A

  • Achab M., E. Bacry, J.-F. Muzy and M. Rambaldi • 2018 • "Analysis of order book flows using a nonparametric estimation of the branching ratio matrix" • Quantitative Finance • Volume 18, Issue 2.
  • Ain Tommar S., S. Darolles, and E. Jurczenko • 2023 • "Private Equity Performance around the World" • Forthcoming in Financial Analysts Journal .
  • Auray, S., and C., Gourieroux • 2014 • "Procyclicité des régulations Financières" • Opinions et Débats, Institut Louis Bachelier .

B

  • Bacry E. • 2019 • "Disentangling and quantifying market participant volatility contributions" • Quantitative Finance • 19 (10), 1613-1625.
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  • Bacry E., F. Lillo, M. Rambaldi • 2017 • "The role of volume in order book dynamics: a multivariate Hawkes process analysis" • Quantitative Finance • 17 (7), 999-1020.
  • Bacry E., I. Mastromatteo, and J.-F. Muzy • 2014 • "Hawkes processes in finance" • Market Microstructure and Liquidity • Vol. 01, No. 01, 1550005.
  • Balstas N. • 2016 • "Multi-Asset Seasonality and Trend-Following Strategies" • Bankers, Markets & Investors • 140, January-February 2016, 47-62.
  • Belly G., L. Boeckelmann, C. M. Caicedo Graciano, A. Di lorio, V. Siakoulis, and A. Stalla-Bourdillon • 2023 • "Forecasting Sovereign Risk in the Euro Area via Machine Learning" • Journal of Forecasting • 42 (3), p. 657-684.
  • Benhamou E., and D. Satiel • 2018 • "Feature selection with optimal coordinate ascent (OCA)" • arXiv:1811.12064v3.
  • Benhamou E., D. Saltiel • 2020 • "Similarities between policy gradient methods in reinforcement and supervised learning, ESANN 2020 proceedings, European Symposium on Artificial Neural Networks, Computational Intelligence and Machine Learning" • Online .
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  • Benhamou E., D. Saltiel, S. Verel, F. Teytaud • 2019 • "BCMA-ES: A Bayesian approach to CMA-ES" • arXiv preprint arXiv:1904.0140.
  • Benhamou E., J. Atif, R. Laraki • "A short note on the operator norm upper bound for sub-Gaussian tailed random matrices" • 2019 . see more
  • Benhamou E., J. Atif, R. Laraki, D. Saltiel • 2019 • "NGO-GM: Natural Gradient Optimization for Graphical Models" • arXiv preprint arXiv:1905.05444.
  • Benhamou, E • 2018 • "Kalman filter demystified" • : from intuition to probabilistic graphical model to real case in financial markets . see more
  • Benhamou, E • 2018 • "Gram Charlier and Edgeworth expansion for sample variance" • arXiv:1809.06668v1.
  • Benhamou, E • 2018 • "Connecting Sharpe ratio and Student t-statistic, and beyond" . see more
  • Benhamou, E • 2019 • "T-statistic for Autoregressive process" • Journal of Statistical and Econometric Methods • Vol.8, No.1, 2019, 43-67.
  • Benhamou, E., and B. Guez • 2018 • "Incremental Sharpe and other performance ratios" • arXiv:1807.09864v5.
  • Benhamou, E., and D. Satiel • 2018 • "Trade Selection with Supervised Learning and OCA" • arxiv.org/abs/1812.04486.
  • Benhamou, E., and V. Melot • 2018 • "Seven proofs of the Pearson Chi-squared independence test and its graphical interpretation" . see more
  • Benhamou, E., B. Guez, and N. Paris • 2018 • "Three remarkable properties of the Normal distribution" . see more
  • Bialkowski, J., Darolles, S. and G. le Fol • 2012 • "Reducing the risk of VWAP orders execution A new approach to modeling intra-day volume" • JASSA • No. 1, 2012, 12-18.
  • Bizri M., M. Bozec, N. Leconte and G. Le Fol, • 2018 • "Les actifs illiquides : une oasis dans le désert du rendement ?" • Revue Banque • 25-28.
  • Boloorforoosh, A., Christoffersen, P., Fournier, M., and C., Gourieroux, • 2020 • "Beta Risk in the Cross-Section of Stocks and Options" • Review of Financial Studies, Volume 33, Issue 9 • Pages 4318–4366.
  • Bouin M., M. Bozec, J. El Asmar, and G. Le Fol • 2017 • "Big Data: Quelle révolution pour les marchés financiers et la gestion de portefeuille" • Revue Banque, 18-20 .
  • Brière, C.-A. Lehalle, T. Nefedova and A. Raboun • 2019 • "Stock Market Liquidity and the Trading Costs Factors" • University College Dublin (UCD), Ireland • Proceedings of the International Conference on Fintech & Financial Data Science.
  • Brolley M. and M. Zoican • 2023 • "On-Demand Fast Trading at Distributed Exchanges" • Finance Research Letters • vol. 51, 103350.
  • Brolley M. and M. Zoican • 2023 • "Liquid Speed: A Micro-Burst Fee for Low-Latency Exchanges" • Journal of Financial Markets • vol. 64, Issue C. Available online since 2022.
  • Brolley M. and M. Zoican • 2023 • "On-demand Fast Trading on Decentralized Exchanges" • Finance Research Letters • vol. 51, 103350.

C

  • Cai, J., M. Fukasawa, M. Rosenbaum and P. Tankov • 2016 • "Optimal discretization of hedging strategies with directional views" • SIAM Journal of Financial Mathematics • 7 (1), 34-69.
  • Calamia A., Deville L. and F. Riva • 2019 • "Liquidity provision in ETF markets: The basket and beyond" • Finance • vol.40 n°1, 58-85.
  • Calamia A., L. Deville, F. Riva • 2013 • "Liquidity in European Equity ETFs: What really matters?" • Bankers Markets & Investors • 124, 60-73.
  • Cerovecki, C., Hörmann S., Francq, C. and J.M. Zakoïan • 2019 • "Functional GARCH models: the quasi-likelihood approach and its applications" • Journal of Econometrics • 209, 353-375.
  • Chalmin, P. and S. Darolles • 2022 • "Vers un nouvel équilibre mondial" • Revue Banque • 874 bis.
  • Chan H. • 2022 • "Market Impact Decay and Capacity" • Journal of Portfolio Management • 48(6) 127-144.
  • Chan H., and T. Tan • 2023 • "Crowding and Liquidity Shocks" • Journal of Portfolio Management • vol. 49(3), 36-61.
  • Chapkovski P. and M. Khapko and M. Zoican • 2023 • "Trading Gamification and Investor Behaviour" • Management Science • Forthcoming.
  • Chatelais N., A. Stalla-Bourdillon, and M. Chinn • 2023 • "Forecasting Real Activity using Cross-Sectoral Stock Market Information" • Journal of International Money and Finance • Vol 131, 102800. Available online since 2022.
  • Chevalier C. and S. Darolles • 2019 • "Trends everywhere? The case of hedge fund styles" • Journal of Asset Management • 20 (6), 442-468.
  • Chevalier, C., and S. Darolles • 2022 • "Diversifying Trends" • Econometrics and Statistics • In Press.

D

  • Darolles S. • 2016 • "The rise of FinTechs and their regulation" • Financial Stability Review • 20, 85-92.
  • Darolles S. • 2018 • "La problématique de l’investissement à long terme et du risque de liquidité" • Option Finance .
  • Darolles S. • 2022 • "Données alternatives en finance : quels champions pour demain ?" • Option Finance • 25, Novembre..
  • Darolles S. • 2022 • "Quelle feuille de route économique pour les prochaines élections ?" • Le Magazine de Professions Financière et de l’Économie • Avril.
  • Darolles S., and G. Le Fol • 2014 • "Trading Volume and Arbitrage" • International Journal on Business Review (GBR) • Vol.3 No.3, June 2014, 30-39.
  • Darolles S., C. Francq and S. Laurent • 2018 • "Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas" • Journal of Econometrics • 204, Issue 2, June 2018, 223-247.
  • Darolles S., G. Le Fol and G. Mero • 2022 • "Timing the Size Risk Premia" • Finance • Vol. 43 issue 2, p. 111-158.
  • Darolles S., G. Le Fol, and Mero G • 2017 • "Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flows" • Journal of Econometrics, • 201, 367-383.
  • Darolles S., G. Le Fol, Y. Lu, and R. Sun • 2019 • "Bivariate INAR processes with application to mutual fund share purchase/redemption counts" • Journal of Multivariate Analysis • 173, 181-203.
  • Darolles S., Le Fol, G. and G. Mero • 2015 • "Measuring the liquidity Part of Volume" • Journal of Banking and Finance • 50, 92-105.
  • Darolles, S. • 2014 • "Evaluating UCITS Compliant Hedge Fund Performance" • Bankers, Markets and Investors • 133.
  • Darolles, S. • 2023 • "Scores ESG : quelles questions se poser avant de les utiliser ?" • Option Finance • 24 novembre.
  • Darolles, S. and C., Gourieroux • 2015 • "Performance fees and hedge fund return dynamics" • International Journal of Approximate Reasoning • 65, 45–58.
  • Darolles, S. and Vaissié • 2017 • "Diversification at a Reasonable Price" • Bankers, Markets & Investors • 148, 49-58.
  • Darolles, S. Dudek, J. and G. Le Fol • 2016 • "Gauging Liquidity Risk in Emerging Market Bond Index Funds" • Annals of Economics and Statistics • 123/124, 247-269.
  • Darolles, S., and C., Gouriéroux • 2013 • "Effects of Management and Provision Accounts on Hedge Fund Returns" • Part 2: The Loss Carry Forward Scheme", eds.Huynh et al., Modelling Dependence in Econometrics, Advances in Intelligents Systems and Computing • 251, 47-62, Springer Verlag.
  • Darolles, S., Gourieroux, C., and J., Teiletche • 2015 • "The Dynamics of Hedge Funds Performance" • Econometrics of Risk, ed. Huynh, Kreinovich, Songsak, Heidelberg • 85-113.
  • Dayri, K. and M. Rosenbaum • 2015 • "Large tick assets: implicit spread and optimal tick size" • Market Microstructure and Liquidity • 1 (1), 1550003.
  • Deville L. and F. Riva • 2019 • "ETF : l’illusion de la liquidité" • Xerfi Canal .
  • Deville L. and F. Riva • 2019 • "Innovation financière et recherche en finance" • Xerfi Canal .
  • Deville L. et F. Riva • 2019 • "Innovation financière et recherche en finance : le cas des Exchange-Traded Funds" • Revue Française de Gestion, Vol. 285 N° 8 • p. 101-118.
  • Djogbenou A., C. Gourieroux and, J. Jasiak • 2021 • "Testing for Endogeneity of Covid-19 Patient Assignments" • Journal of Financial Econometrics • 1-27.
  • Djogbenou A., C. Gouriéroux, J. Jasiak and M. Bandehali • 2023 • "Composite Likelihood for Stochastic Migration Model with Unobserved Factor" • Journal of Financial Econometrics • Forthcoming.
  • Djogbenou A., Gouriéroux G., and J. Jasiak • 2021 • "Testing for Endogeneity of COVID-19 Patient Assignments" • Forthcoming Journal of Statistical and Econometric Methods .
  • Dungey, M. and E. Renault • 2018 • "Identifying Contagion" • Journal of Applied Econometrics, 33, Issue 2 • p. 227-250.

E

  • Eisele A., T. Nefedova, G. Parise and K. Peijnenburg • 2019 • "Trading Out of Sight: An Analysis of Cross-Trading in Mutual Fund Families" • Journal of Financial Economics • Vol. 135, Issue 2, p. 359-378.

F

  • Fays, B. M. Lambert, and N. Papageorgiou • 2021 • "Risk optimizations on basis portfolios: The role of sorting" • Journal of Empirical Finance • Volume 63, p. 136-163.
  • Fays, B., G. Hübner, and M. Lambert • 2022 • "Understanding the Stable Components of Seasonality in the Size Effect" • Journal of Portfolio Management • 48 (7), 138-155.
  • Fays, B., G. Hübner, and M. Lambert • 2022 • "Harvesting the seasons of the size anomaly" • Journal of Asset Management • 23 (4), 337-349.
  • Florens, J.P., Gourieroux, C., and A. Monfort • 2019 • "Model Risk Management : Limits and Future of Bayesian Approaches" • Annals of Economics and Statistics • 136, 1-26.
  • Francq C. and J.M. Zakoian • 2024 • "Testing hypotheses on the innovations in semi-parametric conditional volatility models" • Journal of Financial Econometrics • vol. 21, Issue 5, 1443-1482.
  • Francq C., and J.M. Zakoïan • 2023 • "Optimal estimating function for weak location-scale dynamic models" • Journal of Time Series Analysis • vol. 44, 533-555.
  • Francq C., B. M. Kandji and J.M. Zakoïan • 2023 • "Inference on multiple component GARCH without any small-order moment" • Econometric Theory • Forthcoming.
  • Francq, C. and J.M. Zakoïan • 2015 • "Risk-parameter estimation in volatility models" • Journal of Econometrics • 184 (1), p.158-173.
  • Francq, C. and J.M. Zakoïan • 2018 • "Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models" • Journal of Econometrics • 205, 381-401.
  • Francq, C. and J.M. Zakoïan • 2020 • "Virtual Historical Simulation for estimating the conditional VaR of large portfolios" • Journal of Econometrics • 127, 356-380.
  • Francq, C., and J.M. Zakoïan • 2022 • "Testing the existence of moments for GARCH processes" • Journal of Econometrics • 227, 47-64.
  • Francq, C., and J.M. Zakoïan • 2023 • "Testing hypotheses on the innovations in semi-parametric conditional volatility models" • Journal of Financial Econometrics • vol. 21, Issue 5, p. 1443-1482. available online since 2022.
  • Francq, C., and J.M., Zakoian • 2016 • "Estimating multivariate volatility models equation by equation" • Journal of the Royal Statistical Society • B, 78, 613-631.
  • Francq, C., and J.M., Zakoian • 2016 • "Looking for efficient QML estimation of conditional value-at-risk at multiple risk levels" • Annals of Economics and Statistics • 123/124, 9–28.
  • Francq, C., Horvath, L., and J.M., Zakoian • 2016 • "Variance Targeting Estimation of Multivariate GARCH Models" • Journal of Financial Econometrics • 14, 353-381.
  • Francq, C., O. Wintenberger, and J.M., Zakoian • 2017 • "Goodness of Fit Test for Log-GARCH and EGARCH Models" • Test • 27, 27-51.
  • Fries, S. and J.M. Zakoïan • 2019 • "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles" • Econometric Theory • 35, 1234-1270.

G

  • Gagliardini, P., and C., Gouriéroux • 2015 • "Granularity Adjustment for Risk Measures" • International Journal of Approximate Reasoning • 54,717-747.
  • Gagliardini, P., and C., Gouriéroux • 2013 • "Correlated Risks vs Contagion in Stochastic Transition Models" • Journal of Economic Dynamics and Control • 37, 2241-2269.
  • Gagliardini, P., and C., Gourieroux • 2014 • "Efficiency in Large Dynamic Panel Models with Common Factors" • Econometric Theory • 30, 961-1020.
  • Gagliardini, P., and C., Gourieroux • 2016 • "Spread Term Structure and Default Correlation" • Annals of Economics and Statistics • 123, 175-224.
  • Gagliardini, P., and C., Gourieroux • 2017 • "Double Instrumental Variable for Interaction Models with Big Data" • Journal of Econometrics • 201, 176-197.
  • Gagliardini, P., and C., Gourieroux • 2019 • "Identification by Laplace Transforms in Panel or Time Series Models with Unobserved Stochastic Dynamic Effects" • Journal of Econometrics • 208, Issue 2, 613-637.
  • Gagliardini, P., Gourieroux, C., and M., Rubin • 2019 • "Positional Portfolio Management" • Journal of Financial Econometrics • p. 1-57.
  • Gatheral J., T. Jaisson, and M., Rosenbaum • 2018 • "Volatility is rough" • Quantitative Finance • Vol. 18, No. 6, 933-949.
  • Gourieroux C., and J. Jasiak • 2023 • "Generalized Covariance Estimators" • Journal of Business and Economic Statistics • 41, 1315-1327.
  • Gourieroux C., and J. Jasiak • 2023 • "Temporally Local Maximum Likelihood with Application to SIS Model" • Journal of Time Series Analysis • Forthcoming.
  • Gourieroux C., and J., Jasiak • 2023 • "Dynamic Deconvolution of Independent AR(1) Sources" • Journal of Time Series Analysis, • 44, 151-180.
  • Gourieroux C., and Y. Lu • 2023 • "Noncausal Affine Processes with Applications to Derivating Pricing" • Mathematical Finance • 33, 766-796.
  • Gourieroux C., and Y. Lu • 2020 • "Negative Binomial Autoregressive Process with Stochastic Intensity" • Journal of Time Series Analysis • 40, 225-247.
  • Gouriéroux G., A. Hencic, and J. Jasiac • 2021 • "Forecast performance and bubble analysis in noncausal MAR(1, 1) processes" • International Journal of Forecasting, • 40(2), p. 301-326.
  • Gouriéroux G., A. Montfort, and J.P. Renne • 2020 • "Identification and Estimation in Nonfundamental Structural Models" • The Review of Economic Studies • vol. 87, 2020, p. 1915–1953.
  • Gouriéroux G., and A. Monfort • 2021 • "Model Risk Management: Valuation and Governance of Pseudo Models" • Econometrics and Statistics • vol. 17(C), 1-22.
  • Gourieroux, C ., and J., Jasiak • 2016 • "Filtering, Prediction and Estimation of Noncausal Processes" • Journal of Time Series Analysis • 37(3), 405–430.
  • Gourieroux, C, Jasiak, J., and A., Monfort, • 2020 • "Stationary Dynamic Equilibria in Rational Expectation Models" • Journal of Econometrics • Volume 218, Issue 2, p. 714-735.
  • Gouriéroux, C. and A., Monfort • 2013 • "Granularity Adjustment and Efficient portfolios" • Econometric Reviews • 32, 449-468.
  • Gouriéroux, C. and J.M. Zakoïan • 2015 • "On uniqueness of moving average representations of heavy-tailed stationary processes" • Journal of Time Series Analysis • 36, 876-887.
  • Gouriéroux, C., A. Monfort , and J.P. Renne • 2022 • "Required Capital for Long-Run Risks" • Journal of Economic Dynamics and Control • vol. 144, n° 104502.
  • Gourieroux, C., and A., Hencic • 2015 • "Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates" • Econometrics of Risk • ed. Huynk, Kreinovich, Songsak, Heidelberg.
  • Gourieroux, C., and A., Monfort • 2016 • "The Double Default Value of the Firm Model" • Journal of Credit Risk • 12,47-76.
  • Gourieroux, C., and A., Monfort • 2015 • "Pricing with Finite Dimensional Dependence" • Journal of Econometrics • 187 (2), 408-417.
  • Gourieroux, C., and A., Monfort • 2017 • "Composite Indirect Inference with Application to Corporate Risks" • Econometrics and Statistics • 7, 30-45.
  • Gourieroux, C., and J. Jasiak • 2022 • "Long Run Predictions" • Annals of Economics and Statistics • forthcoming .
  • Gourieroux, C., and J., Jasiak • 2017 • "Noncausal Vector autoregressive Process : Representation, Identification and Semi-Parametric Estimation" • Journal of Econometrics • 200, 118-134.
  • Gourieroux, C., and J., Jasiak • 2023 • "Time Varying Markov Process with Partially Observed Aggregate Data: An Application To Coronavirus" • Journal of Econometrics • vol. 232, issue 1, p. 35-51.
  • Gouriéroux, C., and J.M., Zakoïan • 2013 • "Estimation Adjusted VaR" • Econometric Theory • 29, 735-770.
  • Gourieroux, C., and J.M., Zakoian • 2017 • "Local Explosion Modelling by Noncausal Cauchy Autoregressive Process" • Journal of the Royal Statistical Society • 79, 737-756.
  • Gourieroux, C., and Y., Lu • 2019 • "Least Impulse Response Estimator for Stress Test Exercices." • Journal of Banking and Finance • 103, 62-77.
  • Gourieroux, C., and Y., Lu • 2020 • "Long Term Care and Longevity." • Revise and resubmit Journal of Econometrics .
  • Gourieroux, C., and Y., Lu, Love and Death • 2015 • "A Freund Model with Frailty" • Insurance: Mathematics and Economics • 63, 191-203, 2015.
  • Gouriéroux, C., Heam, J.C., and A., Monfort • 2013 • "Liquidation Equilibrium with Seniority and Hiden CDO" • Journal of Banking and Finance, • 37, 5261-5274.
  • Gourieroux, C., Monfort, A., and E., Renault • 2017 • "Consistent Pseudo-Maximum Likelihood Estimators" • Annals of Economics and Statistics • 200, 187-218.
  • Gourieroux, C., Monfort, A., and J.M., Zakoian • 2019 • "Pseudo-Maximum Likelihood and Groups of Transformation" • Econometrica • 87, 327-345.
  • Gourieroux, C., Monfort, A., and J.P., Renne • 2014 • "Pricing Default Events: Surprise, Exogeneity and Contagion" • Journal of Econometrics • 182, 397-411.
  • Gourieroux, C., Monfort, A., and J.P., Renne • 2017 • "Statistical Inference for Independent Component Analysis" • Journal of Econometrics • 196, 111-126.
  • Gourieroux, C., Monfort, A., Mouabbi S., and J.P., Renne • 2021 • "Disastrous Defaults" • Review of Finance • 25 (6), 1727-1772.
  • Gourieroux, C., Monfort, A., Pegoraro, F., and J.P., Renne • 2014 • "Regime Switching and Bond Pricing" • Journal of Financial Econometrics • 12, 37-77, 2014.
  • Gourieroux, C., Nguyen, H., and T., Sriboonchitta • 2016 • "Nonparametric Estimation of a Scalar Diffusion From Discrete Time Data: A Survey" • Annals of Operations Research • July.
  • Gourieroux,C ., and J., Jasiak • 2018 • "Misspecification of Causal and Noncausal Orders in Autoregressive Processes" • Journal of Econometrics, • 205, Issue 1, 226-248.
  • Gouriéroux,C., and A., Monfort • 2013 • "Allocating Systemic Risk in a Regulatory Prespective" • International Journal of Applied and Theoretical Finance • 16, 7.
  • Gouriéroux,C.,and A., Monfort, • 2013 • "Linear Price Term Structure models" • Journal of Empirical Finance • 24, 1-9.

H

  • Haas M. D., M. Khapo and M. A. Zoican • 2021 • "Speed and Learning in High-Frequency Auctions." • Journal of Financial Markets • vol. 54, June.
  • Huang W., C.-A. Lehalle and M. Rosenbaum • 2015 • "Simulating and analyzing order book data: The queue-reactive model" • Journal of the American Statistical Association • 110 (509), p 107-122.
  • Huang W., C.-A. Lehalle, and M. Rosenbaum • 2016 • "How to predict the consequences of a tick value change? Evidence from the Tokyo Stock Exchange pilot program" • Market Microstructure and Liquidity • Vol. 02, No. 03n04, 1750001. see more
  • Hübner, G., and M. Lambert • 2019 • "Performance sharing in risky portfolios: The case of hedge fund returns and fees" • Journal of Portfolio Management • 45(4), 105-118.

J

  • Jay E., P. Duvaut, S. Darolles and C. Gouriéroux • 2011 • "Regularization of the Kalman Filter for Exogenous Outlier Removal: Application to Hedge Funds" • Computational Advances in Multi-Sensor Adaptive Processing • (CAMSAP).
  • Jourde T., and A. Stalla-Bourdillon • 2021 • "Is there a Bubble in “Green” Equities?" • Blog Banque de France .
  • Jurczenko E. and J. Teiletche • 2017 • "Active Risk-Based Investing" • Journal of Portfolio Management • 44, Issue 3, 55-65.
  • Jurczenko, E., T. Michel and J. Teiletche • 2015 • "A unified framework for risk-based investing" • Journal of Investment Strategies • vol 4 (4), 1-29.

K

  • Karrer J., A. Louzier and J. Luca de Tena Gonzalez • 2021 • "La finance, une solution face aux enjeux environnementaux" • Revue Banque • October, 14-17.
  • Khapko M. and M. Zoican, • 2019 • "How fast should trades settle?" • Management Science • 66 (10), 4573–4593.
  • Khapo M. and M. A. Zoican • 2021 • "Do speed bumps curb speed investment? Evidence from a laboratory market" • Journal of Financial Markets • vol. 55, September.

L

  • Lambert M., M. Zoican, and 341 other co-authors • 2023 • "Non-standard errors" • Journal of Finance • Forthcoming.
  • Lambert, M., and F. Platania, F. • 2020 • "The macroeconomic drivers in hedge fund beta management." • Economic Modelling • 91, 65-80.
  • Lambert, M., Fays, B., and G. Hübner, G. • 2020 • "Factoring Characteristics into Returns: A Clinical Study on the SMB and HML Portfolio Construction Methods" • Journal of Banking and Finance • 114, 105811.
  • Le Fol G. and A. Tlemsani • 2019 • "Le retour de la volatilité: asphyxie ou nouveau souffle?" • Revue Banque • Juin 2019, 38-41.
  • Le Fol, G • 2012 • "Development of Quantitative Management" • Risque • 88.
  • Le Fol, G., and B. Méhouas • 2016 • "Liquidité et risque de liquidité" • Revue Banque • p. 42-46.
  • Li, D., Ling, S. and J.M. Zakoïan • 2015 • "Asymptotic inference in multiple-threshold double autoregressive models" • Journal of Econometrics • 189(2), p. 415-427.

M

  • Martineau C. and M. Zoican • 2023 • "Retail trading and Analyst Coverage" • Journal of Financial Markets • vol. 66, 100849.
  • Menkveld, A. and M. Zoican • 2017 • "Need for Speed? Exchange Latency and Liquidity" • Review of Financial Studies • 30, 1188-1228.
  • Menkveld, A. and V. van Kervel • 2019 • "High-Frequency Trading around Large Institutional Orders" • The Journal of Finance • Vol. 74(3), 1091-1137.
  • Mhalla, L., Hambuckers, J., and M. Lambert, M • 2022 • "Extremal connectedness and systemic risk of hedge Funds" • Journal of Applied Econometrics • vol. 37, Issue 5, p. 988-1009.

N

  • Nefedova T., and G. Pratobevera • 2020 • "Do Institutions Play Hide-and-Sell in the IPO aftermarket?" • Journal of Corporate Finance • Volume 64, October 2020, 101627.

R

  • Rajesh R., Vertier P., Lemaire T., Stalla-Bourdillon A., and A. Le Métayer • 2022 • "Dynamics and Implications of the Recent Rise in Wheat Prices" • Blog Banque de France • December.
  • Riva F • 2018 • "Quel Avenir pour les Initial Coin Offerings?" • Revue Banque • Juillet 2018, 17-20.
  • Riva F • 2019 • "Les fonds à frais nuls sont-ils gratuits" • Option Finance • n° 1512, 27 mai.
  • Riva, F • 2017 • "Les ETF sont-ils vecteurs de risqué systémique?" • Option Finance • 9 Décembre .
  • Rosenbaum M. and J. Jacod • 2013 • "Quarticity and other functionals of volatility: efficient estimation" • The Annals of Statistics • Vol. 41, No. 3, 1462-1484.
  • Rosenbaum M., S. Delattre and C. Y. Robert • 2013 • "Estimating the efficient price from the order flow: a Brownian Cox process approach" • Stochastic Processes and Their Applications • 123 (7), p 2603-2619.
  • Royer J. • 2021 • "Conditional asymmetry in ARCH(∞) models" • Forthcoming in Journal of Econometrics .

T

  • Tennert J., M. Lambert, and H.-P. Burghof • 2018 • "Moral Hazard in High-Risk Environments: Optimal Follow-on Investing in Venture Capital Finance" • Venture Capital • 20(4), 323-338.