Philippe Jorion's Research


"A Century of Global Stock Markets"

"Re-emerging Markets"

"Risk^2: Measuring the Risk in Value-At-Risk"

"Multivariate Unit Root Tests of the PPP Hypothesis"

"Returns to Japanese Investors from U.S. Investments"

"Predicting Volatility in the Foreign Exchange Market"

"Risk and Turnover in the Foreign Exchange Market"

"A Longer Look at Dividend Yields"

"Does Real Interest Parity Hold at Longer Maturities?"

"A Mean-Variance Analysis of Currency Overlays"

"Constrained versus Bayesian Estimation in Portfolio Selection"

"Valuing Executive Stock Options with Endogenous Departure"

"The Importance of Derivative Securities Markets to Modern Finance"