Publications du réseau

Le membres du réseau PANORisk publient régulièrement leurs travaux de recherche aussi bien dans des ouvrages/chapitres d'ouvrages que des articles dans des revues à comité de lecture nationaux et internationaux.

Parutions récentes

    • Axe 1 : Mesure des risques et pérennité des systèmes publics

      - 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.

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    • Axe 2 : Comportements de demande d’assurance, de placement et d’épargne face à des risques

      - Denis L., Beissner P., Duality and General Equilibrium Theory under Knightian Uncertainty, to appear in SIAM Journal in Mathematical Finance.
      - Garbit R., On the exit time from an orthant for badly oriented random walks. Brazilian Journal of Probability and Statistics, à paraître.
      - Graczyk P., Alili L., Chaumont L., Zak L., Inversion, duality and Doob h-transforms for self-similar Markov processes (avec), 19pp., Electron. J. Probab. 2017
      - Graczyk P., Ishi H., (underline S. Mamane et H. Ochiai), On the Letac-Massam conjecture on cones $Q_{A_n}$, to appear in Proceedings of the Japan Academy, Series A, 2017.
      - Graczyk P., Malecki J., Mayerhofer E., A Characterization of Wishart Processes and Wishart Distributions, to appear in SPA, 2017.
      - Graczyk P., Luks T., Rosler M., On the Green function and Poisson integrals of the Dunkl Laplacian, to appear in Potential Anal. 2017.
      - Graczyk P., Ishi H., Mamane S., Wishart exponential families on cones related to $A_n$ graphs, to appear in Annals of the Institute of Statistical Mathematics, 2017.
      - Graczyk P., MaleckiJ., Generalized Squared Bessel particle systems, to appear in Bernoulli, 2017.
      Kurtbegu E., Replicating intergenerational longevity risk sharing in collective defined contribution pension plans using financial markets, Insurance: Mathematics and Economics, December 2017
      - Salminen P., Vostrikova L. On exponential functionals of processes with independent increments. Theory of probability and their applications, 2017, accepted

      - Vostrikova L. On distributions of exponential functionals of the processes with independent increments. Preprint 2017

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    • Axe 3 : Interaction entre agents, design des contrats, régulation, nouveaux produits financiers

      - Andriosopoulos K., Galariotis E., Spyrou S., Contagion, Volatility Persistence, and Volatility Spill-Overs: The Case of Energy Markets during the European Financial Crisis, Energy Economics. 66, August 2017, pp. 217-227.
      - Bedendo M., Cathcart L., El-Jahel L., Reputational shocks and the information content of credit ratings Conditionally accepted « Journal of Financial Stability », 2017
      - Doumpos M., Andriosopoulos K., Galariotis E., Makridou G., and Zopounidis K., Corporate Failure Prediction in the European Energy Sector: A Multicriteria Approach and the Effect of Country Characteristics. European Journal of Operational Research 262 (1), pp. 347-360, (2017).
      - Galariotis E., Makrichoriti P., Spyrou S., The Impact of Conventional and Unconventional Monetary Policy on Expectations and Sentiment. Journal of Banking and Finance, 86, pp: 1-20. Lead Article. (2018)
      - Langot F., Lemoine M., Strategic fiscal policies in Europe: Why does the labour wedge matter?, European Economic Review, Elsevier, vol. 91(C), pages 15-29, 2017..
      - Langot F., Petit P., L’évaluation des politiques publiques. Une introduction, Revue française d'économie, Presses de Sciences-Po, vol. 0(1), pages 3-15, 2017.
      - Mefeth-Wali S., Rigobert M.J., The dual nature of Foreign currency debt and its impact on firm performance: Evidence from French non-financial firms, Management International (CNRS 3, FNEGE2, HCERES A)
      - Mefet-Wali S., Rigobert M.J., L’effet De L’Endettement En Devises Sur La Performance De L’Entreprise , Finance Contrôle Stratégie (CNRS 3, FNEGE 3, HCERES B), Vol20, N°3.
      - Mefet-Wali S., The determinants of the foreign currency hedging strategies’, Bankers Market, Investors, (CNRS 4, FNEGE 3) N°147.
      - Mefet-Wali S., Clark E., Asymmetric Foreign Currency Exposures and Derivatives Use : Evidence from France, Evaluating Country Risks for International Investments Tools, Techniques and Applications, World Scientific, p. 435. Chapter 16.
      - Belghitar Y., Clark E., Mefet-Wali S., Foreign Currency Derivative use and Shareholder Value, Evaluating Country Risks for International Investments Tools, Techniques and Applications, World Scientific, p 459. Chapter 17.
      - Nocera G., Bisetti E., Favero C.A., Tebaldi C., A Multivariate Model of Strategic Asset Allocation with Longevity Risk, Journal Financial and Quantitative Analysis, 2017, 52(5): 2251-2275

      Lire la suite