Jérôme Lahaye

541 total citations
12 papers, 339 citations indexed

About

Jérôme Lahaye is a scholar working on Finance, Economics and Econometrics and General Economics, Econometrics and Finance. According to data from OpenAlex, Jérôme Lahaye has authored 12 papers receiving a total of 339 indexed citations (citations by other indexed papers that have themselves been cited), including 12 papers in Finance, 9 papers in Economics and Econometrics and 7 papers in General Economics, Econometrics and Finance. Recurrent topics in Jérôme Lahaye's work include Market Dynamics and Volatility (8 papers), Financial Risk and Volatility Modeling (8 papers) and Monetary Policy and Economic Impact (7 papers). Jérôme Lahaye is often cited by papers focused on Market Dynamics and Volatility (8 papers), Financial Risk and Volatility Modeling (8 papers) and Monetary Policy and Economic Impact (7 papers). Jérôme Lahaye collaborates with scholars based in United States, Belgium and United Kingdom. Jérôme Lahaye's co-authors include Christopher J. Neely, Sébastien Laurent, Franz C. Palm, Michel Beine, Philip Shaw, Jean‐Yves Gnabo, Michael Rockinger, Éric Jondeau and Christelle Lecourt and has published in prestigious journals such as Journal of Banking & Finance, Journal of Business and Economic Statistics and Economics Letters.

In The Last Decade

Jérôme Lahaye

10 papers receiving 330 citations

Peers — A (Enhanced Table)

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

Name	h						Papers	Cites
Jérôme Lahaye United States	7	293	258	134	14	13	12	339
Cathy Ning Canada	7	238 0.8×	259 1.0×	90 0.7×	23 1.6×	9 0.7×	11	293
Theodore Simos Greece	7	296 1.0×	364 1.4×	147 1.1×	12 0.9×	25 1.9×	22	418
Hwee Kwan Chow Singapore	10	191 0.7×	196 0.8×	201 1.5×	19 1.4×	13 1.0×	32	288
Güneş Kamber New Zealand	13	147 0.5×	281 1.1×	278 2.1×	13 0.9×	12 0.9×	33	372
Show‐Lin Chen Taiwan	11	248 0.8×	308 1.2×	323 2.4×	17 1.2×	16 1.2×	20	389
Anthony H. Tu Taiwan	8	233 0.8×	253 1.0×	138 1.0×	20 1.4×	40 3.1×	19	321
George Christodoulakis United Kingdom	7	149 0.5×	195 0.8×	126 0.9×	31 2.2×	15 1.2×	32	245
Efthymios Pavlidis United Kingdom	9	159 0.5×	264 1.0×	117 0.9×	12 0.9×	41 3.2×	25	295
Manuel M. F. Martins Portugal	11	206 0.7×	317 1.2×	254 1.9×	22 1.6×	19 1.5×	29	424
Silvo Dajčman Slovenia	9	183 0.6×	235 0.9×	73 0.5×	15 1.1×	22 1.7×	32	285

Countries citing papers authored by Jérôme Lahaye

Since Specialization

Citations

This map shows the geographic impact of Jérôme Lahaye'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 Jérôme Lahaye with the expected number of citations based on a country's size and research output (numbers larger than one mean the country cites Jérôme Lahaye more than expected).

Fields of papers citing papers by Jérôme Lahaye

Since Specialization

Physical SciencesHealth SciencesLife SciencesSocial Sciences

This network shows the impact of papers produced by Jérôme Lahaye. 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 Jérôme Lahaye. The network helps show where Jérôme Lahaye may publish in the future.

Co-authorship network of co-authors of Jérôme Lahaye

This figure shows the co-authorship network connecting the top 25 collaborators of Jérôme Lahaye. A scholar is included among the top collaborators of Jérôme Lahaye 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 Jérôme Lahaye. Jérôme Lahaye is excluded from the visualization to improve readability, since they are connected to all nodes in the network.

All Works

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12 of 12 papers shown

Lahaye, Jérôme & Christopher J. Neely. (2018). The Role of Jumps in Volatility Spillovers in Foreign Exchange Markets: Meteor Shower and Heat Waves Revisited. Journal of Business and Economic Statistics. 38(2). 410–427. 17 indexed citations

Lahaye, Jérôme. (2016). Currency Risk: Comovements and Intraday Cojumps. Annals of Economics and Statistics. 53–53. 3 indexed citations

Jondeau, Éric, Jérôme Lahaye, & Michael Rockinger. (2015). Estimating the price impact of trades in a high-frequency microstructure model with jumps. Journal of Banking & Finance. 61. S205–S224. 11 indexed citations

Gnabo, Jean‐Yves, et al.. (2014). System-Wide Tail Comovements: A Bootstrap Test for Cojump Identification on the S&P 500, US Bonds and Exchange Rates. SSRN Electronic Journal. 1 indexed citations

Lahaye, Jérôme & Philip Shaw. (2014). Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV. Economics Letters. 125(1). 43–46. 12 indexed citations

Gnabo, Jean‐Yves, et al.. (2014). System-wide tail comovements: A bootstrap test for cojump identification on the S&P 500, US bonds and currencies. Journal of International Money and Finance. 48. 147–174. 11 indexed citations

Jondeau, Éric, Jérôme Lahaye, & Michael Rockinger. (2013). Asymmetry in the Price Impact of Trades in an High-Frequency Microstructure Model with Jumps. SSRN Electronic Journal.

Gnabo, Jean‐Yves, Jérôme Lahaye, Sébastien Laurent, & Christelle Lecourt. (2012). Do jumps mislead the FX market?. Quantitative Finance. 12(10). 1521–1532. 3 indexed citations

Lahaye, Jérôme, Sébastien Laurent, & Christopher J. Neely. (2010). Jumps, cojumps and macro announcements. Journal of Applied Econometrics. 26(6). 893–921. 207 indexed citations

10.

Lahaye, Jérôme, Sébastien Laurent, & Christopher J. Neely. (2009). Jumps, Cojumps and Macro Announcements. SSRN Electronic Journal. 23 indexed citations

11.

Beine, Michel, Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely, & Franz C. Palm. (2007). Central bank intervention and exchange rate volatility, its continuous and jump components. International Journal of Finance & Economics. 12(2). 201–223. 45 indexed citations

12.

Beine, Michel, Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely, & Franz C. Palm. (2007). Central Bank Intervention and Exchange Rate Volatility, its Continuous and Jump Components. SSRN Electronic Journal. 6 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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