CREST Working Papers Series No. 2022-11
by Loïc Cantin, Christian Francq and Jean-Michel Zakoïan
Inference on Multiplicative Component GARCH without any Small-Order Moment
CREST Working Papers Series No. 2022-09
by Christian Francq, Baye Matar Kandji and Jean-Michel Zakoian
Local Asymptotic Normality of General Conditionally Heteroskedastic and Score-Driven Time-Series Models
CREST Working Papers Series No. 2022-06
by Christian Francq and Jean-Michel Zakoïan
Iterated Function Systems driven by non independent sequences: structure and inference
CREST Working Papers Series No. 2022-03
Forecasting Financial Markets with Semantic Network Analysis in the COVID—19 Crisis
CREST Working Papers Series No. 2021-06
by Andrea Fronzetti Colladon, Stefano Grassi, Francesco Ravazollo and Francesco Violante
Asset Pricing Using Block-Cholesky GARCH and Time-Varying Betas
CREST Working Papers Series No. 2021-05
by Stefano Grassi and Francesco Violante
Uncertainty on the Reproduction Ratio in the SIR Model
CREST Working Papers Series No. 2020-31
by Sean Elliott and Christian Gouriéroux
Conditional asymmetry in ARCH(8) models
CREST Working Papers Series No. 2020-21
by Julien Royer
Time Varying Markov Process with Partially Observed Aggregate Data; An Application to Coronavirus
CREST Working Papers Series No. 2020-11
by Christian Gouriéroux and Joann Jasiak
Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion
CREST Working Papers Series No. 2020-01
by Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne, and Guillaume Roussellet