2022 Chorro, C., Fanirisoa, R: Discriminating between GARCH models for option pricing by their ability to compute accurate VIX measures. Journal of Financial Econometrics, 20 (5), 902-941 (Working paper)
2020 Jay, E., Soler, T., Terreaux, E., Ovarlez, J-P., Pascal, F., De Peretti, P. and Chorro, C: Improving portfolios global performance using a cleaned and robust covariance matrix estimate. Soft computing, 24, 8643–8654 (Working paper)
2020 Chorro, C., Ielpo, F. and Sevi B. : The contribution of intradays jumps to forecasting the density of returns. Journal of Economic Dynamics and Control, 113, 103853, 27 pages . (Working paper)
2019 Chorro, C., Fanirisoa, R: Option valuation with IG-GARCH model and an U-shaped pricing kernel. Soft computing , 24, 8505–8522. (Working paper)
2018 Chorro, C., Guégan, D., Ielpo, F. and Lalaharison, H. : Testing for leverage effect in the Returns of US Equities. Journal of Empirical Finance, 48, 290-306. (Publication du mois du CES Septembre 2018) (Working paper)
2017 Bouleau, N., Chorro, C: The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process. Physica A, 479, 379-395. (Working paper)
2016 Chorro, C: A Simple Probabilistic Approach of the Yard-Sale Model. Statistics and Probability letters, 112, 35-40. (Working paper)
2012 C. Chorro, D. Guegan, F. Ielpo : Option pricing in GARCH-type models with generalyzed hyperbolic innovations, Quantitative Finance, 12(7), 1079-1094. (Working paper)
2010 C. Chorro, D. Guegan, F. Ielpo : Martingalized Historical approach for Option Pricing, Finance Research Letters, 7(1), 24-28. (Working paper)
2008 C. Chorro : On an extension of the hilbertian central limit theorem to Dirichlet forms, Osaka. J. of Mathematics 45(2), 457-470. (Working paper)
2005 C. Chorro : Convergence in Dirichlet law of certain stochastic integrals, Electron. J Probab 10, 1005-1025. (Working paper)
2004 N. Bouleau, C. Chorro : Error structures and parameter estimation, C. R. Acad. Sci. Paris, Ser. I 338, 305-310, 2004. (Working paper)
2020 Jay, E., Soler, T., Ovarlez, J-P., De Peretti, P. and Chorro, C: Robust Covariance Matrix Estimation and Portfolio Allocation : the case of non-homogeneous assets. ICASSP 2020 - 2020 IEEE International Conference on Acoustics, Speech and Signal Processing, 8449-8453. (Working paper)
2015 C. Chorro, D. Guegan, F. Ielpo : A Time Series Approach to Option Pricing: Models, Methods and Empirical Performances. Springer Verlag.
2020 C. Chorro: Recension du livre Théorie des erreurs de Nicolas Bouleau. Matapli 123.
2022 Chorro, C., De Perreti, P., Jay, E. and Soler, T. : Asset selection process: A new perspective from frequency causality measures and clustering coefficents.
2022 Chorro, C., Dossetto, E: Building a global sensitivity analysis to quantify the robustness of macro-economic models
2021 Chorro, C., De Perreti, P., Jay, E. and Soler, T. : Frequency causality measures and Vector AutoRegressive (VAR) models: An improved subset selection method suited to parsimonious systems
2018 Chorro, C., Fanirisoa, R: A new two-step estimation strategy for non-Gaussian GARCH models .
2013 Thèse d'habilitation à diriger des recherches: Contribution a l' économétrie financière et à l'analyse de sensibilités.
2005 Thèse de doctorat: Calcul d’erreur par formes de Dirichlet: Liens avec l’information de Fisher et les théorèmes limites.
2004 Bouleau, C. Chorro : Error structures and parameter estimation.