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 (ICASSP, 2020)

Option valuation with IG-GARCH model and a U-shaped pricing kernel. - Christophe Chorro; Rahantamialisoa H. Fanirisoa (Soft Comput., 2020)

Improving portfolios global performance using a cleaned and robust covariance matrix estimate. - Emmanuelle Jay; Thibault Soler; Eugénie Terreaux; Jean Philippe Ovarlez; Frédéric Pascal 001; Philippe de Peretti; Christophe Chorro (Soft Comput., 2020)