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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Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model.

Seasonal long memory, Seasonality, Separable process, Spatial autocovariance, Spatial short memory, Spatial stationary process, Two-dimensional data

Statistical properties of the Seasonal Fractionally Integrated Separable Spatial Autoregressive Model.

Seasonal long memory, Seasonality, Separable process, Spatial autocovariance, Spatial short memory, Spatial stationary process, Two dimensional data

Financialization of commodity markets.

Commodities, Exchange-Traded Products, Financialization, Financiarisation, Matières premières, Saisonnalité, Seasonality

Exchange rate modeling : policies, seasonality, and determination.

Carry trade, Carry trades, Chinese renminbi, Currency basket, Détermination du taux de change, Effet mois, Equity returns, Exchange rate determination, Exchange rate regime, Foreign currency market, Implied volatility, Marché des devises, Markov-Switching, Modèle à changement de régime Markovien, Month effect, Panier de devises, Rendement des actions, Renminbi chinois, Régime de change, Saisonnalité, Seasonality, Uep, Volatilité implicite

Confidence intervals for annual wind power production.

Central Limit Theorem, Change point analysis, Intermittency, Intrinsic uncertainties of annual wind power production, Quantile of annual or pluri-annual wind power production, Seasonality

A generalized linear model approach to seasonal aspects of wind speed modeling.

Generalized linear models, Maximum likelihood estimation, Seasonality, Weibull law, Wind speed time series

Estimating the parameters of a seasonal Markov-modulated Poisson process.

Asymptotic normality, Markov-modulated Poisson process, Seasonality, Split-time likelihood, Strong consistency

Estimating the parameters of a seasonal Markov-modulated Poisson process.

Asymptotic normality, Markov-modulated Poisson process, Seasonality, Split-time likelihood, Strong consistency