RESEARCH
My SSRN webpage
My IDEAS webpage
Books
Engineering Investment Process: Making Value Creation Repeatable, with Ch. Merhy, and G. Simon, 2017, Elsevier.
A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances, with Ch. Chorro, and D. Guégan, 2015, Springer.
The Economics of Commodity Markets, with J. Chevallier. 2013, Wiley Finance.
Selected Publications
Chorro, C., Ielpo, F., & Sévi, B. (2020). The contribution of intraday jumps to forecasting the density of returns. Journal of Economic Dynamics and Control, 113, 103853.
Chorro, C., Guegan, D., Ielpo, F., & Lalaharison, H. (2018). Testing for leverage effects in the returns of US equities. Journal of Empirical Finance, 48, 290-306.
Collet, J., & Ielpo, F. (2018). Sector spillovers in credit markets. Journal of Banking & Finance, 94, 267-278.
Ielpo, F. (2015). Forward rates, monetary policy and the economic cycle. Journal of Forecasting, 34(4), 241-260.
Chevallier, J., Gatumel, M., & Ielpo, F. (2014). Commodity markets through the business cycle. Quantitative Finance, 14(9), 1597-1618.
Da Fonseca, J., Grasselli, M., & Ielpo, F. (2014). Estimating the Wishart affine stochastic correlation model using the empirical characteristic function. Studies in Nonlinear Dynamics & Econometrics, 18(3), 253-289.
Option Pricing with Discrete Time Jump Processes with D. Guégan and H. Lalaharison. Journal of Economic Dynamics and Control, 2013. Working paper, Published article.
Forecasting the European Credit Cycle using Macroeconomic Variables. Journal of Forecasting. Volume 32, Issue 3, pages 226–246, April 2013. SSRN, Published article.
Option pricing under GARCH models with Generalized Hyperbolic innovations with D. Guégan and Ch. Chorro. Quantitative Finance. Volume 12, Number 7, pages 1079-1094. Published version.
Martingalized Historical approach for Option Pricing with D.Guégan and Ch. Chorro. Financial Research Letters, vol. 7(1), pages 24-28, 2010. WP version (IDEAS).
Empirical Bias in Intraday Volatility Measures, with Y. Fang and B. Sévi. Finance Research Letter. Volume 9, Issue 4, December 2012, Pages 231–237. Published article.
Full List of Publications
31 - Testing for leverage effects in the returns of US equities, with Ch. Chorro, D. Guégan and H. Lalaharisson. Journal of Empirical Finance, 2018, vol 48, p. 290-306.
30 - Sector spillovers in credit markets., with J. Collet. Journal of Banking & Finance, 2018, vol. 94, p. 267-278.
29 - An Anatomy of Global Risk Premiums, with L.N. Boon. Journal of Asset Management, 17:229, 2016. Full text.
28 - Towards the identification of cross-commodity relationships in metals markets, with J. Chevallier, Journal of Quantitative Economics, 2014, forthcoming.
27 - Investigating the leverage effect in commodity markets with a recursive estimation approach, with J. Chevallier, Research in International Business and Finance, 2014, forthcoming. Full Text.
26 - Time series momentum in commodity markets, with J. Chevallier, Managerial Finance, 2014, 40(7):662-680. Full Text.
25 - Forward Rates, Monetary Policy and the Economic Cycle. Forthcoming in the Journal of Forecasting. (SSRN)
24 - Common risk factors in commodities, with L.N. Boon and J. Chevallier, forthcoming in Economics Bulletin. Published article.
23 - Cross-Market Linkages: the Case of Commodities, Bonds, Inflation and Industrial Production, with J. Chevallier. Forthcoming in the Australian Economic Review.
22 - Commodity Markets Through the Business Cycle, with J. Chevallier and M. Gatumel. Forthcoming in Quantitative Finance. Published article.
21 - Understanding Momentum in Commodity Markets, with J. Chevallier and M. Gatumel. Applied Economics Letters, Volume 20, Issue 15, 2013. Published article.
20 - Determining the Maximum Number of Uncorrelated Strategies in a Global Portfolio, with L. Boon. Forthcoming in the Journal of Alternative Investment.
19 - Assessing the Cross-Commodity Relationships in Energy Markets, with J. Chevallier. Forthcoming in Energy Studies Review.
18 - 20 years of Jumps in Commodity Markets, with J. Chevallier. Forthcoming in the International Review of Applied Economics. Published article.
17 - Estimating the Wishart Affine Stochastic Correlation (WASC) model using the Empirical Characteristic Function with J. da Fonseca and M. Grasselli. Forthcoming in Studies in Nonlinear Dynamics & Econometrics. (SSRN)
16 - Volatility Spillovers in Commodity Markets, with J. Chevallier. Applied Economics Letters, Volume 20, Issue 13, 2013. Published article.
15 - Option Pricing with Discrete Time Jump Processes with D. Guégan and H. Lalaharison. Journal of Economic Dynamics and Control, 2013. Working paper, Published article.
14 - Cross-Market Linkages Between Commodities, Stocks and Bonds. Applied Economic Letters, Vol 20 (10), 2013. Published article.
13 - Empirical Bias in Intraday Volatility Measures, with Y. Fang and B. Sévi. Finance Research Letter. Volume 9, Issue 4, December 2012, Pages 231–237. Published article.
12 - Implementing a Simple Rule for Dynamic Stop-Loss Strategies, with W. Ding and J. Chevallier. Journal of Investing, Winter 2012. Published article.
11 - Equity, Credit and the Business Cycle. Applied Financial Economics. Volume 22, Issue 12, June 2012, pages 939-954. Published article.
10 - Forecasting the European Credit Cycle using Macroeconomic Variables. Journal of Forecasting. Volume 32, Issue 3, pages 226–246, April 2013. SSRN, Published article.
9 - Hedging (Co)Variance Risk with Variance Swaps with J. da Fonseca and M. Grasselli. International Journal of Theoretical & Applied Finance. Vol. 14, No. 06, pp. 899-943. WP version, Published version.
8 - Option pricing under GARCH models with Generalized Hyperbolic innovations with D. Guégan and Ch. Chorro. Quantitative Finance. Volume 12, Number 7, pages 1079-1094. Published version.
7 - Mean-Reversion Properties of Implied Volatilities (2010), with G. Simon. The European Journal of Finance. Volume 16, Number 6, pages 587-610. Published version.
6 - Martingalized Historical approach for Option Pricing with D.Guégan and Ch. Chorro. Financial Research Letters, vol. 7(1), pages 24-28, 2010. WP version (IDEAS).
5 - Further Evidence on the Impact of News on the Interest Rates with D. Guégan. Frontiers in Finance and Economics, vol. 6(2), pages 1-45, October 2009.WP version (SSRN).
4 - Understanding the importance of the timing and the size of the variations the Fed's target rate with D.Guégan, the ICFAI University Journal of Monetary Economics, vol. 7(3-4), pages 44-72, August 2009. WP version (SSRN).
3 - Risk Aversion and Institutional Information Disclosure on the European Carbon Market: a Case-Study of the 2006 Compliance Event with Julien Chevallier and Ludovic Mercier. Energy Policy, vol. 37(1), pages 15-28, January. WP version (SSRN).
2 - Flexible Time Series Models for Subjective Distribution Estimation with Monetary Policy in View with Dominique Guegan. Brussels Economic Review. vol. 51(1), pages 74-104, SPRING 2008. WP version (IDEAS).
1 - Yield curve reaction to macroeconomic news in Europe : disentangling the US in influence with Marie Brière. in Stavarek, Daniel and Stanislav Poloucek (eds). 2008. Consequences of the European Monetary Integration on Financial Markets. Newcastle: Cambridge Scholars Publishing. WP version (SSRN).
Working Papers
The Contribution of Jumps to Forecasting the Density of Returns, with C. Chorro and B. Sévi (SSRN).
Testing for Leverage Effects in the Returns of US Equities, with Ch. Chorro, D. Guégan and H. Lalaharisson. (SSRN)
Sector Spillovers in Credit Markets, with J. Collet (SSRN).
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