With hedgefunds, managers develop risk management models that mainly aim to play on the effect of de correlation.In order to achieve this goal,companies use the correlation coefficient as an indicator for measuring dependencies existing between(i)the various hedge funds strategies and share...

This thesis is concerned with Monte Carlo methods for sampling high-dimensional binary vectors from complex distributions of interest. If the state space is too large for exhaustive enumeration, these methods provide a mean of estimating the expected value with respect to some function of...

The aim of this thesis is to analyze, from an empirical point of view, both the different varieties of economic and financial crises (typological analysis) and the context’s characteristics, which could be associated with a likely occurrence of such events. Consequently, we analyze both: years...

This paper examines the evolution of wealth distribution in France during the urbanization process of the nineteenth century, based on a comprehensive dataset of individual inheritances. It presents a spatial decomposition between rural and urban areas, distinguishing Paris from the rest of...

The assumption of log-concavity is a flexible and appealing non-parametric shape constraint in distribution modelling. In this work, we study the log-concave maximum likelihood estimator of a probability mass function. We show that the maximum likelihood estimator is strongly consistent and we...

Research on Bayesian nonparametric methods has received a growing interest for the past twenty years, especially since the development of powerful simulation algorithms which makes the implementation of complex Bayesian methods possible. From that point it is necessary to understand from a...

It is common to assert, in the literature on commodity derivative markets, that the behavior of futures prices is characterized by the "Samuelson Hypothesis": there is a decreasing pattern of volatilities along the prices curve. Despite some debates about statistical measurements, this...

The French wholesale market is set to expand in the next few years under European pressure and national decisions. In this paper, we assess the forecasting ability of several classes of time series models for electricity wholesale spot prices at a day-ahead horizon in France. Electricity spot...

We examine the effects of collateral provision as a potential channel between funding liquidity tensions and the scarcity of market liquidity. This channel consists in transferring the credit risk associated with refinancing operations between financial institutions to market participants that...