Florian ielpo
Florian ielpo
Associate researcher, Centre d'Economie de la Sorbonne
Verified email at ensae.org
Title
Cited by
Cited by
Year
Risk aversion and institutional information disclosure on the European carbon market: a case-study of the 2006 compliance event
J Chevallier, F Ielpo, L Mercier
Energy Policy 37 (1), 15-28, 2009
1202009
Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
J Da Fonseca, M Grasselli, F Ielpo
Studies in Nonlinear Dynamics & Econometrics 18 (3), 253-289, 2014
662014
Option pricing for GARCH-type models with generalized hyperbolic innovations
C Chorro, D Guégan, F Ielpo
Quantitative Finance 12 (7), 1079-1094, 2012
582012
Volatility spillovers in commodity markets
J Chevallier, F Ielpo
Applied Economics Letters 20 (13), 1211-1227, 2013
532013
The economics of commodity markets
J Chevallier, F Ielpo
John Wiley & Sons, 2013
492013
Hedging (co) variance risk with variance swaps
J Da Fonseca, M Grasselli, F Ielpo
International Journal of Theoretical and Applied Finance 14 (06), 899-943, 2011
482011
Martingalized historical approach for option pricing
C Chorro, D Guegan, F Ielpo
Finance research letters 7 (1), 24-28, 2010
232010
Sector spillovers in credit markets
J Collet, F Ielpo
Journal of Banking & Finance 94, 267-278, 2018
222018
Twenty years of jumps in commodity markets
J Chevallier, F Ielpo
International Review of Applied Economics 28 (1), 64-82, 2014
202014
Further evidence on the impact of economic news on interest rates
D Guégan, F Ielpo
Frontiers in Finance and Economics 6 (2), 1-45, 2009
172009
A time series approach to option pricing
C Chorro, D Guégan, F Ielpo
Springer Berlin Heidelberg, 2015
152015
Commodity markets through the business cycle
J Chevallier, M Gatumel, F Ielpo
Quantitative Finance 14 (9), 1597-1618, 2014
152014
Investigating the leverage effect in commodity markets with a recursive estimation approach
J Chevallier, F Ielpo
Research in International Business and Finance 39, 763-778, 2017
132017
Option pricing with discrete time jump processes
D Guegan, F Ielpo, H Lalaharison
Journal of Economic Dynamics and Control 37 (12), 2417-2445, 2013
122013
Inconvenience yield, or the theory of normal contango
I Bouchouev
Quantitative Finance 12 (12), 1773-1777, 2012
112012
Yield curve reaction to macroeconomic news in Europe: Disentangling the US influence
M Brière, F Ielpo
Available at SSRN 1054861, 2007
102007
Cross-market linkages between commodities, stocks and bonds
J Chevallier, F Ielpo
Applied Economics Letters 20 (10), 1008-1018, 2013
92013
Determining the maximum number of uncorrelated strategies in a global portfolio
LN Boon, F Ielpo
The Journal of Alternative Investments 16 (4), 8-27, 2014
82014
Equity, credit and the business cycle
F Ielpo
Applied Financial Economics 22 (12), 939-954, 2012
82012
Flexible time series models for subjective distribution estimation with monetary policy in view
D Guégan, F Ielpo
Brussels Economic Review 51 (1), 79-103, 2008
82008
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Articles 1–20