Dominique Guégan

274
Documents

Présentation

Publications

16
15
15
13
13
12
11
11
10
9
9
9
8
8
8
8
8
8
8
7
7
7
7
7
6
6
6
6
6
6
6
6
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
5
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
4
3
3
3
3
3
3
3
3
3
3
3
3
3
3
35
18
18
17
15
12
11
10
7
7
7
7
6
6
5
5
5
5
4
4
4
4
4
3
3
3
3
3
3
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
28
4
4
3
3
3
3
3
3
2
2
2
2
2
2
2
2
2
2
2
2
2
2
2
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
1
3
1
12
23
18
9
10
7
14
17
15
30
23
21
9
5
12
3
8
2
6
3
1
4
6
2
1
3
1
1
3
217
94
49
48
45
25
20
12
6
3
2
2
1
1
1
1

Publications

Deposit thumbnail

High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization

Monica Billio , Lorenzo Frattarolo , Dominique Guégan

Symmetry, 2022, 14 (1), pp.97. ⟨10.3390/sym14010097⟩

Article dans une revue hal-04085236v1
Deposit thumbnail

Does investor sentiment on social media provide robust information for Bitcoin returns predictability?

Dominique Guégan , Thomas Renault

Finance Research Letters, 2021, 38, pp.101494. ⟨10.1016/j.frl.2020.101494⟩

Article dans une revue hal-03205154v1
Deposit thumbnail

Is It Possible to Forecast the Price of Bitcoin?

Julien Chevallier , Dominique Guégan , Stéphane Goutte

Forecasting, 2021, 3 (2), pp.377-420. ⟨10.3390/forecast3020024⟩

Article dans une revue halshs-04250269v1

A probative value for authentication use case blockchain

Dominique Guegan , Christophe Hénot

Digital Finance, 2019, Smart Data Analytics, Investment Innovation, and Financial Technology, pp.1-25. ⟨10.1007/s42521-019-00003-0⟩

Article dans une revue halshs-02119190v1

Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach

Giovanni de Luca , Dominique Guegan , Giorgia Rivieccio

Finance Research Letters, 2018, ⟨10.1016/j.frl.2018.10.018⟩

Article dans une revue istex halshs-01917629v1

ICO : la nouvelle façon d lever des fonds sans contrainte ?

Dominique Guegan

Revue Banque, 2018, 817, pp.60-63

Article dans une revue halshs-01906259v1

The Digital World: II - Alternatives to the Bitcoin Blockchain

Dominique Guegan

Bankers Markets & Investors : an academic & professional review, 2018, 152, pp.1-6

Article dans une revue halshs-01906522v1
Deposit thumbnail

Credit Risk Analysis Using Machine and Deep Learning Models

Dominique Guegan , Peter Martey Addo , Bertrand Hassani

Risks, 2018, Computational Methods for Risk Management in Economics and Finance, 6 (2), pp.38. ⟨10.3390/risks6020038⟩

Article dans une revue halshs-01835164v1

Regulatory learning: How to supervise machine learning models? An application to credit scoring

Dominique Guegan , Bertrand Hassani

The Journal of Finance and Data Science, 2018, 4 (3), pp.157-171. ⟨10.1016/j.jfds.2018.04.001⟩

Article dans une revue halshs-01835213v1

Testing for leverage effects in the returns of US equities

Christophe Chorro , Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison

Journal of Empirical Finance, 2018, 48, pp.290-306. ⟨10.1016/j.jempfin.2018.07.008⟩

Article dans une revue halshs-01917590v1

More accurate measurement for enhanced controls: VaR vs ES?

Dominique Guegan , Bertrand K. Hassani

Journal of International Financial Markets, Institutions and Money, 2018, 54, pp.152-165. ⟨10.1016/j.intfin.2017.06.002⟩

Article dans une revue halshs-01917569v1

The Digital World: I - Bitcoin: from history to real life

Dominique Guegan

Bankers Markets & Investors : an academic & professional review, 2018, 151, pp.1-6

Article dans une revue halshs-01906518v1

Measuring risks in the tail: The extreme VaR and its confidence interval

Dominique Guegan , Bertrand Hassani , Kehan Li

Risk and Decision Analysis, 2017, Risk and Decision Analysis, 6 (3), pp.213 - 224. ⟨10.3233/RDA-170128⟩

Article dans une revue halshs-01592736v1

Blockchain publique et contrats intelligents. Ethéreum : possibilités et limites

Dominique Guegan

Revue Banque, 2017, 814, pp.60-63

Article dans une revue halshs-01906243v1

Bitcoin and the challenges for financial regulation

Dominique Guegan , Anastasia Sotiropoulou

Capital Markets Law Journal, 2017, 12 (4), pp.466-479. ⟨10.1093/cmlj/kmx037⟩

Article dans une revue halshs-01899495v1

Blockchain publique vs Blockchain privée : enjeux et limites

Dominique Guegan

Revue Banque, 2017, 810, pp.80-82

Article dans une revue halshs-01906189v1

Wavelet shrinkage of a noisy dynamical system with non-linear noise impact

Matthieu Garcin , Dominique Guegan

Physica D: Nonlinear Phenomena, 2016, 325, pp.126-145. ⟨10.1016/j.physd.2016.03.013⟩

Article dans une revue hal-01397328v1

Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model

Papa Ousmane Cissé , Abdou Kâ Diongue , Dominique Guegan

Afrika Statistika, 2016, 11 (1), pp.901-922. ⟨10.16929/as/2016.901.82⟩

Article dans une revue hal-01397357v1

A Rank-based Approach to Cross-Sectional Analysis

Dominique Guegan , Monica Billio , Ludovic Calès

European Journal of Operational Research, 2015, A paraître

Article dans une revue halshs-00646073v1

Which is the best model for the US inflation rate: a structural changes model or a long memory process

Dominique Guegan , Lanouar Charfeddine

Journal of Applied Econometrics, 2015, A paraître

Article dans une revue halshs-00645841v1

Dynamic factor analysis of carbon allowances prices: From classic Arbitrage pricing Theory to Switching Regimes

Dominique Guegan , Marius-Cristian Frunza , Antonin Lassoudière

International Journal of Financial Markets and derivative, 2015, A paraître

Article dans une revue halshs-00646211v1

Probability density of the empirical wavelet coefficients of a noisy chaos

Matthieu Garcin , Dominique Guegan

Physica D: Nonlinear Phenomena, 2014, 276, pp.28-47. ⟨10.1016/j.physd.2014.03.005⟩

Article dans une revue hal-01310473v1

Alternative modeling for long term risk

Dominique Guegan , Xin Zhao

Quantitative Finance, 2014, 14 (12), pp.2237-2253. ⟨10.1080/14697688.2013.835860⟩

Article dans une revue hal-00964956v1

The univariate MT-STAR model and a new linearity and unit root test procedure

Peter Martey Addo , Monica Billio , Dominique Guegan

Computational Statistics and Data Analysis, 2014, 76, pp.4-19. ⟨10.1016/j.csda.2013.12.009⟩

Article dans une revue istex hal-01310518v1

Turning point chronology for the euro area: A distance plot approach

Peter Martey Addo , Monica Billio , Dominique Guegan

OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, 8, pp.1-14. ⟨10.1787/19952899⟩

Article dans une revue hal-01310533v1

Option pricing with discrete time jump processes

Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison

Journal of Economic Dynamics and Control, 2013, 37 (12), pp.2417-2445. ⟨10.1016/j.jedc.2013.07.003⟩

Article dans une revue istex hal-00964950v1

Multivariate VaRs for operational risk capital computation: a vine structure approach

Dominique Guegan , Bertrand Hassani

International Journal of Risk Assessment and Management, 2013, 17 (2), pp.148-170. ⟨10.1504/IJRAM.2013.057104⟩

Article dans une revue halshs-00645778v1

Using a time series approach to correct serial correlation in operational risk capital calculation

Dominique Guegan , Bertrand Hassani

Journal of Operational Risk, 2013, 8 (3)

Article dans une revue hal-01310545v1

Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area

Monica Billio , Laurent Ferrara , Dominique Guegan , Gian Luigi Mazzi

Journal of Forecasting, 2013, 32 (72, numéro spécial "Modes de gestion des restructurations"), pp.577-586. ⟨10.1002/for.2260⟩

Article dans une revue istex hal-00965005v1

Nonlinear dynamics and recurrence plots for detecting financial crisis

Peter Martey Addo , Monica Billio , Dominique Guegan

North American Journal of Economics and Finance, 2013, 26, pp.416-435. ⟨10.1016/j.najef.2013.02.014⟩

Article dans une revue istex hal-00964975v1

An omnibus test to detect time-heterogeneity in time series

Dominique Guegan , Philippe de Peretti

Computational Statistics, 2013, 28 (3), pp.1225-1239. ⟨10.1007/s00180-012-0356-7⟩

Article dans une revue istex halshs-00759093v1

Extreme values of random or chaotic discretization steps and connected networks

Dominique Guegan , Matthieu Garcin

Applied Mathematical Sciences, 2012, 6 (119), pp.5901-5926

Article dans une revue halshs-00750231v1

Breaks or long memory behavior: An empirical investigation

Lanouar Charfeddine , Dominique Guegan

Physica A: Statistical Mechanics and its Applications, 2012, 391 (22), pp.5712-5726. ⟨10.1016/j.physa.2012.06.036⟩

Article dans une revue istex hal-01314013v1
Deposit thumbnail

On the Necessity of Five Risk Measures

Dominique Guegan , Wayne Tarrant

Annals of Finance, 2012, 8 (4), pp.533-552. ⟨10.1007/s10436-012-0205-2⟩

Article dans une revue halshs-00721339v1
Deposit thumbnail

Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations

Christophe Chorro , Dominique Guegan , Florian Ielpo

Quantitative Finance, 2012, 12 (7), pp.1079-1094. ⟨10.1080/14697688.2010.493180⟩

Article dans une revue hal-00511965v1
Deposit thumbnail

Operational risk : A Basel II++ step before Basel III

Dominique Guegan , Bertrand Hassani

Journal of risk management in financial institutions, 2012, 6 (13), pp.37 - 53

Article dans une revue halshs-00722029v1

Pricing alternatives in incomplete markets. An application for carbon allowances

Dominique Guegan , Marius-Cristian Frunza

International Proceedings of Economics Development and Research, 2011, pp.200-204

Article dans une revue halshs-00755502v1
Deposit thumbnail

An efficient threshold choice for operational risk capital computation

Dominique Guegan , Bertrand Hassani , Cédric Naud

The Journal of Operational Risk, 2011, 6 (4), pp.3 - 19

Article dans une revue halshs-00790217v1
Deposit thumbnail

Portfolio Symmetry and Momentum

Monica Billio , Ludovic Calès , Dominique Guegan

European Journal of Operational Research, 2011, 214 (3), pp.759-767

Article dans une revue halshs-00645814v1
Deposit thumbnail

An econometric Study for Vine Copulas

Dominique Guegan , Pierre-André Maugis

International Journal of Economics and Finance, 2011, 2 (5), pp.2-14

Article dans une revue halshs-00645799v1

Missing trader fraud on the emissions market

Dominique Guegan , Marius-Cristian Frunza , Fabrice Thiebaut

Journal of Financial Crime, 2011, 18 (2), pp.25-33

Article dans une revue halshs-00646205v1

A Cross-Sectional Score for the Relative Performance of an Allocation

Dominique Guegan , Ludovic Calès , Monica Billio

International Review of Applied Financial Issues and Economics, 2011, 3 (4), pp.700-710

Article dans une revue halshs-00646070v1
Deposit thumbnail

Testing Fractional Order of Long Memory Processes: A Monte Carlo Study

Laurent Ferrara , Dominique Guegan , Zhiping Lu

Communications in Statistics - Simulation and Computation, 2010, 39 (9), pp.795-806. ⟨10.1080/03610911003646381⟩

Article dans une revue hal-00486655v1

Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes

Dominique Guegan , Marius-Cristian Frunza , Antonin Lassoudière

International Review of Applied Financial Issues and Economics, 2010, 2 (3), pp.576-596

Article dans une revue halshs-00645890v1
Deposit thumbnail

BL-GARCH model with elliptical distributed innovations

Abdou Kâ Diongue , Dominique Guegan , Rodney C. Wolff

Journal of Statistical Computation and Simulation, 2010, 80 (7), pp.775-791. ⟨10.1080/00949650902773577⟩

Article dans une revue halshs-00368340v1
Deposit thumbnail

Note on new prospects on vines

Pierre-André Maugis , Dominique Guegan

Insurance Markets and Companies : Analyses and Actuarial Computations, 2010, 1 (1), pp.15-22

Article dans une revue halshs-00471362v1
Deposit thumbnail

GDP nowcasting with ragged-edge data: a semi-parametric modeling

Laurent Ferrara , Dominique Guegan , Patrick Rakotomarolahy

Journal of Forecasting, 2010, 29 (1-2), pp.186-199. ⟨10.1002/for.1159⟩

Article dans une revue halshs-00460461v1

Effect of noise filtering on predictions: on the routes of chaos

Dominique Guegan

Brussels Economic Review , 2010, 53 (2), pp.255-272

Article dans une revue halshs-00645851v1
Deposit thumbnail

Change analysis of a dynamic copula for measuring dependence in multivariate financial data

Dominique Guegan , Jing Zhang

Quantitative Finance, 2010, 10 (4), pp.421-430. ⟨10.1080/14697680902933041⟩

Article dans une revue halshs-00368334v1
Deposit thumbnail

A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques

Dominique Guegan , Patrick Rakotomarolahy

Economics Bulletin, 2010, 30 (1), pp.508-518

Article dans une revue halshs-00460472v1
Deposit thumbnail

Martingalized Historical approach for Option Pricing

Christophe Chorro , Dominique Guegan , Florian Ielpo

Finance Research Letters, 2010, 7 (1), pp.24-28. ⟨10.1016/j.frl.2009.11.002⟩

Article dans une revue halshs-00437927v1

Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate

Dominique Guegan , Florian Ielpo

Journal of Monetary Economics, 2009, 7 (3-4), pp.44-72

Article dans une revue halshs-00439813v1
Deposit thumbnail

A modified Panjer algorithm for operational risk capital calculations

Dominique Guegan , Bertrand Hassani

Journal of Operational Risk, 2009, 4 (4), pp.53-72

Article dans une revue halshs-00443846v1
Deposit thumbnail

Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy

Cyril Caillault , Dominique Guegan

Frontiers in finance and economics, 2009, 6 (1), pp.26-50

Article dans une revue halshs-00375765v1
Deposit thumbnail

Forecasting electricity spot market prices with a k-factor GIGARCH process

Abdou Kâ Diongue , Dominique Guegan , Bertrand Vignal

Applied Energy, 2009, 86 (4), pp.505-510. ⟨10.1016/j.apenergy.2008.07.005⟩

Article dans une revue halshs-00307606v2
Deposit thumbnail

Chaos in Economics and Finance

Dominique Guegan

Annual Reviews in Control, 2009, 33 (1), pp.89-93. ⟨10.1016/j.arcontrol.2009.01.002⟩

Article dans une revue halshs-00375713v2
Deposit thumbnail

Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Dominique Guegan , Jing Zhang

European Journal of Finance, 2009, 15 (7-8), pp.777-795. ⟨10.1080/13518470902895344⟩

Article dans une revue halshs-00368336v1
Deposit thumbnail

Forecasting chaotic systems: The role of local Lyapunov exponents

Dominique Guegan , Justin Leroux

Chaos, Solitons & Fractals, 2009, 41 (5), pp.2401-2404. ⟨10.1016/j.chaos.2008.09.017⟩

Article dans une revue halshs-00431726v2

Further evidence on the impact of economic news on interest rates

Dominique Guegan , Florian Ielpo

Frontiers in finance and economics, 2009, 6 (2), pp.1-45

Article dans une revue halshs-00439820v1
Deposit thumbnail

Flexible time series models for subjective distribution estimation with monetary policy in view

Dominique Guegan , Florian Ielpo

Brussels Economic Review , 2008, 51 (1), pp.79-103

Article dans une revue halshs-00368356v1
Deposit thumbnail

Pricing bivariate option under GARCH processes with time-varying copula

Jing Zhang , Dominique Guegan

Insurance: Mathematics and Economics, 2008, 42 (3), pp.1095-1103. ⟨10.1016/j.insmatheco.2008.02.003⟩

Article dans une revue halshs-00286054v1
Deposit thumbnail

Changing-regime volatility: A fractionally integrated SETAR model

Gilles Dufrenot , Dominique Guegan , Anne Peguin-Feissolle

Applied Financial Economics, 2008, 18 (7), pp.519-526. ⟨10.1080/09603100600993778⟩

Article dans une revue halshs-00185369v1
Deposit thumbnail

Business surveys modelling with Seasonal-Cyclical Long Memory models

Laurent Ferrara , Dominique Guegan

Economics Bulletin, 2008, 3 (29), pp.1-10

Article dans une revue halshs-00283710v1
Deposit thumbnail

Estimation of k-Factor Gigarch Process: A Monte Carlo Study

Diongue Abdou Ka , Dominique Guegan

Communications in Statistics - Simulation and Computation, 2008, 37 (10), pp.2037-2049. ⟨10.1080/03610910802304994⟩

Article dans une revue halshs-00375758v1
Deposit thumbnail

Is it possible to discriminate between different switching regressions models? An empirical investigation

Lanouar Charfeddine , Dominique Guegan

The Euro-Mediterranean Economics and Finance Review, 2008, 3 (4), pp.54-75

Article dans une revue halshs-00368358v1
Deposit thumbnail

La persistance dans les marchés financiers

Dominique Guegan

Banque & Marchés, 2007, 90, pp.34 - 43

Article dans une revue halshs-00179269v1
Deposit thumbnail

The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model

Abdou Kâ Diongue , Dominique Guegan

Statistics and Probability Letters, 2007, 77 (11), pp.1158-1164. ⟨10.1016/j.spl.2007.02.007⟩

Article dans une revue halshs-00179275v1
Deposit thumbnail

Hedging tranches index products : illustration of model dependency

Dominique Guegan , Julien Houdain

The Icfai Journal of derivatives markets, 2006, 4, pp.39 - 61

Article dans une revue halshs-00179325v1
Deposit thumbnail

On the use of nearest neighbors in finance

Nicolas Huck , Dominique Guegan

Finance, 2005, 26, pp.67-86

Article dans une revue halshs-00180858v1
Deposit thumbnail

How can we define the concept of long memory ? An econometric survey,

Dominique Guegan

: Econometric Reviews,, 2005, 24 (2), pp.113 - 149

Article dans une revue halshs-00179343v1
Deposit thumbnail

tail behavior of a threshold autoregressive stochastic volatility model

Aliou Diop , Dominique Guegan

Extremes, 2005, 7, pp.369 - 377

Article dans une revue halshs-00188530v1
Deposit thumbnail

Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.

Raymond Brummelhuis , Dominique Guegan

Journal of Applied Probability, 2005, 42 (2), pp.35-55

Article dans une revue halshs-00179336v1
Deposit thumbnail

Detection of the Industrial Business Cycle using SETAR models

Dominique Guegan , Laurent Ferrara

Journal of Business Cycle Measurement and Analysis, 2005, 2, pp.353-371

Article dans une revue halshs-00201309v1

Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data

Dominique Guegan , Ludovic Mercier

European Journal of Finance, 2005, 11, pp.137 - 150

Article dans une revue halshs-00180862v1
Deposit thumbnail

Long-memory dynamics in a SETAR model - Applications to stock markets

Gilles Dufrénot , Dominique Guegan , Anne Peguin-Feissolle

Journal of International Financial Markets, Institutions and Money, 2005, 15, pp.391 - 406. ⟨10.1016/j.intfin.2004.09.001⟩

Article dans une revue halshs-00179339v1
Deposit thumbnail

De-noising with wavelets method in chaotic time series: application in climatology, energy and finance

Dominique Guegan , Kebira Hoummyia

Proceedings of SPIE, the International Society for Optical Engineering, 2005, 5848, pp.174 - 185

Article dans une revue halshs-00180873v1
Deposit thumbnail

Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets

Cyril Caillault , Dominique Guegan

Quantitative Finance, 2005, 5, pp.489 - 501

Article dans une revue halshs-00180865v1
Deposit thumbnail

Modelling squared returns using a SETAR model with long-memory dynamics

Gilles Dufrénot , Dominique Guegan , Anne Peguin-Feissolle

Economics Letters, 2005, 86, pp.237-243. ⟨10.1016/j.econlet.2004.07.014⟩

Article dans une revue halshs-00179285v1
Deposit thumbnail

Asymptotic Behavior for the Extreme Values of a Linear Regression Model

Aliou Diop , Dominique Guegan

African Diaspora Journal of Mathematics, 2004, 15, pp.59 - 67

Article dans une revue halshs-00188532v1
Deposit thumbnail

Estimating parameters for a k-GIGARCH process

Abdou Kâ Diongue , Dominique Guegan

Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2004, 339, pp.435 - 440

Article dans une revue halshs-00188531v1
Deposit thumbnail

Extreme Distribution of a Generalized Stochastic Volatility Model,

Aliou Diop , Dominique Guegan

South African Journal of Statistics,, 2003, 37, pp.127 - 148

Article dans une revue halshs-00188535v1
Deposit thumbnail

A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates

Dominique Guegan

Finance India, 2003, XVII (1), pp.165 - 197

Article dans une revue halshs-00201314v1
Deposit thumbnail

Modelization and Nonparametric estimation for a dynamical system with noise

Dominique Guegan , D. Bosq , Delphine Blanke

Journal of Statistical Planning and Inference, 2003, 6, pp.267 - 290

Article dans une revue halshs-00201315v1
Deposit thumbnail

Extreme values of particular nonlinear processes

Dominique Guegan , Sophie A. Ladoucette

C.R.A.S., 2002, 335, pp.73 - 78

Article dans une revue halshs-00201320v1

What is the best approach to measure the interdependence between different markets

Dominique Guegan , Sophie A. Ladoucette

NER Banque de France, 2002, 94, pp.1 - 64

Article dans une revue halshs-00201333v1

Prediction of Chaotic Time Series in the Presence of Measurement Error: the Importance of Initial Conditions

Dominique Guegan , Rolf Tschernig

Statistics and Computing, 2001, 11 (3), pp.277-284. ⟨10.1023/A:1016608506110⟩

Article dans une revue istex halshs-00194303v1

Non-mixing properties of long memory processes

Dominique Guegan , Sophie A. Ladoucette

Comptes Rendus de l'Académie des Sciences - Series I - Mathematics, 2001, 333 (4), pp.373-376. ⟨10.1016/S0764-4442(01)02052-3⟩

Article dans une revue istex halshs-00193651v1

Forecasting with k-factor Gegenbauer Processes: Theory and Applications

Laurent Ferrara , Dominique Guegan

Journal of Forecasting, 2001, 20 (8), pp.581 - 601. ⟨10.1002/for.815⟩

Article dans une revue halshs-00193667v1

Long Memory Behavior for Simulated Chaotic Time Series

Dominique Guegan

IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences, 2001, E84-A (9), pp.2145-2154

Article dans une revue halshs-00193644v1

A New Model: The k-Factor GIGARCH Process

Dominique Guegan

Journal of Signal Processing, 2000, 4 (3), pp.265-271

Article dans une revue halshs-00199207v1

Analyse d'intervention et prévisions. problématique et application à des données de la RATP

Laurent Ferrara , Dominique Guegan

Revue de Statistique Appliquée, 2000, 48 (2), pp.55-72

Article dans une revue halshs-00194345v1

Statistical estimation of the Embedding Dimension of a dynamical system

D. Boscq , Dominique Guegan , Guillaume Léorat

International journal of bifurcation and chaos in applied sciences and engineering , 1999, 9 (4), pp.645 - 656. ⟨10.1142/S0218127499000456⟩

Article dans une revue halshs-00194421v1

A comparison of techniques of estimation in long-memory processes

Luisa Bisaglia , Dominique Guegan

Computational Statistics and Data Analysis, 1998, 27 (1), pp.61-81. ⟨10.1016/S0167-9473(97)00045-5⟩

Article dans une revue istex halshs-00194462v1

Determinating Lyapunov exponents in deterministic dynamical systems

Michel Delecroix , Dominique Guegan , Guillaume Léorat

Computational Statistics, 1997, 12 (1), pp.93-107

Article dans une revue halshs-00196413v1

Consistent estimation to determine the embedding dimension in financial data

Dominique Guegan , Guillaume Léorat

European Journal of Finance, 1997, 3 (3), pp.231 - 242. ⟨10.1080/135184797337453⟩

Article dans une revue halshs-00194487v1

Puissance du test du multiplicateur de Lagrange pour certains modèles bilinéaires sous diagonaux d'ordre deux

Dominique Guegan , N. Wandji

Comptes rendus de l'Académie des sciences. Série I, Mathématique, 1996, 322, pp.179-184

Article dans une revue halshs-00199592v1

Power of the Lagrange multiplier test for certain subdiagonal bilinear models

Dominique Guegan , Joseph Ngatchou Wandji

Statistics and Probability Letters, 1996, 29 (3), pp.201-212. ⟨10.1016/0167-7152(95)00174-3⟩

Article dans une revue istex halshs-00199314v1

Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system

D. Bosq , Dominique Guegan

Statistics and Probability Letters, 1995, 25 (3), pp.201-212. ⟨10.1016/0167-7152(94)00223-U⟩

Article dans une revue istex halshs-00199345v1

Asymptotic normality of the discrete Fourier transform of long memory time series

Dominique Guegan , Dinh Tuan Pham

Statistics and Probability Letters, 1994, 21 (4), pp.299-309. ⟨10.1016/0167-7152(94)00023-9⟩

Article dans une revue istex halshs-00199350v1

Probabilistic properties of the Béta-ARCH model

Jean Diebolt , Dominique Guegan

Statistica Sinica, 1994, 4 (1), pp.71-88

Article dans une revue halshs-00199490v1

Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One

Jean Diebolt , Dominique Guegan

Journal of Applied Probability, 1993, 30 (2), pp.315-329

Article dans une revue halshs-00199526v1

Power of the score test against bilinear time series models

Dominique Guegan , Dinh Tuan Pham

Statistica Sinica, 1992, 2 (1), pp.157-169

Article dans une revue halshs-00199498v1
Deposit thumbnail

Processus à Longue Mémoire. Propriétés Probabilistes et Statistiques

Dominique Guegan

Annales de l'ISUP, 1991, XXXVI (1-2), pp.5-41

Article dans une revue hal-03664650v1
Deposit thumbnail

Statistique Paramétrique des processus Longue Mémoire

Dominique Guegan

Annales de l'ISUP, 1991, XXXVI (1-2), pp.125-140

Article dans une revue hal-03664801v1

Le modèle de séries chronologiques autorégressives Béta-ARCH

Jean Diebolt , Dominique Guegan

Comptes rendus de l'Académie des sciences. Série I, Mathématique, 1991, pp.625-630

Article dans une revue halshs-00199596v1

Fintech and Blockchain

Dominique Guegan

Reading seminars 2018-2019, University Ca Foscari, Apr 2019, Venise, Italy

Communication dans un congrès halshs-02129853v1

Risks and Blockchain

Dominique Guegan

1st International Symposium on Entrepreneurship, Blockchain and Crypto-Finance, UTC Tunis, Apr 2019, Tunis, Tunisia

Communication dans un congrès halshs-02129864v1

Big Data, Artificial Intelligence and Blockchain

Dominique Guegan

Big Data, Artificial Intelligence and Blockchain, Université Saint-Louis du Sénégal, Mar 2019, Sénégal, Senegal

Communication dans un congrès halshs-02137851v1

Operational risk in blockchain payments

Dominique Guegan

Fin-Tech HO2020 European Project: FINTECH Risk Management, University of Pavia, Feb 2019, Pavie, Italy

Communication dans un congrès halshs-02125743v1

Blockchain seminar: Risk and Blockchain

Dominique Guegan

Blockchain seminar: Risk and Blockchain, Conservatoire des Arts et Métiers (CNAM), Jan 2019, Paris, France

Communication dans un congrès halshs-02125682v1

Credit Risk Analysis using Machine and Deep Learning Models

Dominique Guegan

Credit Risk Analysis Using Machine and Deep Learning Models, Università degli Studi di Padova, Jan 2019, Padoue, Italy

Communication dans un congrès halshs-02125631v1

Credit Risk Analysis Using machine and Deep Learning Models

Dominique Guegan

3small Business Risk, Financial Regulation and Big Data Analytics, Sep 2018, Palazzo Franchetti - Venice, Italy

Communication dans un congrès halshs-01889154v1

Measuring risk an explosive environment

Dominique Guegan , Kruse-Becher Robin , Hans-Jörg Mettenheim, Von , Wegener Christoph

Forecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom

Communication dans un congrès halshs-01896907v1

A new token: the CommodCoin. What could be its interest for financial market? A macro-economic modelling

Dominique Guegan

Digital, Innovation, Entrepreneurship and Financing, Jun 2018, Lyon, France

Communication dans un congrès halshs-01897052v1

Initial Token Offerings (ITOs) and corporate governance

Dominique Guegan , Stéphane Blémus

Forecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom

Communication dans un congrès halshs-01897035v1

Measuring risk in an explosive environment

Dominique Guegan , Kruse-Becher Robin , Hans-Jörg Mettenheim, Von , Wegener Christoph

Vietnam Symposium in Banking and Finance (VSBF), Oct 2018, Hué City, Vietnam

Communication dans un congrès halshs-01917661v1

Assessment of proxy-hedging in jet-fuel markets

Dominique Guegan , Marius Cristian Frunza , Rostislav Haliplii

IRMBAM 2018, Jul 2018, Nice, France

Communication dans un congrès halshs-01905479v1

Regulatory Learning: Credit Scoring Application of Machine Learning

Dominique Guegan , Bertrand K. Hassani

DMBD 2017, Jul 2017, Fukuoka, Japan

Communication dans un congrès halshs-01905489v1

Impact of multimodality of distributions on VaR and ES calculation

Dominique Guegan , Bertrand K. Hassani , Kehan Li

10th International conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2017), Dec 2017, Senate House - Londres, United Kingdom

Communication dans un congrès halshs-01899548v1

Bitcoin and the challenge for regulation

Dominique Guegan

Vietnam Symposium in Banking and Finance, Oct 2017, Ho Chi Minh City, Vietnam

Communication dans un congrès halshs-01897056v1

Financial Regulation: More Accurate Measurements for Control Enhancements and the Capture of the Intrinsic Uncertainty of the VaR

Dominique Guegan

vsbf: 2016 Vietnam Symposium in Banking and Finance, Nov 2016, Hanoi, Vietnam

Communication dans un congrès halshs-01906496v1

Risk Measures at Risk- Are we missing the point? Discussions around sub-additivity and distortion

Dominique Guegan

Conference on Banking and Finance, Sep 2016, Porthmouth, United Kingdom

Communication dans un congrès halshs-01906485v1

Pricing alternatives in incomplete markets. An application for Carbon allowances

Dominique Guegan , Marius-Cristian Frunza

2011 International Conference on Information and Finance (ICIF 2011), Nov 2011, Malaysia

Communication dans un congrès halshs-00646829v1

Derivative pricing and hedging on carbon market

Dominique Guegan , Marius-Cristian Frunza

2009 International Conference on Computer and Development, Feb 2009, Kota Kinabalu, Malaysia

Communication dans un congrès halshs-00646182v1
Deposit thumbnail

Fractional seasonality: Models and Application to Economic Activity in the Euro Area

Laurent Ferrara , Dominique Guegan

Conference on Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting, May 2006, Luxembourg. pp.137 - 153

Communication dans un congrès halshs-00185370v1
Deposit thumbnail

A k- factor GIGARCH process : estimation and application to electricity market spot prices,

Dominique Guegan , Abdou Kâ Diongue , Bertrand Vignal

Probabilistic methods applied to power systems, Jul 2004, United States. pp.1 - 7

Communication dans un congrès halshs-00188533v1

Comparison of several methods to predict chaotic time series

Dominique Guegan , Badel Emmanuelle , Ludovic Mercier , Olivier J.J. Michel

International Conference on Complex Systems, 1997, Munich, Germany. pp.3793 - 3797

Communication dans un congrès halshs-00375658v1

prediction in chaotic time series: methods and comparisons using simulations

Dominique Guegan , Mercier Ludovic

5th International ECASP Conference, 1997, Prague, Czech Republic. pp.215 - 218

Communication dans un congrès halshs-00375663v1

Stress Testing Engineering: The Real Risk Measurement?

Dominique Guegan , Bertrand Hassani

Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.89-124, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_3⟩

Chapitre d'ouvrage hal-01310469v1

Distorsion Risk Measure or the Transformation of Unimodal Distributions into Multimodal Functions

Dominique Guegan , Bertrand Hassani

Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.71-88, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_2⟩

Chapitre d'ouvrage hal-01310467v1

Nonlinear Dynamics and Wavelets for Business Cycle Analysis

Peter Martey Addo , Monica Billio , Dominique Guegan

Wavelet Applications in Economics and Finance, 2014, 978-3-319-07060-5. ⟨10.1007/978-3-319-07061-2_4⟩

Chapitre d'ouvrage hal-01310513v1

Non-stationary sample and meta-distribution

Dominique Guegan

A. Basu, T. Samanta, A. Sen Gupta. ISI Platinum Jubilee volume: statistical science and interdisciplinary research (International Conference of Statistical Paradigms - Recent Advances and Reconciliations), Word Scientific Publishing, à paraître, 2013

Chapitre d'ouvrage hal-00755507v1

Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems

Dominique Guegan , Justin Leroux

E. Tielo-Cuantle. Chaotic Systems, InTech Publishers, 25-38 (chapitre 2), 2011

Chapitre d'ouvrage halshs-00644500v1
Deposit thumbnail

Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison

Dominique Guegan

Catherine Kyrtsou, Costas Vorlow. Progress in financial market research, NOVA publishers, pp.233-254, 2011

Chapitre d'ouvrage halshs-00185373v1
Deposit thumbnail

Value at Risk Computation in a Non-Stationary Setting

Dominique Guegan

Greg N. Gregoriou, Carsten S. Wehn, Christian Hoppe. Handbook on Model Risk : Measuring, managing and mitigating model risk, lessons from financial crisis, John Wiley, 431-454 - chapter 19, 2010

Chapitre d'ouvrage halshs-00511995v1
Deposit thumbnail

Alternative methods for forecasting GDP

Dominique Guegan , Patrick Rakotomarolahy

R. Barnett, F. Jawady. Nonlinear Modeling of Economic and Financial Time-Series, Emerald Publishers, Chapiter 5 (29 p.), 2010, Series International Symposia in Economic Theory and Econometrics - n°21

Chapitre d'ouvrage halshs-00511979v1

Former les analystes et opérateurs financiers

Dominique Guegan

Gaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 95-104 (chapitre 6), 2009

Chapitre d'ouvrage halshs-00375376v1

Mettre les mathématiques financières au service du réel

Dominique Guegan

Gaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 141-152 (chapitre 10), 2009

Chapitre d'ouvrage halshs-00375378v1
Deposit thumbnail

Local Lyapunov Exponents: A new way to predict chaotic systems

Dominique Guegan , Justin Leroux

Christos H. Skiadas, Ioannis Dimotikalis, Charilaos Skiadas. Topics on Chaotic Systems: Selected papers from CHAOS 2008, International Conference, World Scientific Publishing, pp.158-185, 2009

Chapitre d'ouvrage halshs-00511996v1

Derivative pricing and hedging on carbon market

Dominique Guegan , Marius-Cristian Frunza

2009 International Conference on Computer and Development, Kota Kinanalu (Malaysia), pp.130-133, 2009

Chapitre d'ouvrage halshs-00755510v1
Deposit thumbnail

Fractional and seasonal filtering

Dominique Guegan , Laurent Ferrara

J.L. Mazi. Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat, pp.121-132, 2008

Chapitre d'ouvrage halshs-00646178v1

Synthetic CDO Squared Pricing Methodologies

Dominique Guegan , Julien Houdain

Greg N. Gregoriou, Paul U. Ali. Credit Derivatives Handbook - Global Perspectives, Innovations, and Market Drivers, MCGraw Hill, 361-377 (chapiter 16), 2008

Chapitre d'ouvrage halshs-00265708v1
Deposit thumbnail

Real-time detection of the business cycle using SETAR models

Laurent Ferrara , Dominique Guegan

G.L. Mazzi and G. Savio. Growth and Cycle in the Euro-zone, Palgrave MacMillan, New York, pp.221-232, 2006

Chapitre d'ouvrage halshs-00185372v1

Forecasting with non Gaussian long memory processes

Dominique Guegan , Jerome Collet

Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.285 - 288, 2003

Chapitre d'ouvrage halshs-00201323v1

Estimation de la tail dependance à l'aide de la notion de copule

Dominique Guegan , Sophie A. Ladoucette

Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.289 - 292, 2003

Chapitre d'ouvrage halshs-00201321v1

Some remarks on the statistical modelling of chaotic systems

Dominique Guegan

Alistair I. Mees. Nonlinear Dynamics and Statistics, Birkhäuser Boston, 400 - Chapitre 5, 2001

Chapitre d'ouvrage halshs-00196432v1

Comparison of parameter estimation methods in cyclical long memory time series

Laurent Ferrara , Dominique Guegan

Christian L. Dunis, Allan Timmermann, John E. Moody. Developments in Forecast Combination and Portfolio Choice, Wiley, pp.330, 2001

Chapitre d'ouvrage halshs-00196426v1

Forecasting financial time series with generalized long memory processes

Laurent Ferrara , Dominique Guegan

Christian Dunis. Advances in Quantitative Asset Management, Kluver Academic Press, chapter 14, 2000, Studies in computational finance

Chapitre d'ouvrage halshs-00199126v1

Non parametric forecasting techniques for mixing chaotic time series

Dominique Guegan , L. Mercier

Ales Prochazka, N.G. Kingsbury, P.J.W. Payner, J. Uhlir. Signal Analysis and Prediction, Birkhäuser Boston, chapter 25, 1998

Chapitre d'ouvrage halshs-00199145v1

Stochastic or chaotic dynamics in high frequency financial data

Dominique Guegan , L. Mercier

Christian L. Dunis, Bin Zhou. Nonlinear Modelling of High Frequency Financial Time Series, Wiley, chapter 5, 1998

Chapitre d'ouvrage halshs-00199167v1

Some Recent Developments in Non Linear Time Series

Dominique Guegan

Atti del Convegno in Honore di Oliviero Lessi, Universita degli Studi di padova, pp.17-38, 1998

Chapitre d'ouvrage halshs-00375667v1

Nonparametric Methods for Time Series and Dynamical Systems

Dominique Guegan

Gutti Jogesh Babu, Eric D. Feigelson. Statistical Challenges in Modern Astronomy II, Springer, 303-320 chapter 17, 1997

Chapitre d'ouvrage halshs-00199178v1

From data to models

Dominique Guegan

T. Subba Rao, M.B. Priestly, O. Lessi. Applications of Time Series Analysis in Astronomy and Meteorology, Chapman & Hall, chapter 8, 1997

Chapitre d'ouvrage halshs-00199187v1
Deposit thumbnail

Fair learning with bagging

Jean-David Fermanian , Dominique Guegan

2021

Autre publication scientifique halshs-03500906v1
Deposit thumbnail

A Note on the Interpretability of Machine Learning Algorithms

Dominique Guegan

2020

Autre publication scientifique halshs-02900929v1
Deposit thumbnail

Initial Crypto-asset Offerings (ICOs), tokenization and corporate governance

Stéphane Blémus , Dominique Guegan

2019

Autre publication scientifique halshs-02079171v1
Deposit thumbnail

Crypto assets: the role of ICO tokens within a well-diversified portfolio

Saman Adhami , Dominique Guegan

2019

Autre publication scientifique halshs-02353656v1
Deposit thumbnail

Artificial Intelligence, Data, Ethics: An Holistic Approach for Risks and Regulation

Alexis Bogroff , Dominique Guegan

2019

Autre publication scientifique halshs-02181597v1
Deposit thumbnail

The other side of the Coin: Risks of the Libra Blockchain

Louis Abraham , Dominique Guegan

2019

Autre publication scientifique halshs-02325808v1
Deposit thumbnail

The Digital World: II – Alternatives to the Bitcoin Blockchain?

Dominique Guegan

2018

Autre publication scientifique halshs-01832002v1
Deposit thumbnail

The Digital World: I - Bitcoin: from history to real live

Dominique Guegan

2018

Autre publication scientifique halshs-01822962v1
Deposit thumbnail

Credit Risk Analysis using Machine and Deep Learning models

Peter Martey Addo , Dominique Guegan , Bertrand Hassani

2018

Autre publication scientifique halshs-01719983v1
Deposit thumbnail

Is the Bitcoin Rush Over?

Dominique Guegan , Marius Cristian Frunza

2018

Autre publication scientifique halshs-01822992v1
Deposit thumbnail

A novel multivariate risk measure: the Kendall VaR

Matthieu Garcin , Dominique Guegan , Bertrand Hassani

2018

Autre publication scientifique halshs-01467857v2
Deposit thumbnail

Les ICO la nouvelle façon de lever des fonds sans contrainte ?

Dominique Guegan

2018

Autre publication scientifique halshs-01719901v1
Deposit thumbnail

A Probative Value for Authentication Use Case Blockchain

Dominique Guegan , Christophe Hénot

2018

Autre publication scientifique halshs-01896540v1
Deposit thumbnail

Nonparametric forecasting of multivariate probability density functions

Dominique Guegan , Matteo Iacopini Autre publication scientifique halshs-01821815v1
Deposit thumbnail

On the parameters estimation of the Seasonal FISSAR Model

Papa Ousmane Cissé , Dominique Guegan , Abdou Kâ Diongue

2018

Autre publication scientifique halshs-01832115v1
Deposit thumbnail

Three-stage estimation method for non-linear multiple time-series

Dominique Guegan , Giovanni de Luca , Giorgia Rivieccio

2017

Autre publication scientifique halshs-01439860v1
Deposit thumbnail

Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics

Camila Epprecht , Dominique Guegan , Álvaro Veiga , Joel Correa da Rosa

2017

Autre publication scientifique halshs-00917797v2
Deposit thumbnail

Testing for Leverage Effects in the Returns of US Equities

Christophe Chorro , Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison

2017

Autre publication scientifique halshs-00973922v2
Deposit thumbnail

Public Blockchain versus Private blockhain

Dominique Guegan

2017

Autre publication scientifique halshs-01524440v1
Deposit thumbnail

Blockchain Publique versus Blockchain Privée : Enjeux et Limites

Dominique Guegan

2017

Autre publication scientifique halshs-01673321v1
Deposit thumbnail

An alternative class of distortion operators

Dominique Guegan , Bertrand Hassani , Kehan Li

2017

Autre publication scientifique halshs-01543251v1
Deposit thumbnail

Regulatory Learning: how to supervise machine learning models? An application to credit scoring

Dominique Guegan , Bertrand Hassani

2017

Autre publication scientifique halshs-01592168v2
Deposit thumbnail

Impact of multimodality of distributions on VaR and ES calculations

Dominique Guegan , Bertrand Hassani , Kehan Li

2017

Autre publication scientifique halshs-01491990v1
Deposit thumbnail

Measuring risks in the extreme tail: The extreme VaR and its confidence interval

Dominique Guegan , Bertrand Hassani , Kehan Li

2017

Autre publication scientifique halshs-01317391v3
Deposit thumbnail

Multivariate Reflection Symmetry of Copula Functions

Monica Billio , Lorenzo Frattarolo , Dominique Guegan

2017

Autre publication scientifique halshs-01592147v1
Deposit thumbnail

Blockchain publique et contrats intelligents (Smart Contrats). Les possibilités ouvertes par Ethéreum... et ses limites

Dominique Guegan

2017

Autre publication scientifique halshs-01673329v1
Deposit thumbnail

Combining 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 Regulatory Requirement for Financial Institutions

Dominique Guegan , Bertrand K. Hassani

2016

Autre publication scientifique halshs-01391103v1
Deposit thumbnail

Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model

Papa Ousmane Cissé , Abdou Kâ Diongue , Dominique Guegan

2016

Autre publication scientifique halshs-01278126v1
Deposit thumbnail

More Accurate Measurement for Enhanced Controls: VaR vs ES?

Dominique Guegan , Bertrand Hassani

2016

Autre publication scientifique halshs-01281940v1
Deposit thumbnail

Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure

Dominique Guegan , Bertrand K. Hassani , Kehan Li

2016

Autre publication scientifique halshs-01277880v1
Deposit thumbnail

Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion

Dominique Guegan , Bertrand K. Hassani

2016

Autre publication scientifique halshs-01318093v1
Deposit thumbnail

Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact

Matthieu Garcin , Dominique Guegan

2015

Autre publication scientifique halshs-01244239v1
Deposit thumbnail

Risk or Regulatory Capital? Bringing distributions back in the foreground

Dominique Guegan , Bertrand Hassani

2015

Autre publication scientifique halshs-01169268v1
Deposit thumbnail

The Spectral Stress VaR (SSVaR)

Dominique Guegan , Bertrand K. Hassani , Kehan Li

2015

Autre publication scientifique halshs-01169537v1
Deposit thumbnail

Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions

Dominique Guegan , Bertrand Hassani

2014

Autre publication scientifique halshs-00969242v1
Deposit thumbnail

Stress Testing Engineering: the real risk measurement?

Dominique Guegan , Bertrand Hassani

2014

Autre publication scientifique halshs-00951593v1
Deposit thumbnail

Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions

Dominique Guegan , Bertrand Hassani , Xin Zhao

2013

Autre publication scientifique halshs-00820839v1
Deposit thumbnail

Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis

Peter Martey Addo , Monica Billio , Dominique Guegan

2013

Autre publication scientifique halshs-00803450v1
Deposit thumbnail

Using a time series approach to correct serial correlation in operational risk capital calculation

Dominique Guegan , Bertrand Hassani

2013

Autre publication scientifique halshs-00771387v2
Deposit thumbnail

Empirical Projected Copula Process and Conditional Independence An Extended Version

Lorenzo Frattarolo , Dominique Guegan

2013

Autre publication scientifique halshs-00881185v1
Deposit thumbnail

Turning point chronology for the Euro-Zone: A Distance Plot Approach

Peter Martey Addo , Monica Billio , Dominique Guegan

2013

Autre publication scientifique halshs-00803457v1
Deposit thumbnail

Understanding Exchange Rates Dynamics

Peter Martey Addo , Monica Billio , Dominique Guegan

2013

Autre publication scientifique halshs-00803447v1
Deposit thumbnail

Probability density of the wavelet coefficients of a noisy chaos

Matthieu Garcin , Dominique Guegan

2013

Autre publication scientifique hal-00800997v1
Deposit thumbnail

Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach

Dominique Guegan , Bertrand Hassani

2012

Autre publication scientifique halshs-00587706v3
Deposit thumbnail

Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach

Peter Martey Addo , Monica Billio , Dominique Guegan

2012

Autre publication scientifique halshs-00694420v1
Deposit thumbnail

A theoretical framework for trading experiments

Maxence Soumare , Jørgen Vitting Andersen , Francis Bouchard , Alain Elkaim , Dominique Guegan et al.

2012

Autre publication scientifique halshs-00768898v1
Deposit thumbnail

Cross-Sectional Analysis through Rank-based Dynamic Portfolios

Monica Billio , Ludovic Calès , Dominique Guegan

2012

Autre publication scientifique halshs-00707430v1
Deposit thumbnail

Aggregation of Market Risks using Pair-Copulas

Dominique Guegan , Fatima Jouad

2012

Autre publication scientifique halshs-00706689v1
Deposit thumbnail

Option pricing with discrete time jump processes

Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison

2012

Autre publication scientifique halshs-00611706v2
Deposit thumbnail

Extreme values of random or chaotic discretization steps

Matthieu Garcin , Dominique Guegan

2012

Autre publication scientifique hal-00706825v1
Deposit thumbnail

Alternative Modeling for Long Term Risk

Dominique Guegan , Xin Zhao

2012

Autre publication scientifique halshs-00694449v1
Deposit thumbnail

Comparaison of Several Estimation Procedures for Long Term Behavior

Dominique Guegan , Zhiping Lu , Beijia Zhu

2012

Autre publication scientifique halshs-00673934v1
Deposit thumbnail

Operational risk: A Basel II++ step before Basel III

Dominique Guegan , Bertrand Hassani

2011

Autre publication scientifique halshs-00639484v3
Deposit thumbnail

A mathematical resurgence of risk management: an extreme modeling of expert opinions

Dominique Guegan , Bertrand Hassani

2011

Autre publication scientifique halshs-00639666v1
Deposit thumbnail

A test for a new modelling : The Univariate MT-STAR Model

Peter Martey Addo , Monica Billio , Dominique Guegan

2011

Autre publication scientifique halshs-00659158v1
Deposit thumbnail

Viewing Risk Measures as information

Dominique Guegan , Wayne Tarrant

2011

Autre publication scientifique halshs-00639489v1
Deposit thumbnail

An Omnibus Test to Detect Time-Heterogeneity in Time Series

Dominique Guegan , Philippe de Peretti

2011

Autre publication scientifique halshs-00560221v2
Deposit thumbnail

Tests of structural changes in conditional distributions with unknown changepoints

Dominique Guegan , Philippe de Peretti

2011

Autre publication scientifique halshs-00611932v1
Deposit thumbnail

An efficient threshold choice for operational risk capital computation

Dominique Guegan , Bertrand Hassani , Cédric Naud

2010

Autre publication scientifique halshs-00544342v2
Deposit thumbnail

Testing unit roots and long range dependence of foreign exchange

Dominique Guegan , Zhiping Lu

2010

Autre publication scientifique halshs-00505117v1
Deposit thumbnail

A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios

Monica Billio , Ludovic Calès , Dominique Guegan

2010

Autre publication scientifique halshs-00476038v1
Deposit thumbnail

Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes

Marius-Cristian Frunza , Dominique Guegan , Antonin Lassoudière

2010

Autre publication scientifique halshs-00505145v1
Deposit thumbnail

Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes

Christophe Chorro , Dominique Guegan , Florian Ielpo

2010

Autre publication scientifique halshs-00523371v1
Deposit thumbnail

Alternative methods for forecasting GDP

Dominique Guegan , Patrick Rakotomarolahy

2010

Autre publication scientifique halshs-00505165v1
Deposit thumbnail

On the necessity of five risk measures

Dominique Guegan , Wayne Tarrant

2010

Autre publication scientifique halshs-00460901v1
Deposit thumbnail

Statistical evidence of tax fraud on the carbon allowances market

Marius-Cristian Frunza , Dominique Guegan , Antonin Lassoudière

2010

Autre publication scientifique halshs-00523458v1
Deposit thumbnail

New Prospects on Vines

Dominique Guegan , Pierre-André Maugis

2010

Autre publication scientifique halshs-00348884v3
Deposit thumbnail

Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems

Dominique Guegan , Justin Leroux

2010

Autre publication scientifique halshs-00462454v1
Deposit thumbnail

A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques

Dominique Guegan , Patrick Rakotomarolahy

2010

Autre publication scientifique halshs-00461711v1
Deposit thumbnail

Option pricing for GARCH-type models with generalized hyperbolic innovations

Christophe Chorro , Dominique Guegan , Florian Ielpo

2010

Autre publication scientifique halshs-00469529v1
Deposit thumbnail

Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market

Marius-Cristian Frunza , Dominique Guegan

2010

Autre publication scientifique halshs-00504209v1
Deposit thumbnail

A Note on fair Value and Illiquid Markets

Dominique Guegan , Chafic Merhy

2010

Autre publication scientifique halshs-00460856v1
Deposit thumbnail

An Econometric Study of Vine Copulas

Dominique Guegan , Pierre-André Maugis

2010

Autre publication scientifique halshs-00492124v1
Deposit thumbnail

A short note on option pricing with Lévy Processes

Dominique Guegan , Hanjarivo Lalaharison

2010

Autre publication scientifique halshs-00542475v1
Deposit thumbnail

Derivative Pricing and Hedging on Carbon Market

Marius-Cristian Frunza , Dominique Guegan

2010

Autre publication scientifique halshs-00461474v1
Deposit thumbnail

Missing trader fraud on the emissions market

Marius-Cristian Frunza , Dominique Guegan , Fabrice Thiebaut

2010

Autre publication scientifique halshs-00523512v1
Deposit thumbnail

A Cross-Sectional Performance Measure for Portfolio Management

Monica Billio , Ludovic Calès , Dominique Guegan

2010

Autre publication scientifique halshs-00523466v1
Deposit thumbnail

The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting

Dominique Guegan , Patrick Rakotomarolahy

2009

Autre publication scientifique halshs-00423871v2
Deposit thumbnail

GDP nowcasting with ragged-edge data : A semi-parametric modelling

Laurent Ferrara , Dominique Guegan , Patrick Rakotomarolahy

2009

Autre publication scientifique halshs-00344839v2
Deposit thumbnail

Chaos in economics and finance

Dominique Guegan

2009

Autre publication scientifique halshs-00187885v2
Deposit thumbnail

Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area

Monica Billio , Laurent Ferrara , Dominique Guegan , Gian Luigi Mazzi

2009

Autre publication scientifique halshs-00423890v1
Deposit thumbnail

Wavelet Method for Locally Stationary Seasonal Long Memory Processes

Dominique Guegan , Zhiping Lu

2009

Autre publication scientifique halshs-00375531v1
Deposit thumbnail

Breaks or Long Memory Behaviour: An empirical Investigation

Lanouar Charfeddine , Dominique Guegan

2009

Autre publication scientifique halshs-00377485v1
Deposit thumbnail

Martingalized Historical approach for Option Pricing

Christophe Chorro , Dominique Guegan , Florian Ielpo

2009

Autre publication scientifique halshs-00376756v1
Deposit thumbnail

Portfolio Symmetry and Momentum

Monica Billio , Ludovic Calès , Dominique Guegan

2009

Autre publication scientifique halshs-00363383v2
Deposit thumbnail

A new algorithm for the loss distribution function with applications to Operational Risk Management

Dominique Guegan , Bertrand Hassani

2009

Autre publication scientifique halshs-00384398v2
Deposit thumbnail

An economic view of carbon allowances market

Marius-Cristian Frunza , Dominique Guegan

2009

Autre publication scientifique halshs-00390676v1
Deposit thumbnail

Testing fractional order of long memory processes : a Monte Carlo study

Laurent Ferrara , Dominique Guegan , Zhiping Lu

2008

Autre publication scientifique halshs-00259193v1
Deposit thumbnail

Forecasting chaotic systems : the role of local Lyapunov exponents

Dominique Guegan , Justin Leroux

2008

Autre publication scientifique halshs-00259238v2
Deposit thumbnail

Non-stationarity and meta-distribution

Dominique Guegan

2008

Autre publication scientifique halshs-00270708v1
Deposit thumbnail

Dynamic Analysis of the Insurance Linked Securities Index

Mathieu Gatumel , Dominique Guegan

2008

Autre publication scientifique halshs-00320378v1
Deposit thumbnail

Pricing bivariate option under GARCH processes with time-varying copula

Jing Zhang , Dominique Guegan

2008

Autre publication scientifique halshs-00259242v1
Deposit thumbnail

Effect of noise filtering on predictions : on the routes of chaos

Dominique Guegan

2008

Autre publication scientifique halshs-00235448v1
Deposit thumbnail

Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results

Christophe Chorro , Dominique Guegan , Florian Ielpo

2008

Autre publication scientifique hal-00308687v1
Deposit thumbnail

Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology

Christophe Chorro , Dominique Guegan , Florian Ielpo

2008

Autre publication scientifique halshs-00281585v1
Deposit thumbnail

Towards an understanding approach of the insurance linked securities market

Mathieu Gatumel , Dominique Guegan

2008

Autre publication scientifique halshs-00235354v1
Deposit thumbnail

The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics

Abdou Kâ Diongue , Dominique Guegan

2008

Autre publication scientifique halshs-00259225v1
Deposit thumbnail

Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations

Abdou Kâ Diongue , Dominique Guegan , Rodney C. Wolff

2008

Autre publication scientifique halshs-00270719v1
Deposit thumbnail

Business surveys modelling with Seasonal-Cyclical Long Memory models

Laurent Ferrara , Dominique Guegan

2008

Autre publication scientifique halshs-00277379v1
Deposit thumbnail

Estimation of k-factor GIGARCH process : a Monte Carlo study

Abdou Kâ Diongue , Dominique Guegan

2008

Autre publication scientifique halshs-00235179v1
Deposit thumbnail

Which is the best model for the US inflation rate: a structural changes model or a long memory process?

Lanouar Charfeddine , Dominique Guegan

2007

Autre publication scientifique halshs-00188309v1
Deposit thumbnail

Further evidence on the impact of economic news on interest rates

Dominique Guegan , Florian Ielpo

2007

Autre publication scientifique halshs-00188331v1
Deposit thumbnail

Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market

Dominique Guegan , Jing Zhang

2007

Autre publication scientifique halshs-00188248v1
Deposit thumbnail

A note on self-similarity for discrete time series

Dominique Guegan , Zhiping Lu

2007

Autre publication scientifique halshs-00187910v1
Deposit thumbnail

Global and local stationary modelling in finance: theory and empirical evidence

Dominique Guegan

2007

Autre publication scientifique halshs-00187875v1
Deposit thumbnail

Flexible time series models for subjective distribution estimation with monetary policy in view

Dominique Guegan , Florian Ielpo

2007

Autre publication scientifique halshs-00188247v1
Deposit thumbnail

Forecasting electricity spot market prices with a k-factor GIGARCH process

Abdou Kâ Diongue , Dominique Guegan , Bertrand Vignal

2007

Autre publication scientifique halshs-00188264v2
Deposit thumbnail

Change analysis of dynamic copula for measuring dependence in multivariate financial data

Dominique Guegan , Jing Zhang

2006

Autre publication scientifique halshs-00189141v2
Deposit thumbnail

Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices

Dominique Guegan , Sophie A. Ladoucette

2005

Autre publication scientifique halshs-00189214v1
Deposit thumbnail

Regime switching model: real or spurious long memory?

Dominique Guegan , Stéphanie Rioublanc

2005

Autre publication scientifique halshs-00189208v1

Analyser les séries chronologiques avec S-Plus : une approche paramétrique,

Dominique Guegan , Laurent Ferrara

2003

Autre publication scientifique halshs-00201328v1