6 citations · 6 across the 5 of their papers we have counts for
5 papers
Directional Dependence of Extreme Events
Matthieu Garcin, Maxime L. D. Nicolas
This paper introduces a novel measure to quantify the directional dependence of extreme events between two variables. The proposed approach is designed to capture asymmetric tail d…
Is Bitcoin A Hedge Against Central Banking? Evidence from AI-Driven Monetary Policy Expectations
Maxime L. D. Nicolas, François Sicard, Marion Laboure +2
This study investigates the transmission of monetary policy narratives to Bitcoin prices, distinguishing policy expectations from realized policy implementation. We introduce a wee…
Modern Portfolio Diversification with Arte-Blue Chip Index
Simon Levy, Maxime L. D. Nicolas
This paper presents a novel approach to evaluating blue-chip art as a viable asset class for portfolio diversification. We present the Arte-Blue Chip Index, an index that tracks 10…
ESG Reputation Risk Matters: An Event Study Based on Social Media Data
Maxime L. D. Nicolas, Adrien Desroziers, Fabio Caccioli +1
We investigate the response of shareholders to Environmental, Social, and Governance-related reputational risk (ESG-risk), focusing exclusively on the impact of social media. Using…
Nonparametric estimator of the tail dependence coefficient: balancing bias and variance
Matthieu Garcin, Maxime L. D. Nicolas
A theoretical expression is derived for the mean squared error of a nonparametric estimator of the tail dependence coefficient, depending on a threshold that defines which rank del…