A

  • Ain Tommar S., S. Darolles and E. Jurczenko • "The Geography of Private Equity Returns".
  • AinTommar, S., and S. Darolles • "Permanent capital, permanent struggle? New evidence from listed private equity".
  • Allard, M., Bronsard, C., and C. Gourieroux • "Aversion to Impatience, Uncertainty and Illiquidity".
  • Allen, D.E., McAleer, M. and Singh A.K. • "An entropy-based analysis of the relationship between the DOW JONES Index and the TRNA Sentiment series".
  • Allen, D.E., McAleer, M. and Singh A.K. • "Daily Market News Sentiment and Stock Prices".
  • Atif, J., A. Auger, E. Benhamou, and R. Laraki • "A new approach to learning in Dynamic Bayesian Networks (DBNs)".
  • Atif, J., A. Auger, E. Benhamou, and R. Laraki • "A discrete version of CMA-ES".
  • Atif, J., A. Auger, E. Benhamou, and R. Laraki • "Operator norm upper bound for sub-Gaussian tailed random matrices".

B

  • Baltas A.-K., and R. Kosowski • "Momentum Strategies in Futures Markets and Trend-following Funds".
  • Becam, A., Darolles. S. and Le Fol, G. • "Smoothed Returns and Managers’ skills".
  • Becam, A., Darolles. S. and Le Fol, G. • "Serial correlation and time-varying liquidity in the hedge fund industry".
  • Benhamou E. • "A few properties of sample variance".
  • Benhamou E. • "Variance Reduction in Actor Critic Methods (ACM)".
  • Benhamou E. • "Similarities between policy gradient methods (PGM) in reinforcement learning (RL) and supervised learning (SL)".
  • Benhamou E., B. Guez, and N. Paris • "Omega and Sharpe Ratio".
  • Benhamou E., D Saltiel, B. Guez, N. Paris • "Testing Sharpe ratio: luck or skill?".
  • Benhamou E., D Saltiel, JJ Ohana, J Atif • "Detecting and adapting to crisis pattern with context based Deep Reinforcement Learning".
  • Benhamou E., D. Saltiel, S. Ungari, A. Mukhopadhyay • "Bridging the gap between Markowitz planning and deep reinforcement learnin".
  • Benhamou E., D. Saltiel, S. Ungari, A. Mukhopadhyay • "Time your hedge with Deep Reinforcement Learning".
  • Benhamou E., D. Saltiel, S. Ungari, A. Mukhopadhyay, J Atif • "Augmented Asset Management with Deep Reinforcement Learning".
  • Benhamou E., S. Darolles and G. Le Fol • "Risk Analysis and Large Dimensions: Applications to mutual Funds".
  • Benoit S., O. Couperier, J. Leymarie, and O. Scaillet • "Elicitability of Market-Based Systemic-Risk Measures".
  • Billio M., M. Costola, S. Darolles, and L. Pelizzon • "Measuring the relationship between ESG factors and firm’s credit risk in Europe".
  • Boeckelmann L, and A. Stalla-Bourdillon • "International liquidity: structural estimation of time varying spillovers".
  • Boeckelmann L, and A. Stalla-Bourdillon • "Structural Estimation of Time-varying Spillovers: an Application to International Credit Risk Transmission in the Euro Area".
  • Book A., J. Imbet, M. Reinke and C. Sala • "The forecasting power of short-term options".
  • Borgy, V., Idier, J. and Le Fol, G. • "Liquidity Problems in the FX market: Ask for the BIL".
  • Briere, M., C.-A. Lehalle, T. Nefedova, Tamara and A. Raboun • "Stock Market Liquidity and the Trading Costs of Asset Pricing Anomalies".
  • Brousse C., Même, N., Saillard, M. and A. Stalla-Bourdillon • "The impact of energy shocks on financial stability in the context of the 2022 episode".
  • Brown D., S. Kovbasyuk and T. Nefedova • "Is There Skill in the Game? Institutional IPO Allocations".
  • Brown D., S. Kovbasyuk and T. Nefedova • "On the Origin of IPO Profits".
  • Brownlees C., Darolles S., Le Fol G., and B. Sagna • "Forecasting Intra-daily volume in large panels of assets for basket VWAP trading".

C

  • Calamia A., Deville L. and F. Riva • "The Provision of Liquidity in ETFs: Theory and Evidence from European Markets".
  • Calvez L., V. Czellar, and C. Gouriéroux • "Structural Dynamic Analysis of Systematic risk".
  • Cantin, L., Francq, C., and J.M. Zakoïan • "Estimating Systemic Risk Measures".
  • Chan H., A. Landier and Y. Wang • "Currency and Stock Returns: An Example of Market Inattention".
  • Chevalier C. and S. Darolles • "Futures Market Liquidity and the Trading Cost of Trend Following Strategies".
  • Coadou, J., and S., Darolles • "Does ESG Matter More than Tracking Error ?".
  • Cookson J. A., C. Fox, J. Gil-Bazo, J. F. Imbet, and C. Schiller • "Social Media as a Bank Run Catalyst".
  • Couperier O. and J. Leymarie • "Backtesting expected shortfall via multi-quantile regression".
  • Couperier O., C. Francq and J.-M. Zakoian • "Daily volatility forecasting using intraday returns and functional covariates".

D

  • Dale W., S. Darolles, M. Lambert, and G. Monarcha • "From Active and Passive Management – What Do We Learn (about institutional trading activity)".
  • Dare W., S. Darolles, M. Lambert, and G. Monarcha • "The missing kink between Active and Passive Management".
  • Darolles S. , Y. He, and G. Le Fol • "Understanding the effect of ESG scores on stock returns using mediation theory". see more
  • Darolles S. and Vaissié, M • "The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects".
  • Darolles S., Dubecq, S., and C., Gourieroux • "Contagion analysis in the banking sector".
  • Darolles S., Dudek, J. and Le Fol, G. • "MLiq a Meta Liquidity Measure".
  • Darolles S., G. Le Fol and R. Sun • "Liquidity Risk and Investor Behavior: Issues, Data and Models".
  • Darolles S., Gagliardini, P., and C., Gourieroux • "Survival of Hedge Funds: Frailty vs Contagion".
  • Darolles S., and G. Roussellet • "Managing hedge fund liquidity risks".
  • Darolles, S., Faverjon, A., and M., Lambert • "Analysts’ Recommendations and ESG ratings: Evidence of reverse causality".
  • Deville L., J. Raposo, and F. Riva • "Event studies and (endogenous) zero returns".

E

  • Eisele A., T. Nefedova, Tamara and G. Parise • "Are Star Funds Really Shining? Cross-Trading and Performance Shifting in Mutual Fund Families".
  • Eisele A., T. Nefedova, Tamara and G. Parise • "Predation versus Cooperation in Mutual Fund Families".
  • Evans R., T. Nefedova and G. Parise • "Front-trading and Information Environment in Mutual Fund Families".

F

  • Fays, B., G. Hübner, and M. Lambert • "Gamma Trading Skills in Hedge Funds".
  • Francq C., J. Royer, and J.-M. Zakoian • "A multivariate ARCH(∞) model with exogenous variables and dynamic conditional betas".
  • Francq, C., and J.M. Zakoïan • "Adaptiveness of the empirical distribution of residuals in semi-parametric conditional location scale models".
  • Francq, C., and J.M. Zakoïan • "Testing the existence of moments and estimating the tail index of augmented garch processes".
  • Francq, C., and J.M., Zakoian • "Joint Inference on Market and Estimation Risks in Dynamic Portfolio".
  • Francq, C., and J.M., Zakoian • "Expected Shortfall Estimation in Volatility Models".

G

  • Garriott C., V. van Kervel and M. Zoican • "The queuing friction in limit order book markets ".
  • Garriott C., V. van Kervel and M. Zoican • "Does time priority prevent risk sharing".
  • Gil-Bazo J., and J.F. Imbet • "Tweeting for Money: Social Media and Mutual Fund Flows".
  • Giroux T., J. Royer, and O.D. Zerbib • "Empirical asset pricing with score-driven conditional betas".
  • Gourieroux C. and J. Jasiak • "Generalize Covariance-Based Inference for Models Partially Identified from Independence Restrictions".
  • Gourieroux C. and J. Jasiak • "Nonlinear Forecasts and Impulse Responses for Causal-Noncausal (S)VAR Models".
  • Gourieroux C., J. Kim, and N. Meddahi • "Stationary Ultra Long Run Component".
  • Gourieroux C., Y. Lu and A. Monfort • "Ultra Long Run Term Structure Models".
  • Gourieroux C., and Q. Lee • "Nonlinear Impulse Response Functions and Local Projections,".
  • Gourieroux, C., Monfort, A., and J.P., Renne • "Group Transformation Models : A New Interpretation of Intercept in Semi-Parametric Econometrics".
  • Gourieroux, C., and A., Monfort • "Economic Scenario Generators and Incomplete Markets".
  • Gourieroux, C., and A., Tiomo • "The Evaluation of Model Risk for Probability of Default and Expected Loss".
  • Gourieroux, C., and J., Jasiak • "A Stochastic Tree with Application to Bubble Modelling and Pricing".
  • Gourieroux, C., and J.C., Heam • "Funding Liquidity Risk in a Regulatory Perspective".
  • Gourieroux,C., and J., Jasiak • "Inference for Noisy Long Run Components".

H

  • Haas M. D. and M. A. Zoican • "Beyond the Frequency Wall: Speed and Liquidity on Batch Auction Markets".

I

  • Imbet J. F. • "Stroke of a Pen: Investment and Stock Returns under Energy Policy Uncertainty".
  • Imbet J. F., M. Ortiz, and V. Tena • "How are the tax-evasion savings distributed?".
  • Imbet J. F., and M. Ortiz • "Private Firms and Offshore Finance".

J

  • Jourde, T., and, A., Stalla-Bourdillon • "Environmental Preferences and Sector Valuation".

K

  • Khomyn M., T. J. Putniņš and M. Zoican • "The Value of ETF Liquidity, Working Paper".
  • Kolokolova O., T. Nefedova and L. Ye • "Information Flows in Brokerage Business".

L

  • Lambert M. and N. Moreno • "The Earnings Announcement Day Puzzle in the Value Premium".
  • Langlois H. • "Forecasting Portfolio Weights". see more
  • Lehar A., D. Parlour and M. Zoican • "Liquidity Fragmentation on Decentralized Exchanges".
  • Lou D., and C. Polk • "The Booms and Busts of Beta Arbitrage: Measuring the extent of the Low-Beta Crowd".

M

  • Marta T. and F. Riva • "Do ETFs increase the co-movements of their underlying assets? Evidence from a switch in ETF replication technique".
  • Martineau C. and M. Zoican • "A machine learning measure of analyst report contribution".
  • Menkveld, A., E. Pagnotta and M. Zoican • "Does Central Clearing affect Price Stability? Evidence from the Nordic Equity Markets".
  • Mero G • "False discoveries in Hedge Fund performance and business cycles".
  • Mero G., and H. N. Ngankam • "Sentiment and Equity Return-Liquidity Relationship: Does Noise Trading Risk Matter?".

N

  • Nefedova T. • "Tippers and tippees: Brokers’ pre-release of price-sensitive information to their VIP clients".
  • Nefedova T., G. Parise and M. Zoican • "ETF fee competition and security lending".

R

  • Rosenbaum M. and P. Tankov • "Asymptotically optimal discretization of hedging strategies with jumps".
  • Rosenbaum M., M. Hoffmann and N. Yoshida • "Estimation of the lead-lag parameter from non-synchronous data".

S

  • Sagna B. • "Learning From Heightened Equity Premium".
  • Sagna B. • "Intra-daily trading volumes and VWAP strategy: evidence from a horse race".
  • Saltiel D., E Benhamou • "Sélection efficace de variables par descente par coordonnée avec garanties théoriques". see more
  • Stalla-Bourdillon A. • "Stock Return Predictability: comparing Macro- and Micro-Approaches".

X

  • Xiouros C., and P. Ehling • "Asset Pricing with Endogenous beta".

Z

  • Zoican M. • "Asset management at the zero-fee bound".