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authFullName_s : Thibault Soler
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Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems

Christophe Chorro , Emmanuelle Jay , Philippe de Peretti , Thibault Soler
2021
Other publications halshs-03216938v1
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Combining robust covariance estimates and new dependency measures : an innovative approach to portfolio allocation

Thibault Soler
Economics and Finance. Université Panthéon-Sorbonne - Paris I, 2021. English. ⟨NNT : 2021PA01E023⟩
Theses tel-03671127v1

Improving portfolios global performance using a cleaned and robust covariance matrix estimate

Emmanuelle Jay , Thibault Soler , Eugénie Terreaux , Jean-Philippe Ovarlez , Frédéric Pascal , et al.
Soft 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 assets

Emmanuelle Jay , Thibault Soler , Jean-Philippe Ovarlez , Philippe de Peretti , Christophe Chorro
2019
Other publications halshs-02372443v1
Image document

Improving portfolios global performance using a cleaned and robust covariance matrix estimate

Emmanuelle Jay , Thibault Soler , Eugénie Terreaux , Jean-Philippe Ovarlez , Frédéric Pascal , et al.
2019
Other publications halshs-02354596v1