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Quand l'union fait la force : un indice de risque systémique

Kouontchou, Patrick; Maillet, Bertrand; Modesto, Alejandro - In: Revue économique : revue bimestrielle 68 (2017), pp. 87-106

Persistent link: https://www.econbiz.de/10011732578

A nonparametric test for granger causality in distribution with application to financial contagion

Candelon, Bertrand; Tokpavi, Sessi - In: Journal of business & economic statistics : JBES ; a … 34 (2016) 2, pp. 240-253

Persistent link: https://www.econbiz.de/10011691324

Measuring network systemic risk contributions : a leave-one-out approach

Hué, Sullivan; Lucotte, Yannick; Tokpavi, Sessi - In: Journal of economic dynamics & control 100 (2019), pp. 86-114

Persistent link: https://www.econbiz.de/10012130949

High Watermarks of Market Risks

Maillet, Bertrand; Médecin, Jean-Philippe; Michel, Thierry - HAL - 2009

We present several estimates of measures of risk amongst the most well-known, using both high and low frequency data. The aim of the article is to show which lower frequency measures can be an acceptable substitute to the high precision measures, when transaction data is unavailable for a long...

Persistent link: https://www.econbiz.de/10010738652

High Watermarks of Market Risks.

Maillet, Bertrand; Médecin, Jean-Philippe; Michel, Thierry - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2009

Persistent link: https://www.econbiz.de/10008622056

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

Maillet, Bertrand; Michel, Thierry - 2002

Persistent link: https://www.econbiz.de/10001687679

The impact of the 9/11 events on the American and French stock markets

Maillet, Bertrand; Michel, Thierry L. - In: Review of international economics 13 (2005) 3, pp. 597-611

Persistent link: https://www.econbiz.de/10003004870

Caractérisation des crises financières à l'aide de modèles hybrides (HMC-MLP)

Maillet, Bertrand; Olteanu, Madalina; Rynkiewicz, Joseph - In: Revue d'économie politique 114 (2004) 4, pp. 489-506

Persistent link: https://www.econbiz.de/10002233745

Extreme Volatilities, Financial Crises and L-Moment Estimations of Tail-Indexes

Maillet, Bertrand - 2010

Following Bali and Weinbaum (2005) and Maillet et al. (2010), we present several estimates of volatilities computed with high- and low-frequency data and complement their results using additional measures of risk and several alternative methods for Tail-index estimation. The aim here is to...

Persistent link: https://www.econbiz.de/10013143375

Extreme volatilities, financial crises and L-moment estimations of tail-indexes

Maillet, Bertrand; Médecin, Jean-Philippe R. - 2010

Persistent link: https://www.econbiz.de/10010426328