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Details about Sessi Tokpavi

E-mail:
Homepage:http://economix.fr/fr/membres/?id=1029
Workplace:Laboratoire d'Économie d'Orléans (LEO) (Orleans Economic Laboratory), Faculté de droit, d'économie et de gestion (Faculty of Law, Economics and Management), Université d'Orléans (University of Orleans), (more information at EDIRC)

Access statistics for papers by Sessi Tokpavi.

Last updated 2019-12-19. Update your information in the RePEc Author Service.

Short-id: pto340


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Working Papers

2018

  1. Stocks and Bonds: Flight-to-Safety for Ever?
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (1)

2017

  1. Testing for Extreme Volatility Transmission with Realized Volatility Measures
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (3)

2014

  1. A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (17)
    See also Journal Article in Journal of Business & Economic Statistics (2016)

2013

  1. High-Frequency Risk Measures
    Working Papers, HAL Downloads
  2. Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads
  3. Testing for the Systemically Important Financial Institutions: a Conditional Approach
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads

2012

  1. Testing for crude oil markets globalization during extreme price movements
    EconomiX Working Papers, University of Paris Nanterre, EconomiX Downloads View citations (3)

2011

  1. Sampling error and double shrinkage estimation of minimum variance portfolios
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (7)
    See also Journal Article in Journal of Empirical Finance (2012)

2009

  1. 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 Downloads View citations (7)
    Also in Working Papers, HAL (2008) Downloads View citations (12)
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2008) Downloads View citations (12)

    See also Journal Article in Journal of Financial Econometrics (2011)
  2. The Americanization of European higher education and research
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) Downloads View citations (7)

2008

  1. Sélection dynamique de portefeuille dans un cadre Moyenne-VaR: une approche GARCH multivariée
    LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans

2007

  1. Irregularly Spaced Intraday Value at Risk (ISIVaR) Models: Forecasting and Predictive Abilities
    Working Papers, HAL Downloads View citations (1)
    Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2007) View citations (1)
  2. Une Evaluation des Procédures de Backtesting
    Working Papers, HAL Downloads View citations (6)
    Also in LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2007) Downloads

2006

  1. Backtesting VaR Accuracy: A New Simple Test
    Working Papers, HAL Downloads View citations (3)
  2. 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 Downloads View citations (2)

Journal Articles

2019

  1. Measuring network systemic risk contributions: A leave-one-out approach
    Journal of Economic Dynamics and Control, 2019, 100, (C), 86-114 Downloads View citations (5)

2016

  1. A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion
    Journal of Business & Economic Statistics, 2016, 34, (2), 240-253 Downloads View citations (12)
    See also Working Paper (2014)
  2. Forecasting High‐Frequency Risk Measures
    Journal of Forecasting, 2016, 35, (3), 224-249 Downloads

2015

  1. Commentaire sur l’article « Droits de contrôle versus droits pécuniaires, crise financière et vulnérabilité des banques européennes »
    Revue économique, 2015, 66, (3), 537-539 Downloads
  2. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
    European Journal of Operational Research, 2015, 244, (1), 289-299 Downloads View citations (16)

2013

  1. Testing for Granger causality in distribution tails: An application to oil markets integration
    Economic Modelling, 2013, 31, (C), 276-285 Downloads View citations (19)

2012

  1. Sampling error and double shrinkage estimation of minimum variance portfolios
    Journal of Empirical Finance, 2012, 19, (4), 511-527 Downloads View citations (10)
    See also Working Paper (2011)

2011

  1. Backtesting Value-at-Risk: A GMM Duration-Based Test
    Journal of Financial Econometrics, 2011, 9, (2), 314-343 Downloads View citations (46)
    See also Working Paper (2009)

2008

  1. Une évaluation des procédures de Backtesting. « Tout va pour le mieux dans le meilleur des mondes »
    Finance, 2008, 29, (1), 53-80 Downloads

2007

  1. Un test de validité de la Value at Risk
    Revue économique, 2007, 58, (3), 599-608 Downloads View citations (2)

Chapters

 
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