Details about Gilles DE TRUCHIS

Access statistics for papers by Gilles DE TRUCHIS.

Last updated 2025-03-15. Update your information in the RePEc Author Service.

Short-id: pde653

Working Papers

2025

1. Assessing volatility persistence in fractional Heston models with self-exciting jumps
   Post-Print, HAL
   See also Journal Article Assessing volatility persistence in fractional Heston models with self-exciting jumps, Econometric Reviews, Taylor & Francis Journals (2025) (2025)

2024

2. The European Renewable Energy Sector in Calm and Turmoil Periods: The Key Role of Sovereign Risk
   Post-Print, HAL
   Also in CEE-M Working Papers, CEE-M, Universtiy of Montpellier, CNRS, INRA, Montpellier SupAgro (2023)
   Working Papers, HAL (2023)
   Working Papers, HAL (2023)
   See also Journal Article The European Renewable Energy Sector in Calm and Turmoil Periods: The Key Role of Sovereign Risk, The Energy Journal (2024) (2024)

2019

3. Local Whittle Analysis of Stationary Unbalanced Fractional Cointegration Systems
   Working Papers, HAL
   Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2019)
4. Narrow-band Weighted Nonlinear Least Squares Estimation of Unbalanced Cointegration Systems
   EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (2)
   Also in Working Papers, HAL (2019) View citations (1)

2017

5. On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning
   Post-Print, HAL View citations (2)
   Also in Post-Print, HAL (2017)
   See also Journal Article On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning, Journal of International Financial Markets, Institutions and Money, Elsevier (2017) View citations (2) (2017)
6. Testing for Extreme Volatility Transmission with Realized Volatility Measures
   Working Papers, HAL
   Also in EconomiX Working Papers, University of Paris Nanterre, EconomiX (2017) View citations (3)

2016

7. Long-Run Comovements in East Asian Stock Market Volatility
   Post-Print, HAL View citations (4)
   See also Journal Article Long-Run Comovements in East Asian Stock Market Volatility, Open Economies Review, Springer (2016) View citations (4) (2016)
8. On the risk comovements between the crude oil market and U.S. dollar exchange rates
   Post-Print, HAL View citations (17)
   Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2014) View citations (6)
   Working Papers, HAL (2014) View citations (24)
   Working Papers, Department of Research, Ipag Business School (2014) View citations (3)
   See also Journal Article On the risk comovements between the crude oil market and U.S. dollar exchange rates, Economic Modelling, Elsevier (2016) View citations (24) (2016)
9. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities
   Post-Print, HAL
   Also in Post-Print, HAL (2015)
   See also Journal Article Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities, Computational Economics, Springer (2016) (2016)

2014

10. Analyzing Financial Integration in East Asia through Fractional Cointegration in Volatilities
    Working Papers, Department of Research, Ipag Business School View citations (2)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2013)
    Working Papers, HAL (2013)
11. On the risk dependence between crude oil market and U.S. dollar exchange rates
    Post-Print, HAL
12. Shift-Volatility Transmission in East Asian Equity Markets
    AMSE Working Papers, Aix-Marseille School of Economics, France View citations (2)
    Also in Working Papers, HAL (2013)
13. Shift-volatility transmission in East Asian equity markets: new indicators
    Post-Print, HAL View citations (4)
14. Unbalanced Fractional Cointegration and the No-Arbitrage Condition on Commodity Markets
    Working Papers, HAL
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2014)

2013

15. Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue
    Post-Print, HAL View citations (6)
    Also in Working Papers, HAL (2012) View citations (3)
    AMSE Working Papers, Aix-Marseille School of Economics, France (2012) View citations (5)
    See also Journal Article Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue, Economic Modelling, Elsevier (2013) View citations (8) (2013)
16. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems
    AMSE Working Papers, Aix-Marseille School of Economics, France
    Also in Working Papers, HAL (2013)
17. South East Asian monetary integration: new evidences from fractional cointegration of RER
    Post-Print, HAL View citations (4)
18. Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates
    Post-Print, HAL View citations (11)
    Also in AMSE Working Papers, Aix-Marseille School of Economics, France (2012)
    Working Papers, HAL (2012)
    William Davidson Institute Working Papers Series, William Davidson Institute at the University of Michigan (2012) View citations (2)
    See also Journal Article Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates, Journal of International Financial Markets, Institutions and Money, Elsevier (2013) View citations (12) (2013)

2012

19. Estimation and Testing for Fractional Cointegration
    AMSE Working Papers, Aix-Marseille School of Economics, France View citations (2)
    Also in Working Papers, HAL (2012) View citations (2)

Journal Articles

2025

1. Assessing volatility persistence in fractional Heston models with self-exciting jumps
   Econometric Reviews, 2025, 44, (3), 275-311
   See also Working Paper Assessing volatility persistence in fractional Heston models with self-exciting jumps, Post-Print (2025) (2025)

2024

2. The European Renewable Energy Sector in Calm and Turmoil Periods: The Key Role of Sovereign Risk
   The Energy Journal, 2024, 45, (5), 65-89
   See also Working Paper The European Renewable Energy Sector in Calm and Turmoil Periods: The Key Role of Sovereign Risk, Post-Print (2024) (2024)

2017

3. On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning
   Journal of International Financial Markets, Institutions and Money, 2017, 48, (C), 82-98 View citations (2)
   See also Working Paper On exchange rate comovements: New evidence from a Taylor rule fundamentals model with adaptive learning, Post-Print (2017) View citations (2) (2017)

2016

4. Long-Run Comovements in East Asian Stock Market Volatility
   Open Economies Review, 2016, 27, (5), 969-986 View citations (4)
   See also Working Paper Long-Run Comovements in East Asian Stock Market Volatility, Post-Print (2016) View citations (4) (2016)
5. On the risk comovements between the crude oil market and U.S. dollar exchange rates
   Economic Modelling, 2016, 52, (PA), 206-215 View citations (24)
   See also Working Paper On the risk comovements between the crude oil market and U.S. dollar exchange rates, Post-Print (2016) View citations (17) (2016)
6. Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities
   Computational Economics, 2016, 48, (1), 83-104
   See also Working Paper Optimal Estimation Strategies for Bivariate Fractional Cointegration Systems and the Co-persistence Analysis of Stock Market Realized Volatilities, Post-Print (2016) (2016)

2013

7. Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue
   Economic Modelling, 2013, 34, (C), 98-105 View citations (8)
   See also Working Paper Approximate Whittle analysis of fractional cointegration and the stock market synchronization issue, Post-Print (2013) View citations (6) (2013)
8. Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates
   Journal of International Financial Markets, Institutions and Money, 2013, 26, (C), 394-412 View citations (12)
   See also Working Paper Southeast Asian monetary integration: New evidences from fractional cointegration of real exchange rates, Post-Print (2013) View citations (11) (2013)