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).
Nonlinear Time Series Models with Applications in Macroeconomics and Finance.
Cycle Financier, Financial Cycle, Mrlstar, Non linéaire, Nonlinear, Parité des Pouvoirs d\'achat, Ppp, Real exchange rate, Taux de Change Réels
Dynamic factor model with non-linearities : application to the business cycle analysis.
Analyse du point de retournement, Business cycle, Changement de régime markovien, Comportement en échantillon fini, Consistency, Convergence, Cycle financier, Cycle économique, Dynamic Factor Model, Dynamical interaction, Financial cycle, Interaction dynamique, Markov-Switching, Modèle à facteurs dynamiques, Monte Carlo simulations, Méthode en deux étapes, Risque systémique, Simulations Monte Carlo, Small-sample performance, Systemic risk, Turning point analysis, Two-step method