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Statistical inference in a high-dimensional spiked population model
This thesis deals with the statistical inference of large dimensional data. The random matrix theory allows to take into account this framework, since most asymptotic... -
Stress-Test Exercises and the Pricing of Very Long-Term Bonds
In the first part of this thesis, we introduce a new methodology for stress-test exercises. Our approach allows to consider richer stress-test exercises, which assess... -
Stability of model selection for high-dimensional data
International audience -
Determinants of Global Liquidity Dynamics:a FAVAR approach
Global liquidity, which consists of both monetary liquidity (quantitative easing and traditional policies) and funding liquidity, follows specific dynamics. The...
