Florian Ielpo

Unigestion

Head of Macro Research

8c, avenue de Champel CP 387

CP 387

Genève 12, CH 1211

Switzerland

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 8,893

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5,595

SSRN CITATIONS
Rank 14,448

SSRN RANKINGS

Top 14,448

in Total Papers Citations

32

CROSSREF CITATIONS

38

Scholarly Papers (23)

1.

Factor Timing Revisited: Alternative Risk Premia Allocation Based on Nowcasting and Valuation Signals

Number of pages: 28 Posted: 28 Sep 2018 Last Revised: 23 Feb 2020
Olivier Blin, Florian Ielpo, Joan Lee and Jerome Teiletche
Unigestion SA, Unigestion, Unigestion and Unigestion
Downloads 832 (31,096)
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 Unigestion
Downloads 807 (32,366)
Citation 17

Abstract:

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Wishart Process, Empirical Characteristic Function, Stochastic Correlation

3.
Downloads 783 ( 33,690)
Citation 16

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 Unigestion
Downloads 551 (53,042)
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, Unigestion and University of Padova - Department of Mathematics
Downloads 232 (142,930)
Citation 13

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 Unigestion
Downloads 440 (71,029)
Citation 7

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
Unigestion and Capital Fund Management
Downloads 354 (91,649)

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

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, Unigestion and affiliation not provided to SSRN
Downloads 298 (110,838)
Citation 4

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 Unigestion
Downloads 256 (130,072)
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 Unigestion
Downloads 218 (152,287)

Abstract:

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

9.

Equity, Credit and the Business Cycle

Number of pages: 31 Posted: 03 Mar 2011
Florian Ielpo
Unigestion
Downloads 207 (159,862)

Abstract:

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

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
Unigestion, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 115 (261,668)

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 Unigestion
Downloads 92 (305,202)
Citation 2

Abstract:

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

11.

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

Number of pages: 22 Posted: 20 Mar 2006 Last Revised: 12 Sep 2008
Dominique Guegan and Florian Ielpo
Ecole Normale Superieure de Cachan and Unigestion
Downloads 177 (184,254)
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
Unigestion
Downloads 157 (204,160)

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
Unigestion
Downloads 157 (204,160)
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

Number of pages: 32 Posted: 04 Jun 2007 Last Revised: 07 Oct 2008
Dominique Guegan and Florian Ielpo
Ecole Normale Superieure de Cachan and Unigestion
Downloads 137 (228,152)
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
Unigestion, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 123 (247,841)
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), Unigestion and University of Nantes
Downloads 114 (262,097)

Abstract:

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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 Unigestion
Downloads 72 (353,259)

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 Unigestion
Downloads 70 (356,012)
Citation 1

Abstract:

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

19.

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, Unigestion and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 67 (364,487)
Citation 1

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

20.

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 Unigestion
Downloads 65 (370,193)

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

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 Unigestion
Downloads 54 (405,320)
Citation 1

Abstract:

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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 Unigestion
Downloads 0 (720,946)
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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
Unigestion and Université Paris I Panthéon-Sorbonne

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