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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First- and Second-Order Statistics Characterization of Hawkes Processes and Non-Parametric Estimation.

Circular dependence, Correlation, Correlation matrix, Correlation methods, Covariance matrices, Discrete-event systems, Earthquakes, Earthquakes occurrence dynamics, Estimation, Estimation error, Financial markets, First-order statistics characterization, Hawkes kernel matrix, High-frequency trading events, Integral equations, Inverse problems, Kernel, Mathematical model, Matrix algebra, Microstructure, Monovariate processes, Multivariate Hawkes process, Multivariate point processes, Nonparametric estimation procedure, Nonpositive kernels, Numerical inversion, Power-law, Second-order statistics characterization, Shape, Statistical analysis, Stochastic processes, Three-variate processes, Wiener-Hopf integral equations

Power-Law Distribution in the Debt-to-Fiscal Revenue Ratio: Empirical Evidence and a Theoretical Model.

Emerging countries, External debt, Power-law, Stochastic growth

Fiscal vulnerability and sustainability issues in emerging market countries.

Croissance stochastique, Currency risk, Debt rule, Dette extérieure, Dette souveraine, Emerging market countries, External debt, Fiscal responsibility, Loi puissance, Modèle PSTR, PSTR model, Pays émergents, Power-Law, Responsabilité budgétaire, Risque de change, Règle de dette, Régimes de vulnérabilité, Simulations stochastiques de dette, Sovereign debt, StSimulations stochastiques de detteochastic debt simulations, Stochastic growth, Vulnerability regimes