Christophe Chorro

Publications

Article dans une revue (14)

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
Improving portfolios global performance using a cleaned and robust covariance matrix estimate Emmanuelle Jay,Thibault Soler,Eugénie Terreaux,Jean-Philippe Ovarlez,Frédéric Pascalet al. Soft Computing, 2020, 24, pp.8643-8654. ⟨10.1007/s00500-020-04840-9⟩ Article dans une revue hal-02508748v1
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
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
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
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
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

Ouvrages (1)

A time series approach to option pricing: Models, Methods and Empirical Performances Christophe Chorro,Dominique Guegan,Florian Ielpo Springer, 2015 Ouvrages hal-01015308v1

HDR (1)

Contribution a l' économétrie financière et à l'analyse de sensibilités Christophe Chorro Probabilités [math.PR]. Université Paris 1, 2013 HDR tel-01096644v1

Communication dans un congrès (1)

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

Autre publication scientifique (15)

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
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
Improving portfolios global performance using a cleaned and robust covariance matrix estimate Emmanuelle Jay,Thibault Soler,Eugénie Terreaux,Jean-Philippe Ovarlez,Frédéric Pascalet al. 2019 Autre publication scientifique halshs-02354596v1
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
The contribution of jumps to forecasting the density of returns Christophe Chorro,Florian Ielpo,Benoît Sévi 2017 Autre publication scientifique halshs-01442618v1
Testing for Leverage Effects in the Returns of US Equities Christophe Chorro,Dominique Guegan,Florian Ielpo,Hanjarivo Lalaharison 2017 Autre publication scientifique halshs-00973922v2
Option Valuation with IG_GARCH Model and an U-Shaped Pricing Kernel Christophe Chorro,Fanirisoa Rahantamialisoa H. 2016 Autre publication scientifique halshs-01400242v1
A Simple Probabilistic Approach of the Yard-Sale Model Christophe Chorro 2015 Autre publication scientifique halshs-01222500v1
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
Option pricing for GARCH-type models with generalized hyperbolic innovations Christophe Chorro,Dominique Guegan,Florian Ielpo 2010 Autre publication scientifique halshs-00469529v1
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes Christophe Chorro,Dominique Guegan,Florian Ielpo 2010 Autre publication scientifique halshs-00523371v1
Martingalized Historical approach for Option Pricing Christophe Chorro,Dominique Guegan,Florian Ielpo 2009 Autre publication scientifique halshs-00376756v1
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
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology Christophe Chorro,Dominique Guegan,Florian Ielpo 2008 Autre publication scientifique halshs-00281585v1
Convergence en loi de Dirichlet de certaines intégrales stochastiques Christophe Chorro 2005 Autre publication scientifique halshs-00194673v1

Pré-publication, Document de travail (1)

Error structures and parameter estimation Nicolas Bouleau,Christophe Chorro 2006 Pré-publication, Document de travail hal-00119494v1