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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

398

Citations

RESEARCH PRODUCTION:

36

Articles

241

Papers

RESEARCH ACTIVITY:

   23 years (1994 - 2017). See details.
   Cites by year: 17
   Journals where Dominique Madeleine GUEGAN has often published
   Relations with other researchers
   Recent citing documents: 17.    Total self citations: 75 (15.86 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgu275
   Updated: 2018-02-17    RAS profile: 2014-05-16    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Billio, Monica (11)

Addo, Peter Martey (10)

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:

Gil-Alana, Luis (14)

Charfeddine, Lanouar (12)

Ielpo, Florian (12)

Addo, Peter Martey (12)

Souza, Leonardo (10)

PEGUIN-FEISSOLLE, Anne (8)

Stentoft, Lars (8)

Dufrénot, Gilles (8)

Boubaker, Heni (7)

Rombouts, Jeroen (6)

Sibbertsen, Philipp (6)

Cites to:

Granger, Clive (30)

Engle, Robert (27)

Ielpo, Florian (20)

Ferrara, Laurent (18)

Billio, Monica (17)

Bollerslev, Tim (16)

Teräsvirta, Timo (15)

Gertler, Mark (14)

Krolzig, Hans-Martin (13)

Hamilton, James (13)

Hendry, David (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
Economics Bulletin2
Brussels Economic Review2
Journal of Forecasting2

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

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

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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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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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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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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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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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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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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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2017Testing for Leverage Effects in the Returns of US Equities. (2017). Ielpo, Florian ; Chorro, Christophe ; Lalaharison, Hanjarivo ; 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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2017Econophysics and Financial Economics: An Emerging Dialogue. (2017). Schinckus, Christophe ; Jovanovic, Franck . In: OUP Catalogue. RePEc:oxp:obooks:9780190205034.

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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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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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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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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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2009Portfolio Symmetry and Momentum.(2009) In: Working Papers.
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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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1996Power of the Lagrange multiplier test for certain subdiagonal bilinear models In: Statistics & Probability Letters.
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2007The stationary seasonal hyperbolic asymmetric power ARCH model In: Statistics & Probability Letters.
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2007The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model.(2007) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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1999Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks. In: Caisse des Depots et Consignations - Cahiers de recherche.
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2008Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Testing Fractional Order of Long Memory Processes: A Monte Carlo Study In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Testing fractional order of long memory processes : a Monte Carlo study.(2008) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Testing fractional order of long memory processes : a Monte Carlo study..(2008) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Option pricing for GARCH-type models with generalized hyperbolic innovations.(2010) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012Option pricing for GARCH-type models with generalized hyperbolic innovations.(2012) In: Quantitative Finance.
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2012Extreme values of random or chaotic discretization steps In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2012Extreme values of random or chaotic discretization steps.(2012) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Probability density of the wavelet coefficients of a noisy chaos In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2013Probability density of the wavelet coefficients of a noisy chaos.(2013) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2007La persistance dans les marchés financiers In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Hedging tranches index products : illustration of model dependency In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2008Changing-regime volatility: A fractionally integrated SETAR model In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Changing-regime volatility : A fractionally integrated SETAR model.(2006) In: Working Papers.
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2008Changing-regime volatility: a fractionally integrated SETAR model.(2008) In: Applied Financial Economics.
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2006Fractional seasonality: Models and Application to Economic Activity in the Euro Area In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Real-time detection of the business cycle using SETAR models In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007Global and local stationary modelling in finance : theory and empirical evidence In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007Global and local stationary modelling in finance : theory and empirical evidence..(2007) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2007Chaos in economics and finance In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Chaos in Economics and Finance.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Chaos in economics and finance..(2009) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2007A note on self-similarity for discrete time series In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007A note on self-similarity for discrete time series..(2007) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2007Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2009Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market.(2009) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market..(2007) In: Documents de travail du Centre d'Economie de la Sorbonne.
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2009Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market.(2009) In: The European Journal of Finance.
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2007Which is the best model for the US inflation rate : a structural changes model or a long memory process ? In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2011Which is the Best Model for the US Inflation Rate: A Structural Change Model or a Long Memory Process?.(2011) In: The IUP Journal of Applied Economics.
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2007Further evidence on the impact of economic news on interest rates In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2007Further evidence on the impact of economic news on interest rates.(2007) In: MPRA Paper.
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2006Change analysis of dynamic copula for measuring dependence in multivariate financial data In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2010Change analysis of a dynamic copula for measuring dependence in multivariate financial data.(2010) In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
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2006Change analysis of dynamic copula for measuring dependence in multivariate financial data..(2006) In: Cahiers de la Maison des Sciences Economiques.
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2010Change analysis of a dynamic copula for measuring dependence in multivariate financial data.(2010) In: Quantitative Finance.
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2002Extreme values of particular nonlinear processes In: Post-Print.
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2009Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate In: The IUP Journal of Monetary Economics.
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2008Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems In: Cahiers de recherche.
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2001Forecasting with k-Factor Gegenbauer Processes: Theory and Applications. In: Journal of Forecasting.
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2009Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro In: Documents de travail du Centre d'Economie de la Sorbonne.
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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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2012Cross-Sectional Analysis through Rank-based Dynamic In: Documents de travail du Centre d'Economie de la Sorbonne.
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2012An Autocorrelated Loss Distribution Approach: back to the time series In: Documents de travail du Centre d'Economie de la Sorbonne.
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2013Comparing variable selection techniques for linear regression: LASSO and Autometrics In: Documents de travail du Centre d'Economie de la Sorbonne.
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2014Testing for Leverage Effect in Financial Returns 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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2006An econometric specification of monetary policy dark art In: MPRA Paper.
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2003Modelization and Nonparametric Estimation for Dynamical Systems with Noise In: Statistical Inference for Stochastic Processes.
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2005Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data In: The European Journal of Finance.
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1997Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate In: The European Journal of Finance.
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2013Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area In: Journal of Forecasting.
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2003A SETAR model with long-memory dynamics In: Econometrics.
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