Details about Sessi Tokpavi

Access statistics for papers by Sessi Tokpavi.

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

Short-id: pto340

Working Papers

2018

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

2017

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

2014

3. A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion
   EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (17)
   See also Journal Article A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion, Journal of Business & Economic Statistics, Taylor & Francis Journals (2016) View citations (46) (2016)

2013

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

2012

7. Testing for crude oil markets globalization during extreme price movements
   EconomiX Working Papers, University of Paris Nanterre, EconomiX View citations (4)

2011

8. Sampling error and double shrinkage estimation of minimum variance portfolios
   Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) 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 (17) (2012)

2009

9. 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 Working Papers, HAL (2008) View citations (12)
   LEO Working Papers / DR LEO, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans (2008) View citations (14)
   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)
10. The Americanization of European higher education and research
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) View citations (7)

2008

11. 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

12. Irregularly Spaced Intraday Value at Risk (ISIVaR) Models: Forecasting and Predictive Abilities
    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 (2007) View citations (1)
13. 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)

2006

14. Backtesting VaR Accuracy: A New Simple Test
    Working Papers, HAL View citations (3)
15. 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)

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 View citations (24)

2016

2. A Nonparametric Test for Granger Causality in Distribution With Application to Financial Contagion
   Journal of Business & Economic Statistics, 2016, 34, (2), 240-253 View citations (46)
   See also Working Paper A Nonparametric Test for Granger-causality in Distribution with Application to Financial Contagion, EconomiX Working Papers (2014) View citations (17) (2014)
3. Forecasting High‐Frequency Risk Measures
   Journal of Forecasting, 2016, 35, (3), 224-249

2015

4. Commentaire sur l’article « Droits de contrôle versus droits pécuniaires, crise financière et vulnérabilité des banques européennes »
   Revue économique, 2015, 66, (3), 537-539
5. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach
   European Journal of Operational Research, 2015, 244, (1), 289-299 View citations (34)

2013

6. Testing for Granger causality in distribution tails: An application to oil markets integration
   Economic Modelling, 2013, 31, (C), 276-285 View citations (25)

2012

7. Sampling error and double shrinkage estimation of minimum variance portfolios
   Journal of Empirical Finance, 2012, 19, (4), 511-527 View citations (17)
   See also Working Paper Sampling error and double shrinkage estimation of minimum variance portfolios, Research Memorandum (2011) View citations (8) (2011)

2011

8. 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)

2008

9. 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)

2007

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