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).
Novel approaches to multivariate GARCH models in high dimension.
Corrélations partielles, Estimateur du QMV, M-Estimateurs pénalisés, Oracle property, Partial correlations, Penalized M-Estimators, Propriété oracle, QML estimator, Regular vine, Stationarity, Stationnarité, Vine régulière
New approaches for high-dimensional multivariate GARCH models.
Corrélations partielles, Estimateur du QMV, M-Estimateurs pénalisés, Oracle property, Partial correlations, Penalized M-Estimators, Propriété oracle, QML estimator, Regular vine, Stationarity, Stationnarité, Vine régulière