Details about Dominique madeleine GUEGAN

Access statistics for papers by Dominique madeleine GUEGAN.

Last updated 2009-09-20. Update your information in the RePEc Author Service.

Short-id: pgu275

Working Papers

2009

1. A Meta-Distribution for Non-Stationary Samples
   CREATES Research Papers, School of Economics and Management, University of Aarhus
2. A new algorithm for the loss distribution function with applications to Operational Risk Management
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009)
3. An economic view of carbon allowances market
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009)
4. BL-GARCH models with elliptical distributed innovations
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
5. Breaks or Long Memory Behaviour: An empirical Investigation
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations
   Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009)
6. Change analysis of dynamic copula for measuring dependence in multivariate financial data
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2006) View citations
   Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1) (2006) View citations
7. Chaos in Economics and Finance
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007)
   Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2007)
8. Contagion between the financial sphere and the real economy. Parametric and non-parametric tools: A comparison
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
9. Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy
   Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
   Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
   See also Journal Article in Frontiers in Finance and Economics (2009)
10. Forecasting electricity spot market prices with a k-factor GIGARCH process
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2007)
11. Martingalized Historical approach for Option Pricing
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009)
12. Portfolio Symmetry and Momentum
    Working Papers, University of Venice "Ca' Foscari", Department of Economics
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009)
13. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2007)
14. Wavelet Method for Locally Stationary Seasonal Long Memory Processes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009)

2008

15. Business surveys modelling with Seasonal-Cyclical Long Memory models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de Travail, Banque de France (2008)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008)
    See also Journal Article in Economics Bulletin (2008)
16. Changing regime volatility: A fractionally integrated SETAR model
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Working Papers, HAL (2006) View citations
17. Dynamic Analysis of the Insurance Linked Securities Index
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008)
18. Effect of noise filtering on predictions: on the routes of chaos
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
19. Estimation of k-Factor Gigarch Process: A Monte Carlo Study
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
20. Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
21. Flexible time series models for subjective distribution estimation with monetary policy in view
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2007)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007)
22. Forecasting chaotic systems: the role of local Lyapunov exponents
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008)
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) View citations
23. GDP nowcasting with ragged-edge data: A semi-parametric modelling
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008)
24. Is it possible to discriminate between different switching regressions models? An empirical investigation
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
25. Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée
26. Non-stationarity and meta-distribution
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
27. Note on New Prospects on Vines
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) View citations
28. Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
29. Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008)
30. Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
31. Pricing bivariate option under GARCH processes with time-varying copula
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
    See also Journal Article in Insurance: Mathematics and Economics (2008)
32. Testing fractional order of long memory processes: a Monte Carlo study
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) View citations
33. The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008)
34. Towards an understanding approach of the insurance linked securities market
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008)

2007

35. A note on self-similarity for discrete time series
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2007)
36. Further evidence on the impact of economic news on interest
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations
37. Further evidence on the impact of economic news on interest rates
    MPRA Paper, University Library of Munich, Germany View citations
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) View citations
38. Global and local stationary modelling in finance: theory and empirical evidence
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007)
39. La persistance dans les marchés financiers
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations
40. The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
    See also Journal Article in Statistics & Probability Letters (2007)
41. Which is the best model for the US inflation rate: a structural changes model or a long memory
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
42. Which is the best model for the US inflation rate: a structural changes model or a long memory process ?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

2006

43. An econometric specification of monetary policy dark art
    MPRA Paper, University Library of Munich, Germany
44. Fractional seasonality: Models and Application to Economic Activity in the Euro Area
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations
45. Hedging tranches index products: illustration of model dependency
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL
46. Real-time detection of the business cycle using SETAR models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL

2005

47. De-noising with wavelets method in chaotic time series: application in climatology, energy and finance
    Post-Print, HAL
48. Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices
    Post-Print, HAL
    Also in Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1) (2005) View citations
49. Detection of the Industrial Business Cycle using SETAR models
    Post-Print, HAL
    Also in MPRA Paper, University Library of Munich, Germany (2005)
50. Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets
    Post-Print, HAL View citations
    See also Journal Article in Quantitative Finance (2005)
51. How can we define the concept of long memory ? An econometric survey
    Post-Print, HAL View citations
    Also in School of Economics and Finance Discussion Papers and Working Papers Series, School of Economics and Finance, Queensland University of Technology (2004) View citations
52. Long-memory dynamics in a SETAR model - Applications to stock markets
    Post-Print, HAL View citations
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2005)
53. Modelling squared returns using a SETAR model with long-memory dynamics
    Post-Print, HAL View citations
    See also Journal Article in Economics Letters (2005)
54. Multi-period conditional distribution functions for heteroscedastic models with applications to VaR
    Post-Print, HAL
55. On the use of nearest neighbors in finance
    Post-Print, HAL
56. Regime switching models: real or spurious long memory ?
    Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1) View citations
    Also in Post-Print, HAL (2005) View citations
57. tail behavior of a threshold autoregressive stochastic volatility model
    Post-Print, HAL

2004

58. A k- factor GIGARCH process: estimation and application to electricity market spot prices
    Post-Print, HAL
59. Another Characterization of Long Memory Behavior
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations
60. Asymptotic Behavior for the Extreme Values of a Linear Regression Model
    Post-Print, HAL
61. Estimating parameters for a k-GIGARCH process
    Post-Print, HAL
62. How Can We Define the Long Memory Concept? An Econometric Survey
    Econometric Society 2004 Australasian Meetings, Econometric Society

2003

63. A SETAR model with long-memory dynamics
    Econometrics, EconWPA View citations
64. A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates
    Post-Print, HAL View citations
65. Extreme Distribution of a Generalized Stochastic Volatility Model
    Post-Print, HAL
66. Modelization and Nonparametric estimation for a dynamical system with noise
    Post-Print, HAL
    Also in Working Papers, Centre de Recherche en Economie et Statistique

2002

67. Extreme values of particular nonlinear processes
    Post-Print, HAL
68. Une mesure de la persistance dans les indices boursiers
    Documents de Travail, Banque de France View citations
69. What is the Best Approach to Measure the Interdependence between Different Markets?
    Documents de Travail, Banque de France

1999

70. Testing for Non-Linearity in Intra-Day Financial Series: The Cases of Two French Stocks
    Working Papers, Caisse des Depots et Consignations - Cahiers de recherche

Undated

71. Analyse d’Intervention et Prévisions. Problématique et Application à des données de la RATP
    Working Papers, Centre de Recherche en Economie et Statistique
72. Estimation and Applications of Gegenbauer Processes
    Working Papers, Centre de Recherche en Economie et Statistique View citations
73. Predictive Dimension: An Alternative Definition of the Embedding Dimension
    Working Papers, Centre de Recherche en Economie et Statistique
74. Prédiction of Chaotic Time Series in the Presence of Measurement Error: The Importance of Initial Conditions
    Working Papers, Centre de Recherche en Economie et Statistique
75. Statistical Estimation of the Embedding Dimension of a Dynamic System
    Working Papers, Centre de Recherche en Economie et Statistique
76. The Multivariate Threshold Model -An Alternative to Detect Breaks and Hidden Cycles on Real Data
    Working Papers, Centre de Recherche en Economie et Statistique

Journal Articles

2009

1. Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy
   Frontiers in Finance and Economics, 2009, 6, (1), 26-50
   See also Working Paper (2009)

2008

2. Business surveys modelling with Seasonal-Cyclical Long Memory models
   Economics Bulletin, 2008, 3, (29), 1-10
   See also Working Paper (2008)
3. Pricing bivariate option under GARCH processes with time-varying copula
   Insurance: Mathematics and Economics, 2008, 42, (3), 1095-1103
   See also Working Paper (2008)

2007

4. The stationary seasonal hyperbolic asymmetric power ARCH model
   Statistics & Probability Letters, 2007, 77, (11), 1158-1164
   See also Working Paper (2007)

2005

5. Empirical estimation of tail dependence using copulas: application to Asian markets
   Quantitative Finance, 2005, 5, (5), 489-501 View citations
   See also Working Paper (2005)
6. Long-memory dynamics in a SETAR model - applications to stock markets
   Journal of International Financial Markets, Institutions and Money, 2005, 15, (5), 391-406 View citations
   See also Working Paper (2005)
7. Modelling squared returns using a SETAR model with long-memory dynamics
   Economics Letters, 2005, 86, (2), 237-243 View citations
   See also Working Paper (2005)
8. Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data
   European Journal of Finance, 2005, 11, (2), 137-150

2003

9. Modelization and Nonparametric Estimation for Dynamical Systems with Noise
   Statistical Inference for Stochastic Processes, 2003, 6, (3), 267-290

2001

10. Forecasting with k-Factor Gegenbauer Processes: Theory and Applications
    Journal of Forecasting, 2001, 20, (8), 581-601 View citations

1998

11. A comparison of techniques of estimation in long-memory processes
    Computational Statistics & Data Analysis, 1998, 27, (1), 61-81 View citations

1997

12. Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate
    European Journal of Finance, 1997, 3, (3), 231-242

1996

13. Power of the Lagrange multiplier test for certain subdiagonal bilinear models
    Statistics & Probability Letters, 1996, 29, (3), 201-212

1995

14. Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system
    Statistics & Probability Letters, 1995, 25, (3), 201-212 View citations

1994

15. Asymptotic normality of the discrete Fourier transform of long memory time series
    Statistics & Probability Letters, 1994, 21, (4), 299-309