This paper presents a theorical framework to model the evolution of a portfolio whose weights vary over time. Such a portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the investable portfolios. Then, considering portfolio...

This article uses graph theory to provide novel evidence regarding market integration, a favorable condition for systemic risk to appear in. Relying on daily futures returns covering a 12-year period, we examine cross- and inter-market linkages, both within the commodity complex and between...

A stable government is by definition not dominated by any other government. However, it may happen that all governments are dominated. In graph-theoretic terms this means that the dominance graph does not possess a source. In this paper we are able to deal with this case by a clever combination...

This paper presents a theorical framework to model the evolution of a portfolio whose weights vary over time. Such a portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the investable portfolios. Then, considering portfolio...

In time series analysis, most estimation of relationships and tests are typically based on linear estimators and most classical co-integration methods and causality tests are based on OLS regresses. However the linear functional specification is not necessarily the most appropriate form. This...

Juris-Data is one of the largest case-study base in France. The case studies are indexed by legal classification elaborated by the Juris-Data Group. Knowledge engineering was used to design an intelligent interface for information retrieval based on this classification. The aim of the system is...

Using methods from machine learning - adaptive sequential ridge regression with discount factors - that prevent overfitting in-sample for better and more stable forecasting performance out-of-sample we show that fundamentals from the PPP, UIRP and monetary models consistently improve the...