Institution: Groupe des Écoles Nationales d'Économie et Statistique (GENES)
Primary Field: Econometrics (weighted toward more recent publications)
Scores use coauthorship adjustment: α/n credit per paper, where n = number of authors. α = 2.01: calibrated so average adjusted count equals average raw count (a zero-sum adjustment).
| Period | S (4x) | A (2x) | B (1x) | C (½x) | Total |
|---|---|---|---|---|---|
| Last 5 Years | 0.00 | 0.00 | 0.00 | 0.00 | 0.00 |
| Last 10 Years | 0.00 | 0.67 | 2.01 | 0.00 | 3.35 |
| All Time | 0.00 | 1.34 | 4.02 | 0.00 | 6.70 |
| Year | Article | Journal | Tier | Authors |
|---|---|---|---|---|
| 2020 | Dynamics of variance risk premia: A new model for disentangling the price of risk | Journal of Econometrics | A | 3 |
| 2020 | Pricing individual stock options using both stock and market index information | Journal of Banking & Finance | B | 3 |
| 2019 | A non-structural investigation of VIX risk neutral density | Journal of Banking & Finance | B | 3 |
| 2017 | WEAK DIFFUSION LIMITS OF DYNAMIC CONDITIONAL CORRELATION MODELS | Econometric Theory | B | 3 |
| 2015 | Understanding volatility dynamics in the EU-ETS market | Energy Policy | B | 3 |
| 2014 | The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options | International Journal of Forecasting | B | 3 |
| 2013 | On loss functions and ranking forecasting performances of multivariate volatility models | Journal of Econometrics | A | 3 |
| 2012 | On the forecasting accuracy of multivariate GARCH models | Journal of Applied Econometrics | B | 3 |