| 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 | 141 | 2009 |
| Volatility spillovers in commodity markets J Chevallier, F Ielpo Applied Economics Letters 20 (13), 1211-1227, 2013 | 112 | 2013 |
| Option pricing for GARCH-type models with generalized hyperbolic innovations C Chorro, D Guégan, F Ielpo Quantitative Finance 12 (7), 1079-1094, 2012 | 80 | 2012 |
| The economics of commodity markets J Chevallier, F Ielpo John Wiley & Sons, 2013 | 66 | 2013 |
| Sector spillovers in credit markets J Collet, F Ielpo Journal of Banking & Finance 94, 267-278, 2018 | 64 | 2018 |
| 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 | 55 | 2011 |
| 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 | 48 | 2014 |
| Estimating the Wishart Affine Stochastic Correlation Modelusing the Empirical Characteristic Function J Da Fonseca, M Grasselli, F Ielpo | 35 | 2008 |
| Twenty years of jumps in commodity markets J Chevallier, F Ielpo International Review of Applied Economics 28 (1), 64-82, 2014 | 32 | 2014 |
| Commodity markets through the business cycle J Chevallier, M Gatumel, F Ielpo Commodities, 439-468, 2022 | 26 | 2022 |
| Martingalized historical approach for option pricing C Chorro, D Guegan, F Ielpo Finance research letters 7 (1), 24-28, 2010 | 22 | 2010 |
| 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 | 21 | 2017 |
| 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 | 18 | 2020 |
| Further evidence on the impact of economic news on interest rates F Ielpo, D Guégan Centre d'Economie de la Sorbonne, 2006 | 18 | 2006 |
| Option pricing with discrete time jump processes D Guégan, F Ielpo, H Lalaharison Journal of Economic Dynamics and Control 37 (12), 2417-2445, 2013 | 17 | 2013 |
| Cross-market linkages between commodities, stocks and bonds J Chevallier, F Ielpo Applied Economics Letters 20 (10), 1008-1018, 2013 | 16 | 2013 |
| A time series approach to option pricing C Chorro, D Guégan, F Ielpo Springer Berlin Heidelberg, 2015 | 14 | 2015 |
| Equity, credit and the business cycle F Ielpo Applied Financial Economics 22 (12), 939-954, 2012 | 13 | 2012 |
| “Time series momentum” in commodity markets J Chevallier, F Ielpo Managerial Finance 40 (7), 662-680, 2014 | 12 | 2014 |
| Testing for leverage effects in the returns of US equities C Chorro, D Guegan, F Ielpo, H Lalaharison Journal of Empirical Finance 48, 290-306, 2018 | 10 | 2018 |
Prof. Dr. Julien ChevallierProfessor of EconomicsVerified email at univ-paris8.fr
