P. Del Moral, N. Oudjane soumis Décembre 2010
Archives
1
Nov
A Class of DCC Asymmetric GARCH Models Driven by Exogenous Variables
in Reports
Jean-Michel Zakoïan This paper considers Dynamic Conditional Correlations (DCC) GARCH models in which the time-varying coefficients, including the conditional correlation matrix, are functions of the realizations of an exogenous stochastic ...
1
Oct
Hubbert’s Oil Peak Revisited by a Simulation Model
in Reports
Pierre-Noël Giraud, Aline Sutter, Timothée Denis, Cédric Léonard As conventional oil reserves are declining, the debate on the oil production peak has become a burning issue. An increasing number of ...
1
Oct
A Structural Risk-Neutral Model for Pricing and Hedging Power Derivatives
in Reports
René Aïd, Luciano Campi, Nicolas Langrené We develop a structural risk-neutral model for energy market modifying along several directions the approach introduced in [Aïd et al., 2009]. In particular a ...
1
Sep
Probabilistic representation and approximation for coupled systems of variational inequalities
in Publications
R. Elie, I. Kharroubi Statistics and Probability letters 80 (17-18) pp 1388-1396 - Septembre 2010 Plus d'infos.
1
Sep
Merger remedies and industry restructuring : A Case for Affirmative Action
in Publications
B. Villeneuve, V. Yanhua Zhang soumis Septembre 2010
1
Aug
Market Design for Emissions Markets Trading Schemes
in Publications
R. Carmona, M. Fehr, J. Hinz, A. Porchet SIAM Review 52, pp. 403-452 - Août 2010 Plus d'infos.
1
Jul
Structure and estimation of a class of non stationary yet non explosive GARCH
in Publications
N. Regnard, J.-M. Zakoïan Journal of Time Series Analysis 31(5) pp 348–364 - Juillet 2010 Plus d'infos.
1
Jun
The VaR at Risk
in Publications
A. Galichon International Journal on Theoretic and Applied Finance 23(4), pp 503-506 - Juin 2010 Plus d'infos.
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