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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Intrinsic Liquidity in Conditional Volatility Models.

C01, C22, C58, G11, Garch, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk

Impact of regulation on the financing of European telecommunications operators: a systematic risk analysis.

Bankruptcy, Capital structure, Capm, Competition, Concurrence, Effet de levier, Events study, Faillite, Filtre de Kalman, Garch, Investissement, Investment, Kalman Filter, Leverage, Medaf, Panel data analysis, Regulation, Risque systématique (beta), Régulation, Structure financière, Systematic risk (beta), Telecommunications, Télécommunications, Étude d’évènements, Étude en données de panel

Testing for Leverage Effects in the Returns of US Equities.

Asymmetry, GARCH, Generalized hyperbolic distributions, Leverage effect, Mixture of Gaussian distributions, S&P 500

Testing for leverage effects in the returns of US equities.

Asymmetry, GARCH, Generalized hyperbolic distributions, Leverage effect, Mixture of Gaussian distributions, S&P 500

Model selection problems in conditional volatility.

Changement de régime Markovien, Commodity prices, Credit default swaps, Exchange rates, Garch, Lagrange mutiplier, Markov Switching models, Multiplicateur de Lagrange, Oil prices, Prix des commodités, Pétrole, Smooth transition, Test statistics, Test statistiques, Transition lissée, Énergie

The dependence between the financial market and the commodity market: a copula approach.

Commodities, Commodités, Corrélation dynamique, Dynamic correlation, Garch, Regular vine, Vine régulière

Testing for jumps in conditionally Gaussian ARMA–GARCH models, a robust approach.

Forecasting, GARCH, Jumps, Test

Agricultural commodity markets and price dynamics: a re-examination through financialization.

ARCH, Agricultural commodities, Agricultural finance, Asset returns, Asymmetric causality, Bond, Causalité aymétrique, Causalité de Granger, Correlation, Corrélation, DCC-MGARCH, Développement économique, Economic development, Finance agricole, Financialization, Financiarisation, Futures markets, GARCH, Granger causality, Interest rates, Macroeconomy, Macroéconomie, Marchés monétaires, Marchés à terme, Matières premières agricoles, Monetary policy, Money markets, Obligation, Politiques monétaires, Rendements des actifs, Speculation, Spéculation, Séries chronologiques, Taux d'intérêt, Time series, Volatility, Volatilité

Three essays on financial economics.

Agregation, Alpha-quantiles, Econométrie financière, Garch, Pseudo-maximum de vraisemblance, Quantiles, Risque, Valeur à risque

Essays on portfolio management and performance measurement: Johnson's distribution in alternative and structured management.

Assurance de portefeuille, Distribution de Johnson, Garch, Hedge funds, Johnson distribution, Mesure de performance, Performance measurement, Portfolio insurance

Hedging of volatility and correlation risk in a portfolio.

Allocation d'actifs, Asset allocation, Conditions de stationnarité, Dcc, Garch, Hedging strategies, Risque de volatilité et de corrélation, Régimes de volatilité, Stationarity conditions, Stratégies de couverture, VaR, Volatility and correlation risk, Volatility regimes