2023

  • Inference on garch-midas models without any small-order moment

    Econometric theory, , pp. 1-34, 2023.

    By K. B. Francq C. and J. Zakoian

    [Bibtex] 

    @article{https://doi.org/10.1017/s0266466623000142,
author={Francq, C., Kandji, B., & Zakoian, J.},
title={INFERENCE ON GARCH-MIDAS MODELS WITHOUT ANY SMALL-ORDER MOMENT},
journal={Econometric Theory},
pages={1-34},
year={2023},
url={https://doi.org/10.1017/s0266466623000142},
}

  • From risk reduction to risk elimination by conditional mean risk sharing of independent losses

    Insurance: mathematics and economics, vol. 108, pp. 46-59, 2023.

    By M. Denuit and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Denuit202346,
author={Denuit, M. and Robert, C.Y.},
title={From risk reduction to risk elimination by conditional mean risk sharing of independent losses},
journal={Insurance: Mathematics and Economics},
year={2023},
volume={108},
pages={46-59},
doi={10.1016/j.insmatheco.2022.11.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85142428132&doi=10.1016%2fj.insmatheco.2022.11.003&partnerID=40&md5=2497d6d4b5dc8cb5586fa5f9e3208399},
publisher={Elsevier B.V.},
}

2022

  • Conditional asymmetry in Power ARCH($\infty$) models

    Journal of econometrics, , 2022.

    By J. Royer

    [DOI] [Bibtex] 

    @article{ROYER2022,
title={Conditional asymmetry in {Power ARCH}($\infty$) models},
journal={Journal of Econometrics},
year={2022},
issn={0304-4076},
doi={https://doi.org/10.1016/j.jeconom.2021.10.013},
author={Julien Royer},
keywords={Quasi Maximum Likelihood Estimation, Moderate memory, Testing parameters on the boundary, Recursive design bootstrap},
url={https://www.sciencedirect.com/science/article/pii/S0304407621003031},
}

  • Local asymptotic normality of general conditionally heteroskedastic and score-driven time-series models

    Econometric theory, , 2022.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2022,
author={Francq, C. and Zakoian, J.-M.},
title={LOCAL ASYMPTOTIC NORMALITY OF GENERAL CONDITIONALLY HETEROSKEDASTIC AND SCORE-DRIVEN TIME-series MODELS},
journal={Econometric Theory},
year={2022},
doi={10.1017/S0266466622000093},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85127819635&doi=10.1017%2fS0266466622000093&partnerID=40&md5=4ed8e2d0a10edc09b6ca7ebba27e5c2d},
publisher={Cambridge University Press},
}

  • Adaptiveness of the empirical distribution of residuals in semi-parametric conditional loaction-scale models

    Bernoulli, vol. 28, pp. 548-578, 2022.

    By C. Francq and J-M. Zakoian

    [Bibtex] 

    @article{francq2022adaptiveness,
author={Francq, C. and Zakoian, J-M.},
title={Adaptiveness of the empirical distribution of residuals in semi-parametric conditional loaction-scale models},
journal={Bernoulli},
volume={28},
pages={548-578},
year={2022},
url={https://projecteuclid.org/journals/bernoulli/volume-28/issue-1/Adaptiveness-of-the-empirical-distribution-of-residuals-in-semi-parametric/10.3150/21-BEJ1357.short},
}

  • Rate of convergence for particle approximation of pdes in wasserstein space

    Journal of applied probability, vol. 59, iss. 4, pp. 992-1008, 2022.

    By M. Germain, H. Pham, and X. Warin

    [DOI] [Bibtex] 

    @article{Germain2022992,
author={Germain, M. and Pham, H. and Warin, X.},
title={RATE OF CONVERGENCE FOR Particle APPROXIMATION OF PDES IN WASSERSTEIN SPACE},
journal={Journal of Applied Probability},
year={2022},
volume={59},
number={4},
pages={992-1008},
doi={10.1017/jpr.2021.102},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85139895714&doi=10.1017%2fjpr.2021.102&partnerID=40&md5=5b071d2d9f2d03a20cc0031aaff38dc8},
publisher={Cambridge University Press},
}

  • Cyclone generation algorithm including a thermodynamic module for integrated national damage assessment (catherina 1.0) compatible with coupled model intercomparison project (cmip) climate data

    Geoscientific model development, vol. 15, iss. 21, pp. 8001-8039, 2022.

    By T. Le Guenedal, P. Drobinski, and P. Tankov

    [DOI] [Bibtex] 

    @article{LeGuenedal20228001,
author={Le Guenedal, T. and Drobinski, P. and Tankov, P.},
title={Cyclone generation Algorithm including a THERmodynamic module for Integrated National damage Assessment (CATHERINA 1.0) compatible with Coupled Model Intercomparison Project (CMIP) climate data},
journal={Geoscientific Model Development},
year={2022},
volume={15},
number={21},
pages={8001-8039},
doi={10.5194/gmd-15-8001-2022},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85142660440&doi=10.5194%2fgmd-15-8001-2022&partnerID=40&md5=b5bcd0c81828f7f4af799fe752228999},
publisher={Copernicus Publications},
}

  • Cyber-contagion model with network structure applied to insurance

    Insurance: mathematics and economics, vol. 107, pp. 88-101, 2022.

    By C. Hillairet, O. Lopez, L. d’Oultremont, and B. Spoorenberg

    [DOI] [Bibtex] 

    @article{Hillairet202288,
author={Hillairet, C. and Lopez, O. and d'Oultremont, L. and Spoorenberg, B.},
title={Cyber-contagion model with network structure applied to insurance},
journal={Insurance: Mathematics and Economics},
year={2022},
volume={107},
pages={88-101},
doi={10.1016/j.insmatheco.2022.08.002},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85136521208&doi=10.1016%2fj.insmatheco.2022.08.002&partnerID=40&md5=fab5aada68ffb8c6810683c48b4aae22},
publisher={Elsevier B.V.},
}

  • Stochastic derivative estimation for max-stable random fields

    European journal of operational research, vol. 302, iss. 2, pp. 575-588, 2022.

    By E. Koch and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Koch2022575,
author={Koch, E. and Robert, C.Y.},
title={Stochastic derivative estimation for max-stable random fields},
journal={European Journal of Operational Research},
year={2022},
volume={302},
number={2},
pages={575-588},
doi={10.1016/j.ejor.2021.12.026},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85126151039&doi=10.1016%2fj.ejor.2021.12.026&partnerID=40&md5=cd3420a8e0e14aeaf5ac727919fd583f},
publisher={Elsevier B.V.},
}

  • Mortality credits within large survivor funds

    Astin bulletin, vol. 52, iss. 3, pp. 813-834, 2022.

    By M. Denuit, P. Hieber, and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Denuit2022813,
author={Denuit, M. and Hieber, P. and Robert, C.Y.},
title={MORTALITY CREDITS WITHIN LARGE SURVIVOR FUNDS},
journal={ASTIN Bulletin},
year={2022},
volume={52},
number={3},
pages={813-834},
doi={10.1017/asb.2022.13},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85139551564&doi=10.1017%2fasb.2022.13&partnerID=40&md5=fa8a1c63df9deb6f6504dff358add548},
publisher={Cambridge University Press},
}

  • Profitability and revenue uncertainty of wind farms in western europe in present and future climate

    Energies, vol. 15, iss. 17, 2022.

    By B. Alonzo, S. Concettini, A. Creti, P. Drobinski, and P. Tankov

    [DOI] [Bibtex] 

    @article{Alonzo2022,
author={Alonzo, B. and Concettini, S. and Creti, A. and Drobinski, P. and Tankov, P.},
title={Profitability and Revenue Uncertainty of Wind Farms in Western Europe in Present and Future Climate},
journal={Energies},
year={2022},
volume={15},
number={17},
doi={10.3390/en15176446},
art_number={6446},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85138008415&doi=10.3390%2fen15176446&partnerID=40&md5=f024d7b2b198783abfd25cdd7deafb66},
publisher={MDPI},
}

  • Risk-sharing rules and their properties, with applications to peer-to-peer insurance

    Journal of risk and insurance, vol. 89, iss. 3, pp. 615-667, 2022.

    By M. Denuit, J. Dhaene, and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Denuit2022615,
author={Denuit, M. and Dhaene, J. and Robert, C.Y.},
title={Risk-sharing rules and their properties, with applications to peer-to-peer insurance},
journal={Journal of Risk and Insurance},
year={2022},
volume={89},
number={3},
pages={615-667},
doi={10.1111/jori.12385},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85131185299&doi=10.1111%2fjori.12385&partnerID=40&md5=961fbcc39db914f0a4886f6a9f71ed2f},
publisher={John Wiley and Sons Inc},
}

  • Conditional tail expectation decomposition and conditional mean risk sharing for dependent and conditionally independent losses

    Methodology and computing in applied probability, vol. 24, iss. 3, pp. 1953-1985, 2022.

    By M. Denuit and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Denuit20221953,
author={Denuit, M. and Robert, C.Y.},
title={Conditional Tail Expectation Decomposition and Conditional Mean Risk Sharing for Dependent and Conditionally Independent Losses},
journal={Methodology and Computing in Applied Probability},
year={2022},
volume={24},
number={3},
pages={1953-1985},
doi={10.1007/s11009-021-09888-0},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85116811799&doi=10.1007%2fs11009-021-09888-0&partnerID=40&md5=56b24d6c11c719d433ab8185591c364c},
publisher={Springer},
}

  • How skillful are the european subseasonal predictions of wind speed and surface temperature?

    Monthly weather review, vol. 150, iss. 7, pp. 1621-1637, 2022.

    By N. Goutham, R. Plougonven, H. Omrani, S. Parey, P. Tankov, A. Tantet, P. Hitchcock, and P. Drobinski

    [DOI] [Bibtex] 

    @article{Goutham20221621,
author={Goutham, N. and Plougonven, R. and Omrani, H. and Parey, S. and Tankov, P. and Tantet, A. and Hitchcock, P. and Drobinski, P.},
title={How Skillful Are the European Subseasonal Predictions of Wind Speed and Surface Temperature?},
journal={Monthly Weather Review},
year={2022},
volume={150},
number={7},
pages={1621-1637},
doi={10.1175/MWR-D-21-0207.1},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85134647743&doi=10.1175%2fMWR-D-21-0207.1&partnerID=40&md5=0eda80fd478d0347a0a45e42c7bc9607},
publisher={American Meteorological Society},
}

  • Identifiability and estimation of meta-elliptical copula generators

    Journal of multivariate analysis, vol. 190, 2022.

    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Derumigny2022,
author={Derumigny, A. and Fermanian, J.-D.},
title={Identifiability and estimation of meta-elliptical copula generators},
journal={Journal of Multivariate Analysis},
year={2022},
volume={190},
doi={10.1016/j.jmva.2022.104962},
art_number={104962},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85124907208&doi=10.1016%2fj.jmva.2022.104962&partnerID=40&md5=184a2289b0010cdd4a50c644b3382610},
publisher={Academic Press Inc.},
}

  • Efficient conditional monte carlo simulations for the exponential integrals of gaussian random fields

    Journal of applied probability, vol. 59, iss. 2, pp. 366-383, 2022.

    By Q. H. Nguyen and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Nguyen2022366,
author={Nguyen, Q.H. and Robert, C.Y.},
title={Efficient conditional Monte Carlo simulations for the exponential integrals of Gaussian random fields},
journal={Journal of Applied Probability},
year={2022},
volume={59},
number={2},
pages={366-383},
doi={10.1017/jpr.2021.57},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85124657091&doi=10.1017%2fjpr.2021.57&partnerID=40&md5=7b3dbfd0fa3d89b06a219a85512f7ffd},
publisher={Cambridge University Press},
}

  • Ramsey rule with forward/backward utility for long-term yield curves modeling

    Decisions in economics and finance, vol. 45, iss. 1, pp. 375-414, 2022.

    By N. El Karoui, C. Hillairet, and M. Mrad

    [DOI] [Bibtex] 

    @article{ElKaroui2022375,
author={El Karoui, N. and Hillairet, C. and Mrad, M.},
title={Ramsey rule with forward/backward utility for long-term yield curves modeling},
journal={Decisions in Economics and Finance},
year={2022},
volume={45},
number={1},
pages={375-414},
doi={10.1007/s10203-022-00370-1},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85130494688&doi=10.1007%2fs10203-022-00370-1&partnerID=40&md5=86f4a1d9f520a14a8f33889e78f27759},
publisher={Springer Science and Business Media Deutschland GmbH},
}

  • Polynomial series expansions and moment approximations for conditional mean risk sharing of insurance losses

    Methodology and computing in applied probability, vol. 24, iss. 2, pp. 693-711, 2022.

    By M. Denuit and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Denuit2022693,
author={Denuit, M. and Robert, C.Y.},
title={Polynomial Series Expansions and Moment Approximations for Conditional Mean Risk Sharing of Insurance Losses},
journal={Methodology and Computing in Applied Probability},
year={2022},
volume={24},
number={2},
pages={693-711},
doi={10.1007/s11009-021-09881-7},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85109254281&doi=10.1007%2fs11009-021-09881-7&partnerID=40&md5=5d54f9bee307f7d8c3d2c0ce68ac7193},
publisher={Springer},
}

  • Deepsets and their derivative networks for solving symmetric pdes

    Journal of scientific computing, vol. 91, iss. 2, 2022.

    By M. Germain, M. Laurière, H. Pham, and X. Warin

    [DOI] [Bibtex] 

    @article{Germain2022,
author={Germain, M. and Laurière, M. and Pham, H. and Warin, X.},
title={DeepSets and Their Derivative Networks for Solving Symmetric PDEs},
journal={Journal of Scientific Computing},
year={2022},
volume={91},
number={2},
doi={10.1007/s10915-022-01796-w},
art_number={63},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85128170242&doi=10.1007%2fs10915-022-01796-w&partnerID=40&md5=b571bfbeab8309f7488f10d15f9a05e0},
publisher={Springer},
}

  • Stationarity and ergodicity of markov switching positive conditional mean models

    Journal of time series analysis, vol. 43, iss. 3, pp. 436-459, 2022.

    By A. Aknouche and C. Francq

    [DOI] [Bibtex] 

    @article{Aknouche2022436,
author={Aknouche, A. and Francq, C.},
title={Stationarity and ergodicity of Markov switching positive conditional mean models},
journal={Journal of Time Series Analysis},
year={2022},
volume={43},
number={3},
pages={436-459},
doi={10.1111/jtsa.12621},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85115021434&doi=10.1111%2fjtsa.12621&partnerID=40&md5=89da0fdd87b408b42f4bde9b5d343e81},
publisher={John Wiley and Sons Inc},
}

  • Optimal consumption with reference to past spending maximum

    Finance and stochastics, vol. 26, iss. 2, pp. 217-266, 2022.

    By S. Deng, X. Li, H. Pham, and X. Yu

    [DOI] [Bibtex] 

    @article{Deng2022217,
author={Deng, S. and Li, X. and Pham, H. and Yu, X.},
title={Optimal consumption with reference to past spending maximum},
journal={Finance and Stochastics},
year={2022},
volume={26},
number={2},
pages={217-266},
doi={10.1007/s00780-022-00475-w},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85125875689&doi=10.1007%2fs00780-022-00475-w&partnerID=40&md5=2d92b6dd2aece9e99b1f11997eebe323},
publisher={Springer Science and Business Media Deutschland GmbH},
}

  • Price formation and optimal trading in intraday electricity markets

    Mathematics and financial economics, vol. 16, iss. 2, pp. 205-237, 2022.

    By O. Féron, P. Tankov, and L. Tinsi

    [DOI] [Bibtex] 

    @article{Féron2022205,
author={Féron, O. and Tankov, P. and Tinsi, L.},
title={Price formation and optimal trading in intraday electricity markets},
journal={Mathematics and Financial Economics},
year={2022},
volume={16},
number={2},
pages={205-237},
doi={10.1007/s11579-021-00307-z},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85115369756&doi=10.1007%2fs11579-021-00307-z&partnerID=40&md5=cb54480e48908e1e65381dd298d6e8c8},
publisher={Springer Science and Business Media Deutschland GmbH},
}

  • Conditional mean risk sharing in the individual model with graphical dependencies

    Annals of actuarial science, vol. 16, iss. 1, pp. 183-209, 2022.

    By M. Denuit and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Denuit2022183,
author={Denuit, M. and Robert, C.Y.},
title={Conditional mean risk sharing in the individual model with graphical dependencies},
journal={Annals of Actuarial Science},
year={2022},
volume={16},
number={1},
pages={183-209},
doi={10.1017/S1748499521000166},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85108168501&doi=10.1017%2fS1748499521000166&partnerID=40&md5=3bd0e48ec1bfb07546aa18e47c9f2122},
publisher={Cambridge University Press},
}

  • Deep neural networks algorithms for stochastic control problems on finite horizon: numerical applications

    Methodology and computing in applied probability, vol. 24, iss. 1, pp. 143-178, 2022.

    By A. Bachouch, C. Huré, N. Langrené, and H. Pham

    [DOI] [Bibtex] 

    @article{Bachouch2022143,
author={Bachouch, A. and Huré, C. and Langrené, N. and Pham, H.},
title={Deep Neural Networks Algorithms for Stochastic Control Problems on Finite Horizon: Numerical Applications},
journal={Methodology and Computing in Applied Probability},
year={2022},
volume={24},
number={1},
pages={143-178},
doi={10.1007/s11009-019-09767-9},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85099567833&doi=10.1007%2fs11009-019-09767-9&partnerID=40&md5=12bfc598cd6ed266c01f8cca3019caca},
publisher={Springer},
}

  • Testing the existence of moments for garch processes

    Journal of econometrics, vol. 227, iss. 1, pp. 47-64, 2022.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq202247,
author={Francq, C. and Zakoian, J.-M.},
title={Testing the existence of moments for GARCH processes},
journal={Journal of Econometrics},
year={2022},
volume={227},
number={1},
pages={47-64},
doi={10.1016/j.jeconom.2020.05.009},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089738496&doi=10.1016%2fj.jeconom.2020.05.009&partnerID=40&md5=5923fdca7d6399821b600257fbaabdd6},
publisher={Elsevier Ltd},
}

  • Testing for changes in the tail behavior of brown–resnick pareto processes

    Stochastic processes and their applications, vol. 144, pp. 312-368, 2022.

    By C. Y. Robert

    [DOI] [Bibtex] 

    @article{Robert2022312,
author={Robert, C.Y.},
title={Testing for changes in the tail behavior of Brown–Resnick Pareto processes},
journal={Stochastic Processes and their Applications},
year={2022},
volume={144},
pages={312-368},
doi={10.1016/j.spa.2021.11.009},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85120788632&doi=10.1016%2fj.spa.2021.11.009&partnerID=40&md5=22f3e1158cf02be360b5480331143a10},
publisher={Elsevier B.V.},
}

  • The finite sample properties of sparse m-estimators with pseudo-observations

    Annals of the institute of statistical mathematics, vol. 74, iss. 1, 2022.

    By B. Poignard and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Poignard2022,
author={Poignard, B. and Fermanian, J.-D.},
title={The finite sample properties of sparse M-estimators with pseudo-observations},
journal={Annals of the Institute of Statistical Mathematics},
year={2022},
volume={74},
number={1},
doi={10.1007/s10463-021-00785-4},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85103906957&doi=10.1007%2fs10463-021-00785-4&partnerID=40&md5=8294fb94ad1df2e4ed137fd70e8a3379},
publisher={Springer Japan},
}

  • Forecasting financial markets with semantic network analysis in the covid-19 crisis

    Journal of forecasting, , 2022.

    By A. Fronzetti Colladon, S. Grassi, F. Ravazzolo, and F. Violante

    [DOI] [Bibtex] 

    @article{FronzettiColladon2022,
author={Fronzetti Colladon, A. and Grassi, S. and Ravazzolo, F. and Violante, F.},
title={Forecasting financial markets with semantic network analysis in the COVID-19 crisis},
journal={Journal of Forecasting},
year={2022},
doi={10.1002/for.2936},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85144078913&doi=10.1002%2ffor.2936&partnerID=40&md5=9d7534e7a34c531bb52cc0db017c01fa},
publisher={John Wiley and Sons Ltd},
}

  • The malliavin-stein method for hawkes functionals

    Alea (rio de janeiro), vol. 19, iss. 2, pp. 1293-1328, 2022.

    By C. Hillairet, L. Huang, M. Khabou, and A. Réveillac

    [DOI] [Bibtex] 

    @article{Hillairet20221293,
author={Hillairet, C. and Huang, L. and Khabou, M. and Réveillac, A.},
title={The Malliavin-Stein method for Hawkes functionals},
journal={Alea (Rio de Janeiro)},
year={2022},
volume={19},
number={2},
pages={1293-1328},
doi={10.30757/ALEA.V19-52},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85143771209&doi=10.30757%2fALEA.V19-52&partnerID=40&md5=26d79086b1076ae122823582b529abdb},
publisher={Instituto Nacional de Matematica Pura e Aplicada},
}

  • Testing for equality between conditional copulas given discretized conditioning events

    Canadian journal of statistics, , 2022.

    By A. Derumigny, J. -D. Fermanian, and A. Min

    [DOI] [Bibtex] 

    @article{Derumigny2022,
author={Derumigny, A. and Fermanian, J.-D. and Min, A.},
title={Testing for equality between conditional copulas given discretized conditioning events},
journal={Canadian Journal of Statistics},
year={2022},
doi={10.1002/cjs.11742},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85142195276&doi=10.1002%2fcjs.11742&partnerID=40&md5=a495dc18d087aa3c3adde8ed56a06f2d},
publisher={Statistical Society of Canada},
}

  • Stochastic optimization with dynamic probabilistic forecasts

    Annals of operations research, , 2022.

    By P. Tankov and L. Tinsi

    [DOI] [Bibtex] 

    @article{Tankov2022,
author={Tankov, P. and Tinsi, L.},
title={Stochastic optimization with dynamic probabilistic forecasts},
journal={Annals of Operations Research},
year={2022},
doi={10.1007/s10479-022-04913-y},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85136202166&doi=10.1007%2fs10479-022-04913-y&partnerID=40&md5=5ce55eca468573c455be435c1549db3f},
publisher={Springer},
}

  • 50 shades of bayesian testing of hypotheses☆

    Handbook of statistics, vol. 47, pp. 103-120, 2022.

    By C. P. Robert

    [DOI] [Bibtex] 

    @article{Robert2022103,
author={Robert, C.P.},
title={50 shades of Bayesian testing of hypotheses☆},
journal={Handbook of Statistics},
year={2022},
volume={47},
pages={103-120},
doi={10.1016/bs.host.2022.06.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85134676681&doi=10.1016%2fbs.host.2022.06.003&partnerID=40&md5=b89a9a2afbf7f6a6dff0db22be8d6be2},
publisher={Elsevier B.V.},
}

  • Estimation of copulas via maximum mean discrepancy

    Journal of the american statistical association, , 2022.

    By P. Alquier, B. -E. Chérief-Abdellatif, A. Derumigny, and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Alquier2022,
author={Alquier, P. and Chérief-Abdellatif, B.-E. and Derumigny, A. and Fermanian, J.-D.},
title={Estimation of Copulas via Maximum Mean Discrepancy},
journal={Journal of the American Statistical Association},
year={2022},
doi={10.1080/01621459.2021.2024836},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85129125328&doi=10.1080%2f01621459.2021.2024836&partnerID=40&md5=7e6a0a313d17652a8fbe29f4f3efe4f1},
publisher={American Statistical Association},
}

  • Approximation error analysis of some deep backward schemes for nonlinear pdes

    Siam journal on scientific computing, vol. 44, iss. 1, p. A28-A56, 2022.

    By M. Germain, H. Pham, and X. Warin

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    @article{Germain2022A28,
author={Germain, M. and Pham, H. and Warin, X.},
title={APPROXIMATION ERROR ANALYSIS OF SOME DEEP BACKWARD SCHEMES FOR NONLINEAR PDEs},
journal={SIAM Journal on Scientific Computing},
year={2022},
volume={44},
number={1},
pages={A28-A56},
doi={10.1137/20M1355355},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85128261283&doi=10.1137%2f20M1355355&partnerID=40&md5=f6336321fcde81ed97c95b6f11baaf95},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • A corrected clarke test for model selection and beyond

    Journal of econometrics, , 2022.

    By F. Brück, J. -D. Fermanian, and A. Min

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    @article{Brück2022,
author={Brück, F. and Fermanian, J.-D. and Min, A.},
title={A corrected Clarke test for model selection and beyond},
journal={Journal of Econometrics},
year={2022},
doi={10.1016/j.jeconom.2021.12.013},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85127360068&doi=10.1016%2fj.jeconom.2021.12.013&partnerID=40&md5=114bdbb162dc4f9087f6798bd4a54ad9},
publisher={Elsevier Ltd},
}

  • Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach

    Mathematical finance, vol. 32, iss. 1, pp. 349-404, 2022.

    By H. Pham, X. Wei, and C. Zhou

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    @article{Pham2022349,
author={Pham, H. and Wei, X. and Zhou, C.},
title={Portfolio diversification and model uncertainty: A robust dynamic mean-variance approach},
journal={Mathematical Finance},
year={2022},
volume={32},
number={1},
pages={349-404},
doi={10.1111/mafi.12320},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85110339414&doi=10.1111%2fmafi.12320&partnerID=40&md5=e8b5c7268cbb1041a9c90d9cce52f486},
publisher={John Wiley and Sons Inc},
}

  • Collaborative insurance with stop-loss protection and team partitioning

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    By M. Denuit and C. Y. Robert

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    @article{Denuit2022143,
author={Denuit, M. and Robert, C.Y.},
title={Collaborative Insurance with Stop-Loss Protection and Team Partitioning},
journal={North American Actuarial Journal},
year={2022},
volume={26},
number={1},
pages={143-160},
doi={10.1080/10920277.2020.1855199},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85101358377&doi=10.1080%2f10920277.2020.1855199&partnerID=40&md5=93e8e7a28e9058c146fab660c5ccbd8f},
publisher={Routledge},
}

2021

  • Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models

    Journal of econometrics, , 2021.

    By A. Aknouche and C. Francq

    [Bibtex] 

    @article{aknouche2021estimator,
author={Aknouche, A and Francq, C.},
title={Two-stage weighted least squares estimator of the conditional mean of observation-driven time series models},
journal={Journal of Econometrics},
year={2021},
url={https://www.sciencedirect.com/science/article/abs/pii/S030440762100213X?via%3Dihub},
}

  • Volatility estimation when the zero-process is nonstationary

    Journal of business & economic statistics, , 2021.

    By C. Francq and G. Sucarrat

    [Bibtex] 

    @article{francq2021nonstationary,
author={Francq, C. and Sucarrat, G.},
title={Volatility Estimation when the Zero-Process is Nonstationary},
journal={Journal of Business & Economic Statistics},
year={2021},
url={https://www.tandfonline.com/doi/abs/10.1080/07350015.2021.1999821?journalCode=ubes20},
}

  • Can t2-weighted dixon fat-only images replace t1-weighted images in degenerative disc disease with modic changes on lumbar spine mri?

    European radiology, vol. 31, iss. 12, pp. 9380-9389, 2021.

    By S. Yang, L. Lassalle, A. Mekki, G. Appert, F. Rannou, C. Nguyen, M. -M. Lefèvre-Colau, C. Mutschler, J. -L. Drapé, and A. Feydy

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    @article{Yang20219380,
author={Yang, S. and Lassalle, L. and Mekki, A. and Appert, G. and Rannou, F. and Nguyen, C. and Lefèvre-Colau, M.-M. and Mutschler, C. and Drapé, J.-L. and Feydy, A.},
title={Can T2-weighted Dixon fat-only images replace T1-weighted images in degenerative disc disease with Modic changes on lumbar spine MRI?},
journal={European Radiology},
year={2021},
volume={31},
number={12},
pages={9380-9389},
doi={10.1007/s00330-021-07946-2},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85106274922&doi=10.1007%2fs00330-021-07946-2&partnerID=40&md5=d6b4152cb05075825372281113b18f60},
publisher={Springer Science and Business Media Deutschland GmbH},
}

  • Corrigendum and addendum to “from risk sharing to pure premium for a large number of heterogeneous losses” [insurance: mathematics and economics 96 (2021) 116–126](s0167668720301566)(10.1016/j.insmatheco.2020.11.006)

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    By M. Denuit and C. Y. Robert

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    @article{Denuit2021640,
author={Denuit, M. and Robert, C.Y.},
title={Corrigendum and addendum to “From risk sharing to pure premium for a large number of heterogeneous losses” [Insurance: Mathematics and Economics 96 (2021) 116–126](S0167668720301566)(10.1016/j.insmatheco.2020.11.006)},
journal={Insurance: Mathematics and Economics},
year={2021},
volume={101},
pages={640-644},
doi={10.1016/j.insmatheco.2021.09.002},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85115371188&doi=10.1016%2fj.insmatheco.2021.09.002&partnerID=40&md5=32ab536964ba76afedf7e6b3f05ff9a2},
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}

  • Efron’s asymptotic monotonicity property in the gaussian stable domain of attraction

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    By M. Denuit and C. Y. Robert

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author={Denuit, M. and Robert, C.Y.},
title={Efron's asymptotic monotonicity property in the Gaussian stable domain of attraction},
journal={Journal of Multivariate Analysis},
year={2021},
volume={186},
doi={10.1016/j.jmva.2021.104803},
art_number={104803},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85114086981&doi=10.1016%2fj.jmva.2021.104803&partnerID=40&md5=4204d91dc859f2e480f38e8af30aee73},
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    By C. Gourieroux, J. Jasiak, and M. Tong

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author={Gourieroux, C. and Jasiak, J. and Tong, M.},
title={Convolution-based filtering and forecasting: An application to WTI crude oil prices},
journal={Journal of Forecasting},
year={2021},
volume={40},
number={7},
pages={1230-1244},
doi={10.1002/for.2757},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85101111511&doi=10.1002%2ffor.2757&partnerID=40&md5=2374277071658eb0abdc90eee671dcde},
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}

  • Stop-loss protection for a large p2p insurance pool

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    By M. Denuit and C. Y. Robert

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    @article{Denuit2021210,
author={Denuit, M. and Robert, C.Y.},
title={Stop-loss protection for a large P2P insurance pool},
journal={Insurance: Mathematics and Economics},
year={2021},
volume={100},
pages={210-233},
doi={10.1016/j.insmatheco.2021.05.007},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85107650649&doi=10.1016%2fj.insmatheco.2021.05.007&partnerID=40&md5=dd27790686272d84c534c8a274c9d013},
publisher={Elsevier B.V.},
}

  • Rao–blackwellisation in the markov chain monte carlo era

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author={Robert, C.P. and Roberts, G.},
title={Rao–Blackwellisation in the Markov Chain Monte Carlo Era},
journal={International Statistical Review},
year={2021},
volume={89},
number={2},
pages={237-249},
doi={10.1111/insr.12463},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85111321223&doi=10.1111%2finsr.12463&partnerID=40&md5=98766c41835ca302f3a67018a033215c},
publisher={International Statistical Institute},
}

  • Vertical integration as a source of hold-up: an experiment

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    @article{Allain2021,
author={Allain, M.-L. and Chambolle, C. and Rey, P. and Teyssier, S.},
title={Vertical integration as a source of hold-up: An experiment},
journal={European Economic Review},
year={2021},
volume={137},
doi={10.1016/j.euroecorev.2021.103783},
art_number={103783},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85108364063&doi=10.1016%2fj.euroecorev.2021.103783&partnerID=40&md5=b82e41cd9dd92ec3272f78c378690cc2},
publisher={Elsevier B.V.},
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  • Affine modeling of credit risk, pricing of credit events, and contagion

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author={Monfort, A. and Pegoraro, F. and Renne, J.-P. and Roussellet, G.},
title={Affine modeling of credit risk, pricing of credit events, and contagion},
journal={Management Science},
year={2021},
volume={67},
number={6},
pages={3674-3693},
doi={10.1287/mnsc.2020.3658},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85109495049&doi=10.1287%2fmnsc.2020.3658&partnerID=40&md5=bcc429503bdfca364f590b7f66caf1a2},
publisher={INFORMS Inst.for Operations Res.and the Management Sciences},
}

  • Risk sharing under the dominant peer-to-peer property and casualty insurance business models

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    By M. Denuit and C. Y. Robert

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    @article{Denuit2021181,
author={Denuit, M. and Robert, C.Y.},
title={Risk sharing under the dominant peer-to-peer property and casualty insurance business models},
journal={Risk Management and Insurance Review},
year={2021},
volume={24},
number={2},
pages={181-205},
doi={10.1111/rmir.12180},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85107389774&doi=10.1111%2frmir.12180&partnerID=40&md5=3b6b4cb7924b1369b4d97e755097cedd},
publisher={Blackwell Publishing Ltd},
}

  • Estimation of convex supports from noisy measurements

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    By V. -E. Brunel, J. M. Klusowski, and D. Yang

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    @article{Brunel2021772,
author={Brunel, V.-E. and Klusowski, J.M. and Yang, D.},
title={Estimation of convex supports from noisy measurements},
journal={Bernoulli},
year={2021},
volume={27},
number={2},
pages={772-793},
doi={10.3150/20-BEJ1229},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85104368009&doi=10.3150%2f20-BEJ1229&partnerID=40&md5=39202b22abc1d908cd9b2fa88bd8d3dc},
publisher={International Statistical Institute},
}

  • Cognitive remediation and professional insertion of people with schizophrenia: remedrehab, a randomized controlled trial

    European psychiatry : the journal of the association of european psychiatrists, vol. 64, iss. 1, p. e31, 2021.

    By S. Cervello, J. Dubreucq, M. Trichanh, A. Dubrulle, I. Amado, M. C. Bralet, M. Chirio-Espitalier, S. Delille, E. Fakra, C. Francq, N. Guillard-Bouhet, J. Graux, C. Lançon, J. M. Zakoian, E. Gauthier, C. Demily, and N. Franck

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    @article{Cervello2021e31,
author={Cervello, S. and Dubreucq, J. and Trichanh, M. and Dubrulle, A. and Amado, I. and Bralet, M.C. and Chirio-Espitalier, M. and Delille, S. and Fakra, E. and Francq, C. and Guillard-Bouhet, N. and Graux, J. and Lançon, C. and Zakoian, J.M. and Gauthier, E. and Demily, C. and Franck, N.},
title={Cognitive remediation and professional insertion of people with schizophrenia: RemedRehab, a randomized controlled trial},
journal={European psychiatry : the journal of the Association of European Psychiatrists},
year={2021},
volume={64},
number={1},
pages={e31},
doi={10.1192/j.eurpsy.2021.25},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85106069122&doi=10.1192%2fj.eurpsy.2021.25&partnerID=40&md5=7b6fbda88ec6634903cf2f750c47474e},
publisher={NLM (Medline)},
}

  • Multivariate hawkes process for cyber insurance

    Annals of actuarial science, vol. 15, iss. 1, pp. 14-39, 2021.

    By Y. Bessy-Roland, A. Boumezoued, and C. Hillairet

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    @article{Bessy-Roland202114,
author={Bessy-Roland, Y. and Boumezoued, A. and Hillairet, C.},
title={Multivariate Hawkes process for cyber insurance},
journal={Annals of Actuarial Science},
year={2021},
volume={15},
number={1},
pages={14-39},
doi={10.1017/S1748499520000093},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090495205&doi=10.1017%2fS1748499520000093&partnerID=40&md5=bbbcd0890f4ef4535b1aa6277b58d5df},
publisher={Cambridge University Press},
}

  • Forecast performance and bubble analysis in noncausal mar(1, 1) processes

    Journal of forecasting, vol. 40, iss. 2, pp. 301-326, 2021.

    By C. Gourieroux, A. Hencic, and J. Jasiak

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author={Gourieroux, C. and Hencic, A. and Jasiak, J.},
title={Forecast performance and bubble analysis in noncausal MAR(1, 1) processes},
journal={Journal of Forecasting},
year={2021},
volume={40},
number={2},
pages={301-326},
doi={10.1002/for.2716},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089560296&doi=10.1002%2ffor.2716&partnerID=40&md5=2da1849e8df5c36e86afd16a80826af9},
publisher={John Wiley and Sons Ltd},
}

  • Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models

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    By C. Francq and J. -M. Zakoian

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author={Francq, C. and Zakoian, J.-M.},
title={Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models},
journal={Bernoulli},
year={2021},
volume={28},
number={1},
pages={548-578},
doi={10.3150/21-BEJ1357},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85120427422&doi=10.3150%2f21-BEJ1357&partnerID=40&md5=a543174475828e4b6c49cf4257be3c87},
publisher={International Statistical Institute},
}

  • Neural networks-based backward scheme for fully nonlinear pdes

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    By H. Pham, X. Warin, and M. Germain

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author={Pham, H. and Warin, X. and Germain, M.},
title={Neural networks-based backward scheme for fully nonlinear PDEs},
journal={Partial Differential Equations and Applications},
year={2021},
volume={2},
number={1},
doi={10.1007/s42985-020-00062-8},
art_number={16},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85103177666&doi=10.1007%2fs42985-020-00062-8&partnerID=40&md5=fa9b7d8c3f5be862c99dd47bfa35cd90},
publisher={Springer International Publishing},
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  • Hierarchical copulas with archimedean blocks and asymmetric between-block pairs

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    By I. Chaoubi, H. Cossette, E. Marceau, and C. Y. Robert

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author={Chaoubi, I. and Cossette, H. and Marceau, E. and Robert, C.Y.},
title={Hierarchical copulas with Archimedean blocks and asymmetric between-block pairs},
journal={Computational Statistics and Data Analysis},
year={2021},
volume={154},
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art_number={107071},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090551004&doi=10.1016%2fj.csda.2020.107071&partnerID=40&md5=c51eeabd67c4ee71c56ef51bc5e19a04},
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    By R. Dumitrescu, M. Leutscher, and P. Tankov

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author={Dumitrescu, R. and Leutscher, M. and Tankov, P.},
title={Control and optimal stopping Mean Field Games: a linear programming approach},
journal={Electronic Journal of Probability},
year={2021},
volume={26},
doi={10.1214/21-EJP713},
art_number={157},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85123090424&doi=10.1214%2f21-EJP713&partnerID=40&md5=63df8b9629093e141d361ac88c22f12c},
publisher={Institute of Mathematical Statistics},
}

  • Identification of 371 genetic variants for age at first sex and birth linked to externalising behaviour

    Nature human behaviour, , 2021.

    By M. C. Mills, F. C. Tropf, D. M. Brazel, N. van Zuydam, A. Vaez, M. Agbessi, H. Ahsan, I. Alves, A. K. Andiappan, W. Arindrarto, P. Awadalla, A. Battle, F. Beutner, M. Jan Bonder, D. I. Boomsma, M. W. Christiansen, A. Claringbould, P. Deelen, T. Esko, M. -J. Favé, L. Franke, T. Frayling, S. A. Gharib, G. Gibson, B. T. Heijmans, G. Hemani, R. Jansen, M. Kähönen, A. Kalnapenkis, S. Kasela, J. Kettunen, Y. Kim, H. Kirsten, P. Kovacs, K. Krohn, J. Kronberg, V. Kukushkina, Z. Kutalik, B. Lee, T. Lehtimäki, M. Loeffler, U. M. Marigorta, H. Mei, L. Milani, G. W. Montgomery, M. Müller-Nurasyid, M. Nauck, M. G. Nivard, B. W. J. H. Penninx, M. Perola, N. Pervjakova, B. L. Pierce, J. Powell, H. Prokisch, B. M. Psaty, O. T. Raitakari, S. Ripatti, O. Rotzschke, S. Rüeger, A. Saha, M. Scholz, K. Schramm, I. Seppälä, E. P. Slagboom, C. D. A. Stehouwer, M. Stumvoll, P. Sullivan, P. A. C. ‘t Hoen, A. Teumer, J. Thiery, L. Tong, A. Tönjes, J. van Dongen, M. van Iterson, J. van Meurs, J. H. Veldink, J. Verlouw, P. M. Visscher, U. Völker, U. Võsa, H. -J. Westra, C. Wijmenga, H. Yaghootkar, J. Yang, B. Zeng, F. Zhang, M. M. J. van Greevenbroek, C. G. Schalkwijk, J. Deelen, D. van Heemst, C. M. van Duijn, B. A. Hofman, A. Isaacs, A. G. Uitterlinden, M. Verbiest, H. E. D. Suchiman, M. Verkerk, R. van der Breggen, J. van Rooij, N. Lakenberg, H. Mei, J. Bot, D. V. Zhernakova, R. Luijk, M. J. Bonder, M. A. Swertz, E. W. van Zwet, E. T. Akimova, S. Bergmann, J. D. Boardman, J. E. Buring, D. Cesarini, D. I. Chasman, J. E. Chavarro, M. Cocca, M. P. Concas, G. Davey-Smith, G. Davies, I. J. Deary, A. J. Gaskins, E. J. C. de Geus, C. Gieger, G. Girotto, H. J. Grabe, E. P. Gunderson, K. M. Harris, F. P. Hartwig, C. He, G. Homuth, B. L. Horta, J. Jan Hottenga, H. Huang, E. Hyppӧnen, M. A. Ikram, M. Johannesson, Z. Kamali, M. Kavousi, P. Kraft, B. Kühnel, C. Langenberg, L. C. Study, P. A. Lind, J. Luan, R. Mägi, P. K. E. Magnusson, A. Mahajan, N. G. Martin, H. Mbarek, M. I. McCarthy, G. McMahon, M. B. McQueen, S. E. Medland, T. Meitinger, A. Metspalu, E. Mihailov, S. A. Missmer, S. Møllegaard, D. O. Mook-Kanamori, A. Morgan, P. J. van der Most, R. de Mutsert, R. Noordam, C. Power, P. Redmond, J. W. Rich-Edwards, P. M. Ridker, C. A. Rietveld, S. M. Ring, L. M. Rose, R. Rueedi, K. Stefánsson, D. Stöckl, K. Strauch, A. R. Thurik, N. J. Timpson, C. Turman, N. J. Wareham, G. Willemsen, J. H. Zhao, T. H. Pers, H. Snieder, J. R. B. Perry, K. K. Ong, M. den Hoed, N. Barban, F. R. Day, eQTLGen Consortium, B. Consortium, and H. R. B. Consortium

    [DOI] [Bibtex] 

    @article{Mills2021,
author={Mills, M.C. and Tropf, F.C. and Brazel, D.M. and van Zuydam, N. and Vaez, A. and Agbessi, M. and Ahsan, H. and Alves, I. and Andiappan, A.K. and Arindrarto, W. and Awadalla, P. and Battle, A. and Beutner, F. and Jan Bonder, M. and Boomsma, D.I. and Christiansen, M.W. and Claringbould, A. and Deelen, P. and Esko, T. and Favé, M.-J. and Franke, L. and Frayling, T. and Gharib, S.A. and Gibson, G. and Heijmans, B.T. and Hemani, G. and Jansen, R. and Kähönen, M. and Kalnapenkis, A. and Kasela, S. and Kettunen, J. and Kim, Y. and Kirsten, H. and Kovacs, P. and Krohn, K. and Kronberg, J. and Kukushkina, V. and Kutalik, Z. and Lee, B. and Lehtimäki, T. and Loeffler, M. and Marigorta, U.M. and Mei, H. and Milani, L. and Montgomery, G.W. and Müller-Nurasyid, M. and Nauck, M. and Nivard, M.G. and Penninx, B.W.J.H. and Perola, M. and Pervjakova, N. and Pierce, B.L. and Powell, J. and Prokisch, H. and Psaty, B.M. and Raitakari, O.T. and Ripatti, S. and Rotzschke, O. and Rüeger, S. and Saha, A. and Scholz, M. and Schramm, K. and Seppälä, I. and Slagboom, E.P. and Stehouwer, C.D.A. and Stumvoll, M. and Sullivan, P. and ‘t Hoen, P.A.C. and Teumer, A. and Thiery, J. and Tong, L. and Tönjes, A. and van Dongen, J. and van Iterson, M. and van Meurs, J. and Veldink, J.H. and Verlouw, J. and Visscher, P.M. and Völker, U. and Võsa, U. and Westra, H.-J. and Wijmenga, C. and Yaghootkar, H. and Yang, J. and Zeng, B. and Zhang, F. and van Greevenbroek, M.M.J. and Schalkwijk, C.G. and Deelen, J. and van Heemst, D. and van Duijn, C.M. and Hofman, B.A. and Isaacs, A. and Uitterlinden, A.G. and Verbiest, M. and Suchiman, H.E.D. and Verkerk, M. and van der Breggen, R. and van Rooij, J. and Lakenberg, N. and Mei, H. and Bot, J. and Zhernakova, D.V. and Luijk, R. and Bonder, M.J. and Swertz, M.A. and van Zwet, E.W. and Akimova, E.T. and Bergmann, S. and Boardman, J.D. and Buring, J.E. and Cesarini, D. and Chasman, D.I. and Chavarro, J.E. and Cocca, M. and Concas, M.P. and Davey-Smith, G. and Davies, G. and Deary, I.J. and Gaskins, A.J. and de Geus, E.J.C. and Gieger, C. and Girotto, G. and Grabe, H.J. and Gunderson, E.P. and Harris, K.M. and Hartwig, F.P. and He, C. and Homuth, G. and Horta, B.L. and Jan Hottenga, J. and Huang, H. and Hyppӧnen, E. and Ikram, M.A. and Johannesson, M. and Kamali, Z. and Kavousi, M. and Kraft, P. and Kühnel, B. and Langenberg, C. and Study, L.C. and Lind, P.A. and Luan, J. and Mägi, R. and Magnusson, P.K.E. and Mahajan, A. and Martin, N.G. and Mbarek, H. and McCarthy, M.I. and McMahon, G. and McQueen, M.B. and Medland, S.E. and Meitinger, T. and Metspalu, A. and Mihailov, E. and Missmer, S.A. and Møllegaard, S. and Mook-Kanamori, D.O. and Morgan, A. and van der Most, P.J. and de Mutsert, R. and Noordam, R. and Power, C. and Redmond, P. and Rich-Edwards, J.W. and Ridker, P.M. and Rietveld, C.A. and Ring, S.M. and Rose, L.M. and Rueedi, R. and Stefánsson, K. and Stöckl, D. and Strauch, K. and Thurik, A.R. and Timpson, N.J. and Turman, C. and Wareham, N.J. and Willemsen, G. and Zhao, J.H. and Pers, T.H. and Snieder, H. and Perry, J.R.B. and Ong, K.K. and den Hoed, M. and Barban, N. and Day, F.R. and eQTLGen Consortium and BIOS Consortium and Human Reproductive Behaviour Consortium},
title={Identification of 371 genetic variants for age at first sex and birth linked to externalising behaviour},
journal={Nature Human Behaviour},
year={2021},
doi={10.1038/s41562-021-01135-3},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85117508270&doi=10.1038%2fs41562-021-01135-3&partnerID=40&md5=6b8fd56cdf83796d970ef5a6d8700bd8},
publisher={Nature Research},
}

  • Deep neural networks algorithms for stochastic control problems on finite horizon: convergence analysis

    Siam journal on numerical analysis, vol. 59, iss. 1, pp. 525-557, 2021.

    By C. Huré, H. Pham, A. Bachouch, and N. Langrené

    [DOI] [Bibtex] 

    @article{Huré2021525,
author={Huré, C. and Pham, H. and Bachouch, A. and Langrené, N.},
title={Deep neural networks algorithms for stochastic control problems on finite horizon: Convergence analysis},
journal={SIAM Journal on Numerical Analysis},
year={2021},
volume={59},
number={1},
pages={525-557},
doi={10.1137/20M1316640},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85102664711&doi=10.1137%2f20M1316640&partnerID=40&md5=76032b7c593f8380f7ada1d9f06ea21b},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models

    Scandinavian actuarial journal, vol. 2021, iss. 8, pp. 671-694, 2021.

    By C. Hillairet and O. Lopez

    [DOI] [Bibtex] 

    @article{Hillairet2021671,
author={Hillairet, C. and Lopez, O.},
title={Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models},
journal={Scandinavian Actuarial Journal},
year={2021},
volume={2021},
number={8},
pages={671-694},
doi={10.1080/03461238.2021.1872694},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85100214393&doi=10.1080%2f03461238.2021.1872694&partnerID=40&md5=9f11a5064a8308861b23a7e576439145},
publisher={Taylor and Francis Ltd.},
}

  • From risk sharing to pure premium for a large number of heterogeneous losses

    Insurance: mathematics and economics, vol. 96, pp. 116-126, 2021.

    By M. Denuit and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Denuit2021116,
author={Denuit, M. and Robert, C.Y.},
title={From risk sharing to pure premium for a large number of heterogeneous losses},
journal={Insurance: Mathematics and Economics},
year={2021},
volume={96},
pages={116-126},
doi={10.1016/j.insmatheco.2020.11.006},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097224892&doi=10.1016%2fj.insmatheco.2020.11.006&partnerID=40&md5=7bb5adf5854867aad3e7c0cb7705e599},
publisher={Elsevier B.V.},
}

  • Model risk management: valuation and governance of pseudo-models

    Econometrics and statistics, vol. 17, pp. 1-22, 2021.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20211,
author={Gourieroux, C. and Monfort, A.},
title={Model risk management: Valuation and governance of pseudo-models},
journal={Econometrics and Statistics},
year={2021},
volume={17},
pages={1-22},
doi={10.1016/j.ecosta.2020.08.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090560723&doi=10.1016%2fj.ecosta.2020.08.001&partnerID=40&md5=7a713cc7d6af50cdfa3db8e10bc00d97},
publisher={Elsevier B.V.},
}

2020

  • Price formation and optimal trading in intraday electricity markets with a major player

    Risks, vol. 8, iss. 4, pp. 1-21, 2020.

    By O. Féron, P. Tankov, and L. Tinsi

    [DOI] [Bibtex] 

    @article{Féron20201,
author={Féron, O. and Tankov, P. and Tinsi, L.},
title={Price formation and optimal trading in intraday electricity markets with a major player},
journal={Risks},
year={2020},
volume={8},
number={4},
pages={1-21},
doi={10.3390/risks8040133},
art_number={133},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097553301&doi=10.3390%2frisks8040133&partnerID=40&md5=3ae667c2ea9eb8ca42e02f251daa0320},
publisher={MDPI AG},
}

  • The economic value of wind energy nowcasting

    Energies, vol. 13, iss. 20, 2020.

    By A. Dupré, P. Drobinski, J. Badosa, C. Briard, and P. Tankov

    [DOI] [Bibtex] 

    @article{Dupré2020,
author={Dupré, A. and Drobinski, P. and Badosa, J. and Briard, C. and Tankov, P.},
title={The economic value of wind energy nowcasting},
journal={Energies},
year={2020},
volume={13},
number={20},
doi={10.3390/en13205266},
art_number={5266},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85092892529&doi=10.3390%2fen13205266&partnerID=40&md5=b2dee29601475f81260d8265e69d0fe4},
publisher={MDPI AG},
}

  • Stationary bubble equilibria in rational expectation models

    Journal of econometrics, vol. 218, iss. 2, pp. 714-735, 2020.

    By C. Gourieroux, J. Jasiak, and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2020714,
author={Gourieroux, C. and Jasiak, J. and Monfort, A.},
title={Stationary bubble equilibria in rational expectation models},
journal={Journal of Econometrics},
year={2020},
volume={218},
number={2},
pages={714-735},
doi={10.1016/j.jeconom.2020.04.035},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084479427&doi=10.1016%2fj.jeconom.2020.04.035&partnerID=40&md5=818f4b1129fb9dee19a7590892b39213},
publisher={Elsevier Ltd},
}

  • Measuring the risk of supply and demand imbalance at the monthly to seasonal scale in france

    Energies, vol. 13, iss. 18, 2020.

    By B. Alonzo, P. Drobinski, R. Plougonven, and P. Tankov

    [DOI] [Bibtex] 

    @article{Alonzo2020,
author={Alonzo, B. and Drobinski, P. and Plougonven, R. and Tankov, P.},
title={Measuring the risk of supply and demand imbalance at the monthly to seasonal scale in France},
journal={Energies},
year={2020},
volume={13},
number={18},
doi={10.3390/en13184888},
art_number={4888},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85091849057&doi=10.3390%2fen13184888&partnerID=40&md5=39de49e5285faa8ab27e4fd16b133347},
publisher={MDPI AG},
}

  • Large-loss behavior of conditional mean risk sharing

    Astin bulletin, vol. 50, iss. 3, pp. 1093-1122, 2020.

    By M. Denuit and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Denuit20201093,
author={Denuit, M. and Robert, C.Y.},
title={Large-loss behavior of conditional mean risk sharing},
journal={ASTIN Bulletin},
year={2020},
volume={50},
number={3},
pages={1093-1122},
doi={10.1017/asb.2020.23},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85091790468&doi=10.1017%2fasb.2020.23&partnerID=40&md5=8d056a216e6b2e5d3a60d32a6b120458},
publisher={Cambridge University Press},
}

  • Algorithmic trading in a microstructural limit order book model

    Quantitative finance, vol. 20, iss. 8, pp. 1263-1283, 2020.

    By F. Abergel, C. Huré, and H. Pham

    [DOI] [Bibtex] 

    @article{Abergel20201263,
author={Abergel, F. and Huré, C. and Pham, H.},
title={Algorithmic trading in a microstructural limit order book model},
journal={Quantitative Finance},
year={2020},
volume={20},
number={8},
pages={1263-1283},
doi={10.1080/14697688.2020.1729396},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85083583570&doi=10.1080%2f14697688.2020.1729396&partnerID=40&md5=a1ee075342cf1755109570911a8f512c},
publisher={Routledge},
}

  • Virtual historical simulation for estimating the conditional var of large portfolios

    Journal of econometrics, vol. 217, iss. 2, pp. 356-380, 2020.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2020356,
author={Francq, C. and Zakoian, J.-M.},
title={Virtual Historical Simulation for estimating the conditional VaR of large portfolios},
journal={Journal of Econometrics},
year={2020},
volume={217},
number={2},
pages={356-380},
doi={10.1016/j.jeconom.2019.12.008},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076861554&doi=10.1016%2fj.jeconom.2019.12.008&partnerID=40&md5=b98abefb643f2a72ec3bf83559542bfc},
publisher={Elsevier Ltd},
}

  • Dynamics of variance risk premia: a new model for disentangling the price of risk

    Journal of econometrics, vol. 217, iss. 2, pp. 312-334, 2020.

    By J. V. K. Rombouts, L. Stentoft, and F. Violante

    [DOI] [Bibtex] 

    @article{Rombouts2020312,
author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
title={Dynamics of variance risk premia: A new model for disentangling the price of risk},
journal={Journal of Econometrics},
year={2020},
volume={217},
number={2},
pages={312-334},
doi={10.1016/j.jeconom.2019.12.006},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076853471&doi=10.1016%2fj.jeconom.2019.12.006&partnerID=40&md5=bf1b4723a0c7e7676f60edf4b05e382b},
publisher={Elsevier Ltd},
}

  • Identification and estimation in non-fundamental structural varma models

    Review of economic studies, vol. 87, iss. 4, pp. 1915-1953, 2020.

    By C. Gouriéroux, A. Monfort, and J. -P. Renne

    [DOI] [Bibtex] 

    @article{Gouriéroux20201915,
author={Gouriéroux, C. and Monfort, A. and Renne, J.-P.},
title={Identification and Estimation in Non-Fundamental Structural VARMA Models},
journal={Review of Economic Studies},
year={2020},
volume={87},
number={4},
pages={1915-1953},
doi={10.1093/restud/rdz028},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089421211&doi=10.1093%2frestud%2frdz028&partnerID=40&md5=9762f4996ab46f25d83fa9e41ea5a954},
publisher={Oxford University Press},
}

  • On kendall’s regression

    Journal of multivariate analysis, vol. 178, 2020.

    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Derumigny2020,
author={Derumigny, A. and Fermanian, J.-D.},
title={On Kendall's regression},
journal={Journal of Multivariate Analysis},
year={2020},
volume={178},
doi={10.1016/j.jmva.2020.104610},
art_number={104610},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85082534817&doi=10.1016%2fj.jmva.2020.104610&partnerID=40&md5=3c6806ffa4571bd1b66284f37491c428},
publisher={Academic Press Inc.},
}

  • A mckean–vlasov approach to distributed electricity generation development

    Mathematical methods of operations research, vol. 91, iss. 2, pp. 269-310, 2020.

    By R. Aïd, M. Basei, and H. Pham

    [DOI] [Bibtex] 

    @article{Aïd2020269,
author={Aïd, R. and Basei, M. and Pham, H.},
title={A McKean–Vlasov approach to distributed electricity generation development},
journal={Mathematical Methods of Operations Research},
year={2020},
volume={91},
number={2},
pages={269-310},
doi={10.1007/s00186-019-00692-8},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076231127&doi=10.1007%2fs00186-019-00692-8&partnerID=40&md5=cfbd68b8cc8a62e3eadbcf5200d076b6},
publisher={Springer},
}

  • Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height

    International journal of forecasting, vol. 36, iss. 2, pp. 515-530, 2020.

    By B. Alonzo, P. Tankov, P. Drobinski, and R. Plougonven

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    @article{Alonzo2020515,
author={Alonzo, B. and Tankov, P. and Drobinski, P. and Plougonven, R.},
title={Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height},
journal={International Journal of Forecasting},
year={2020},
volume={36},
number={2},
pages={515-530},
doi={10.1016/j.ijforecast.2019.07.005},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076201219&doi=10.1016%2fj.ijforecast.2019.07.005&partnerID=40&md5=056a41c1d6ceb8f15ce082a0f6a87470},
publisher={Elsevier B.V.},
}

  • Pricing individual stock options using both stock and market index information

    Journal of banking and finance, vol. 111, 2020.

    By J. V. K. Rombouts, L. Stentoft, and F. Violante

    [DOI] [Bibtex] 

    @article{Rombouts2020,
author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
title={Pricing individual stock options using both stock and market index information},
journal={Journal of Banking and Finance},
year={2020},
volume={111},
doi={10.1016/j.jbankfin.2019.105727},
art_number={105727},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076827272&doi=10.1016%2fj.jbankfin.2019.105727&partnerID=40&md5=bce213a531596495a52f2059c11320c7},
publisher={Elsevier B.V.},
}

  • High-dimensional penalized arch processes

    Econometric reviews, , 2020.

    By B. Poignard and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Poignard2020,
author={Poignard, B. and Fermanian, J.-D.},
title={High-dimensional penalized arch processes},
journal={Econometric Reviews},
year={2020},
doi={10.1080/07474938.2020.1761153},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084839880&doi=10.1080%2f07474938.2020.1761153&partnerID=40&md5=0ef7e42a56b5a299d088e34d0f219231},
publisher={Taylor and Francis Inc.},
}

  • Deep backward schemes for high-dimensional nonlinear pdes

    Mathematics of computation, vol. 89, pp. 1547-1579, 2020.

    By C. Hure, H. Pham, and X. Warin

    [DOI] [Bibtex] 

    @article{Hure20201547,
author={Hure, C. and Pham, H. and Warin, X.},
title={Deep backward schemes for high-dimensional nonlinear pdes},
journal={Mathematics of Computation},
year={2020},
volume={89},
pages={1547-1579},
doi={10.1090/MCOM/3514},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85083218497&doi=10.1090%2fMCOM%2f3514&partnerID=40&md5=770d0edd6ee521d8a52195d8f7494dc9},
publisher={American Mathematical Society},
}

  • Variance swap payoffs, risk premia and extreme market conditions

    Econometrics and statistics, vol. 13, pp. 106-124, 2020.

    By J. V. K. Rombouts, L. Stentoft, and F. Violante

    [DOI] [Bibtex] 

    @article{Rombouts2020106,
author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
title={Variance swap payoffs, risk premia and extreme market conditions},
journal={Econometrics and Statistics},
year={2020},
volume={13},
pages={106-124},
doi={10.1016/j.ecosta.2019.05.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85068093458&doi=10.1016%2fj.ecosta.2019.05.003&partnerID=40&md5=80d32ecdc375592021fc41838ea7ec99},
publisher={Elsevier B.V.},
}

2019

  • Mixed causal-noncausal ar processes and the modelling of explosive bubbles

    Econometric theory, vol. 35, iss. 6, pp. 1234-1270, 2019.

    By S. Fries and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Fries20191234,
author={Fries, S. and Zakoian, J.-M.},
title={MIXED CAUSAL-NONCAUSAL AR PROCESSES and the MODELLING of EXPLOSIVE BUBBLES},
journal={Econometric Theory},
year={2019},
volume={35},
number={6},
pages={1234-1270},
doi={10.1017/S0266466618000452},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079505607&doi=10.1017%2fS0266466618000452&partnerID=40&md5=44923d48e5b18208c481320bcbe978e0},
publisher={Cambridge University Press},
}

  • E4clim 1.0: the energy for a climate integrated model: description and application to italy

    Energies, vol. 12, iss. 22, 2019.

    By A. Tantet, M. Stéfanon, P. Drobinski, J. Badosa, S. Concettini, A. Cretì, C. D’Ambrosio, D. Thomopulos, and P. Tankov

    [DOI] [Bibtex] 

    @article{Tantet2019,
author={Tantet, A. and Stéfanon, M. and Drobinski, P. and Badosa, J. and Concettini, S. and Cretì, A. and D’Ambrosio, C. and Thomopulos, D. and Tankov, P.},
title={E4CLIM 1.0: The energy for a climate integrated model: Description and application to Italy},
journal={Energies},
year={2019},
volume={12},
number={22},
doi={10.3390/en12224299},
art_number={4299},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85075970117&doi=10.3390%2fen12224299&partnerID=40&md5=41c2b8be9ad6cc7bb985d87bb151889d},
publisher={MDPI AG},
}

  • Invited editorial “the challenges imposed by low interest rates”

    Journal of asset management, vol. 20, iss. 6, pp. 413-420, 2019.

    By J. -M. Beacco, C. Lubochinsky, M. Brière, A. Monfort, C. Hillairet, and S. Benoît

    [DOI] [Bibtex] 

    @article{Beacco2019413,
author={Beacco, J.-M. and Lubochinsky, C. and Brière, M. and Monfort, A. and Hillairet, C. and Benoît, S.},
title={Invited Editorial “The challenges imposed by low interest rates”},
journal={Journal of Asset Management},
year={2019},
volume={20},
number={6},
pages={413-420},
doi={10.1057/s41260-019-00124-6},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85067235762&doi=10.1057%2fs41260-019-00124-6&partnerID=40&md5=2cfc42aaf4bd03a60ab20b64429c65ce},
publisher={Palgrave Macmillan Ltd.},
}

  • Zero-sum stochastic differential games of generalized mckean–vlasov type

    Journal des mathematiques pures et appliquees, vol. 129, pp. 180-212, 2019.

    By A. Cosso and H. Pham

    [DOI] [Bibtex] 

    @article{Cosso2019180,
author={Cosso, A. and Pham, H.},
title={Zero-sum stochastic differential games of generalized McKean–Vlasov type},
journal={Journal des Mathematiques Pures et Appliquees},
year={2019},
volume={129},
pages={180-212},
doi={10.1016/j.matpur.2018.12.005},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058211022&doi=10.1016%2fj.matpur.2018.12.005&partnerID=40&md5=0ef5f3c13ea2781da3f0c094de37c7e2},
publisher={Elsevier Masson SAS},
}

  • A classification point-of-view about conditional kendall’s tau

    Computational statistics and data analysis, vol. 135, pp. 70-94, 2019.

    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Derumigny201970,
author={Derumigny, A. and Fermanian, J.-D.},
title={A classification point-of-view about conditional Kendall's tau},
journal={Computational Statistics and Data Analysis},
year={2019},
volume={135},
pages={70-94},
doi={10.1016/j.csda.2019.01.013},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061642376&doi=10.1016%2fj.csda.2019.01.013&partnerID=40&md5=65f068ee02cf453e7fc6a41eeb64dbfc},
publisher={Elsevier B.V.},
}

  • Least impulse response estimator for stress test exercises

    Journal of banking and finance, vol. 103, pp. 62-77, 2019.

    By C. Gourieroux and Y. LU

    [DOI] [Bibtex] 

    @article{Gourieroux201962,
author={Gourieroux, C. and LU, Y.},
title={Least impulse response estimator for stress test exercises},
journal={Journal of Banking and Finance},
year={2019},
volume={103},
pages={62-77},
doi={10.1016/j.jbankfin.2019.03.021},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85064254501&doi=10.1016%2fj.jbankfin.2019.03.021&partnerID=40&md5=646267b3f97b6ebd4e1f963484ab9405},
publisher={Elsevier B.V.},
}

  • A weak martingale approach to linear-quadratic mckean–vlasov stochastic control problems

    Journal of optimization theory and applications, vol. 181, iss. 2, pp. 347-382, 2019.

    By M. Basei and H. Pham

    [DOI] [Bibtex] 

    @article{Basei2019347,
author={Basei, M. and Pham, H.},
title={A Weak Martingale Approach to Linear-Quadratic McKean–Vlasov Stochastic Control Problems},
journal={Journal of Optimization Theory and Applications},
year={2019},
volume={181},
number={2},
pages={347-382},
doi={10.1007/s10957-018-01453-z},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058407689&doi=10.1007%2fs10957-018-01453-z&partnerID=40&md5=89def0a2cecc9f24cd61746896c3e9f9},
publisher={Springer Science and Business Media, LLC},
}

  • Functional garch models: the quasi-likelihood approach and its applications

    Journal of econometrics, vol. 209, iss. 2, pp. 353-375, 2019.

    By C. Cerovecki, C. Francq, S. Hörmann, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Cerovecki2019353,
author={Cerovecki, C. and Francq, C. and Hörmann, S. and Zakoian, J.-M.},
title={Functional GARCH models: The quasi-likelihood approach and its applications},
journal={Journal of Econometrics},
year={2019},
volume={209},
number={2},
pages={353-375},
doi={10.1016/j.jeconom.2019.01.006},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061362787&doi=10.1016%2fj.jeconom.2019.01.006&partnerID=40&md5=45fafc096d5eb14a95eba9052ec5824f},
publisher={Elsevier Ltd},
}

  • Qml inference for volatility models with covariates

    Econometric theory, vol. 35, iss. 1, pp. 37-72, 2019.

    By C. Francq and L. Q. Thieu

    [DOI] [Bibtex] 

    @article{Francq201937,
author={Francq, C. and Thieu, L.Q.},
title={QML Inference for volatility models with covariates},
journal={Econometric Theory},
year={2019},
volume={35},
number={1},
pages={37-72},
doi={10.1017/S0266466617000512},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060781936&doi=10.1017%2fS0266466617000512&partnerID=40&md5=54af50d50b78418b742909d9c09b8503},
publisher={Cambridge University Press},
}

  • A non-structural investigation of vix risk neutral density

    Journal of banking and finance, vol. 99, pp. 1-20, 2019.

    By A. Barletta, P. Santucci de Magistris, and F. Violante

    [DOI] [Bibtex] 

    @article{Barletta20191,
author={Barletta, A. and Santucci de Magistris, P. and Violante, F.},
title={A non-structural investigation of VIX risk neutral density},
journal={Journal of Banking and Finance},
year={2019},
volume={99},
pages={1-20},
doi={10.1016/j.jbankfin.2018.11.012},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056771545&doi=10.1016%2fj.jbankfin.2018.11.012&partnerID=40&md5=e9cf42f3258f7a8807cd790b0b2e11e5},
publisher={Elsevier B.V.},
}

  • Dynamic asset correlations based on vines

    Econometric theory, vol. 35, iss. 1, pp. 167-197, 2019.

    By B. Poignard and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Poignard2019167,
author={Poignard, B. and Fermanian, J.-D.},
title={Dynamic asset correlations based on vines},
journal={Econometric Theory},
year={2019},
volume={35},
number={1},
pages={167-197},
doi={10.1017/S026646661800004X},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045649269&doi=10.1017%2fS026646661800004X&partnerID=40&md5=369a73e08887ad00bd79709fce0dc33b},
publisher={Cambridge University Press},
}

  • Randomized filtering and bellman equation in wasserstein space for partial observation control problem

    Stochastic processes and their applications, vol. 129, iss. 2, pp. 674-711, 2019.

    By E. Bandini, A. Cosso, M. Fuhrman, and H. Pham

    [DOI] [Bibtex] 

    @article{Bandini2019674,
author={Bandini, E. and Cosso, A. and Fuhrman, M. and Pham, H.},
title={Randomized filtering and Bellman equation in Wasserstein space for partial observation control problem},
journal={Stochastic Processes and their Applications},
year={2019},
volume={129},
number={2},
pages={674-711},
doi={10.1016/j.spa.2018.03.014},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045470408&doi=10.1016%2fj.spa.2018.03.014&partnerID=40&md5=b46e7a9aaf2c56b0407a61c15b87cf46},
publisher={Elsevier B.V.},
}

  • Approximation of markov semigroups in total variation distance under an irregular setting: an application to the cir process

    Stochastic processes and their applications, vol. 129, iss. 2, pp. 539-571, 2019.

    By C. Rey

    [DOI] [Bibtex] 

    @article{Rey2019539,
author={Rey, C.},
title={Approximation of Markov semigroups in total variation distance under an irregular setting: An application to the CIR process},
journal={Stochastic Processes and their Applications},
year={2019},
volume={129},
number={2},
pages={539-571},
doi={10.1016/j.spa.2018.03.008},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045347432&doi=10.1016%2fj.spa.2018.03.008&partnerID=40&md5=b8d5c1e2b24091b8965ab6e68581a27a},
publisher={Elsevier B.V.},
}

  • Model risk management: limits and future of bayesian approaches

    Annals of economics and statistics, , iss. 136, pp. 1-26, 2019.

    By J. P. Florens, C. Gourieroux, and A. Monfort

    [DOI] [Bibtex] 

    @article{Florens20191,
author={Florens, J.P. and Gourieroux, C. and Monfort, A.},
title={Model risk management: Limits and future of Bayesian approaches},
journal={Annals of Economics and Statistics},
year={2019},
number={136},
pages={1-26},
doi={10.15609/annaeconstat2009.136.0001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079370522&doi=10.15609%2fannaeconstat2009.136.0001&partnerID=40&md5=04947ebd017088f3405cc2985fc5d294},
publisher={GENES (Groupe des Ecoles en Economie et Statistiques)},
}

  • Long-time large deviations for the multiasset wishart stochastic volatility model and option pricing

    Siam journal on financial mathematics, vol. 10, iss. 4, pp. 942-976, 2019.

    By A. Alfonsi, D. Krief, and P. Tankov

    [DOI] [Bibtex] 

    @article{Alfonsi2019942,
author={Alfonsi, A. and Krief, D. and Tankov, P.},
title={Long-time large deviations for the Multiasset Wishart stochastic volatility model and option pricing},
journal={SIAM Journal on Financial Mathematics},
year={2019},
volume={10},
number={4},
pages={942-976},
doi={10.1137/18M1197588},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85077556862&doi=10.1137%2f18M1197588&partnerID=40&md5=97b5c21554c5e37be66e7a8ac118b7b7},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • On kernel-based estimation of conditional kendall’s tau: finite-distance bounds and asymptotic behavior

    Dependence modeling, vol. 7, iss. 1, pp. 292-321, 2019.

    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Derumigny2019292,
author={Derumigny, A. and Fermanian, J.-D.},
title={On kernel-based estimation of conditional Kendall's tau: Finite-distance bounds and asymptotic behavior},
journal={Dependence Modeling},
year={2019},
volume={7},
number={1},
pages={292-321},
doi={10.1515/demo-2019-0016},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85073830106&doi=10.1515%2fdemo-2019-0016&partnerID=40&md5=3dbd3a5264044440e5434b87e0850412},
publisher={De Gruyter Open Ltd},
}

  • Consistent pseudo-maximum likelihood estimators and groups of transformations

    Econometrica, vol. 87, iss. 1, pp. 327-345, 2019.

    By C. Gouriéroux, A. Monfort, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Gouriéroux2019327,
author={Gouriéroux, C. and Monfort, A. and Zakoian, J.-M.},
title={Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations},
journal={Econometrica},
year={2019},
volume={87},
number={1},
pages={327-345},
doi={10.3982/ECTA14727},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060941030&doi=10.3982%2fECTA14727&partnerID=40&md5=84db0982ba3299f9e96a04cdb695d80d},
publisher={Blackwell Publishing Ltd},
}

  • Stratification of amyotrophic lateral sclerosis patients: a crowdsourcing approach

    Scientific reports, vol. 9, iss. 1, 2019.

    By R. Kueffner, N. Zach, M. Bronfeld, R. Norel, N. Atassi, V. Balagurusamy, B. Di Camillo, A. Chio, M. Cudkowicz, D. Dillenberger, J. Garcia-Garcia, O. Hardiman, B. Hoff, J. Knight, M. L. Leitner, G. Li, L. Mangravite, T. Norman, L. Wang, J. Xiao, W. -C. Fang, J. Peng, C. Yang, H. -J. Chang, G. Stolovitzky, R. Alkallas, C. Anghel, J. Avril, J. Bacardit, B. Balser, J. Balser, Y. Bar-Sinai, N. Ben-David, E. Ben-Zion, R. Bliss, J. Cai, A. Chernyshev, J. -H. Chiang, D. Chicco, B. A. N. Corriveau, J. Dai, Y. Deshpande, E. Desplats, J. S. Durgin, S. M. G. Espiritu, F. Fan, P. Fevrier, B. L. Fridley, A. Godzik, A. Golińska, J. Gordon, S. Graw, Y. Guo, T. Herpelinck, J. Hopkins, B. Huang, J. Jacobsen, S. Jahandideh, J. Jeon, W. Ji, K. Jung, A. Karanevich, D. C. Koestler, M. Kozak, C. Kurz, C. Lalansingh, T. Larrieu, N. Lazzarini, B. Lerner, W. Lesinski, X. Liang, X. Lin, J. Lowe, L. Mackey, R. Meier, W. Min, K. Mnich, V. Nahmias, J. Noel-Macdonnell, A. O’donnell, S. Paadre, J. Park, A. Polewko-Klim, R. Raghavan, W. Rudnicki, E. Saghapour, J. -B. Salomond, K. Sankaran, D. Sendorek, V. Sharan, Y. -J. Shiah, J. -K. Sirois, D. N. Sumanaweera, J. Usset, Y. S. Vang, C. Vens, D. Wadden, D. Wang, W. C. Wong, X. Xie, Z. Xu, H. -T. Yang, X. Yu, H. Zhang, L. Zhang, S. Zhang, S. Zhu, and T. A. S. Consortium

    [DOI] [Bibtex] 

    @article{Kueffner2019,
author={Kueffner, R. and Zach, N. and Bronfeld, M. and Norel, R. and Atassi, N. and Balagurusamy, V. and Di Camillo, B. and Chio, A. and Cudkowicz, M. and Dillenberger, D. and Garcia-Garcia, J. and Hardiman, O. and Hoff, B. and Knight, J. and Leitner, M.L. and Li, G. and Mangravite, L. and Norman, T. and Wang, L. and Xiao, J. and Fang, W.-C. and Peng, J. and Yang, C. and Chang, H.-J. and Stolovitzky, G. and Alkallas, R. and Anghel, C. and Avril, J. and Bacardit, J. and Balser, B. and Balser, J. and Bar-Sinai, Y. and Ben-David, N. and Ben-Zion, E. and Bliss, R. and Cai, J. and Chernyshev, A. and Chiang, J.-H. and Chicco, D. and Corriveau, B.A.N. and Dai, J. and Deshpande, Y. and Desplats, E. and Durgin, J.S. and Espiritu, S.M.G. and Fan, F. and Fevrier, P. and Fridley, B.L. and Godzik, A. and Golińska, A. and Gordon, J. and Graw, S. and Guo, Y. and Herpelinck, T. and Hopkins, J. and Huang, B. and Jacobsen, J. and Jahandideh, S. and Jeon, J. and Ji, W. and Jung, K. and Karanevich, A. and Koestler, D.C. and Kozak, M. and Kurz, C. and Lalansingh, C. and Larrieu, T. and Lazzarini, N. and Lerner, B. and Lesinski, W. and Liang, X. and Lin, X. and Lowe, J. and Mackey, L. and Meier, R. and Min, W. and Mnich, K. and Nahmias, V. and Noel-Macdonnell, J. and O’donnell, A. and Paadre, S. and Park, J. and Polewko-Klim, A. and Raghavan, R. and Rudnicki, W. and Saghapour, E. and Salomond, J.-B. and Sankaran, K. and Sendorek, D. and Sharan, V. and Shiah, Y.-J. and Sirois, J.-K. and Sumanaweera, D.N. and Usset, J. and Vang, Y.S. and Vens, C. and Wadden, D. and Wang, D. and Wong, W.C. and Xie, X. and Xu, Z. and Yang, H.-T. and Yu, X. and Zhang, H. and Zhang, L. and Zhang, S. and Zhu, S. and The ALS Stratification Consortium},
title={Stratification of amyotrophic lateral sclerosis patients: A crowdsourcing approach},
journal={Scientific Reports},
year={2019},
volume={9},
number={1},
doi={10.1038/s41598-018-36873-4},
art_number={690},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060520844&doi=10.1038%2fs41598-018-36873-4&partnerID=40&md5=cee2822d9e7d404d4b5ec2728f2e6fcd},
publisher={Nature Publishing Group},
}

  • Robust markowitz mean-variance portfolio selection under ambiguous covariance matrix

    Mathematical finance, vol. 29, iss. 1, pp. 174-207, 2019.

    By A. Ismail and H. Pham

    [DOI] [Bibtex] 

    @article{Ismail2019174,
author={Ismail, A. and Pham, H.},
title={Robust Markowitz mean-variance portfolio selection under ambiguous covariance matrix},
journal={Mathematical Finance},
year={2019},
volume={29},
number={1},
pages={174-207},
doi={10.1111/mafi.12169},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85059701972&doi=10.1111%2fmafi.12169&partnerID=40&md5=9fbe64b073b9774f6203488c536017c9},
publisher={Blackwell Publishing Inc.},
}

  • Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series

    Journal of time series analysis, vol. 40, iss. 1, pp. 124-150, 2019.

    By A. Bücher, J. -D. Fermanian, and I. Kojadinovic

    [DOI] [Bibtex] 

    @article{Bücher2019124,
author={Bücher, A. and Fermanian, J.-D. and Kojadinovic, I.},
title={Combining Cumulative Sum Change-Point Detection Tests for Assessing the Stationarity of Univariate Time Series},
journal={Journal of Time Series Analysis},
year={2019},
volume={40},
number={1},
pages={124-150},
doi={10.1111/jtsa.12431},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85055475735&doi=10.1111%2fjtsa.12431&partnerID=40&md5=a7d43969e6cff1bff8d5ce8e98a770d4},
publisher={Blackwell Publishing Ltd},
}

2018

  • On the link between volatilities, regime switching probabilities and correlation dynamics

    Annals of economics and statistics, , iss. 131, pp. 1-24, 2018.

    By J. -D. Fermanian and H. Malongo

    [DOI] [Bibtex] 

    @article{Fermanian20181,
author={Fermanian, J.-D. and Malongo, H.},
title={On the link between volatilities, regime switching probabilities and correlation dynamics},
journal={Annals of Economics and Statistics},
year={2018},
number={131},
pages={1-24},
doi={10.15609/annaeconstat2009.131.0001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85057817857&doi=10.15609%2fannaeconstat2009.131.0001&partnerID=40&md5=0ecdeed0d7ad163accfc4ee23c95d514},
publisher={GENES (Groupe des Ecoles en Economie et Statistiques)},
}

  • Arbitrage and utility maximization in market models with an insider

    Mathematics and financial economics, vol. 12, iss. 4, pp. 589-614, 2018.

    By H. N. Chau, W. J. Runggaldier, and P. Tankov

    [DOI] [Bibtex] 

    @article{Chau2018589,
author={Chau, H.N. and Runggaldier, W.J. and Tankov, P.},
title={Arbitrage and utility maximization in market models with an insider},
journal={Mathematics and Financial Economics},
year={2018},
volume={12},
number={4},
pages={589-614},
doi={10.1007/s11579-018-0217-4},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046487113&doi=10.1007%2fs11579-018-0217-4&partnerID=40&md5=edbfb038f78ce909c1783026a1a04db6},
publisher={Springer Verlag},
}

  • Consistent utility of investment and consumption: a forward/backward spde viewpoint

    Stochastics, vol. 90, iss. 6, pp. 927-954, 2018.

    By N. El Karoui, C. Hillairet, and M. Mrad

    [DOI] [Bibtex] 

    @article{ElKaroui2018927,
author={El Karoui, N. and Hillairet, C. and Mrad, M.},
title={Consistent utility of investment and consumption: a forward/backward SPDE viewpoint},
journal={Stochastics},
year={2018},
volume={90},
number={6},
pages={927-954},
doi={10.1080/17442508.2018.1457676},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045480681&doi=10.1080%2f17442508.2018.1457676&partnerID=40&md5=a640fef52d73e31e7c0aa1a32c305886},
publisher={Taylor and Francis Ltd.},
}

  • Multifactor granularity adjustments for market and counterparty risks

    Journal of risk, vol. 20, iss. 6, pp. 1-27, 2018.

    By J. -D. Fermanian and C. Florentin

    [DOI] [Bibtex] 

    @article{Fermanian20181,
author={Fermanian, J.-D. and Florentin, C.},
title={Multifactor granularity adjustments for market and counterparty risks},
journal={Journal of Risk},
year={2018},
volume={20},
number={6},
pages={1-27},
doi={10.21314/JOR.2018.387},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85052737415&doi=10.21314%2fJOR.2018.387&partnerID=40&md5=ca9ec9d894eba32d0957910e909542f7},
publisher={Infopro digital},
}

  • Estimation risk for the var of portfolios driven by semi-parametric multivariate models

    Journal of econometrics, vol. 205, iss. 2, pp. 381-401, 2018.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2018381,
author={Francq, C. and Zakoian, J.-M.},
title={Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models},
journal={Journal of Econometrics},
year={2018},
volume={205},
number={2},
pages={381-401},
doi={10.1016/j.jeconom.2018.03.018},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046132506&doi=10.1016%2fj.jeconom.2018.03.018&partnerID=40&md5=c8c256d2e8ec683db241cd47538e6d0b},
publisher={Elsevier Ltd},
}

  • Misspecification of noncausal order in autoregressive processes

    Journal of econometrics, vol. 205, iss. 1, pp. 226-248, 2018.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex] 

    @article{Gourieroux2018226,
author={Gourieroux, C. and Jasiak, J.},
title={Misspecification of noncausal order in autoregressive processes},
journal={Journal of Econometrics},
year={2018},
volume={205},
number={1},
pages={226-248},
doi={10.1016/j.jeconom.2018.03.012},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046169005&doi=10.1016%2fj.jeconom.2018.03.012&partnerID=40&md5=64633fa93675c64ae76a9aae07f20bde},
publisher={Elsevier Ltd},
}

  • Composite indirect inference with application to corporate risks

    Econometrics and statistics, vol. 7, pp. 30-45, 2018.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux201830,
author={Gourieroux, C. and Monfort, A.},
title={Composite indirect inference with application to corporate risks},
journal={Econometrics and Statistics},
year={2018},
volume={7},
pages={30-45},
doi={10.1016/j.ecosta.2017.09.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85044762324&doi=10.1016%2fj.ecosta.2017.09.003&partnerID=40&md5=8ead36afa2921ff50b2b7449fd35f907},
publisher={Elsevier B.V.},
}

  • Asymptotics of cholesky garch models and time-varying conditional betas

    Journal of econometrics, vol. 204, iss. 2, pp. 223-247, 2018.

    By S. Darolles, C. Francq, and S. Laurent

    [DOI] [Bibtex] 

    @article{Darolles2018223,
author={Darolles, S. and Francq, C. and Laurent, S.},
title={Asymptotics of Cholesky GARCH models and time-varying conditional betas},
journal={Journal of Econometrics},
year={2018},
volume={204},
number={2},
pages={223-247},
doi={10.1016/j.jeconom.2018.02.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85044334104&doi=10.1016%2fj.jeconom.2018.02.003&partnerID=40&md5=720daa8f6afd21a266e1d41e21505542},
publisher={Elsevier Ltd},
}

  • Coherent incurred paid (cip) models for claims reserving

    Astin bulletin, vol. 48, iss. 2, pp. 749-777, 2018.

    By G. Dupin, E. Koenig, P. Le Moine, A. Monfort, and E. Ratiarison

    [DOI] [Bibtex] 

    @article{Dupin2018749,
author={Dupin, G. and Koenig, E. and Le Moine, P. and Monfort, A. and Ratiarison, E.},
title={Coherent incurred paid (CIP) models for claims reserving},
journal={ASTIN Bulletin},
year={2018},
volume={48},
number={2},
pages={749-777},
doi={10.1017/asb.2017.36},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85042211328&doi=10.1017%2fasb.2017.36&partnerID=40&md5=80b3f598599ec03312dd666353e74a07},
publisher={Cambridge University Press},
}

  • Single-index copulas

    Journal of multivariate analysis, vol. 165, pp. 27-55, 2018.

    By J. -D. Fermanian and O. Lopez

    [DOI] [Bibtex] 

    @article{Fermanian201827,
author={Fermanian, J.-D. and Lopez, O.},
title={Single-index copulas},
journal={Journal of Multivariate Analysis},
year={2018},
volume={165},
pages={27-55},
doi={10.1016/j.jmva.2017.11.004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85038244683&doi=10.1016%2fj.jmva.2017.11.004&partnerID=40&md5=970c2a0e84ba8be0d2c70c9b13906205},
publisher={Academic Press Inc.},
}

  • Pricing formulae for derivatives in insurance using malliavin calculus

    Probability, uncertainty and quantitative risk, vol. 3, 2018.

    By C. Hillairet, Y. Jiao, and A. Réveillac

    [DOI] [Bibtex] 

    @article{Hillairet2018,
author={Hillairet, C. and Jiao, Y. and Réveillac, A.},
title={Pricing formulae for derivatives in insurance using Malliavin calculus},
journal={Probability, Uncertainty and Quantitative Risk},
year={2018},
volume={3},
doi={10.1186/s41546-018-0028-9},
art_number={7},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85094034292&doi=10.1186%2fs41546-018-0028-9&partnerID=40&md5=57d573334bd2c39a9032e0d188425e6e},
publisher={American Institute of Mathematical Sciences},
}

  • Improved bounds for square-root lasso and square-root slope

    Electronic journal of statistics, vol. 12, iss. 1, pp. 741-766, 2018.

    By A. Derumigny

    [DOI] [Bibtex] 

    @article{Derumigny2018741,
author={Derumigny, A.},
title={Improved bounds for square-root lasso and square-root slope},
journal={Electronic Journal of Statistics},
year={2018},
volume={12},
number={1},
pages={741-766},
doi={10.1214/18-EJS1410},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85042668984&doi=10.1214%2f18-EJS1410&partnerID=40&md5=18f98aa6ca0f37579868d3d5caeda2bd},
publisher={Institute of Mathematical Statistics},
}

  • Randomized dynamic programming principle and feynman-kac representation for optimal control of mckean-vlasov dynamics

    Transactions of the american mathematical society, vol. 370, iss. 3, pp. 2115-2160, 2018.

    By E. Bayraktar, A. Cosso, and H. Pham

    [DOI] [Bibtex] 

    @article{Bayraktar20182115,
author={Bayraktar, E. and Cosso, A. and Pham, H.},
title={Randomized dynamic programming principle and feynman-kac representation for optimal control of McKean-Vlasov dynamics},
journal={Transactions of the American Mathematical Society},
year={2018},
volume={370},
number={3},
pages={2115-2160},
doi={10.1090/tran/7118},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85039799809&doi=10.1090%2ftran%2f7118&partnerID=40&md5=301af8514569ba5bfab6d073d62217e5},
publisher={American Mathematical Society},
}

2017

  • Staying at zero with affine processes: an application to term structure modelling

    Journal of econometrics, vol. 201, iss. 2, pp. 348-366, 2017.

    By A. Monfort, F. Pegoraro, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex] 

    @article{Monfort2017348,
author={Monfort, A. and Pegoraro, F. and Renne, J.-P. and Roussellet, G.},
title={Staying at zero with affine processes: An application to term structure modelling},
journal={Journal of Econometrics},
year={2017},
volume={201},
number={2},
pages={348-366},
doi={10.1016/j.jeconom.2017.08.013},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029574651&doi=10.1016%2fj.jeconom.2017.08.013&partnerID=40&md5=43c832f1a9aaa31262be596b3bdef7b5},
publisher={Elsevier Ltd},
}

  • Bsdes with diffusion constraint and viscous hamilton-jacobi equations with unbounded data

    Annales de l’institut henri poincare (b) probability and statistics, vol. 53, iss. 4, pp. 1528-1547, 2017.

    By A. Cosso, H. Pham, and H. Xing

    [DOI] [Bibtex] 

    @article{Cosso20171528,
author={Cosso, A. and Pham, H. and Xing, H.},
title={BSDEs with diffusion constraint and viscous Hamilton-Jacobi equations with unbounded data},
journal={Annales de l'institut Henri Poincare (B) Probability and Statistics},
year={2017},
volume={53},
number={4},
pages={1528-1547},
doi={10.1214/16-AIHP762},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85035349569&doi=10.1214%2f16-AIHP762&partnerID=40&md5=c4d776650a32018b54024b366a13c1f1},
publisher={Institute of Mathematical Statistics},
}

  • Optimal contract with moral hazard for public private partnerships

    Stochastics, vol. 89, iss. 6-7, pp. 1015-1038, 2017.

    By I. Hajjej, C. Hillairet, M. Mnif, and M. Pontier

    [DOI] [Bibtex] 

    @article{Hajjej20171015,
author={Hajjej, I. and Hillairet, C. and Mnif, M. and Pontier, M.},
title={Optimal contract with moral hazard for Public Private Partnerships},
journal={Stochastics},
year={2017},
volume={89},
number={6-7},
pages={1015-1038},
doi={10.1080/17442508.2017.1303068},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85016117099&doi=10.1080%2f17442508.2017.1303068&partnerID=40&md5=59315c937b8f39df15e7eae0dc93be98},
publisher={Taylor and Francis Ltd.},
}

  • Asymptotic optimal tracking: feedback strategies

    Stochastics, vol. 89, iss. 6-7, pp. 943-966, 2017.

    By J. Cai, M. Rosenbaum, and P. Tankov

    [DOI] [Bibtex] 

    @article{Cai2017943,
author={Cai, J. and Rosenbaum, M. and Tankov, P.},
title={Asymptotic optimal tracking: feedback strategies},
journal={Stochastics},
year={2017},
volume={89},
number={6-7},
pages={943-966},
doi={10.1080/17442508.2017.1285304},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013070402&doi=10.1080%2f17442508.2017.1285304&partnerID=40&md5=a32e1780cf57531d4deea348dc7b3bd4},
publisher={Taylor and Francis Ltd.},
}

  • Recent developments in copula models

    Econometrics, vol. 5, iss. 3, 2017.

    By J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Fermanian2017,
author={Fermanian, J.-D.},
title={Recent developments in copula models},
journal={Econometrics},
year={2017},
volume={5},
number={3},
doi={10.3390/econometrics5030034},
art_number={34},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85030448832&doi=10.3390%2feconometrics5030034&partnerID=40&md5=6ec7ff5999684393449bcd5d14656e7c},
publisher={MDPI AG},
}

  • Successive enlargement of filtrations and application to insider information

    Advances in applied probability, vol. 49, iss. 3, pp. 653-685, 2017.

    By C. Blanchet-Scalliet, C. Hillairet, and Y. Jiao

    [DOI] [Bibtex] 

    @article{Blanchet-Scalliet2017653,
author={Blanchet-Scalliet, C. and Hillairet, C. and Jiao, Y.},
title={Successive enlargement of filtrations and application to insider information},
journal={Advances in Applied Probability},
year={2017},
volume={49},
number={3},
pages={653-685},
doi={10.1017/apr.2017.17},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029657837&doi=10.1017%2fapr.2017.17&partnerID=40&md5=dd1600198ca0d2ed8ff7080c0be84692},
publisher={Cambridge University Press},
}

  • Noncausal vector autoregressive process: representation, identification and semi-parametric estimation

    Journal of econometrics, vol. 200, iss. 1, pp. 118-134, 2017.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex] 

    @article{Gourieroux2017118,
author={Gourieroux, C. and Jasiak, J.},
title={Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation},
journal={Journal of Econometrics},
year={2017},
volume={200},
number={1},
pages={118-134},
doi={10.1016/j.jeconom.2017.01.011},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85025835857&doi=10.1016%2fj.jeconom.2017.01.011&partnerID=40&md5=6e6539abda6b946cf95564837aa433e4},
publisher={Elsevier Ltd},
}

  • Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

    Annals of operations research, vol. 256, iss. 2, pp. 203-219, 2017.

    By C. Gourieroux, H. T. Nguyen, and S. Sriboonchitta

    [DOI] [Bibtex] 

    @article{Gourieroux2017203,
author={Gourieroux, C. and Nguyen, H.T. and Sriboonchitta, S.},
title={Nonparametric estimation of a scalar diffusion model from discrete time data: a survey},
journal={Annals of Operations Research},
year={2017},
volume={256},
number={2},
pages={203-219},
doi={10.1007/s10479-016-2273-6},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84979266131&doi=10.1007%2fs10479-016-2273-6&partnerID=40&md5=000056f2875ab567146443313ba01549},
publisher={Springer New York LLC},
}

  • Local explosion modelling by non-causal process

    Journal of the royal statistical society. series b: statistical methodology, vol. 79, iss. 3, pp. 737-756, 2017.

    By C. Gouriéroux and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Gouriéroux2017737,
author={Gouriéroux, C. and Zakoian, J.-M.},
title={Local explosion modelling by non-causal process},
journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
year={2017},
volume={79},
number={3},
pages={737-756},
doi={10.1111/rssb.12193},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85018858670&doi=10.1111%2frssb.12193&partnerID=40&md5=3cc5d31fe3eb89fe8e882b8ad52b01bd},
publisher={Blackwell Publishing Ltd},
}

  • On the stationarity of dynamic conditional correlation models

    Econometric theory, vol. 33, iss. 3, pp. 636-663, 2017.

    By J. -D. Fermanian and H. Malongo

    [DOI] [Bibtex] 

    @article{Fermanian2017636,
author={Fermanian, J.-D. and Malongo, H.},
title={ON the STATIONARITY of DYNAMIC CONDITIONAL CORRELATION MODELS},
journal={Econometric Theory},
year={2017},
volume={33},
number={3},
pages={636-663},
doi={10.1017/S0266466616000116},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84965053045&doi=10.1017%2fS0266466616000116&partnerID=40&md5=e3cc478c5e1b4b6aa8a2b20693f22e62},
publisher={Cambridge University Press},
}

  • Tests for conditional ellipticity in multivariate garch models

    Journal of econometrics, vol. 196, iss. 2, pp. 305-319, 2017.

    By C. Francq, M. D. Jiménez-Gamero, and S. G. Meintanis

    [DOI] [Bibtex] 

    @article{Francq2017305,
author={Francq, C. and Jiménez-Gamero, M.D. and Meintanis, S.G.},
title={Tests for conditional ellipticity in multivariate GARCH models},
journal={Journal of Econometrics},
year={2017},
volume={196},
number={2},
pages={305-319},
doi={10.1016/j.jeconom.2016.10.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85006084794&doi=10.1016%2fj.jeconom.2016.10.001&partnerID=40&md5=d14436131be98b77487cde1223c0b4b9},
publisher={Elsevier Ltd},
}

  • Modelling the variability of the wind energy resource on monthly and seasonal timescales

    Renewable energy, vol. 113, pp. 1434-1446, 2017.

    By B. Alonzo, H. -K. Ringkjob, B. Jourdier, P. Drobinski, R. Plougonven, and P. Tankov

    [DOI] [Bibtex] 

    @article{Alonzo20171434,
author={Alonzo, B. and Ringkjob, H.-K. and Jourdier, B. and Drobinski, P. and Plougonven, R. and Tankov, P.},
title={Modelling the variability of the wind energy resource on monthly and seasonal timescales},
journal={Renewable Energy},
year={2017},
volume={113},
pages={1434-1446},
doi={10.1016/j.renene.2017.07.019},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85021936116&doi=10.1016%2fj.renene.2017.07.019&partnerID=40&md5=9531c78d81adf486a27aa2affa6e1e5c},
publisher={Elsevier Ltd},
}

  • Dynamic programming for optimal control of stochastic mckean-vlasov dynamics

    Siam journal on control and optimization, vol. 55, iss. 2, pp. 1069-1101, 2017.

    By H. Pham and X. Wei

    [DOI] [Bibtex] 

    @article{Pham20171069,
author={Pham, H. and Wei, X.},
title={Dynamic programming for optimal control of stochastic mckean-vlasov dynamics},
journal={SIAM Journal on Control and Optimization},
year={2017},
volume={55},
number={2},
pages={1069-1101},
doi={10.1137/16M1071390},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85019004246&doi=10.1137%2f16M1071390&partnerID=40&md5=3f3bf4c1dce93225f3b617563110867a},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Statistical inference for independent component analysis: application to structural var models

    Journal of econometrics, vol. 196, iss. 1, pp. 111-126, 2017.

    By C. Gouriéroux, A. Monfort, and J. -P. Renne

    [DOI] [Bibtex] 

    @article{Gouriéroux2017111,
author={Gouriéroux, C. and Monfort, A. and Renne, J.-P.},
title={Statistical inference for independent component analysis: Application to structural VAR models},
journal={Journal of Econometrics},
year={2017},
volume={196},
number={1},
pages={111-126},
doi={10.1016/j.jeconom.2016.09.007},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84995684270&doi=10.1016%2fj.jeconom.2016.09.007&partnerID=40&md5=de26355805da30478535e93bc1ef15ac},
publisher={Elsevier Ltd},
}

  • An equation-by-equation estimator of a multivariate log-garch-x model of financial returns

    Journal of multivariate analysis, vol. 153, pp. 16-32, 2017.

    By C. Francq and G. Sucarrat

    [DOI] [Bibtex] 

    @article{Francq201716,
author={Francq, C. and Sucarrat, G.},
title={An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns},
journal={Journal of Multivariate Analysis},
year={2017},
volume={153},
pages={16-32},
doi={10.1016/j.jmva.2016.09.010},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84988974131&doi=10.1016%2fj.jmva.2016.09.010&partnerID=40&md5=a9f5cee4051c6563641855955df5b54b},
publisher={Academic Press Inc.},
}

2016

  • Discrete time mckean–vlasov control problem: a dynamic programming approach

    Applied mathematics and optimization, vol. 74, iss. 3, pp. 487-506, 2016.

    By H. Pham and X. Wei

    [DOI] [Bibtex] 

    @article{Pham2016487,
author={Pham, H. and Wei, X.},
title={Discrete Time McKean–Vlasov Control Problem: A Dynamic Programming Approach},
journal={Applied Mathematics and Optimization},
year={2016},
volume={74},
number={3},
pages={487-506},
doi={10.1007/s00245-016-9386-9},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84994104475&doi=10.1007%2fs00245-016-9386-9&partnerID=40&md5=2bde7ad1d5f813ab8b8c261f7b9410aa},
publisher={Springer New York LLC},
}

  • Optimal switching for the pairs trading rule: a viscosity solutions approach

    Journal of mathematical analysis and applications, vol. 441, iss. 1, pp. 403-425, 2016.

    By M. -M. Ngo and H. Pham

    [DOI] [Bibtex] 

    @article{Ngo2016403,
author={Ngo, M.-M. and Pham, H.},
title={Optimal switching for the pairs trading rule: A viscosity solutions approach},
journal={Journal of Mathematical Analysis and Applications},
year={2016},
volume={441},
number={1},
pages={403-425},
doi={10.1016/j.jmaa.2016.03.060},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963593347&doi=10.1016%2fj.jmaa.2016.03.060&partnerID=40&md5=dc58209409d31685a73940af61170606},
publisher={Academic Press Inc.},
}

  • Reducing the debt: is it optimal to outsource an investment?

    Mathematics and financial economics, vol. 10, iss. 4, pp. 457-493, 2016.

    By G. E. Espinosa, C. Hillairet, B. Jourdain, and M. Pontier

    [DOI] [Bibtex] 

    @article{Espinosa2016457,
author={Espinosa, G.E. and Hillairet, C. and Jourdain, B. and Pontier, M.},
title={Reducing the debt: is it optimal to outsource an investment?},
journal={Mathematics and Financial Economics},
year={2016},
volume={10},
number={4},
pages={457-493},
doi={10.1007/s11579-016-0166-8},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84961200638&doi=10.1007%2fs11579-016-0166-8&partnerID=40&md5=dc292abffa87a9aa669744d3b01b69ae},
publisher={Springer Verlag},
}

  • Credit and liquidity in interbank rates: a quadratic approach

    Journal of banking and finance, vol. 68, pp. 29-46, 2016.

    By S. Dubecq, A. Monfort, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex] 

    @article{Dubecq201629,
author={Dubecq, S. and Monfort, A. and Renne, J.-P. and Roussellet, G.},
title={Credit and liquidity in interbank rates: A quadratic approach},
journal={Journal of Banking and Finance},
year={2016},
volume={68},
pages={29-46},
doi={10.1016/j.jbankfin.2016.03.014},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963768344&doi=10.1016%2fj.jbankfin.2016.03.014&partnerID=40&md5=bab329e97fe2487078a5ffb5ebe43954},
publisher={Elsevier},
}

  • Long time asymptotics for fully nonlinear bellman equations: a backward sde approach

    Stochastic processes and their applications, vol. 126, iss. 7, pp. 1932-1973, 2016.

    By A. Cosso, M. Fuhrman, and H. Pham

    [DOI] [Bibtex] 

    @article{Cosso20161932,
author={Cosso, A. and Fuhrman, M. and Pham, H.},
title={Long time asymptotics for fully nonlinear Bellman equations: A backward SDE approach},
journal={Stochastic Processes and their Applications},
year={2016},
volume={126},
number={7},
pages={1932-1973},
doi={10.1016/j.spa.2015.12.009},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84956666181&doi=10.1016%2fj.spa.2015.12.009&partnerID=40&md5=b01f451782386bea00aea41a2d30ac53},
publisher={Elsevier B.V.},
}

  • The double default value-of-the-firm model

    Journal of credit risk, vol. 12, iss. 2, pp. 47-76, 2016.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux201647,
author={Gourieroux, C. and Monfort, A.},
title={The double default value-of-the-firm model},
journal={Journal of Credit Risk},
year={2016},
volume={12},
number={2},
pages={47-76},
doi={10.21314/JCR.2016.207},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973454169&doi=10.21314%2fJCR.2016.207&partnerID=40&md5=da3c0fef401dcdd24dca3cf0c02de72a},
publisher={Incisive Media Ltd.},
}

  • Importance sampling schemes for evidence approximation in mixture models

    Bayesian analysis, vol. 11, iss. 2, pp. 573-597, 2016.

    By J. E. Lee and C. P. Robert

    [DOI] [Bibtex] 

    @article{Lee2016573,
author={Lee, J.E. and Robert, C.P.},
title={Importance sampling schemes for evidence approximation in mixture models},
journal={Bayesian Analysis},
year={2016},
volume={11},
number={2},
pages={573-597},
doi={10.1214/15-BA970},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963818644&doi=10.1214%2f15-BA970&partnerID=40&md5=bdb82445a6c3ec8981e5c9d5ecaae585},
publisher={International Society for Bayesian Analysis},
}

  • Estimating multivariate volatility models equation by equation

    Journal of the royal statistical society. series b: statistical methodology, vol. 78, iss. 3, pp. 613-635, 2016.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2016613,
author={Francq, C. and Zakoian, J.-M.},
title={Estimating multivariate volatility models equation by equation},
journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
year={2016},
volume={78},
number={3},
pages={613-635},
doi={10.1111/rssb.12126},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84948170163&doi=10.1111%2frssb.12126&partnerID=40&md5=b2089e4aeb12332e319116a1c57d930a},
publisher={Blackwell Publishing Ltd},
}

  • The expected demise of the bayes factor

    Journal of mathematical psychology, vol. 72, pp. 33-37, 2016.

    By C. P. Robert

    [DOI] [Bibtex] 

    @article{Robert201633,
author={Robert, C.P.},
title={The expected demise of the Bayes factor},
journal={Journal of Mathematical Psychology},
year={2016},
volume={72},
pages={33-37},
doi={10.1016/j.jmp.2015.08.002},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940776975&doi=10.1016%2fj.jmp.2015.08.002&partnerID=40&md5=394bb0dd2267dbc2bfb45c411ebe4551},
publisher={Academic Press Inc.},
}

  • Poisson qmle of count time series models

    Journal of time series analysis, vol. 37, iss. 3, pp. 291-314, 2016.

    By A. Ahmad and C. Francq

    [DOI] [Bibtex] 

    @article{Ahmad2016291,
author={Ahmad, A. and Francq, C.},
title={Poisson QMLE of Count Time Series Models},
journal={Journal of Time Series Analysis},
year={2016},
volume={37},
number={3},
pages={291-314},
doi={10.1111/jtsa.12167},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84949238424&doi=10.1111%2fjtsa.12167&partnerID=40&md5=3ea5013d7bbfe6dc8578971672ff827c},
publisher={Blackwell Publishing Ltd},
}

  • Filtering, prediction and simulation methods for noncausal processes

    Journal of time series analysis, vol. 37, iss. 3, pp. 405-430, 2016.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex] 

    @article{Gourieroux2016405,
author={Gourieroux, C. and Jasiak, J.},
title={Filtering, Prediction and Simulation Methods for Noncausal Processes},
journal={Journal of Time Series Analysis},
year={2016},
volume={37},
number={3},
pages={405-430},
doi={10.1111/jtsa.12165},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84948151840&doi=10.1111%2fjtsa.12165&partnerID=40&md5=bb223e962a3802634b1848fb001f313c},
publisher={Blackwell Publishing Ltd},
}

  • Linear quadratic optimal control of conditional mckean-vlasov equation with random coefficients and applications

    Probability, uncertainty and quantitative risk, vol. 1, iss. 1, 2016.

    By H. Pham

    [DOI] [Bibtex] 

    @article{Pham2016,
author={Pham, H.},
title={Linear quadratic optimal control of conditional McKean-Vlasov equation with random coefficients and applications},
journal={Probability, Uncertainty and Quantitative Risk},
year={2016},
volume={1},
number={1},
doi={10.1186/s41546-016-0008-x},
art_number={7},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85065510872&doi=10.1186%2fs41546-016-0008-x&partnerID=40&md5=d5907c82e38102d8f83746d5f973a1c8},
publisher={American Institute of Mathematical Sciences},
}

  • A backward dual representation for the quantile hedging of bermudan options

    Siam journal on financial mathematics, vol. 7, iss. 1, pp. 215-235, 2016.

    By B. Bouchard, G. Bouveret, and J. -F. Chassagneux

    [DOI] [Bibtex] 

    @article{Bouchard2016215,
author={Bouchard, B. and Bouveret, G. and Chassagneux, J.-F.},
title={A backward dual representation for the quantile hedging of bermudan options},
journal={SIAM Journal on Financial Mathematics},
year={2016},
volume={7},
number={1},
pages={215-235},
doi={10.1137/15M1029461},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85007334719&doi=10.1137%2f15M1029461&partnerID=40&md5=d11fcd52b1a4089d3be9bc5ceb412a9d},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Robust feedback switching control: dynamic programming and viscosity solutions

    Siam journal on control and optimization, vol. 54, iss. 5, pp. 2594-2628, 2016.

    By E. Bayraktar, A. Cosso, and H. Pham

    [DOI] [Bibtex] 

    @article{Bayraktar20162594,
author={Bayraktar, E. and Cosso, A. and Pham, H.},
title={Robust feedback switching control: Dynamic programming and viscosity solutions},
journal={SIAM Journal on Control and Optimization},
year={2016},
volume={54},
number={5},
pages={2594-2628},
doi={10.1137/15M1046903},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84992665607&doi=10.1137%2f15M1046903&partnerID=40&md5=f35a61687490c91e2934046b5ed73165},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Vertical integration as a source of hold-up

    Review of economic studies, vol. 83, iss. 1, pp. 1-25, 2016.

    By M. -L. Allain, C. Chambolle, and P. Rey

    [DOI] [Bibtex] 

    @article{Allain20161,
author={Allain, M.-L. and Chambolle, C. and Rey, P.},
title={Vertical integration as a source of hold-up},
journal={Review of Economic Studies},
year={2016},
volume={83},
number={1},
pages={1-25},
doi={10.1093/restud/rdv035},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84962883671&doi=10.1093%2frestud%2frdv035&partnerID=40&md5=360ad31529551bba7d6f50d83bc88db9},
publisher={Oxford University Press},
}

  • An optimal trading problem in intraday electricity markets

    Mathematics and financial economics, vol. 10, iss. 1, pp. 49-85, 2016.

    By R. Aïd, P. Gruet, and H. Pham

    [DOI] [Bibtex] 

    @article{Aïd201649,
author={Aïd, R. and Gruet, P. and Pham, H.},
title={An optimal trading problem in intraday electricity markets},
journal={Mathematics and Financial Economics},
year={2016},
volume={10},
number={1},
pages={49-85},
doi={10.1007/s11579-015-0150-8},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84952931520&doi=10.1007%2fs11579-015-0150-8&partnerID=40&md5=85bd66b3712daacc9f6a63bde0bce5ef},
publisher={Springer Verlag},
}

2015

  • Asymptotic inference in multiple-threshold double autoregressive models

    Journal of econometrics, vol. 189, iss. 2, pp. 415-427, 2015.

    By D. Li, S. Ling, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Li2015415,
author={Li, D. and Ling, S. and Zakoian, J.-M.},
title={Asymptotic inference in multiple-threshold double autoregressive models},
journal={Journal of Econometrics},
year={2015},
volume={189},
number={2},
pages={415-427},
doi={10.1016/j.jeconom.2015.03.033},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945475841&doi=10.1016%2fj.jeconom.2015.03.033&partnerID=40&md5=2400668b81e4ef3b90a107220e404a2b},
publisher={Elsevier Ltd},
}

  • On uniqueness of moving average representations of heavy-tailed stationary processes

    Journal of time series analysis, vol. 36, iss. 6, pp. 876-887, 2015.

    By C. Gouriéroux and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Gouriéroux2015876,
author={Gouriéroux, C. and Zakoian, J.-M.},
title={On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes},
journal={Journal of Time Series Analysis},
year={2015},
volume={36},
number={6},
pages={876-887},
doi={10.1111/jtsa.12139},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84944441178&doi=10.1111%2fjtsa.12139&partnerID=40&md5=d5c80f7c680632e11ae78788baa54d7c},
}

  • Performance fees and hedge fund return dynamics

    International journal of approximate reasoning, vol. 65, pp. 45-58, 2015.

    By S. Darolles and C. Gourieroux

    [DOI] [Bibtex] 

    @article{Darolles201545,
author={Darolles, S. and Gourieroux, C.},
title={Performance fees and hedge fund return dynamics},
journal={International Journal of Approximate Reasoning},
year={2015},
volume={65},
pages={45-58},
doi={10.1016/j.ijar.2015.03.006},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84941316799&doi=10.1016%2fj.ijar.2015.03.006&partnerID=40&md5=fdf61ccae69796627e48881b1df06077},
publisher={Elsevier Inc.},
}

  • Pricing with finite dimensional dependence

    Journal of econometrics, vol. 187, iss. 2, pp. 408-417, 2015.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2015408,
author={Gourieroux, C. and Monfort, A.},
title={Pricing with finite dimensional dependence},
journal={Journal of Econometrics},
year={2015},
volume={187},
number={2},
pages={408-417},
doi={10.1016/j.jeconom.2015.02.027},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945459025&doi=10.1016%2fj.jeconom.2015.02.027&partnerID=40&md5=644ea4f2aa31a12080164ea208115f50},
publisher={Elsevier Ltd},
}

  • Asymptotic total variation tests for copulas

    Bernoulli, vol. 21, iss. 3, pp. 1911-1945, 2015.

    By J. -D. Fermanian, D. Radulović, and M. Wegkamp

    [DOI] [Bibtex] 

    @article{Fermanian20151911,
author={Fermanian, J.-D. and Radulović, D. and Wegkamp, M.},
title={Asymptotic total variation tests for copulas},
journal={Bernoulli},
year={2015},
volume={21},
number={3},
pages={1911-1945},
doi={10.3150/14-BEJ632},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84938563757&doi=10.3150%2f14-BEJ632&partnerID=40&md5=66051faa5458ca7e22ad6d5598d6410a},
publisher={International Statistical Institute},
}

  • Love and death: a freund model with frailty

    Insurance: mathematics and economics, vol. 63, pp. 191-203, 2015.

    By C. Gourieroux and Y. Lu

    [DOI] [Bibtex] 

    @article{Gourieroux2015191,
author={Gourieroux, C. and Lu, Y.},
title={Love and death: A Freund model with frailty},
journal={Insurance: Mathematics and Economics},
year={2015},
volume={63},
pages={191-203},
doi={10.1016/j.insmatheco.2015.03.016},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84937970893&doi=10.1016%2fj.insmatheco.2015.03.016&partnerID=40&md5=3cfe7279c38acd308bb0e34431f88c54},
publisher={Elsevier B.V.},
}

  • Optimal high-frequency trading in a pro rata microstructure with predictive information

    Mathematical finance, vol. 25, iss. 3, pp. 545-575, 2015.

    By F. Guilbaud and H. Pham

    [DOI] [Bibtex] 

    @article{Guilbaud2015545,
author={Guilbaud, F. and Pham, H.},
title={Optimal high-frequency trading in a pro rata microstructure with predictive information},
journal={Mathematical Finance},
year={2015},
volume={25},
number={3},
pages={545-575},
doi={10.1111/mafi.12042},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84930383397&doi=10.1111%2fmafi.12042&partnerID=40&md5=cb717b5772bea97d9251f3b75422741d},
}

  • A quadratic kalman filter

    Journal of econometrics, vol. 187, iss. 1, pp. 43-56, 2015.

    By A. Monfort, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex] 

    @article{Monfort201543,
author={Monfort, A. and Renne, J.-P. and Roussellet, G.},
title={A Quadratic Kalman Filter},
journal={Journal of Econometrics},
year={2015},
volume={187},
number={1},
pages={43-56},
doi={10.1016/j.jeconom.2015.01.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929615719&doi=10.1016%2fj.jeconom.2015.01.003&partnerID=40&md5=2171d359aea7d4b643a15fc46eae34a2},
publisher={Elsevier Ltd},
}

  • Semi-markov model for market microstructure

    Applied mathematical finance, vol. 22, iss. 3, pp. 261-295, 2015.

    By P. Fodra and H. Pham

    [DOI] [Bibtex] 

    @article{Fodra2015261,
author={Fodra, P. and Pham, H.},
title={Semi-Markov Model for Market Microstructure},
journal={Applied Mathematical Finance},
year={2015},
volume={22},
number={3},
pages={261-295},
doi={10.1080/1350486X.2015.1037963},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84936847350&doi=10.1080%2f1350486X.2015.1037963&partnerID=40&md5=d95aa5081db387a3deaf4fa9d10a5e78},
publisher={Routledge},
}

  • On break-even correlation: the way to price structured credit derivatives by replication

    Quantitative finance, vol. 15, iss. 5, pp. 829-840, 2015.

    By J. -D. Fermanian and O. Vigneron

    [DOI] [Bibtex] 

    @article{Fermanian2015829,
author={Fermanian, J.-D. and Vigneron, O.},
title={On break-even correlation: the way to price structured credit derivatives by replication},
journal={Quantitative Finance},
year={2015},
volume={15},
number={5},
pages={829-840},
doi={10.1080/14697688.2013.812233},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84927174055&doi=10.1080%2f14697688.2013.812233&partnerID=40&md5=29d8b4f27fab8bf14785d2b9e3bf5e17},
publisher={Routledge},
}

  • High frequency trading and asymptotics for small risk aversion in a markov renewal model

    Siam journal on financial mathematics, vol. 6, iss. 1, pp. 656-684, 2015.

    By P. Fodra and H. Pham

    [DOI] [Bibtex] 

    @article{Fodra2015656,
author={Fodra, P. and Pham, H.},
title={High frequency trading and asymptotics for small risk aversion in a Markov renewal model},
journal={SIAM Journal on Financial Mathematics},
year={2015},
volume={6},
number={1},
pages={656-684},
doi={10.1137/140976005},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84982255574&doi=10.1137%2f140976005&partnerID=40&md5=89c28e69024ceb1e98eb7bba718e5795},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Robust portfolio allocation with systematic risk contribution restrictions

    Risk-based and factor investing, , pp. 123-146, 2015.

    By S. Darolles, C. Gouriéroux, and E. Jay

    [DOI] [Bibtex] 

    @book{Darolles2015123,
author={Darolles, S. and Gouriéroux, C. and Jay, E.},
title={Robust Portfolio Allocation with Systematic Risk Contribution Restrictions},
journal={Risk-Based and Factor Investing},
year={2015},
pages={123-146},
doi={10.1016/B978-1-78548-008-9.50005-8},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84966909162&doi=10.1016%2fB978-1-78548-008-9.50005-8&partnerID=40&md5=c7c7c69922f8e5b57a2f26949928dc3f},
publisher={Elsevier Inc.},
}

  • Feynman-kac representation for hamilton-jacobi-bellman ipde

    Annals of probability, vol. 43, iss. 4, pp. 1823-1865, 2015.

    By I. Kharroubi and H. Pham

    [DOI] [Bibtex] 

    @article{Kharroubi20151823,
author={Kharroubi, I. and Pham, H.},
title={Feynman-KAC representation for hamilton-jacobi-bellman IPDE},
journal={Annals of Probability},
year={2015},
volume={43},
number={4},
pages={1823-1865},
doi={10.1214/14-AOP920},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84930838763&doi=10.1214%2f14-AOP920&partnerID=40&md5=cac868cb1a7b4823439a9356101c0d6a},
publisher={Institute of Mathematical Statistics},
}

  • Pre-processing for approximate bayesian computation in image analysis

    Statistics and computing, vol. 25, iss. 1, pp. 23-33, 2015.

    By M. T. Moores, C. C. Drovandi, K. Mengersen, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Moores201523,
author={Moores, M.T. and Drovandi, C.C. and Mengersen, K. and Robert, C.P.},
title={Pre-processing for approximate Bayesian computation in image analysis},
journal={Statistics and Computing},
year={2015},
volume={25},
number={1},
pages={23-33},
doi={10.1007/s11222-014-9525-6},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925517418&doi=10.1007%2fs11222-014-9525-6&partnerID=40&md5=575748011e49acac9b6799e42484db7a},
publisher={Kluwer Academic Publishers},
}

  • Risk-parameter estimation in volatility models

    Journal of econometrics, vol. 184, iss. 1, pp. 158-173, 2015.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2015158,
author={Francq, C. and Zakoian, J.-M.},
title={Risk-parameter estimation in volatility models},
journal={Journal of Econometrics},
year={2015},
volume={184},
number={1},
pages={158-173},
doi={10.1016/j.jeconom.2014.06.019},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84913590668&doi=10.1016%2fj.jeconom.2014.06.019&partnerID=40&md5=ae9a1aef10b2c73b059c7b7abaf688f7},
publisher={Elsevier Ltd},
}

  • Measuring the liquidity part of volume

    Journal of banking and finance, vol. 50, pp. 92-105, 2015.

    By S. Darolles, G. L. Fol, and G. Mero

    [DOI] [Bibtex] 

    @article{Darolles201592,
author={Darolles, S. and Fol, G.L. and Mero, G.},
title={Measuring the liquidity part of volume},
journal={Journal of Banking and Finance},
year={2015},
volume={50},
pages={92-105},
doi={10.1016/j.jbankfin.2014.09.007},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84909594943&doi=10.1016%2fj.jbankfin.2014.09.007&partnerID=40&md5=544127dcdfe16b76b2b1f714857d14df},
publisher={Elsevier},
}

  • Reflected bsdes with nonpositive jumps, and controller-and-stopper games

    Stochastic processes and their applications, vol. 125, iss. 2, pp. 597-633, 2015.

    By S. Choukroun, A. Cosso, and H. Pham

    [DOI] [Bibtex] 

    @article{Choukroun2015597,
author={Choukroun, S. and Cosso, A. and Pham, H.},
title={Reflected BSDEs with nonpositive jumps, and controller-and-stopper games},
journal={Stochastic Processes and their Applications},
year={2015},
volume={125},
number={2},
pages={597-633},
doi={10.1016/j.spa.2014.09.015},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84908433023&doi=10.1016%2fj.spa.2014.09.015&partnerID=40&md5=e445cbd8174e714a61306608063df369},
publisher={Elsevier},
}

2014

  • Contagion in emerging markets

    Emerging markets and sovereign risk, , pp. 45-58, 2014.

    By S. Darolles, J. Dudek, and G. L. Fol

    [DOI] [Bibtex] 

    @book{Darolles201445,
author={Darolles, S. and Dudek, J. and Fol, G.L.},
title={Contagion in Emerging Markets},
journal={Emerging Markets and Sovereign Risk},
year={2014},
pages={45-58},
doi={10.1057/9781137450661_3},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84968835245&doi=10.1057%2f9781137450661_3&partnerID=40&md5=ece96d5dc0950ed63df4713ab7af0a88},
publisher={Palgrave Macmillan},
}

  • Credit risk valuation with rating transitions and partial information

    International journal of theoretical and applied finance, vol. 17, iss. 7, 2014.

    By D. Hainaut and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Hainaut2014,
author={Hainaut, D. and Robert, C.Y.},
title={Credit risk valuation with rating transitions and partial information},
journal={International Journal of Theoretical and Applied Finance},
year={2014},
volume={17},
number={7},
doi={10.1142/S0219024914500460},
art_number={1450046},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929519234&doi=10.1142%2fS0219024914500460&partnerID=40&md5=42a3fb997b11945fe36eae7982f6dd4f},
publisher={World Scientific},
}

  • A numerical algorithm for fully nonlinear hjb equations: an approach by control randomization

    Monte carlo methods and applications, vol. 20, iss. 2, pp. 145-165, 2014.

    By I. Kharroubi, N. Langrené, and H. Pham

    [DOI] [Bibtex] 

    @article{Kharroubi2014145,
author={Kharroubi, I. and Langrené, N. and Pham, H.},
title={A numerical algorithm for fully nonlinear HJB equations: An approach by control randomization},
journal={Monte Carlo Methods and Applications},
year={2014},
volume={20},
number={2},
pages={145-165},
doi={10.1515/mcma-2013-0024},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84902305162&doi=10.1515%2fmcma-2013-0024&partnerID=40&md5=974180a4454d7f24c50d9182a203cd26},
publisher={Walter de Gruyter GmbH},
}

  • Efficiency in large dynamic panel models with common factors

    Econometric theory, vol. 30, iss. 5, pp. 961-1020, 2014.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex] 

    @article{Gagliardini2014961,
author={Gagliardini, P. and Gourieroux, C.},
title={Efficiency in large dynamic panel models with common factors},
journal={Econometric Theory},
year={2014},
volume={30},
number={5},
pages={961-1020},
doi={10.1017/S0266466614000024},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901567879&doi=10.1017%2fS0266466614000024&partnerID=40&md5=6665634c64a454266daca6e8e5bff063},
publisher={Cambridge University Press},
}

  • Comment

    Journal of business and economic statistics, vol. 32, iss. 2, pp. 198-201, 2014.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2014198,
author={Francq, C. and Zakoian, J.-M.},
title={Comment},
journal={Journal of Business and Economic Statistics},
year={2014},
volume={32},
number={2},
pages={198-201},
doi={10.1080/07350015.2013.879829},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925940270&doi=10.1080%2f07350015.2013.879829&partnerID=40&md5=350b7b3de2fa85a007343e91ab9d1a0e},
publisher={American Statistical Association},
}

  • Vertical restraints in european competition policy

    Concurrences, , iss. 4, pp. 44-53, 2014.

    By P. Rey and T. Verge

    [Bibtex] 

    @article{Rey201444,
author={Rey, P. and Verge, T.},
title={Vertical restraints in European competition policy},
journal={Concurrences},
year={2014},
number={4},
pages={44-53},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85037361250&partnerID=40&md5=42d1978365f873acd7ecceb70d33ff17},
publisher={Institute of Competition Law},
}

  • Regime switching and bond pricing

    Journal of financial econometrics, vol. 12, iss. 2, pp. 237-277, 2014.

    By C. Gourieroux, A. Monfort, F. Pegoraro, and J. -P. Renne

    [DOI] [Bibtex] 

    @article{Gourieroux2014237,
author={Gourieroux, C. and Monfort, A. and Pegoraro, F. and Renne, J.-P.},
title={Regime switching and bond pricing},
journal={Journal of Financial Econometrics},
year={2014},
volume={12},
number={2},
pages={237-277},
doi={10.1093/jjfinec/nbt019},
art_number={nbt019},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940248130&doi=10.1093%2fjjfinec%2fnbt019&partnerID=40&md5=239f464b75f1d998f307edf5c944264b},
}

  • Erratum: pricing default events: surprise, exogeneity and contagion (journal of econometrics (2014) 182:2 (397-411))

    Journal of econometrics, vol. 183, iss. 2, p. 150, 2014.

    By C. Gouriéroux, A. Monfort, and J. P. Renne

    [DOI] [Bibtex] 

    @article{Gouriéroux2014150,
author={Gouriéroux, C. and Monfort, A. and Renne, J.P.},
title={Erratum: Pricing default events: Surprise, exogeneity and contagion (Journal of Econometrics (2014) 182:2 (397-411))},
journal={Journal of Econometrics},
year={2014},
volume={183},
number={2},
pages={150},
doi={10.1016/j.jeconom.2014.10.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84922655528&doi=10.1016%2fj.jeconom.2014.10.001&partnerID=40&md5=796f47cfa496f9b5dc64b0992068ac35},
publisher={Elsevier Ltd},
}

  • Characterization of the optimal boundaries in reversible investment problems

    Siam journal on control and optimization, vol. 52, iss. 4, pp. 2180-2223, 2014.

    By S. Federico and H. Pham

    [DOI] [Bibtex] 

    @article{Federico20142180,
author={Federico, S. and Pham, H.},
title={Characterization of the optimal boundaries in reversible investment problems},
journal={SIAM Journal on Control and Optimization},
year={2014},
volume={52},
number={4},
pages={2180-2223},
doi={10.1137/130927814},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84906811797&doi=10.1137%2f130927814&partnerID=40&md5=1185da2a1002e534e6a0c95cce66d960},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Pricing default events: surprise, exogeneity and contagion

    Journal of econometrics, vol. 182, iss. 2, pp. 397-411, 2014.

    By C. Gouriéroux, A. Monfort, and J. P. Renne

    [DOI] [Bibtex] 

    @article{Gouriéroux2014397,
author={Gouriéroux, C. and Monfort, A. and Renne, J.P.},
title={Pricing default events: Surprise, exogeneity and contagion},
journal={Journal of Econometrics},
year={2014},
volume={182},
number={2},
pages={397-411},
doi={10.1016/j.jeconom.2014.05.005},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904968834&doi=10.1016%2fj.jeconom.2014.05.005&partnerID=40&md5=b0421a667620f0c6de257e9c81aeee1a},
publisher={Elsevier Ltd},
}

  • A probabilistic numerical method for optimal multiple switching problems in high dimension

    Siam journal on financial mathematics, vol. 5, iss. 1, pp. 191-231, 2014.

    By R. Aïd, L. Campi, N. Langrené, and H. Pham

    [DOI] [Bibtex] 

    @article{Aïd2014191,
author={Aïd, R. and Campi, L. and Langrené, N. and Pham, H.},
title={A probabilistic numerical method for optimal multiple switching problems in high dimension},
journal={SIAM Journal on Financial Mathematics},
year={2014},
volume={5},
number={1},
pages={191-231},
doi={10.1137/120897298},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84902314824&doi=10.1137%2f120897298&partnerID=40&md5=8332bf314501c626b8a9d066c6ae6c38},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Bsde representations for optimal switching problems with controlled volatility

    Stochastics and dynamics, vol. 14, iss. 3, 2014.

    By R. Elie and I. Kharroubi

    [DOI] [Bibtex] 

    @article{Elie2014,
author={Elie, R. and Kharroubi, I.},
title={BSDE representations for optimal switching problems with controlled volatility},
journal={Stochastics and Dynamics},
year={2014},
volume={14},
number={3},
doi={10.1142/S0219493714500038},
art_number={1450003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901836293&doi=10.1142%2fS0219493714500038&partnerID=40&md5=ab23e004790f7f0778fe22fc89686c10},
publisher={World Scientific Publishing Co. Pte Ltd},
}

  • The limits of granularity adjustments

    Journal of banking and finance, vol. 45, iss. 1, pp. 9-25, 2014.

    By J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Fermanian20149,
author={Fermanian, J.-D.},
title={The limits of granularity adjustments},
journal={Journal of Banking and Finance},
year={2014},
volume={45},
number={1},
pages={9-25},
doi={10.1016/j.jbankfin.2014.04.023},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901660604&doi=10.1016%2fj.jbankfin.2014.04.023&partnerID=40&md5=025da4ed354dc530ff29b3e60d442ade},
publisher={Elsevier},
}

  • Cfenetwork: the annals of computational and financial econometrics: 2nd issue

    Computational statistics and data analysis, vol. 76, pp. 1-3, 2014.

    By E. J. Kontoghiorghes, H. K. Van Dijk, D. A. Belsley, T. Bollerslev, F. X. Diebold, J. -M. Dufour, R. Engle, A. Harvey, S. J. Koopman, H. Pesaran, P. C. B. Phillips, R. J. Smith, M. West, Q. Yao, A. Amendola, M. Billio, C. W. S. Chen, C. Chiarella, A. Colubi, M. Deistler, C. Francq, M. Hallin, E. Jacquier, K. Judd, G. Koop, H. Lütkepohl, J. G. MacKinnon, S. Mittnik, Y. Omori, D. S. G. Pollock, T. Proietti, J. V. K. Rombouts, O. Scaillet, W. Semmler, M. K. P. So, M. Steel, R. Taylor, E. Tzavalis, J. -M. Zakoian, H. Peter Boswijk, A. Luati, and J. Maheu

    [DOI] [Bibtex] 

    @article{Kontoghiorghes20141,
author={Kontoghiorghes, E.J. and Van Dijk, H.K. and Belsley, D.A. and Bollerslev, T. and Diebold, F.X. and Dufour, J.-M. and Engle, R. and Harvey, A. and Koopman, S.J. and Pesaran, H. and Phillips, P.C.B. and Smith, R.J. and West, M. and Yao, Q. and Amendola, A. and Billio, M. and Chen, C.W.S. and Chiarella, C. and Colubi, A. and Deistler, M. and Francq, C. and Hallin, M. and Jacquier, E. and Judd, K. and Koop, G. and Lütkepohl, H. and MacKinnon, J.G. and Mittnik, S. and Omori, Y. and Pollock, D.S.G. and Proietti, T. and Rombouts, J.V.K. and Scaillet, O. and Semmler, W. and So, M.K.P. and Steel, M. and Taylor, R. and Tzavalis, E. and Zakoian, J.-M. and Peter Boswijk, H. and Luati, A. and Maheu, J.},
title={CFEnetwork: The Annals of computational and financial econometrics: 2nd issue},
journal={Computational Statistics and Data Analysis},
year={2014},
volume={76},
pages={1-3},
doi={10.1016/j.csda.2014.04.006},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901451542&doi=10.1016%2fj.csda.2014.04.006&partnerID=40&md5=74f8e8ce1c760e8a1f879dfd8dce5089},
publisher={Elsevier B.V.},
}

2013

  • Liquidation equilibrium with seniority and hidden cdo

    Journal of banking and finance, vol. 37, iss. 12, pp. 5261-5274, 2013.

    By C. Gourieroux, J. C. Heam, and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20135261,
author={Gourieroux, C. and Heam, J.C. and Monfort, A.},
title={Liquidation equilibrium with seniority and hidden CDO},
journal={Journal of Banking and Finance},
year={2013},
volume={37},
number={12},
pages={5261-5274},
doi={10.1016/j.jbankfin.2013.04.016},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84886089497&doi=10.1016%2fj.jbankfin.2013.04.016&partnerID=40&md5=a455d2662f09ce950e360277779f36b5},
}

  • Linear-price term structure models

    Journal of empirical finance, vol. 24, pp. 24-41, 2013.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux201324,
author={Gourieroux, C. and Monfort, A.},
title={Linear-price term structure models},
journal={Journal of Empirical Finance},
year={2013},
volume={24},
pages={24-41},
doi={10.1016/j.jempfin.2013.07.004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883523553&doi=10.1016%2fj.jempfin.2013.07.004&partnerID=40&md5=b0356ea49f8debecd7691d0e27fb4f0a},
}

  • Allocating systemic risk in a regulatory perspective

    International journal of theoretical and applied finance, vol. 16, iss. 7, 2013.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2013,
author={Gourieroux, C. and Monfort, A.},
title={Allocating systemic risk in a regulatory perspective},
journal={International Journal of Theoretical and Applied Finance},
year={2013},
volume={16},
number={7},
doi={10.1142/S0219024913500416},
art_number={1350041},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84894115970&doi=10.1142%2fS0219024913500416&partnerID=40&md5=7457e05c1b98493400f9a7db5a40fff2},
}

  • Bayesian computation for statistical models with intractable normalizing constants

    Brazilian journal of probability and statistics, vol. 27, iss. 4, pp. 416-436, 2013.

    By Y. F. Atchadé, N. Lartillot, and C. Robert

    [DOI] [Bibtex] 

    @article{Atchadé2013416,
author={Atchadé, Y.F. and Lartillot, N. and Robert, C.},
title={Bayesian computation for statistical models with intractable normalizing constants},
journal={Brazilian Journal of Probability and Statistics},
year={2013},
volume={27},
number={4},
pages={416-436},
doi={10.1214/11-BJPS174},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84884147564&doi=10.1214%2f11-BJPS174&partnerID=40&md5=1569de8a2ccea05bcdc05c1f482f5a07},
}

  • Estimation-adjusted var

    Econometric theory, vol. 29, iss. 4, pp. 735-770, 2013.

    By C. Gourieroux and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Gourieroux2013735,
author={Gourieroux, C. and Zakoian, J.-M.},
title={Estimation-adjusted var},
journal={Econometric Theory},
year={2013},
volume={29},
number={4},
pages={735-770},
doi={10.1017/S0266466612000680},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84880857098&doi=10.1017%2fS0266466612000680&partnerID=40&md5=c5331251732ba03a591180c9bf8b02e6},
}

  • Optimal investment under multiple defaults risk: a bsde-decomposition approach

    Annals of applied probability, vol. 23, iss. 2, pp. 455-491, 2013.

    By Y. Jiao, I. Kharroubi, and H. Pham

    [DOI] [Bibtex] 

    @article{Jiao2013455,
author={Jiao, Y. and Kharroubi, I. and Pham, H.},
title={Optimal investment under multiple defaults risk: A bsde-decomposition approach},
journal={Annals of Applied Probability},
year={2013},
volume={23},
number={2},
pages={455-491},
doi={10.1214/11-AAP829},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84879741277&doi=10.1214%2f11-AAP829&partnerID=40&md5=68490eb1103a61ce5cfb256f63a838c0},
}

  • Discussion

    International statistical review, vol. 81, iss. 1, pp. 52-56, 2013.

    By C. P. Robert

    [DOI] [Bibtex] 

    @article{Robert201352,
author={Robert, C.P.},
title={Discussion},
journal={International Statistical Review},
year={2013},
volume={81},
number={1},
pages={52-56},
doi={10.1111/insr.12003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84875641170&doi=10.1111%2finsr.12003&partnerID=40&md5=5715cd3f1160f67f10a806d8e48cc08b},
}

  • A top-down approach for asset-backed securities: a consistent way of managing prepayment, default and interest rate risks

    Journal of real estate finance and economics, vol. 46, iss. 3, pp. 480-515, 2013.

    By J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Fermanian2013480,
author={Fermanian, J.-D.},
title={A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks},
journal={Journal of Real Estate Finance and Economics},
year={2013},
volume={46},
number={3},
pages={480-515},
doi={10.1007/s11146-011-9331-2},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874956562&doi=10.1007%2fs11146-011-9331-2&partnerID=40&md5=c56b3a65c78944d22f7cf74421406be6},
publisher={Kluwer Academic Publishers},
}

  • Error and inference: an outsider stand on a frequentist philosophy

    Theory and decision, vol. 74, iss. 3, pp. 447-461, 2013.

    By C. P. Robert

    [DOI] [Bibtex] 

    @article{Robert2013447,
author={Robert, C.P.},
title={Error and inference: An outsider stand on a frequentist philosophy},
journal={Theory and Decision},
year={2013},
volume={74},
number={3},
pages={447-461},
doi={10.1007/s11238-012-9298-3},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84878515324&doi=10.1007%2fs11238-012-9298-3&partnerID=40&md5=08ab07673dc56e27e877c51863b48a2d},
publisher={Kluwer Academic Publishers},
}

  • Default, liquidity, and crises: an econometric framework

    Journal of financial econometrics, vol. 11, iss. 2, pp. 221-262, 2013.

    By A. Monfort and J. -P. Renne

    [DOI] [Bibtex] 

    @article{Monfort2013221,
author={Monfort, A. and Renne, J.-P.},
title={Default, liquidity, and crises: An econometric framework},
journal={Journal of Financial Econometrics},
year={2013},
volume={11},
number={2},
pages={221-262},
doi={10.1093/jjfinec/nbs020},
art_number={nbs020},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84875255758&doi=10.1093%2fjjfinec%2fnbs020&partnerID=40&md5=15a0f8aa4ce0742ad76f2b29b8b5e3c3},
}

  • Optimal predictions of powers of conditionally heteroscedastic processes

    Journal of the royal statistical society. series b: statistical methodology, vol. 75, iss. 2, pp. 345-367, 2013.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2013345,
author={Francq, C. and Zakoian, J.-M.},
title={Optimal predictions of powers of conditionally heteroscedastic processes},
journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
year={2013},
volume={75},
number={2},
pages={345-367},
doi={10.1111/j.1467-9868.2012.01045.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84873303984&doi=10.1111%2fj.1467-9868.2012.01045.x&partnerID=40&md5=9bafacbc3f3b1884cb8d4f7f72df6f67},
}

  • No-arbitrage near-cointegrated var(p) term structure models, term premia and gdp growth

    Journal of banking and finance, vol. 37, iss. 2, pp. 389-402, 2013.

    By C. Jardet, A. Monfort, and F. Pegoraro

    [DOI] [Bibtex] 

    @article{Jardet2013389,
author={Jardet, C. and Monfort, A. and Pegoraro, F.},
title={No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth},
journal={Journal of Banking and Finance},
year={2013},
volume={37},
number={2},
pages={389-402},
doi={10.1016/j.jbankfin.2012.09.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84869871533&doi=10.1016%2fj.jbankfin.2012.09.003&partnerID=40&md5=24b51c8dc2cab95af0b842884e067521},
}

  • Estimating the marginal law of a time series with applications to heavy-tailed distributions

    Journal of business and economic statistics, vol. 31, iss. 4, pp. 412-425, 2013.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2013412,
author={Francq, C. and Zakoian, J.-M.},
title={Estimating the marginal law of a time series with applications to heavy-tailed distributions},
journal={Journal of Business and Economic Statistics},
year={2013},
volume={31},
number={4},
pages={412-425},
doi={10.1080/07350015.2013.801776},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901624855&doi=10.1080%2f07350015.2013.801776&partnerID=40&md5=83222dfc5db5d733d094bccdcd6fff51},
publisher={American Statistical Association},
}

  • Inference in nonstationary asymmetric garch models

    Annals of statistics, vol. 41, iss. 4, pp. 1970-1998, 2013.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq20131970,
author={Francq, C. and Zakoian, J.-M.},
title={Inference in nonstationary asymmetric GARCH models},
journal={Annals of Statistics},
year={2013},
volume={41},
number={4},
pages={1970-1998},
doi={10.1214/13-AOS1132},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84899888886&doi=10.1214%2f13-AOS1132&partnerID=40&md5=90a782f8e1136c16384c3436040ea950},
publisher={Institute of Mathematical Statistics},
}

  • Garch models without positivity constraints: exponential or log garch?

    Journal of econometrics, vol. 177, iss. 1, pp. 34-46, 2013.

    By C. Francq, O. Wintenberger, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq201334,
author={Francq, C. and Wintenberger, O. and Zakoian, J.-M.},
title={GARCH models without positivity constraints: Exponential or log GARCH?},
journal={Journal of Econometrics},
year={2013},
volume={177},
number={1},
pages={34-46},
doi={10.1016/j.jeconom.2013.05.004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883460405&doi=10.1016%2fj.jeconom.2013.05.004&partnerID=40&md5=8b0aa2c212edb9ba90c588ba223c16fd},
publisher={Elsevier Ltd},
}

  • Optimal high-frequency trading with limit and market orders

    Quantitative finance, vol. 13, iss. 1, pp. 79-94, 2013.

    By F. Guilbaud and H. Pham

    [DOI] [Bibtex] 

    @article{Guilbaud201379,
author={Guilbaud, F. and Pham, H.},
title={Optimal high-frequency trading with limit and market orders},
journal={Quantitative Finance},
year={2013},
volume={13},
number={1},
pages={79-94},
doi={10.1080/14697688.2012.708779},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871320328&doi=10.1080%2f14697688.2012.708779&partnerID=40&md5=8564e91f4b78bd5cdc770a50ecb0cf0a},
}

2012

  • Snell envelope with small probability criteria

    Applied mathematics and optimization, vol. 66, iss. 3, pp. 309-330, 2012.

    By P. D. Moral, P. Hu, and N. Oudjane

    [DOI] [Bibtex] 

    @article{Moral2012309,
author={Moral, P.D. and Hu, P. and Oudjane, N.},
title={Snell envelope with small probability criteria},
journal={Applied Mathematics and Optimization},
year={2012},
volume={66},
number={3},
pages={309-330},
doi={10.1007/s00245-012-9173-1},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84872706399&doi=10.1007%2fs00245-012-9173-1&partnerID=40&md5=19823cf5e85582dddb68c4416823890d},
}

  • Adaptive multiple importance sampling

    Scandinavian journal of statistics, vol. 39, iss. 4, pp. 798-812, 2012.

    By J. -M. Cornuet, J. -M. Marin, A. Mira, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Cornuet2012798,
author={Cornuet, J.-M. and Marin, J.-M. and Mira, A. and Robert, C.P.},
title={Adaptive Multiple Importance Sampling},
journal={Scandinavian Journal of Statistics},
year={2012},
volume={39},
number={4},
pages={798-812},
doi={10.1111/j.1467-9469.2011.00756.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84865840917&doi=10.1111%2fj.1467-9469.2011.00756.x&partnerID=40&md5=62e921e8fd01200610cfe17d84cdca9c},
}

  • Issues in designing hybrid algorithms

    Case studies in bayesian statistical modelling and analysis, , pp. 403-420, 2012.

    By J. E. Lee, K. L. Mengersen, and C. P. Robert

    [DOI] [Bibtex] 

    @book{Lee2012403,
author={Lee, J.E. and Mengersen, K.L. and Robert, C.P.},
title={Issues in Designing Hybrid Algorithms},
journal={Case Studies in Bayesian Statistical Modelling and Analysis},
year={2012},
pages={403-420},
doi={10.1002/9781118394472.ch24},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84949757833&doi=10.1002%2f9781118394472.ch24&partnerID=40&md5=09547d708c4d53dbf51f61e7f38beb04},
publisher={wiley},
}

  • Bilateral exposures and systemic solvency risk

    Canadian journal of economics, vol. 45, iss. 4, pp. 1273-1309, 2012.

    By C. Gouriéroux, J. -C. Héam, and A. Monfort

    [DOI] [Bibtex] 

    @article{Gouriéroux20121273,
author={Gouriéroux, C. and Héam, J.-C. and Monfort, A.},
title={Bilateral exposures and systemic solvency risk},
journal={Canadian Journal of Economics},
year={2012},
volume={45},
number={4},
pages={1273-1309},
doi={10.1111/j.1540-5982.2012.01750.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874746866&doi=10.1111%2fj.1540-5982.2012.01750.x&partnerID=40&md5=022cdb902fd0990deabf57622b1e6494},
}

  • Approximate bayesian computational methods

    Statistics and computing, vol. 22, iss. 6, pp. 1167-1180, 2012.

    By J. -M. Marin, P. Pudlo, C. P. Robert, and R. J. Ryder

    [DOI] [Bibtex] 

    @article{Marin20121167,
author={Marin, J.-M. and Pudlo, P. and Robert, C.P. and Ryder, R.J.},
title={Approximate Bayesian computational methods},
journal={Statistics and Computing},
year={2012},
volume={22},
number={6},
pages={1167-1180},
doi={10.1007/s11222-011-9288-2},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84861108073&doi=10.1007%2fs11222-011-9288-2&partnerID=40&md5=d7452680ff97ed7d2f3037108fffb09d},
}

  • Joint econometric modeling of spot electricity prices, forwards and options

    Review of derivatives research, vol. 15, iss. 3, pp. 217-256, 2012.

    By A. Monfort and O. Féron

    [DOI] [Bibtex] 

    @article{Monfort2012217,
author={Monfort, A. and Féron, O.},
title={Joint econometric modeling of spot electricity prices, forwards and options},
journal={Review of Derivatives Research},
year={2012},
volume={15},
number={3},
pages={217-256},
doi={10.1007/s11147-012-9075-z},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84866441766&doi=10.1007%2fs11147-012-9075-z&partnerID=40&md5=88e77488e8b6d93d8e28191b25583842},
}

  • Estimation of demo-genetic model probabilities with approximate bayesian computation using linear discriminant analysis on summary statistics

    Molecular ecology resources, vol. 12, iss. 5, pp. 846-855, 2012.

    By A. Estoup, E. Lombaert, J. -M. Marin, T. Guillemaud, P. Pudlo, C. P. Robert, and J. -M. Cornuet

    [DOI] [Bibtex] 

    @article{Estoup2012846,
author={Estoup, A. and Lombaert, E. and Marin, J.-M. and Guillemaud, T. and Pudlo, P. and Robert, C.P. and Cornuet, J.-M.},
title={Estimation of demo-genetic model probabilities with Approximate Bayesian Computation using linear discriminant analysis on summary statistics},
journal={Molecular Ecology Resources},
year={2012},
volume={12},
number={5},
pages={846-855},
doi={10.1111/j.1755-0998.2012.03153.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84865301018&doi=10.1111%2fj.1755-0998.2012.03153.x&partnerID=40&md5=15e14a1098431104fa64e2119e6dcf3e},
}

  • Time-dependent copulas

    Journal of multivariate analysis, vol. 110, pp. 19-29, 2012.

    By J. -D. Fermanian and M. H. Wegkamp

    [DOI] [Bibtex] 

    @article{Fermanian201219,
author={Fermanian, J.-D. and Wegkamp, M.H.},
title={Time-dependent copulas},
journal={Journal of Multivariate Analysis},
year={2012},
volume={110},
pages={19-29},
doi={10.1016/j.jmva.2012.02.018},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862000228&doi=10.1016%2fj.jmva.2012.02.018&partnerID=40&md5=2b196ecc700bbf80c85802e389a6fea9},
}

  • Reducing the risk of vwap orders execution: a new approach to modelling intra-day volume

    Jassa, vol. 3, iss. 1, pp. 12-18, 2012.

    By J. Bialkowski, S. Darolles, and G. Le Fol

    [Bibtex] 

    @article{Bialkowski201212,
author={Bialkowski, J. and Darolles, S. and Le Fol, G.},
title={Reducing The risk Of Vwap orders execution: A new approach to modelling intra-day volume},
journal={JASSA},
year={2012},
volume={3},
number={1},
pages={12-18},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84864830848&partnerID=40&md5=1190657ae7b0e61fadb7f27f18863e90},
}

  • Discrete-time approximation of multidimensional bsdes with oblique reflections

    Annals of applied probability, vol. 22, iss. 3, pp. 971-1007, 2012.

    By J. -F. Chassagneux, R. Elie, and I. Kharroubi

    [DOI] [Bibtex] 

    @article{Chassagneux2012971,
author={Chassagneux, J.-F. and Elie, R. and Kharroubi, I.},
title={Discrete-time approximation of multidimensional bsdes with oblique reflections},
journal={Annals of Applied Probability},
year={2012},
volume={22},
number={3},
pages={971-1007},
doi={10.1214/11-AAP771},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84879654603&doi=10.1214%2f11-AAP771&partnerID=40&md5=3946d48c46a61249b7c0c0194867171d},
}

  • Asset pricing with second-order esscher transforms

    Journal of banking and finance, vol. 36, iss. 6, pp. 1678-1687, 2012.

    By A. Monfort and F. Pegoraro

    [DOI] [Bibtex] 

    @article{Monfort20121678,
author={Monfort, A. and Pegoraro, F.},
title={Asset pricing with Second-Order Esscher Transforms},
journal={Journal of Banking and Finance},
year={2012},
volume={36},
number={6},
pages={1678-1687},
doi={10.1016/j.jbankfin.2012.01.014},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859636881&doi=10.1016%2fj.jbankfin.2012.01.014&partnerID=40&md5=cb2e55c1f285c01cacd4790ee6d50811},
}

  • Time discretization and quantization methods for optimal multiple switching problem

    Stochastic processes and their applications, vol. 122, iss. 5, pp. 2019-2052, 2012.

    By P. Gassiat, I. Kharroubi, and H. Pham

    [DOI] [Bibtex] 

    @article{Gassiat20122019,
author={Gassiat, P. and Kharroubi, I. and Pham, H.},
title={Time discretization and quantization methods for optimal multiple switching problem},
journal={Stochastic Processes and their Applications},
year={2012},
volume={122},
number={5},
pages={2019-2052},
doi={10.1016/j.spa.2012.02.008},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859802688&doi=10.1016%2fj.spa.2012.02.008&partnerID=40&md5=808b35fac6066baa99d0e5f52664537e},
}

  • Granularity adjustment for default risk factor model with cohorts

    Journal of banking and finance, vol. 36, iss. 5, pp. 1464-1477, 2012.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex] 

    @article{Gourieroux20121464,
author={Gourieroux, C. and Jasiak, J.},
title={Granularity adjustment for default risk factor model with cohorts},
journal={Journal of Banking and Finance},
year={2012},
volume={36},
number={5},
pages={1464-1477},
doi={10.1016/j.jbankfin.2011.12.013},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84858284581&doi=10.1016%2fj.jbankfin.2011.12.013&partnerID=40&md5=6c71ce91b07878e7bc2ba72d1eaa0323},
}

  • A note on utility based pricing and asymptotic risk diversification

    Mathematics and financial economics, vol. 6, iss. 1, pp. 59-74, 2012.

    By B. Bouchard, R. Elie, and L. Moreau

    [DOI] [Bibtex] 

    @article{Bouchard201259,
author={Bouchard, B. and Elie, R. and Moreau, L.},
title={A note on utility based pricing and asymptotic risk diversification},
journal={Mathematics and Financial Economics},
year={2012},
volume={6},
number={1},
pages={59-74},
doi={10.1007/s11579-011-0055-0},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860765401&doi=10.1007%2fs11579-011-0055-0&partnerID=40&md5=e7eb206b3f20ba8db16e7b2a9de6d60f},
}

  • Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models

    Econometrica, vol. 80, iss. 2, pp. 821-861, 2012.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2012821,
author={Francq, C. and Zakoian, J.-M.},
title={Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models},
journal={Econometrica},
year={2012},
volume={80},
number={2},
pages={821-861},
doi={10.3982/ECTA9405},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84858599878&doi=10.3982%2fECTA9405&partnerID=40&md5=bd3c453094b5230e1687f09f947e7ee0},
}

  • Qml estimation of a class of multivariate asymmetric garch models

    Econometric theory, vol. 28, iss. 1, pp. 179-206, 2012.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2012179,
author={Francq, C. and Zakoian, J.-M.},
title={QML estimation of a class of multivariate asymmetric GARCH models},
journal={Econometric Theory},
year={2012},
volume={28},
number={1},
pages={179-206},
doi={10.1017/S0266466611000156},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84857335523&doi=10.1017%2fS0266466611000156&partnerID=40&md5=6cc87e92302bf6597e03e8d56653d47a},
}

  • Computing and estimating information matrices of weak arma models

    Computational statistics and data analysis, vol. 56, iss. 2, pp. 345-361, 2012.

    By Y. Boubacar Mainassara, M. Carbon, and C. Francq

    [DOI] [Bibtex] 

    @article{BoubacarMainassara2012345,
author={Boubacar Mainassara, Y. and Carbon, M. and Francq, C.},
title={Computing and estimating information matrices of weak ARMA models},
journal={Computational Statistics and Data Analysis},
year={2012},
volume={56},
number={2},
pages={345-361},
doi={10.1016/j.csda.2011.07.006},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053238453&doi=10.1016%2fj.csda.2011.07.006&partnerID=40&md5=17e7ba584a2ee34cdf3271ba13e2adc4},
publisher={Elsevier B.V.},
}

  • Volatility and covariation estimation when microstructure noise and trading times are endogenous

    Mathematical finance, vol. 22, iss. 1, pp. 133-164, 2012.

    By C. Y. Robert and M. Rosenbaum

    [DOI] [Bibtex] 

    @article{Robert2012133,
author={Robert, C.Y. and Rosenbaum, M.},
title={Volatility and covariation estimation when microstructure noise and trading times are endogenous},
journal={Mathematical Finance},
year={2012},
volume={22},
number={1},
pages={133-164},
doi={10.1111/j.1467-9965.2010.00454.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84856028776&doi=10.1111%2fj.1467-9965.2010.00454.x&partnerID=40&md5=91b850cda5ff28672979ebf28064307d},
}

  • Microinformation, nonlinear filtering, and granularity

    Journal of financial econometrics, vol. 10, iss. 1, pp. 1-53, 2012.

    By P. Gagliardini, C. Gouriéroux, and A. Monfort

    [DOI] [Bibtex] 

    @article{Gagliardini20121,
author={Gagliardini, P. and Gouriéroux, C. and Monfort, A.},
title={Microinformation, nonlinear filtering, and granularity},
journal={Journal of Financial Econometrics},
year={2012},
volume={10},
number={1},
pages={1-53},
doi={10.1093/jjfinec/nbr010},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84855407558&doi=10.1093%2fjjfinec%2fnbr010&partnerID=40&md5=f42ab724122e9f76025dd47b0c30e14d},
}

2011

  • A finite-dimensional approximation for pricing moving average options

    Siam journal on financial mathematics, vol. 2, iss. 1, pp. 989-1013, 2011.

    By M. Bernhart, P. Tankov, and X. Warin

    [DOI] [Bibtex] 

    @article{Bernhart2011989,
author={Bernhart, M. and Tankov, P. and Warin, X.},
title={A finite-dimensional approximation for pricing moving average options},
journal={SIAM Journal on Financial Mathematics},
year={2011},
volume={2},
number={1},
pages={989-1013},
doi={10.1137/100815566},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871069787&doi=10.1137%2f100815566&partnerID=40&md5=ce1f17736b5e33294f0f39f2fc1ce55b},
}

  • On the robustness of the snell envelope

    Siam journal on financial mathematics, vol. 2, iss. 1, pp. 587-626, 2011.

    By P. D. Moral, P. Hu, N. Oudjane, and B. Rémillard

    [DOI] [Bibtex] 

    @article{Moral2011587,
author={Moral, P.D. and Hu, P. and Oudjane, N. and Rémillard, B.},
title={On the robustness of the snell envelope},
journal={SIAM Journal on Financial Mathematics},
year={2011},
volume={2},
number={1},
pages={587-626},
doi={10.1137/100798016},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871066455&doi=10.1137%2f100798016&partnerID=40&md5=8390d937a822c0d2fa01ed177aa226c8},
}

  • Asymptotic properties of weighted least squares estimation in weak parma models

    Journal of time series analysis, vol. 32, iss. 6, pp. 699-723, 2011.

    By C. Francq, R. Roy, and A. Saidi

    [DOI] [Bibtex] 

    @article{Francq2011699,
author={Francq, C. and Roy, R. and Saidi, A.},
title={Asymptotic properties of weighted least squares estimation in weak PARMA models},
journal={Journal of Time Series Analysis},
year={2011},
volume={32},
number={6},
pages={699-723},
doi={10.1111/j.1467-9892.2011.00728.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053927899&doi=10.1111%2fj.1467-9892.2011.00728.x&partnerID=40&md5=496cf0b44d7a68783fa01a3e828e6b3a},
}

  • Using parallel computation to improve independent metropolis-hastings based estimation

    Journal of computational and graphical statistics, vol. 20, iss. 3, pp. 616-635, 2011.

    By P. Jacob, C. P. Robert, and M. H. Smith

    [DOI] [Bibtex] 

    @article{Jacob2011616,
author={Jacob, P. and Robert, C.P. and Smith, M.H.},
title={Using parallel computation to improve independent Metropolis-Hastings based estimation},
journal={Journal of Computational and Graphical Statistics},
year={2011},
volume={20},
number={3},
pages={616-635},
doi={10.1198/jcgs.2011.10167},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053364902&doi=10.1198%2fjcgs.2011.10167&partnerID=40&md5=842851dad23db14164e0b1c1ac4542d8},
}

  • Merits and drawbacks of variance targeting in garch models

    Journal of financial econometrics, vol. 9, iss. 4, pp. 619-656, 2011.

    By C. Francq, L. Horváth, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2011619,
author={Francq, C. and Horváth, L. and Zakoian, J.-M.},
title={Merits and drawbacks of variance targeting in GARCH models},
journal={Journal of Financial Econometrics},
year={2011},
volume={9},
number={4},
pages={619-656},
doi={10.1093/jjfinec/nbr004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053192102&doi=10.1093%2fjjfinec%2fnbr004&partnerID=40&md5=3397fbfa50ac0f898dc6754378ff5637},
}

  • Bayesian inference and computation

    Handbook of statistical systems biology, , pp. 39-65, 2011.

    By C. P. Robert, J. Marin, and J. Rousseau

    [DOI] [Bibtex] 

    @book{Robert201139,
author={Robert, C.P. and Marin, J. and Rousseau, J.},
title={Bayesian Inference and Computation},
journal={Handbook of Statistical Systems Biology},
year={2011},
pages={39-65},
doi={10.1002/9781119970606.ch3},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84888670971&doi=10.1002%2f9781119970606.ch3&partnerID=40&md5=1eeb199f66e560d406ecb51abd0cee5d},
publisher={John Wiley and Sons},
}

  • Buyer power and intrabrand coordination

    Journal of the european economic association, vol. 9, iss. 4, pp. 721-741, 2011.

    By J. Miklós-Thal, P. Rey, and T. Verge

    [DOI] [Bibtex] 

    @article{Miklós-Thal2011721,
author={Miklós-Thal, J. and Rey, P. and Verge, T.},
title={Buyer power and intrabrand coordination},
journal={Journal of the European Economic Association},
year={2011},
volume={9},
number={4},
pages={721-741},
doi={10.1111/j.1542-4774.2011.01019.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79960046194&doi=10.1111%2fj.1542-4774.2011.01019.x&partnerID=40&md5=68b17e12248a47f03c2898aa0c6d1875},
}

  • Fourth order pseudo maximum likelihood methods

    Journal of econometrics, vol. 162, iss. 2, pp. 278-293, 2011.

    By A. Holly, A. Monfort, and M. Rockinger

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    @article{Holly2011278,
author={Holly, A. and Monfort, A. and Rockinger, M.},
title={Fourth order pseudo maximum likelihood methods},
journal={Journal of Econometrics},
year={2011},
volume={162},
number={2},
pages={278-293},
doi={10.1016/j.jeconom.2011.01.004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79955072472&doi=10.1016%2fj.jeconom.2011.01.004&partnerID=40&md5=a0301cdef77c05af178b5854e8cce7bf},
}

  • Domain restrictions on interest rates implied by no arbitrage

    Mathematical finance, vol. 21, iss. 2, pp. 281-291, 2011.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2011281,
author={Gourieroux, C. and Monfort, A.},
title={Domain Restrictions On Interest Rates Implied By No Arbitrage},
journal={Mathematical Finance},
year={2011},
volume={21},
number={2},
pages={281-291},
doi={10.1111/j.1467-9965.2010.00429.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79851479819&doi=10.1111%2fj.1467-9965.2010.00429.x&partnerID=40&md5=afb2ffc5120593c972007f35f3eef4c7},
}

  • The model with uncertainty zones for ultra high frequency prices and durations: applications to statistical estimation and mathematical finance

    New economic windows, vol. 9, pp. 203-224, 2011.

    By C. Y. Robert and M. Rosenbaum

    [DOI] [Bibtex] 

    @article{Robert2011203,
author={Robert, C.Y. and Rosenbaum, M.},
title={The model with uncertainty zones for ultra high frequency prices and durations: Applications to statistical estimation and mathematical finance},
journal={New Economic Windows},
year={2011},
volume={9},
pages={203-224},
doi={10.1007/978-88-470-1766-5_14},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874562946&doi=10.1007%2f978-88-470-1766-5_14&partnerID=40&md5=25e34e3aa362057c4e786b303b84ec5e},
publisher={Springer-Verlag Italia s.r.l.},
}

  • Discussion of “is bayes posterior just quick and dirty confidence?” by d. a. s. fraser

    Statistical science, vol. 26, iss. 3, pp. 317-318, 2011.

    By C. P. Robert

    [DOI] [Bibtex] 

    @article{Robert2011317,
author={Robert, C.P.},
title={Discussion of "is bayes posterior just quick and dirty confidence?" by D. A. S. Fraser},
journal={Statistical Science},
year={2011},
volume={26},
number={3},
pages={317-318},
doi={10.1214/11-STS352B},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-82655179895&doi=10.1214%2f11-STS352B&partnerID=40&md5=7bf9b23de4f686667910aba572eeab00},
}

  • Improving the convergence properties of the data augmentation algorithm with an application to bayesian mixture modeling

    Statistical science, vol. 26, iss. 3, pp. 332-351, 2011.

    By J. P. Hobert, V. Roy, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Hobert2011332,
author={Hobert, J.P. and Roy, V. and Robert, C.P.},
title={Improving the convergence properties of the data augmentation algorithm with an application to Bayesian mixture modeling},
journal={Statistical Science},
year={2011},
volume={26},
number={3},
pages={332-351},
doi={10.1214/11-STS365},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-82655175464&doi=10.1214%2f11-STS365&partnerID=40&md5=ba34e1433c37edbbfb5e1716e12356e1},
}

  • Two-stage non gaussian qml estimation of garch models and testing the efficiency of the gaussian qmle

    Journal of econometrics, vol. 165, iss. 2, pp. 246-257, 2011.

    By C. Francq, G. Lepage, and J. -M. Zakoan

    [DOI] [Bibtex] 

    @article{Francq2011246,
author={Francq, C. and Lepage, G. and Zakoan, J.-M.},
title={Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE},
journal={Journal of Econometrics},
year={2011},
volume={165},
number={2},
pages={246-257},
doi={10.1016/j.jeconom.2011.08.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80054701924&doi=10.1016%2fj.jeconom.2011.08.001&partnerID=40&md5=01e040097824302f9891ace1151486bc},
publisher={Elsevier Ltd},
}

  • A new approach for the dynamics of ultra-high-frequency data: the model with uncertainty zones

    Journal of financial econometrics, vol. 9, iss. 2, pp. 344-366, 2011.

    By C. Y. Robert and M. Rosenbaum

    [DOI] [Bibtex] 

    @article{Robert2011344,
author={Robert, C.Y. and Rosenbaum, M.},
title={A new approach for the dynamics of ultra-high-frequency data: The model with uncertainty zones},
journal={Journal of Financial Econometrics},
year={2011},
volume={9},
number={2},
pages={344-366},
doi={10.1093/jjfinec/nbq023},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79954611545&doi=10.1093%2fjjfinec%2fnbq023&partnerID=40&md5=36c1a82de041cecdb715c43c2be2c614},
publisher={Oxford University Press},
}

  • Reading keynes’ treatise on probability

    International statistical review, vol. 79, iss. 1, pp. 1-15, 2011.

    By C. P. Robert

    [DOI] [Bibtex] 

    @article{Robert20111,
author={Robert, C.P.},
title={Reading Keynes' Treatise on Probability},
journal={International Statistical Review},
year={2011},
volume={79},
number={1},
pages={1-15},
doi={10.1111/j.1751-5823.2010.00129.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79953266961&doi=10.1111%2fj.1751-5823.2010.00129.x&partnerID=40&md5=e3e69bcc852086c40c22ec1988fd002e},
publisher={International Statistical Institute},
}

  • A note on existence and uniqueness for solutions of multidimensional reflected bsdes

    Electronic communications in probability, vol. 16, pp. 120-128, 2011.

    By J. F. Chassagneux, R. Elie, and I. Kharroubi

    [DOI] [Bibtex] 

    @article{Chassagneux2011120,
author={Chassagneux, J.F. and Elie, R. and Kharroubi, I.},
title={A note on existence and uniqueness for solutions of multidimensional reflected BSDES},
journal={Electronic Communications in Probability},
year={2011},
volume={16},
pages={120-128},
doi={10.1214/ECP.v16-1614},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79952833075&doi=10.1214%2fECP.v16-1614&partnerID=40&md5=adeb3988d9de6c5f59affac48b0e34cf},
}

  • Optimal consumption policies in illiquid markets

    Finance and stochastics, vol. 15, iss. 1, pp. 85-115, 2011.

    By A. Cretarola, F. Gozzi, H. Pham, and P. Tankov

    [DOI] [Bibtex] 

    @article{Cretarola201185,
author={Cretarola, A. and Gozzi, F. and Pham, H. and Tankov, P.},
title={Optimal consumption policies in illiquid markets},
journal={Finance and Stochastics},
year={2011},
volume={15},
number={1},
pages={85-115},
doi={10.1007/s00780-010-0123-y},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651447545&doi=10.1007%2fs00780-010-0123-y&partnerID=40&md5=d33a1f2b00fa395e5f42d2e2ba30be4e},
publisher={Springer Verlag},
}

  • Bilinear term structure model

    Mathematical finance, vol. 21, iss. 1, pp. 1-19, 2011.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20111,
author={Gourieroux, C. and Monfort, A.},
title={Bilinear term structure model},
journal={Mathematical Finance},
year={2011},
volume={21},
number={1},
pages={1-19},
doi={10.1111/j.1467-9965.2010.00424.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78650116712&doi=10.1111%2fj.1467-9965.2010.00424.x&partnerID=40&md5=ced5c242c2cd906f82f820d655a1ffef},
}

2010

  • Optimal portfolio liquidation with execution cost and risk

    Siam journal on financial mathematics, vol. 1, iss. 1, pp. 897-931, 2010.

    By I. Kharroubi and H. Pham

    [DOI] [Bibtex] 

    @article{Kharroubi2010897,
author={Kharroubi, I. and Pham, H.},
title={Optimal portfolio liquidation with execution cost and risk},
journal={SIAM Journal on Financial Mathematics},
year={2010},
volume={1},
number={1},
pages={897-931},
doi={10.1137/09076372X},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871083451&doi=10.1137%2f09076372X&partnerID=40&md5=be79160b623902b2df0c7fb9d758e1bb},
}

  • On the microstructural hedging error

    Siam journal on financial mathematics, vol. 1, iss. 1, pp. 427-453, 2010.

    By C. Y. Robert and M. Rosenbaum

    [DOI] [Bibtex] 

    @article{Robert2010427,
author={Robert, C.Y. and Rosenbaum, M.},
title={On the microstructural hedging error},
journal={SIAM Journal on Financial Mathematics},
year={2010},
volume={1},
number={1},
pages={427-453},
doi={10.1137/090764578},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79954607942&doi=10.1137%2f090764578&partnerID=40&md5=a4719972bad1f02d8e61ceec43abcf73},
}

  • Combining nonparametric and optimal linear time series predictions

    Journal of the american statistical association, vol. 105, iss. 492, pp. 1554-1565, 2010.

    By S. Dabo-Niang, C. Francq, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Dabo-Niang20101554,
author={Dabo-Niang, S. and Francq, C. and Zakoian, J.-M.},
title={Combining nonparametric and optimal linear time series predictions},
journal={Journal of the American Statistical Association},
year={2010},
volume={105},
number={492},
pages={1554-1565},
doi={10.1198/jasa.2010.tm09549},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651311765&doi=10.1198%2fjasa.2010.tm09549&partnerID=40&md5=8a270f33c2d3bdfbfd4b6614eed50b3c},
}

  • Resale price maintenance and interlocking relationships

    Journal of industrial economics, vol. 58, iss. 4, pp. 928-961, 2010.

    By P. Rey and T. Verge

    [DOI] [Bibtex] 

    @article{Rey2010928,
author={Rey, P. and Verge, T.},
title={Resale price maintenance and interlocking relationships},
journal={Journal of Industrial Economics},
year={2010},
volume={58},
number={4},
pages={928-961},
doi={10.1111/j.1467-6451.2010.00439.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78650545201&doi=10.1111%2fj.1467-6451.2010.00439.x&partnerID=40&md5=ed5f81fcae599944f0f68de5faf5d44c},
}

  • International money and stock market contingent claims

    Journal of international money and finance, vol. 29, iss. 8, pp. 1727-1751, 2010.

    By C. Gourieroux, A. Monfort, and R. Sufana

    [DOI] [Bibtex] 

    @article{Gourieroux20101727,
author={Gourieroux, C. and Monfort, A. and Sufana, R.},
title={International money and stock market contingent claims},
journal={Journal of International Money and Finance},
year={2010},
volume={29},
number={8},
pages={1727-1751},
doi={10.1016/j.jimonfin.2010.06.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78149470599&doi=10.1016%2fj.jimonfin.2010.06.001&partnerID=40&md5=a46527c1997904d4f4bcd7b6a50e2168},
}

  • Sup-tests for linearity in a general nonlinear ar(1) model

    Econometric theory, vol. 26, iss. 4, pp. 965-993, 2010.

    By C. Francq, L. Horvath, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2010965,
author={Francq, C. and Horvath, L. and Zakoian, J.-M.},
title={Sup-tests for linearity in a general nonlinear AR(1) model},
journal={Econometric Theory},
year={2010},
volume={26},
number={4},
pages={965-993},
doi={10.1017/S0266466609990430},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77957283222&doi=10.1017%2fS0266466609990430&partnerID=40&md5=3e60a015551f06d06bc511f58705bc61},
}

  • Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management

    Stochastic processes and their applications, vol. 120, iss. 9, pp. 1795-1820, 2010.

    By H. Pham

    [DOI] [Bibtex] 

    @article{Pham20101795,
author={Pham, H.},
title={Stochastic control under progressive enlargement of filtrations and applications to multiple defaults risk management},
journal={Stochastic Processes and their Applications},
year={2010},
volume={120},
number={9},
pages={1795-1820},
doi={10.1016/j.spa.2010.05.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955426527&doi=10.1016%2fj.spa.2010.05.003&partnerID=40&md5=70f7d67a383b65a80474a9d7fa34f011},
}

  • Garch models: structure, statistical inference and financial applications

    Garch models: structure, statistical inference and financial applications, , 2010.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @book{Francq2010,
author={Francq, C. and Zakoian, J.-M.},
title={GARCH Models: Structure, Statistical Inference and Financial Applications},
journal={GARCH Models: Structure, Statistical Inference and Financial Applications},
year={2010},
page_count={489},
doi={10.1002/9780470670057},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84891583720&doi=10.1002%2f9780470670057&partnerID=40&md5=1cda1ba18505c20762a76ca00db3d950},
publisher={John Wiley and Sons},
}

  • Derivative pricing with wishart multivariate stochastic volatility

    Journal of business and economic statistics, vol. 28, iss. 3, pp. 438-451, 2010.

    By C. Gourieroux and R. Sufana

    [DOI] [Bibtex] 

    @article{Gourieroux2010438,
author={Gourieroux, C. and Sufana, R.},
title={Derivative pricing with wishart multivariate stochastic volatility},
journal={Journal of Business and Economic Statistics},
year={2010},
volume={28},
number={3},
pages={438-451},
doi={10.1198/jbes.2009.08105},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78649406765&doi=10.1198%2fjbes.2009.08105&partnerID=40&md5=9b92bed4862305dd376c01fab9acbbc6},
}

  • Vertical relations

    International journal of industrial organization, vol. 28, iss. 4, pp. 345-349, 2010.

    By J. Miklós-Thal, P. Rey, and T. Verge

    [DOI] [Bibtex] 

    @article{Miklós-Thal2010345,
author={Miklós-Thal, J. and Rey, P. and Verge, T.},
title={Vertical relations},
journal={International Journal of Industrial Organization},
year={2010},
volume={28},
number={4},
pages={345-349},
doi={10.1016/j.ijindorg.2010.02.007},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955663783&doi=10.1016%2fj.ijindorg.2010.02.007&partnerID=40&md5=e18583ea8b2cf584a955d611f1ea8220},
}

  • Conditionally fitted sharpe performance with an application to hedge fund rating

    Journal of banking and finance, vol. 34, iss. 3, pp. 578-593, 2010.

    By S. Darolles and C. Gourieroux

    [DOI] [Bibtex] 

    @article{Darolles2010578,
author={Darolles, S. and Gourieroux, C.},
title={Conditionally fitted Sharpe performance with an application to hedge fund rating},
journal={Journal of Banking and Finance},
year={2010},
volume={34},
number={3},
pages={578-593},
doi={10.1016/j.jbankfin.2009.08.025},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-74149085975&doi=10.1016%2fj.jbankfin.2009.08.025&partnerID=40&md5=70305da2f0efd1c5bcd819d50a19af64},
}

  • On variance stabilisation in population monte carlo by double rao-blackwellisation

    Computational statistics and data analysis, vol. 54, iss. 3, pp. 698-710, 2010.

    By A. Iacobucci, J. -M. Marin, and C. Robert

    [DOI] [Bibtex] 

    @article{Iacobucci2010698,
author={Iacobucci, A. and Marin, J.-M. and Robert, C.},
title={On variance stabilisation in Population Monte Carlo by double Rao-Blackwellisation},
journal={Computational Statistics and Data Analysis},
year={2010},
volume={54},
number={3},
pages={698-710},
doi={10.1016/j.csda.2008.09.020},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70549093610&doi=10.1016%2fj.csda.2008.09.020&partnerID=40&md5=12e965072e1880afa6cfdb47b29ca780},
publisher={Elsevier},
}

  • Asymptotic normality of frequency polygons for random fields

    Journal of statistical planning and inference, vol. 140, iss. 2, pp. 502-514, 2010.

    By M. Carbon, C. Francq, and L. Tat Tran

    [DOI] [Bibtex] 

    @article{Carbon2010502,
author={Carbon, M. and Francq, C. and Tat Tran, L.},
title={Asymptotic normality of frequency polygons for random fields},
journal={Journal of Statistical Planning and Inference},
year={2010},
volume={140},
number={2},
pages={502-514},
doi={10.1016/j.jspi.2009.07.028},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350621611&doi=10.1016%2fj.jspi.2009.07.028&partnerID=40&md5=c6f396a0e8c1d5ab758be9fdae4693dd},
}

  • Model choice versus model criticism

    Proceedings of the national academy of sciences of the united states of america, vol. 107, iss. 3, p. E5, 2010.

    By C. P. Robert, K. Mengersen, and C. Chen

    [DOI] [Bibtex] 

    @article{Robert2010,
author={Robert, C.P. and Mengersen, K. and Chen, C.},
title={Model choice versus model criticism},
journal={Proceedings of the National Academy of Sciences of the United States of America},
year={2010},
volume={107},
number={3},
pages={E5},
doi={10.1073/pnas.0911260107},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-75749126209&doi=10.1073%2fpnas.0911260107&partnerID=40&md5=abe0343b838d3ec7d7d5c43dbbf83ad4},
publisher={National Academy of Sciences},
}

  • Nonlinear persistence and copersistence

    Nonlinear financial econometrics: markov switching models, persistence and nonlinear cointegration, , pp. 77-103, 2010.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex] 

    @book{Gourieroux201077,
author={Gourieroux, C. and Jasiak, J.},
title={Nonlinear persistence and copersistence},
journal={Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration},
year={2010},
pages={77-103},
doi={10.1057/9780230295216_4},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85016734838&doi=10.1057%2f9780230295216_4&partnerID=40&md5=94aa4b7d0e20e214b7b219ce7c9663d1},
publisher={Palgrave Macmillan},
}

  • Testing the type of a semi-martingale: itō against multifractal

    Electronic journal of statistics, vol. 4, pp. 1300-1323, 2010.

    By L. Duvernet, C. Y. Robert, and M. Rosenbaum

    [DOI] [Bibtex] 

    @article{Duvernet20101300,
author={Duvernet, L. and Robert, C.Y. and Rosenbaum, M.},
title={Testing the type of a semi-martingale: Itō against multifractal},
journal={Electronic Journal of Statistics},
year={2010},
volume={4},
pages={1300-1323},
doi={10.1214/10-EJS585},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84856222536&doi=10.1214%2f10-EJS585&partnerID=40&md5=b4b3905e0a747f0785c953067ebbd1e3},
}

  • On resolving the savage–dickey paradox

    Electronic journal of statistics, vol. 4, pp. 643-654, 2010.

    By J. -M. Marin and C. P. Robert

    [DOI] [Bibtex] 

    @article{Marin2010643,
author={Marin, J.-M. and Robert, C.P.},
title={On resolving the savage–dickey paradox},
journal={Electronic Journal of Statistics},
year={2010},
volume={4},
pages={643-654},
doi={10.1214/10-EJS564},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80051720276&doi=10.1214%2f10-EJS564&partnerID=40&md5=b9652f6a02adc553aaea9c5ff715aba0},
}

  • On the limiting spectral distribution of the covariance matrices of time-lagged processes

    Journal of multivariate analysis, vol. 101, iss. 10, pp. 2434-2451, 2010.

    By C. Y. Robert and M. Rosenbaum

    [DOI] [Bibtex] 

    @article{Robert20102434,
author={Robert, C.Y. and Rosenbaum, M.},
title={On the limiting spectral distribution of the covariance matrices of time-lagged processes},
journal={Journal of Multivariate Analysis},
year={2010},
volume={101},
number={10},
pages={2434-2451},
doi={10.1016/j.jmva.2010.06.014},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956735817&doi=10.1016%2fj.jmva.2010.06.014&partnerID=40&md5=e41ba6b5833978cf2cd471f04ef113db},
publisher={Academic Press Inc.},
}

  • Properties of nested sampling

    Biometrika, vol. 97, iss. 3, pp. 741-755, 2010.

    By N. Chopin and C. P. Robert

    [DOI] [Bibtex] 

    @article{Chopin2010741,
author={Chopin, N. and Robert, C.P.},
title={Properties of nested sampling},
journal={Biometrika},
year={2010},
volume={97},
number={3},
pages={741-755},
doi={10.1093/biomet/asq021},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955861158&doi=10.1093%2fbiomet%2fasq021&partnerID=40&md5=cc05fc1a85b552e1b5c326d62949bd07},
publisher={Oxford University Press},
}

  • Probabilistic representation and approximation for coupled systems of variational inequalities

    Statistics and probability letters, vol. 80, iss. 17-18, pp. 1388-1396, 2010.

    By R. Elie and I. Kharroubi

    [DOI] [Bibtex] 

    @article{Elie20101388,
author={Elie, R. and Kharroubi, I.},
title={Probabilistic representation and approximation for coupled systems of variational inequalities},
journal={Statistics and Probability Letters},
year={2010},
volume={80},
number={17-18},
pages={1388-1396},
doi={10.1016/j.spl.2010.05.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77954540020&doi=10.1016%2fj.spl.2010.05.003&partnerID=40&md5=747a5017b8bdffd6179efe387b62c6e0},
publisher={Elsevier},
}

2009

  • Double kernel estimation of sensitivities

    Journal of applied probability, vol. 46, iss. 3, pp. 791-811, 2009.

    By R. Elie

    [DOI] [Bibtex] 

    @article{Elie2009791,
author={Elie, R.},
title={Double kernel estimation of sensitivities},
journal={Journal of Applied Probability},
year={2009},
volume={46},
number={3},
pages={791-811},
doi={10.1239/jap/1253279852},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350074110&doi=10.1239%2fjap%2f1253279852&partnerID=40&md5=5e50793e1a470e8810c4628a668ecb02},
}

  • L-performance with an application to hedge funds

    Journal of empirical finance, vol. 16, iss. 4, pp. 671-685, 2009.

    By S. Darolles, C. Gourieroux, and J. Jasiak

    [DOI] [Bibtex] 

    @article{Darolles2009671,
author={Darolles, S. and Gourieroux, C. and Jasiak, J.},
title={L-performance with an application to hedge funds},
journal={Journal of Empirical Finance},
year={2009},
volume={16},
number={4},
pages={671-685},
doi={10.1016/j.jempfin.2009.05.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650471821&doi=10.1016%2fj.jempfin.2009.05.003&partnerID=40&md5=be6565cc230fac03468bc3e0c784bc99},
}

  • Bartlett’s formula for a general class of nonlinear processes

    Journal of time series analysis, vol. 30, iss. 4, pp. 449-465, 2009.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2009449,
author={Francq, C. and Zakoian, J.-M.},
title={Bartlett's formula for a general class of nonlinear processes},
journal={Journal of Time Series Analysis},
year={2009},
volume={30},
number={4},
pages={449-465},
doi={10.1111/j.1467-9892.2009.00623.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650677380&doi=10.1111%2fj.1467-9892.2009.00623.x&partnerID=40&md5=fa1f1300ddcb866a59c8249014b93cef},
}

  • Harold jeffreys’s theory of probability revisited

    Statistical science, vol. 24, iss. 2, pp. 141-172, 2009.

    By C. P. Robert, N. Chopin, and J. Rousseau

    [DOI] [Bibtex] 

    @article{Robert2009141,
author={Robert, C.P. and Chopin, N. and Rousseau, J.},
title={Harold Jeffreys's theory of probability revisited},
journal={Statistical Science},
year={2009},
volume={24},
number={2},
pages={141-172},
doi={10.1214/09-STS284},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955125911&doi=10.1214%2f09-STS284&partnerID=40&md5=99b149c49998619659c3edf9995d63a2},
}

  • Testing the nullity of garch coefficients: correction of the standard tests and relative efficiency comparisons

    Journal of the american statistical association, vol. 104, iss. 485, pp. 313-324, 2009.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2009313,
author={Francq, C. and Zakoian, J.-M.},
title={Testing the nullity of GARCH coefficients: Correction of the standard tests and relative efficiency comparisons},
journal={Journal of the American Statistical Association},
year={2009},
volume={104},
number={485},
pages={313-324},
doi={10.1198/jasa.2009.0117},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350335991&doi=10.1198%2fjasa.2009.0117&partnerID=40&md5=f820ade5311fbdf0dd0a5f4ccb58061c},
}

  • Inference for the limiting cluster size distribution of extreme values

    Annals of statistics, vol. 37, iss. 1, pp. 271-310, 2009.

    By C. Y. Robert

    [DOI] [Bibtex] 

    @article{Robert2009271,
author={Robert, C.Y.},
title={Inference for the limiting cluster size distribution of extreme values},
journal={Annals of Statistics},
year={2009},
volume={37},
number={1},
pages={271-310},
doi={10.1214/07-AOS551},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-65349155122&doi=10.1214%2f07-AOS551&partnerID=40&md5=6131df554c40f724cac709b829ab562f},
publisher={Institute of Mathematical Statistic},
}

  • An empirical central limit theorem with applications to copulas under weak dependence

    Statistical inference for stochastic processes, vol. 12, iss. 1, pp. 65-87, 2009.

    By P. Doukhan, J. -D. Fermanian, and G. Lang

    [DOI] [Bibtex] 

    @article{Doukhan200965,
author={Doukhan, P. and Fermanian, J.-D. and Lang, G.},
title={An empirical central limit theorem with applications to copulas under weak dependence},
journal={Statistical Inference for Stochastic Processes},
year={2009},
volume={12},
number={1},
pages={65-87},
doi={10.1007/s11203-008-9026-3},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-61849161751&doi=10.1007%2fs11203-008-9026-3&partnerID=40&md5=9d025fd825745c06fd937b5093ca0c8e},
}

  • Stochastic target problems with controlled loss

    Siam journal on control and optimization, vol. 48, iss. 5, pp. 3123-3150, 2009.

    By B. Bouchard, R. Elie, and N. Touzi

    [DOI] [Bibtex] 

    @article{Bouchard20093123,
author={Bouchard, B. and Elie, R. and Touzi, N.},
title={Stochastic target problems with controlled loss},
journal={SIAM Journal on Control and Optimization},
year={2009},
volume={48},
number={5},
pages={3123-3150},
doi={10.1137/08073593X},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85015716268&doi=10.1137%2f08073593X&partnerID=40&md5=27bbfdf69f2519a59ce34f86e73d831a},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Optimal control under stoc hastic target constraints

    Siam journal on control and optimization, vol. 48, iss. 5, pp. 3501-3531, 2009.

    By B. Bouchard, R. Elie, and C. Imbert

    [DOI] [Bibtex] 

    @article{Bouchard20093501,
author={Bouchard, B. and Elie, R. and Imbert, C.},
title={Optimal control under stoc hastic target constraints},
journal={SIAM Journal on Control and Optimization},
year={2009},
volume={48},
number={5},
pages={3501-3531},
doi={10.1137/090757629},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80755177019&doi=10.1137%2f090757629&partnerID=40&md5=7c54b6de1c8a702c1208148baf633198},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Optimal switching over multiple regimes

    Siam journal on control and optimization, vol. 48, iss. 4, pp. 2217-2253, 2009.

    By H. Pham, V. L. Vath, and X. Y. Zhou

    [DOI] [Bibtex] 

    @article{Pham20092217,
author={Pham, H. and Vath, V.L. and Zhou, X.Y.},
title={Optimal switching over multiple regimes},
journal={SIAM Journal on Control and Optimization},
year={2009},
volume={48},
number={4},
pages={2217-2253},
doi={10.1137/070709372},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79957684024&doi=10.1137%2f070709372&partnerID=40&md5=ab3e534a85307b66347dc1d45a2b70ae},
publisher={Society for Industrial and Applied Mathematics Publications},
}

  • Rejoinder: harold jeffreys’s theory of probability revisited

    Statistical science, vol. 24, iss. 2, pp. 191-194, 2009.

    By C. P. Robert, N. Chopin, and J. Rousseau

    [DOI] [Bibtex] 

    @article{Robert2009191,
author={Robert, C.P. and Chopin, N. and Rousseau, J.},
title={Rejoinder: Harold Jeffreys's theory of probability revisited},
journal={Statistical Science},
year={2009},
volume={24},
number={2},
pages={191-194},
doi={10.1214/09-STS284REJ},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955137079&doi=10.1214%2f09-STS284REJ&partnerID=40&md5=de5f5deb12cc0822e852fec52b5cb610},
publisher={Institute of Mathematical Statistics},
}

  • Estimating repeat and return migrations among sub-populations in france [estimations des migrations répétées et des migrations de retour dans des sous-populations en france]

    Population, vol. 64, iss. 4, pp. 797-820, 2009.

    By J. -F. Royer

    [DOI] [Bibtex] 

    @article{Royer2009797,
author={Royer, J.-F.},
title={Estimating repeat and return migrations among sub-populations in France [Estimations des migrations répétées et des migrations de retour dans des sous-populations en France]},
journal={Population},
year={2009},
volume={64},
number={4},
pages={797-820},
doi={10.3917/pope.904.0705},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77954548864&doi=10.3917%2fpope.904.0705&partnerID=40&md5=776939c19143d4fcc8f322fdaed49b65},
publisher={Institut National d'Etudes Demographiques},
}

  • Representation of continuous linear forms on the set of ladlag processes and the hedging of american claims under proportional costs

    Electronic journal of probability, vol. 14, pp. 612-632, 2009.

    By B. Bouchard and J. -F. Chassagneux

    [DOI] [Bibtex] 

    @article{Bouchard2009612,
author={Bouchard, B. and Chassagneux, J.-F.},
title={Representation of continuous linear forms on the set of ladlag processes and the hedging of American claims under proportional costs},
journal={Electronic Journal of Probability},
year={2009},
volume={14},
pages={612-632},
doi={10.1214/EJP.v14-625},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-63549112220&doi=10.1214%2fEJP.v14-625&partnerID=40&md5=dd86da09811cd3400244aa55b6ac6e06},
}

  • Abc methods for model choice in gibbs random fields

    Comptes rendus mathematique, vol. 347, iss. 3-4, pp. 205-210, 2009.

    By A. Grelaud, C. P. Robert, and J. -M. Marin

    [DOI] [Bibtex] 

    @article{Grelaud2009205,
author={Grelaud, A. and Robert, C.P. and Marin, J.-M.},
title={ABC methods for model choice in Gibbs random fields},
journal={Comptes Rendus Mathematique},
year={2009},
volume={347},
number={3-4},
pages={205-210},
doi={10.1016/j.crma.2008.12.009},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-60749126542&doi=10.1016%2fj.crma.2008.12.009&partnerID=40&md5=c9ceda7b7ed6e07ccdbf756986553bb3},
publisher={Elsevier Masson SAS},
}

2008

  • On some diffculties with a posterior probability approximation technique

    Bayesian analysis, vol. 3, iss. 2, pp. 427-442, 2008.

    By C. P. Robert and J. -M. Mariny

    [DOI] [Bibtex] 

    @article{Robert2008427,
author={Robert, C.P. and Mariny, J.-M.},
title={On some diffculties with a posterior probability approximation technique},
journal={Bayesian Analysis},
year={2008},
volume={3},
number={2},
pages={427-442},
doi={10.1214/08-BA316},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956281530&doi=10.1214%2f08-BA316&partnerID=40&md5=01d82736a05a32ad47bdc39b2563ccc7},
}

  • Discrete-time approximation for continuously and discretely reflected bsdes

    Stochastic processes and their applications, vol. 118, iss. 12, pp. 2269-2293, 2008.

    By B. Bouchard and J. -F. Chassagneux

    [DOI] [Bibtex] 

    @article{Bouchard20082269,
author={Bouchard, B. and Chassagneux, J.-F.},
title={Discrete-time approximation for continuously and discretely reflected BSDEs},
journal={Stochastic Processes and their Applications},
year={2008},
volume={118},
number={12},
pages={2269-2293},
doi={10.1016/j.spa.2007.12.007},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-55849111925&doi=10.1016%2fj.spa.2007.12.007&partnerID=40&md5=1ae3a36a4cf7d3fd8f50e8987ed8f41c},
}

  • Finite time merton strategy under drawdown constraint: a viscosity solution approach

    Applied mathematics and optimization, vol. 58, iss. 3, pp. 411-431, 2008.

    By R. Elie

    [DOI] [Bibtex] 

    @article{Elie2008411,
author={Elie, R.},
title={Finite time Merton strategy under drawdown constraint: A viscosity solution approach},
journal={Applied Mathematics and Optimization},
year={2008},
volume={58},
number={3},
pages={411-431},
doi={10.1007/s00245-008-9044-y},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-54949083469&doi=10.1007%2fs00245-008-9044-y&partnerID=40&md5=753cab949cf1de463c59ba26baf91b0b},
}

  • Econometric asset pricing modelling

    Journal of financial econometrics, vol. 6, iss. 4, pp. 407-458, 2008.

    By H. Bertholon, A. Monfort, and F. Pegoraro

    [DOI] [Bibtex] 

    @article{Bertholon2008407,
author={Bertholon, H. and Monfort, A. and Pegoraro, F.},
title={Econometric asset pricing modelling},
journal={Journal of Financial Econometrics},
year={2008},
volume={6},
number={4},
pages={407-458},
doi={10.1093/jjfinec/nbn011},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-53849147903&doi=10.1093%2fjjfinec%2fnbn011&partnerID=40&md5=b1f916ddb71abeac3603d7a77d161d30},
}

  • Improving vwap strategies: a dynamic volume approach

    Journal of banking and finance, vol. 32, iss. 9, pp. 1709-1722, 2008.

    By J. Białkowski, S. Darolles, and G. Le Fol

    [DOI] [Bibtex] 

    @article{Białkowski20081709,
author={Białkowski, J. and Darolles, S. and Le Fol, G.},
title={Improving VWAP strategies: A dynamic volume approach},
journal={Journal of Banking and Finance},
year={2008},
volume={32},
number={9},
pages={1709-1722},
doi={10.1016/j.jbankfin.2007.09.023},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-48749084614&doi=10.1016%2fj.jbankfin.2007.09.023&partnerID=40&md5=abe8ac04ac991b3c37b4079c246790ef},
}

  • Quadratic stochastic intensity and prospective mortality tables

    Insurance: mathematics and economics, vol. 43, iss. 1, pp. 174-184, 2008.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux2008174,
author={Gourieroux, C. and Monfort, A.},
title={Quadratic stochastic intensity and prospective mortality tables},
journal={Insurance: Mathematics and Economics},
year={2008},
volume={43},
number={1},
pages={174-184},
doi={10.1016/j.insmatheco.2008.05.010},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-47249103759&doi=10.1016%2fj.insmatheco.2008.05.010&partnerID=40&md5=ec26f6e565bce13a6da5eb57a746cc0d},
}

  • Convergence of archimedean copulas

    Statistics and probability letters, vol. 78, iss. 4, pp. 412-419, 2008.

    By A. Charpentier and J. Segers

    [DOI] [Bibtex] 

    @article{Charpentier2008412,
author={Charpentier, A. and Segers, J.},
title={Convergence of Archimedean copulas},
journal={Statistics and Probability Letters},
year={2008},
volume={78},
number={4},
pages={412-419},
doi={10.1016/j.spl.2007.07.014},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-39049134451&doi=10.1016%2fj.spl.2007.07.014&partnerID=40&md5=b6a1a2a9c83fa6baefa5c85da8ce59c4},
}

  • Deriving the autocovariances of powers of markov-switching garch models, with applications to statistical inference

    Computational statistics and data analysis, vol. 52, iss. 6, pp. 3027-3046, 2008.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq20083027,
author={Francq, C. and Zakoian, J.-M.},
title={Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference},
journal={Computational Statistics and Data Analysis},
year={2008},
volume={52},
number={6},
pages={3027-3046},
doi={10.1016/j.csda.2007.08.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-39049146619&doi=10.1016%2fj.csda.2007.08.003&partnerID=40&md5=65c3c99cecc593cabe3c1aefdc2a492c},
}

  • Adaptive importance sampling in general mixture classes

    Statistics and computing, vol. 18, iss. 4, pp. 447-459, 2008.

    By O. Cappé, R. Douc, A. Guillin, J. -M. Marin, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Cappé2008447,
author={Cappé, O. and Douc, R. and Guillin, A. and Marin, J.-M. and Robert, C.P.},
title={Adaptive importance sampling in general mixture classes},
journal={Statistics and Computing},
year={2008},
volume={18},
number={4},
pages={447-459},
doi={10.1007/s11222-008-9059-x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-57849141688&doi=10.1007%2fs11222-008-9059-x&partnerID=40&md5=b60416004a8422097d27ddb6b503166e},
publisher={Springer Netherlands},
}

  • Integral equation solutions as prior distributions for bayesian model selection

    Test, vol. 17, iss. 3, pp. 493-504, 2008.

    By J. A. Cano, D. Salmerón, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Cano2008493,
author={Cano, J.A. and Salmerón, D. and Robert, C.P.},
title={Integral equation solutions as prior distributions for Bayesian model selection},
journal={Test},
year={2008},
volume={17},
number={3},
pages={493-504},
doi={10.1007/s11749-006-0040-8},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-57649143923&doi=10.1007%2fs11749-006-0040-8&partnerID=40&md5=c97ff95cd2df742828d3f67984501a91},
publisher={Springer New York},
}

  • Discrete-time approximation of decoupled forward-backward sde with jumps

    Stochastic processes and their applications, vol. 118, iss. 1, pp. 53-75, 2008.

    By B. Bouchard and R. Elie

    [DOI] [Bibtex] 

    @article{Bouchard200853,
author={Bouchard, B. and Elie, R.},
title={Discrete-time approximation of decoupled Forward-Backward SDE with jumps},
journal={Stochastic Processes and their Applications},
year={2008},
volume={118},
number={1},
pages={53-75},
doi={10.1016/j.spa.2007.03.010},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-36248975608&doi=10.1016%2fj.spa.2007.03.010&partnerID=40&md5=38ec22fff377a37bc6d8bc753bca8f52},
}

  • A class of stochastic unit-root bilinear processes: mixing properties and unit-root test

    Journal of econometrics, vol. 142, iss. 1, pp. 312-326, 2008.

    By C. Francq, S. Makarova, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2008312,
author={Francq, C. and Makarova, S. and Zakoian, J.-M.},
title={A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test},
journal={Journal of Econometrics},
year={2008},
volume={142},
number={1},
pages={312-326},
doi={10.1016/j.jeconom.2007.04.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-36148967680&doi=10.1016%2fj.jeconom.2007.04.003&partnerID=40&md5=9968e93dcecd26ab9f73462a042f730e},
}

2007

  • Kernel estimation of greek weights by parameter randomization

    Annals of applied probability, vol. 17, iss. 4, pp. 1399-1423, 2007.

    By R. Elie, J. -D. Fermanian, and N. Touzi

    [DOI] [Bibtex] 

    @article{Elie20071399,
author={Elie, R. and Fermanian, J.-D. and Touzi, N.},
title={Kernel estimation of Greek weights by parameter randomization},
journal={Annals of Applied Probability},
year={2007},
volume={17},
number={4},
pages={1399-1423},
doi={10.1214/105051607000000186},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-52949086846&doi=10.1214%2f105051607000000186&partnerID=40&md5=26b184c651f1380cbc7f9043c6a64212},
}

  • Switching varma term structure models

    Journal of financial econometrics, vol. 5, iss. 1, pp. 105-153, 2007.

    By A. Monfort and F. Pegoraro

    [DOI] [Bibtex] 

    @article{Monfort2007105,
author={Monfort, A. and Pegoraro, F.},
title={Switching VARMA term structure models},
journal={Journal of Financial Econometrics},
year={2007},
volume={5},
number={1},
pages={105-153},
doi={10.1093/jjfinec/nbl009},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846688166&doi=10.1093%2fjjfinec%2fnbl009&partnerID=40&md5=aa1f6668db1a0b9448ad7ad71107b07b},
}

  • Quasi-maximum likelihood estimation in garch processes when some coefficients are equal to zero

    Stochastic processes and their applications, vol. 117, iss. 9, pp. 1265-1284, 2007.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq20071265,
author={Francq, C. and Zakoian, J.-M.},
title={Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero},
journal={Stochastic Processes and their Applications},
year={2007},
volume={117},
number={9},
pages={1265-1284},
doi={10.1016/j.spa.2007.01.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34447535241&doi=10.1016%2fj.spa.2007.01.001&partnerID=40&md5=4329adf26fc0c503c5cf0a56c46f5df1},
}

  • Bayesian mixture models in a longitudinal setting for analysing sheep cat scan images

    Computational statistics and data analysis, vol. 51, iss. 9, pp. 4282-4296, 2007.

    By C. L. Alston, K. L. Mengersen, C. P. Robert, J. M. Thompson, P. J. Littlefield, D. Perry, and A. J. Ball

    [DOI] [Bibtex] 

    @article{Alston20074282,
author={Alston, C.L. and Mengersen, K.L. and Robert, C.P. and Thompson, J.M. and Littlefield, P.J. and Perry, D. and Ball, A.J.},
title={Bayesian mixture models in a longitudinal setting for analysing sheep CAT scan images},
journal={Computational Statistics and Data Analysis},
year={2007},
volume={51},
number={9},
pages={4282-4296},
doi={10.1016/j.csda.2006.05.013},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34147146467&doi=10.1016%2fj.csda.2006.05.013&partnerID=40&md5=0c01f4eada74ba258b9c2c26d9faf464},
publisher={Elsevier},
}

  • Lower tail dependence for archimedean copulas: characterizations and pitfalls

    Insurance: mathematics and economics, vol. 40, iss. 3, pp. 525-532, 2007.

    By A. Charpentier and J. Segers

    [DOI] [Bibtex] 

    @article{Charpentier2007525,
author={Charpentier, A. and Segers, J.},
title={Lower tail dependence for Archimedean copulas: Characterizations and pitfalls},
journal={Insurance: Mathematics and Economics},
year={2007},
volume={40},
number={3},
pages={525-532},
doi={10.1016/j.insmatheco.2006.08.004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33847404127&doi=10.1016%2fj.insmatheco.2006.08.004&partnerID=40&md5=ffe8fcfd3d55205b778d0adcd183315d},
}

  • Stochastic stability of some state-dependent growth-collapse processes

    Advances in applied probability, vol. 39, iss. 1, pp. 189-220, 2007.

    By C. Y. Robert

    [DOI] [Bibtex] 

    @article{Robert2007189,
author={Robert, C.Y.},
title={Stochastic stability of some state-dependent growth-collapse processes},
journal={Advances in Applied Probability},
year={2007},
volume={39},
number={1},
pages={189-220},
doi={10.1239/aap/1175266475},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34247574626&doi=10.1239%2faap%2f1175266475&partnerID=40&md5=b7fdaab85eb7988c88221621bf48b19f},
}

  • Minimum variance importance sampling via population monte carlo

    Esaim – probability and statistics, vol. 11, pp. 427-447, 2007.

    By R. Douc, A. Guillin, J. -M. Marin, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Douc2007427,
author={Douc, R. and Guillin, A. and Marin, J.-M. and Robert, C.P.},
title={Minimum variance importance sampling via population monte carlo},
journal={ESAIM - Probability and Statistics},
year={2007},
volume={11},
pages={427-447},
doi={10.1051/ps:2007028},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84996132096&doi=10.1051%2fps%3a2007028&partnerID=40&md5=f649ad15973a373b9a6d0a59bb38da9e},
}

  • A model of optimal portfolio selection under liquidity risk and price impact

    Finance and stochastics, vol. 11, iss. 1, pp. 51-90, 2007.

    By V. L. Vath, M. Mnif, and H. Pham

    [DOI] [Bibtex] 

    @article{Vath200751,
author={Vath, V.L. and Mnif, M. and Pham, H.},
title={A model of optimal portfolio selection under liquidity risk and price impact},
journal={Finance and Stochastics},
year={2007},
volume={11},
number={1},
pages={51-90},
doi={10.1007/s00780-006-0025-1},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845923217&doi=10.1007%2fs00780-006-0025-1&partnerID=40&md5=2d9f03db058675edfdd938b9479a1a34},
}

  • Hac estimation and strong linearity testing in weak arma models

    Journal of multivariate analysis, vol. 98, iss. 1, pp. 114-144, 2007.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2007114,
author={Francq, C. and Zakoian, J.-M.},
title={HAC estimation and strong linearity testing in weak ARMA models},
journal={Journal of Multivariate Analysis},
year={2007},
volume={98},
number={1},
pages={114-144},
doi={10.1016/j.jmva.2006.02.003},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750213990&doi=10.1016%2fj.jmva.2006.02.003&partnerID=40&md5=5bf638f8c40af14dac3d443556df5ead},
}

2006

  • Limiting dependence structures for tail events, with applications to credit derivatives

    Journal of applied probability, vol. 43, iss. 2, pp. 563-586, 2006.

    By A. Charpentier and A. Juri

    [DOI] [Bibtex] 

    @article{Charpentier2006563,
author={Charpentier, A. and Juri, A.},
title={Limiting dependence structures for tail events, with applications to credit derivatives},
journal={Journal of Applied Probability},
year={2006},
volume={43},
number={2},
pages={563-586},
doi={10.1239/jap/1152413742},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845306279&doi=10.1239%2fjap%2f1152413742&partnerID=40&md5=5cd1f9c4e28f5b89c19e6dc962c8fb58},
}

  • Stochastic unit root models

    Econometric theory, vol. 22, iss. 6, pp. 1052-1090, 2006.

    By C. Gourieroux and C. Y. Robert

    [DOI] [Bibtex] 

    @article{Gourieroux20061052,
author={Gourieroux, C. and Robert, C.Y.},
title={Stochastic unit root models},
journal={Econometric Theory},
year={2006},
volume={22},
number={6},
pages={1052-1090},
doi={10.1017/S0266466606060518},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845738227&doi=10.1017%2fS0266466606060518&partnerID=40&md5=e0e294b1918f69f61ebd96209f04e93b},
}

  • Linear-representation based estimation of stochastic volatility models

    Scandinavian journal of statistics, vol. 33, iss. 4, pp. 785-806, 2006.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2006785,
author={Francq, C. and Zakoian, J.-M.},
title={Linear-representation based estimation of stochastic volatility models},
journal={Scandinavian Journal of Statistics},
year={2006},
volume={33},
number={4},
pages={785-806},
doi={10.1111/j.1467-9469.2006.00495.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750995253&doi=10.1111%2fj.1467-9469.2006.00495.x&partnerID=40&md5=f5dadd2e55a74b0ddcf4ca95ac8df4ff},
}

  • Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process

    Econometric theory, vol. 22, iss. 5, pp. 815-834, 2006.

    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Franco2006815,
author={Franco, C. and Zakoian, J.-M.},
title={Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process},
journal={Econometric Theory},
year={2006},
volume={22},
number={5},
pages={815-834},
doi={10.1017/S0266466606060373},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33749368377&doi=10.1017%2fS0266466606060373&partnerID=40&md5=678f2017dfc982c99cbfa4b9c3195b8f},
}

  • Continuous time wishart process for stochastic risk

    Econometric reviews, vol. 25, iss. 2-3, pp. 177-217, 2006.

    By C. Gourieroux

    [DOI] [Bibtex] 

    @article{Gourieroux2006177,
author={Gourieroux, C.},
title={Continuous time Wishart process for stochastic risk},
journal={Econometric Reviews},
year={2006},
volume={25},
number={2-3},
pages={177-217},
doi={10.1080/07474930600713234},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33747805037&doi=10.1080%2f07474930600713234&partnerID=40&md5=71f091f5f7e060dc1a9b765cff527063},
}

  • Iterated importance sampling in missing data problems

    Computational statistics and data analysis, vol. 50, iss. 12, pp. 3386-3404, 2006.

    By G. Celeux, J. -M. Marin, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Celeux20063386,
author={Celeux, G. and Marin, J.-M. and Robert, C.P.},
title={Iterated importance sampling in missing data problems},
journal={Computational Statistics and Data Analysis},
year={2006},
volume={50},
number={12},
pages={3386-3404},
doi={10.1016/j.csda.2005.07.018},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33646936073&doi=10.1016%2fj.csda.2005.07.018&partnerID=40&md5=10ead3360f0f39e7c3513230dc1399a8},
}

  • Affine models for credit risk analysis

    Journal of financial econometrics, vol. 4, iss. 3, pp. 494-530, 2006.

    By C. Gourieroux, A. Monfort, and V. Polimenis

    [DOI] [Bibtex] 

    @article{Gourieroux2006494,
author={Gourieroux, C. and Monfort, A. and Polimenis, V.},
title={Affine models for credit risk analysis},
journal={Journal of Financial Econometrics},
year={2006},
volume={4},
number={3},
pages={494-530},
doi={10.1093/jjfinec/nbj012},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33748105105&doi=10.1093%2fjjfinec%2fnbj012&partnerID=40&md5=1566039f4c452fa3259a7333d8524f98},
}

  • Using a markov chain to construct a tractable approximation of an intractable probability distribution

    Scandinavian journal of statistics, vol. 33, iss. 1, pp. 37-51, 2006.

    By J. P. Hobert, G. L. Jones, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Hobert200637,
author={Hobert, J.P. and Jones, G.L. and Robert, C.P.},
title={Using a Markov chain to construct a tractable approximation of an intractable probability distribution},
journal={Scandinavian Journal of Statistics},
year={2006},
volume={33},
number={1},
pages={37-51},
doi={10.1111/j.1467-9469.2006.00467.x},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645047932&doi=10.1111%2fj.1467-9469.2006.00467.x&partnerID=40&md5=cfb60e97e52cbfa80d9e440672f2bc2d},
}

  • Stationarity and geometric ergodicity of a class of nonlinear arch models

    Annals of applied probability, vol. 16, iss. 4, pp. 2256-2271, 2006.

    By Y. Saïdi and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Saïdi20062256,
author={Saïdi, Y. and Zakoian, J.-M.},
title={Stationarity and geometric ergodicity of a class of nonlinear ARCH models},
journal={Annals of Applied Probability},
year={2006},
volume={16},
number={4},
pages={2256-2271},
doi={10.1214/105051606000000565},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846893175&doi=10.1214%2f105051606000000565&partnerID=40&md5=e18a28f14b225b91d03cbdae5978a365},
publisher={Institute of Mathematical Statistics},
}

  • Autoregressive gamma processes

    Journal of forecasting, vol. 25, iss. 2, pp. 129-152, 2006.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex] 

    @article{Gourieroux2006129,
author={Gourieroux, C. and Jasiak, J.},
title={Autoregressive gamma processes},
journal={Journal of Forecasting},
year={2006},
volume={25},
number={2},
pages={129-152},
doi={10.1002/for.978},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33646508385&doi=10.1002%2ffor.978&partnerID=40&md5=83ef81fc40de5c68056d2c8170c7f999},
publisher={John Wiley and Sons Ltd},
}

2005

  • A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size

    Econometric theory, vol. 21, iss. 6, pp. 1165-1171, 2005.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq20051165,
author={Francq, C. and Zakoian, J.-M.},
title={A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size},
journal={Econometric Theory},
year={2005},
volume={21},
number={6},
pages={1165-1171},
doi={10.1017/S0266466605050577},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-25644454310&doi=10.1017%2fS0266466605050577&partnerID=40&md5=8ea9213a2e9e7d81011ed8fc383ca06c},
}

  • Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns

    Annals of applied probability, vol. 15, iss. 4, pp. 2393-2421, 2005.

    By B. Bouchard and H. Pham

    [DOI] [Bibtex] 

    @article{Bouchard20052393,
author={Bouchard, B. and Pham, H.},
title={Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns},
journal={Annals of Applied Probability},
year={2005},
volume={15},
number={4},
pages={2393-2421},
doi={10.1214/105051605000000467},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-30844455316&doi=10.1214%2f105051605000000467&partnerID=40&md5=78d9f2a1809af8ccac7215b9248c7bd5},
}

  • Optimal quantization methods for nonlinear filtering with discrete-time observations

    Bernoulli, vol. 11, iss. 5, pp. 893-932, 2005.

    By G. Pagés and H. Pham

    [DOI] [Bibtex] 

    @article{Pagés2005893,
author={Pagés, G. and Pham, H.},
title={Optimal quantization methods for nonlinear filtering with discrete-time observations},
journal={Bernoulli},
year={2005},
volume={11},
number={5},
pages={893-932},
doi={10.3150/bj/1130077599},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845685812&doi=10.3150%2fbj%2f1130077599&partnerID=40&md5=7f7632d9c9c94a5d285858c23bbe0bcd},
}

  • The l2-structures of standard and switching-regime garch models

    Stochastic processes and their applications, vol. 115, iss. 9, pp. 1557-1582, 2005.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq20051557,
author={Francq, C. and Zakoian, J.-M.},
title={The L2-structures of standard and switching-regime GARCH models},
journal={Stochastic Processes and their Applications},
year={2005},
volume={115},
number={9},
pages={1557-1582},
doi={10.1016/j.spa.2005.04.005},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-23044457404&doi=10.1016%2fj.spa.2005.04.005&partnerID=40&md5=ef01d33acde672deb5566242965db614},
}

  • Goodness-of-fit tests for copulas

    Journal of multivariate analysis, vol. 95, iss. 1, pp. 119-152, 2005.

    By J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Fermanian2005119,
author={Fermanian, J.-D.},
title={Goodness-of-fit tests for copulas},
journal={Journal of Multivariate Analysis},
year={2005},
volume={95},
number={1},
pages={119-152},
doi={10.1016/j.jmva.2004.07.004},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18744406022&doi=10.1016%2fj.jmva.2004.07.004&partnerID=40&md5=9ff0935e14d9d552601920be103aed89},
}

  • Diagnostic checking in arma models with uncorrelated errors

    Journal of the american statistical association, vol. 100, iss. 470, pp. 532-544, 2005.

    By C. Franco, R. Roy, and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Franco2005532,
author={Franco, C. and Roy, R. and Zakoian, J.-M.},
title={Diagnostic checking in ARMA models with uncorrelated errors},
journal={Journal of the American Statistical Association},
year={2005},
volume={100},
number={470},
pages={532-544},
doi={10.1198/016214504000001510},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-20444444745&doi=10.1198%2f016214504000001510&partnerID=40&md5=00ec8409ef0b426e548f995b12038c30},
}

  • Optimal partially reversible investment with entry decision and general production function

    Stochastic processes and their applications, vol. 115, iss. 5, pp. 705-736, 2005.

    By X. Guo and H. Pham

    [DOI] [Bibtex] 

    @article{Guo2005705,
author={Guo, X. and Pham, H.},
title={Optimal partially reversible investment with entry decision and general production function},
journal={Stochastic Processes and their Applications},
year={2005},
volume={115},
number={5},
pages={705-736},
doi={10.1016/j.spa.2004.12.002},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-16244417484&doi=10.1016%2fj.spa.2004.12.002&partnerID=40&md5=fec9276f54807133acfa56e529179d8e},
}

  • Sensitivity analysis of var and expected shortfall for portfolios under netting agreements

    Journal of banking and finance, vol. 29, iss. 4, pp. 927-958, 2005.

    By J. -D. Fermanian and O. Scaillet

    [DOI] [Bibtex] 

    @article{Fermanian2005927,
author={Fermanian, J.-D. and Scaillet, O.},
title={Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements},
journal={Journal of Banking and Finance},
year={2005},
volume={29},
number={4},
pages={927-958},
doi={10.1016/j.jbankfin.2004.08.007},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12444253075&doi=10.1016%2fj.jbankfin.2004.08.007&partnerID=40&md5=6999da630d393152e963cf2a78d6bc6d},
}

  • Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation

    Monte carlo methods and applications, vol. 11, iss. 1, pp. 57-81, 2005.

    By H. Pham, W. Runggaldier, and A. Sellami

    [DOI] [Bibtex] 

    @article{Pham200557,
author={Pham, H. and Runggaldier, W. and Sellami, A.},
title={Approximation by quantization of the filter process and applications to optimal stopping problems under partial observation},
journal={Monte Carlo Methods and Applications},
year={2005},
volume={11},
number={1},
pages={57-81},
doi={10.1163/1569396054027283},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350475084&doi=10.1163%2f1569396054027283&partnerID=40&md5=6f7bc37597f0c1ef93aac7de367f8950},
}

  • Asymptotic probabilities of an exceedance over renewal thresholds with an application to risk theory

    Journal of applied probability, vol. 42, iss. 1, pp. 153-162, 2005.

    By C. Y. Robert

    [DOI] [Bibtex] 

    @article{Robert2005153,
author={Robert, C.Y.},
title={Asymptotic probabilities of an exceedance over renewal thresholds with an application to risk theory},
journal={Journal of Applied Probability},
year={2005},
volume={42},
number={1},
pages={153-162},
doi={10.1239/jap/1110381377},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18444398351&doi=10.1239%2fjap%2f1110381377&partnerID=40&md5=70cb991ba7025906085c37004f4f99ba},
}

  • The econometrics of efficient portfolios

    Journal of empirical finance, vol. 12, iss. 1, pp. 1-41, 2005.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20051,
author={Gourieroux, C. and Monfort, A.},
title={The econometrics of efficient portfolios},
journal={Journal of Empirical Finance},
year={2005},
volume={12},
number={1},
pages={1-41},
doi={10.1016/j.jempfin.2003.07.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12744272959&doi=10.1016%2fj.jempfin.2003.07.001&partnerID=40&md5=ebdc4e9792021ac40e6462cb7182e6bd},
}

2004

  • Population monte carlo

    Journal of computational and graphical statistics, vol. 13, iss. 4, pp. 907-929, 2004.

    By O. Cappé, A. Guillin, J. M. Marin, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Cappé2004907,
author={Cappé, O. and Guillin, A. and Marin, J.M. and Robert, C.P.},
title={Population Monte Carlo},
journal={Journal of Computational and Graphical Statistics},
year={2004},
volume={13},
number={4},
pages={907-929},
doi={10.1198/106186004X12803},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-4043138379&doi=10.1198%2f106186004X12803&partnerID=40&md5=264dd8ba892cdc6796addeb11d92a52e},
}

  • Mixture models, latent variables and partitioned importance sampling

    Statistical methodology, vol. 1, iss. 1-2, pp. 1-18, 2004.

    By G. Casella, C. P. Robert, and M. T. Wells

    [DOI] [Bibtex] 

    @article{Casella20041,
author={Casella, G. and Robert, C.P. and Wells, M.T.},
title={Mixture models, latent variables and partitioned importance sampling},
journal={Statistical Methodology},
year={2004},
volume={1},
number={1-2},
pages={1-18},
doi={10.1016/j.stamet.2004.05.001},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33644771354&doi=10.1016%2fj.stamet.2004.05.001&partnerID=40&md5=707e4af266044c08aa9919a46a744876},
}

  • Optimal sample size for multiple testing: the case of gene expression microarrays

    Journal of the american statistical association, vol. 99, iss. 468, pp. 990-1001, 2004.

    By P. Müller, G. Parmigiani, C. Robert, and J. Rousseau

    [DOI] [Bibtex] 

    @article{Müller2004990,
author={Müller, P. and Parmigiani, G. and Robert, C. and Rousseau, J.},
title={Optimal Sample Size for Multiple Testing: The Case of Gene Expression Microarrays},
journal={Journal of the American Statistical Association},
year={2004},
volume={99},
number={468},
pages={990-1001},
doi={10.1198/016214504000001646},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-10844254626&doi=10.1198%2f016214504000001646&partnerID=40&md5=e43cdbb489f9770e12ed214562f1d5a1},
}

  • Wealth-path dependent utility maximization in incomplete markets

    Finance and stochastics, vol. 8, iss. 4, pp. 579-603, 2004.

    By B. Bouchard and H. Pham

    [DOI] [Bibtex] 

    @article{Bouchard2004579,
author={Bouchard, B. and Pham, H.},
title={Wealth-path dependent utility maximization in incomplete markets},
journal={Finance and Stochastics},
year={2004},
volume={8},
number={4},
pages={579-603},
doi={10.1007/s00780-004-0125-8},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-21144436642&doi=10.1007%2fs00780-004-0125-8&partnerID=40&md5=8afa74d200d952bd01c33294621ff31d},
}

  • A mixture representation of π with applications in markov chain monte carlo and perfect sampling

    Annals of applied probability, vol. 14, iss. 3, pp. 1295-1305, 2004.

    By J. P. Hubert and C. P. Robert

    [DOI] [Bibtex] 

    @article{Hubert20041295,
author={Hubert, J.P. and Robert, C.P.},
title={A mixture representation of π with applications in Markov chain Monte Carlo and perfect sampling},
journal={Annals of Applied Probability},
year={2004},
volume={14},
number={3},
pages={1295-1305},
doi={10.1214/105051604000000305},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-9744242175&doi=10.1214%2f105051604000000305&partnerID=40&md5=dafbe7fbd39c4dadaf269573284a4abb},
}

  • A nonparametric simulated maximum likelihood estimation method

    Econometric theory, vol. 20, iss. 4, pp. 701-734, 2004.

    By J. -D. Fermanian and B. Salanié

    [DOI] [Bibtex] 

    @article{Fermanian2004701,
author={Fermanian, J.-D. and Salanié, B.},
title={A nonparametric simulated maximum likelihood estimation method},
journal={Econometric Theory},
year={2004},
volume={20},
number={4},
pages={701-734},
doi={10.1017/S0266466604204054},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-4344651234&doi=10.1017%2fS0266466604204054&partnerID=40&md5=17526bfd5bcf8d58e3715a4e944ccdfd},
}

  • Maximum likelihood estimation of pure garch and arma-garch processes

    Bernoulli, vol. 10, iss. 4, pp. 605-637, 2004.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2004605,
author={Francq, C. and Zakoian, J.-M.},
title={Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes},
journal={Bernoulli},
year={2004},
volume={10},
number={4},
pages={605-637},
doi={10.3150/bj/1093265632},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645008897&doi=10.3150%2fbj%2f1093265632&partnerID=40&md5=718dd1f4b8b35274ac496253140a5873},
}

  • Discussion on the paper by wakefield

    Journal of the royal statistical society. series a: statistics in society, vol. 167, iss. 3, pp. 426-445, 2004.

    By N. Best, J. Wakefield, R. Chambers, C. Jackson, S. Richardson, A. C. Atkinson, D. Firth, W. Jiang, M. A. Tanner, S. E. Fienberg, C. P. Robert, A. C. Davison, C. Semadeni, J. Besag, J. K. Corder, C. Wolbrecht, D. Draper, J. J. Forster, G. King, K. Rice, T. Richardson, R. Salway, L. Sheppard, Sø. R. Thomson, and L. A. Waller

    [Bibtex] 

    @article{Best2004426,
author={Best, N. and Wakefield, J. and Chambers, R. and Jackson, C. and Richardson, S. and Atkinson, A.C. and Firth, D. and Jiang, W. and Tanner, M.A. and Fienberg, S.E. and Robert, C.P. and Davison, A.C. and Semadeni, C. and Besag, J. and Corder, J.K. and Wolbrecht, C. and Draper, D. and Forster, J.J. and King, G. and Rice, K. and Richardson, T. and Salway, R. and Sheppard, L. and Thomson, Sø.R. and Waller, L.A.},
title={Discussion on the paper by Wakefield},
journal={Journal of the Royal Statistical Society. Series A: Statistics in Society},
year={2004},
volume={167},
number={3},
pages={426-445},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3042792694&partnerID=40&md5=d3a69698e7076546fc7af947002cdeb6},
}

  • Infrequent extreme risks

    Geneva papers on risk and insurance theory, vol. 29, iss. 1, pp. 5-22, 2004.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex] 

    @article{Gourieroux20045,
author={Gourieroux, C. and Monfort, A.},
title={Infrequent extreme risks},
journal={GENEVA Papers on Risk and Insurance Theory},
year={2004},
volume={29},
number={1},
pages={5-22},
doi={10.1023/B:GEPA.0000032563.83435.50},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3142720428&doi=10.1023%2fB%3aGEPA.0000032563.83435.50&partnerID=40&md5=f39e5e76d3ee119402b4fecba5b3c1c7},
}

  • Kernel-based nonlinear canonical analysis and time reversibility

    Journal of econometrics, vol. 119, iss. 2, pp. 323-353, 2004.

    By S. Darolles, J. -P. Florens, and C. Gouriéroux

    [DOI] [Bibtex] 

    @article{Darolles2004323,
author={Darolles, S. and Florens, J.-P. and Gouriéroux, C.},
title={Kernel-based nonlinear canonical analysis and time reversibility},
journal={Journal of Econometrics},
year={2004},
volume={119},
number={2},
pages={323-353},
doi={10.1016/S0304-4076(03)00199-4},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1642309374&doi=10.1016%2fS0304-4076%2803%2900199-4&partnerID=40&md5=870b54aea311c68129336611413491db},
}

2003

  • Discussion on the paper by brooks, giudici and roberts

    Journal of the royal statistical society. series b: statistical methodology, vol. 65, iss. 1, pp. 39-55, 2003.

    By C. P. Robert, X. -L. Meng, J. Møller, J. S. Rosenthal, C. Jennison, M. A. Hurn, F. Al-Awadhi, P. McCullagh, C. Andrieu, A. Doucet, P. Dellaportas, I. Papageorgiou, R. S. Ehlers, E. A. Erosheva, S. E. Fienberg, J. J. Forster, R. C. Gill, N. Friel, P. Green, D. Hastie, R. King, H. R. Künsch, N. A. Lazar, and C. Osinski

    [DOI] [Bibtex] 

    @article{Robert200339,
author={Robert, C.P. and Meng, X.-L. and Møller, J. and Rosenthal, J.S. and Jennison, C. and Hurn, M.A. and Al-Awadhi, F. and McCullagh, P. and Andrieu, C. and Doucet, A. and Dellaportas, P. and Papageorgiou, I. and Ehlers, R.S. and Erosheva, E.A. and Fienberg, S.E. and Forster, J.J. and Gill, R.C. and Friel, N. and Green, P. and Hastie, D. and King, R. and Künsch, H.R. and Lazar, N.A. and Osinski, C.},
title={Discussion on the paper by Brooks, Giudici and Roberts},
journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
year={2003},
volume={65},
number={1},
pages={39-55},
doi={10.1111/1467-9868.03712},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0141464870&doi=10.1111%2f1467-9868.03712&partnerID=40&md5=893ac2cf417972e55fbd33c10096254b},
}

  • Reversible jump, birth-and-death and more general continuous time markov chain monte carlo samplers

    Journal of the royal statistical society. series b: statistical methodology, vol. 65, iss. 3, pp. 679-700, 2003.

    By O. Cappé, C. P. Robert, and T. Rydén

    [DOI] [Bibtex] 

    @article{Cappé2003679,
author={Cappé, O. and Robert, C.P. and Rydén, T.},
title={Reversible jump, birth-and-death and more general continuous time Markov chain Monte Carlo samplers},
journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
year={2003},
volume={65},
number={3},
pages={679-700},
doi={10.1111/1467-9868.00409},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0043173919&doi=10.1111%2f1467-9868.00409&partnerID=40&md5=f60b621fba6963389d873d0c968e8352},
}

  • Perfect simulation of positive gaussian distributions

    Statistics and computing, vol. 13, iss. 2, pp. 179-186, 2003.

    By A. Philippe and C. P. Robert

    [DOI] [Bibtex] 

    @article{Philippe2003179,
author={Philippe, A. and Robert, C.P.},
title={Perfect simulation of positive Gaussian distributions},
journal={Statistics and Computing},
year={2003},
volume={13},
number={2},
pages={179-186},
doi={10.1023/A:1023264710933},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345832324&doi=10.1023%2fA%3a1023264710933&partnerID=40&md5=113fb587e0b878fc8e39d71ad45818fb},
}

  • Estimating mixtures of regressions

    Journal of computational and graphical statistics, vol. 12, iss. 1, pp. 55-79, 2003.

    By M. Hurn, A. Justel, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Hurn200355,
author={Hurn, M. and Justel, A. and Robert, C.P.},
title={Estimating mixtures of regressions},
journal={Journal of Computational and Graphical Statistics},
year={2003},
volume={12},
number={1},
pages={55-79},
doi={10.1198/1061860031329},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0037353170&doi=10.1198%2f1061860031329&partnerID=40&md5=468e415699a793cdc0420bd1542e907e},
}

  • Discussion on the paper by kong, mccullagh, meng, nicolas and tan

    Journal of the royal statistical society. series b: statistical methodology, vol. 65, iss. 3, pp. 604-618, 2003.

    By M. Evans, C. P. Robert, A. C. Davison, W. Jiang, M. A. Tanner, H. Doss, J. Qin, K. Fokianos, S. N. MacEachern, M. Peruggia, S. Guha, S. Chib, Y. Ritov, J. M. Robins, and Y. Vardi

    [DOI] [Bibtex] 

    @article{Evans2003604,
author={Evans, M. and Robert, C.P. and Davison, A.C. and Jiang, W. and Tanner, M.A. and Doss, H. and Qin, J. and Fokianos, K. and MacEachern, S.N. and Peruggia, M. and Guha, S. and Chib, S. and Ritov, Y. and Robins, J.M. and Vardi, Y.},
title={Discussion on the paper by Kong, McCullagh, Meng, Nicolas and Tan},
journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
year={2003},
volume={65},
number={3},
pages={604-618},
doi={10.1111/1467-9868.00405},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0043173931&doi=10.1111%2f1467-9868.00405&partnerID=40&md5=f14eee63a0cb27f51a6392a4c96e409b},
publisher={Blackwell Publishing Ltd},
}

  • Nonparametric estimation of competing risks models with covariates

    Journal of multivariate analysis, vol. 85, iss. 1, pp. 156-191, 2003.

    By J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Fermanian2003156,
author={Fermanian, J.-D.},
title={Nonparametric estimation of competing risks models with covariates},
journal={Journal of Multivariate Analysis},
year={2003},
volume={85},
number={1},
pages={156-191},
doi={10.1016/S0047-259X(02)00069-6},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0038367861&doi=10.1016%2fS0047-259X%2802%2900069-6&partnerID=40&md5=d2c18d88918e36753787e21cae466a78},
publisher={Academic Press Inc.},
}

2002

  • Perfect samplers for mixtures of distributions

    Journal of the royal statistical society. series b: statistical methodology, vol. 64, iss. 4, pp. 777-790, 2002.

    By G. Casella, K. L. Mengersen, C. P. Robert, and D. M. Titterington

    [DOI] [Bibtex] 

    @article{Casella2002777,
author={Casella, G. and Mengersen, K.L. and Robert, C.P. and Titterington, D.M.},
title={Perfect samplers for mixtures of distributions},
journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
year={2002},
volume={64},
number={4},
pages={777-790},
doi={10.1111/1467-9868.00360},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036436452&doi=10.1111%2f1467-9868.00360&partnerID=40&md5=39a08e38cd13845dcba1cee0a7a7852a},
}

  • Marginal maximum a posteriori estimation using markov chain monte carlo

    Statistics and computing, vol. 12, iss. 1, pp. 77-84, 2002.

    By A. Doucet, S. J. Godsill, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Doucet200277,
author={Doucet, A. and Godsill, S.J. and Robert, C.P.},
title={Marginal maximum a posteriori estimation using Markov chain Monte Carlo},
journal={Statistics and Computing},
year={2002},
volume={12},
number={1},
pages={77-84},
doi={10.1023/A:1013172322619},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0141567816&doi=10.1023%2fA%3a1013172322619&partnerID=40&md5=979b84c807e8ef9a4d1b2f6684fd0df8},
}

  • Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints

    Applied mathematics and optimization, vol. 46, iss. 1, pp. 55-78, 2002.

    By H. Pham

    [DOI] [Bibtex] 

    @article{Pham200255,
author={Pham, H.},
title={Smooth solutions to optimal investment models with stochastic volatilities and portfolio constraints},
journal={Applied Mathematics and Optimization},
year={2002},
volume={46},
number={1},
pages={55-78},
doi={10.1007/s00245-002-0735-5},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0141904066&doi=10.1007%2fs00245-002-0735-5&partnerID=40&md5=196eb58a73d03af942d3aad97d06baa7},
}

  • Comments on the paper by minxian yang: “some properties of vector autoregressive processes with markov-switching coefficients”

    Econometric theory, vol. 18, iss. 3, pp. 815-818, 2002.

    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Franco2002815,
author={Franco, C. and Zakoian, J.-M.},
title={Comments on the paper by Minxian Yang: "Some properties of vector autoregressive processes with Markov-switching coefficients"},
journal={Econometric Theory},
year={2002},
volume={18},
number={3},
pages={815-818},
doi={10.1017/S0266466602183125},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036627459&doi=10.1017%2fS0266466602183125&partnerID=40&md5=13789f5b1d8a5a40996949ba31515913},
}

  • Autocovariance structure of powers of switching-regime arma processes

    Esaim – probability and statistics, vol. 6, pp. 259-270, 2002.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2002259,
author={Francq, C. and Zakoian, J.-M.},
title={Autocovariance structure of powers of switching-regime ARMA processes},
journal={ESAIM - Probability and Statistics},
year={2002},
volume={6},
pages={259-270},
doi={10.1051/ps:2002014},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0037002888&doi=10.1051%2fps%3a2002014&partnerID=40&md5=c49ffeb1c49c74e4ca139ccab83aab98},
publisher={EDP Sciences},
}

2001

  • Riemann sums for mcmc estimation and convergence monitoring

    Statistics and computing, vol. 11, iss. 2, pp. 103-115, 2001.

    By A. Philippe and C. P. Robert

    [DOI] [Bibtex] 

    @article{Philippe2001103,
author={Philippe, A. and Robert, C.P.},
title={Riemann sums for MCMC estimation and convergence monitoring},
journal={Statistics and Computing},
year={2001},
volume={11},
number={2},
pages={103-115},
doi={10.1023/A:1008926514119},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0042379653&doi=10.1023%2fA%3a1008926514119&partnerID=40&md5=fa0045ce30fff1dd1c6ca57e50ecef00},
}

  • Stationarity of multivariate markov-switching arma models

    Journal of econometrics, vol. 102, iss. 2, pp. 339-364, 2001.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2001339,
author={Francq, C. and Zakoian, J.-M.},
title={Stationarity of multivariate Markov-switching ARMA models},
journal={Journal of Econometrics},
year={2001},
volume={102},
number={2},
pages={339-364},
doi={10.1016/S0304-4076(01)00057-4},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18044399313&doi=10.1016%2fS0304-4076%2801%2900057-4&partnerID=40&md5=93cafb0a4fa9f846fa475b47d42ab128},
}

  • Truncated dynamics and estimation of diffusion equations

    Journal of econometrics, vol. 102, iss. 1, pp. 1-22, 2001.

    By S. Darolles and C. Gouriéroux

    [DOI] [Bibtex] 

    @article{Darolles20011,
author={Darolles, S. and Gouriéroux, C.},
title={Truncated dynamics and estimation of diffusion equations},
journal={Journal of Econometrics},
year={2001},
volume={102},
number={1},
pages={1-22},
doi={10.1016/S0304-4076(00)00085-3},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18044403136&doi=10.1016%2fS0304-4076%2800%2900085-3&partnerID=40&md5=5aec5f64f57a52c14e94646d40a60f58},
}

  • Factor arma representation of a markov process

    Economics letters, vol. 71, iss. 2, pp. 165-171, 2001.

    By S. Darolles, J. -P. Florens, and C. Gouriéroux

    [DOI] [Bibtex] 

    @article{Darolles2001165,
author={Darolles, S. and Florens, J.-P. and Gouriéroux, C.},
title={Factor ARMA representation of a Markov process},
journal={Economics Letters},
year={2001},
volume={71},
number={2},
pages={165-171},
doi={10.1016/S0165-1765(01)00367-6},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035589357&doi=10.1016%2fS0165-1765%2801%2900367-6&partnerID=40&md5=71f151633b35190af97beba722260c7c},
}

  • Contemporaneous asymmetry in garch processes

    Journal of econometrics, vol. 101, iss. 2, pp. 257-294, 2001.

    By M. El Babsiri and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{ElBabsiri2001257,
author={El Babsiri, M. and Zakoian, J.-M.},
title={Contemporaneous asymmetry in GARCH processes},
journal={Journal of Econometrics},
year={2001},
volume={101},
number={2},
pages={257-294},
doi={10.1016/S0304-4076(00)00084-1},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0012680138&doi=10.1016%2fS0304-4076%2800%2900084-1&partnerID=40&md5=364fcffff8f38bc670ae5c43686c554a},
}

  • Markov chain monte carlo: 10 years and still running!

    Statistics in the 21st century, , pp. 302-311, 2001.

    By O. Cappé and C. P. Robert

    [Bibtex] 

    @book{Cappé2001302,
author={Cappé, O. and Robert, C.P.},
title={Markov chain monte carlo: 10 years and still running!},
journal={Statistics in the 21st Century},
year={2001},
pages={302-311},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85057363718&partnerID=40&md5=d329880a82e61d380ec57a9bd4322062},
publisher={CRC Press},
}

  • Dynamic factor models

    Econometric reviews, vol. 20, iss. 4, pp. 385-424, 2001.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex] 

    @article{Gourieroux2001385,
author={Gourieroux, C. and Jasiak, J.},
title={Dynamic factor models},
journal={Econometric Reviews},
year={2001},
volume={20},
number={4},
pages={385-424},
doi={10.1081/ETC-100106997},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1642284774&doi=10.1081%2fETC-100106997&partnerID=40&md5=89f0382a6a03b2c33c7519bd00fe250e},
}

  • Lower bounds on bandwidth selection in hazard estimation

    Journal of nonparametric statistics, vol. 13, iss. 4, pp. 515-567, 2001.

    By J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Fermanian2001515,
author={Fermanian, J.-D.},
title={Lower bounds on bandwidth selection in hazard estimation},
journal={Journal of Nonparametric Statistics},
year={2001},
volume={13},
number={4},
pages={515-567},
doi={10.1080/10485250108832864},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0347748074&doi=10.1080%2f10485250108832864&partnerID=40&md5=5db5d82b4f27627ba67a00db93758636},
publisher={Taylor and Francis Inc.},
}

  • Stochastic optimization under constraints*

    Stochastic processes and their applications, vol. 93, iss. 1, pp. 149-180, 2001.

    By M. Mnif, H. Pham, and H. Pham

    [DOI] [Bibtex] 

    @article{Mnif2001149,
author={Mnif, M. and Pham, H. and Pham, H.},
title={Stochastic optimization under constraints*},
journal={Stochastic Processes and their Applications},
year={2001},
volume={93},
number={1},
pages={149-180},
doi={10.1016/S0304-4149(00)00089-2},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041406098&doi=10.1016%2fS0304-4149%2800%2900089-2&partnerID=40&md5=fccbcfc042ed6b904fd947bff5ce73d6},
}

2000

  • Markov chain monte carlo: 10 years and still running!

    Journal of the american statistical association, vol. 95, iss. 452, pp. 1282-1286, 2000.

    By O. Cappé and C. P. Robert

    [DOI] [Bibtex] 

    @article{Cappé20001282,
author={Cappé, O. and Robert, C.P.},
title={Markov Chain Monte Carlo: 10 Years and Still Running!},
journal={Journal of the American Statistical Association},
year={2000},
volume={95},
number={452},
pages={1282-1286},
doi={10.1080/01621459.2000.10474330},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0442325012&doi=10.1080%2f01621459.2000.10474330&partnerID=40&md5=4748abdd7addc689d27a924bd0bd93b5},
}

  • Computational and inferential difficulties with mixture posterior distributions

    Journal of the american statistical association, vol. 95, iss. 451, pp. 957-970, 2000.

    By G. Celeux, M. Hurn, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Celeux2000957,
author={Celeux, G. and Hurn, M. and Robert, C.P.},
title={Computational and inferential difficulties with mixture posterior distributions},
journal={Journal of the American Statistical Association},
year={2000},
volume={95},
number={451},
pages={957-970},
doi={10.1080/01621459.2000.10474285},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-2242491935&doi=10.1080%2f01621459.2000.10474285&partnerID=40&md5=cf43b9aa892e463fc303114307ec6f34},
}

  • Covariance matrix estimation for estimators of mixing weak arma models

    Journal of statistical planning and inference, vol. 83, iss. 2, pp. 369-394, 2000.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq2000369,
author={Francq, C. and Zakoian, J.-M.},
title={Covariance matrix estimation for estimators of mixing weak ARMA models},
journal={Journal of Statistical Planning and Inference},
year={2000},
volume={83},
number={2},
pages={369-394},
doi={10.1016/s0378-3758(99)00109-3},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0011422677&doi=10.1016%2fs0378-3758%2899%2900109-3&partnerID=40&md5=222c9a63e3af8334a027b5ebeb3371c3},
publisher={Elsevier},
}

  • On quadratic hedging in continuous time

    Mathematical methods of operations research, vol. 51, iss. 2, pp. 315-339, 2000.

    By H. Pham

    [DOI] [Bibtex] 

    @article{Pham2000315,
author={Pham, H.},
title={On quadratic hedging in continuous time},
journal={Mathematical Methods of Operations Research},
year={2000},
volume={51},
number={2},
pages={315-339},
doi={10.1007/s001860050091},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1842555622&doi=10.1007%2fs001860050091&partnerID=40&md5=d963e2cf4d8acd99c5717ccbc166b23f},
publisher={Physica-Verlag},
}

  • Econometric specification of the risk neutral valuation model

    Journal of econometrics, vol. 94, iss. 1-2, pp. 117-143, 2000.

    By E. Clement, C. Gourieroux, and A. Monfort

    [DOI] [Bibtex] 

    @article{Clement2000117,
author={Clement, E. and Gourieroux, C. and Monfort, A.},
title={Econometric specification of the risk neutral valuation model},
journal={Journal of Econometrics},
year={2000},
volume={94},
number={1-2},
pages={117-143},
doi={10.1016/S0304-4076(99)00019-6},
art_number={2063},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0346932402&doi=10.1016%2fS0304-4076%2899%2900019-6&partnerID=40&md5=0d964d76b370755251e95c7bf8c52d6b},
}

  • Estimating weak garch representations

    Econometric theory, vol. 16, iss. 5, pp. 692-728, 2000.

    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Franco2000692,
author={Franco, C. and Zakoian, J.-M.},
title={Estimating weak garch representations},
journal={Econometric Theory},
year={2000},
volume={16},
number={5},
pages={692-728},
doi={10.1017/s0266466600165041},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034359589&doi=10.1017%2fs0266466600165041&partnerID=40&md5=2baa77e02f0f0f7bc5eaa4ad68496c4d},
publisher={Cambridge University Press},
}

1999

  • Eaton’s markov chain, its conjugate partner and script p sign-admissibility

    Annals of statistics, vol. 27, iss. 1, pp. 361-373, 1999.

    By J. P. Hobert and C. P. Robert

    [Bibtex] 

    @article{Hobert1999361,
author={Hobert, J.P. and Robert, C.P.},
title={Eaton's Markov chain, its conjugate partner and script P sign-admissibility},
journal={Annals of Statistics},
year={1999},
volume={27},
number={1},
pages={361-373},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033074821&partnerID=40&md5=5b138ca76f815f7d857b950467e568ef},
}

  • Reparameterisation issues in mixture modelling and their bearing on mcmc algorithms

    Computational statistics and data analysis, vol. 29, iss. 3, pp. 325-343, 1999.

    By C. P. Robert and K. L. Mengersen

    [DOI] [Bibtex] 

    @article{Robert1999325,
author={Robert, C.P. and Mengersen, K.L.},
title={Reparameterisation issues in mixture modelling and their bearing on MCMC algorithms},
journal={Computational Statistics and Data Analysis},
year={1999},
volume={29},
number={3},
pages={325-343},
doi={10.1016/S0167-9473(98)00058-9},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033611397&doi=10.1016%2fS0167-9473%2898%2900058-9&partnerID=40&md5=e28c67dbba9805a317e2cd8313daea85},
}

  • Hedging in discrete time under transaction costs and continuous-time limit

    Journal of applied probability, vol. 36, iss. 1, pp. 163-178, 1999.

    By P. F. Koehl, H. Pham, and N. Touzi

    [DOI] [Bibtex] 

    @article{Koehl1999163,
author={Koehl, P.F. and Pham, H. and Touzi, N.},
title={Hedging in discrete time under transaction costs and continuous-time limit},
journal={Journal of Applied Probability},
year={1999},
volume={36},
number={1},
pages={163-178},
doi={10.1239/jap/1032374239},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85037919549&doi=10.1239%2fjap%2f1032374239&partnerID=40&md5=0f2d29300160cb36bb29dc1d669e3109},
publisher={University of Sheffield},
}

  • A new bandwidth selector in hazard estimation

    Journal of nonparametric statistics, vol. 10, iss. 2, pp. 137-182, 1999.

    By J. -D. Fermanian

    [DOI] [Bibtex] 

    @article{Fermanian1999137,
author={Fermanian, J.-D.},
title={A new bandwidth selector in hazard estimation},
journal={Journal of Nonparametric Statistics},
year={1999},
volume={10},
number={2},
pages={137-182},
doi={10.1080/10485259908832758},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345825183&doi=10.1080%2f10485259908832758&partnerID=40&md5=6aa67dd02579c1635ebc7c9239e0d4c4},
publisher={Taylor and Francis Inc.},
}

  • Mcmc control spreadsheets for exponential mixture estimation?

    Journal of computational and graphical statistics, vol. 8, iss. 2, pp. 298-317, 1999.

    By M. -A. Gruet, A. Philppe, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Gruet1999298,
author={Gruet, M.-A. and Philppe, A. and Robert, C.P.},
title={Mcmc control spreadsheets for exponential mixture estimation?},
journal={Journal of Computational and Graphical Statistics},
year={1999},
volume={8},
number={2},
pages={298-317},
doi={10.1080/10618600.1999.10474815},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033441527&doi=10.1080%2f10618600.1999.10474815&partnerID=40&md5=b44ee1266d3c1bc18de2a73e53164ea5},
}

  • Convergence controls for mcmc algorithms, with applications to hidden markov chains

    Journal of statistical computation and simulation, vol. 64, iss. 4, pp. 327-355, 1999.

    By C. P. Robert, T. RydÉn, and D. M. Titterington

    [DOI] [Bibtex] 

    @article{Robert1999327,
author={Robert, C.P. and RydÉn, T. and Titterington, D.M.},
title={Convergence controls for MCMC algorithms, with applications to hidden Markov chains},
journal={Journal of Statistical Computation and Simulation},
year={1999},
volume={64},
number={4},
pages={327-355},
doi={10.1080/00949659908811984},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033236612&doi=10.1080%2f00949659908811984&partnerID=40&md5=9d48bf59b2e1b4203caa5a1061804af0},
publisher={Taylor and Francis Inc.},
}

  • Bayesian estimation of switching arma models

    Journal of econometrics, vol. 93, iss. 2, pp. 229-255, 1999.

    By M. Billio, A. Monfort, and C. P. Robert

    [DOI] [Bibtex] 

    @article{Billio1999229,
author={Billio, M. and Monfort, A. and Robert, C.P.},
title={Bayesian estimation of switching ARMA models},
journal={Journal of Econometrics},
year={1999},
volume={93},
number={2},
pages={229-255},
doi={10.1016/S0304-4076(99)00010-X},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001958038&doi=10.1016%2fS0304-4076%2899%2900010-X&partnerID=40&md5=a165d6c95e81d778f58f986177ef2d58},
publisher={Elsevier BV},
}

  • The fundamental theorem of asset pricing with cone constraints

    Journal of mathematical economics, vol. 31, iss. 2, pp. 265-279, 1999.

    By H. Pham and N. Touzi

    [DOI] [Bibtex] 

    @article{Pham1999265,
author={Pham, H. and Touzi, N.},
title={The fundamental theorem of asset pricing with cone constraints},
journal={Journal of Mathematical Economics},
year={1999},
volume={31},
number={2},
pages={265-279},
doi={10.1016/S0304-4068(97)00059-1},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000483690&doi=10.1016%2fS0304-4068%2897%2900059-1&partnerID=40&md5=c9029c2b8ed2de792332174a89dbe53d},
publisher={Elsevier},
}

1998

  • Nonparametric vector autoregression

    Journal of statistical planning and inference, vol. 68, iss. 2, p. 221–245, 1998.

    By W. Hardle, A. Tsybakov, and L. Yang

    [Bibtex] 

    @article{hardle1998nonparametric,
title={Nonparametric vector autoregression},
author={Hardle, Wolfgang and Tsybakov, Alexandre and Yang, Lijian},
journal={Journal of Statistical Planning and Inference},
volume={68},
number={2},
pages={221--245},
year={1998},
publisher={Elsevier},
}

  • A pathological mcmc algorithm and its use as a benchmark for convergence assessment techniques

    Computational statistics, vol. 13, iss. 2, pp. 169-184, 1998.

    By C. P. Robert

    [Bibtex] 

    @article{Robert1998169,
author={Robert, C.P.},
title={A pathological MCMC algorithm and its use as a benchmark for convergence assessment techniques},
journal={Computational Statistics},
year={1998},
volume={13},
number={2},
pages={169-184},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032388507&partnerID=40&md5=6daade981423f8edb64e95155085a850},
}

  • Discretization of continuous markov chains and markov chain monte carlo convergence assessment

    Journal of the american statistical association, vol. 93, iss. 443, pp. 1055-1067, 1998.

    By C. Guihenneuc-jouyaux and C. P. Robert

    [DOI] [Bibtex] 

    @article{Guihenneuc-jouyaux19981055,
author={Guihenneuc-jouyaux, C. and Robert, C.P.},
title={Discretization of continuous markov chains and markov chain monte carlo convergence assessment},
journal={Journal of the American Statistical Association},
year={1998},
volume={93},
number={443},
pages={1055-1067},
doi={10.1080/01621459.1998.10473767},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85012534904&doi=10.1080%2f01621459.1998.10473767&partnerID=40&md5=18086511b2452ef238e347a759855f89},
}

  • Estimating linear representations of nonlinear processes

    Journal of statistical planning and inference, vol. 68, iss. 1, pp. 145-165, 1998.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq1998145,
author={Francq, C. and Zakoian, J.-M.},
title={Estimating linear representations of nonlinear processes},
journal={Journal of Statistical Planning and Inference},
year={1998},
volume={68},
number={1},
pages={145-165},
doi={10.1016/S0378-3758(97)00139-0},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063592&doi=10.1016%2fS0378-3758%2897%2900139-0&partnerID=40&md5=8cd68488baf1d28371901a9f1a93fdf7},
publisher={Elsevier},
}

  • Switching state-space models likelihood function, filtering and smoothing

    Journal of statistical planning and inference, vol. 68, iss. 1, pp. 65-103, 1998.

    By M. Billio and A. Monfort

    [DOI] [Bibtex] 

    @article{Billio199865,
author={Billio, M. and Monfort, A.},
title={Switching state-space models likelihood function, filtering and smoothing},
journal={Journal of Statistical Planning and Inference},
year={1998},
volume={68},
number={1},
pages={65-103},
doi={10.1016/S0378-3758(97)00136-5},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063451&doi=10.1016%2fS0378-3758%2897%2900136-5&partnerID=40&md5=ba3b9f849f6c70df14978d271286b96d},
publisher={Elsevier},
}

  • Estimation of quadratic functions: noninformative priors for non-centrality parameters

    Statistica sinica, vol. 8, iss. 2, pp. 359-375, 1998.

    By J. O. Berger, A. Philippe, and C. P. Robert

    [Bibtex] 

    @article{Berger1998359,
author={Berger, J.O. and Philippe, A. and Robert, C.P.},
title={Estimation of quadratic functions: Noninformative priors for non-centrality parameters},
journal={Statistica Sinica},
year={1998},
volume={8},
number={2},
pages={359-375},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032364488&partnerID=40&md5=12c5a88243573b9073fa7fd36f20b489},
}

  • Covariance matrix estimation for estimators of weak arma models [estimation de la précision asymptotique dans l’estimation de modèles arma faibles]

    Comptes rendus de l’academie des sciences – series i: mathematics, vol. 326, iss. 3, pp. 377-380, 1998.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq1998377,
author={Francq, C. and Zakoian, J.-M.},
title={Covariance matrix estimation for estimators of weak ARMA models [Estimation de la précision asymptotique dans l'estimation de modèles ARMA faibles]},
journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
year={1998},
volume={326},
number={3},
pages={377-380},
doi={10.1016/s0764-4442(97)82998-9},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-17044451140&doi=10.1016%2fs0764-4442%2897%2982998-9&partnerID=40&md5=bdabaacabb8b0f970107ab93f6e8b241},
publisher={Elsevier Masson SAS},
}

  • Reparameterization strategies for hidden markov models and bayesian approaches to maximum likelihood estimation

    Statistics and computing, vol. 8, iss. 2, pp. 145-158, 1998.

    By C. P. Robert and D. M. Titterington

    [DOI] [Bibtex] 

    @article{Robert1998145,
author={Robert, C.P. and Titterington, D.M.},
title={Reparameterization strategies for hidden Markov models and Bayesian approaches to maximum likelihood estimation},
journal={Statistics and Computing},
year={1998},
volume={8},
number={2},
pages={145-158},
doi={10.1023/A:1008938201645},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041724127&doi=10.1023%2fA%3a1008938201645&partnerID=40&md5=8ac43aff4cadaebccf10a5f28c6d4274},
publisher={Springer Netherlands},
}

  • Estimating weak garch representations [estimation de représentations garch faibles]

    Comptes rendus de l’academie des sciences – series i: mathematics, vol. 326, iss. 4, pp. 495-498, 1998.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex] 

    @article{Francq1998495,
author={Francq, C. and Zakoian, J.-M.},
title={Estimating weak GARCH representations [Estimation de représentations GARCH faibles]},
journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
year={1998},
volume={326},
number={4},
pages={495-498},
doi={10.1016/S0764-4442(97)89798-4},
url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0040675179&doi=10.1016%2fS0764-4442%2897%2989798-4&partnerID=40&md5=70bd66d141ffa5d1fa76896f1a49081f},
publisher={Elsevier Masson SAS},
}