Guillaume Chevillon : Citation Profile


Are you Guillaume Chevillon?

ESSEC Business School (99% share)
Centre de Recherche en Économie et Statistique (CREST) (1% share)

6

H index

4

i10 index

289

Citations

RESEARCH PRODUCTION:

16

Articles

23

Papers

RESEARCH ACTIVITY:

   16 years (2004 - 2020). See details.
   Cites by year: 18
   Journals where Guillaume Chevillon has often published
   Relations with other researchers
   Recent citing documents: 25.    Total self citations: 13 (4.3 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch128
   Updated: 2022-06-22    RAS profile: 2022-02-09    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Hecq, Alain (4)

Laurent, Sébastien (4)

Mavroeidis, Sophocles (4)

Zhan, Zhaoguo (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Guillaume Chevillon.

Is cited by:

Marcellino, Massimiliano (37)

Schumacher, Christian (32)

Hendry, David (17)

Buncic, Daniel (10)

Castle, Jennifer (9)

Clements, Michael (8)

Ferrara, Laurent (8)

Hyndman, Rob (7)

Galimberti, Jaqueson (7)

Shamshirband, Shahaboddin (6)

Guérin, Pierre (6)

Cites to:

Hendry, David (41)

Phillips, Peter (20)

Clements, Michael (19)

Campbell, John (18)

Timmermann, Allan (13)

Aron, Janine (12)

muellbauer, john (12)

Watson, Mark (11)

Pesaran, M (11)

Shiller, Robert (11)

Galí, Jordi (10)

Main data


Where Guillaume Chevillon has published?


Journals with more than one article published# docs
Revue de l'OFCE3
International Journal of Forecasting3
Journal of Econometrics2

Working Papers Series with more than one paper published# docs
Working Papers / HAL4
Documents de Travail de l'OFCE / Observatoire Francais des Conjonctures Economiques (OFCE)3
Sciences Po publications / Sciences Po2
Post-Print / HAL2
Economics Series Working Papers / University of Oxford, Department of Economics2

Recent works citing Guillaume Chevillon (2021 and 2020)


YearTitle of citing document
2022Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02.

Full description at Econpapers || Download paper

2020Revisiting empirical studies on the liquidity effect: An identication-robust approach. (2020). Masson, Virginie ; Doko Tchatoka, Firmin ; Slinger, Lauren. In: School of Economics Working Papers. RePEc:adl:wpaper:2020-02.

Full description at Econpapers || Download paper

2020Granger Causality Testing in High-Dimensional VARs: a Post-Double-Selection Procedure. (2019). Smeekes, Stephan ; Margaritella, Luca ; Hecq, Alain. In: Papers. RePEc:arx:papers:1902.10991.

Full description at Econpapers || Download paper

2021The Macroeconomy as a Random Forest. (2020). Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2006.12724.

Full description at Econpapers || Download paper

2020How is Machine Learning Useful for Macroeconomic Forecasting?. (2020). Stevanovic, Dalibor ; Surprenant, St'Ephane ; Leroux, Maxime ; Coulombe, Philippe Goulet. In: Papers. RePEc:arx:papers:2008.12477.

Full description at Econpapers || Download paper

2021Using four different online media sources to forecast the crude oil price. (2021). Battistoni, E ; Colladon, Fronzetti A ; Elshendy, M ; Gloor, P A. In: Papers. RePEc:arx:papers:2105.09154.

Full description at Econpapers || Download paper

2022Two-step estimation in linear regressions with adaptive learning. (2022). Mayer, Alexander. In: Papers. RePEc:arx:papers:2204.05298.

Full description at Econpapers || Download paper

2021Initial Beliefs Uncertainty and Information Weighting in the Estimation of Models with Adaptive Learning. (2021). Galimberti, Jaqueson. In: Working Papers. RePEc:aut:wpaper:202101.

Full description at Econpapers || Download paper

2020Forecasting in the Presence of Instabilities: How Do We Know Whether Models Predict Well and How to Improve Them. (2020). Rossi, Barbara. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14472.

Full description at Econpapers || Download paper

2021Oil and the U.S. stock market: Implications for low carbon policies. (2021). Panagiotidis, Theodore ; Dergiades, Theologos ; Arampatzidis, Ioannis ; Kaufmann, Robert K. In: Energy Economics. RePEc:eee:eneeco:v:103:y:2021:i:c:s0140988321004564.

Full description at Econpapers || Download paper

2020Financial liquidity, geopolitics, and oil prices. (2020). Abdel-Latif, Hany ; El-Gamal, Mahmoud. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319302634.

Full description at Econpapers || Download paper

2020Automatic Interpretable Retail forecasting with promotional scenarios. (2020). Gurlek, Ragip ; Ali, Ozden Gur. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:4:p:1389-1406.

Full description at Econpapers || Download paper

2021Multivariate volatility forecasts for stock market indices. (2021). Croux, Christophe ; Rombouts, Jeroen ; Wilms, Ines. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:484-499.

Full description at Econpapers || Download paper

2021A Practical Guide to harnessing the HAR volatility model. (2021). Clements, Adam ; Daniel, . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:133:y:2021:i:c:s0378426621002417.

Full description at Econpapers || Download paper

2021A test for strict stationarity in a random coefficient autoregressive model of order 1. (2021). Trapani, Lorenzo. In: Statistics & Probability Letters. RePEc:eee:stapro:v:177:y:2021:i:c:s0167715221001267.

Full description at Econpapers || Download paper

2021Air Pollution Prediction Using an Ensemble of Dynamic Transfer Models for Multivariate Time Series. (2021). Choi, Dongguen ; Kong, Taewoon ; Lee, Kichun. In: Sustainability. RePEc:gam:jsusta:v:13:y:2021:i:3:p:1367-:d:488684.

Full description at Econpapers || Download paper

2020.

Full description at Econpapers || Download paper

2021Oil and the U.S. Stock Market: Implications for Low Carbon Policies. (2021). Panagiotidis, Theodore ; Kaufmann, Robert ; Dergiades, Theologos ; Arampatzidis, Ioannis. In: Working Paper series. RePEc:rim:rimwps:21-19.

Full description at Econpapers || Download paper

2021Reduced Rank Regression Models in Economics and Finance. (2021). Hecq, Alain ; Cubadda, Gianluca. In: CEIS Research Paper. RePEc:rtv:ceisrp:525.

Full description at Econpapers || Download paper

2021Assessing Dynamism of Crude Oil Demand in Middle-Income Countries of South Asia: A Panel Data Investigation. (2021). Kumar, Suresh D ; Kautish, Pradeep ; Sharma, Rajesh. In: Global Business Review. RePEc:sae:globus:v:22:y:2021:i:1:p:169-183.

Full description at Econpapers || Download paper

2020The role of temporal dependence in factor selection and forecasting oil prices. (2020). Mjelde, James W ; Pourahmadi, Mohsen ; Binder, Kyle E. In: Empirical Economics. RePEc:spr:empeco:v:58:y:2020:i:3:d:10.1007_s00181-018-1574-9.

Full description at Econpapers || Download paper

2021The robustness of forecast combination in unstable environments: a Monte Carlo study of advanced algorithms. (2021). Zhao, Yongchen. In: Empirical Economics. RePEc:spr:empeco:v:61:y:2021:i:1:d:10.1007_s00181-020-01864-w.

Full description at Econpapers || Download paper

2020Robustness of Forecast Combination in Unstable Environment: A Monte Carlo Study of Advanced Algorithms. (2015). Zhao, Yongchen. In: Working Papers. RePEc:tow:wpaper:2015-04.

Full description at Econpapers || Download paper

2021Forecasting in the presence of instabilities: How do we know whether models predict well and how to improve them. (2019). Rossi, Barbara. In: Economics Working Papers. RePEc:upf:upfgen:1711.

Full description at Econpapers || Download paper

2021Local Projection Inference Is Simpler and More Robust Than You Think. (2021). Plagborgmoller, Mikkel ; Montiel, Jose Luis. In: Econometrica. RePEc:wly:emetrp:v:89:y:2021:i:4:p:1789-1823.

Full description at Econpapers || Download paper

Works by Guillaume Chevillon:


YearTitleTypeCited
2018Generating Univariate Fractional Integration within a Large VAR(1) In: AMSE Working Papers.
[Full Text][Citation analysis]
paper5
2018Generating univariate fractional integration within a large VAR(1).(2018) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2018Generating univariate fractional integration within a large VAR(1).(2018) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2018Generating Univariate Fractional Integration within a Large VAR(1).(2018) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
paper
2007DIRECT MULTI?STEP ESTIMATION AND FORECASTING In: Journal of Economic Surveys.
[Full Text][Citation analysis]
article99
2005Direct multi-step estimation and forecasting.(2005) In: Documents de Travail de l'OFCE.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 99
paper
2005Savoir, information et anticipations en macroéconomie In: Revue de l'OFCE.
[Full Text][Citation analysis]
article0
2005Analyse économétrique et compréhension des erreurs de prévision In: Revue de l'OFCE.
[Full Text][Citation analysis]
article0
2006Limpact du taux de change sur le tourisme en France In: Revue de l'OFCE.
[Full Text][Citation analysis]
article2
2006L’impact du taux de change sur le tourisme en France.(2006) In: Sciences Po publications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
2009Stratégies de vote en AG face aux résolutions externes In: Revue française de gestion.
[Full Text][Citation analysis]
article2
2020ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS In: Econometric Theory.
[Full Text][Citation analysis]
article1
2007Physical Market Determinants of the Price of Crude Oil and the Market Premium In: ESSEC Working Papers.
[Full Text][Citation analysis]
paper42
2009Physical market determinants of the price of crude oil and the market premium.(2009) In: Energy Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 42
article
2011Learning generates Long Memory In: ESSEC Working Papers.
[Full Text][Citation analysis]
paper9
2013Learning generates Long Memory.(2013) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2013Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model In: ESSEC Working Papers.
[Full Text][Citation analysis]
paper6
2013Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
paper
2013Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming In: ESSEC Working Papers.
[Full Text][Citation analysis]
paper0
2013Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Robust cointegration testing in the presence of weak trends, with an application to the human origin of global warming.(2017) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence In: ESSEC Working Papers.
[Full Text][Citation analysis]
paper1
2015Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.(2015) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2015Long memory through marginalization of large systems and hidden cross-section dependence.(2015) In: Research Memorandum.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016Robust inference in structural VARs with long-run restrictions In: ESSEC Working Papers.
[Full Text][Citation analysis]
paper3
2017Robustness of Multistep Forecasts and Predictive Regressions at Intermediate and Long Horizons In: ESSEC Working Papers.
[Full Text][Citation analysis]
paper3
2018Perpetual learning and apparent long memory In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article2
2017Learning can generate long memory In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
2005Non-parametric direct multi-step estimation for forecasting economic processes In: International Journal of Forecasting.
[Full Text][Citation analysis]
article69
2004Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes.(2004) In: Economics Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
2004Non-Parametric Direct Multi-step Estimation for Forecasting Economic Processes.(2004) In: Economics Series Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 69
paper
2009Multi-step forecasting in emerging economies: An investigation of the South African GDP In: International Journal of Forecasting.
[Full Text][Citation analysis]
article2
2016Multistep forecasting in the presence of location shifts In: International Journal of Forecasting.
[Full Text][Citation analysis]
article6
2010Inference in models with adaptive learning In: Journal of Monetary Economics.
[Full Text][Citation analysis]
article29
2005Économétrie de la prévision In: Documents de Travail de l'OFCE.
[Full Text][Citation analysis]
paper1
2005Impact de l’appréciation de l’euro sur le secteur du tourisme In: Documents de Travail de l'OFCE.
[Full Text][Citation analysis]
paper0
2005Impact de lappréciation de leuro sur le secteur du tourisme.(2005) In: Sciences Po publications.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2020Probabilistic forecasting of bubbles and flash crashes In: Econometrics Journal.
[Full Text][Citation analysis]
article0
2006Multi-step Forecasting in Unstable Economies: Robustness Issues in the Presence of Location Shifts In: Economics Series Working Papers.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 30 2022. Contact: CitEc Team