Details about Guillaume Chevillon

Access statistics for papers by Guillaume Chevillon.

Last updated 2024-05-06. Update your information in the RePEc Author Service.

Short-id: pch128

Working Papers

2024

1. What Does it Take to Control Global Temperatures? A toolbox for testing and estimating the impact of economic policies on climate
   Papers, arXiv.org

2023

2. We modeled long memory with just one lag!
   Post-Print, HAL View citations (2)
   Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2023)
   LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (2022)
   See also Journal Article We modeled long memory with just one lag!, Journal of Econometrics, Elsevier (2023) View citations (1) (2023)

2018

3. Generating Univariate Fractional Integration within a Large VAR(1)
   AMSE Working Papers, Aix-Marseille School of Economics, France View citations (8)
   Also in Working Papers, HAL (2018) View citations (6)
   Post-Print, HAL (2018) View citations (6)
   See also Journal Article Generating univariate fractional integration within a large VAR(1), Journal of Econometrics, Elsevier (2018) View citations (7) (2018)

2017

4. Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons
   ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (3)

2016

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

2015

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

2013

7. Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model
   ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (7)
   Also in Working Papers, HAL (2013) View citations (7)
8. Learning generates Long Memory
   Post-Print, HAL View citations (10)
   Also in ESSEC Working Papers, ESSEC Research Center, ESSEC Business School (2011) View citations (2)
9. 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
   Also in Working Papers, HAL (2013)
   See also Journal Article Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming, Econometric Reviews, Taylor & Francis Journals (2017) (2017)

2012

10. Local-Explosive Approximations to Null Distributions of the Johansen Cointegration Test, with an Application to Cyclical Concordance in the Euro Area
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School

2007

11. Inference in the Presence of Stochastic and Deterministic Trends
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School
12. Physical Market Determinants of the Price of Crude Oil and the Market Premium
    ESSEC Working Papers, ESSEC Research Center, ESSEC Business School View citations (3)
    See also Journal Article Physical market determinants of the price of crude oil and the market premium, Energy Economics, Elsevier (2009) View citations (47) (2009)

2006

13. Croissance sans châtiment. Perspectives 2006-2007 pour l'économie mondiale
    SciencePo Working papers Main, HAL
14. France: le coût d’outre-Rhin
    Post-Print, HAL
15. L’impact du taux de change sur le tourisme en France
    Post-Print, HAL View citations (1)
    See also Journal Article L'impact du taux de change sur le tourisme en France, Revue de l'OFCE, Presses de Sciences-Po (2006) View citations (2) (2006)
16. Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (2)

2005

17. Direct multi-step estimation and forecasting
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) View citations (77)
    See also Journal Article DIRECT MULTI‐STEP ESTIMATION AND FORECASTING, Journal of Economic Surveys, Wiley Blackwell (2007) View citations (51) (2007)
18. France: croissance entravée
    Post-Print, HAL
19. Impact de l'appréciation de l'euro sur le secteur du tourisme
    SciencePo Working papers Main, HAL
    Also in Working Papers, HAL (2005)
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) (2005)
20. Économétrie de la prévision
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) View citations (1)

2004

21. "Weak" trends for inference and forecasting in finite samples
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE) View citations (2)
    Also in Economics Series Working Papers, University of Oxford, Department of Economics (2004) View citations (1)
22. A Comparison of Multi-step GDP Forecasts for South Africa
    Documents de Travail de l'OFCE, Observatoire Francais des Conjonctures Economiques (OFCE)
23. Brouillard autour des puits de pétrole
    Post-Print, HAL
    Also in SciencePo Working papers Main, HAL (2004)
24. France: reprise à bas régime !
    Post-Print, HAL
25. Les tribulations de la parité euro/dollar
    Post-Print, HAL
26. Méprise sur la reprise
    Post-Print, HAL
27. Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes
    Economics Series Working Papers, University of Oxford, Department of Economics View citations (14)
    Also in Economics Papers, Economics Group, Nuffield College, University of Oxford (2004) View citations (17)
    See also Journal Article Non-parametric direct multi-step estimation for forecasting economic processes, International Journal of Forecasting, Elsevier (2005) View citations (68) (2005)
28. Politiques monétaires: l’immobilisme en mouvement
    SciencePo Working papers Main, HAL

Journal Articles

2023

1. We modeled long memory with just one lag!
   Journal of Econometrics, 2023, 236, (1) View citations (1)
   See also Working Paper We modeled long memory with just one lag!, Post-Print (2023) View citations (2) (2023)

2020

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

2018

4. Generating univariate fractional integration within a large VAR(1)
   Journal of Econometrics, 2018, 204, (1), 54-65 View citations (7)
   See also Working Paper Generating Univariate Fractional Integration within a Large VAR(1), AMSE Working Papers (2018) View citations (8) (2018)
5. Perpetual learning and apparent long memory
   Journal of Economic Dynamics and Control, 2018, 90, (C), 343-365 View citations (3)

2017

6. Learning can generate long memory
   Journal of Econometrics, 2017, 198, (1), 1-9 View citations (15)
7. 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
   See also Working Paper Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming, ESSEC Working Papers (2013) (2013)

2016

8. Multistep forecasting in the presence of location shifts
   International Journal of Forecasting, 2016, 32, (1), 121-137 View citations (9)

2010

9. Inference in models with adaptive learning
   Journal of Monetary Economics, 2010, 57, (3), 341-351 View citations (33)

2009

10. Multi-step forecasting in emerging economies: An investigation of the South African GDP
    International Journal of Forecasting, 2009, 25, (3), 602-628 View citations (4)
11. Physical market determinants of the price of crude oil and the market premium
    Energy Economics, 2009, 31, (4), 537-549 View citations (47)
    See also Working Paper Physical Market Determinants of the Price of Crude Oil and the Market Premium, ESSEC Working Papers (2007) View citations (3) (2007)
12. Stratégies de vote en AG face aux résolutions externes
    Revue française de gestion, 2009, n° 198-199, (8), 277-296 View citations (2)

2007

13. DIRECT MULTI‐STEP ESTIMATION AND FORECASTING
    Journal of Economic Surveys, 2007, 21, (4), 746-785 View citations (51)
    See also Working Paper Direct multi-step estimation and forecasting, Documents de Travail de l'OFCE (2005) View citations (77) (2005)

2006

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

2005

15. Analyse économétrique et compréhension des erreurs de prévision
    Revue de l'OFCE, 2005, 95, (4), 327-356
16. Non-parametric direct multi-step estimation for forecasting economic processes
    International Journal of Forecasting, 2005, 21, (2), 201-218 View citations (68)
    See also Working Paper Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes, Economics Series Working Papers (2004) View citations (14) (2004)
17. Savoir, information et anticipations en macroéconomie
    Revue de l'OFCE, 2005, 93, (2), 7-34