Jean-Pierre Zigrand

Finance · 2004–2015

A researcher in the Science corpus: 4 papers; trusts 4 researchers and is trusted by 4 researchers here, as inferred from the citation graph.

Subfields

• Finance — 22 citations into it; #6,216 of 10,518 by trust here, #3,361 by citations
• Economics and Econometrics — 20 citations into it; #13,510 of 23,481 by trust here, #8,853 by citations
• Statistics and Probability — 5 citations into it

Whom Jean-Pierre Zigrand trusts overall

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

1. Jun Pan
2. D. Stasinopoulos
3. Robert A. Rigby
4. John D. Geanakoplos

Who trusts Jean-Pierre Zigrand overall

1. Yener Altunbaş

Papers from Jean-Pierre Zigrand's perspective

Ordered by how strongly the researchers Jean-Pierre Zigrand 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. Generalized Additive Models for Location Scale and Shape (GAMLSS) in R
3. Pricing the commonality across alternative measures of liquidity
4. Trading and Exchanges: Market Microstructure for Practitioners
5. Value at Risk: The New Benchmark for Managing Financial Risk
6. Sending the Herd Off the Cliff Edge: The Disturbing Interaction Between Herding and Market‐Sensitive Risk Management Practices
7. Optimal execution strategies in limit order books with general shape functions
8. High Frequency Trading
9. Parametric quantile regression based on the generalized gamma distribution
10. Generalized autoregressive conditional heteroskedasticity

Their papers

• Procyclical Leverage and Endogenous Risk (2012) — 177 citations
• The impact of risk regulation on price dynamics (2004) — 197 citations
• Designating Market Maker Behaviour in Limit Order Book Markets (2015) — 9 citations
• On time-scaling of risk and the square-root-of-time rule (2006) — 131 citations