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Evolution of Market Uncertainty around Earnings Announcements
Isakov, Dušan; Pérignon, Christophe - 2000
This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates.
Persistent link: https://www.econbiz.de/10005843220
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Repurchasing shares on a second trading line
Chung, Dennis Y.; Isakov, Dušan; Pérignon, Christophe - In: Review of finance : journal of the European Finance … 11 (2007) 2, pp. 253-285
Persistent link: https://www.econbiz.de/10003714182
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Repurchasing shares on a second trading line
Chung, Dennis Y. (contributor); Isakov, Dušan (contributor) - 2005
Persistent link: https://www.econbiz.de/10003287294
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Sources of time variation in the covariance matrix of interest rates
Pérignon, Christophe; Villa, Christophe - In: The journal of business : B 79 (2006) 3, pp. 1535-1550
Persistent link: https://www.econbiz.de/10003337025
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How common are common return factors across the NYSE and Nasdaq?
Goyal, Amit; Pérignon, Christophe; Villa, Christophe - In: Journal of financial economics 90 (2008) 3, pp. 252-271
Persistent link: https://www.econbiz.de/10003833349
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A new approach to comparing VaR estimation methods
Pérignon, Christophe; Smith, Daniel R. - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 54-66
Persistent link: https://www.econbiz.de/10003795258
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Commonality in liquidity : a global perspective
Brockman, Paul; Chung, Dennis Y.; Pérignon, Christophe - In: Journal of financial and quantitative analysis : JFQA 44 (2009) 4, pp. 851-882
Persistent link: https://www.econbiz.de/10003901192
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Diversification and Value-at-Risk
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 34 (2010) 1, pp. 55-66
Persistent link: https://www.econbiz.de/10003905666
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Why common factors in international bond returns are not so common
Pérignon, Christophe; Smith, Daniel R.; Villa, Christophe - In: Journal of international money and finance 26 (2007) 2, pp. 284-304
Persistent link: https://www.econbiz.de/10003429372
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The level and quality of Value-at-Risk disclosure by commercial banks
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 34 (2010) 2, pp. 362-377
Persistent link: https://www.econbiz.de/10003935605