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Bertrand Bruno Maillet

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Bertrand Maillet & Michele Costola & Massimiliano Caporin & Gregory Jannin, 2015. "On the (Ab)Use of Omega?," Working Papers 2015:02, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    2. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    3. Niu, Cuizhen & Wong, Wing-Keung & Zhu, Lixing, 2017. "Farinelli and Tibiletti ratio and Stochastic Dominance," MPRA Paper 82737, University Library of Munich, Germany.
    4. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    5. Balder, Sven & Schweizer, Nikolaus, 2017. "Risk aversion vs. the Omega ratio: Consistency results," Finance Research Letters, Elsevier, vol. 21(C), pages 78-84.
    6. Eric Benhamou & Beatrice Guez & Nicolas Paris, 2020. "Omega and Sharpe ratio," Working Papers hal-02886481, HAL.
    7. Taylor, James W., 2022. "Forecasting Value at Risk and expected shortfall using a model with a dynamic omega ratio," Journal of Banking & Finance, Elsevier, vol. 140(C).
    8. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    9. Sehgal, Ruchika & Sharma, Amita & Mansini, Renata, 2023. "Worst-case analysis of Omega-VaR ratio optimization model," Omega, Elsevier, vol. 114(C).
    10. Xu Guo & Xuejun Jiang & Wing-Keung Wong, 2017. "Stochastic Dominance and Omega Ratio: Measures to Examine Market Efficiency, Arbitrage Opportunity, and Anomaly," Economies, MDPI, vol. 5(4), pages 1-16, October.
    11. Yu, Jing-Rung & Paul Chiou, Wan-Jiun & Hsin, Yi-Ting & Sheu, Her-Jiun, 2022. "Omega portfolio models with floating return threshold," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 743-758.

  2. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," Post-Print hal-01243408, HAL.

    Cited by:

    1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2018. "Estimation of the global minimum variance portfolio in high dimensions," European Journal of Operational Research, Elsevier, vol. 266(1), pages 371-390.
    2. Ding, Wenliang & Shu, Lianjie & Gu, Xinhua, 2023. "A robust Glasso approach to portfolio selection in high dimensions," Journal of Empirical Finance, Elsevier, vol. 70(C), pages 22-37.
    3. Francisco Fernández-Navarro & Luisa Martínez-Nieto & Mariano Carbonero-Ruz & Teresa Montero-Romero, 2021. "Mean Squared Variance Portfolio: A Mixed-Integer Linear Programming Formulation," Mathematics, MDPI, vol. 9(3), pages 1-13, January.
    4. Panos Xidonas & Ralph Steuer & Christis Hassapis, 2020. "Robust portfolio optimization: a categorized bibliographic review," Annals of Operations Research, Springer, vol. 292(1), pages 533-552, September.
    5. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Harmful Diversification: Evidence from Alternative Investments," ICMA Centre Discussion Papers in Finance icma-dp2017-09, Henley Business School, University of Reading.
    6. Hongxin Zhao & Lingchen Kong & Hou-Duo Qi, 2021. "Optimal portfolio selections via $$\ell _{1, 2}$$ ℓ 1 , 2 -norm regularization," Computational Optimization and Applications, Springer, vol. 80(3), pages 853-881, December.
    7. Chiu, Wan-Yi & Jiang, Ching-Hai, 2016. "On the weight sign of the global minimum variance portfolio," Finance Research Letters, Elsevier, vol. 19(C), pages 241-246.
    8. Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
    9. Carroll, Rachael & Conlon, Thomas & Cotter, John & Salvador, Enrique, 2017. "Asset allocation with correlation: A composite trade-off," European Journal of Operational Research, Elsevier, vol. 262(3), pages 1164-1180.
    10. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
    11. Ruili Sun & Tiefeng Ma & Shuangzhe Liu & Milind Sathye, 2019. "Improved Covariance Matrix Estimation for Portfolio Risk Measurement: A Review," JRFM, MDPI, vol. 12(1), pages 1-34, March.
    12. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
    13. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
    14. Eric Andr'e & Guillaume Coqueret, 2020. "Dirichlet policies for reinforced factor portfolios," Papers 2011.05381, arXiv.org, revised Jun 2021.
    15. Philippe Bertrand & Vincent Lapointe, 2018. "Risk-based strategies: the social responsibility of investment universes does matter," Post-Print hal-01833080, HAL.
    16. Melk C. Bucher, 2020. "Conditional currency hedging," Financial Management, Financial Management Association International, vol. 49(4), pages 897-923, December.
    17. Conlon, Thomas & Cotter, John & Gençay, Ramazan, 2018. "Long-run wavelet-based correlation for financial time series," European Journal of Operational Research, Elsevier, vol. 271(2), pages 676-696.
    18. Xidonas, Panos & Hassapis, Christis & Soulis, John & Samitas, Aristeidis, 2017. "Robust minimum variance portfolio optimization modelling under scenario uncertainty," Economic Modelling, Elsevier, vol. 64(C), pages 60-71.
    19. Christis Katsouris, 2021. "Optimal Portfolio Choice and Stock Centrality for Tail Risk Events," Papers 2112.12031, arXiv.org.
    20. Luigi Grossi & Fabrizio Laurini, 2020. "Robust asset allocation with conditional value at risk using the forward search," Applied Stochastic Models in Business and Industry, John Wiley & Sons, vol. 36(3), pages 335-352, May.
    21. Theo Berger & Ramazan Gençay, 2020. "Short‐run wavelet‐based covariance regimes for applied portfolio management," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(4), pages 642-660, July.
    22. Sandra Caçador & Joana Matos Dias & Pedro Godinho, 2020. "Global minimum variance portfolios under uncertainty: a robust optimization approach," Journal of Global Optimization, Springer, vol. 76(2), pages 267-293, February.
    23. Emmanouil Platanakis & Athanasios Sakkas & Charles Sutcliffe, 2017. "Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?," ICMA Centre Discussion Papers in Finance icma-dp2017-07, Henley Business School, University of Reading.
    24. Al Janabi, Mazin A.M. & Arreola Hernandez, Jose & Berger, Theo & Nguyen, Duc Khuong, 2017. "Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios," European Journal of Operational Research, Elsevier, vol. 259(3), pages 1121-1131.
    25. Mazin A.M. Al Janabi, 2021. "Is optimum always optimal? A revisit of the mean‐variance method under nonlinear measures of dependence and non‐normal liquidity constraints," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(3), pages 387-415, April.
    26. Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016. "Good deals and benchmarks in robust portfolio selection," European Journal of Operational Research, Elsevier, vol. 250(2), pages 666-678.
    27. Xidonas, Panos & Mavrotas, George & Hassapis, Christis & Zopounidis, Constantin, 2017. "Robust multiobjective portfolio optimization: A minimax regret approach," European Journal of Operational Research, Elsevier, vol. 262(1), pages 299-305.
    28. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.

  3. Benjamin Hamidi & Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2015. "A DARE for VaR," Post-Print hal-01243402, HAL.
    • Benjamin Hamidi & Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2015. "A DARE for VaR," Finance, Presses universitaires de Grenoble, vol. 36(1), pages 7-38.

    Cited by:

    1. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
    2. Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
    3. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.

  4. Christophe Boucher & Bertrand Maillet, 2015. "La macroéconomie-en-risque," Post-Print hal-01243400, HAL.

    Cited by:

    1. Chiu, Ching-Wai (Jeremy) & Hacioglu Hoke, Sinem, 2016. "Macroeconomic tail events with non-linear Bayesian VARs," Bank of England working papers 611, Bank of England.

  5. Boucher, Christophe M. & Danielsson, Jon & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models–at–risk," LSE Research Online Documents on Economics 59299, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    2. Yu Feng & Ralph Rudd & Christopher Baker & Qaphela Mashalaba & Melusi Mavuso & Erik Schlögl, 2021. "Quantifying the Model Risk Inherent in the Calibration and Recalibration of Option Pricing Models," Risks, MDPI, vol. 9(1), pages 1-20, January.
    3. Stefan Nagel & Amiyatosh Purnanandam, 2019. "Bank risk dynamics and distance to default," CESifo Working Paper Series 7637, CESifo.
    4. Danielsson, Jon & James, Kevin R. & Valenzuela, Marcela & Zer, Ilknur, 2016. "Model risk of risk models," LSE Research Online Documents on Economics 66365, London School of Economics and Political Science, LSE Library.
    5. Yesol Huh, 2014. "Machines vs. Machines: High Frequency Trading and Hard Information," Finance and Economics Discussion Series 2014-33, Board of Governors of the Federal Reserve System (U.S.).
    6. Bayer, Sebastian, 2018. "Combining Value-at-Risk forecasts using penalized quantile regressions," Econometrics and Statistics, Elsevier, vol. 8(C), pages 56-77.
    7. Emese Lazar & Ning Zhang, 2017. "Model Risk of Expected Shortfall," ICMA Centre Discussion Papers in Finance icma-dp2017-10, Henley Business School, University of Reading.
    8. João Henrique Gonçalves Mazzeu & Esther Ruiz & Helena Veiga, 2018. "Uncertainty And Density Forecasts Of Arma Models: Comparison Of Asymptotic, Bayesian, And Bootstrap Procedures," Journal of Economic Surveys, Wiley Blackwell, vol. 32(2), pages 388-419, April.
    9. Baviera, Roberto, 2022. "The measure of model risk in credit capital requirements," Finance Research Letters, Elsevier, vol. 44(C).
    10. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
    11. Stepankova, Barbora & Teply, Petr, 2023. "Consistency of banks' internal probability of default estimates: Empirical evidence from the COVID-19 crisis," Journal of Banking & Finance, Elsevier, vol. 154(C).
    12. Liu, Wei & Semeyutin, Artur & Lau, Chi Keung Marco & Gozgor, Giray, 2020. "Forecasting Value-at-Risk of Cryptocurrencies with RiskMetrics type models," Research in International Business and Finance, Elsevier, vol. 54(C).
    13. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Post-Print hal-01369201, HAL.
    14. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    15. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2021. "Regulation of bank proprietary trading post 2007–09 crisis: An examination of the Basel framework and Volcker rule," Journal of International Money and Finance, Elsevier, vol. 119(C).
    16. Zuzana Krajcovicova & Pedro Pablo Perez-Velasco & Carlos Vazquez, 2017. "A Novel Approach to Quantification of Model Risk for Practitioners," Papers 1705.05572, arXiv.org.
    17. Weidong Tian & Junya Jiang & Weidong Tian, 2017. "Model Uncertainty Effect on Asset Prices," International Review of Finance, International Review of Finance Ltd., vol. 17(2), pages 205-233, June.
    18. Kamila Sommer, 2014. "Fertility Choice in a Life Cycle Model with Idiosyncratic Uninsurable Earnings Risk," Finance and Economics Discussion Series 2014-32, Board of Governors of the Federal Reserve System (U.S.).
    19. Valeria Bignozzi & Andreas Tsanakas, 2016. "Parameter Uncertainty and Residual Estimation Risk," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 83(4), pages 949-978, December.
    20. Tsukahara, Fábio Yasuhiro & Kimura, Herbert & Sobreiro, Vinicius Amorim & Zambrano, Juan Carlos Arismendi, 2016. "Validation of default probability models: A stress testing approach," International Review of Financial Analysis, Elsevier, vol. 47(C), pages 70-85.
    21. Yu, Ziliang & Liu, Xiaomeng & Liu, Zhuqing & Li, Yang, 2023. "Central bank swap arrangements and exchange rate volatility: Evidence from China," Emerging Markets Review, Elsevier, vol. 56(C).
    22. Yu Feng, 2019. "Theory and Application of Model Risk Quantification," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 3-2019.
    23. Le, Trung H., 2020. "Forecasting value at risk and expected shortfall with mixed data sampling," International Journal of Forecasting, Elsevier, vol. 36(4), pages 1362-1379.
    24. Bangzhu Zhu & Ping Wang & Julien Chevallier & Yi‐Ming Wei, 2023. "Enriching the value‐at‐risk framework to ensemble empirical mode decomposition with an application to the European carbon market," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(3), pages 2975-2988, July.
    25. Yu Feng, 2019. "Non-Parametric Robust Model Risk Measurement with Path-Dependent Loss Functions," Papers 1903.00590, arXiv.org.
    26. Gonçalves Mazzeu, Joao Henrique & Ruiz Ortega, Esther & Veiga, Helena, 2015. "Model uncertainty and the forecast accuracy of ARMA models: A survey," DES - Working Papers. Statistics and Econometrics. WS ws1508, Universidad Carlos III de Madrid. Departamento de Estadística.
    27. Pelster, Matthias & Vilsmeier, Johannes, 2016. "The determinants of CDS spreads: Evidence from the model space," Discussion Papers 43/2016, Deutsche Bundesbank.
    28. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.
    29. Semeyutin, Artur & O’Neill, Robert, 2019. "A brief survey on the choice of parameters for: “Kernel density estimation for time series data”," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).

  6. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2014. "A Dynamic AutoRegressive Expectile for Time-Invariant Portfolio Protection Strategies," Working Papers 2014-131, Department of Research, Ipag Business School.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Xiu Xu & Andrija Mihoci & Wolfgang Karl Hardle, 2020. "lCARE -- localizing Conditional AutoRegressive Expectiles," Papers 2009.13215, arXiv.org.
    3. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    4. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    5. Olga Biedova & Victoria Steblovskaya, 2020. "Multiplier Optimization For Constant Proportion Portfolio Insurance (Cppi) Strategy," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-22, March.
    6. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    7. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.
    8. Tawil, Dima, 2018. "Risk-adjusted performance of portfolio insurance and investors’ preferences," Finance Research Letters, Elsevier, vol. 24(C), pages 10-18.
    9. Xu, Xiu & Mihoci, Andrija & Härdle, Wolfgang Karl, 2018. "lCARE - localizing conditional autoregressive expectiles," Journal of Empirical Finance, Elsevier, vol. 48(C), pages 198-220.
    10. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
    11. Farooq, Muhammad & Steinwart, Ingo, 2017. "An SVM-like approach for expectile regression," Computational Statistics & Data Analysis, Elsevier, vol. 109(C), pages 159-181.
    12. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
    13. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    14. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.

  7. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-01243416, HAL.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    3. Giovanni Bonaccolto & Massimiliano Caporin & Sandra Paterlini, 2015. "Asset Allocation Strategies Based On Penalized Quantile Regression," "Marco Fanno" Working Papers 0199, Dipartimento di Scienze Economiche "Marco Fanno".
    4. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    5. León, Angel & Navarro, Lluís & Nieto, Belén, 2019. "Screening rules and portfolio performance," The North American Journal of Economics and Finance, Elsevier, vol. 48(C), pages 642-662.
    6. Philippe Bernard & Najat El Mekkaoui de Freitas & Bertrand Maillet, 2019. "A financial fraud detection indicator for investors: an IDeA," Post-Print hal-02455189, HAL.
    7. Hoang, Thi-Hong-Van & Wong, Wing-Keung & Zhu, Zhenzhen, 2015. "Is gold different for risk-averse and risk-seeking investors? An empirical analysis of the Shanghai Gold Exchange," Economic Modelling, Elsevier, vol. 50(C), pages 200-211.
    8. Amélie Charles & Olivier Darné & Jessica Fouilloux, 2016. "The impact of screening strategies on the performance of ESG indices," Working Papers hal-01344699, HAL.
    9. Caporin, Massimiliano & Lisi, Francesco, 2013. "A Conditional Single Index model with Local Covariates for detecting and evaluating active portfolio management," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 236-249.
    10. Niu, Cuizhen & Wong, Wing-Keung & Zhu, Lixing, 2017. "Farinelli and Tibiletti ratio and Stochastic Dominance," MPRA Paper 82737, University Library of Munich, Germany.
    11. Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace Van de Woestyne, 2021. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Working Papers 2021-EQM-03, IESEG School of Management.
    12. Voelzke, Jan, 2015. "Weakening the Gain–Loss-Ratio measure to make it stronger," Finance Research Letters, Elsevier, vol. 12(C), pages 58-66.
    13. Billio, Monica & Caporin, Massimiliano & Costola, Michele, 2015. "Backward/forward optimal combination of performance measures for equity screening," The North American Journal of Economics and Finance, Elsevier, vol. 34(C), pages 63-83.
    14. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    15. Sally G. Arcidiacono & Damiano Rossello, 2022. "A hybrid approach to the discrepancy in financial performance’s robustness," Operational Research, Springer, vol. 22(5), pages 5441-5476, November.
    16. Potrykus Marcin, 2018. "Comparison of Investment Performance Measures Using the Example of Selected Stock Exchanges," Financial Sciences. Nauki o Finansach, Sciendo, vol. 23(2), pages 30-46, June.
    17. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
    18. Caporin, Massimiliano & Jimenez-Martin, Juan-Angel & Gonzalez-Serrano, Lydia, 2013. "Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises," MPRA Paper 50940, University Library of Munich, Germany, revised 23 Oct 2013.
    19. Abdelbari El Khamlichi & Thi Hong Van Hoang & Wing‐keung Wong, 2016. "Is Gold Different for Islamic and Conventional Portfolios? A Sectorial Analysis," Post-Print hal-02964594, HAL.
    20. Jan Voelzke, 2014. "Weakening the Gain-Loss-Ratio measure to make it stronger," CQE Working Papers 3114, Center for Quantitative Economics (CQE), University of Muenster.
    21. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    22. Andrey Leonidov & Ilya Tipunin & Ekaterina Serebryannikova, 2020. "On Evaluation of Risky Investment Projects. Investment Certainty Equivalence," Papers 2005.12173, arXiv.org.
    23. Fischer, Thomas & Lundtofte , Frederik, 2018. "Unequal Returns: Using the Atkinson Index to Measure Financial Risk," Working Papers 2018:25, Lund University, Department of Economics.
    24. Lu, Jin-Ray & Li, Xiu-Yan, 2021. "Identifying the fair value of Sharpe ratio by an option valuation approach," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 63-70.
    25. Bernard, Carole & Vanduffel, Steven & Ye, Jiang, 2019. "Optimal strategies under Omega ratio," European Journal of Operational Research, Elsevier, vol. 275(2), pages 755-767.
    26. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    27. Anna E. Olkova, 2017. "Mutual Funds Performance Assessment Techniques: Comparative Analysis," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 85-95, June.
    28. Korn, Olaf & Möller, Philipp M. & Schwehm, Christian, 2019. "Drawdown measures: Are they all the same?," CFR Working Papers 19-04, University of Cologne, Centre for Financial Research (CFR).
    29. Dipankar Mondal & N. Selvaraju, 2020. "Upside Beta Ratio: A Performance Measure For Potential-Seeking Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 23(02), pages 1-26, April.
    30. Elisa Pagani, 2015. "Certainty Equivalent: Many Meanings of a Mean," Working Papers 24/2015, University of Verona, Department of Economics.
    31. Aytaç, Beysül & Hoang, Thi-Hong-Van & Mandou, Cyrille, 2016. "Wine: To drink or invest in? A study of wine as an investment asset in French portfolios," Research in International Business and Finance, Elsevier, vol. 36(C), pages 591-614.

  8. Monica Billio & Gregory Jannin & Bertrand Maillet & Loriana Pelizzon, 2013. "Portfolio Performance Measure and A New Generalized Utility-based N-moment Measure," Working Papers 2013:22, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    2. Canepa, Alessandra & de la O. González, María & Skinner, Frank S., 2019. "Hedge Fund Strategies: A non-Parametric Analysis," Department of Economics and Statistics Cognetti de Martiis. Working Papers 201902, University of Turin.
    3. Almeida, Caio & Ardison, Kym & Garcia, René, 2020. "Nonparametric assessment of hedge fund performance," Journal of Econometrics, Elsevier, vol. 214(2), pages 349-378.

  9. Christophe Boucher & Bertrand Maillet, 2013. "Learning by Failing: A Simple VaR Buffer," Post-Print hal-01243425, HAL.

    Cited by:

    1. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Post-Print hal-01369201, HAL.
    2. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    3. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.

  10. Christophe Boucher & Bertrand Maillet, 2013. "Learning by Failing: A Simple Buffer for VaR," Post-Print hal-01386005, HAL.

    Cited by:

    1. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Post-Print hal-01369201, HAL.
    2. Jean-Paul Laurent & Hassan Omidi Firouzi, 2022. "Market Risk and Volatility Weighted Historical Simulation After Basel III," Working Papers hal-03679434, HAL.
    3. Claußen, Arndt & Rösch, Daniel & Schmelzle, Martin, 2019. "Hedging parameter risk," Journal of Banking & Finance, Elsevier, vol. 100(C), pages 111-121.

  11. Christophe Boucher & Bertrand Maillet, 2011. "The Riskiness of Risk Models," Documents de travail du Centre d'Economie de la Sorbonne 11020, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Christophe Boucher & Gregory Jannin & Patrick Kouontchou & Bertrand Maillet, 2013. "An Economic Evaluation of Model Risk in Long-term Asset Allocations," Post-Print hal-01369201, HAL.

  12. Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Documents de travail du Centre d'Economie de la Sorbonne 11003, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00662771, HAL.
    2. Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Documents de travail du Centre d'Economie de la Sorbonne 12001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    3. Christophe Boucher & Bertrand Maillet, 2012. "Prévoir sans persistance," Post-Print halshs-00662771, HAL.

  13. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".

    Cited by:

    1. Philippe Bernard & Najat El Mekkaoui de Freitas & Bertrand Maillet, 2019. "A financial fraud detection indicator for investors: an IDeA," Post-Print hal-02455189, HAL.

  14. Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2010. "Un MEDAF à plusieurs moments réalisés," Documents de travail du Centre d'Economie de la Sorbonne 10033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Richard Mawulawoe Ahadzie & Nagaratnam Jeyasreedharan, 2024. "Higher‐order moments and asset pricing in the Australian stock market," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, vol. 64(1), pages 75-128, March.

  15. Benjamin Hamidi & Emmanuel Jurczenko & Bertrand Maillet, 2009. "D'un multiple conditionnel en assurance de portefeuille: CAViaR pour les gestionnaires?," Documents de travail du Centre d'Economie de la Sorbonne 09033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Naceur Naguez, 2018. "Dynamic portfolio insurance strategies: risk management under Johnson distributions," Annals of Operations Research, Springer, vol. 262(2), pages 605-629, March.
    2. Naceur Naguez & Jean-Luc Prigent, 2014. "Dynamic Portfolio Insurance Strategies: Risk Management under Johnson Distributions," Working Papers 2014-329, Department of Research, Ipag Business School.

  16. Bertrand Maillet & Jean-Philippe Médecin & Thierry Michel, 2009. "High Watermarks of Market Risks," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00425585, HAL.

    Cited by:

    1. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".

  17. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009. "A Risk Management Approach for Portfolio Insurance Strategies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00389789, HAL.

    Cited by:

    1. H. Ben Ameur & Jean-Luc Prigent, 2018. "Risk management of time varying floors for dynamic portfolio insurance," Post-Print hal-03679408, HAL.
    2. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    3. Wentao Hu & Cuixia Chen & Yufeng Shi & Ze Chen, 2022. "A Tail Measure With Variable Risk Tolerance: Application in Dynamic Portfolio Insurance Strategy," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 831-874, June.
    4. Ben Ameur, H. & Prigent, J.L., 2014. "Portfolio insurance: Gap risk under conditional multiples," European Journal of Operational Research, Elsevier, vol. 236(1), pages 238-253.
    5. Peyman Alipour & Ali Foroush Bastani, 2023. "Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market," Papers 2305.12539, arXiv.org.
    6. David Happersberger & Harald Lohre & Ingmar Nolte, 2020. "Estimating portfolio risk for tail risk protection strategies," European Financial Management, European Financial Management Association, vol. 26(4), pages 1107-1146, September.
    7. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.

  18. Emmanuel F. Jurczenko & Bertrand Maillet & Paul M. Merlin, 2008. "Efficient frontier for robust higher-order moment portfolio selection," Documents de travail du Centre d'Economie de la Sorbonne bla08062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

    Cited by:

    1. Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.

  19. Bertrand Maillet & Emmanuel Jurczenko & Paul Merlin, 2006. "Hedge Funds Portfolio Selection with Higher-order Moments: A Non-parametric Mean-Variance-Skewness-Kurtosis Efficient Frontier," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308993, HAL.

    Cited by:

    1. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    2. Gulder Kemalbay & C. Murat Ozkut & Ceki Franko, 2011. "Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 13(1), pages 41-61, Special I.
    3. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
    4. W. Briec & K. Kerstens & I. van de Woestyne, 2013. "Portfolio selection with skewness : a comparison of methods and a generalized one fund result," Post-Print hal-00837674, HAL.
    5. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
    6. Racicot, François-Éric & Théoret, Raymond, 2018. "Multi-moment risk, hedging strategies, & the business cycle," International Review of Economics & Finance, Elsevier, vol. 58(C), pages 637-675.
    7. Nalpas, Nicolas & Simar, Léopold & Vanhems, Anne, 2016. "Portfolio Selection in a Multi-Input Multi-Output Setting: a Simple Monte-Carlo-FDH Algorithm," TSE Working Papers 16-648, Toulouse School of Economics (TSE).
    8. Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace Van de Woestyne, 2021. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Working Papers 2021-EQM-03, IESEG School of Management.
    9. Kerstens, Kristiaan & Mounier, Amine & Van de Woestyne, Ignace, 2008. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Working Papers 2008/61, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    10. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
    11. Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
    12. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    13. Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2011. "Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result," Working Papers 2011/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.

  20. Bertrand Maillet & Emmanuel Jurczenko, 2006. "Multi-moment Asset Allocation and Pricing Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308990, HAL.

    Cited by:

    1. François-Éric Racicot & Raymond Théoret, 2009. "Integrating volatility factors in the analysis of the hedge fund alpha puzzle," Journal of Asset Management, Palgrave Macmillan, vol. 10(1), pages 37-62, April.
    2. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    3. Cécile Kharoubi-Rakotomalala & Christophe Moussu, 2008. "Impact du cadre légal sur le revenu des actionnaires:preuve par la non-normalité," Revue Finance Contrôle Stratégie, revues.org, vol. 11(1), pages 185-223, March.
    4. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    5. Nathan Lassance & Frédéric Vrins, 2019. "Minimum Rényi entropy portfolios," LIDAM Reprints CORE 3062, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Gulder Kemalbay & C. Murat Ozkut & Ceki Franko, 2011. "Portfolio Selection with Higher Moments: A Polynomial Goal Programming Approach to ISE-30 Index," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, vol. 13(1), pages 41-61, Special I.
    7. Mencía, Javier & Sentana, Enrique, 2009. "Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation," Journal of Econometrics, Elsevier, vol. 153(2), pages 105-121, December.
    8. W. Briec & K. Kerstens & I. van de Woestyne, 2013. "Portfolio selection with skewness : a comparison of methods and a generalized one fund result," Post-Print hal-00837674, HAL.
    9. Philippe Bernard & Najat El Mekkaoui de Freitas & Bertrand Maillet, 2019. "A financial fraud detection indicator for investors: an IDeA," Post-Print hal-02455189, HAL.
    10. Juliane Proelss & Denis Schweizer, 2014. "Polynomial goal programming and the implicit higher moment preferences of US institutional investors in hedge funds," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(1), pages 1-28, February.
    11. Markus Haas, 2007. "Do investors dislike kurtosis?," Economics Bulletin, AccessEcon, vol. 7(2), pages 1-9.
    12. Andreas Blöchlinger, 2018. "Credit Rating and Pricing: Poles Apart," JRFM, MDPI, vol. 11(2), pages 1-26, May.
    13. Siroos Khademalomoom & Paresh Kumar Narayan & Susan Sunila Sharma, 2019. "Higher Moments and Exchange Rate Behavior," The Financial Review, Eastern Finance Association, vol. 54(1), pages 201-229, February.
    14. K. Saranya & P. Prasanna, 2014. "Portfolio Selection and Optimization with Higher Moments: Evidence from the Indian Stock Market," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 21(2), pages 133-149, May.
    15. Nalpas, Nicolas & Simar, Léopold & Vanhems, Anne, 2016. "Portfolio Selection in a Multi-Input Multi-Output Setting: a Simple Monte-Carlo-FDH Algorithm," TSE Working Papers 16-648, Toulouse School of Economics (TSE).
    16. Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace Van de Woestyne, 2021. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Working Papers 2021-EQM-03, IESEG School of Management.
    17. Mukasa Adamon N., 2016. "Working Paper 233 - Technology Adoption and Risk Exposure among Smallholder Farmers: Panel Data Evidence from Tanzania and Uganda," Working Paper Series 2328, African Development Bank.
    18. Benjamin Bruder & Nazar Kostyuchyk & Thierry Roncalli, 2022. "Risk Parity Portfolios with Skewness Risk: An Application to Factor Investing and Alternative Risk Premia," Papers 2202.10721, arXiv.org.
    19. Del Brio, Esther B. & Mora-Valencia, Andrés & Perote, Javier, 2017. "The kidnapping of Europe: High-order moments' transmission between developed and emerging markets," Emerging Markets Review, Elsevier, vol. 31(C), pages 96-115.
    20. Hou, Yang (Greg) & Li, Steven, 2020. "Volatility and skewness spillover between stock index and stock index futures markets during a crash period: New evidence from China," International Review of Economics & Finance, Elsevier, vol. 66(C), pages 166-188.
    21. Ba Chu, 2012. "Approximation of Asymmetric Multivariate Return Distributions," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 19(3), pages 293-318, September.
    22. Kerstens, Kristiaan & Mounier, Amine & Van de Woestyne, Ignace, 2008. "Geometric representation of the mean-variance-skewness portfolio frontier based upon the shortage function," Working Papers 2008/61, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    23. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
    24. Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
    25. Xavier Vollenweider, 2014. "A simple framework for the estimation of climate exposure," GRI Working Papers 158, Grantham Research Institute on Climate Change and the Environment.
    26. Kent Smetters & Xingtan Zhang, 2013. "A Sharper Ratio: A General Measure for Correctly Ranking Non-Normal Investment Risks," NBER Working Papers 19500, National Bureau of Economic Research, Inc.
    27. Athayde, Gustavo M. de & Flôres Junior, Renato Galvão, 2022. "A unified view on the optimal solutions to the threemoments portfolio problem," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 829, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    28. Dheeraj Misra & Sushma Vishnani & Ankit Mehrotra, 2019. "Four-moment CAPM Model: Evidence from the Indian Stock Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 18(1_suppl), pages 137-166, April.
    29. Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
    30. Carsten Lausberg & Stephen Lee & Moritz Müller & Cay Oertel & Tobias Schultheiß, 2020. "Risk measures for direct real estate investments with non-normal or unknown return distributions," Zeitschrift für Immobilienökonomie (German Journal of Real Estate Research), Springer;Gesellschaft für Immobilienwirtschaftliche Forschung e. V., vol. 6(1), pages 3-27, April.
    31. León, Ángel & Moreno, Manuel, 2015. "Lower Partial Moments under Gram Charlier Distribution: Performance Measures and Efficient Frontiers," QM&ET Working Papers 15-3, University of Alicante, D. Quantitative Methods and Economic Theory.
    32. Y. Malevergne & D. Sornette, 2006. "Self-Consistent Asset Pricing Models," Papers physics/0608284, arXiv.org.
    33. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.
    34. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
    35. Gregoriou, Greg N. & Racicot, François-Éric & Théoret, Raymond, 2021. "The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach," Economic Modelling, Elsevier, vol. 94(C), pages 843-872.
    36. Lu, Xin & Liu, Qiong & Xue, Fengxin, 2019. "Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints," Operations Research Perspectives, Elsevier, vol. 6(C).
    37. Mukasa, Adamon N., 2018. "Technology adoption and risk exposure among smallholder farmers: Panel data evidence from Tanzania and Uganda," World Development, Elsevier, vol. 105(C), pages 299-309.
    38. Zhu, Min, 2013. "Return distribution predictability and its implications for portfolio selection," International Review of Economics & Finance, Elsevier, vol. 27(C), pages 209-223.
    39. El Kalak, Izidin & Azevedo, Alcino & Hudson, Robert, 2016. "Reviewing the hedge funds literature I: Hedge funds and hedge funds' managerial characteristics," International Review of Financial Analysis, Elsevier, vol. 48(C), pages 85-97.
    40. Racicot, François-Éric & Théoret, Raymond & Gregoriou, Greg N., 2021. "The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks," International Review of Economics & Finance, Elsevier, vol. 72(C), pages 289-318.
    41. Asmerilda Hitaj & Lorenzo Mercuri, 2013. "Portfolio allocation using multivariate variance gamma models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 27(1), pages 65-99, March.
    42. Trino-Manuel Niguez & Ivan Paya & David Peel & Javier Perote, 2013. "Higher-order moments in the theory of diversification and portfolio composition," Working Papers 18297128, Lancaster University Management School, Economics Department.
    43. Yuewu Xu, 2021. "A new measure of model misspecification with the no-arbitrage constraint: extending the second Hansen–Jagannathan distance," Review of Quantitative Finance and Accounting, Springer, vol. 56(3), pages 917-938, April.
    44. Zhang, Wenting & He, Xie & Hamori, Shigeyuki, 2023. "The impact of the COVID-19 pandemic and Russia-Ukraine war on multiscale spillovers in green finance markets: Evidence from lower and higher order moments," International Review of Financial Analysis, Elsevier, vol. 89(C).
    45. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
    46. Do, Hung Xuan & Brooks, Robert & Treepongkaruna, Sirimon & Wu, Eliza, 2016. "Stock and currency market linkages: New evidence from realized spillovers in higher moments," International Review of Economics & Finance, Elsevier, vol. 42(C), pages 167-185.
    47. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    48. Briec, Walter & Kerstens, Kristiaan & Van de Woestyne, Ignace, 2011. "Portfolio Selection with Skewness: A Comparison and a Generalized Two Fund Separation Result," Working Papers 2011/09, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    49. Domino, Krzysztof, 2017. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 267-276.

  21. Bertrand Maillet & Emmanuel Jurczenko, 2006. "The 4-CAPM: in between Asset Pricing and Asset Allocation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308994, HAL.

    Cited by:

    1. Rhee, S. Ghon & Wu, Feng (Harry), 2020. "Conditional extreme risk, black swan hedging, and asset prices," Journal of Empirical Finance, Elsevier, vol. 58(C), pages 412-435.

  22. Bertrand Maillet & Emmanuel Jurczenko, 2006. "Introduction to Multi-moment Asset Allocation and Pricing Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308991, HAL.

    Cited by:

    1. Domino, Krzysztof, 2020. "Multivariate cumulants in outlier detection for financial data analysis," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 558(C).
    2. Racicot, François-Éric & Théoret, Raymond, 2019. "Hedge fund return higher moments over the business cycle," Economic Modelling, Elsevier, vol. 78(C), pages 73-97.
    3. Andreas Blöchlinger, 2018. "Credit Rating and Pricing: Poles Apart," JRFM, MDPI, vol. 11(2), pages 1-26, May.
    4. Mukasa Adamon N., 2016. "Working Paper 233 - Technology Adoption and Risk Exposure among Smallholder Farmers: Panel Data Evidence from Tanzania and Uganda," Working Paper Series 2328, African Development Bank.
    5. León, Angel & Moreno, Manuel, 2017. "One-sided performance measures under Gram-Charlier distributions," Journal of Banking & Finance, Elsevier, vol. 74(C), pages 38-50.
    6. Abdallah Ben Saida & Jean-luc Prigent, 2018. "On the robustness of portfolio allocation under copula misspecification," Annals of Operations Research, Springer, vol. 262(2), pages 631-652, March.
    7. Wei-Han Liu, 2014. "Optimal hedge ratio estimation and hedge effectiveness with multivariate skew distributions," Applied Economics, Taylor & Francis Journals, vol. 46(12), pages 1420-1435, April.
    8. Lu, Xin & Liu, Qiong & Xue, Fengxin, 2019. "Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints," Operations Research Perspectives, Elsevier, vol. 6(C).
    9. Mukasa, Adamon N., 2018. "Technology adoption and risk exposure among smallholder farmers: Panel data evidence from Tanzania and Uganda," World Development, Elsevier, vol. 105(C), pages 299-309.
    10. Alexios Ghalanos & Eduardo Rossi & Giovanni Urga, 2015. "Independent Factor Autoregressive Conditional Density Model," Econometric Reviews, Taylor & Francis Journals, vol. 34(5), pages 594-616, May.
    11. Domino, Krzysztof, 2017. "The use of the multi-cumulant tensor analysis for the algorithmic optimisation of investment portfolios," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 467(C), pages 267-276.

  23. Bertrand Maillet & Thierry Michel, 2005. "The Impact of the 9/11 Events on the American and French Stock Markets," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308978, HAL.

    Cited by:

    1. Konstantinos Drakos, 2010. "The determinants of terrorist shocks' cross‐market transmission," Journal of Risk Finance, Emerald Group Publishing Limited, vol. 11(2), pages 147-163, March.
    2. John Garvey & Martin Mullins, 2009. "An Examination of "New" and "Old" Terrorism Using High-Frequency Data," Economics of Security Working Paper Series 18, DIW Berlin, German Institute for Economic Research.
    3. Alexander Subbotin, 2008. "A multi-horizon scale for volatility," Post-Print halshs-00261514, HAL.
    4. Goutam Dutta & Pankaj Jha & Arnab Kumar Laha & Neeraj Mohan, 2006. "Artificial Neural Network Models for Forecasting Stock Price Index in the Bombay Stock Exchange," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 5(3), pages 283-295, December.
    5. Bos, J.W.B. & Frömmel, M. & Lamers, M., 2013. "FDI, terrorism and the availability heuristic for U.S. investors before and after 9/11," Research Memorandum 047, Maastricht University, Graduate School of Business and Economics (GSBE).
    6. Charles, Amelie & Darne, Olivier, 2006. "Large shocks and the September 11th terrorist attacks on international stock markets," Economic Modelling, Elsevier, vol. 23(4), pages 683-698, July.
    7. Li Cheng & Jermoe Kueh Swee Hui, 2023. "A Research on the Impact of Global Stock Market Co-movement during Covid-19 Epidemic," International Business Research, Canadian Center of Science and Education, vol. 16(3), pages 1-31, March.
    8. Konstantinos Drakos, 2009. "Cross-Country Stock Market Reactions to Major Terror Events: The Role of Risk Perception," Economics of Security Working Paper Series 16, DIW Berlin, German Institute for Economic Research.
    9. Thai-Ha Le & Donghyun Park & Cong-Phu-Khanh Tran & Binh Tran-Nam, 2018. "The Impact of the Hai Yang Shi You 981 Event on Vietnam’s Stock Markets," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 17(3_suppl), pages 344-375, December.
    10. Corbet, Shaen & Gurdgiev, Constantin & Meegan, Andrew, 2018. "Long-term stock market volatility and the influence of terrorist attacks in Europe," The Quarterly Review of Economics and Finance, Elsevier, vol. 68(C), pages 118-131.
    11. Blau, Benjamin M. & Griffith, Todd G., 2016. "Price clustering and the stability of stock prices," Journal of Business Research, Elsevier, vol. 69(10), pages 3933-3942.
    12. Narayan, S. & Le, T.-H. & Sriananthakumar, S., 2018. "The influence of terrorism risk on stock market integration: Evidence from eight OECD countries," International Review of Financial Analysis, Elsevier, vol. 58(C), pages 247-259.
    13. Gan Jin & Md Rafiul Karim & Günther G. Schulze, 2024. "The Stock Market Effects of Islamist versus Non-Islamist Terror," CESifo Working Paper Series 10960, CESifo.
    14. John Garvey & Martin Mullins, 2008. "Contemporary Terrorism: Risk Perception in the London Options Market," Risk Analysis, John Wiley & Sons, vol. 28(1), pages 151-160, February.
    15. Chang, Chiu-Lan & Cai, Qingyun, 2023. "Stock return anomalies identification during the Covid-19 with the application of a grouped multiple comparison procedure," Economic Analysis and Policy, Elsevier, vol. 79(C), pages 168-183.
    16. Peng, Kang-Lin & Wu, Chih-Hung & Lin, Pearl M.C. & Kou, IokTeng Esther, 2023. "Investor sentiment in the tourism stock market," Journal of Behavioral and Experimental Finance, Elsevier, vol. 37(C).
    17. Abdelbaki, Hisham, 2013. "The Impact of Arab Spring on Stock Market Performance," MPRA Paper 54814, University Library of Munich, Germany.

  24. Bertrand Maillet & Bogdan Négréa, 2004. "A Note on Skewness and Kurtosis Adjusted Option Pricing Models under the Martingale Restriction," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308980, HAL.

    Cited by:

    1. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
    2. Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.
    3. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    4. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
    5. Lin, Shin-Hung & Huang, Hung-Hsi & Li, Sheng-Han, 2015. "Option pricing under truncated Gram–Charlier expansion," The North American Journal of Economics and Finance, Elsevier, vol. 32(C), pages 77-97.
    6. Dongdong Hu & Hasanjan Sayit & Svetlozar T. Rachev, 2021. "Moment Matching Method for Pricing Spread Options with Mean-Variance Mixture L\'evy Motions," Papers 2109.02872, arXiv.org, revised Feb 2024.
    7. Jiménez, Inés & Mora-Valencia, Andrés & Perote, Javier, 2022. "Has the interaction between skewness and kurtosis of asset returns information content for risk forecasting?," Finance Research Letters, Elsevier, vol. 49(C).
    8. Cortés, Lina M. & Mora-Valencia, Andrés & Perote, Javier, 2020. "Retrieving the implicit risk neutral density of WTI options with a semi-nonparametric approach," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    9. Ozge Sezgin Alp, 2016. "The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets: A case of Turkish Derivatives Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 70-84, April.
    10. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
    11. De Clerk, Luke & Savel’ev, Sergey, 2022. "AI algorithms for fitting GARCH parameters to empirical financial data," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 603(C).
    12. Sofiane Aboura & Didier Maillard, 2016. "Option Pricing Under Skewness and Kurtosis Using a Cornish–Fisher Expansion," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(12), pages 1194-1209, December.
    13. Dongdong Hu & Hasanjan Sayit & Frederi Viens, 2023. "Pricing basket options with the first three moments of the basket: log-normal models and beyond," Papers 2302.08041, arXiv.org, revised Feb 2023.
    14. Chevallier, Julien & Ielpo, Florian & Mercier, Ludovic, 2009. "Risk aversion and institutional information disclosure on the European carbon market: A case-study of the 2006 compliance event," Energy Policy, Elsevier, vol. 37(1), pages 15-28, January.
    15. Inés Jiménez & Andrés Mora-Valencia & Javier Perote, 2022. "Dynamic selection of Gram–Charlier expansions with risk targets: an application to cryptocurrencies," Risk Management, Palgrave Macmillan, vol. 24(1), pages 81-99, March.
    16. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.
    17. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    18. Maria Grazia Zoia & Gianmarco Vacca & Laura Barbieri, 2020. "Modeling Multivariate Financial Series and Computing Risk Measures via Gram–Charlier-Like Expansions," Risks, MDPI, vol. 8(4), pages 1-21, November.
    19. Chateau, John-Peter D., 2007. "Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 412-433.

  25. Bertrand Maillet & Patrick Rousset, 2003. "Classifying Hedge Funds using Kohonen Map," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308996, HAL.

    Cited by:

    1. Gaurav Amin & Harry. M Kat, 2001. "Hedge Fund Performance 1990-2000- Do the "Money Machines" Really Add Value?," ICMA Centre Discussion Papers in Finance icma-dp2001-05, Henley Business School, University of Reading, revised Sep 2001.
    2. Gautier Marti & Frank Nielsen & Miko{l}aj Bi'nkowski & Philippe Donnat, 2017. "A review of two decades of correlations, hierarchies, networks and clustering in financial markets," Papers 1703.00485, arXiv.org, revised Nov 2020.
    3. Deetz, Marcus & Poddig, Thorsten & Varmaz, Armin, 2009. "Klassifizierung von Hedge-Fonds durch das k-means Clustering von Self-Organizing Maps: eine renditebasierte Analyse zur Selbsteinstufungsgüte und Stiländerungsproblematik [Classifying Hedge Funds u," MPRA Paper 16939, University Library of Munich, Germany.
    4. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.

  26. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers dp419, Financial Markets Group.

    Cited by:

    1. Ovidiu TURCOANE, 2012. "Option Price Estimations and Speculative Trading In Knowledge Society," Informatica Economica, Academy of Economic Studies - Bucharest, Romania, vol. 16(4), pages 131-141.
    2. Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España.
    3. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
    4. Hosam Ki & Byungwook Choi & Kook‐Hyun Chang & Miyoung Lee, 2005. "Option pricing under extended normal distribution," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 25(9), pages 845-871, September.
    5. Chateau, John-Peter D., 2007. "Beyond Basel-2 simplified standardized approach: Credit risk valuation of short-term loan commitments," International Review of Financial Analysis, Elsevier, vol. 16(5), pages 412-433.

  27. Bertrand Maillet & Emmanuel Jurczenko, 2002. "The 3-CAPM: Theoretical Foundations and a Comparison of Asset Pricing Models in an Unified Framework," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308997, HAL.

    Cited by:

    1. Eric Jondeau & Michael Rockinger, 2006. "Optimal Portfolio Allocation under Higher Moments," European Financial Management, European Financial Management Association, vol. 12(1), pages 29-55, January.
    2. Flôres Junior, Renato Galvão & Athayde, Gustavo M. de, 2002. "On certain geometric aspects of portfolio optimisation with higher moments," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 453, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    3. Eric Jondeau & Michael Rockinger, 2005. "Conditional Asset Allocation under Non-Normality: How Costly is the Mean-Variance Criterion?," FAME Research Paper Series rp132, International Center for Financial Asset Management and Engineering.
    4. Lu, Xin & Liu, Qiong & Xue, Fengxin, 2019. "Unique closed-form solutions of portfolio selection subject to mean-skewness-normalization constraints," Operations Research Perspectives, Elsevier, vol. 6(C).
    5. Eric Jondeau & Michael Rockinger, 2002. "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series rp69, International Center for Financial Asset Management and Engineering.
    6. D. Johnstone, 2007. "The Value of a Probability Forecast from Portfolio Theory," Theory and Decision, Springer, vol. 63(2), pages 153-203, September.
    7. Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004. "La volatilité des marchés augmente-elle ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308982, HAL.

  28. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.

    Cited by:

    1. Ciprian Necula & Gabriel Drimus & Walter Farkas, 2019. "A general closed form option pricing formula," Review of Derivatives Research, Springer, vol. 22(1), pages 1-40, April.
    2. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers dp419, Financial Markets Group.
    3. Erik Schlögl & Lutz Schlögl, 2007. "Factor Distributions Implied by Quoted CDO Spreads Tranche Pricing," Research Paper Series 190, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Arturo Leccadito & Pietro Toscano & Radu S. Tunaru, 2012. "Hermite Binomial Trees: A Novel Technique For Derivatives Pricing," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-36.
    5. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
    6. Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2017. "Multivariate approximations to portfolio return distribution," Computational and Mathematical Organization Theory, Springer, vol. 23(3), pages 347-361, September.
    7. Schlögl, Erik, 2013. "Option pricing where the underlying assets follow a Gram/Charlier density of arbitrary order," Journal of Economic Dynamics and Control, Elsevier, vol. 37(3), pages 611-632.

  29. Thierry Michel & Bertrand Maillet, 2002. "How Deep was the September 2001 Stock Market Crisis? Putting Recent Events on the American and French Markets into Perspective with an Index of Market Shocks," FMG Discussion Papers dp417, Financial Markets Group.

    Cited by:

    1. Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004. "La volatilité des marchés augmente-elle ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308982, HAL.

  30. Gunther Capelle-Blancard & Emmanuel Jurczenko & Bertrand Maillet, 2001. "The Approximate Option Pricing Model: Performances and Dynamic Properties," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308985, HAL.

    Cited by:

    1. Andreou, Panayiotis C. & Charalambous, Chris & Martzoukos, Spiros H., 2010. "Generalized parameter functions for option pricing," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 633-646, March.
    2. Jurczenko, Emmanuel & Maillet, Bertrand & Negrea, Bogdan, 2002. "Revisited multi-moment approximate option pricing models: a general comparison (Part 1)," LSE Research Online Documents on Economics 24950, London School of Economics and Political Science, LSE Library.
    3. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
    4. Capelle-Blancard, Gunther & Jurczenko, Emmanuel & Maillet, Bertrand, 2001. "The approximate option pricing model: performances and dynamic properties," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 427-443, December.
    5. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
    6. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Skewness and Kurtosis Implied by Option Prices: A Second Comment," FMG Discussion Papers dp419, Financial Markets Group.
    7. Ángel León & Javier Mencía & Enrique Sentana, 2007. "Parametric properties of semi-nonparametric distributions, with applications to option valuation," Working Papers 0707, Banco de España.
    8. Ozge Sezgin Alp, 2016. "The Performance of Skewness and Kurtosis Adjusted Option Pricing Model in Emerging Markets: A case of Turkish Derivatives Market," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 5(3), pages 70-84, April.
    9. Bogdan Negrea & Bertrand Maillet & Emmanuel Jurczenko, 2002. "Revisited Multi-moment Approximate Option," FMG Discussion Papers dp430, Financial Markets Group.

  31. Bertrand Maillet & Thierry Michel, 2000. "Further Insights on the Puzzle of Technical Analysis Profitability," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308986, HAL.

    Cited by:

    1. Stephan Schulmeister, 2005. "The Interaction between Technical Currency Trading and Exchange Rate Fluctuations," Finance 0512033, University Library of Munich, Germany.
    2. Schulmeister, Stephan, 2009. "Profitability of technical stock trading: Has it moved from daily to intraday data?," Review of Financial Economics, Elsevier, vol. 18(4), pages 190-201, October.
    3. Bertrand Maillet & Thierry Michel, 2005. "Technical analysis profitability when exchange rates are pegged: A note," The European Journal of Finance, Taylor & Francis Journals, vol. 11(6), pages 463-470.
    4. Stephan Schulmeister, 2007. "The Interaction Between the Aggregate Behaviour of Technical Trading Systems and Stock Price Dynamics," WIFO Working Papers 290, WIFO.
    5. Manahov, Viktor & Hudson, Robert & Gebka, Bartosz, 2014. "Does high frequency trading affect technical analysis and market efficiency? And if so, how?," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 28(C), pages 131-157.
    6. Stefanescu, Răzvan & Dumitriu, Ramona, 2015. "Buy and sell signals on Bucharest Stock Exchange," MPRA Paper 89014, University Library of Munich, Germany, revised 05 Jan 2016.
    7. Neely, Christopher J. & Weller, Paul A. & Ulrich, Joshua M., 2009. "The Adaptive Markets Hypothesis: Evidence from the Foreign Exchange Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 44(2), pages 467-488, April.
    8. Todea, Alexandru & Zoicas Ienciu, Adrian, 2011. "Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market," Journal for Economic Forecasting, Institute for Economic Forecasting, vol. 0(1), pages 175-192, March.
    9. Cheol‐Ho Park & Scott H. Irwin, 2007. "What Do We Know About The Profitability Of Technical Analysis?," Journal of Economic Surveys, Wiley Blackwell, vol. 21(4), pages 786-826, September.
    10. Enoch Cheng & Clemens C. Struck, 2019. "Time-Series Momentum: A Monte-Carlo Approach," Working Papers 201906, School of Economics, University College Dublin.
    11. Stephan Schulmeister, 2009. "Technical Trading and Trends in the Dollar-Euro Exchange Rate," WIFO Studies, WIFO, number 37582, April.
    12. Afiruddin Tapa* & Mohd Hasimi Yaacob & Ahmad Husni Hamzah & Yean Soh Chuen, 2018. "Trading Performance Analysis: A Comparisons Between the Original MA Crossover and Modified MA Crossover Strategy," The Journal of Social Sciences Research, Academic Research Publishing Group, pages 933-941:6.
    13. Stephan Schulmeister, 2007. "Performance of Technical Trading Systems in the Yen/Dollar Market," WIFO Working Papers 291, WIFO.

  32. Chauveau, T. & Maillet, B., 1998. "Flexible Least Squares Betas: The French Market Case," Papers 1998-03/fi, Caisse des Depots et Consignations - Cahiers de recherche.

    Cited by:

    1. Vêlayoudom Marimoutou & Denis Peguin & Anne Peguin-Feissolle, 2009. "The "distance-varying" gravity model in international economics: is the distance an obstacle to trade?," Post-Print hal-00389570, HAL.
    2. Markus Ebner & Thorsten Neumann, 2008. "Time-varying factor models for equity portfolio construction," The European Journal of Finance, Taylor & Francis Journals, vol. 14(5), pages 381-395.
    3. Markus Ebner & Thorsten Neumann, 2005. "Time-Varying Betas of German Stock Returns," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 19(1), pages 29-46, June.
    4. Ewa Feder-Sempach & Piotr Szczepocki & Wiesław Dębski, 2023. "What if beta is not stable? Applying the Kalman filter to risk estimates of top US companies over the long time horizon," Bank i Kredyt, Narodowy Bank Polski, vol. 54(1), pages 25-44.

  33. Bertrand Maillet & Thierry Michel, 1997. "Mesure de temps, information et distribution des rendements intra-journaliers," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308989, HAL.

    Cited by:

    1. Antonio A. F. Santos, 2021. "Bayesian Estimation for High-Frequency Volatility Models in a Time Deformed Framework," Computational Economics, Springer;Society for Computational Economics, vol. 57(2), pages 455-479, February.

Articles

  1. Maillet, Bertrand & Tokpavi, Sessi & Vaucher, Benoit, 2015. "Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach," European Journal of Operational Research, Elsevier, vol. 244(1), pages 289-299.
    See citations under working paper version above.
  2. Benjamin Hamidi & Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2015. "A DARE for VaR," Finance, Presses universitaires de Grenoble, vol. 36(1), pages 7-38.
    • Benjamin Hamidi & Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2015. "A DARE for VaR," Post-Print hal-01243402, HAL.
    • Benjamin Hamidi & Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2015. "A DARE for VaR," Post-Print hal-02312327, HAL.
    See citations under working paper version above.
  3. Christophe Boucher & Bertrand Maillet, 2015. "La macroéconomie-en-risque," Revue économique, Presses de Sciences-Po, vol. 66(4), pages 769-782.
    See citations under working paper version above.
  4. Boucher, Christophe M. & Daníelsson, Jón & Kouontchou, Patrick S. & Maillet, Bertrand B., 2014. "Risk models-at-risk," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 72-92.
    See citations under working paper version above.
  5. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand B. Maillet, 2014. "A Survey On The Four Families Of Performance Measures," Journal of Economic Surveys, Wiley Blackwell, vol. 28(5), pages 917-942, December.
    See citations under working paper version above.
  6. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    See citations under working paper version above.
  7. Christophe Boucher & Bertrand Maillet, 2011. "Une analyse temps-fréquences des cycles financiers," Revue économique, Presses de Sciences-Po, vol. 62(3), pages 441-450.
    See citations under working paper version above.
  8. Christophe Hurlin & Patrick Kouontchou & Bertrand Maillet, 2010. "Un MEDAF à plusieurs moments réalisés," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 53(3/4), pages 457-480.
    See citations under working paper version above.
  9. Bertrand B. Maillet & Thierry L. Michel, 2005. "The Impact of the 9/11 Events on the American and French Stock Markets," Review of International Economics, Wiley Blackwell, vol. 13(3), pages 597-611, August.
    See citations under working paper version above.
  10. Emmanuel Jurczenko & Bertrand Maillet & Bogdan Negrea, 2004. "A note on skewness and kurtosis adjusted option pricing models under the Martingale restriction," Quantitative Finance, Taylor & Francis Journals, vol. 4(5), pages 479-488.
    See citations under working paper version above.
  11. Bertrand Maillet & Thierry Michel, 2003. "An index of market shocks based on multiscale analysis," Quantitative Finance, Taylor & Francis Journals, vol. 3(2), pages 88-97.

    Cited by:

    1. T. Bisig & A. Dupuis & V. Impagliazzo & R. B. Olsen, 2012. "The scale of market quakes," Quantitative Finance, Taylor & Francis Journals, vol. 12(4), pages 501-508, July.
    2. Bertrand Maillet & Madalina Olteanu & Joseph Rynkiewicz, 2004. "Caractérisation de crises financières à l'aide de modèles hybrides (HMC-MLP)," Post-Print hal-00308473, HAL.
    3. Alexander Subbotin, 2008. "A multi-horizon scale for volatility," Post-Print halshs-00261514, HAL.
    4. Subbotin, Alexandre, 2009. "Volatility Models: from Conditional Heteroscedasticity to Cascades at Multiple Horizons," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 15(3), pages 94-138.
    5. Alexander Subbotin & Thierry Chauveau & Kateryna Shapovalova, 2009. "Volatility Models: from GARCH to Multi-Horizon Cascades," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00390636, HAL.
    6. M. Naresh Kumar & V. Sree Hari Rao, 2015. "A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime," Papers 1502.00882, arXiv.org.
    7. M. Naresh Kumar & V. Sree Hari Rao, 2015. "A New Methodology for Estimating Internal Credit Risk and Bankruptcy Prediction under Basel II Regime," Computational Economics, Springer;Society for Computational Economics, vol. 46(1), pages 83-102, June.
    8. Bertrand Maillet & Thierry Michel, 2002. "Quelle était la gravité de la crise boursière de Septembre 2001 ? Construction d’un indice de crise et mise en perspective des dernières turbulences," Revue d'Économie Financière, Programme National Persée, vol. 67(3), pages 269-276.
    9. Bertrand Maillet & Madalina Olteanu & Joseph Rynkiewicz, 2004. "Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)," Revue d'économie politique, Dalloz, vol. 114(4), pages 489-506.
    10. Thierry Chauveau & Sylvain Friederich & Jérôme Héricourt & Emmanuel Jurczenko & Catherine Lubochinsky & Bertrand Maillet & Christophe Moussu & Bogdan Négréa & Hélène Raymond Feingold, 2004. "La volatilité des marchés augmente-elle ?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-00308982, HAL.
    11. Pasca Lucian, 2015. "A Critical Review of the Main Approaches on Financial Market Dynamics Modelling," Journal of Heterodox Economics, Sciendo, vol. 2(2), pages 151-167, December.
    12. Negrea, Bogdan, 2014. "A statistical measure of financial crises magnitude," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 397(C), pages 54-75.

  12. Capelle-Blancard, Gunther & Jurczenko, Emmanuel & Maillet, Bertrand, 2001. "The approximate option pricing model: performances and dynamic properties," Journal of Multinational Financial Management, Elsevier, vol. 11(4-5), pages 427-443, December.
    See citations under working paper version above.
  13. Bertrand Maillet & Thierry Michel, 2000. "Further insights on the puzzle of technical analysis profitability," The European Journal of Finance, Taylor & Francis Journals, vol. 6(2), pages 196-224.
    See citations under working paper version above.
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