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).
MLiq a meta liquidity measure.
Correlations, Liquidity, Liquidity Risk Management, Liquidity measure, Regime Switching models
Liquidity Contagion.
Contagion Effects, Emerging Markets, Liquidity, Liquidity Risk Management, Regime Switching models, Sovereign Debt Market
Liquidity Contagion: The Emerging Sovereign Debt Markets Example.
Contagion E?ects, Contagion Effects, Emerging Markets, Liquidity, Liquidity Risk Management, Regime Switching models, Sovereign Debt Market
Nonlinear models and forecasting.
Backtesting, Density forecasts, Densités de prévision, GMM, Interval forecasts, Intervalles de prévision, Modèles à changement de régimes, Orthonormal polynomials, Polynômes orthonormaux., Regime switching models, Tests d’évaluation