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Extreme Value at Risk and Expected Shortfall during Financial Crisis
Cahier de recherche du CERAG 2011-03 E2 -
Volatility Persistence in Crude Oil Markets
Financial market participants and policy-makers can benefit from a better understanding of how shocks can affect volatility over time. This study assesses the impact... -
Efficient estimation of a multivariate multiplicative volatility model
International audience -
Behavioral heterogeneity in the option market
International audience -
OPTIMAL HEDGING IN DISCRETE TIME
Cette prépublication apparaît aussi sur SSRN et les cahiers du GERAD. -
Precise large deviations for dependent regularly varying sequences.
We study a precise large deviation principle for a stationary regularly varying sequence of random variables. This principle extends the classical results of A.V.... -
The cluster index of regularly varying sequences with applications to limit t...
We introduce the cluster index of a multivariate regularly varying stationary sequence and characterize the index in terms of the spectral tail process. This index... -
Micro-embolic signatures detection through GARCH parameters
International audience -
A mixture integer-valued GARCH model
22 pages -
Selection Criteria in Regime Switching Conditional Volatility Models
A large number of non linear conditional heteroskedastic models have been proposed in the literature and practitioners do not have always the tools to choose the...
