| Publication | Date of Publication | Type |
|---|
| Uniform in time modulus of continuity of Brownian motion | 2023-12-26 | Paper |
Identifying asymmetric responses of sectoral equities to oil price shocks in a NARDL model
Studies in Nonlinear Dynamics & Econometrics | 2023-04-19 | Paper |
On the estimation of regime-switching Lévy models
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
The place of gold in the cross-market dependencies
Studies in Nonlinear Dynamics & Econometrics | 2023-03-30 | Paper |
Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
Annals of Finance | 2022-06-13 | Paper |
Diffusion approximation of multi-class Hawkes processes: theoretical and numerical analysis
Advances in Applied Probability | 2021-10-12 | Paper |
Fluctuations for spatially extended Hawkes processes
Stochastic Processes and their Applications | 2020-09-02 | Paper |
Local Gaussian correlations in financial and commodity markets
European Journal of Operational Research | 2020-05-26 | Paper |
| Theoretical analysis and simulation methods for Hawkes processes and their diffusion approximation | 2020-03-24 | Paper |
Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach
Annals of Operations Research | 2020-01-20 | Paper |
Network of interacting neurons with random synaptic weights
ESAIM: Proceedings and Surveys | 2019-07-11 | Paper |
Uniform decomposition of probability measures: quantization, clustering and rate of convergence
Journal of Applied Probability | 2019-01-17 | Paper |
Mean field limits for nonlinear spatially extended Hawkes processes with exponential memory kernels
Stochastic Processes and their Applications | 2018-12-28 | Paper |
Stimulus sensitivity of a spiking neural network model
Journal of Statistical Physics | 2018-05-28 | Paper |
Estimation of Lévy-driven Ornstein-Uhlenbeck processes: application to modeling of \(\mathrm{CO}_2\) and fuel-switching
Annals of Operations Research | 2018-02-16 | Paper |
An adaptive multiscale ensemble learning paradigm for nonstationary and nonlinear energy price time series forecasting
Journal of Forecasting | 2017-12-08 | Paper |
Mean-field limit of generalized Hawkes processes
Stochastic Processes and their Applications | 2017-11-09 | Paper |
Fluctuations for mean-field interacting age-dependent Hawkes processes
Electronic Journal of Probability | 2017-06-01 | Paper |
Fluctuations for mean-field interacting age-dependent Hawkes processes
Electronic Journal of Probability | 2017-06-01 | Paper |
Statistical method to estimate a regime-switching Lévy model
Springer Proceedings in Mathematics & Statistics | 2016-11-18 | Paper |
Self-scheduling of a power generating company: carbon tax considerations
Computers & Operations Research | 2016-11-17 | Paper |
Detection of dependence patterns with delay
Biometrical Journal | 2016-05-04 | Paper |
Microscopic approach of a time elapsed neural model
M\(^3\)AS. Mathematical Models & Methods in Applied Sciences | 2015-11-10 | Paper |
Commodity markets through the business cycle
Quantitative Finance | 2015-04-16 | Paper |
| Econometric analysis of carbon markets. The European Union Emissions Trading Scheme and the Clean Development Mechanism | 2011-10-21 | Paper |
