Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.

Final Equation Representation, Long memory, Marginalization, Vector Autoregressive Model, Volatility

Learning generates Long Memory.

Learning, Long Memory, Persistence, Present-Value Models

Generating Univariate Fractional Integration within a Large VAR(1).

Final equation representation, Long memory, Marginalization, Vector autoregressive model

Generating univariate fractional integration within a large VAR(1).

Final equation representation, Long memory, Marginalization, Vector autoregressive model

On the parameters estimation of the Seasonal FISSAR Model.

Long memory, MLE method, Regression method, Seasonal FISSAR, Whittle method

Alternative modeling for long term risk.

Expect shortfall, Extreme value distribution, Long memory, Value at risk

Long memory, volatility and portfolio management.

Agents hétérogènes, Bounded rationality, Fractional brownian motion, Heterogeneous agents, Long memory, Modèle de choix de portefeuille, Modèle de volatilité, Mouvement brownien fractionnaire, Mémoire longue, Portfolio modelling, Rationalité limitée, Realized volatility, Volatility modelling, Volatilité réalisée

Fractional cointegration and co-movements in international financial markets.

Analyse fréquentielle, Cointegration, Cointégration, Exchange rate, Fractional integration, Frequency domain analysis, Intégration fractionnaire, Intégration monétaire, Long memory, Monetary integration, Mémoire longue, Système déséquilibré, Taux de change, Unbalanced system, Volatility, Volatilité