CC

Christophe Chorro

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Publications

Discriminating Between GARCH Models for Option Pricing by Their Ability to Compute Accurate VIX Measures

Christophe Chorro , Rahantamialisoa Fanirisoa Zazaravaka

Journal of Financial Econometrics, 2022, 20 (5), pp.nbaa042. ⟨10.1093/jjfinec/nbaa042⟩

Article dans une revue hal-03131121v1

Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets

Emmanuelle Jay , Thibault Soler , J.-P. Ovarlez , Philippe de Peretti , C. Chorro

IEEE International Conference on Acoustics Speech and Signal Processing, 2021, 143, pp.8449-8453. ⟨10.1109/ICASSP40776.2020.9054100⟩

Article dans une revue hal-05106383v1
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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, 24, pp.8643-8654. ⟨10.1007/s00500-020-04840-9⟩

Article dans une revue hal-02508748v1
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The contribution of intraday jumps to forecasting the density of returns

Christophe Chorro , Florian Ielpo , Benoît Sévi

Journal of Economic Dynamics and Control, 2020, 113, pp.103853. ⟨10.1016/j.jedc.2020.103853⟩

Article dans une revue halshs-02505861v1

Option valuation with IG-GARCH model and a U-shaped pricing kernel

Christophe Chorro , Rahantamialisoa Fanirisoa

Soft Computing, 2020, 24, pp.8505-8522. ⟨10.1007/s00500-019-04236-4⟩

Article dans une revue hal-02420489v1

Recension du livre de Nicolas Bouleau :Théorie des erreurs

Christophe Chorro

Matapli, 2020, pp.123

Article dans une revue (compte-rendu de lecture) hal-03188090v1

Testing for leverage effects in the returns of US equities

Christophe Chorro , Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison

Journal of Empirical Finance, 2018, 48, pp.290-306. ⟨10.1016/j.jempfin.2018.07.008⟩

Article dans une revue halshs-01917590v1
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The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process

Nicolas Bouleau , Christophe Chorro

Physica A: Statistical Mechanics and its Applications, 2017, 479, pp.379-395. ⟨10.1016/j.physa.2017.03.017⟩

Article dans une revue hal-01138383v2

A simple probabilistic approach of the Yard-Sale model

Christophe Chorro

Statistics and Probability Letters, 2016, 112, pp.35-40. ⟨10.1016/j.spl.2016.01.012⟩

Article dans une revue hal-01387028v1
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Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations

Christophe Chorro , Dominique Guegan , Florian Ielpo

Quantitative Finance, 2012, 12 (7), pp.1079-1094. ⟨10.1080/14697688.2010.493180⟩

Article dans une revue hal-00511965v1
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Martingalized Historical approach for Option Pricing

Christophe Chorro , Dominique Guegan , Florian Ielpo

Finance Research Letters, 2010, 7 (1), pp.24-28. ⟨10.1016/j.frl.2009.11.002⟩

Article dans une revue halshs-00437927v1

On an extension of the Hilbertian central limit theorem to Dirichlet forms

Christophe Chorro

Osaka Journal of Mathematics, 2008, 45 (2), pp.457-470

Article dans une revue hal-00287728v1

Convergence in Dirichlet law of certain stochastic integrals

Christophe Chorro

Electronic Journal of Probability, 2005, 10, pp.1005-1025

Article dans une revue hal-00287719v1
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Error structures and parameter estimation

Nicolas Bouleau , Christophe Chorro

Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2004, 338, pp.305-310

Article dans une revue hal-00287705v1

Robust Covariance Matrix Estimation and Portfolio Allocation: The Case of Non-Homogeneous Assets

E. Jay , T. Soler , J.-P. Ovarlez , P. De Peretti , C. Chorro

ICASSP 2020 - 2020 IEEE International Conference on Acoustics, Speech and Signal Processing (ICASSP), May 2020, Barcelone, Spain. pp.8449-8453, ⟨10.1109/ICASSP40776.2020.9054100⟩

Communication dans un congrès hal-03130678v1
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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

Autre publication scientifique halshs-03216938v1
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Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures

Christophe Chorro , Fanirisoa Rahantamialisoa Hasinavonizaka Zazaravaka

2020

Autre publication scientifique halshs-02323959v2
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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

Autre publication scientifique halshs-02354596v1
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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

Autre publication scientifique halshs-02372443v1
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The contribution of jumps to forecasting the density of returns

Christophe Chorro , Florian Ielpo , Benoît Sévi

2017

Autre publication scientifique halshs-01442618v1
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Testing for Leverage Effects in the Returns of US Equities

Christophe Chorro , Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison

2017

Autre publication scientifique halshs-00973922v2
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Option Valuation with IG_GARCH Model and an U-Shaped Pricing Kernel

Christophe Chorro , Fanirisoa Rahantamialisoa H.

2016

Autre publication scientifique halshs-01400242v1
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A Simple Probabilistic Approach of the Yard-Sale Model

Christophe Chorro

2015

Autre publication scientifique halshs-01222500v1
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The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process

Nicolas Bouleau , Christophe Chorro

2015

Autre publication scientifique halshs-01162452v2
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Option pricing for GARCH-type models with generalized hyperbolic innovations

Christophe Chorro , Dominique Guegan , Florian Ielpo

2010

Autre publication scientifique halshs-00469529v1
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Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes

Christophe Chorro , Dominique Guegan , Florian Ielpo

2010

Autre publication scientifique halshs-00523371v1
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Martingalized Historical approach for Option Pricing

Christophe Chorro , Dominique Guegan , Florian Ielpo

2009

Autre publication scientifique halshs-00376756v1
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Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results

Christophe Chorro , Dominique Guegan , Florian Ielpo

2008

Autre publication scientifique hal-00308687v1
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Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology

Christophe Chorro , Dominique Guegan , Florian Ielpo

2008

Autre publication scientifique halshs-00281585v1
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Convergence en loi de Dirichlet de certaines intégrales stochastiques

Christophe Chorro

2005

Autre publication scientifique halshs-00194673v1