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Details about Guillaume Chevillon

E-mail:
Homepage:http://guillaume-chevillon.faculty.essec.edu/
Postal address:ESSEC Business School Avenue Bernard Hirsch BP 50105 F-95021 Cergy-Pontoise cedex FRANCE
Workplace:ESSEC Business School, (more information at EDIRC)
Centre de Recherche en Économie et Statistique (CREST) (Center for Research in Economics and Statistics), (more information at EDIRC)

Access statistics for papers by Guillaume Chevillon.

Last updated 2021-09-07. Update your information in the RePEc Author Service.

Short-id: pch128


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Working Papers

2018

  1. Generating Univariate Fractional Integration within a Large VAR(1)
    Working Papers, HAL Downloads View citations (2)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2018) Downloads View citations (2)
    Post-Print, HAL (2018) Downloads View citations (2)

    See also Journal Article in Journal of Econometrics (2018)

2017

  1. Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads View citations (1)

2016

  1. Robust inference in structural VARs with long-run restrictions
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads View citations (3)

2015

  1. Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads View citations (2)
    Also in Working Papers, HAL (2015) Downloads View citations (2)
    Research Memorandum, Maastricht University, Graduate School of Business and Economics (GSBE) (2015) Downloads View citations (2)

2013

  1. Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
    Working Papers, HAL Downloads View citations (4)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2013) Downloads View citations (5)
  2. Learning generates Long Memory
    Post-Print, HAL Downloads View citations (9)
    Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2011) Downloads View citations (1)
  3. Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads
    Also in Working Papers, HAL (2013) Downloads

    See also Journal Article in Econometric Reviews (2017)

2007

  1. Physical Market Determinants of the Price of Crude Oil and the Market Premium
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School Downloads View citations (2)
    See also Journal Article in Energy Economics (2009)

2006

  1. L’impact du taux de change sur le tourisme en France
    Sciences Po publications, Sciences Po Downloads View citations (2)
    See also Journal Article in Revue de l'OFCE (2006)
  2. Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts
    Economics Series Working Papers, University of Oxford, Department of Economics Downloads View citations (1)

2005

  1. Direct multi-step estimation and forecasting
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) Downloads View citations (20)
    See also Journal Article in Journal of Economic Surveys (2007)
  2. Impact de l'appréciation de l'euro sur le secteur du tourisme
    Sciences Po publications, Sciences Po Downloads
    Also in Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) (2005) Downloads
  3. Économétrie de la prévision
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) Downloads View citations (1)

2004

  1. Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
    Economics Papers, Economics Group, Nuffield College, University of Oxford Downloads View citations (15)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2004) Downloads View citations (12)

    See also Journal Article in International Journal of Forecasting (2005)

Journal Articles

2020

  1. Probabilistic forecasting of bubbles and flash crashes
    Econometrics Journal, 2020, 23, (2), 297-315 Downloads
  2. ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
    Econometric Theory, 2020, 36, (1), 86-121 Downloads View citations (1)

2018

  1. Generating univariate fractional integration within a large VAR(1)
    Journal of Econometrics, 2018, 204, (1), 54-65 Downloads View citations (3)
    See also Working Paper (2018)
  2. Perpetual learning and apparent long memory
    Journal of Economic Dynamics and Control, 2018, 90, (C), 343-365 Downloads View citations (2)

2017

  1. Learning can generate long memory
    Journal of Econometrics, 2017, 198, (1), 1-9 Downloads View citations (6)
  2. Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming
    Econometric Reviews, 2017, 36, (5), 514-545 Downloads
    See also Working Paper (2013)

2016

  1. Multistep forecasting in the presence of location shifts
    International Journal of Forecasting, 2016, 32, (1), 121-137 Downloads View citations (7)

2010

  1. Inference in models with adaptive learning
    Journal of Monetary Economics, 2010, 57, (3), 341-351 Downloads View citations (30)

2009

  1. Multi-step forecasting in emerging economies: An investigation of the South African GDP
    International Journal of Forecasting, 2009, 25, (3), 602-628 Downloads View citations (4)
  2. Physical market determinants of the price of crude oil and the market premium
    Energy Economics, 2009, 31, (4), 537-549 Downloads View citations (38)
    See also Working Paper (2007)
  3. Stratégies de vote en AG face aux résolutions externes
    Revue française de gestion, 2009, n° 198-199, (8), 277-296 Downloads View citations (2)

2007

  1. DIRECT MULTI‐STEP ESTIMATION AND FORECASTING
    Journal of Economic Surveys, 2007, 21, (4), 746-785 Downloads View citations (41)
    See also Working Paper (2005)

2006

  1. L'impact du taux de change sur le tourisme en France
    Revue de l'OFCE, 2006, 98, (3), 167-181 Downloads View citations (2)
    See also Working Paper (2006)

2005

  1. Analyse économétrique et compréhension des erreurs de prévision
    Revue de l'OFCE, 2005, 95, (4), 327-356 Downloads
  2. Non-parametric direct multi-step estimation for forecasting economic processes
    International Journal of Forecasting, 2005, 21, (2), 201-218 Downloads View citations (58)
    See also Working Paper (2004)
  3. Savoir, information et anticipations en macroéconomie
    Revue de l'OFCE, 2005, 93, (2), 7-34 Downloads
 
Page updated 2021-09-16