Dynamiques tronquées et estimation de modèles de diffusion
Approche statistique de la décomposition spectrale de l'opérateur d'espérance conditionnelle
The High Water Mark Scheme
The Loss Carry Forward Scheme
Truncated Dynamics and Estimation of Diffusion Equations
Factor ARMA Representation of a Markov Process
Survival of Hedge Funds
Nonparametric Instrumental Regression
Trading Volume and Arbitrage
Empirical Local Time for Processes Observed on a Grid
Nonparametric Estimation of a Diffusion Equation from Tick Observations
Kernel Based Nonlinear Canonical Analysis and Time Reversibility
Compound Autoregressive Models
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
Do Funds of Hedge Funds Really Add Value? A 'Post' Crisis Analysis
Intraday Transaction Price Dynamics
Decomposing Volume for VWAP Strategies
Nonparametric Instrumental Regression
The Effects of Management and Provision Accounts on Hedge Fund Returns