Dominique Madeleine GUEGAN : Citation Profile


Are you Dominique Madeleine GUEGAN?

Université Paris 1 (Panthéon-Sorbonne) (90% share)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (5% share)
Università Ca' Foscari Venezia (5% share)

12

H index

14

i10 index

462

Citations

RESEARCH PRODUCTION:

36

Articles

238

Papers

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 20
   Journals where Dominique Madeleine GUEGAN has often published
   Relations with other researchers
   Recent citing documents: 57.    Total self citations: 75 (13.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu275
   Updated: 2019-10-15    RAS profile: 2018-03-01    
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Relations with other researchers


Works with:

Billio, Monica (11)

Addo, Peter Martey (10)

Lalaharison, Hanjarivo (3)

Ielpo, Florian (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Dominique Madeleine GUEGAN.

Is cited by:

Charfeddine, Lanouar (16)

Gil-Alana, Luis (15)

Ielpo, Florian (15)

Addo, Peter Martey (12)

Souza, Leonardo (10)

PEGUIN-FEISSOLLE, Anne (8)

Stentoft, Lars (8)

Dufrénot, Gilles (8)

GUPTA, RANGAN (7)

Sibbertsen, Philipp (7)

Boubaker, Heni (7)

Cites to:

Granger, Clive (30)

Engle, Robert (27)

Ferrara, Laurent (18)

Ielpo, Florian (18)

Billio, Monica (17)

Bollerslev, Tim (16)

Teräsvirta, Timo (15)

Hamilton, James (13)

Krolzig, Hans-Martin (13)

Gertler, Mark (12)

Franses, Philip Hans (12)

Main data


Where Dominique Madeleine GUEGAN has published?


Journals with more than one article published# docs
Statistics & Probability Letters4
Quantitative Finance3
The European Journal of Finance3
Brussels Economic Review2
Journal of Forecasting2
Economics Bulletin2

Working Papers Series with more than one paper published# docs
Universit Paris1 Panthon-Sorbonne (Post-Print and Working Papers) / HAL114
Documents de travail du Centre d'Economie de la Sorbonne / Universit Panthon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne81
Post-Print / HAL18
Working Papers / Center for Research in Economics and Statistics7
MPRA Paper / University Library of Munich, Germany3
Cahiers de la Maison des Sciences Economiques / Universit Panthon-Sorbonne (Paris 1)3
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Dominique Madeleine GUEGAN (2018 and 2017)


YearTitle of citing document
2018Multivariate Geometric Expectiles. (2018). Herrmann, Klaus ; Mailhot, Melina ; Hofert, Marius. In: Papers. RePEc:arx:papers:1704.01503.

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2018Using published bid/ask curves to error dress spot electricity price forecasts. (2018). Steinbakk, Gunnhildur H ; Oigaard, Tor Arne ; Loland, Anders ; Huseby, Ragnar Bang ; Lenkoski, Alex. In: Papers. RePEc:arx:papers:1812.02433.

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2019Investigating the effect of competitiveness power in estimating the average weighted price in electricity market. (2019). Rashid, Tarik A ; Rostamni, Naser. In: Papers. RePEc:arx:papers:1907.11984.

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2019Dynamic Dependence Modeling in financial time series. (2019). Aivaliotis, Georgios ; Liu, Haiyan ; Dou, Yali. In: Papers. RePEc:arx:papers:1908.05130.

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2019Modelling Crypto Asset Price Dynamics, Optimal Crypto Portfolio, and Crypto Option Valuation. (2019). Fabozzi, Frank J ; Rache, Svetlozar T ; Hu, Yuan. In: Papers. RePEc:arx:papers:1908.05419.

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2018Detecting exchange rate contagion using copula functions. (2018). Melo-Velandia, Luis ; Gomez-Gonzalez, Jose ; Cubillos-Rocha, Juan Sebastian. In: Borradores de Economia. RePEc:bdr:borrec:1047.

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2017Residential investment and recession predictability. (2017). Herstad, Eyo ; Anundsen, Andre ; Aastveit, Knut Are. In: Working Papers. RePEc:bny:wpaper:0057.

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2018A Generalized ARFIMA Model with Smooth Transition Fractional Integration Parameter. (2018). Heni, Boubaker. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:10:y:2018:i:1:p:20:n:1.

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2018Forecasting day-ahead electricity prices in Europe: The importance of considering market integration. (2018). Lago, Jesus ; de Schutter, Bart ; Vrancx, Peter ; de Ridder, Fjo. In: Applied Energy. RePEc:eee:appene:v:211:y:2018:i:c:p:890-903.

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2018Forecasting spot electricity prices: Deep learning approaches and empirical comparison of traditional algorithms. (2018). Lago, Jesus ; de Schutter, Bart ; de Ridder, Fjo. In: Applied Energy. RePEc:eee:appene:v:221:y:2018:i:c:p:386-405.

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2018Short term load forecasting based on phase space reconstruction algorithm and bi-square kernel regression model. (2018). Fan, Guo-Feng ; Hong, Wei-Chiang ; Peng, Li-Ling. In: Applied Energy. RePEc:eee:appene:v:224:y:2018:i:c:p:13-33.

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2019When panic makes you blind: A chaotic route to systemic risk. (2019). Marmi, Stefano ; Lillo, Fabrizio ; Mazzarisi, Piero. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:100:y:2019:i:c:p:176-199.

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2017Recurrence plots analysis of the CNY exchange markets based on phase space reconstruction. (2017). Yao, Can-Zhong ; Lin, Qing-Wen . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:584-596.

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2019Detecting exchange rate contagion using copula functions. (2019). Gomez-Gonzalez, Jose ; Cubillos-Rocha, Juan ; Melo-Velandia, Luis F. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:13-22.

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2018Stationarity and functional central limit theorem for ARCH(∞) models. (2018). Lee, Oesook . In: Economics Letters. RePEc:eee:ecolet:v:162:y:2018:i:c:p:107-111.

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2019Model order selection in periodic long memory models. (2019). Leschinski, Christian ; Sibbertsen, Philipp. In: Econometrics and Statistics. RePEc:eee:ecosta:v:9:y:2019:i:c:p:78-94.

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2018Comparison of the multicriteria decision-making methods for equity portfolio selection: The U.S. evidence. (2018). Pätäri, Eero ; Yeomans, Julian S ; Luukka, Pasi ; Karell, Ville ; Patari, Eero. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:2:p:655-672.

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2018Testing for leverage effects in the returns of US equities. (2018). Chorro, Christophe ; Lalaharison, Hanjarivo ; Ielpo, Florian ; Guegan, Dominique. In: Journal of Empirical Finance. RePEc:eee:empfin:v:48:y:2018:i:c:p:290-306.

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2017The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model. (2017). Charfeddine, Lanouar. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:355-374.

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2018Detecting the impact of fundamentals and regulatory reforms on the Greek wholesale electricity market using a SARMAX/GARCH model. (2018). Papaioannou, George P ; Dramountanis, Anargyros ; Dagoumas, Athanasios S ; Dikaiakos, Christos. In: Energy. RePEc:eee:energy:v:142:y:2018:i:c:p:1083-1103.

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2018Forecasting spikes in electricity return innovations. (2018). Tafakori, Laleh ; Alavifard, Farzad ; Pourkhanali, Armin. In: Energy. RePEc:eee:energy:v:150:y:2018:i:c:p:508-526.

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2018New evidence on sovereign to corporate credit rating spill-overs. (2018). faff, robert ; Bissoondoyal-Bheenick, Emawtee ; Hill, Paula. In: International Review of Financial Analysis. RePEc:eee:finana:v:55:y:2018:i:c:p:209-225.

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2019Are shocks on the returns and volatility of cryptocurrencies really persistent?. (2019). Maouchi, Youcef ; Charfeddine, Lanouar. In: Finance Research Letters. RePEc:eee:finlet:v:28:y:2019:i:c:p:423-430.

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2017Inflation targeting and inflation persistence: New evidence from fractional integration and cointegration. (2017). Miller, Stephen ; Canarella, Giorgio. In: Journal of Economics and Business. RePEc:eee:jebusi:v:92:y:2017:i:c:p:45-62.

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2017Modeling the multivariate dynamic dependence structure of commodity futures portfolios. (2017). Paraschiv, Florentina ; Erik, Tom ; Fuss, Roland ; ROLAND FSS, ; Aepli, Matthias D. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:6:y:2017:i:c:p:66-87.

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2017Price co-movement and the crack spread in the US futures markets. (2017). Grigoriadis, Vasilis ; Fousekis, Panos. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:7:y:2017:i:c:p:57-71.

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2017Estimation of time-dependent Hurst exponents with variational smoothing and application to forecasting foreign exchange rates. (2017). Garcin, Matthieu. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:483:y:2017:i:c:p:462-479.

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2018Time-varying efficiency of developed and emerging bond markets: Evidence from long-spans of historical data. (2018). GUPTA, RANGAN ; Charfeddine, Lanouar ; Aye, Goodness C ; ben Khediri, Karim. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:505:y:2018:i:c:p:632-647.

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2018Forecasting methods in energy planning models. (2018). Debnath, Kumar Biswajit ; Mourshed, Monjur. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:88:y:2018:i:c:p:297-325.

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2017Investigating the leverage effect in commodity markets with a recursive estimation approach. (2017). Ielpo, Florian ; Chevallier, Julien. In: Research in International Business and Finance. RePEc:eee:riibaf:v:39:y:2017:i:pb:p:763-778.

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2019The forward premium anomaly in the energy futures markets: A time-varying approach. (2019). Charfeddine, Lanouar ; Mrabet, Zouhair ; ben Khediri, Karim. In: Research in International Business and Finance. RePEc:eee:riibaf:v:47:y:2019:i:c:p:600-615.

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2019Correlation extrapolated. (2019). Maugis, Pierre-Andre G. In: Statistics & Probability Letters. RePEc:eee:stapro:v:145:y:2019:i:c:p:89-95.

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2018Cointegrated Dynamics for A Generalized Long Memory Process. (2018). McAleer, Michael ; Asai, Manabu ; Allen, David ; Peiris, S. In: Econometric Institute Research Papers. RePEc:ems:eureir:110018.

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2018A ‘New Modesty’? Level Shifts in Survey Data and the Decreasing Trend of ‘Normal’ Growth. (2018). Marc, Bertrand ; Gayer, Christian . In: European Economy - Discussion Papers 2015 -. RePEc:euf:dispap:083.

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2017Macroeconomic Forecasting in Times of Crises. (2017). Guerron, Pablo ; Zhong, Molin ; Guerron-Quintana, Pablo. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-18.

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2018A novel multivariate risk measure: the Kendall VaR. (2018). Garcin, Matthieu ; Hassani, Bertrand ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01467857.

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2018Nonparametric forecasting of multivariate probability density functions. (2018). Guegan, Dominique ; Iacopini, Matteo. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01821815.

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2017Long Memory, Breaks, and Trends: On the Sources of Persistence in Inflation Rates. (2017). Leschinski, Christian ; Rinke, Saskia ; Busch, Marie. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-584.

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2019A Nonlinear Optimal Control Approach to Stabilization of Business Cycles of Finance Agents. (2019). Ghosh, T ; Siano, P ; Rigatos, G. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:3:d:10.1007_s10614-017-9785-2.

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2019Predicting Loss Distributions for Small-Size Defaulted-Debt Portfolios Using a Convolution Technique that Allows Probability Masses to Occur at Boundary Points. (2019). Hwang, Ruey-Ching ; Chu, Chih-Kang. In: Journal of Financial Services Research. RePEc:kap:jfsres:v:56:y:2019:i:1:d:10.1007_s10693-018-0289-6.

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2018GARCH option pricing models with Meixner innovations. (2018). Fengler, Matthias ; Melnikov, Alexander. In: Review of Derivatives Research. RePEc:kap:revdev:v:21:y:2018:i:3:d:10.1007_s11147-017-9141-7.

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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Lalaharison, Hanjarivo ; Ielpo, Florian ; Chorro, Christophe ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:14022r.

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2017A novel multivariate risk measure: the Kendall VaR. (2017). Hassani, Bertrand ; Guegan, Dominique ; Garcin, Matthieu. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17008.

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2018A novel multivariate risk measure: the Kendall VaR. (2018). Garcin, Matthieu ; Hassani, Bertrand ; Guegan, Dominique. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17008r.

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2019.

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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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2018Testing Fractional Unit Roots with Non-linear Smooth Break Approximations using Fourier functions. (2018). YAYA, OLAOLUWA ; Gil-Alana, Luis A. In: MPRA Paper. RePEc:pra:mprapa:90516.

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2018Modelling Foreign Exchange Realized Volatility Using High Frequency Data: Long Memory versus Structural Breaks. (2018). ben Maatoug, Abderrazak ; Fatnassi, Ibrahim ; Davidson, Russell ; Lamouchi, Rim. In: Central European Journal of Economic Modelling and Econometrics. RePEc:psc:journl:v:10:y:2018:i:1:p:1-25.

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2017Computation of Operational Risk for Financial Institutions. (2017). Chung, Ming-Tao ; Chi, Yan-Ping ; Hsieh, Ming-Hua. In: Journal for Economic Forecasting. RePEc:rjr:romjef:v::y:2017:i:3:p:77-87.

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2018Multiresolution analysis of S&P500 time series. (2018). Kili, Deniz Kenan ; Uur, Omur. In: Annals of Operations Research. RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2215-3.

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2017The role of indicator selection in nowcasting euro-area GDP in pseudo-real time. (2017). Golinelli, Roberto ; Pappalardo, Carmine ; Girardi, Alessandro. In: Empirical Economics. RePEc:spr:empeco:v:53:y:2017:i:1:d:10.1007_s00181-016-1151-z.

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2017A new time-varying optimal copula model identifying the dependence across markets. (2017). Ji, Qiang ; Fan, Ying ; Liu, Bing-Yue. In: Quantitative Finance. RePEc:taf:quantf:v:17:y:2017:i:3:p:437-453.

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2018Cointegrated Dynamics for A Generalized Long Memory Process: An Application to Interest Rates. (2018). McAleer, Michael ; Allen, David ; Peiris, Shelton ; Asai, Manabu. In: Documentos de Trabajo del ICAE. RePEc:ucm:doicae:1822.

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2017GARCH option pricing models with Meixner innovations. (2017). Fengler, Matthias ; Melnikov, Alexander. In: Economics Working Paper Series. RePEc:usg:econwp:2017:02.

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2017Empirical Performance of GARCH Models with Heavy-tailed Innovations. (2017). Guo, Zi-Yi. In: EconStor Preprints. RePEc:zbw:esprep:167626.

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2017New concepts of symmetry for copulas. (2017). Mangold, Benedikt . In: FAU Discussion Papers in Economics. RePEc:zbw:iwqwdp:062017.

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2017Decision Making Mechanisms at University. (2017). Panova, Anna. In: Economic Policy. RePEc:rnp:ecopol:ep1716.

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Works by Dominique Madeleine GUEGAN:


YearTitleTypeCited
2009A Meta-Distribution for Non-Stationary Samples In: CREATES Research Papers.
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2008Business surveys modelling with Seasonal-Cyclical Long Memory models. In: Working papers.
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2008Business surveys modelling with Seasonal-Cyclical Long Memory models.(2008) In: Economics Bulletin.
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2008Business surveys modelling with Seasonal-Cyclical Long Memory models.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Business surveys modelling with Seasonal-Cyclical Long Memory models.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Business surveys modelling with seasonal-cyclical long memory models.(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2002Une mesure de la persistance dans les indices boursiers. In: Working papers.
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2002What is the Best Approach to Measure the Interdependence between Different Markets? In: Working papers.
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2011Testing unit roots and long range dependence of foreign exchange In: Journal of Time Series Analysis.
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2010Testing unit roots and long range dependence of foreign exchange.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Testing unit roots and long range dependence of foreign exchange.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2010Effect of Noise Filtering on Predictions :on the Routes of Chaos In: Brussels Economic Review.
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2008Effect of noise filtering on predictions : on the routes of chaos.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Effect of noise filtering on predictions: on the routes of chaos.(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2008Flexible time series models for subjective distribution estimation with monetary policy in view In: Brussels Economic Review.
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2007Flexible time series models for subjective distribution estimation with monetary policy in view.(2007) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Flexible time series models for subjective distribution estimation with monetary policy in view.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007Flexible time series models for subjective distribution estimation with monetary policy in view.(2007) In: Documents de travail du Centre d'Economie de la Sorbonne.
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1997Predictive Dimension : An Alternative Definition of the Embedding Dimension In: Working Papers.
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1998Prédiction of Chaotic Time Series in the Presence of Measurement Error : The Importance of Initial Conditions In: Working Papers.
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1998Statistical Estimation of the Embedding Dimension of a Dynamic System In: Working Papers.
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1998The Multivariate Threshold Model -An Alternative to Detect Breaks and Hidden Cycles on Real Data In: Working Papers.
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1998Analyse d’Intervention et Prévisions. Problématique et Application à des données de la RATP In: Working Papers.
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1998Modelization and Nonparametric Estimation for a Dynamical System with Noise In: Working Papers.
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2003Modelization and Nonparametric estimation for a dynamical system with noise.(2003) In: Post-Print.
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1999Estimation and Applications of Gegenbauer Processes In: Working Papers.
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2010A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques In: Economics Bulletin.
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2010A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2004Another Characterization of Long Memory Behavior In: Econometric Society 2004 Australasian Meetings.
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2004How Can We Define the Long Memory Concept? An Econometric Survey In: Econometric Society 2004 Australasian Meetings.
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2009Forecasting electricity spot market prices with a k-factor GIGARCH process In: Applied Energy.
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2007Forecasting electricity spot market prices with a k-factor GIGARCH process.(2007) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Forecasting electricity spot market prices with a k-factor GIGARCH process.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Forecasting electricity spot market prices with a k-factor GIGARCH process.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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1998A comparison of techniques of estimation in long-memory processes In: Computational Statistics & Data Analysis.
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2013Option pricing with discrete time jump processes In: Journal of Economic Dynamics and Control.
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2012Option pricing with discrete time jump processes.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Option pricing with discrete time jump processes.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Option pricing with discrete time jump processes.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Nonlinear dynamics and recurrence plots for detecting financial crisis In: The North American Journal of Economics and Finance.
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2013Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis.(2013) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2005Modelling squared returns using a SETAR model with long-memory dynamics In: Economics Letters.
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2005Modelling squared returns using a SETAR model with long-memory dynamics.(2005) In: Post-Print.
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2011Portfolio symmetry and momentum In: European Journal of Operational Research.
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2009Portfolio Symmetry and Momentum.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Portfolio Symmetry and Momentum.(2011) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Portfolio Symmetry and Momentum.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011Operational risk: a Basel II++ step before Basel III.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Operational risk: A Basel II++ step before Basel III.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Operational risk: A Basel II++ step before Basel III.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Operational risk : A Basel II++ step before Basel III.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Viewing Risk Measures as information In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Viewing Risk Measures as information.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Viewing risk measures as information.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2011A mathematical resurgence of risk management: an extreme modeling of expert opinions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011A mathematical resurgence of risk management: an extreme modeling of expert opinions.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2008Fractional and seasonal filtering In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011A test for a new modelling : The Univariate MT-STAR Model In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011A test for a new modelling: The Univariate MT-STAR Model.(2011) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Comparaison of Several Estimation Procedures for Long Term Behavior In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Comparaison of several estimation procedures for long term behavior.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Alternative Methodology for Turning-Point Detection in Business Cycle: A Wavelet Approach.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Alternative Modeling for Long Term Risk In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Alternative Modeling for Long Term Risk.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Aggregation of Market Risks using Pair-Copulas In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Aggregation of Market Risks using Pair-Copulas.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Cross-Sectional Analysis through Rank-based Dynamic Portfolios In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012A theoretical framework for trading experiments In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012A theoretical framework for trading experiments.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Using a time series approach to correct serial correlation in operational risk capital calculation In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Using a time series approach to correct serial correlation in Operational Risk capital calculation.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Understanding Exchange Rates Dynamics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Understanding Exchange Rates Dynamics.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Turning point chronology for the Euro-Zone: A Distance Plot Approach In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Turning point chronology for the Euro-Zone: A Distance Plot Approach.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Turning point chronology for the Euro-Zone: A Distance Plot Approach.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Empirical Projected Copula Process and Conditional Independence An Extended Version In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Empirical Projected Copula Process and Conditional Independence an Extended Version.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2017Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Stress Testing Engineering: the real risk measurement? In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Stress Testing Engineering: the real risk measurement?.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2014Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2014Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions.(2014) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2017Testing for Leverage Effects in the Returns of US Equities In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2005Empirical estimation of tail dependence using copulas: application to Asian markets.(2005) In: Quantitative Finance.
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2005De-noising with wavelets method in chaotic time series: application in climatology, energy and finance In: Post-Print.
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2005Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices In: Post-Print.
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2005Detection of the Industrial Business Cycle using SETAR models In: Post-Print.
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2006Detection of the Industrial Business Cycle using SETAR Models.(2006) In: Journal of Business Cycle Measurement and Analysis.
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2005Detection of the industrial business cycle using SETAR models.(2005) In: MPRA Paper.
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2003A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates In: Post-Print.
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2013A New Modelling Test: The Univariate MT-STAR Model In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis In: Documents de travail du Centre d'Economie de la Sorbonne.
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2007Which is the best model for the US inflation rate: a structural changes model or a long memory In: Documents de travail du Centre d'Economie de la Sorbonne.
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2007Further evidence on the impact of economic news on interest In: Documents de travail du Centre d'Economie de la Sorbonne.
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2008Option pricing under GARCH models with generalized hyperbolic innovations (II): data and results In: Documents de travail du Centre d'Economie de la Sorbonne.
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