Florian Ielpo
Names
| first: |
Florian |
| last: |
Ielpo |
Identifer
Contact
Affiliations
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Université Paris 1 (Panthéon-Sorbonne)
/ Centre d'Économie de la Sorbonne
/ Centre de recherche de mathématiques et économie mathématique (CERMSEM)
Research profile
author of:
- Cross-Market Linkages: The Case of Commodities, Bonds, Inflation and Industrial Production (RePEc:bla:ausecr:v:47:y:2014:i:2:p:189-198)
by Julien Chevallier & Florian Ielpo - Estimating the Wishart Affine Stochastic Correlation Model using the empirical characteristic function (RePEc:bpj:sndecm:v:18:y:2014:i:3:p:37:n:1)
by Da Fonseca José & Grasselli Martino & Ielpo Florian - Flexible time series models for subjective distribution estimation with monetary policy in view (RePEc:bxr:bxrceb:y:2008:v:51:i:1:p:79-103)
by Dominique Guégan & Florian Ielpo - Common risk factors in commodities (RePEc:ebl:ecbull:eb-12-00894)
by Julien Chevallier & Florian Ielpo & Ling-Ni Boon - Option pricing with discrete time jump processes (RePEc:eee:dyncon:v:37:y:2013:i:12:p:2417-2445)
by Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo - Testing for leverage effects in the returns of US equities (RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306)
by Chorro, Christophe & Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo - Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event (RePEc:eee:enepol:v:37:y:2009:i:1:p:15-28)
by Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic - Martingalized historical approach for option pricing (RePEc:eee:finlet:v:7:y:2010:i:1:p:24-28)
by Chorro, C. & Guégan, D. & Ielpo, F. - Empirical bias in intraday volatility measures (RePEc:eee:finlet:v:9:y:2012:i:4:p:231-237)
by Fang, Yan & Ielpo, Florian & Sévi, Benoît - Sector spillovers in credit markets (RePEc:eee:jbfina:v:94:y:2018:i:c:p:267-278)
by Collet, Jerome & Ielpo, Florian - Investigating the leverage effect in commodity markets with a recursive estimation approach (RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778)
by Chevallier, Julien & Ielpo, Florian - Unknown item RePEc:eme:mfipps:v:40:y:2014:i:7:p:662-680 (article)
- Further Evidence on the Impact of Economic News on Interest Rates (RePEc:ffe:journl:v:6:y:2009:i:2:p:1-45)
by Dominique Guégan,Florian Ielpo - Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results (RePEc:hal:cesptp:hal-00308687)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations (RePEc:hal:cesptp:hal-00511965)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Understanding momentum in commodity markets (RePEc:hal:cesptp:hal-00947001)
by Mathieu Gatumel & Florian Ielpo - Option pricing with discrete time jump processes (RePEc:hal:cesptp:hal-00964950)
by Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison - A time series approach to option pricing: Models, Methods and Empirical Performances (RePEc:hal:cesptp:hal-01015308)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Commodity Markets through the business cycle (RePEc:hal:cesptp:hal-01302479)
by Mathieu Gatumel & Florian Ielpo - Flexible time series models for subjective distribution estimation with monetary policy in view (RePEc:hal:cesptp:halshs-00188247)
by Dominique Guegan & Florian Ielpo - Further evidence on the impact of economic news on interest rates (RePEc:hal:cesptp:halshs-00188331)
by Dominique Guegan & Florian Ielpo - Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology (RePEc:hal:cesptp:halshs-00281585)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Flexible time series models for subjective distribution estimation with monetary policy in view (RePEc:hal:cesptp:halshs-00368356)
by Dominique Guegan & Florian Ielpo - Martingalized Historical approach for Option Pricing (RePEc:hal:cesptp:halshs-00376756)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Martingalized Historical approach for Option Pricing (RePEc:hal:cesptp:halshs-00437927)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate (RePEc:hal:cesptp:halshs-00439813)
by Dominique Guegan & Florian Ielpo - Further evidence on the impact of economic news on interest rates (RePEc:hal:cesptp:halshs-00439820)
by Dominique Guegan & Florian Ielpo - Option pricing for GARCH-type models with generalized hyperbolic innovations (RePEc:hal:cesptp:halshs-00469529)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes (RePEc:hal:cesptp:halshs-00523371)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Option pricing with discrete time jump processes (RePEc:hal:cesptp:halshs-00611706)
by Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison - The Number of Regimes Across Asset Returns: Identification and Economic Value (RePEc:hal:cesptp:halshs-00658540)
by Mathieu Gatumel & Florian Ielpo - Identifying and Explaining the Number of Regimes Driving Asset Returns (RePEc:hal:cesptp:halshs-00658544)
by Mathieu Gatumel & Florian Ielpo - Testing for Leverage Effects in the Returns of US Equities (RePEc:hal:cesptp:halshs-00973922)
by Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison - The contribution of jumps to forecasting the density of returns (RePEc:hal:cesptp:halshs-01442618)
by Christophe Chorro & Florian Ielpo & Benoît Sévi - Testing for leverage effects in the returns of US equities (RePEc:hal:cesptp:halshs-01917590)
by Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison - Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate (RePEc:icf:icfjmo:v:07:y:2009:i:3-4:p:44-72)
by Florian Ielpo & Dominique Gúegan - Forecasting the density of oil futures (RePEc:ipg:wpaper:2014-601)
by Florian Ielpo & Benoît Sévi - Option pricing for GARCH-type models with generalized hyperbolic innovations (RePEc:mse:cesdoc:10023)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes (RePEc:mse:cesdoc:10067)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Option pricing with discrete time jump processes (RePEc:mse:cesdoc:11037)
by Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison - Option pricing with discrete time jump processes (RePEc:mse:cesdoc:11037r)
by Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison - Testing for Leverage Effect in Financial Returns (RePEc:mse:cesdoc:14022)
by Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison - Testing for Leverage Effects in the Returns of US Equities (RePEc:mse:cesdoc:14022r)
by Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison - The contribution of jumps to forecasting the density of returns (RePEc:mse:cesdoc:17006)
by Christophe Chorro & Florian Ielpo & Benoît Sévi - Flexible time series models for subjective distribution estimation with monetary policy in view (RePEc:mse:cesdoc:b07056)
by Dominique Guégan & Florian Ielpo - Further evidence on the impact of economic news on interest (RePEc:mse:cesdoc:b07062)
by Dominique Guégan & Florian Ielpo - Option pricing under GARCH models with generalized hyperbolic innovations (I): methodology (RePEc:mse:cesdoc:b08037)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results (RePEc:mse:cesdoc:b08047)
by Christophe Chorro & Dominique Guegan & Florian Ielpo - An anatomy of global risk premiums (RePEc:pal:assmgt:v:17:y:2016:i:4:d:10.1057_jam.2016.16)
by Ling-Ni Boon & Florian Ielpo - An econometric specification of monetary policy dark art (RePEc:pra:mprapa:1004)
by Ielpo, Florian & Guégan, Dominique - Further evidence on the impact of economic news on interest rates (RePEc:pra:mprapa:3425)
by Ielpo, Florian & Guégan, Dominique - Yield curve reaction to macroeconomic news in Europe :disentangling the US influence (RePEc:sol:wpaper:07-038)
by Marie Briere & Florian Ielpo - Cross-market linkages between commodities, stocks and bonds (RePEc:taf:apeclt:v:20:y:2013:i:10:p:1008-1018)
by Julien Chevallier & Florian Ielpo - Volatility spillovers in commodity markets (RePEc:taf:apeclt:v:20:y:2013:i:13:p:1211-1227)
by Julien Chevallier & Florian Ielpo - Understanding momentum in commodity markets (RePEc:taf:apeclt:v:20:y:2013:i:15:p:1383-1402)
by Julien Chevallier & Mathieu Gatumel & Florian Ielpo - Equity, credit and the business cycle (RePEc:taf:apfiec:v:22:y:2012:i:12:p:939-954)
by Florian Ielpo - Mean-reversion properties of implied volatilities (RePEc:taf:eurjfi:v:16:y:2010:i:6:p:587-610)
by Florian Ielpo & Guillaume Simon - Twenty years of jumps in commodity markets (RePEc:taf:irapec:v:28:y:2014:i:1:p:64-82)
by Julien Chevallier & Florian Ielpo - Option pricing for GARCH-type models with generalized hyperbolic innovations (RePEc:taf:quantf:v:12:y:2012:i:7:p:1079-1094)
by Christophe Chorro & Dominique Gu�gan & Florian Ielpo - Commodity markets through the business cycle (RePEc:taf:quantf:v:14:y:2014:i:9:p:1597-1618)
by Julien Chevallier & Mathieu Gatumel & Florian Ielpo - Forecasting the European Credit Cycle Using Macroeconomic Variables (RePEc:wly:jforec:v:32:y:2013:i:3:p:226-246)
by Florian Ielpo - Forward Rates, Monetary Policy and the Economic Cycle (RePEc:wly:jforec:v:34:y:2015:i:4:p:241-260)
by Florian Ielpo - Hedging (Co)Variance Risk With Variance Swaps (RePEc:wsi:ijtafx:v:14:y:2011:i:06:n:s0219024911006784)
by José Da Fonseca & Martino Grasselli & Florian Ielpo - The Number Of Regimes Across Asset Returns: Identification And Economic Value (RePEc:wsi:ijtafx:v:17:y:2014:i:06:n:s021902491450040x)
by Mathieu Gatumel & Florian Ielpo