Thèmes de recherche

  • Gestion des risques financiers
  • Finance quantitative

Publications d’articles dans des revues classées

  • Malick Fall, Waël Louhichi & Jean Laurent Viviani (2021) Forecasting the intra-day effective bid ask spread by combining density forecasts. Applied Economics. https://doi.org/10.1080/00036846.2021.1929821

  • Revelli, C., Fall, M. & Viviani, J. L. (2019). The Effects of Socially Responsible Dimensions on Risk Dynamics and Risk Predictability: A Value-At-Risk Perspective. Vol 23 no 3 - Pages 141-157 Management international. https://doi.org/10.7202/1062215ar

  • Fall, M., Louhichi, W., & Viviani, J. L. (2018). Empirical tests on the asset pricing model with liquidity risk: An unobserved components approach. Economic Modelling. https://doi.org/10.1016/j.econmod.2018.06.008

  • Fall, M., & Viviani, J.-L. (2016). A new multi-factor risk model to evaluate funding liquidity risk of banks. The European Journal of Finance, 22(11), 985–1003. http://doi.org/10.1080/1351847X.2014.996656

Développement logiciels

  • XlQuant Co-developer, with Sebastien Laurent, of XlQuant, an Add-in for Excel.
  • MEM (version 1.083), An Ox Package for Estimating, Forecasting and Simulating Multiplicative Error Models.
  • 2050, Logiciel d’analyse financière.