Dominique Madeleine GUEGAN : Citation Profile


Are you Dominique Madeleine GUEGAN?

Université Paris 1 (Panthéon-Sorbonne) (75% share)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (25% share)

11

H index

13

i10 index

385

Citations

RESEARCH PRODUCTION:

36

Articles

241

Papers

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 16
   Journals where Dominique Madeleine GUEGAN has often published
   Relations with other researchers
   Recent citing documents: 45.    Total self citations: 75 (16.3 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu275
   Updated: 2017-07-22    RAS profile: 2014-05-16    
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Relations with other researchers


Works with:

Billio, Monica (15)

Addo, Peter Martey (12)

Ielpo, Florian (7)

Charfeddine, Lanouar (2)

Stentoft, Lars (2)

Leroux, Justin (2)

CALES, Ludovic (2)

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

Is cited by:

Gil-Alana, Luis (14)

Addo, Peter Martey (12)

Souza, Leonardo (10)

Ielpo, Florian (9)

Charfeddine, Lanouar (9)

PEGUIN-FEISSOLLE, Anne (8)

Stentoft, Lars (8)

Dufrénot, Gilles (8)

Boubaker, Heni (7)

Sibbertsen, Philipp (6)

Rombouts, Jeroen (6)

Cites to:

Granger, Clive (30)

Engle, Robert (26)

Ielpo, Florian (20)

Ferrara, Laurent (18)

Billio, Monica (17)

Bollerslev, Tim (16)

Teräsvirta, Timo (15)

Gertler, Mark (14)

Hamilton, James (13)

Diebold, Francis (12)

Clarida, Richard (12)

Main data


Where Dominique Madeleine GUEGAN has published?


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

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 Sorbonne83
Post-Print / HAL18
Working Papers / Centre de Recherche en Economie et Statistique7
Cahiers de la Maison des Sciences Economiques / Universit Panthon-Sorbonne (Paris 1)3
MPRA Paper / University Library of Munich, Germany3
Econometric Society 2004 Australasian Meetings / Econometric Society2

Recent works citing Dominique Madeleine GUEGAN (2017 and 2016)


YearTitle of citing document
2016A generalized exponential time series regression model for electricity prices. (2016). Proietti, Tommaso ; Haldrup, Niels ; Knapik, Oskar . In: CREATES Research Papers. RePEc:aah:create:2016-08.

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2016Shortfall Deviation Risk: An alternative to risk measurement. (2016). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio . In: Papers. RePEc:arx:papers:1501.02007.

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2017Multivariate Geometric Expectiles. (2017). Herrmann, Klaus ; Mailhot, Melina ; Hofert, Marius . In: Papers. RePEc:arx:papers:1704.01503.

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2016Testing for long memory in the presence of non-linear deterministic trends with Chebyshev polynomials. (2016). Gil-Alana, Luis ; Cuestas, Juan. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:20:y:2016:i:1:p:57-74:n:2.

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2016Updated Reference Forecasts for Global CO2 Emissions from Fossil-Fuel Consumption. (2016). Pereira, Alfredo ; Belbute, Jose . In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2016_08.

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2016Updated Reference Forecasts for Global CO2 Emissions from Fossil-Fuel Consumption. (2016). Pereira, Alfredo ; Belbute, José. In: Working Papers. RePEc:cwm:wpaper:170.

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2016A comparison of different univariate forecasting models forSpot Electricity Price in India. (2016). Tiwari, Aviral ; Girish, G P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00633.

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2016Modeling Stock Market Returns under Self-exciting Threshold Autoregressive Model: Evidence from West Africa. (2016). Gyamfi, Emmanuel Numapau ; Kyei, Kwabena A. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2016-03-49.

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2016Extended forecast methods for day-ahead electricity spot prices applying artificial neural networks. (2016). Paraschiv, Florentina ; Keles, Dogan ; Fichtner, Wolf ; Scelle, Jonathan . In: Applied Energy. RePEc:eee:appene:v:162:y:2016:i:c:p:218-230.

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2016Day-ahead electricity price forecasting via the application of artificial neural network based models. (2016). Panapakidis, Ioannis P ; Dagoumas, Athanasios S. In: Applied Energy. RePEc:eee:appene:v:172:y:2016:i:c:p:132-151.

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2016Modelling electricity futures prices using seasonal path-dependent volatility. (2016). Musti, Silvana ; Fanelli, Viviana ; Maddalena, Lucia . In: Applied Energy. RePEc:eee:appene:v:173:y:2016:i:c:p:92-102.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). Charfeddine, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2016Do oil producing countries offer international diversification benefits? Evidence from GCC countries. (2016). Charfeddine, Lanouar ; Mimouni, Karim . In: Economic Modelling. RePEc:eee:ecmode:v:57:y:2016:i:c:p:263-280.

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2016Fractional integration in daily stock market indices at Jordans Amman stock exchange. (2016). Al-Shboul, Mohammad ; Anwar, Sajid . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:16-37.

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2016How does Germanys green energy policy affect electricity market volatility? An application of conditional autoregressive range models. (2016). Auer, Benjamin R. In: Energy Policy. RePEc:eee:enepol:v:98:y:2016:i:c:p:621-628.

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2016Should the insurance industry be banking on risk escalation for solvency II?. (2016). Clark, G ; Ring, P. In: International Review of Financial Analysis. RePEc:eee:finana:v:46:y:2016:i:c:p:131-139.

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2016A note on the Wang transform for stochastic volatility pricing models. (2016). Badescu, Alexandru ; Ortega, Juan-Pablo ; Cui, Zhenyu . In: Finance Research Letters. RePEc:eee:finlet:v:19:y:2016:i:c:p:189-196.

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2016Identification and real-time forecasting of Norwegian business cycles. (2016). Ravazzolo, Francesco ; Aastveit, Knut Are ; Jore, Anne Sofie . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:283-292.

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2016A time-varying copula approach for modelling dependency: New evidence from commodity and stock markets. (2016). Charfeddine, Lanouar ; Benlagha, Noureddine . In: Journal of Multinational Financial Management. RePEc:eee:mulfin:v:37-38:y:2016:i::p:168-189.

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2016Estimation of nonlinearities from pseudodynamic and dynamic responses of bridge structures using the Delay Vector Variance method. (2016). Jaksic, Vesna ; Pakrashi, Vikram ; Basu, Bidroha ; Karoumi, Raid ; Mandic, Danilo P. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:441:y:2016:i:c:p:100-120.

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2016Time varying market efficiency of the GCC stock markets. (2016). Charfeddine, Lanouar ; ben Khediri, Karim . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:444:y:2016:i:c:p:487-504.

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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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2016Generalized Fractional Processes with Long Memory and Time Dependent Volatility Revisited. (2016). Asai, Manabu ; Peiris, Shelton M. In: Econometrics. RePEc:gam:jecnmx:v:4:y:2016:i:3:p:37-:d:77417.

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2016More Accurate Measurement for Enhanced Controls: VaR vs ES?. (2016). Guegan, Dominique ; Hassani, Bertrand . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01281940.

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2016Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion. (2016). Guegan, Dominique ; Hassani, Bertrand K. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01318093.

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2016Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regul. (2016). Guegan, Dominique ; Hassani, Bertrand . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01391103.

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2017A novel multivariate risk measure: the Kendall VaR. (2017). 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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2016More Accurate Measurement for Enhanced Controls: VaR vs ES?. (2016). Guegan, Dominique ; Hassani, Bertrand . In: Post-Print. RePEc:hal:journl:halshs-01281940.

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2016THE IDENTIFICATION OF INFLATION RATE DETERMINANTS IN THE USA USING THE STOCHASTIC SEARCH VARIABLE SELECTION. (2016). Simionescu (Bratu), Mihaela. In: CES Working Papers. RePEc:jes:wpaper:y:2016:v:8:i:1:p:171-181.

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2016Monetary policy games, financial instability and incomplete information. (2016). Barrett, Charles Richard ; Sen, Somnath ; Kokores, Ioanna . In: Annals of Finance. RePEc:kap:annfin:v:12:y:2016:i:2:d:10.1007_s10436-016-0276-6.

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2016A Comparative Study of the Performance of Estimating Long-Memory Parameter Using Wavelet-Based Entropies. (2016). Boubaker, Heni . In: Computational Economics. RePEc:kap:compec:v:48:y:2016:i:4:d:10.1007_s10614-015-9541-4.

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2016Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data. (2016). Pérez de Gracia, Fernando ; Gil-Alana, Luis ; Barros, Carlos Pestana . In: Environmental & Resource Economics. RePEc:kap:enreec:v:63:y:2016:i:1:d:10.1007_s10640-014-9835-3.

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

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2016More Accurate Measurement for Enhanced Controls: VaR vs ES?. (2016). Guegan, Dominique ; Hassani, Bertrand K. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16015.

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2016Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion. (2016). Guegan, Dominique ; Hassani, Bertrand K. In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16039.

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2016Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regul. (2016). Hassani, Bertrand K ; Guegan, Dominique . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16066.

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2016The Lila distribution and its applications in risk modelling. (2016). Hassani, Bertrand K ; Yang, Wei . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:16068.

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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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2016Price dependence between coffee qualities: a copula model to evaluate asymmetric responses. (2016). Stavrakoudis, Athanassios ; Panagiotou, Dimitrios . In: MPRA Paper. RePEc:pra:mprapa:75994.

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2016Time-Varying Persistence of Inflation: Evidence from a Wavelet-Based Approach. (2016). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni . In: Working Papers. RePEc:pre:wpaper:201647.

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2016A representation of risk measures. (2016). amarante, massimiliano. In: Decisions in Economics and Finance. RePEc:spr:decfin:v:39:y:2016:i:1:d:10.1007_s10203-016-0170-8.

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

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2016Time-Varying Persistence of Inflation: Evidence from a Wavelet-based Approach. (2016). Miller, Stephen ; GUPTA, RANGAN ; Canarella, Giorgio ; Boubaker, Heni. In: Working papers. RePEc:uct:uconnp:2016-09.

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

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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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2010Martingalized historical approach for option pricing In: Finance Research Letters.
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2009Martingalized Historical approach for Option Pricing.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Martingalized Historical approach for Option Pricing.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Martingalized historical approach for option pricing.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2008Pricing bivariate option under GARCH processes with time-varying copula In: Insurance: Mathematics and Economics.
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2008Pricing bivariate option under GARCH processes with time-varying copula.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Pricing bivariate option under GARCH processes with time-varying copula.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Pricing bivariate option under GARCH processes with time-varying copula..(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2005Long-memory dynamics in a SETAR model - applications to stock markets In: Journal of International Financial Markets, Institutions and Money.
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2005Long-memory dynamics in a SETAR model - Applications to stock markets.(2005) In: Post-Print.
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2012Breaks or long memory behavior: An empirical investigation In: Physica A: Statistical Mechanics and its Applications.
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2009Breaks or Long Memory Behaviour : An empirical Investigation.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Breaks or long memory behaviour : an empirical investigation.(2012) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Breaks or long memory behaviour: An empirical investigation.(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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1994Asymptotic normality of the discrete Fourier transform of long memory time series In: Statistics & Probability Letters.
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1995Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system In: Statistics & Probability Letters.
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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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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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2013Empirical Projected Copula Process and Conditional Independence An Extended Version 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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