“...Financial econometrics is a great success story in economics. Econometrics uses data and statistical inference methods, together with structural and...”

“...This paper introduces a representation theorem for a mixed VAR(p) process by distinguishing its causal and noncausal components. That representation is used to...”

“...This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart stochastic...”

“...In view of rapid developments on nonparametric estimation of the drift and volatility functions in scalar diffusion models in financial econometrics, from...”

“...We define a battery of Sharpe performance measures, which differ by the information taken into account in their computation, but also by the potential use of...”

“...We derive a coherent multifactor model for pricing various derivatives written on the same underlying (potentially nontradable) asset. We show the difference...”

“...This paper studies the link between two popular measures of risk, that are the Value-at-Risk (VaR) and the Tail-VaR (TVaR). We study how the TVaR and VaR are...”