation

18.

Further Evidence on the Impact of Economic News on Interest Rates

Frontiers in Finance and Economics, Vol. 6, No. 2, pp. 1-45, 2009
Number of pages: 45 Posted: 10 Jun 2010 Last Revised: 29 Feb 2012
Dominique Guegan and Florian Ielpo
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 72 (406,766)
Citation 2

Abstract:

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Macroeconomic Announcements, Interest Rates Dynamic, Outliers, Reaction Function, Principal Component Analysis

19.

Assessing the Structural Fundamentals of Realized Risk Premiums

Number of pages: 20 Posted: 18 May 2017
Ling-Ni Boon and Florian Ielpo
Tilburg University and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 71 (409,887)

Abstract:

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Sharpe Ratio, Risk Premium, Long-Term Investing, Alternative Assets, Economic Growth

20.

Testing for Leverage Effects in the Returns of US Equities

CES Working Papers No. 2014.22
Number of pages: 16 Posted: 07 Apr 2015 Last Revised: 12 Jan 2017
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 69 (416,234)
Citation 1

Abstract:

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Asymmetry, GARCH, Mixture of Gaussian distributions, Generalized hyperbolic distributions, S&P 500, Leverage effect

21.

Sector Spillovers in Credit Markets

Number of pages: 16 Posted: 25 Jan 2017
Jerome Collet and Florian Ielpo
Lombard Odier Darier Hentsch & Cie - Lombard Odier Investment Management and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 59 (450,617)
Citation 2

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Credit spreads, volatility spillovers, credit sectors, connectedness, systemic risk, markov switchin

22.

Cross‐Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production

Australian Economic Review, Vol. 47, Issue 2, pp. 189-198, 2014
Number of pages: 10 Posted: 28 May 2014
Julien Chevallier and Florian Ielpo
University of Paris 8 Vincennes-Saint Denis and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 0 (819,021)
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23.

Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate

The IUP Journal of Monetary Economics, Vol. VII, Nos. 3 & 4, pp. 44-72, August & November 2009
Posted: 26 Aug 2009
Florian Ielpo and Dominique Guegan
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne

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