23 Avenue Guy de Collongue
Ecully, 69132
France
EMLyon Business School (Paris Campus)
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
CPPI, Portfolio Insurance, VaR, CAViaR, Quantile Regression, Dynamic Quantile Model, Expected Shortfall, Extreme Value
Option Pricing Models, Stochastic Volatility, Skewness, Kurtosis
Kohonen maps, Classfication, Multidimensional Data Analysis, General Non-linear Models, Hedge Funds, Fund-Picking, Performance Measurements
Financial crises, Volatility, Risk Measurement, Heterogeneity of Economic Agents
Outliers, ANN-GARCH, Higher-order Moment, Asset Allocation
Financial Crisis, Realized Volatility, Range-based Volatility, Extreme Value Distributions, Tail Index, L-moments, High Frequency Data
Financial Crisis, Realized Volatility, Range-based Volatility, Extreme Value Distributions, Tail-index, L-moments, High Frequency Data
Efficient Frontier, Portfolio Selection, Robust Higher L-moments, Shortage Function, Goal Attainment Application
Value-at-Risk, Backtesting, Model Risk, Bias Correction
Financial Ratios, Return Predictability, Cycles, Wavelets
Performance Measure, Omega, Return Distribution, Risk, Stochastic Dominance
Realized Betas, CAPM, Multifactor Pricing Models, High Frequency Data, Robust Estimation
forecasting, persistence, wavelet, expected returns
Financial Crisis, Volatility Estimators Distributions, Range-based Volatility, Extreme Value, High Frequency Data
Option Pricing Models, Martingale Restriction, Padé Approximants.
Option Pricing Models, Martingale Restriction, Padé Approximants
Utility Function, Performance Measures, Agents’ Preferences, Portfolio Ranking
Realized Volatility, Volatility Forecasting, Asymmetry
CPPI, Expectile, Quantile Regression, Dynamic Quantile Model, Expected Shortfall
forecasting, persistent regressors, detrending, expected returns
Second-order Stochastic Dominance, Omega Ratio, Performance Measurement
Performance Measurement, Asset Pricing Models, Efficiency.
Shortage Function, Efficient Frontier, Skewness, Kurtosis
