Éric Jacquier

4.2k total citations · 1 hit paper
32 papers, 2.6k citations indexed

About

Éric Jacquier is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Éric Jacquier has authored 32 papers receiving a total of 2.6k indexed citations (citations by other indexed papers that have themselves been cited), including 29 papers in Finance, 11 papers in Economics and Econometrics and 10 papers in General Economics, Econometrics and Finance. Recurrent topics in Éric Jacquier's work include Financial Markets and Investment Strategies (15 papers), Financial Risk and Volatility Modeling (14 papers) and Stochastic processes and financial applications (13 papers). Éric Jacquier is often cited by papers focused on Financial Markets and Investment Strategies (15 papers), Financial Risk and Volatility Modeling (14 papers) and Stochastic processes and financial applications (13 papers). Éric Jacquier collaborates with scholars based in Canada, United States and Türkiye. Éric Jacquier's co-authors include Peter E. Rossi, Nicholas G. Polson, Alan J. Marcus, Robert A. Jarrow, Alex Kane, Éric Ghysels, George K. Chow, Mark Kritzman, Nicholas Polson and Michael Johannes and has published in prestigious journals such as Journal of Econometrics, Journal of Business and Economic Statistics and Financial Analysts Journal.

In The Last Decade

Éric Jacquier

30 papers receiving 2.5k citations

Hit Papers

align trajectories

What are hit papers?

Hit papers significantly outperform the citation benchmark for their cohort. A paper qualifies if it has ≥500 total citations, achieves ≥1.5× the top-1% citation threshold for papers in the same subfield and year (this is the minimum needed to enter the top 1%, not the average within it), or reaches the top citation threshold in at least one of its specific research topics.

Bayesian Analysis of Stochastic Volatility Models

2002 815 citations Éric Jacquier, Nicholas G. Polson et al. Journal of Business and Economic Statistics profile →

Peers — A (Enhanced Table)

Peers by citation overlap · career bar shows stage (early→late) cites · hero ref

Name	h						Papers	Cites
Éric Jacquier Canada	15	2.0k	1.4k	840	298	241	32	2.6k
Michael Johannes United States	21	3.2k 1.6×	1.6k 1.1×	583 0.7×	166 0.6×	273 1.1×	43	3.5k
Olivier Scaillet Switzerland	27	2.3k 1.1×	1.3k 0.9×	522 0.6×	553 1.9×	196 0.8×	116	3.1k
Esther Ruiz Spain	20	1.9k 0.9×	1.6k 1.1×	844 1.0×	261 0.9×	88 0.4×	71	2.4k
Jeffrey R. Russell United States	19	2.6k 1.3×	2.0k 1.4×	792 0.9×	313 1.1×	62 0.3×	34	3.1k
Viktor Todorov United States	28	3.1k 1.5×	1.7k 1.2×	476 0.6×	187 0.6×	131 0.5×	96	3.4k
Rüdiger Frey Switzerland	19	2.1k 1.0×	1.3k 0.9×	419 0.5×	160 0.5×	141 0.6×	49	2.4k
Enrique Sentana Spain	24	2.2k 1.1×	2.0k 1.4×	1.1k 1.3×	229 0.8×	45 0.2×	81	2.8k
Jin‐Chuan Duan Singapore	33	3.4k 1.7×	1.7k 1.2×	444 0.5×	143 0.5×	292 1.2×	83	3.8k
Fabio Trojani Switzerland	22	1.6k 0.8×	973 0.7×	421 0.5×	177 0.6×	131 0.5×	109	1.9k
Federico Nardari United States	18	1.9k 0.9×	1.2k 0.9×	512 0.6×	130 0.4×	77 0.3×	33	2.2k

Countries citing papers authored by Éric Jacquier

Since Specialization

Citations

This map shows the geographic impact of Éric Jacquier's research. It shows the number of citations coming from papers published by authors working in each country. You can also color the map by specialization and compare the number of citations received by Éric Jacquier with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Éric Jacquier more than expected).

Fields of papers citing papers by Éric Jacquier

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Éric Jacquier. Nodes represent research fields, and links connect fields that are likely to share authors. Colored nodes show fields that tend to cite the papers produced by Éric Jacquier. The network helps show where Éric Jacquier may publish in the future.

Co-authorship network of co-authors of Éric Jacquier

This figure shows the co-authorship network connecting the top 25 collaborators of Éric Jacquier. A scholar is included among the top collaborators of Éric Jacquier based on the total number of citations received by their joint publications. Widths of edges represent the number of papers authors have co-authored together. Node borders signify the number of papers an author published with Éric Jacquier. Éric Jacquier is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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20 of 20 papers shown

1.

Jacquier, Éric & Cédric Okou. (2013). Disentangling Continuous Volatility from Jumps in Long-Run Risk-Return Relationships. Journal of Financial Econometrics. 12(3). 544–583. 13 indexed citations

2.

Jacquier, Éric & Cédric Okou. (2012). Segregating Continuous Volatility from Jumps in Long-Run Risk-Return Trade-Offs. SSRN Electronic Journal. 4 indexed citations

3.

Boyer, M. Martin, Éric Jacquier, & Simon van Norden. (2012). Are Underwriting Cycles Real and Forecastable?. Journal of Risk & Insurance. 79(4). 995–1015. 25 indexed citations

4.

Rémillard, Bruno, Debbie J. Dupuis, Nicolas Papageorgiou, & Éric Jacquier. (2006). Empirical Study of Dependence of Credit Default Data and Equity Prices. Les Cahiers du GERAD. 1–20. 1 indexed citations

5.

Dupuis, Debbie J., et al.. (2006). Credit migration and basket derivatives pricing with copulas. The Journal of Computational Finance. 10(1). 43–68. 9 indexed citations

6.

Rémillard, Bruno, et al.. (2005). Credit Migration and Derivatives Pricing Using Copulas. Les Cahiers du GERAD. 1–32. 2 indexed citations

7.

Jacquier, Éric. (2005). Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk. Journal of Financial Econometrics. 3(1). 37–55. 32 indexed citations

8.

Jacquier, Éric, Alex Kane, & Alan J. Marcus. (2004). Geometric or Arithmetic Mean: A Reconsideration. 6 indexed citations

9.

Jacquier, Éric, Alex Kane, & Alan J. Marcus. (2003). FORTHCOMING: FINANCIAL ANALYSTS JOURNAL.

10.

Jacquier, Éric, Alex Kane, & Alan J. Marcus. (2003). Geometric or Arithmetic Mean: A Reconsideration. Financial Analysts Journal. 59(6). 46–53. 69 indexed citations

11.

Jacquier, Éric, et al.. (2003). Growth Opportunities and Assets in Place: Implications for Equity Betas. SSRN Electronic Journal. 7 indexed citations

12.

Jacquier, Éric, Alex Kane, & Alan J. Marcus. (2002). Optimal Forecasts of Long-Term Returns: Geometric, Arithmetic, or Other Means. SSRN Electronic Journal. 3 indexed citations

13.

Jacquier, Éric, Nicholas G. Polson, & Peter E. Rossi. (2002). Bayesian Analysis of Stochastic Volatility Models. Journal of Business and Economic Statistics. 20(1). 69–87. 815 indexed citations breakdown →

14.

Jacquier, Éric & Alan J. Marcus. (2001). Asset Allocation Models and Market Volatility. SSRN Electronic Journal. 3 indexed citations

15.

Jacquier, Éric & Robert A. Jarrow. (2000). Bayesian analysis of contingent claim model error. Journal of Econometrics. 94(1-2). 145–180. 55 indexed citations

16.

Jarrow, Robert A. & Éric Jacquier. (1999). Dynamic Evaluation of Contingent Claim Models (An Analysis of Model Error). SSRN Electronic Journal. 3 indexed citations

17.

Chow, George K., et al.. (1999). Optimal Portfolios in Good Times and Bad. Financial Analysts Journal. 55(3). 65–73. 84 indexed citations

18.

Jarrow, Robert A. & Éric Jacquier. (1998). Model Error in Contingent Claim Models (Dynamic Evaluation). SSRN Electronic Journal. 1 indexed citations

19.

Jacquier, Éric, Nicholas G. Polson, & Peter E. Rossi. (1994). Bayesian Analysis of Stochastic Volatility Models. Journal of Business and Economic Statistics. 12(4). 371–371. 307 indexed citations

20.

Jacquier, Éric, Nicholas G. Polson, & Peter E. Rossi. (1994). [Bayesian Analysis of Stochastic Volatility Models]: Reply. Journal of Business and Economic Statistics. 12(4). 413–413. 148 indexed citations

Rankless uses publication and citation data sourced from OpenAlex, an open and comprehensive bibliographic database. While OpenAlex provides broad and valuable coverage of the global research landscape, it—like all bibliographic datasets—has inherent limitations. These include incomplete records, variations in author disambiguation, differences in journal indexing, and delays in data updates. As a result, some metrics and network relationships displayed in Rankless may not fully capture the entirety of a scholar's output or impact.

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