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Alternative reversal variable

Anh Duy Nguyen
Finance Research Letters, In press
Journal articles hal-02388743v1
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Quelques contributions à la statistique des Processus : Inégalités de Déviations & Grandes Déviations

Hacène Djellout
Probabilités [math.PR]. Université Blaise Pascal, 2015
Habilitation à diriger des recherches tel-01234238v1
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Residual return reversals: European evidences

Anh Duc Nguyen
Research in International Business and Finance, In press
Journal articles hal-02493457v1
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LARGE DEVIATIONS OF THE REALIZED (CO-)VOLATILITY VECTOR

Hacène Djellout , Arnaud Guillin , Yacouba Samoura
Stochastic Processes and their Applications, 2017
Journal articles hal-01082903v1
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A study of Chinese market efficiency, Shanghai versus Shenzhen: Evidence based on multifractional models

Pierre R. Bertrand , Marie-Eliette Dury , Bing Xiao
Mathematical Methods in Economics and Finance, 2020, 13-14, pp.19-36
Journal articles hal-03031766v1
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LARGE DEVIATIONS OF THE THRESHOLD ESTIMATOR OF INTEGRATED (CO-)VOLATILITY VECTOR IN THE PRESENCE OF JUMPS

Hacène Djellout , Hui Jiang
Journal of Theoretical Probability, 2018, Journal of Theoretical Probability, 31 (3), pp.1606-1624
Journal articles hal-01147189v1
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Proportional Transaction Costs in the Robust Control Approach to Option Pricing: The Uniqueness Theorem

Naïma El Farouq , Pierre Bernhard
Applied Mathematics and Optimization, 2015, 72 (2), pp.187-202. ⟨10.1007/s00245-014-9276-y⟩
Journal articles hal-01090616v1
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A one-sided Vysochanskii-Petunin inequality with financial applications

Mathieu Mercadier , Frank Strobel
European Journal of Operational Research, In press, ⟨10.1016/j.ejor.2021.02.041⟩
Journal articles hal-03241628v1
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Forecasting the Volatility of the Chinese Gold Market by ARCH Family Models and extension to Stable Models

Marie-Eliette Dury , Bing Xiao
2018
Preprints, Working Papers, ... hal-01709321v1
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Credit spread approximation and improvement using random forest regression

Mathieu Mercadier , Jean-Pierre Lardy
European Journal of Operational Research, 2019, 277 (1), pp.351-365. ⟨10.1016/j.ejor.2019.02.005⟩
Journal articles hal-03241566v1