Details about Christophe Hurlin
Access statistics for papers by Christophe Hurlin.
Last updated 2024-11-23. Update your information in the RePEc Author Service.
Short-id: pch177
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Working Papers
2025
- Measuring the Driving Forces of Predictive Performance: Application to Credit Scoring
Papers, arXiv.org 
2024
- Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials
Papers, arXiv.org
- Modèles internes des banques pour le calcul du capital réglementaire (IRB) et intelligence artificielle
(Modèles internes des banques pour le calcul du capital réglementaire (IRB) et intelligence artificielle)
Débats Economiques et financiers, Banque de France
- Nonstandard Errors
Post-Print, HAL View citations (2)
Also in Working Papers, Faculty of Economics and Statistics, Universität Innsbruck (2021) View citations (6)
Working Papers, Lund University, Department of Economics (2021)
LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library (2024) View citations (2)
See also Journal Article Nonstandard Errors, Journal of Finance, American Finance Association (2024) View citations (2) (2024)
- The Economics of Computational Reproducibility
Working Papers, HAL
Also in HEC Research Papers Series, HEC Paris (2024)
- The Fairness of Credit Scoring Models
Papers, arXiv.org View citations (3)
Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2021) View citations (4)
Working Papers, HAL (2021) View citations (4)
HEC Research Papers Series, HEC Paris (2021)
2023
- Machine Learning and IRB Capital Requirements
Working Papers, HAL
- Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations
(Machine Learning et Modèles IRB: Avantages, Risques et Préconisations)
Working Papers, HAL
Also in HEC Research Papers Series, HEC Paris (2023)
2022
- Computational Reproducibility in Finance: Evidence from 1,000 Tests
HEC Research Papers Series, HEC Paris
See also Journal Article Computational Reproducibility in Finance: Evidence from 1,000 Tests, The Review of Financial Studies, Society for Financial Studies (2024) View citations (2) (2024)
- Explainable Performance
Working Papers, HAL
Also in HEC Research Papers Series, HEC Paris (2022)
- Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects
Post-Print, HAL View citations (45)
See also Journal Article Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects, European Journal of Operational Research, Elsevier (2022) View citations (35) (2022)
- Reproducibility of Empirical Results: Evidence from 1,000 Tests in Finance
Working Papers, HAL View citations (1)
- Statistique et probabilités en économie-gestion (2e édition)
Post-Print, HAL
2021
- Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Post-Print, HAL View citations (7)
Also in Working Papers, HAL (2020) View citations (3)
Working Papers, University of Geneva, Geneva School of Economics and Management (2020)
Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2019) View citations (1)
See also Journal Article Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures, Management Science, INFORMS (2021) View citations (7) (2021)
- Machine Learning or Econometrics for Credit Scoring: Let's Get the Best of Both Worlds
Working Papers, HAL View citations (1)
Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2020) View citations (2)
2020
- Reproducibility Certification in Economics Research
Working Papers, HAL
Also in HEC Research Papers Series, HEC Paris (2019)
2019
- A Theoretical and Empirical Comparison of Systemic Risk Measures
Working Papers, HAL View citations (4)
Also in Working Papers, HAL (2013) View citations (107)
- Certify reproducibility with confidential data
Post-Print, HAL View citations (8)
- Machine Learning et nouvelles sources de données pour le scoring de crédit
Working Papers, HAL View citations (3)
Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2019) View citations (5)
Post-Print, HAL (2019) View citations (3)
See also Journal Article Machine learning et nouvelles sources de données pour le scoring de crédit, Revue d'économie financière, Association d'économie financière (2019) View citations (5) (2019)
- Pitfalls in systemic-risk scoring
Post-Print, HAL View citations (24)
Also in Working Papers, HAL (2017) View citations (3)
See also Journal Article Pitfalls in systemic-risk scoring, Journal of Financial Intermediation, Elsevier (2019) View citations (24) (2019)
- The counterparty risk exposure of ETF investors
Post-Print, HAL View citations (3)
Also in Working Papers, HAL (2014) View citations (1)
See also Journal Article The counterparty risk exposure of ETF investors, Journal of Banking & Finance, Elsevier (2019) View citations (3) (2019)
2018
- Loss Functions for LGD Models Comparison
Post-Print, HAL
Also in Working Papers, HAL (2018)
2017
- CoMargin
Post-Print, HAL
Also in Working Papers, HAL (2015)
See also Journal Article CoMargin, Journal of Financial and Quantitative Analysis, Cambridge University Press (2017) (2017)
- La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ?
Post-Print, HAL
See also Journal Article La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ?, Revue économique, Presses de Sciences-Po (2017) (2017)
- Risk Measure Inference
Post-Print, HAL View citations (7)
Also in Working Papers, HAL (2015) View citations (6)
See also Journal Article Risk Measure Inference, Journal of Business & Economic Statistics, Taylor & Francis Journals (2017) View citations (9) (2017)
- Where the Risks Lie: A Survey on Systemic Risk
Post-Print, HAL View citations (184)
Also in Working Papers, HAL (2015) View citations (21)
Working Papers, HAL (2015) View citations (30)
See also Journal Article Where the Risks Lie: A Survey on Systemic Risk, Review of Finance, European Finance Association (2017) View citations (251) (2017)
2016
- Do We Need High Frequency Data to Forecast Variances?
Post-Print, HAL View citations (5)
See also Journal Article Do We Need High Frequency Data to Forecast Variances?, Annals of Economics and Statistics, GENES (2016) View citations (2) (2016)
- Forecasting High-Frequency Risk Measures
Post-Print, HAL
See also Journal Article Forecasting High‐Frequency Risk Measures, Journal of Forecasting, John Wiley & Sons, Ltd. (2016) (2016)
2015
- A DARE for VaR
Post-Print, HAL View citations (4)
See also Journal Article A DARE for VaR, Finance, Presses universitaires de Grenoble (2015) View citations (4) (2015)
- Implied Risk Exposures
Post-Print, HAL View citations (3)
Also in Working Papers, HAL (2014)
See also Journal Article Implied Risk Exposures, Review of Finance, European Finance Association (2015) View citations (3) (2015)
- Statistique et probabilités en économie-gestion
Post-Print, HAL
2014
- Cross-country-heterogeneous and Time-varying Effects of Unconventional Monetary Policies in AEs on Portfolio Inflows to EMEs
Working Papers, Economic Research Institute, Bank of Korea
- Currency Crises Early Warning Systems: Why They Should Be Dynamic
Post-Print, HAL View citations (17)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2010) View citations (12)
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2010) View citations (12)
Working Papers, Department of Research, Ipag Business School (2014) View citations (37)
See also Journal Article Currency crisis early warning systems: Why they should be dynamic, International Journal of Forecasting, Elsevier (2014) View citations (31) (2014)
- Do We Need Ultra-High Frequency Data to Forecast Variances?
Working Papers, HAL
- How did the Japanese Employment System Change?Investigating the Heterogeneity of Downsizing Practices across Firms
KIER Working Papers, Kyoto University, Institute of Economic Research View citations (3)
- The Collateral Risk of ETFs
HEC Research Papers Series, HEC Paris View citations (2)
2013
- Does the firm-analyst relationship matter in explaining analysts' earnings forecast errors?
Working Papers, HAL
Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2011)
- High-Frequency Risk Measures
Working Papers, HAL
- Is public capital really productive? A methodological reappraisal
Post-Print, HAL View citations (5)
Also in Working Papers, HAL (2012)
See also Journal Article Is public capital really productive? A methodological reappraisal, European Journal of Operational Research, Elsevier (2013) View citations (5) (2013)
- Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
Post-Print, HAL View citations (5)
Also in Working Papers, HAL (2012) View citations (4)
See also Chapter Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation, Advances in Econometrics, Emerald Group Publishing Limited (2013) View citations (1) (2013)
- Network Effects and Infrastructure Productivity in Developing Countries
NCID Working Papers, Navarra Center for International Development, University of Navarra View citations (9)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2009) View citations (2)
See also Journal Article Network Effects and Infrastructure Productivity in Developing Countries, Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford (2013) View citations (9) (2013)
- Systemic Risk Score: A Suggestion
HEC Research Papers Series, HEC Paris View citations (3)
Also in Working Papers, HAL (2013) View citations (2)
Working Papers, HAL (2013) View citations (3)
- Testing Interval Forecasts: a GMM-Based Approach
Post-Print, HAL View citations (2)
Also in Working Papers, HAL (2011) View citations (1)
See also Journal Article Testing Interval Forecasts: A GMM‐Based Approach, Journal of Forecasting, John Wiley & Sons, Ltd. (2013) View citations (2) (2013)
2012
- Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
Working Papers, HAL View citations (26)
Also in Post-Print, HAL (2012) View citations (25)
See also Journal Article Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests, Finance, Presses universitaires de Grenoble (2012) View citations (26) (2012)
- Extreme Financial Cycles
Working Papers, HAL
See also Journal Article Extreme Financial cycles, Revue d'économie politique, Dalloz (2012) (2012)
- How to Evaluate an Early Warning System? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
Post-Print, HAL View citations (58)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2010) View citations (9)
See also Journal Article How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods, IMF Economic Review, Palgrave Macmillan (2012) View citations (69) (2012)
- How to evaluate an Early Warning System ?
Working Papers, HAL View citations (51)
- Margin Backtesting
Working Papers, HAL View citations (6)
- RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results
Working Papers, HAL View citations (2)
- Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios
Post-Print, HAL View citations (14)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2011) View citations (8)
See also Journal Article Sampling error and double shrinkage estimation of minimum variance portfolios, Journal of Empirical Finance, Elsevier (2012) View citations (18) (2012)
- Testing for Granger Non-causality in Heterogeneous Panels
Post-Print, HAL View citations (1494)
Also in Working Papers, HAL (2012) View citations (1544)
See also Journal Article Testing for Granger non-causality in heterogeneous panels, Economic Modelling, Elsevier (2012) View citations (1507) (2012)
- The Risk Map: A New Tool for Validating Risk Models
Working Papers, HAL View citations (2)
See also Journal Article The Risk Map: A new tool for validating risk models, Journal of Banking & Finance, Elsevier (2013) View citations (27) (2013)
- Why don't banks lend to Egypt's private sector ?
Policy Research Working Paper Series, The World Bank View citations (3)
See also Journal Article Why don't banks lend to Egypt's private sector?, Economic Modelling, Elsevier (2013) View citations (5) (2013)
2011
- A Theoretical and Empirical Comparison of Systemic Risk Measures: MES versus CoVaR
Working Papers, HAL View citations (1)
- Does soft information matter for financial analysts' forecasts? A gravity model approach
Working Papers, HAL
- Modelling Financial Crises Mutation
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (1)
- Testing Interval Forecasts: A New GMM-based Test
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans
2010
- Un MEDAF à plusieurs moments réalisés
Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL View citations (2)
Also in Post-Print, HAL (2010) View citations (2)
Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) View citations (2)
See also Journal Article Un MEDAF à plusieurs moments réalisés, Brussels Economic Review, ULB -- Universite Libre de Bruxelles (2010) View citations (2) (2010)
- What would Nelson and Plosser find had they used panel unit root tests?
Post-Print, HAL View citations (3)
Also in Working Papers, HAL (2007) View citations (6)
See also Journal Article What would Nelson and Plosser find had they used panel unit root tests?, Applied Economics, Taylor & Francis Journals (2010) View citations (33) (2010)
2009
- Backtesting Value-at-Risk: A GMM Duration-Based Test
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (7)
Also in Post-Print, HAL (2008) View citations (10)
Post-Print, HAL (2008) View citations (7)
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2008) View citations (14)
Working Papers, HAL (2008) View citations (12)
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2009) View citations (3)
Post-Print, HAL (2008) View citations (3)
Post-Print, HAL (2008) View citations (3)
Post-Print, HAL (2008) View citations (3)
Post-Print, HAL (2008) View citations (3)
See also Journal Article Backtesting Value-at-Risk: A GMM Duration-Based Test, Journal of Financial Econometrics, Oxford University Press (2011) View citations (57) (2011)
- Energy demand models: a threshold panel specification of the 'Kuznets curve'
Post-Print, HAL View citations (11)
Also in Post-Print, HAL (2007)
See also Journal Article Energy demand models: a threshold panel specification of the 'Kuznets curve', Applied Economics Letters, Taylor & Francis Journals (2009) View citations (19) (2009)
2008
- Estimates of Government Net Capital Stocks for 26 Developing Countries
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (6)
- Estimates of Government Net Capital Stocks for 26 Developing Countries, 1970-2002
Post-Print, HAL View citations (2)
Also in Policy Research Working Paper Series, The World Bank (2006) View citations (24)
- Financial Development and Growth: A Re-Examination using a Panel Granger Causality Test
Working Papers, HAL View citations (39)
- Public Spending Efficiency: an Empirical Analysis for Seven Fast Growing Countries
Post-Print, HAL View citations (4)
- Testing Granger causality in Heterogeneous Panel Data Models with Fixed Coefficients
Post-Print, HAL View citations (11)
Also in Post-Print, HAL (2004) View citations (53)
Post-Print, HAL (2008) View citations (3)
Post-Print, HAL (2007)
- The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach
Post-Print, HAL View citations (137)
Also in Post-Print, HAL (2008) View citations (143)
Post-Print, HAL (2006)
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2006)
Working Papers, HAL (2007) View citations (2)
Post-Print, HAL (2006) View citations (1)
Post-Print, HAL (2008) View citations (137)
Post-Print, HAL (2006)
Post-Print, HAL (2007) View citations (5)
Post-Print, HAL (2006)
Post-Print, HAL (2006)
Post-Print, HAL (2006)
See also Journal Article The Feldstein-Horioka puzzle: A panel smooth transition regression approach, Economic Modelling, Elsevier (2008) View citations (143) (2008)
- Threshold Effects in the Public Capital Productivity: An International Panel Smooth Transition Approach
Working Papers, HAL View citations (10)
Also in Post-Print, HAL (2006) View citations (117)
Post-Print, HAL (2006) View citations (104)
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2006) View citations (126)
Working Papers, HAL (2006) View citations (116)
Post-Print, HAL (2006) View citations (105)
Post-Print, HAL (2006) View citations (112)
Post-Print, HAL (2006) View citations (105)
Post-Print, HAL (2006) View citations (112)
2007
- Backtesting Value-at-Risk Accuracy: A New Simple Test
Post-Print, HAL View citations (7)
Also in Post-Print, HAL (2006) View citations (5)
Post-Print, HAL (2006) View citations (4)
Post-Print, HAL (2006) View citations (6)
Post-Print, HAL (2006) View citations (4)
Post-Print, HAL (2006) View citations (5)
Post-Print, HAL (2007) View citations (7)
Post-Print, HAL (2006) View citations (5)
- Credit Market Disequilibrium in Poland: Can we find what we expect? Non stationarity and the Short Side Rule
Post-Print, HAL View citations (15)
See also Journal Article Credit market disequilibrium in Poland: Can we find what we expect?: Non-stationarity and the short-side rule, Economic Systems, Elsevier (2007) View citations (17) (2007)
- How to Estimate Public Capital Productivity?
Working Papers, HAL
- Irregularly Spaced Intraday Value at Risk (ISIVaR) Models Forecasting and Predictive Abilities
Post-Print, HAL View citations (1)
Also in Post-Print, HAL (2007) View citations (1)
Post-Print, HAL (2007) View citations (1)
Post-Print, HAL (2007) View citations (1)
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2007) View citations (1)
Post-Print, HAL (2007) View citations (1)
Working Papers, HAL (2007) View citations (1)
- Modèles Non Linéaires et Prévisions
Working Papers, HAL
Also in Post-Print, HAL (2006) View citations (2)
Post-Print, HAL (2006) View citations (2)
- Modèles à Changement de Régimes et Macro-économiques
Post-Print, HAL
Also in Post-Print, HAL (2007)
- Second Generation Panel Unit Root Tests
Working Papers, HAL View citations (81)
- Testing Granger Non-Causality in Heterogeneous Panel Data Models
Post-Print, HAL View citations (8)
- Testing Granger Non-Causality in Heterogeneous Panel Data Models with Fixed Coefficients
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (14)
- Un Test de Validité de la Value-at-Risk
Post-Print, HAL
Also in Post-Print, HAL (2007)
See also Journal Article Un test de validité de la Value at Risk, Revue économique, Presses de Sciences-Po (2007) View citations (2) (2007)
- Une Evaluation des Procédures de Backtesting
Working Papers, HAL View citations (6)
Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2007)
- Une Synthèse des Tests de Cointégration sur Données de Panel
Post-Print, HAL View citations (9)
Also in Working Papers, HAL (2006) View citations (9)
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2006) View citations (4)
See also Journal Article Une synthèse des tests de cointégration sur données de Panel, Economie & Prévision, La Documentation Française (2007) View citations (3) (2007)
- Une évaluation des procédures de Backtesting: Tout va pour le mieux dans le meilleur des mondes
Post-Print, HAL
Also in Post-Print, HAL (2007) View citations (1)
Post-Print, HAL (2005)
See also Journal Article Une évaluation des procédures de Backtesting. « Tout va pour le mieux dans le meilleur des mondes », Finance, Presses universitaires de Grenoble (2008) View citations (4) (2008)
2006
- Backtesting VaR Accuracy: A New Simple Test
Working Papers, HAL View citations (3)
Also in Post-Print, HAL (2006)
- Backtesting VaR Accuracy: A Simple and Powerful Test
LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans View citations (2)
- Economic Development and Energy Intensity: a Panel Data Analysis
Post-Print, HAL View citations (6)
Also in Post-Print, HAL (2006) View citations (12)
See also Chapter Economic Development and Energy Intensity: A Panel Data Analysis, Palgrave Macmillan Books, Palgrave Macmillan (2007) View citations (17) (2007)
- Network effects of the productivity of infrastructure in developing countries
Policy Research Working Paper Series, The World Bank View citations (25)
- Networks Effects in the Productivity of Infrastructures in Developing Countries
Post-Print, HAL View citations (2)
- Une Synthèse des Tests de Racine Unitaire sur Données de Panel
Post-Print, HAL View citations (36)
Also in Post-Print, HAL (2005) View citations (41)
See also Journal Article Une synthèse des tests de racine unitaire sur données de panel, Économie et Prévision, Programme National Persée (2005) View citations (27) (2005)
2005
- A Comment on The Dynamic Macroeconomic Effects of Public Capital
Post-Print, HAL
- Downgrading in the First Job: Who and Why
Post-Print, HAL
See also Journal Article Downgrading in the first job: who and why?, Applied Economics Letters, Taylor & Francis Journals (2005) (2005)
- The Heterogeneity of Employment Adjustment Accross Japanese Firms. A study Using Panel Data
Post-Print, HAL
Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (2003) View citations (3)
- The productivy Effects of Public Capital in Developing Countries
Post-Print, HAL View citations (17)
- Un Test Simple de l'Hypothèse de Non Causalité dans un Modèle de Panel Hétérogène
Post-Print, HAL View citations (7)
Also in Post-Print, HAL (2004) View citations (5)
See also Journal Article Un test simple de l'hypothèse de non-causalité dans un modèle de panel hétérogène, Revue économique, Presses de Sciences-Po (2005) View citations (18) (2005)
2004
- 20th Symposium on Monetary and Financial Economics
Post-Print, HAL
- Credit Market Disequilibrium in Poland: Can we find what we expect? Non Stationarity and the Min Condition
Post-Print, HAL View citations (2)
Also in William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2003) View citations (7)
2002
- A Theoretical and Empirical Assessment of the Bank Lending Channel and Loan Market Disequilibrium in Poland
NBP Working Papers, Narodowy Bank Polski View citations (14)
1999
- Testing Convergence: A Panel Data Approach
Post-Print, HAL View citations (15)
See also Journal Article Testing Convergence: A Panel Data Approach, Annals of Economics and Statistics, GENES (1999) View citations (9) (1999)
1998
- La methode d'estimation des moindres carres modifies ou fully modified
Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1) View citations (1)
1997
- Taux d'actualisation public, distorsions fiscales et croissance
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
Journal Articles
2024
- Computational Reproducibility in Finance: Evidence from 1,000 Tests
The Review of Financial Studies, 2024, 37, (11), 3558-3593 View citations (2)
See also Working Paper Computational Reproducibility in Finance: Evidence from 1,000 Tests, HEC Research Papers Series (2022) (2022)
- Nonstandard Errors
Journal of Finance, 2024, 79, (3), 2339-2390 View citations (2)
See also Working Paper Nonstandard Errors, Post-Print (2024) View citations (2) (2024)
2022
- Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects
European Journal of Operational Research, 2022, 297, (3), 1178-1192 View citations (35)
See also Working Paper Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects, Post-Print (2022) View citations (45) (2022)
2021
- Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
Management Science, 2021, 67, (9), 5730-5754 View citations (7)
See also Working Paper Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures, Post-Print (2021) View citations (7) (2021)
2019
- Machine learning et nouvelles sources de données pour le scoring de crédit
Revue d'économie financière, 2019, N° 135, (3), 21-50 View citations (5)
See also Working Paper Machine Learning et nouvelles sources de données pour le scoring de crédit, Working Papers (2019) View citations (3) (2019)
- Pitfalls in systemic-risk scoring
Journal of Financial Intermediation, 2019, 38, (C), 19-44 View citations (24)
See also Working Paper Pitfalls in systemic-risk scoring, Post-Print (2019) View citations (24) (2019)
- The counterparty risk exposure of ETF investors
Journal of Banking & Finance, 2019, 102, (C), 215-230 View citations (3)
See also Working Paper The counterparty risk exposure of ETF investors, Post-Print (2019) View citations (3) (2019)
2018
- Loss functions for Loss Given Default model comparison
European Journal of Operational Research, 2018, 268, (1), 348-360 View citations (14)
2017
- CoMargin
Journal of Financial and Quantitative Analysis, 2017, 52, (5), 2183-2215
See also Working Paper CoMargin, Post-Print (2017) (2017)
- La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ?
Revue économique, 2017, 68, (6), 1033-1062
See also Working Paper La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ?, Post-Print (2017) (2017)
- Risk Measure Inference
Journal of Business & Economic Statistics, 2017, 35, (4), 499-512 View citations (9)
See also Working Paper Risk Measure Inference, Post-Print (2017) View citations (7) (2017)
- Where the Risks Lie: A Survey on Systemic Risk
Review of Finance, 2017, 21, (1), 109-152 View citations (251)
See also Working Paper Where the Risks Lie: A Survey on Systemic Risk, Post-Print (2017) View citations (184) (2017)
2016
- Do We Need High Frequency Data to Forecast Variances?
Annals of Economics and Statistics, 2016, (123-124), 135-174 View citations (2)
See also Working Paper Do We Need High Frequency Data to Forecast Variances?, Post-Print (2016) View citations (5) (2016)
- Forecasting High‐Frequency Risk Measures
Journal of Forecasting, 2016, 35, (3), 224-249
See also Working Paper Forecasting High-Frequency Risk Measures, Post-Print (2016) (2016)
2015
- A DARE for VaR
Finance, 2015, 36, (1), 7-38 View citations (4)
See also Working Paper A DARE for VaR, Post-Print (2015) View citations (4) (2015)
- Implied Risk Exposures
Review of Finance, 2015, 19, (6), 2183-2222 View citations (3)
See also Working Paper Implied Risk Exposures, Post-Print (2015) View citations (3) (2015)
2014
- Currency crisis early warning systems: Why they should be dynamic
International Journal of Forecasting, 2014, 30, (4), 1016-1029 View citations (31)
See also Working Paper Currency Crises Early Warning Systems: Why They Should Be Dynamic, Post-Print (2014) View citations (17) (2014)
2013
- Is public capital really productive? A methodological reappraisal
European Journal of Operational Research, 2013, 228, (1), 122-130 View citations (5)
See also Working Paper Is public capital really productive? A methodological reappraisal, Post-Print (2013) View citations (5) (2013)
- Network Effects and Infrastructure Productivity in Developing Countries
Oxford Bulletin of Economics and Statistics, 2013, 75, (6), 887-913 View citations (9)
See also Working Paper Network Effects and Infrastructure Productivity in Developing Countries, NCID Working Papers (2013) View citations (9) (2013)
- Testing Interval Forecasts: A GMM‐Based Approach
Journal of Forecasting, 2013, 32, (2), 97-110 View citations (2)
See also Working Paper Testing Interval Forecasts: a GMM-Based Approach, Post-Print (2013) View citations (2) (2013)
- The Risk Map: A new tool for validating risk models
Journal of Banking & Finance, 2013, 37, (10), 3843-3854 View citations (27)
See also Working Paper The Risk Map: A New Tool for Validating Risk Models, Working Papers (2012) View citations (2) (2012)
- Why don't banks lend to Egypt's private sector?
Economic Modelling, 2013, 33, (C), 347-356 View citations (5)
See also Working Paper Why don't banks lend to Egypt's private sector ?, Policy Research Working Paper Series (2012) View citations (3) (2012)
2012
- Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
Finance, 2012, 33, (1), 79-112 View citations (26)
See also Working Paper Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests, Working Papers (2012) View citations (26) (2012)
- Extreme Financial cycles
Revue d'économie politique, 2012, 122, (6), 823-831
See also Working Paper Extreme Financial Cycles, Working Papers (2012) (2012)
- How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
IMF Economic Review, 2012, 60, (1), 75-113 View citations (69)
See also Working Paper How to Evaluate an Early Warning System? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods, Post-Print (2012) View citations (58) (2012)
- Sampling error and double shrinkage estimation of minimum variance portfolios
Journal of Empirical Finance, 2012, 19, (4), 511-527 View citations (18)
See also Working Paper Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios, Post-Print (2012) View citations (14) (2012)
- Testing for Granger non-causality in heterogeneous panels
Economic Modelling, 2012, 29, (4), 1450-1460 View citations (1507)
See also Working Paper Testing for Granger Non-causality in Heterogeneous Panels, Post-Print (2012) View citations (1494) (2012)
2011
- Backtesting Value-at-Risk: A GMM Duration-Based Test
Journal of Financial Econometrics, 2011, 9, (2), 314-343 View citations (57)
See also Working Paper Backtesting Value-at-Risk: A GMM Duration-Based Test, LEO Working Papers / DR LEO (2009) View citations (7) (2009)
2010
- Are Public Investment Efficient in Creating Capital Stocks in Developing Countries?
Economics Bulletin, 2010, 30, (4), 3177-3187 View citations (12)
- Un MEDAF à plusieurs moments réalisés
Brussels Economic Review, 2010, 53, (3/4), 457-480 View citations (2)
See also Working Paper Un MEDAF à plusieurs moments réalisés, Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) (2010) View citations (2) (2010)
- What would Nelson and Plosser find had they used panel unit root tests?
Applied Economics, 2010, 42, (12), 1515-1531 View citations (33)
See also Working Paper What would Nelson and Plosser find had they used panel unit root tests?, Post-Print (2010) View citations (3) (2010)
2009
- Energy demand models: a threshold panel specification of the 'Kuznets curve'
Applied Economics Letters, 2009, 16, (12), 1241-1244 View citations (19)
See also Working Paper Energy demand models: a threshold panel specification of the 'Kuznets curve', Post-Print (2009) View citations (11) (2009)
2008
- The Feldstein-Horioka puzzle: A panel smooth transition regression approach
Economic Modelling, 2008, 25, (2), 284-299 View citations (143)
See also Working Paper The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach, Post-Print (2008) View citations (137) (2008)
- Une évaluation des procédures de Backtesting. « Tout va pour le mieux dans le meilleur des mondes »
Finance, 2008, 29, (1), 53-80 View citations (4)
See also Working Paper Une évaluation des procédures de Backtesting: Tout va pour le mieux dans le meilleur des mondes, Post-Print (2007) (2007)
2007
- Credit market disequilibrium in Poland: Can we find what we expect?: Non-stationarity and the short-side rule
Economic Systems, 2007, 31, (2), 157-183 View citations (17)
See also Working Paper Credit Market Disequilibrium in Poland: Can we find what we expect? Non stationarity and the Short Side Rule, Post-Print (2007) View citations (15) (2007)
- Un test de validité de la Value at Risk
Revue économique, 2007, 58, (3), 599-608 View citations (2)
See also Working Paper Un Test de Validité de la Value-at-Risk, Post-Print (2007) (2007)
- Une synthèse des tests de cointégration sur données de Panel
Economie & Prévision, 2007, n° 180-181, (4), 241-265 View citations (3)
Also in Économie et Prévision, 2007, 180, (4), 241-265 (2007) View citations (8)
See also Working Paper Une Synthèse des Tests de Cointégration sur Données de Panel, Post-Print (2007) View citations (9) (2007)
2005
- Downgrading in the first job: who and why?
Applied Economics Letters, 2005, 12, (4), 227-233
See also Working Paper Downgrading in the First Job: Who and Why, Post-Print (2005) (2005)
- Kamps, C.: The Dynamic Macroeconomic Effects of Public Capital. Theory and Evidence for OECD Countries
Journal of Economics, 2005, 86, (3), 308-312 View citations (1)
- Un test simple de l'hypothèse de non-causalité dans un modèle de panel hétérogène
Revue économique, 2005, 56, (3), 799-809 View citations (18)
See also Working Paper Un Test Simple de l'Hypothèse de Non Causalité dans un Modèle de Panel Hétérogène, Post-Print (2005) View citations (7) (2005)
- Une synthèse des tests de racine unitaire sur données de panel
Économie et Prévision, 2005, 169, (3), 253-294 View citations (27)
Also in Economie & Prévision, 2005, n° 169-170-171, (3), 253-294 (2005) View citations (18)
See also Working Paper Une Synthèse des Tests de Racine Unitaire sur Données de Panel, Post-Print (2006) View citations (36) (2006)
2001
- Estimating the contribution of public capital with times series production functions: a case of unreliable inference
Applied Economics Letters, 2001, 8, (2), 99-103 View citations (5)
1999
- La contribution du capital public à la productivité des facteurs privés: une estimation sur panel sectoriel pour dix pays de l'OCDE
Économie et Prévision, 1999, 137, (1), 49-65 View citations (1)
- Taux d'actualisation public, distorsions fiscales et croissance endogène
Annals of Economics and Statistics, 1999, (54), 173-201
- Testing Convergence: A Panel Data Approach
Annals of Economics and Statistics, 1999, (55-56), 411-427 View citations (9)
See also Working Paper Testing Convergence: A Panel Data Approach, Post-Print (1999) View citations (15) (1999)
1996
- Le partage de la valeur ajoutée dans le cycle
Économie et Prévision, 1996, 125, (4), 73-85 View citations (1)
Chapters
2013
- Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation
A chapter in VAR Models in Macroeconomics – New Developments and Applications: Essays in Honor of Christopher A. Sims, 2013, vol. 32, pp 395-427 View citations (1)
See also Working Paper Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation, HAL (2013) View citations (5) (2013)
2007
- Economic Development and Energy Intensity: A Panel Data Analysis
Palgrave Macmillan View citations (17)
See also Working Paper Economic Development and Energy Intensity: a Panel Data Analysis, HAL (2006) View citations (6) (2006)
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