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).
Intrinsic Liquidity in Conditional Volatility Models.
C01, C22, C58, G11, Garch, Liquidity, Quasi-Maximum Likelihood, Risk measures, Value-at-Risk
GARCH models without positivity constraints: Exponential or log GARCH?
EGARCH, Log-GARCH, Quasi-Maximum Likelihood, Strict stationarity, Tail index
Goodness-of-fit tests for extended Log-GARCH models.
EGARCH, Invertibility of time series models, LM tests, Log-GARCH, Portmanteau tests, Quasi-Maximum Likelihood