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Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems2021
Other publications
halshs-03216938v1
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Combining robust covariance estimates and new dependency measures : an innovative approach to portfolio allocationEconomics and Finance. Université Panthéon-Sorbonne - Paris I, 2021. English. ⟨NNT : 2021PA01E023⟩
Theses
tel-03671127v1
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Improving portfolios global performance using a cleaned and robust covariance matrix estimateSoft Computing, 2020, ⟨10.1007/s00500-020-04840-9⟩
Journal articles
hal-02508748v1
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Robust covariance matrix estimation and portfolio allocation: the case of non-homogeneous assets2019
Other publications
halshs-02372443v1
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Improving portfolios global performance using a cleaned and robust covariance matrix estimate2019
Other publications
halshs-02354596v1
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