Axis 1 : Risk measures and sustainability of public security systems (Modelling and New Risks measures)Latest issues (2017)

  • Alili L., Chaumont L., Graczyk P., and Zak T., Space-time inversions of stochastic processes and Kelvin transform.
  • Benaim M., Cloez B., Panloup F. Stochastic approximation of Quasi-Stationary Distributions on compact spaces and Applications. À paraître dans Annals of Applied Probability (soumis en 2016).
  • Charles A., and Darné O., Forecasting crude oil market volatility: Further evidence with jumps. Energy Economics, 67, 508-519, 2017 https://doi.org/10.1016/j.eneco.2017.09.002
  • Charles A., Darné O., and Kim J., Adaptive markets hypothesis for Islamic stock portfolios: Evidence from Dow Jones size and sector-indices. International Economics, 151, 100-112, 2017 https://doi.org/10.1016/j.inteco.2017.05.002
  • Charles A., Darné O., and Kim J., International stock return predictability: Evidence from new statistical tests. International Review of Financial Analysis, 54, 97-113, 2017 https://doi.org/10.1016/j.irfa.2016.06.005
  • Chaumont L., and Doney R., On distributions determined by their upward, space-time Wiener-Hopf factor. Prépublication Arxiv.
  • Deya A., Panloup F., Tindel S. Rate of convergence to fractional driven stochastic differential equations with rough multiplicative noise. En révision mineure à Annals of Probability. Soumis en 2016
  • Djehiche B., Hamadène S., Morlais M.-A., Zhao X., Hamadene S., On the Equality of Solutions of Max-Min and Min-Max Systems of Variational Inequalities with Interconnected Bilateral Obstacles. J. Math. Anal. Appl. 452 (2017), no. 1, 148–175.
  • Farinetto C. On hypothesis tests for disk-type intensities of spatial poisson processes, Communications in Statistics - Theory and Methods, Volume 46, 2017 - Issue 9
  • Farinetto C. On hypothesis tests in misspecified change-point problems for a Poisson process, Volume 46, 2017 – Issue 20.
  • Maunoury F., Farinetto C., Ruckly S., Guenezan J.,  Lucet J.C., Lepape A., Pascal J., Souweine B., Mimoz O., Timsit J.F., Analyse coût-efficacité des solutions antiseptiques cutanées à base de chlorhexidine-alcool versus solution de povidone iodée-alcool pour la prévention des infections sanguines liées aux cathéters intravasculaires en France,  Plos One: accepté sous conditions de révisions.
  • Fontbona J., Panloup F., Ergodicity of SDEs driven by fractional Brownian motion with multiplicative noise. Annales de l’IHP. Volume 53, Number 2. 503-538. 2017.
  • Gadat S., Panloup F. Optimal non-asymptotic bound of the Ruppert-Polyak averaging without strong convexity. Preprint, 2017
  • Gadat S., Panloup F. Saadane S. Stochastic Heavy Ball. En révision à Electronic Journal of Statistics. Soumis en 2016.
  • Gayant J.-P., Le Pape N., Increasing Nth degree inequality, forthcoming Journal of Mathematical Economics, 2017, DOI : 10.1016/j.jmateco.2017.02.010
  • Gobillon L., Wolff F.-C., Guillotreau P., The effects of buyers and sellers on fish market prices, European Review of Agricultural Economics,2017,  44, 149-177
  • Karamé F., A New Particle Filtering Approach to Estimate Stochastic Volatility Models with Markov-Switching, Soumis en mars 2017 dans “Econometrics and Statistics”. Première révision lourde en Août 2017. Seconde révision plus légère en décembre 2017.
  • Lagnoux A., Nguyen T.M.N., Proïa F., On the Bickel-Rosenblatt test of goodness-of-fit for the residuals of autoregressive processes. Submitted in 2017.
  • Nocera G., Bisetti E., Favero C.A., and Tebaldi C., A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Journal Financial and Quantitative Analysis, 2017, 52(5): 2251-2275
  • Pagès G., Panloup F. Weighted Multilevel Langevin Simulation of Invariant measures. À paraître dans Annals of Applied Probability (soumis en 2016).
  • Proïa F., Soltane M., A test of correlation in the random coefficients of an autoregressive process. Submitted in 2017
  • Proïa F., Testing for residual correlation of any order in the autoregressive process. Comm.Stat. Theory and Methods. 2017.
  • Proïa F., Stationarity against integration in the autoregressive process with polynomial trend. Probab. Math. Statist. 2017.

Publications 2015 - 2016

Work in progress

  • Brouste A., Dutang C., Röhmer T., Estimation, goodness-of-fit and model selection in Pareto regression model with application to insurance loss modeling, in preparation.
  • Charles A., Darné O., Chuah C.L., and Suardi S., Oil Price Shocks, Real Economic Activity and Uncertainty: A Structural Factor VAR GARCH-in-Mean Model, Working Paper Series 2017-05, School of Accounting Economics and Finance, University of Wollongong. https://business.uow.edu.au/aef/UOW231178.html
  • Nocera G., M.E. Garcia-Appendini and S. Gatti, Covered Bonds, Asset Encumbrance and Risk: Evidence from the European Banking Industry
  •  Nocera G., Brunella B. and Resti A., Are Risk Based Capital Requirements Detrimental to Corporate Lending? Evidence from Europe
  • Nocera G., M. Cardinale and L. Spotorno, The Investment Management Structure and Active Risk in Delegated Investment Vehicles: Evidence from the Italian Closed Pension Funds.