My main fields of interest and research in finance and applied econometrics are:
and here is a list of topics/courses that I teach or used to teach previously:
The recent widespread availability of intraday tick-by-tick databases for stocks, options and currencies has had an important impact on research in applied financial econometrics and market microstructure. This book focuses on the econometric modelling of intraday tick-by-tick transaction data (trades and quotes) for stocks traded on the New York Stock Exchange (NYSE). Recent quantitative modelling tools such as intraday duration models and GARCH models are presented. A survey of trading mechanisms in financial markets and a review of market microstructure issues is also included, which allows to gain a better understanding of the motivation underlying the use of the quantitative models. In the empirical applications, the link is made with the models of the market microstructure literature that have proposed an explicit treatment of time in the trading process. Other empirical applications deal with the modelling of intraday volatility and intraday Value-at-Risk. Although the models are applied to data for stocks traded on the NYSE, they are not specific to this exchange and could be used to analyze other existing trading mechanisms. Accordingly, this book should be of interest to academics and graduate students involved in empirical finance and applied econometrics, regulators working for exchanges, and practitioners in banks or brokerage firms.
For copyright reasons, I cannot put the final published versions of the papers on this website. I however give the papers as published in Discussion Paper series. Note that some of these versions have been substantially updated or modified for final publication!
How does liquidity react to stress periods in a limit order market?, with Helena Beltran and Alain Durré (Global Finance Journal, forthcoming)
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Short term market timing using the Bond-Equity Yield ratio, with Mikael Petitjean (European Journal of Finance, forthcoming)
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Moments of the Log-ACD model, with Luc Bauwens and Fausto Galli (Quantitative and Qualitative Analysis in Social Sciences, 2008, 2, 1-28)
The information content of the Bond-Equity Yield Ratio: better than a random walk?, with Mikael Petitjean (International Journal of Forecasting, 2007, 23, 289-305)
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An international test of the Fed model, with Samuel Aubert (Journal of Asset Management, 2007, 8, 86-100)
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility, with Sébastien Laurent (Journal of Futures Markets, 2007, 27, 337-359)
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Modelling venture capital exits using survival analysis, with Armin Schwienbacher (Journal of Banking and Finance, 2007, 31, 679-702)
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An international analysis of earnings, stocks prices and bond yields, with Alain Durré (Journal of Business Finance and Accounting, 2007, 34, 613-641)
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Unexpected capital gains and the stock market performance at the turn of the century, (Journal of Investing, 2007, 16, 60-69)
How large is liquidity risk in an automated auction market?, with Joachim Grammig (Empirical Economics, 2006, 30, 867-887)
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Implied volatility indexes and daily Value-at-Risk models (Journal of Derivatives, 2005, 12, 54-64)
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News announcements, market activity and volatility in the Euro-Dollar foreign exchange market, with Luc Bauwens and Walid Ben Omrane (Journal of International Money and Finance, 2005, 24, 1108-1125)
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Market risk models for intraday data (European Journal of Finance, 2005, 11, 309-324)
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Relationships between implied volatility indices and stock index returns (Journal of Portfolio Management, 2005, 31, 92-100)
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A comparison of financial duration models via density forecasts, with Luc Bauwens, Joachim Grammig and David Veredas (International Journal of Forecasting, 2004, 20, 589-609)
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Modelling daily Value-at-Risk using realized volatility and ARCH type models, with Sébastien Laurent (Journal of Empirical Finance, 2004, 11, 379-398)
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Value-at-Risk for long and short trading positions, with Sébastien Laurent (Journal of Applied Econometrics, 2003, 18, 641-663)
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Market risk in commodity markets: a VaR approach, with Sébastien Laurent (Energy Economics, 2003, 25, 435-457)
Asymmetric ACD models: introducing price information in ACD models, with Luc Bauwens (Empirical Economics, 2003, 28, 709-731)
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The information content of implied volatility in agricultural commodity markets (Journal of Futures Markets, 2003, 23, 441-454)
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Quantifying market risk for long and short traders, with Sébastien Laurent (European Investment Review, 2002, 1, 31-39)
Time transformations, intraday data and volatility models (Journal of Computational Finance, 2000, 4 (2), 31-62)
The logarithmic ACD model: an application to the bid-ask quote process of three NYSE stocks, with Luc Bauwens (Annales d'Economie et Statistique, 2000, 60, 117-149)
A Gibbs sampling approach to cointegration, with Luc Bauwens (Computational Statistics, 1998, 13, 339-368)
L'irrésistible ascension de la finance comportementale (Revue bancaire et financière, 2009/2-3, 156-158)
Rendements boursiers attendus et réalisés à la fin du siècle dernier: les cas de la Belgique, du Royaume-Uni et des Etats Unis, with Dimitri Cop (Revue bancaire et financière, 2007/8, 530-539)
Les oeuvres d’art comme placements financiers : le cas de l’art moderne classique et de ses différents courants, with Sarah Fraipont (Revue bancaire et financière, 2006/8, 494-503)
Stocks, bonds and the equity risk premium: some recent academic perspectives (Revue bancaire et financière, 2005/3, 184-190)
The moments of first order Log-ACD models, with Luc Bauwens and Fausto Galli (in Modeling Seasonality and Periodicity, Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling, 213-237, Institute of Statistical Mathematics, Tokyo, 2002)
Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models, with Luc Bauwens (Instituto Flores de Lemus de Estudios Avanzados en Economia, Bulletin n°65, Universidad Carlos III de Madrid, Madrid, Spain, 2000)
Ph.D. thesis: Econometric studies on the formation of prices in financial and commodity markets (CIACO, Louvain-la-Neuve, 1999)
Market-wide liquidity co-movements, volatility regimes and market cap sizes, with Renaud Beaupain and Mikael Petitjean (CORE
DP 2006/102)
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International stock return predictability: statistical evidence and economic significance, with Mikael Petitjean (CORE
DP 2006/88)
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Commonalities in the order book, with Helena Beltran and Joachim Grammig (CORE
DP 2005/11)
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The Asian financial crisis: the start of a regime switch in volatility
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Cointegration and leadership on the European off-season fresh fruit market, with Bruno Henry de Frahan and Nicolas Pirotte (CORE
DP 9922)
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Last revised: 10/5/2009. Any comments? Just e-mail me at giot@core.ucl.ac.be.