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- Centre de Recherche en Mathématiques de la DécisionFR133 papers
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18 papers · 1 filter
Les réservations et les suspensions de cotation sont-elles un frein à l'efficience informationnelle des marchés ?
Karine Michalon
The use of the trading halts is a practice common to all markets. However, the advantages and the disadvantages of the measurements are regularly discussed. The partisans think tha…
Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
Olivier Wintenberger
We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong consistency of the…
GARCH models without positivity constraints: Exponential or Log GARCH?
Christian Francq, Olivier Wintenberger, Jean-Michel Zakoïan
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constrai…
The anti-Bayesian moment and its passing
Andrew Gelman, Christian P. Robert
The present article is the reply to the discussion of our earlier "Not only defended but also applied" (arXiv:1006.5366, to appear in The American Statistician) that arose from our…
Sharp interpolation inequalities on the sphere : new methods and consequences
Jean Dolbeault, Maria J. Esteban, Michal Kowalczyk +1
These notes are devoted to various considerations on a family of sharp interpolation inequalities on the sphere, which in dimension two and higher interpolate between Poincaré, log…
Discrete-time approximation of multidimensional BSDEs with oblique reflections
Jean-Francois Chassagneux, Romuald Elie, Idris Kharroubi
In this paper, we study the discrete-time approximation of multidimensional reflected BSDEs of the type of those presented by Hu and Tang [Probab. Theory Related Fields 147 (2010)…