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
Journal of Financial Econometrics, 2021, pp.nbaa042. ⟨10.1093/jjfinec/nbaa042⟩
Article dans une revue hal-03131121 v1

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-05106383 v1
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.
Soft Computing, 2020, 24, pp.8643-8654. ⟨10.1007/s00500-020-04840-9⟩
Article dans une revue hal-02508748 v1
Image document

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-02505861 v1

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-02420489 v1

Recension du livre de Nicolas Bouleau :Théorie des erreurs

Christophe Chorro
Matapli, 2020, pp.123
Article dans une revue (compte-rendu de lecture) hal-03188090 v1

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-01917590 v1
Image document

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-01138383 v2

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-01387028 v1
Image document

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-00511965 v1
Image document

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-00437927 v1

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-00287728 v1

Convergence in Dirichlet law of certain stochastic integrals

Christophe Chorro
Electronic Journal of Probability, 2005, 10, pp.1005-1025
Article dans une revue hal-00287719 v1
Image document

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-00287705 v1

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-03130678 v1
Image document

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-03216938 v1
Image document

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-02323959 v2
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
Autre publication scientifique halshs-02354596 v1
Image document

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-02372443 v1
Image document

The contribution of jumps to forecasting the density of returns

Christophe Chorro , Florian Ielpo , Benoît Sévi
2017
Autre publication scientifique halshs-01442618 v1
Image document

Testing for Leverage Effects in the Returns of US Equities

Christophe Chorro , Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison
2017
Autre publication scientifique halshs-00973922 v2
Image document

Option Valuation with IG_GARCH Model and an U-Shaped Pricing Kernel

Christophe Chorro , Fanirisoa Rahantamialisoa H.
2016
Autre publication scientifique halshs-01400242 v1
Image document

A Simple Probabilistic Approach of the Yard-Sale Model

Christophe Chorro
2015
Autre publication scientifique halshs-01222500 v1
Image document

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-01162452 v2
Image document

Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes

Christophe Chorro , Dominique Guegan , Florian Ielpo
2010
Autre publication scientifique halshs-00523371 v1
Image document

Option pricing for GARCH-type models with generalized hyperbolic innovations

Christophe Chorro , Dominique Guegan , Florian Ielpo
2010
Autre publication scientifique halshs-00469529 v1
Image document

Martingalized Historical approach for Option Pricing

Christophe Chorro , Dominique Guegan , Florian Ielpo
2009
Autre publication scientifique halshs-00376756 v1
Image document

Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results

Christophe Chorro , Dominique Guegan , Florian Ielpo
2008
Autre publication scientifique hal-00308687 v1
Image document

Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology

Christophe Chorro , Dominique Guegan , Florian Ielpo
2008
Autre publication scientifique halshs-00281585 v1
Image document

Convergence en loi de Dirichlet de certaines intégrales stochastiques

Christophe Chorro
2005
Autre publication scientifique halshs-00194673 v1