Publications

  • Bacry E., F. Lillo, M. Rambaldi (2016), "The role of volume in order book dynamics: a multivariate Hawkes process analysis ", Quantitative Finance, Dec. 2016, p. 1-22.
    Bacry E., A.Iuga, M.Lasnier, C-A.Lehalle, 2015, "Market impacts and the life cycle of investors orders", Market Microstructure and Liquidity, Vol. 01, No. 02, 15500094.
  • Bacry E., and J.F. Muzy, 2014, "Second order statistics characterization of Hawkes processes and non-parametric estimation". arXiv:1401.0903.
  • Bacry E., I. Mastromatteo, and J.-F. Muzy, 2015, "Hawkes processes in finance". Market Microstructure and Liquidity, Vol. 01, No. 01, 1550005.
  • Balstas N., 2016, "Multi-Asset Seasonality and Trend-Following Strategies". Bankers, Markets & Investors, 140, January-February 2016, 47-62. 
  • Bialkowski, J., Darolles, S. and le Fol, G., 2012, "Reducing the risk of VWAP orders execution A new approach to modeling intra-day volume". JASSA, No. 1, 2012, 12-18.
  • Cai, J., M. Fukasawa, M. Rosenbaum and P. Tankov, 2016, "Optimal discretization of hedging strategies with directional views ", SIAM Journal of Financial Mathematics, 7 (1), p. 34-69.
  • Calamia A., L. Deville, F. Riva, 2013, "Liquidity in European Equity ETFs: What really matters?", Bankers Markets & Investors, 124, 60-73.
  • Darolles S., 2016,  "The rise of FinTechs and their regulation ", Financial Stability Review 20, 85-92.
  • Darolles, S., 2014, "Evaluating UCITS Compliant Hedge Fund Performance", Bankers, Markets and Investors, 133.
  • Darolles, S. Dudek, J. and G. Le Fol, 2016, "Gauging Liquidity Risk in Emerging Market Bond Index Funds", Annals of Economics and Statistics, 123/124, p. 247-269.
  • Darolles, S., Francq, C., Le Fol, G. and J.M. Zakoian, 2016, "Intrinsic liquidity in conditional volatility models", Annals of Economics and Statistics, 123/124, p 225-245.
  • Darolles, S., and C., Gouriéroux, 2013, "Effects of Management and Provision Accounts on Hedge Fund Returns"; Part 1, the High Water Mark Scheme, eds. Huynh et al. Modelling Dependence in Econometrics, in Advances in Intelligent Systems and Computing, 251, 22-45, Springer Verlag.
  • Darolles, S., and C., Gouriéroux, 2013, "Effects of Management and Provision Accounts on Hedge Fund Returns, Part 2: The Loss Carry Forward Scheme", eds.Huynh et al., Modelling Dependence in Econometrics, Advances in Intelligents Systems and Computing, 251, 47-62, Springer Verlag.
  • Darolles, S. and C., Gourieroux, 2015, "The effect of management and provision accounts on hedge fund returns", International Journal of Approximate Reasoning, 65, 45–58.
  • Darolles, S., Gourieroux, C., and J., Teiletche, 2015, "The Dynamics of Hedge Funds Performance", Econometrics of Risk, ed. Huynh, Kreinovich, Songsak, Heidelberg, 85-113.
  • Darolles S., and Le Fol, G., 2014, "Trading Volume and Arbitrage", International Journal on Business Review (GBR) Vol.3 No.3, June 2014, 30-39.
  • Darolles S., G. Le Fol, and Mero G., "Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows ". Working paper SSRN, conditionally accepted in Journal of Econometrics.
  • Darolles S., Le Fol, G. and Mero G., 2015, "Measuring the liquidity Part of Volume", Journal of Banking and Finance, 50, 92-105.
  • Darolles, S. and Vaissié, M., "Diversification at a Reasonable Price", conditionally accepted, Bankers, Markets & Investors.
  • Dayri, K. and Rosenbaum, M., 2015, "Large tick assets: implicit spread and optimal tick size", Market Microstructure and Liquidity, 1 (1), 1550003.
  • Francq, C., Horvath, L., and J.M., Zakoian, 2016, "Variance Targeting Estimation of Multivariate GARCH Models", Journal of Financial Econometrics, 14, 353-381.
  • Francq, C., O. Wintenberger, and J.M., Zakoian, 2016, "Goodness of Fit Test for Log-GARCH and EGARCH Models", Test, published online http://link.springer.com/article/10.1007/s11749-016-0506-2
  • Francq, C., and J.M., Zakoian, 2016, "Estimating multivariate volatility models equation by equation", Journal of the Royal Statistical Society, B, 78, 613-631.
  • Francq, C., and J.M., Zakoian, 2016, "Looking for efficient QML estimation of conditional value-at-risk at multiple risk levels", Annals of Economics and Statistics 123/124, 9–28, 2016.
  • Francq, C. and J.M. Zakoïan, 2015, "Risk-parameter estimation in volatility models", Journal of Econometrics, 184 (1), p.158-173.
  • Gagliardini, P., and C., Gourieroux, 2016, "Spread Term Structure and Default Correlation”, Annals of Economics and Statistics, 123, 175-224.
  • Gagliardini, P., and C., Gourieroux, 2016, "Double Instrumental Variable for Interaction Models with Big Data”, forthcoming Journal of Econometrics.
  • Gagliardini, P., and C., Gouriéroux, 2013, "Granularity Adjustment for Risk Measures", International Journal of Approximate Reasoning, 54, 717-747
  • Gagliardini, P., and C., Gouriéroux, 2013, "Correlated Risks vs Contagion in Stochastic Transition Models", Journal of Economic Dynamics and Control, 37, 2241-2269.
  • Gagliardini, P., and C., Gourieroux, 2014, "Efficiency in Large Dynamic Panel Models with Common Factors", Econometric Theory, 30, 961-1020, 2014.
  • Gouriéroux, C., Heam, J.C., and A., Monfort, 2013, “Liquidation Equilibrium with Seniority and Hiden CDO", Journal of Banking and Finance, 37, 5261-5274.
  • Gourieroux, C., and A., Hencic, 2015, "Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates", Econometrics of Risk, ed. Huynk, Kreinovich, Songsak, Heidelberg.
  • Gourieroux,C ., and J., Jasiak, 2016, "Misspecification of Causal and Noncausal Orders in Autoregressive Processes”, forthcoming Journal of Econometrics.
  • Gourieroux,C ., and J., Jasiak, 2016, "Semi-Parametric Estimation of Noncausal Vector Autoregression", forthcoming, Journal of Econometrics.
  • Gourieroux, C ., and J., Jasiak, 2016, "Filtering, Prediction and Estimation of Noncausal Processes", Journal of Time Series Analysis, Vol. 37, Issue 3, 405–430.
  • Gourieroux, C., and Y., Lu, Love and Death, 2015, "A Freund Model with Frailty", Insurance: Mathematics and Economics, 63, 191-203, 2015.
  • Gourieroux, C., and A., Monfort, 2016, "The Double Default Value of the Firm Model ", Journal of Credit Risk, 12,47-76.
  • Gourieroux, C., Monfort, A., and J.P., Renne, 2016, Statistical Inference for Independent Component Analysis”, forthcoming, Journal of Econometrics.
  • Gouriéroux, C. and A., Monfort, 2013, "Granularity Adjustment and Efficient portfolios", Econometric Reviews, 32, 449-468
  • Gouriéroux,C.,and A., Monfort, 2013, "Linear Price Term Structure models", Journal of Empirical Finance, 24, 1-9.
  • Gouriéroux,C., and A., Monfort, 2013, "Allocating Systemic Risk in a Regulatory Prespective", International Journal of Applied and Theoretical Finance, 16, 7.
  • Gourieroux, C., and A., Monfort, 2015, "Pricing with Finite Dimensional Dependence", Journal of Econometrics, 187 (2), 408-417.
  • Gourieroux, C., Monfort, A., Pegoraro, F., and J.P., Renne, 2014, "Regime Switching and Bond Pricing", Journal of Financial Econometrics, 12, 37-77, 2014.
  • Gourieroux, C., Monfort, A., and J.P., Renne, 2014, "Pricing Default Events: Surprise, Exogeneity and Contagion", Journal of Econometrics, 182, 397-411.
  • Gourieroux, C., Nguyen, H., and T., Sriboonchitta, 2016, "Nonparametric Estimation of a Scalar Diffusion From Discrete Time Data: A Survey", Annals of Operations Research, July.
  • Gourieroux, C., and J.M., Zakoian, 2016, "Local Explosion Modelling by Noncausal Cauchy Autoregressive Process", forthcoming, Journal of the Royal Statistical Society.
  • Gouriéroux, C., and J.M., Zakoïan, 2013, "Estimation Adjusted VaR", Econometric Theory, 29, 735-770.
  • Gouriéroux, C. and J.M. Zakoïan, 2015, "On uniqueness of moving average representations of heavy-tailed stationary processes", Journal of Time Series Analysis, 36, 876-887.
  • Huang W., C.-A. Lehalle and M. Rosenbaum, 2015, "Simulating and analyzing order book data: The queue-reactive model", Journal of the American Statistical Association, 110 (509), p 107-122.
  • Jay E., P. Duvaut, S. Darolles and C. Gouriéroux, 2011, "Regularization of the Kalman Filter for Exogenous Outlier Removal: Application to Hedge Funds", Computational Advances in Multi-Sensor Adaptive Processing (CAMSAP).
  • Jurczenko, E., T. Michel and J. Teiletche, 2015, "A unified framework for risk-based investing", Journal of Investment Strategies, vol 4 (4), 1-29.
  • Le Fol, G., and B. Méhouas, 2016, "Liquidité et risque de liquidité", Revue Banque, p. 42-46.
  • Le Fol, G., 2012, "Development of Quantitative Management", Risque, 88.
  • Li, D., Ling, S. and J.M. Zakoïan, "Asymptotic inference in multiple-threshold double autoregressive models", Journal of Econometrics, 189, 415-427.
  • Menkveld, A. and M. Zoican, 2016. "Need for Speed? Exchange Latency and Liquidity". Forthcoming in Review of Financial Studies.
  • Riva, F., 2016, "Les ETF sont-ils vecteurs de risqué systémique?", forthcoming in Option Finance.
  • Rosenbaum M. and P. Tankov, 2014, "Asymptotically optimal discretization of hedging strategies with jumps", The Annals of Applied Probability, Vol. 24, No. 3, 1002-1048.
  • Rosenbaum M. and J. Jacod 2013, "Quarticity and other functionals of volatility: efficient estimation", The Annals of Statistics, Vol. 41, No. 3, 1462-1484.
  • Rosenbaum M., S. Delattre and C. Y. Robert, 2013, "Estimating the efficient price from the order flow: a Brownian Cox process approach", Stochastic Processes and Their Applications, 123 (7), p 2603-2619.
  • Rosenbaum M., M. Hoffmann and N. Yoshida, 2013, "Estimation of the lead-lag parameter from non-synchronous data", Bernoulli, 19 (2), p 426-461.