Econom&Risks Benoit, S., Hurlin, C. and Pérignon, C. Implied Risk Exposures. Review of Finance à paraître, 2014.
Bialkowski, J., Darolles, S. and Le Fol, G. Reducing the risk of VWAP orders execution - A new approach to modeling intra-day volume. JASSA The Finsia Journal of Applied Finance 1, 12-18, 2012.
Boubacar Mainassara, Y., Carbon, M. and Francq, C. Computing and estimating information matrices of weak ARMA models. Computational Statistics and Data Analysis 56, 345-361, 2012.
Candelon, B., Colletaz, G., Hurlin, C. and Tokpavi, S. Backtesting Value-at-Risk: a GMM duration-based test Journal of Financial Econometrics 9, 314-343, 2011.
Candelon, B., Hurlin, C. and Tokpavi, S. Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios. Journal of Empirical Finance19, 511-527, 2012.
Candelon, B., Dumitrescu E. and Hurlin, C. How to evaluate an Early Warning System? IMF Economic Review60, 75-113, 2012.
Colletaz, G., Hurlin, C. and Pérignon, C. The Risk Map: a New Tool for Risk Management. Journal of Banking and Finance37, 3843.-3854, 2013.
Colletaz, G., Benoit, S., Hurlin, C. and Pérignon, C. A Theoretical and Empirical Comparison of Systemic Risk Measures. en révision, 2012.
Darolles, S. Evaluating UCITS compliant hedge fund performance. Bankers, Markets & Investors 133, 5-16, 2014.
Darolles, S., Florens, J.-P., Fan, Y.K. and Renault, E. Nonparametric instrumental regression. Econometrica 79, 1541-1565, 2011.
Darolles, S. and Vaissié M. The alpha and omega of fund of hedge fund added value. Journal of Banking and Finance 36, 1067-1078, 2012.
Darolles, S. and Le Fol, G. Trading Volume and Arbitrage. Journal of Business Review 3, 30-39, 2014.
Darolles, S. and Mero, G. Hedge fund returns and factor models: a cross-sectional approach. Bankers, Markets & Investors 112, 34-53, 2011.
Darolles, S., Le Fol, G. and Mero, G. When Market Illiquidity Generates Volumes. Journal of Banking and Finance à paraître, 2014.
Duchesne, P. and Francq, C. Multivariate hypothesis testing using generalized and {2}-inverses -- with applications. Statistics, 2014
Dumitrescu, E., Hurlin ,C. and Pham, V. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests. Finance 33, 79-111, 2012.
Dumitrescu, E., Candelon B., Hurlin, C. and Franz, P. Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation. Advances in Econometrics, Essays in Honor of Christopher A. Sims 32, 395-427, 2014.
Dumitrescu, E., Hurlin ,C. and Madkour, J. Testing Interval Forecasts: a GMM-based approach. Journal of Forecasting 32, 97-110, 2012.
El Ghourabi, M., Francq, C and Telmoudi, F. Consistent estimation of the Value-at-Risk when the error distribution of the volatility model is misspecified.
Francq, C., Horvath, L. and Zakoïan, J-M. Merits and drawbacks of variance targeting in GARCH models. Journal of Financial Econometrics 9, 619-656, 2011.
Francq, C. Wintenberger, O. and Zakoïan, J-M. Garch models without positivity constraints: exponential or log garch?. Journal of Econometrics 177, 34-46, 2013.
Francq, C. and Zakoïan, J-M. Multi-level Conditional VaR Estimation in Dynamic Models. Modeling Dependence in Econometrics, V.-N. Huynh et al. (eds.), Advances in Intelligent Systems and Computing 251, Springer, 2014.
Francq, C. and Zakoïan, J-M. Inference in non stationary asymmetric GARCH models. Annals of Statistics 41, 1970-1998, 2013.
Francq, C. and Zakoïan, J-M. Optimal predictions of powers of conditionally heteroskedastic processes. Journal of the Royal Statistical Society - Series B 75, 345-367, 2013.
Francq, C. and Zakoïan, J-M. Strict stationarity testing and estimation of explosive and stationary GARCH models. Econometrica 80, 821-861, 2012.
Francq, C. and Zakoïan, J-M. Risk-parameter estimation in volatility models. Journal of Econometrics à paraître, 2014.
Gouriéroux, C. and Zakoïan, J-M. Estimation adjusted VaR. Econometric Theory 29, 735-770, 2013.
Hamidi, B., Hurlin, C., Kouontchou, P. and Maillet, B. A DARE Model for VaR. Finance à paraître, 2014.
Hurlin, C., Laurent, S., Quaedvlieg, R. and Smeekes, S. Risk Measure Inference. en révision, 2014.
Hurlin, C., Pérignon, C. and Stodden, S. RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results. E-Science (e-Science), 2012 IEEE 8th International Conference on Chicago, IL, USA 1-8. DOI: 10.1109/eScience.2012.6404455, 2012.
Hurlin, C., Pérignon, C. and Stodden, S. RunMyCode.org: A Research-Reproducibility Tool for Computational Sciences, in Implementing Reproducible Research. Stodden V., Leisch F. and Peng R. eds, Chapman & Hall/CRC The R Series 2013.
Hamidi, B., Hurlin, C., Kouontchou, P. and Maillet, B. A DARE Model for VaR. Finance à paraître, 2014.
Hurlin, C. and Pérignon, C. Margin Backtesting. Review of Futures Market 20, 179-194, 2012.