Home People Institutions Chairs Agenda Forum Job market  Login Updated: 10/12/2008 09:56  Financial econometrics Related institutions ISMA Centre Related working papers and articles   Modeling term structure dynamics: an infinite dimensional approach "On the Power of R/S type Tests under Contiguous and Semi Long-Memory Alternatives". Acta Applicandae Mathematicae, 2003, vol 78, p 285-299. Where do informed traders trade ? Evidence from French markets, Janvier 2001. Mesures de causalité entre marchés au comptant et à terme d'indice boursier, à paraître, L'Actualité Economique, 2003. Relations intrajournalières entre l’indice CAC 40 et les options sur indice, Annales d’Economie et Statistique, 66, 143-177, 2002. "Bootstrap Mispecification Tests for ARCH Based on the Empirical Process of Squared Residuals". A paraitre dans Journal of Statistical Computation and Simulation, 2003. "Rescaled Variance and Related Tests for Long Memory in Volatility and Levels." Journal of Econometrics, 2003, vol 112, p 265-294. "Empirical Processes for the Squared Residuals of an ARCH Sequence". The Annals of Statistics, 2001, vol 29, p 445-469. "Semiparametric Estimation of the Intensity of Long Memory in Conditional Heteroskedasticity". Statistical Inference for Stochastic Processes, 2000, vol 3, p 113-128. "Change-Point Detection in GARCH Models: Asymptotic and Bootstrap Tests", 2002. "Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes" "Interaction Models for Common Long-Range Dependence in Asset Price Volatilities". Processes with Long Range Correlations: Theory and Applications, 2003, Lecture Notes in Physics vol 621, p 251-269, Springer Verlag. "Multivariate Long-Memory ARCH Modelling for High Frequency Foreign Exchange Rates". Paru dans les proceedings de la conférence HFDF II, Olsen and Associates, 1998. Empirical properties of asset returns: stylized facts and statistical issues. Dynamics of implied volatility surfaces. Stochastic models of implied volatility surfaces. Periodically collapsing asset price bubbles: evidence from the G5, Applied Economic Letters, 11(1), 61-69, 2003. News announcements, market activity and volatility in the Euro-Dollar foreign exchange market, Journal of International Money and Finance, forthcoming "Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences", 2004. Computational Science- ICCS 2004, Lecture Notes in Computer Science vol 3039, p 837-844, Springer Verlag. Financial modelling with jump processes Recovering volatility from option prices by evolutionary optimization The Foreign Exchange Quoting Activity as an Informative Signal Au-delà du troisième Pilier de Bâle 2: l’intégration des signaux de marché dans la supervision bancaire, Banque & Marchés 89, pp. 1-12, 2007. Market Deregulations, Volatility and Spillover Effects: Experiences from Emerging Stock Markets Power variation & stochastic volatility: a review and some new results Power Variation and Time Change Limit Theorems For Bipower Variation In Financial Econometrics Intersectoral Labour Reallocation and Employment Volatility: A Bayesian Analysis using a VAR-GARCH-M model FRS17 and the Sterling Doubles A Corporate Yield Curve See also   Financial mathematics, econometrics and quantitative economics Chaire Assurance et Risques Majeurs Chaire Finance et Développement Durable, approches quantitatives Asia-Pacific Financial Market Chaire Dérivés du Futur Chaire Risques Financiers Petit Déjeuner de la Finance Support and feedback: info@e-fern.org