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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Chaos-stochastic approaches to market risk.

Chaos stochastique, Correlations breakdowns, Mackey-Glass, Markov-Switching, Non linearity, Non linéarité, Stochastic chaos, Value-At-Risk

Exchange rate modeling : policies, seasonality, and determination.

Carry trade, Carry trades, Chinese renminbi, Currency basket, Détermination du taux de change, Effet mois, Equity returns, Exchange rate determination, Exchange rate regime, Foreign currency market, Implied volatility, Marché des devises, Markov-Switching, Modèle à changement de régime Markovien, Month effect, Panier de devises, Rendement des actions, Renminbi chinois, Régime de change, Saisonnalité, Seasonality, Uep, Volatilité implicite

Dynamic factor model with non-linearities : application to the business cycle analysis.

Analyse du point de retournement, Business cycle, Changement de régime markovien, Comportement en échantillon fini, Consistency, Convergence, Cycle financier, Cycle économique, Dynamic Factor Model, Dynamical interaction, Financial cycle, Interaction dynamique, Markov-Switching, Modèle à facteurs dynamiques, Monte Carlo simulations, Méthode en deux étapes, Risque systémique, Simulations Monte Carlo, Small-sample performance, Systemic risk, Turning point analysis, Two-step method

Business Cycles Synchronization in East Asia: A Markov-Switching Approach.

Business cycle synchronization, East Asia, Markov-switching, Monetary union, OCA

Business cycles synchronization in East Asia: A Markov-switching approach.

Business cycles synchronization, East Asia, Markov-switching, Monetary union, OCA