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Membre du personnel

Pierre GIOT

Publications (63)

Livres

2001
Econometric modeling of stock market intraday activity
Luc BAUWENS, Pierre GIOT

Articles de périodique

2011
Style investing and momentum investing: a case study, in Journal of Asset Management, volume 12, pp. 407-417
Sandrine DE MOERLOOSE, Pierre GIOT
2011
On the statistical and economic performance of stock return predictive regression models: an international perspective, in Quantitative Finance, volume 11, pp. 175-193
Pierre GIOT, Mikael PETITJEAN
2010
Market-wide liquidity co-movements, volatility regimes and market cap sizes, in Revue Finance, volume 31, pp. 55-78
Renaud BEAUPAIN, Pierre GIOT, Mikael PETITJEAN
2010
Trading activity, realized volatility and jumps, in Journal of Empirical Finance, volume 17, pp. 168-175
Pierre GIOT, Sébastien LAURENT, Mikael PETITJEAN
2009
Prévision et détection des opérations de LBO , in Revue Bancaire et Financière, volume 2009/6-7, pp. 451-460
Pierre GIOT, Laetitia NOËL
2009
Commonalities in the order book, in Financial Markets and Portfolio Management, volume 23, pp. 209-242
Héléna BELTRAN, Pierre GIOT, Joachim GRAMMIG
2009
Short term market timing using the Bond-Equity Yield ratio, in European Journal of Finance, volume 15, pp. 365-384
Pierre GIOT, Mikael PETITJEAN
2009
L'irrésistible ascension de la finance comportementale, in Revue Bancaire et Financière, volume 2009/2-3, pp. 156-158
Pierre GIOT
2009
How does liquidity react to stress periods in a limit order market?, in Global Finance Journal, volume 20, pp. 80-97
Héléna BELTRAN, Alain DURRE, Pierre GIOT
2008
Moments of the Log-ACD model, in Quantitative and Qualitative Analysis in Social Sciences, volume 2, pp. 1-28
Luc BAUWENS, Fausto GALLI, Pierre GIOT
2007
IPOs, trade sales, liquidations: modeling venture capital exits using survival analysis, in Journal of Banking and Finance, volume 31, pp. 679-702
Pierre GIOT, Armin SCHWIENBACHER
2007
An international analysis of earnings, stock prices and bond yields, in Journal of Business Finance and Accounting, volume 34, pp. 613-641
Alain DURRÉ, Pierre GIOT
2007
An international test of the Fed model, in Journal of Asset Management, volume 8, pp. 86-100
Samuel AUBERT, Pierre GIOT
2007
The information content of the Bond-Equity Yield Ratio: better than a random walk?, in International Journal of Forecasting, volume 23, pp. 289-305
Pierre GIOT, Mikael PETITJEAN
2007
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility, in Journal of Futures Markets, volume 27, pp. 337-359
Pierre GIOT, Sébastien LAURENT
2007
Unexpected capital gains and the stock market performance at the turn of the century, in Journal of Investing, volume 16, pp. 60-69
Pierre GIOT
2007
Rendements boursiers attendus et réalisés à la fin du siècle dernier : les cas de la Belgique, du Royaume-Uni et des Etats-Unis, in Revue bancaire et Financière, volume 2007/8, pp. 530-539
Dimitri COP, Pierre GIOT
2006
Les oeuvres d'art comme placements financiers: le cas de l'art moderne classique et de ses différents courants, in Revue Bancaire et Financière, volume 2006/8, pp. 494-503
Sarah FRAIPONT, Pierre GIOT
2006
How large is liquidity risk in an automated auction market?, in Empirical Economics, volume 30, pp. 867-887
Pierre GIOT, Joachim GRAMMIG
2005
Stocks, bonds and the equity risk premium: some recent academic perspectives, in Revue bancaire et financière, volume 2005/03, pp. 184-190
Pierre GIOT
2005
Implied volatility indices as leading indicators of stock index returns?, in Journal of Portfolio Management, volume 31, pp. 92-100
Pierre GIOT
2005
Implied volatility indexes and daily Value-at-Risk models, in Journal of Derivatives, volume 12, pp. 54-64
Pierre GIOT
2005
Market risk models for intraday data, in European Journal of Finance, volume 11, pp. 309-324
Pierre GIOT
2005
News announcements, market activity and volatility in the Euro-Dollar foreign exchange market, in Journal of International Money and Finance, volume 24, pp. 1108-1125
Luc BAUWENS, Walid BEN OMRANE, Pierre GIOT
2004
Modelling daily Value-at-Risk using realized volatility and ARCH type models, in Journal of Empirical Finance, volume 11, pp. 379-398
Pierre GIOT, Sébastien LAURENT
2004
A comparison of financial duration models via density forecasts, in International Journal of Forecasting, volume 20, pp. 589-609
Luc BAUWENS, Pierre GIOT, Joachim GRAMMIG, David VEREDAS
2003
The information content of implied volatility in agricultural commodity markets, in Journal of Futures Markets, volume 23, issue 5, pp. 441-454
Pierre GIOT
2003
Asymmetric ACD models: introducing price information in ACD models, in Empirical Economics, volume 28, pp. 709-731
Luc BAUWENS, Pierre GIOT
2003
Value-at-Risk for long and short trading positions, in Journal of Applied Econometrics, volume 18, pp. 641-663
Pierre GIOT, Sébastien LAURENT
2003
Market risk in commodity markets: a VaR approach, in Energy Economics, volume 25, pp. 435-457
Pierre GIOT, Sébastien LAURENT
2002
Quantifying market risk for long and short traders, in European Investment Review, volume 1, pp. 31-39
Pierre GIOT, Sébastien LAURENT
2001
Time transformations, intraday data, and volatility models, in Journal of Computational Finance, volume 4, issue 2, pp. 31-62
Pierre GIOT
2000
The logarithmic ACD model : an application to the bid-ask quote process of three NYSE stocks, in Annales d'Economie et Statistique, volume 60, issue Oct/Déc 2000, pp. 117-149
Luc BAUWENS, Pierre GIOT
1998
A Gibbs sampling approach to cointegration, in Computational Statistics, volume 13, issue 3, pp. 339-368
Luc BAUWENS, Pierre GIOT

Contributions à des ouvrages collectifs

2002
The moments of first order Log-ACD models, in Modeling Seasonality and Periodicity, Proceedings of the 3rd International Symposium on Frontiers of Time Series Modeling, pp. 213-237
Luc BAUWENS, Fausto GALLI, Pierre GIOT

Thèses

1999
Econometric studies on the formation of prices in financial and commodity markets
Pierre GIOT

Syllabus

2008
Finance de marché empirique
Pierre GIOT
2008
Introduction à la microstructure des marchés financiers
Pierre GIOT
2007
Gestion financière : cours
Pierre GIOT
2006
Finance d'entreprise approfondie
Pierre GIOT
2005
Gestion financière
Pierre GIOT
2004
Gestion financière
Pierre GIOT
2004
Gestion financière: exercices
Pierre GIOT
2004
Gestion Financière - Syllabus d'Exercices
Renaud BEAUPAIN, Pierre GIOT
2003
Gestion financière
Pierre GIOT

Rapports de recherche

2006
Market-wide liquidity co-movements, volatility regimes and market cap sizes., in CORE Discussion Paper, volume 2006, issue 102
Pierre GIOT, Mikael PETITJEAN, Renaud BEAUPAIN
2006
International stock return predictability: statistical evidence and economic significance., in CORE Discussion Paper, volume 2006, issue 88
Pierre GIOT, Mikael PETITJEAN
2005
Volatility regimes and the provision of liquidity in order book markets, in CORE Discussion Paper, volume 2005, issue 12
Helena BELTRAN, Alain DURRE, Pierre GIOT
2005
Dynamic asset allocation between stocks and bonds using the Bond-Equity Yield ratio, in CORE Discussion Paper, volume 2005, issue 10
Pierre GIOT, Mikael PETITJEAN
2005
IPOs, trade sales and liquidations: modelling venture capital exits using survival analysis, in CORE Discussion Paper, volume 2005, issue 13
Pierre GIOT, Armin SCHWIENBACHER
2005
Commonalities in the order book, in CORE Discussion Paper, volume 2005, issue 11
Helena BELTRAN, Pierre GIOT, Joachim GRAMMIG
2003
Market risk in commodity markets: a VaR approach, in CORE Discussion Paper, volume 2003, issue 28
Pierre GIOT, Sébastien LAURENT
2003
The information content of implied volatility indexes for forecasting volatility and market risk, in CORE Discussion Paper, volume 2003, issue 27
Pierre GIOT
2003
News announcements, market activity and volatility in the Euro/Dollar foreign exchange market, in CORE Discussion Paper, volume 2003, issue 29
Luc BAUWENS, Walid BEN OMRANE, Pierre GIOT
2002
How large is liquidity risk in an automated auction market?, in CORE Discussion Paper, volume 2002, issue 54
Pierre GIOT, Joachim GRAMMIG
2002
Implied volatility indices as leading indicators of stock index returns?, in CORE Discussion Paper, volume 2002, issue 50
Pierre GIOT
2001
Value-at-Risk for long and short trading positions, in METEOR Research Memorandum, volume RM/01, issue 005
Pierre GIOT, Sébastien LAURENT
2001
Modelling daily Value-at-Risk using realized volatility and ARCH type models, in METEOR Research Memorandum, volume RM/01, issue 026
Pierre GIOT, Sébastien LAURENT
2000
Intraday Value-at-Risk, in METEOR Research Memorandum, volume RM/00, issue 030
Pierre GIOT
2000
A comparison of financial duration models via density forecasts, in CORE Discussion Paper, volume 20, issue 60
Luc BAUWENS, Pierre GIOT, Joachim GRAMMIG, David VEREDAS
2000
Modeling and predicting intra-day price movements in stock markets with autoregressive conditional duration models, in Bulletin of Instituto Flores de Lemus de Estudios Avanzados en Economia, volume 65, pp. 49-56
Luc BAUWENS, Pierre GIOT
1999
Cointegration and leadership on the European off-season fresh fruit markets, in CORE Discussion Paper, volume 99, issue 22
Pierre GIOT, Bruno HENRY DE FRAHAN, Nicolas PIROTTE