Welcome to the Finance-Insurance Group. We are a group of driven researchers specialized in the quantitative analysis of finance and insurance problems. The group has accompanied the growth of CREST since its creation, and is now composed of 7 permanent researchers, 2 emeritus professors and 10 PhD students, plus several affiliates from Parisian Universities and Business Schools.

We publish in the top international journals in our field (Econometrica, Journal of Econometrics, Mathematical Finance, Finance & Stochastics, J. of Financial Econometrics…), regularly participate in major international conferences and organise specialized conferences and seminars.

Our research encompasses a wide spectrum of  domains in Financial Econometrics, Mathematical Finance and Insurance. Historical topics of the Group include among others: i) the study of volatility GARCH-type models, ii) Portfolio optimization, iii) the Econometrics of conditional risks, iv) Regulation, Systemic Risks and Contagion, v) Dependence modeling in credit risks, vi) Dynamic copulas.

We also aim at developing new areas of research, like those related to the emerging risks (cyber-risks, climatic risks, longevity risks..),  new markets (in particular in the Energy sector),  new models (e.g. for  environmental economics), new type of data (e.g. high-frequency data and integer valued financial time series), or new statistical approaches (e.g. Machine learning or the use of noncausal models for Bubble prediction).

We also aim at creating a stimulating learning and research environment for students in Finance, in particular at the Master and PhD levels. Beyond the academic research, we are also motivated by applications to real problems and have developed links with the Finance Industry, in particular through research Chaires.

Contacts

Jean-David Fermanian (Director)

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• Nov
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Finance, Financial Econometrics

Elisa OSSOLA (Università Milano Bicocca, DEMS) “WHEN DO INVESTORS GO GREEN? EVIDENCE FROM A TIME-VARYING ASSET...

10:30 AM - 11:30 PM
• Nov
17
Finance, Financial Econometrics

Zhenya LIU (Renmin & Aix-Marseille) “A MISPRICING FACTOR, IPCA, AND CHINA A-SHARES MARKET”

11:30 AM - 12:30 PM

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

Journal of econometrics, , 2022.

By J. Royer

@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 models

Econometric theory forthcoming, , 2022.

By C. Francq and J-M. Zakoïan

@article{francq2022heteroskedastic,
author={Francq, C. and Zakoïan, J-M.},
title={Local Asymptotic Normality of general conditionally heteroskedastic and score driven models},
journal={Econometric Theory forthcoming},
year={2022},
}
• 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. Zakoïan

@article{francq2022adaptiveness,
author={Francq, C. and Zakoïan, 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},
}

• Stationarity and ergodicity of markov switching positive conditional mean models

Journal of time series analysis, , 2021.

By A. Aknouche and C. Francq

@article{aknouche2021ergodicity,
author={Aknouche, A and Francq, C.},
title={Stationarity and ergodicity of Markov switching positive conditional mean models},
journal={Journal of Time Series Analysis},
year={2021},
url={https://onlinelibrary.wiley.com/doi/10.1111/jtsa.12621},
}
• 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

@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

@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},
}