Axe 1 : Mesure des risques et pérennité des systèmes publicsPublications 2017 - 2018

Publications 2015 - 2016

Travaux en cours

  • Adjemian S., Karamé F., Particle Filtering with Dynare, Miméo.
  • A Likelihood-based Approach to Estimate Nonlinear/Non Gaussian State-Space Models with Markov-Switching (with an Application to MS Stochastic Volatility Models), Miméo.
  • Adjemian S., Karamé F., Langot F.,On Nonlinearities in Unemployment Dynamics Miméo.
  • Bunn D., Chevallier J., Le Pen Y., Sévi B., Fundamental and financial influences on the co-movement of oil and gas prices. Energy Journal, forthcoming 2016.
  • Brouste, A., Dutang, C. and Röhmer, T., Estimation, goodness-of-fit and model selection in Pareto Distribution regression model.
  • Charles A., Chuah C.L., Darné O., Suardi S. (2016). On the Pernicious Effects of Oil Price Uncertainty on U.S. Real Economic Activities.
  • Charles A., Darné O., Fouilloux J. (2016). The impact of screening strategies on the performance of ESG indice.
  • Charles A., Darné O., Kim J.H. (2016). Stock Return Predictability: Evaluation Based on Prediction Interval.
  • Charles A., Darné O. (2016). Identifying and characterizing business and acceleration cycles of French jobseeker.
  • Charles A., Darné O., Kim J.H. (2016). Adaptive markets hypothesis for Islamic stock portfolios: Evidence from Dow Jones size and sector-indices (with Charles A. and Kim J.H.) download .
  • Charles A., Darné O, Kim J.H. (2016). International stock return predictability: Evidence from new statistical tests. International Review of Financial Analysis, forthcoming 2016
  • Charles A., Darné O., Moussa Z. (2016). The sensitivity of Fama-French factors to economic uncertainty.
  • Charles A., Darné O. (2016). Forecasting crude oil market volatility: Further evidence with jump.
  • Charles A., Darné O., Tripier F. (2016). Uncertainty and the Macroeconomy: Evidence from a composite uncertainty indicator.
  • Nguyen M.H., Darné O. (2016). Forecasting and risk management in Vietnam stock exchanges.
  • Kalaitzoglou, I. “The informational content of OTC trades and Crowding in the European Carbon Market.”
  • Kalaitzoglou, I.  “Optimal Level of State Ownership in financial Institutions. Evidence from the new millennia.
  • Karamé F., Improving the Estimation of the Leverage Effect in the Stochastic Volatility Model with Markov-Switching: a New Particle Filtering Approach, Miméo.