Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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How to determine exchange rates under risk neutrality: A note.

Exchange rates, International asset pricing, No-arbitrage conditions, Returns on securities

Interest rates parity and no arbitrage as equivalent equilibrium conditions in the international financial assets and goods markets.

Exchange rates, General equilibrium, Law of One Price, No-arbitrage, Returns on financial assets, Uncovered Interest rate Parity

Understanding Exchange Rates Dynamics.

Analyse non linéaire, Delay vector variance DVV method, Données surrogate, Exchange rates, Méthode Delay vector variance, Nonlinearity analysis, Ondelettes, Surrogates, Taux de change, Wavelets

Essays on two new central banking debates : central bank financial strength and monetary policy outcome : the instability of the transmission of monetary policy to deposit rates after the global financial crisis.

Banks, Banque Nationale Suisse, Banques, Bilan des banques centrales, Capacité fiscale, Capital banques centrales, Central bank balance sheet, Central bank capital, Central bank financial strength, Central bank law, Central bank solvency, Cointegration, Currency peg, Deposit rates, EURIBOR, Estimations en panel, Exchange rates, Fiscal space, Inflation, Législation banques centrales, Panel estimates, Régime de change fixe, Solidité financière des banques centrales, Solvabilité des banques centrales, Swiss National Bank, System GMM, Système GMM, Taux de changes, Taux de dépôt

Model selection problems in conditional volatility.

Changement de régime Markovien, Commodity prices, Credit default swaps, Exchange rates, Garch, Lagrange mutiplier, Markov Switching models, Multiplicateur de Lagrange, Oil prices, Prix des commodités, Pétrole, Smooth transition, Test statistics, Test statistiques, Transition lissée, Énergie

International portfolio selection: diversification, risk attitude and investment barriers.

Behavioral finance, Contraintes Spécifiques, Exchange rates, Finance comportementale, Higher Moments, Moments supérieurs, Optimal Portfolio, Portefeuille Optimal, Specifics constraints, Taux de change