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Details about Dominique Madeleine GUEGAN

Homepage:http://www.univ-paris1.fr/recherche/page-perso/page/?uid=dguegan/?uid=dguegan
Workplace:Centre d'Économie de la Sorbonne (Sorbonne Economic Centre), Université Paris 1 (Panthéon-Sorbonne) (University of Paris 1), (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)
Dipartimento di Economia (Department of Economics), Università Ca' Foscari Venezia (University Ca' Foscari Venice), (more information at EDIRC)

Access statistics for papers by Dominique Madeleine GUEGAN.

Last updated 2018-03-01. Update your information in the RePEc Author Service.

Short-id: pgu275


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Working Papers

2017

  1. Testing for Leverage Effects in the Returns of US Equities
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
  2. Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)

2014

  1. Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (6)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2014) Downloads View citations (6)
  2. Stress Testing Engineering: the real risk measurement?
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2014) Downloads View citations (3)
  3. Testing for Leverage Effect in Financial Returns
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (2)

2013

  1. A New Modelling Test: The Univariate MT-STAR Model
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (1)
  2. Comparing variable selection techniques for linear regression: LASSO and Autometrics
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (2)
  3. Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (9)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads View citations (11)
  4. Empirical Projected Copula Process and Conditional Independence An Extended Version
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2013) Downloads
  5. Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (28)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads View citations (23)

    See also Journal Article in The North American Journal of Economics and Finance (2013)
  6. Probability density of the wavelet coefficients of a noisy chaos
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads
  7. Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (1)
  8. Turning point chronology for the Euro-Zone: A Distance Plot Approach
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads View citations (1)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2013) Downloads View citations (1)
  9. Understanding Exchange Rates Dynamics
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (13)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads View citations (1)
  10. Using a time series approach to correct serial correlation in Operational Risk capital calculation
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2013) Downloads

2012

  1. A theoretical framework for trading experiments
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads
  2. Aggregation of Market Risks using Pair-Copulas
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
  3. Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne View citations (6)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2012) Downloads
  4. Alternative Modeling for Long Term Risk
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  5. An Autocorrelated Loss Distribution Approach: back to the time series
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne
  6. An Omnibus Test to Detect Time-Heterogeneity in Time Series
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads

    See also Journal Article in Computational Statistics (2013)
  7. Breaks or long memory behaviour: an empirical investigation
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (9)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads View citations (5)

    See also Journal Article in Physica A: Statistical Mechanics and its Applications (2012)
  8. Comparaison of Several Estimation Procedures for Long Term Behavior
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads View citations (1)
  9. Cross-Sectional Analysis through Rank-based Dynamic
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
  10. Cross-Sectional Analysis through Rank-based Dynamic Portfolios
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  11. Extreme values of random or chaotic discretization steps
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (6)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads View citations (6)
  12. Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011)
  13. On the Necessity of Five Risk Measures
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (1)

    See also Journal Article in Annals of Finance (2012)
  14. Operational risk: A Basel II++ step before Basel III
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads View citations (8)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads View citations (5)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) View citations (5)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) View citations (8)
  15. Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (21)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads View citations (6)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (4)

    See also Journal Article in Quantitative Finance (2012)
  16. Option pricing with discrete time jump processes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) View citations (4)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2012) Downloads

    See also Journal Article in Journal of Economic Dynamics and Control (2013)
  17. Viewing Risk Measures as information
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) Downloads

2011

  1. A mathematical resurgence of risk management: an extreme modeling of expert opinions
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads View citations (4)
  2. A test for a new modelling: The Univariate MT-STAR Model
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) View citations (1)
  3. An econometric Study for Vine Copulas
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (5)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (15)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads View citations (6)
  4. An efficient threshold choice for operational risk capital computation
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (11)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2011) Downloads View citations (11)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads
  5. 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 Downloads
  6. Portfolio Symmetry and Momentum
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (7)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads
    Working Papers, Department of Economics, University of Venice "Ca' Foscari" (2009) Downloads View citations (4)

    See also Journal Article in European Journal of Operational Research (2011)
  7. Tests of Structural Changes in Conditional Distributions with Unknown Changepoints
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2011) Downloads

2010

  1. A Cross-Sectional Performance Measure for Portfolio Management
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  2. A Note on fair Value and Illiquid Markets
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  3. A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  4. A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (3)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads View citations (3)

    See also Journal Article in Economics Bulletin (2010)
  5. A short note on option pricing with Lévy Processes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  6. Alternative methods for forecasting GDP
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads View citations (2)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads View citations (2)
  7. BL-GARCH model with elliptical distributed innovations
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (8)
  8. Change analysis of a dynamic copula for measuring dependence in multivariate financial data
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (9)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2006) Downloads View citations (4)
    Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1) (2006) Downloads View citations (6)

    See also Journal Article in Quantitative Finance (2010)
  9. Derivative Pricing and Hedging on Carbon Market
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  10. Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (3)
  11. GDP nowcasting with ragged-edge data: a semi-parametric modeling
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (12)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads

    See also Journal Article in Journal of Forecasting (2010)
  12. Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (2)
  13. Martingalized Historical approach for Option Pricing
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (15)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads

    See also Journal Article in Finance Research Letters (2010)
  14. Missing trader fraud on the emissions market
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (7)
  15. New Prospects on Vines
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (41)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads View citations (11)
  16. Note on new prospects on vines
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  17. Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  18. Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2010) Downloads
  19. Statistical evidence of tax fraud on the carbon allowances market
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads
  20. Testing Fractional Order of Long Memory Processes: A Monte Carlo Study
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads View citations (7)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) Downloads View citations (7)
  21. Testing unit roots and long range dependence of foreign exchange
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2010) Downloads

    See also Journal Article in Journal of Time Series Analysis (2011)
  22. Value at Risk Computation in a Non-Stationary Setting
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads

2009

  1. A Meta-Distribution for Non-Stationary Samples
    CREATES Research Papers, Department of Economics and Business Economics, Aarhus University Downloads
  2. A modified Panjer algorithm for operational risk capital calculations
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (18)
  3. 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 Downloads
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads
  4. An economic view of carbon allowances market
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads
  5. Chaos in Economics and Finance
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) Downloads
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads View citations (4)
  6. Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2009) Downloads
  7. Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (6)
    See also Journal Article in Frontiers in Finance and Economics (2009)
  8. Forecasting chaotic systems: The role of local Lyapunov exponents
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (4)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) Downloads View citations (6)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée (2007) Downloads View citations (2)
  9. Forecasting electricity spot market prices with a k-factor GIGARCH process
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (33)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads View citations (33)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) Downloads View citations (5)

    See also Journal Article in Applied Energy (2009)
  10. Local Lyapunov Exponents: A new way to predict chaotic systems
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (5)
  11. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (7)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2007) Downloads View citations (1)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) Downloads

    See also Journal Article in The European Journal of Finance (2009)
  12. The Multivariate k-Nearest Neighbor Model for Dependent Variables: One-Sided Estimation and Forecasting
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads View citations (2)
  13. Wavelet Method for Locally Stationary Seasonal Long Memory Processes
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2009) Downloads View citations (1)

2008

  1. Business surveys modelling with Seasonal-Cyclical Long Memory models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) Downloads View citations (1)
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads View citations (1)
    Working papers, Banque de France (2008) Downloads View citations (2)

    See also Journal Article in Economics Bulletin (2008)
  2. Changing-regime volatility: A fractionally integrated SETAR model
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (6)
    Also in Working Papers, HAL (2006) Downloads View citations (1)

    See also Journal Article in Applied Financial Economics (2008)
  3. Dynamic Analysis of the Insurance Linked Securities Index
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads
  4. Effect of noise filtering on predictions: on the routes of chaos
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    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) Downloads

    See also Journal Article in Brussels Economic Review (2010)
  5. Estimation of k-Factor Gigarch Process: A Monte Carlo Study
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    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads View citations (2)
  6. Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads View citations (2)
  7. Flexible time series models for subjective distribution estimation with monetary policy in view
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    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) Downloads

    See also Journal Article in Brussels Economic Review (2008)
  8. Fractional and seasonal filtering
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  9. Is it possible to discriminate between different switching regressions models? An empirical investigation
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (2)
  10. Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems
    Cahiers de recherche, HEC Montréal, Institut d'économie appliquée Downloads
  11. Non-stationarity and meta-distribution
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
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  12. Option Pricing under GARCH models with Generalized Hyperbolic distribution (II): Data and Results
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  13. Option Pricing under GARCH models with Generalized Hyperbolic innovations (I): Methodology
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    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads View citations (5)
  14. 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 Downloads View citations (7)
  15. Pricing bivariate option under GARCH processes with time-varying copula
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    Also in Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne (2008) Downloads View citations (6)
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2008) Downloads View citations (7)

    See also Journal Article in Insurance: Mathematics and Economics (2008)
  16. 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 Downloads View citations (3)
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  17. Towards an understanding approach of the insurance linked securities market
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2007

  1. A note on self-similarity for discrete time series
    Documents de travail du Centre d'Economie de la Sorbonne, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne Downloads
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  2. 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 Downloads View citations (6)
  3. Further evidence on the impact of economic news on interest rates
    MPRA Paper, University Library of Munich, Germany Downloads View citations (2)
    Also in Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL (2007) Downloads View citations (2)
  4. 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 Downloads View citations (1)
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  5. La persistance dans les marchés financiers
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (1)
  6. The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (3)
    See also Journal Article in Statistics & Probability Letters (2007)
  7. 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 Downloads View citations (5)
  8. 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 Downloads View citations (12)
    See also Journal Article in The IUP Journal of Applied Economics (2011)

2006

  1. An econometric specification of monetary policy dark art
    MPRA Paper, University Library of Munich, Germany Downloads View citations (1)
  2. CAN THE SUP LR TEST DISCRIMINATE BETWEEN DIFFERENT SWITCHING REGRESSIONS MODELS: APPLICATIONS TO THE U.S GNP AND THE US/UK EXCHANGE RATE?
    Working Papers ERMES, ERMES, University Paris 2 Downloads View citations (1)
  3. Fractional seasonality: Models and Application to Economic Activity in the Euro Area
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads View citations (9)
  4. Hedging tranches index products: illustration of model dependency
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads
  5. Real-time detection of the business cycle using SETAR models
    Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL Downloads

2005

  1. De-noising with wavelets method in chaotic time series: application in climatology, energy and finance
    Post-Print, HAL Downloads
  2. Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices
    Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1) Downloads
    Also in Post-Print, HAL (2005) Downloads
  3. Detection of the Industrial Business Cycle using SETAR models
    Post-Print, HAL Downloads View citations (4)
    Also in MPRA Paper, University Library of Munich, Germany (2005) Downloads View citations (4)

    See also Journal Article in Journal of Business Cycle Measurement and Analysis (2006)
  4. Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets
    Post-Print, HAL Downloads View citations (15)
    See also Journal Article in Quantitative Finance (2005)
  5. How can we define the concept of long memory ? An econometric survey
    Post-Print, HAL Downloads View citations (7)
    See also Journal Article in Econometric Reviews (2005)
  6. Long-memory dynamics in a SETAR model - Applications to stock markets
    Post-Print, HAL Downloads View citations (8)
    See also Journal Article in Journal of International Financial Markets, Institutions and Money (2005)
  7. Modelling squared returns using a SETAR model with long-memory dynamics
    Post-Print, HAL Downloads View citations (8)
    See also Journal Article in Economics Letters (2005)
  8. Multi-period conditional distribution functions for heteroscedastic models with applications to VaR
    Post-Print, HAL Downloads View citations (3)
  9. On the use of nearest neighbors in finance
    Post-Print, HAL Downloads View citations (6)
  10. Regime switching model: real or spurious long memory?
    Post-Print, HAL Downloads View citations (2)
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  11. tail behavior of a threshold autoregressive stochastic volatility model
    Post-Print, HAL Downloads

2004

  1. A k- factor GIGARCH process: estimation and application to electricity market spot prices
    Post-Print, HAL Downloads View citations (2)
  2. Another Characterization of Long Memory Behavior
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (2)
  3. Asymptotic Behavior for the Extreme Values of a Linear Regression Model
    Post-Print, HAL Downloads
  4. Estimating parameters for a k-GIGARCH process
    Post-Print, HAL Downloads View citations (7)
  5. How Can We Define the Long Memory Concept? An Econometric Survey
    Econometric Society 2004 Australasian Meetings, Econometric Society View citations (6)

2003

  1. A SETAR model with long-memory dynamics
    Econometrics, University Library of Munich, Germany Downloads View citations (6)
  2. A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates
    Post-Print, HAL Downloads View citations (9)
  3. Extreme Distribution of a Generalized Stochastic Volatility Model
    Post-Print, HAL Downloads
  4. Modelization and Nonparametric estimation for a dynamical system with noise
    Post-Print, HAL Downloads
    Also in Working Papers, Center for Research in Economics and Statistics (1998) Downloads View citations (1)

    See also Journal Article in Statistical Inference for Stochastic Processes (2003)

2002

  1. Extreme values of particular nonlinear processes
    Post-Print, HAL Downloads View citations (3)
  2. Une mesure de la persistance dans les indices boursiers
    Working papers, Banque de France Downloads View citations (2)
  3. What is the Best Approach to Measure the Interdependence between Different Markets?
    Working papers, Banque de France Downloads View citations (4)

1999

  1. Estimation and Applications of Gegenbauer Processes
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (4)
  2. 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

1998

  1. Analyse d’Intervention et Prévisions. Problématique et Application à des données de la RATP
    Working Papers, Center for Research in Economics and Statistics Downloads
  2. Prédiction of Chaotic Time Series in the Presence of Measurement Error: The Importance of Initial Conditions
    Working Papers, Center for Research in Economics and Statistics Downloads
  3. Statistical Estimation of the Embedding Dimension of a Dynamic System
    Working Papers, Center for Research in Economics and Statistics Downloads
  4. The Multivariate Threshold Model -An Alternative to Detect Breaks and Hidden Cycles on Real Data
    Working Papers, Center for Research in Economics and Statistics Downloads

1997

  1. Predictive Dimension: An Alternative Definition of the Embedding Dimension
    Working Papers, Center for Research in Economics and Statistics Downloads

Journal Articles

2013

  1. An omnibus test to detect time-heterogeneity in time series
    Computational Statistics, 2013, 28, (3), 1225-1239 Downloads
    See also Working Paper (2012)
  2. Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area
    Journal of Forecasting, 2013, 32, (7), 577-586 Downloads View citations (4)
  3. Nonlinear dynamics and recurrence plots for detecting financial crisis
    The North American Journal of Economics and Finance, 2013, 26, (C), 416-435 Downloads View citations (24)
    See also Working Paper (2013)
  4. Option pricing with discrete time jump processes
    Journal of Economic Dynamics and Control, 2013, 37, (12), 2417-2445 Downloads View citations (6)
    See also Working Paper (2012)

2012

  1. Breaks or long memory behavior: An empirical investigation
    Physica A: Statistical Mechanics and its Applications, 2012, 391, (22), 5712-5726 Downloads View citations (14)
    See also Working Paper (2012)
  2. On the necessity of five risk measures
    Annals of Finance, 2012, 8, (4), 533-552 Downloads View citations (10)
    See also Working Paper (2012)
  3. Option pricing for GARCH-type models with generalized hyperbolic innovations
    Quantitative Finance, 2012, 12, (7), 1079-1094 Downloads View citations (20)
    See also Working Paper (2012)

2011

  1. Portfolio symmetry and momentum
    European Journal of Operational Research, 2011, 214, (3), 759-767 Downloads View citations (7)
    See also Working Paper (2011)
  2. Testing unit roots and long range dependence of foreign exchange
    Journal of Time Series Analysis, 2011, 32, (6), 631-638 Downloads View citations (1)
    See also Working Paper (2010)
  3. Which is the Best Model for the US Inflation Rate: A Structural Change Model or a Long Memory Process?
    The IUP Journal of Applied Economics, 2011, X, (1), 5-25 View citations (7)
    See also Working Paper (2007)

2010

  1. A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques
    Economics Bulletin, 2010, 30, (1), 508-518 Downloads View citations (1)
    See also Working Paper (2010)
  2. Change analysis of a dynamic copula for measuring dependence in multivariate financial data
    Quantitative Finance, 2010, 10, (4), 421-430 Downloads View citations (9)
    See also Working Paper (2010)
  3. Effect of Noise Filtering on Predictions:on the Routes of Chaos
    Brussels Economic Review, 2010, 53, (2), 255-272 Downloads
    See also Working Paper (2008)
  4. GDP nowcasting with ragged-edge data: a semi-parametric modeling
    Journal of Forecasting, 2010, 29, (1-2), 186-199 Downloads View citations (15)
    See also Working Paper (2010)
  5. Martingalized historical approach for option pricing
    Finance Research Letters, 2010, 7, (1), 24-28 Downloads View citations (15)
    See also Working Paper (2010)

2009

  1. Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy
    Frontiers in Finance and Economics, 2009, 6, (1), 26-50 Downloads View citations (17)
    See also Working Paper (2009)
  2. Forecasting electricity spot market prices with a k-factor GIGARCH process
    Applied Energy, 2009, 86, (4), 505-510 Downloads View citations (32)
    See also Working Paper (2009)
  3. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market
    The European Journal of Finance, 2009, 15, (7-8), 777-795 Downloads View citations (4)
    See also Working Paper (2009)
  4. Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate
    The IUP Journal of Monetary Economics, 2009, VII, (3-4), 44-72

2008

  1. Business surveys modelling with Seasonal-Cyclical Long Memory models
    Economics Bulletin, 2008, 3, (29), 1-10 Downloads View citations (2)
    See also Working Paper (2008)
  2. Changing-regime volatility: a fractionally integrated SETAR model
    Applied Financial Economics, 2008, 18, (7), 519-526 Downloads View citations (5)
    See also Working Paper (2008)
  3. Flexible time series models for subjective distribution estimation with monetary policy in view
    Brussels Economic Review, 2008, 51, (1), 79-103 View citations (2)
    See also Working Paper (2008)
  4. Pricing bivariate option under GARCH processes with time-varying copula
    Insurance: Mathematics and Economics, 2008, 42, (3), 1095-1103 Downloads View citations (10)
    See also Working Paper (2008)

2007

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

2006

  1. Detection of the Industrial Business Cycle using SETAR Models
    Journal of Business Cycle Measurement and Analysis, 2006, 2005, (3), 353-371 Downloads View citations (5)
    See also Working Paper (2005)

2005

  1. Empirical estimation of tail dependence using copulas: application to Asian markets
    Quantitative Finance, 2005, 5, (5), 489-501 Downloads View citations (36)
    See also Working Paper (2005)
  2. How can we Define the Concept of Long Memory? An Econometric Survey
    Econometric Reviews, 2005, 24, (2), 113-149 Downloads View citations (5)
    See also Working Paper (2005)
  3. Long-memory dynamics in a SETAR model - applications to stock markets
    Journal of International Financial Markets, Institutions and Money, 2005, 15, (5), 391-406 Downloads View citations (7)
    See also Working Paper (2005)
  4. Modelling squared returns using a SETAR model with long-memory dynamics
    Economics Letters, 2005, 86, (2), 237-243 Downloads View citations (11)
    See also Working Paper (2005)
  5. Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data
    The European Journal of Finance, 2005, 11, (2), 137-150 Downloads View citations (6)

2003

  1. Modelization and Nonparametric Estimation for Dynamical Systems with Noise
    Statistical Inference for Stochastic Processes, 2003, 6, (3), 267-290 Downloads
    See also Working Paper (2003)

2001

  1. Forecasting with k-Factor Gegenbauer Processes: Theory and Applications
    Journal of Forecasting, 2001, 20, (8), 581-601 View citations (53)

1998

  1. A comparison of techniques of estimation in long-memory processes
    Computational Statistics & Data Analysis, 1998, 27, (1), 61-81 Downloads View citations (12)

1997

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

1996

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

1995

  1. Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system
    Statistics & Probability Letters, 1995, 25, (3), 201-212 Downloads View citations (6)

1994

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