We investigate the high-dimensional properties of robust regression estimators in the
presence of heavy-tailed contamination of both the covariates and response functions. In …

We attempt to unveil the fine structure of volatility feedback effects in the context of general
quadratic autoregressive (QARCH) models, which assume that today's volatility can be …

We propose a mathematical model of momentum risk-taking, which is essentially real-time
risk management focused on short-term volatility. Its implementation, a fully automated …

We present new exact expressions for a class of moments of the geometric Brownian motion
in terms of determinants, obtained using a recurrence relation and combinatorial arguments …

The thesis is composed of three parts. Part I introduces the mathematical and statistical tools
that are relevant for the study of dependences, as well as statistical tests of Goodness-of-fit …

High future discounting rates favor inaction on present expending while lower rates advise
for a more immediate political action. A possible approach to this key issue in global …

In this paper, we propose a new dynamical model to study the two-stage volatility evolution
of stock market index after extreme events, and find that the volatility after extreme events …

We propose a new Bayesian Markov switching regression model for multidimensional
arrays (tensors) of binary time series. We assume a zero-inflated logit regression with time …

In this section we introduce some notation for multilinear arrays (ie tensors) and some
operations on tensors and between tensors and lower dimensional objects (such as …

Complex systems are characterised by different distinguishing aspects often associated with
completely separate behaviours. In financial markets, paramount example of complex …