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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
1352009
Volatility spillovers in commodity markets
J Chevallier, F Ielpo
Applied Economics Letters 20 (13), 1211-1227, 2013
1062013
Option pricing for GARCH-type models with generalized hyperbolic innovations
C Chorro, D Guégan, F Ielpo
Quantitative Finance 12 (7), 1079-1094, 2012
772012
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
762014
The economics of commodity markets
J Chevallier, F Ielpo
John Wiley & Sons, 2013
632013
Sector spillovers in credit markets
J Collet, F Ielpo
Journal of Banking & Finance 94, 267-278, 2018
582018
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
542011
Twenty years of jumps in commodity markets
J Chevallier, F Ielpo
International Review of Applied Economics 28 (1), 64-82, 2014
312014
Commodity markets through the business cycle
J Chevallier, M Gatumel, F Ielpo
Commodities, 439-468, 2022
232022
Martingalized historical approach for option pricing
C Chorro, D Guegan, F Ielpo
Finance research letters 7 (1), 24-28, 2010
222010
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
192017
Cross-market linkages between commodities, stocks and bonds
J Chevallier, F Ielpo
Applied Economics Letters 20 (10), 1008-1018, 2013
172013
Further evidence on the impact of economic news on interest rates
F Ielpo, D Guégan
Centre d'Economie de la Sorbonne, 2006
172006
Option pricing with discrete time jump processes
D Guégan, F Ielpo, H Lalaharison
Journal of Economic Dynamics and Control 37 (12), 2417-2445, 2013
162013
Alternative risk premia timing: A point-in-time macro, sentiment, valuation analysis
O Blin, F Ielpo, J Lee, J Teiletche
Forthcoming in Journal of Systematic Investing, 2020
152020
A time series approach to option pricing
C Chorro, D Guégan, F Ielpo
Springer Berlin Heidelberg, 2015
142015
Equity, credit and the business cycle
F Ielpo
Applied Financial Economics 22 (12), 939-954, 2012
132012
“Time series momentum” in commodity markets
J Chevallier, F Ielpo
Managerial Finance 40 (7), 662-680, 2014
122014
Factor timing revisited: Alternative risk premia allocation based on nowcasting and valuation signals
O Blin
SSRN, 2020
112020
Yield curve reaction to macroeconomic news in Europe: Disentangling the US influence
M Briere, F Ielpo
Available at SSRN 1054861, 2007
102007
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