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).
Three Essays on Financial Risk Management and Fat Tails.
Fat tails
Volatility regressions with fat tails.
Autoregression, Fat tails, Random limits, Volatility
The extractData() dataset analyzed with K2, K3, K4 distributions.
Distribution, Distribution leptokurtique, Expected shortfall, Fat tails, Kurtosis, Leptokurtic distribution, Lois de probabilité, Queues de distribution asymétriques, Queues de distribution épaisses, Skewed tails, Skewness
Modelling Tails of Aggregated Economic Processes in a Stochastic Growth Model.
Economic growth, Fat tails, Heteroskedasticity, Unified growth theory