Publications

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Estimation of Lévy-driven Ornstein-Ulhenbeck processes: Application to modeling of CO2 and fuel-switching

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Jumps and volatility dynamics in agricultural commodity spot prices

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Les défis énergétiques de la Chine

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Mean-reverting Lévy jump dynamics in the European power sector

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On the estimation of regime-switching Lévy models

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Public debt management in developed economies during the crisis

The aim of this chapter is to identify certain shifts in the behaviors of public debt managers in selected developed countries. This study focuses on Canada, France, the United Kingdom, and the United States for the period 1998–2015 in quarterly data.

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Regime-switching stochastic volatility model: Estimation and Calibration to VIX options

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