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: 16.    Total self citations: 13 (4.3 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pch128
   Updated: 2022-08-13    RAS profile: 2022-02-09    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Laurent, Sébastien (4)

Hecq, Alain (4)

Mavroeidis, Sophocles (3)

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)

Ferrara, Laurent (8)

Clements, Michael (8)

Hyndman, Rob (7)

Galimberti, Jaqueson (7)

González-Molano, Eliana (6)

Grajales-Olarte, Anderson (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)

Gertler, Mark (10)

Main data


Where Guillaume Chevillon has published?


Journals with more than one article published# docs
International Journal of Forecasting3
Revue de l'OFCE3
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
Post-Print / HAL2
Economics Series Working Papers / University of Oxford, Department of Economics2
Sciences Po publications / Sciences Po2

Recent works citing Guillaume Chevillon (2022 and 2021)


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

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

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

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

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

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

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

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 August, 1st 2022. Contact: CitEc Team