Elise Gourier

Finance · 2009–2016

A researcher in the Science corpus: 2 papers; trusts 18 researchers and is trusted by 0 researchers here, as inferred from the citation graph.

Subfields

• Finance — 57 citations into it
• Economics and Econometrics — 25 citations into it
• Management Science and Operations Research — 13 citations into it
• Demography — 5 citations into it

Whom Elise Gourier trusts overall

Their strongest outbound trust, strongest first, inferred from their citations.

1. Paul Embrechts
2. Alexander J. McNeil
3. Jun Pan
4. David S. Bates
5. Q. Vuong
6. Peter P. Carr
7. Qiang Dai
8. Tim Bollerslev
9. Mark Broadie
10. Geert Bekaert

Papers from Elise Gourier's perspective

Ordered by how strongly the researchers Elise Gourier trusts endorse each paper. Same corpus, a different order for every researcher.

1. The jump-risk premia implicit in options: evidence from an integrated time-series study $
2. Post-'87 crash fears in the S&P 500 futures option market
3. Specification Analysis of Affine Term Structure Models
4. Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls
5. The Impact of Jumps in Volatility and Returns
6. Variance Risk Premiums
7. Model Specification and Risk Premia: Evidence from Futures Options
8. The VIX, the Variance Premium and Stock Market Volatility (Social Science Research Network)
9. Tails, Fears and Risk Premia
10. Statistical Inference Using Extreme Order Statistics

Their papers

• Operational Risk Quantification Using Extreme Value Theory and Copulas: From Theory to Practice (2009) — 51 citations
• Quadratic Variance Swap Models (2016) — 88 citations