Bertrand Bruno Maillet : Citation Profile


Are you Bertrand Bruno Maillet?

EMLYON Business School (90% share)
Université de la Réunion (10% share)

9

H index

8

i10 index

200

Citations

RESEARCH PRODUCTION:

25

Articles

84

Papers

RESEARCH ACTIVITY:

   19 years (1997 - 2016). See details.
   Cites by year: 10
   Journals where Bertrand Bruno Maillet has often published
   Relations with other researchers
   Recent citing documents: 50.    Total self citations: 19 (8.68 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pma1896
   Updated: 2019-08-17    RAS profile: 2019-02-17    
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Relations with other researchers


Works with:

Jannin, Gregory (7)

Danielsson, Jon (5)

Prigent, Jean-Luc (4)

Tokpavi, Sessi (4)

Caporin, Massimiliano (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Bertrand Bruno Maillet.

Is cited by:

Caporin, Massimiliano (11)

Prigent, Jean-Luc (8)

Kerstens, Kristiaan (7)

Moreno, Manuel (5)

Mencia, Javier (5)

Sentana, Enrique (5)

Schlogl, Erik (4)

Racicot, François-Éric (4)

Perote, Javier (4)

Schulmeister, Stephan (4)

HOANG, Thi Hong Van (3)

Cites to:

Bollerslev, Tim (14)

Chen, Zhiwu (12)

Cao, Charles (12)

Andersen, Torben (12)

Hurlin, Christophe (11)

Prigent, Jean-Luc (10)

Kerstens, Kristiaan (9)

Ait-Sahalia, Yacine (8)

Diebold, Francis (8)

Caporin, Massimiliano (8)

Wolf, Michael (8)

Main data


Where Bertrand Bruno Maillet has published?


Journals with more than one article published# docs
Revue conomique7
Review of International Economics2
Revue d'conomie Financire2
Quantitative Finance2
The European Journal of Finance2

Working Papers Series with more than one paper published# docs
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL39
Post-Print / HAL17
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne10
LEO Working Papers / DR LEO / Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans3
Working Papers / Department of Economics, University of Venice "Ca' Foscari"3
Working Papers / HAL2

Recent works citing Bertrand Bruno Maillet (2018 and 2017)


YearTitle of citing document
2018Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy. (2018). Chuen, Yean Soh ; Hamzah, Ahmad Husni ; Yaacob, Mohd Hasimi ; Tapa, Afiruddin. In: The Journal of Social Sciences Research. RePEc:arp:tjssrr:2018:p:933-941.

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2019A review of two decades of correlations, hierarchies, networks and clustering in financial markets. (2018). Donnat, Philippe ; Bi, Mikolaj ; Nielsen, Frank ; Marti, Gautier . In: Papers. RePEc:arx:papers:1703.00485.

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2017A Novel Approach to Quantification of Model Risk for Practitioners. (2017). Krajcovicova, Zuzana ; Vazquez, Carlos ; Perez-Velasco, Pedro Pablo . In: Papers. RePEc:arx:papers:1705.05572.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Feng, YU ; Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph. In: Papers. RePEc:arx:papers:1810.09112.

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2019Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions. (2019). Feng, YU. In: Papers. RePEc:arx:papers:1903.00590.

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2017Model Uncertainty Effect on Asset Prices. (2017). Tian, Weidong ; Jiang, Junya. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:205-233.

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2018UNCERTAINTY AND DENSITY FORECASTS OF ARMA MODELS: COMPARISON OF ASYMPTOTIC, BAYESIAN, AND BOOTSTRAP PROCEDURES. (2018). Veiga, Helena ; Ruiz, Esther ; Gonalves, Joo Henrique . In: Journal of Economic Surveys. RePEc:bla:jecsur:v:32:y:2018:i:2:p:388-419.

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2017An SVM-like approach for expectile regression. (2017). Steinwart, Ingo ; Farooq, Muhammad. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:109:y:2017:i:c:p:159-181.

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2017Robust minimum variance portfolio optimization modelling under scenario uncertainty. (2017). Xidonas, Panos ; Samitas, Aristeidis ; Soulis, John ; Hassapis, Christis. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:60-71.

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2019Hedge fund return higher moments over the business cycle. (2019). Racicot, François-Éric ; Theoret, Raymond. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:73-97.

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2019Screening rules and portfolio performance. (2019). Nieto, Belen ; Navarro, Lluis ; Leon, Angel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:642-662.

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2018Combining Value-at-Risk forecasts using penalized quantile regressions. (2018). Bayer, Sebastian. In: Econometrics and Statistics. RePEc:eee:ecosta:v:8:y:2018:i:c:p:56-77.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2017Robust multiobjective portfolio optimization: A minimax regret approach. (2017). Xidonas, Panos ; Zopounidis, Constantin ; Hassapis, Christis ; Mavrotas, George. In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:1:p:299-305.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

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2018Risk management of time varying floors for dynamic portfolio insurance. (2018). Prigent, Jean-Luc ; Prigent, J.-L., ; ben Ameur, H. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:363-381.

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2018Long-run wavelet-based correlation for financial time series. (2018). cotter, john ; Genay, Ramazan ; Conlon, Thomas. In: European Journal of Operational Research. RePEc:eee:ejores:v:271:y:2018:i:2:p:676-696.

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2019Optimal strategies under Omega ratio. (2019). Ye, Jiang ; Vanduffel, Steven ; Bernard, Carole. In: European Journal of Operational Research. RePEc:eee:ejores:v:275:y:2019:i:2:p:755-767.

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2017The kidnapping of Europe: High-order moments transmission between developed and emerging markets. (2017). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: Emerging Markets Review. RePEc:eee:ememar:v:31:y:2017:i:c:p:96-115.

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2018“On the (Ab)use of Omega?”. (2018). Caporin, Massimiliano ; Maillet, Bertrand ; Jannin, Gregory ; Costola, Michele. In: Journal of Empirical Finance. RePEc:eee:empfin:v:46:y:2018:i:c:p:11-33.

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2018lCARE - localizing conditional autoregressive expectiles. (2018). Xu, Xiu ; Hardle, Wolfgang Karl ; Mihoci, Andrija . In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:198-220.

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2018The influence of terrorism risk on stock market integration: Evidence from eight OECD countries. (2018). Narayan, Seema ; LE, Thai-Ha ; Sriananthakumar, S ; Le, T.-H., . In: International Review of Financial Analysis. RePEc:eee:finana:v:58:y:2018:i:c:p:247-259.

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2017Risk aversion vs. the Omega ratio: Consistency results. (2017). Balder, Sven ; Schweizer, Nikolaus. In: Finance Research Letters. RePEc:eee:finlet:v:21:y:2017:i:c:p:78-84.

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2018Risk-adjusted performance of portfolio insurance and investors’ preferences. (2018). Tawil, Dima. In: Finance Research Letters. RePEc:eee:finlet:v:24:y:2018:i:c:p:10-18.

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2019Hedging parameter risk. (2019). Schmelzle, Martin ; Rosch, Daniel ; Claussen, Arndt . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:100:y:2019:i:c:p:111-121.

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2017One-sided performance measures under Gram-Charlier distributions. (2017). Moreno, Manuel ; Leon, Angel . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:74:y:2017:i:c:p:38-50.

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2017The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios. (2017). Domino, Krzysztof . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:467:y:2017:i:c:p:267-276.

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2018Long-term stock market volatility and the influence of terrorist attacks in Europe. (2018). Gurdgiev, Constantin ; Corbet, Shaen ; Meegan, Andrew. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:68:y:2018:i:c:p:118-131.

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2018Multi-moment risk, hedging strategies, & the business cycle. (2018). Racicot, François-Éric ; Theoret, Raymond . In: International Review of Economics & Finance. RePEc:eee:reveco:v:58:y:2018:i:c:p:637-675.

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2018Technology adoption and risk exposure among smallholder farmers: Panel data evidence from Tanzania and Uganda. (2018). Mukasa, Adamon N. In: World Development. RePEc:eee:wdevel:v:105:y:2018:i:c:p:299-309.

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2017Mutual Funds Performance Assessment Techniques: Comparative Analysis. (2017). Olkova, Anna E. In: Finansovyj žhurnal — Financial Journal. RePEc:fru:finjrn:170307:p:85-95.

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2017Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly. (2017). Wong, Wing-Keung ; Guo, Xu ; Jiang, Xuejun. In: Economies. RePEc:gam:jecomi:v:5:y:2017:i:4:p:38-:d:115667.

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2018Credit Rating and Pricing: Poles Apart. (2018). Blochlinger, Andreas. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:11:y:2018:i:2:p:27-:d:148621.

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2019Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review. (2019). Sathye, Milind ; Liu, Shuangzhe ; Ma, Tiefeng ; Sun, Ruili. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:12:y:2019:i:1:p:48-:d:216804.

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2018Unequal Returns: Using the Atkinson Index to Measure Financial Risk. (2018). Fischer, Thomas ; Lundtofte, Frederik . In: Working Papers. RePEc:hhs:lunewp:2018_025.

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2019A general closed form option pricing formula. (2019). Necula, Ciprian ; Farkas, Walter ; Drimus, Gabriel . In: Review of Derivatives Research. RePEc:kap:revdev:v:22:y:2019:i:1:d:10.1007_s11147-018-9144-z.

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2017Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis. (2017). Wong, Wing-Keung ; HOANG, Thi Hong Van ; EL KHAMLICHI, ABDELBARI ; van Hoang, Thi Hong. In: MPRA Paper. RePEc:pra:mprapa:76282.

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2017Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?. (2017). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-07.

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2017Harmful Diversification: Evidence from Alternative Investments. (2017). Platanakis, Emmanouil ; Sutcliffe, Charles ; Sakkas, Athanasios. In: ICMA Centre Discussion Papers in Finance. RePEc:rdg:icmadp:icma-dp2017-09.

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2018Risk-based strategies: the social responsibility of investment universes does matter. (2018). Lapointe, Vincent ; BERTRAND, Philippe. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2081-4.

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2018Dynamic portfolio insurance strategies: risk management under Johnson distributions. (2018). Naguez, Naceur . In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2121-8.

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2018On the robustness of portfolio allocation under copula misspecification. (2018). Prigent, Jean-Luc ; ben Saida, Abdallah. In: Annals of Operations Research. RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-016-2137-0.

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2017Multivariate approximations to portfolio return distribution. (2017). Perote, Javier ; Mora-Valencia, Andrés ; Ñíguez Grau, Trino. In: Computational and Mathematical Organization Theory. RePEc:spr:comaot:v:23:y:2017:i:3:d:10.1007_s10588-016-9231-3.

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2018Asset allocation strategies based on penalized quantile regression. (2018). Caporin, Massimiliano ; Paterlini, Sandra ; Bonaccolto, Giovanni. In: Computational Management Science. RePEc:spr:comgts:v:15:y:2018:i:1:d:10.1007_s10287-017-0288-3.

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2018Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature. (2018). Zhang, Yuanyuan ; Guo, Sini ; Li, Xiang. In: Fuzzy Optimization and Decision Making. RePEc:spr:fuzodm:v:17:y:2018:i:2:d:10.1007_s10700-017-9266-z.

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2019Nonparametric Assessment of Hedge Fund Performance. (2019). Garcia, Rene ; Ardison, Kim ; Almeida, Caio . In: TSE Working Papers. RePEc:tse:wpaper:123176.

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2019Time-Series Momentum: A Monte-Carlo Approach. (2019). Struck, Clemens C ; Cheng, Enoch. In: Working Papers. RePEc:ucn:wpaper:201906.

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2019Hedge Fund Strategies: A non-Parametric Analysis.. (2019). Canepa, Alessandra ; Skinner, Frank S ; De, Maria. In: Department of Economics and Statistics Cognetti de Martiis. Working Papers. RePEc:uto:dipeco:201902.

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2018Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models. (2018). Schlogl, Erik ; Mavuso, Melusi ; Mashalaba, Qaphela ; Baker, Christopher ; Rudd, Ralph ; Feng, YU. In: Research Paper Series. RePEc:uts:rpaper:395.

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Works by Bertrand Bruno Maillet:


YearTitleTypeCited
2014A SURVEY ON THE FOUR FAMILIES OF PERFORMANCE MEASURES In: Journal of Economic Surveys.
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2014A Survey on the Four Families of Performance Measures.(2014) In: Post-Print.
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2005The Impact of the 9/11 Events on the American and French Stock Markets In: Review of International Economics.
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2005The Impact of the 9/11 Events on the American and French Stock Markets.(2005) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013An Economic Evaluation of Model Risk in Long-term Asset Allocations In: Review of International Economics.
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2013An Economic Evaluation of Model Risk in Long-term Asset Allocations..(2013) In: Post-Print.
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2013An Economic Evaluation of Model Risk in Long-term Asset Allocations.(2013) In: Post-Print.
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2013An Economic Evaluation of Model Risk in Long-term Asset Allocations.(2013) In: Working Papers.
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2013An Economic Evaluation of Model Risk In Long-term Asset Allocations.(2013) In: LEO Working Papers / DR LEO.
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2010Un MEDAF à plusieurs moments réalisés In: Brussels Economic Review.
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2010Un MEDAF à plusieurs moments réalisés.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Un MEDAF à plusieurs moments réalisés.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2015A DARE for VaR In: Finance.
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2015A DARE for VaR.(2015) In: Post-Print.
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2010Lapproche dare pour une mesure de risque diversifiée In: Revue économique.
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2010Lapproche DARE pour une mesure de risque diversifiée.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Lapproche DARE pour une mesure de risque diversifiée.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Lapproche DARE pour une mesure de risque diversifiée.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011Une analyse temps-fréquences des cycles financiers In: Revue économique.
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2011Une analyse temps-fréquence des cycles financiers.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Une analyse temps-fréquences des cycles financiers.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Une analyse temps-fréquences des cycles financiers.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Prévoir sans persistance In: Revue économique.
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2012Prévoir sans persistance.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Prévoir sans persistance.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Prévoir sans persistance.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Prévoir sans persistance.(2012) In: Post-Print.
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2012Prévoir sans persistance.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Une évaluation économique du risque de modèle pour les investisseurs de long terme In: Revue économique.
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2012Une évaluation économique du risque de modèle pour les investisseurs de long terme.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Une évaluation économique du risque de modèle pour les investisseurs de long-terme.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Une évaluation économique du risque de modèle pour les investisseurs de long-terme.(2012) In: Post-Print.
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2012Une évaluation économique du risque de modèle pour les investisseurs de long-terme.(2012) In: LEO Working Papers / DR LEO.
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2016Dâun indice de détection dâanomalies à lâusage des investisseurs In: Revue économique.
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2015La macroéconomie-en-risque In: Revue économique.
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2015La macroéconomie-en-risque.(2015) In: Post-Print.
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2015La macroéconomie-en-risque.(2015) In: Post-Print.
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2016Du risque des mesures de risque systémique In: Revue économique.
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2015Du risque des mesures de risque systémique.(2015) In: Post-Print.
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2004Caractérisation des crises financières à laide de modèles hybrides (HMC-MLP) In: Revue d'économie politique.
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2004Caractérisation de crises financières à laide de modèles hybrides (HMC-MLP).(2004) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach In: EconomiX Working Papers.
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2014A dynamic autoregressive expectile for time-invariant portfolio protection strategies In: Journal of Economic Dynamics and Control.
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2014A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers.
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2014A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2014) In: Working Papers.
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2013A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies.(2013) In: LEO Working Papers / DR LEO.
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2008Do misalignments predict aggregated stock-market volatility? In: Economics Letters.
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2008Do misalignments predict aggregated stock-market volatility?.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2015Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach In: European Journal of Operational Research.
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2015Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach.(2015) In: Post-Print.
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2015Global Minimum Variance Portfolio Optimisation Under some Model Risk: A Robust Regression-based Approach.(2015) In: Post-Print.
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2014Risk models-at-risk In: Journal of Banking & Finance.
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2013Risk models–at–risk.(2013) In: LSE Research Online Documents on Economics.
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2014Risk models-at-risk.(2014) In: Post-Print.
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2014Risk model-at-risk.(2014) In: Post-Print.
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2014Risk Model-at-Risk.(2014) In: Post-Print.
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2001The approximate option pricing model: performances and dynamic properties In: Journal of Multinational Financial Management.
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2001The Approximate Option Pricing Model: Performances and Dynamic Properties.(2001) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2002How deep was the September 2001 stock market crisis?: putting recent events on the American and French markets into perspective with an index of market shocks In: LSE Research Online Documents on Economics.
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2002How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks.(2002) In: FMG Discussion Papers.
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2002Skewness and kurtosis implied by option prices: a second comment In: LSE Research Online Documents on Economics.
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2002Skewness and Kurtosis Implied by Option Prices: A Second Comment.(2002) In: FMG Discussion Papers.
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2002Revisited multi-moment approximate option pricing models: a general comparison (Part 1) In: LSE Research Online Documents on Economics.
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2002Revisited Multi-moment Approximate Option In: FMG Discussion Papers.
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1998Flexible Least Squares Betas: The French Market Case In: Caisse des Depots et Consignations - Cahiers de recherche.
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2006Understanding and reducing variability of SOM neighbourhood structure In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2005Technical Analysis Profitability when Exchange Rates are Pegged: A Note In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2005Technical analysis profitability when exchange rates are pegged: A note.(2005) In: The European Journal of Finance.
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2004A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2004A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction.(2004) In: Quantitative Finance.
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2004La volatilité des marchés augmente-elle ? In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2004La volatilité des marchés augmente-t-elle ?.(2004) In: Revue d'Économie Financière.
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2002Quelle a été lampleur de la crise financière de Septembre 2001 ? Une mise en perspective In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2000Further Insights on the Puzzle of Technical Analysis Profitability In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2000Further insights on the puzzle of technical analysis profitability.(2000) In: The European Journal of Finance.
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1998Variabilité du risque systématique : une étude du bêta sur le marché français des actions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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1998Une étude empirique de la performance de lanalyse technique sur le marché des changes In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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1997Mesure de temps, information et distribution des rendements intra-journaliers In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Multi-moment Asset Allocation and Pricing Models In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Introduction to Multi-moment Asset Allocation and Pricing Models In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Theoretical Foundations of Higher Moments when Pricing Assets In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006The 4-CAPM: in between Asset Pricing and Asset Allocation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2005Completing Hedge Fund Missing Net Asset Values using Kohonen Maps and Constrained Randomization In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2003Classifying Hedge Funds using Kohonen Map In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2002The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Rose des vents, éventails et explosions détoiles sur le marché français In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Une evaluation economique du risque de modele pour les investisseurs de long terme. (An Economic Evaluation of the Model Risk for Long-Term Investors. With English summary.). In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Efficient Frontier for Robust Higher-order Moment Portfolio Selection In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Efficient frontier for robust higher-order moment portfolio selection.(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Dun multiple conditionnel en assurance de portefeuille : CAViaR pour les gestionnaires ? In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Dun multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires?.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009A Risk Management Approach for Portfolio Insurance Strategies In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009A Risk Management Approach for Portfolio Insurance Strategies.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009High Watermarks of Market Risks In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009High Watermarks of Market Risks.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011Detrending Persistent Predictors In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Detrending Persistent Predictors.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011The Riskiness of Risk Models In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011The Riskiness of Risk Models.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Tijd voor revisie van Life-Cycle Fondsen In: Post-Print.
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2013Learning by Failing: A Simple VaR Buffer In: Post-Print.
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2013Learning by Failing: A Simple Buffer for VaR In: Post-Print.
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2002Quelle était la gravité de la crise boursière de Septembre 2001 ? Construction d’un indice de crise et mise en perspective des dernières turbulences In: Revue d'Économie Financière.
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2009A Non-Linear Approach for Completing Missing Values in Temporal Databases In: European Journal of Economic and Social Systems.
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2003An index of market shocks based on multiscale analysis In: Quantitative Finance.
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2010Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes In: Working Papers.
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2013Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure In: Working Papers.
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