Dominique Guégan

274
Documents

Presentation

Dominique Guégan is currently Emeritus Professor of Mathematics at the University Paris1 Panthéon – Sorbonne inside the CNRS Research Laboratory CES (Centre d’Economie de la Sorbonne). Her domains of research are: Financial regulation – Fintech technology (Blockchain, big data, HFT) - non-linear econometrics modelling - Extreme value theory and risk measures in finance - pricing theory in incomplete markets- Deterministic dynamical systems. She belongs to the LaBex ReFi (Financial regulation). She is an associate researcher to University Ca’Foscari in Venezia.

She has already supervised 37 PhD in economics and mathematics. She currently supervised 2 thesis. She has already published 11 books in statistics theory, time series and finance, participate for chapters in 30 books , and published more than130 academic papers . She is regularly invited in universities around the world to give seminars or lectures for long stays in Italy (Venezia , Firenze, Padova ), in Danemark (Arrhus), in The Netherlands (Rotterdam), in Belgium (Louvain), in Germany (Berlin ), in Great Britain (London, Warwick), in Russia (HCE Moscou), in Hong Kong University, in China (Shanghai , Beijing, Tianjin), in Manilla, in Japan (Tokyo), in India (Calcutta, New Delhi), in Australia (Sydney, Brisbane, Melbourne), in New Zealand, in Canada (Montreal), in Brazil ( Porto Alegre, Rio) .

She also participates to several international projects supported by French government, or European Commission, or International institutions. These projects focus on the financial regulation, the measures of risks and the decisions of Basel committee in Europe, the Fintech industry, the development of long term risks and the way to take them into account both for bankers, insurance companies and individuals, the importance of systemic risks with the actual financial crisis and the globalization of the markets. These projects link the research and the works of several academic teams inside French universities, European universities, North American Universities, and also enterprises.

She is nominated, since August 2018, Associated Editor in the Journal Frontiers in Artificial Intelligence for the section
Artificial Intelligence in Finance.

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Publications

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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⟩
Journal articles hal-04085236 v1
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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⟩
Journal articles hal-03205154 v1
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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⟩
Journal articles halshs-04250269 v1

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⟩
Journal articles halshs-02119190 v1
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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⟩
Journal articles halshs-01835164 v1

The Digital World: II - Alternatives to the Bitcoin Blockchain

Dominique Guegan
Bankers Markets & Investors : an academic & professional review, 2018, 152, pp.1-6
Journal articles halshs-01906522 v1

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⟩
Journal articles halshs-01835213 v1

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⟩
Journal articles halshs-01917569 v1

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

Dominique Guegan
Bankers Markets & Investors : an academic & professional review, 2018, 151, pp.1-6
Journal articles halshs-01906518 v1

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⟩
Journal articles halshs-01917590 v1

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⟩
Journal articles halshs-01917629 v1

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

Dominique Guegan
Revue Banque, 2018, 817, pp.60-63
Journal articles halshs-01906259 v1

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⟩
Journal articles halshs-01899495 v1

Blockchain publique et contrats intelligents. Ethéreum : possibilités et limites

Dominique Guegan
Revue Banque, 2017, 814, pp.60-63
Journal articles halshs-01906243 v1

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⟩
Journal articles halshs-01592736 v1

Blockchain publique vs Blockchain privée : enjeux et limites

Dominique Guegan
Revue Banque, 2017, 810, pp.80-82
Journal articles halshs-01906189 v1

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⟩
Journal articles hal-01397328 v1

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⟩
Journal articles hal-01397357 v1

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
Journal articles halshs-00645841 v1

A Rank-based Approach to Cross-Sectional Analysis

Dominique Guegan , Monica Billio , Ludovic Calès
European Journal of Operational Research, 2015, A paraître
Journal articles halshs-00646073 v1

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
Journal articles halshs-00646211 v1

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⟩
Journal articles hal-01310518 v1

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⟩
Journal articles hal-01310533 v1

Alternative modeling for long term risk

Dominique Guegan , Xin Zhao
Quantitative Finance, 2014, 14 (12), pp.2237-2253. ⟨10.1080/14697688.2013.835860⟩
Journal articles hal-00964956 v1

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⟩
Journal articles hal-01310473 v1

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⟩
Journal articles halshs-00645778 v1

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)
Journal articles hal-01310545 v1

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⟩
Journal articles hal-00964950 v1

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⟩
Journal articles hal-00965005 v1

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⟩
Journal articles hal-00964975 v1

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⟩
Journal articles istex halshs-00759093 v1
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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⟩
Journal articles hal-00511965 v1
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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⟩
Journal articles halshs-00721339 v1

Extreme values of random or chaotic discretization steps and connected networks

Dominique Guegan , Matthieu Garcin
Applied Mathematical Sciences, 2012, 6 (119), pp.5901-5926
Journal articles halshs-00750231 v1

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⟩
Journal articles istex hal-01314013 v1
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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
Journal articles halshs-00722029 v1
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An econometric Study for Vine Copulas

Dominique Guegan , Pierre-André Maugis
International Journal of Economics and Finance, 2011, 2 (5), pp.2-14
Journal articles halshs-00645799 v1

Missing trader fraud on the emissions market

Dominique Guegan , Marius-Cristian Frunza , Fabrice Thiebaut
Journal of Financial Crime, 2011, 18 (2), pp.25-33
Journal articles halshs-00646205 v1

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
Journal articles halshs-00646070 v1
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Portfolio Symmetry and Momentum

Monica Billio , Ludovic Calès , Dominique Guegan
European Journal of Operational Research, 2011, 214 (3), pp.759-767
Journal articles halshs-00645814 v1
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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
Journal articles halshs-00790217 v1

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
Journal articles halshs-00755502 v1

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

Dominique Guegan
Brussels Economic Review , 2010, 53 (2), pp.255-272
Journal articles halshs-00645851 v1
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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⟩
Journal articles halshs-00368334 v1
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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
Journal articles halshs-00471362 v1
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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⟩
Journal articles halshs-00460461 v1
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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
Journal articles halshs-00460472 v1
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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⟩
Journal articles halshs-00437927 v1
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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⟩
Journal articles hal-00486655 v1
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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⟩
Journal articles halshs-00368340 v1

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
Journal articles halshs-00645890 v1
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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⟩
Journal articles halshs-00307606 v2
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Chaos in Economics and Finance

Dominique Guegan
Annual Reviews in Control, 2009, 33 (1), pp.89-93. ⟨10.1016/j.arcontrol.2009.01.002⟩
Journal articles halshs-00375713 v2
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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⟩
Journal articles halshs-00368336 v1

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
Journal articles halshs-00439820 v1
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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⟩
Journal articles halshs-00431726 v2

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
Journal articles halshs-00439813 v1
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A modified Panjer algorithm for operational risk capital calculations

Dominique Guegan , Bertrand Hassani
Journal of Operational Risk, 2009, 4 (4), pp.53-72
Journal articles halshs-00443846 v1
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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
Journal articles halshs-00375765 v1
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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⟩
Journal articles halshs-00286054 v1
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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
Journal articles halshs-00368356 v1
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Business surveys modelling with Seasonal-Cyclical Long Memory models

Laurent Ferrara , Dominique Guegan
Economics Bulletin, 2008, 3 (29), pp.1-10
Journal articles halshs-00283710 v1
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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⟩
Journal articles halshs-00185369 v1
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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⟩
Journal articles halshs-00375758 v1
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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
Journal articles halshs-00368358 v1
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La persistance dans les marchés financiers

Dominique Guegan
Banque & Marchés, 2007, 90, pp.34 - 43
Journal articles halshs-00179269 v1
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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⟩
Journal articles halshs-00179275 v1
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Hedging tranches index products : illustration of model dependency

Dominique Guegan , Julien Houdain
The Icfai Journal of derivatives markets, 2006, 4, pp.39 - 61
Journal articles halshs-00179325 v1

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
Journal articles halshs-00180862 v1
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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⟩
Journal articles halshs-00179339 v1
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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
Journal articles halshs-00179336 v1
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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
Journal articles halshs-00201309 v1
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tail behavior of a threshold autoregressive stochastic volatility model

Aliou Diop , Dominique Guegan
Extremes, 2005, 7, pp.369 - 377
Journal articles halshs-00188530 v1
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On the use of nearest neighbors in finance

Nicolas Huck , Dominique Guegan
Finance, 2005, 26, pp.67-86
Journal articles halshs-00180858 v1
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How can we define the concept of long memory ? An econometric survey,

Dominique Guegan
: Econometric Reviews,, 2005, 24 (2), pp.113 - 149
Journal articles halshs-00179343 v1
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Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets

Cyril Caillault , Dominique Guegan
Quantitative Finance, 2005, 5, pp.489 - 501
Journal articles halshs-00180865 v1
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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
Journal articles halshs-00180873 v1
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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⟩
Journal articles halshs-00179285 v1
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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
Journal articles halshs-00188532 v1
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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
Journal articles halshs-00188531 v1
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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
Journal articles halshs-00201315 v1
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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
Journal articles halshs-00201314 v1
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Extreme Distribution of a Generalized Stochastic Volatility Model,

Aliou Diop , Dominique Guegan
South African Journal of Statistics,, 2003, 37, pp.127 - 148
Journal articles halshs-00188535 v1

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
Journal articles halshs-00201333 v1
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Extreme values of particular nonlinear processes

Dominique Guegan , Sophie A. Ladoucette
C.R.A.S., 2002, 335, pp.73 - 78
Journal articles halshs-00201320 v1

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
Journal articles halshs-00193644 v1

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⟩
Journal articles halshs-00193667 v1

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⟩
Journal articles istex halshs-00193651 v1

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⟩
Journal articles istex halshs-00194303 v1

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
Journal articles halshs-00194345 v1

A New Model: The k-Factor GIGARCH Process

Dominique Guegan
Journal of Signal Processing, 2000, 4 (3), pp.265-271
Journal articles halshs-00199207 v1

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⟩
Journal articles halshs-00194421 v1

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⟩
Journal articles istex halshs-00194462 v1

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⟩
Journal articles halshs-00194487 v1

Determinating Lyapunov exponents in deterministic dynamical systems

Michel Delecroix , Dominique Guegan , Guillaume Léorat
Computational Statistics, 1997, 12 (1), pp.93-107
Journal articles halshs-00196413 v1

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⟩
Journal articles istex halshs-00199314 v1

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
Journal articles halshs-00199592 v1

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⟩
Journal articles istex halshs-00199345 v1

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⟩
Journal articles istex halshs-00199350 v1

Probabilistic properties of the Béta-ARCH model

Jean Diebolt , Dominique Guegan
Statistica Sinica, 1994, 4 (1), pp.71-88
Journal articles halshs-00199490 v1

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
Journal articles halshs-00199526 v1

Power of the score test against bilinear time series models

Dominique Guegan , Dinh Tuan Pham
Statistica Sinica, 1992, 2 (1), pp.157-169
Journal articles halshs-00199498 v1
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Processus à Longue Mémoire. Propriétés Probabilistes et Statistiques

Dominique Guegan
Annales de l'ISUP, 1991, XXXVI (1-2), pp.5-41
Journal articles hal-03664650 v1
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Statistique Paramétrique des processus Longue Mémoire

Dominique Guegan
Annales de l'ISUP, 1991, XXXVI (1-2), pp.125-140
Journal articles hal-03664801 v1

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
Journal articles halshs-00199596 v1

Big Data, Artificial Intelligence and Blockchain

Dominique Guegan
Big Data, Artificial Intelligence and Blockchain, Université Saint-Louis du Sénégal, Mar 2019, Sénégal, Senegal
Conference papers halshs-02137851 v1

Risks and Blockchain

Dominique Guegan
1st International Symposium on Entrepreneurship, Blockchain and Crypto-Finance, UTC Tunis, Apr 2019, Tunis, Tunisia
Conference papers halshs-02129864 v1

Fintech and Blockchain

Dominique Guegan
Reading seminars 2018-2019, University Ca Foscari, Apr 2019, Venise, Italy
Conference papers halshs-02129853 v1

Operational risk in blockchain payments

Dominique Guegan
Fin-Tech HO2020 European Project: FINTECH Risk Management, University of Pavia, Feb 2019, Pavie, Italy
Conference papers halshs-02125743 v1

Blockchain seminar: Risk and Blockchain

Dominique Guegan
Blockchain seminar: Risk and Blockchain, Conservatoire des Arts et Métiers (CNAM), Jan 2019, Paris, France
Conference papers halshs-02125682 v1

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
Conference papers halshs-02125631 v1

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
Conference papers halshs-01896907 v1

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
Conference papers halshs-01889154 v1

Initial Token Offerings (ITOs) and corporate governance

Dominique Guegan , Stéphane Blémus
Forecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Conference papers halshs-01897035 v1

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
Conference papers halshs-01897052 v1

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
Conference papers halshs-01917661 v1

Assessment of proxy-hedging in jet-fuel markets

Dominique Guegan , Marius Cristian Frunza , Rostislav Haliplii
IRMBAM 2018, Jul 2018, Nice, France
Conference papers halshs-01905479 v1

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
Conference papers halshs-01899548 v1

Bitcoin and the challenge for regulation

Dominique Guegan
Vietnam Symposium in Banking and Finance, Oct 2017, Ho Chi Minh City, Vietnam
Conference papers halshs-01897056 v1

Regulatory Learning: Credit Scoring Application of Machine Learning

Dominique Guegan , Bertrand K. Hassani
DMBD 2017, Jul 2017, Fukuoka, Japan
Conference papers halshs-01905489 v1

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
Conference papers halshs-01906485 v1

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
Conference papers halshs-01906496 v1

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
Conference papers halshs-00646829 v1

Derivative pricing and hedging on carbon market

Dominique Guegan , Marius-Cristian Frunza
2009 International Conference on Computer and Development, Feb 2009, Kota Kinabalu, Malaysia
Conference papers halshs-00646182 v1
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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
Conference papers halshs-00185370 v1
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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
Conference papers halshs-00188533 v1

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
Conference papers halshs-00375663 v1

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
Conference papers halshs-00375658 v1

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⟩
Book sections hal-01310467 v1

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⟩
Book sections hal-01310469 v1

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⟩
Book sections hal-01310513 v1

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
Book sections hal-00755507 v1

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
Book sections halshs-00644500 v1
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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
Book sections halshs-00185373 v1
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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
Book sections halshs-00511995 v1
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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
Book sections halshs-00511979 v1

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
Book sections halshs-00375378 v1

Former les analystes et opérateurs financiers

Dominique Guegan
Gaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 95-104 (chapitre 6), 2009
Book sections halshs-00375376 v1
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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
Book sections halshs-00511996 v1

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
Book sections halshs-00755510 v1
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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
Book sections halshs-00646178 v1

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
Book sections halshs-00265708 v1
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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
Book sections halshs-00185372 v1

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
Book sections halshs-00201321 v1

Forecasting with non Gaussian long memory processes

Dominique Guegan , Jerome Collet
Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.285 - 288, 2003
Book sections halshs-00201323 v1

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
Book sections halshs-00196426 v1

Some remarks on the statistical modelling of chaotic systems

Dominique Guegan
Alistair I. Mees. Nonlinear Dynamics and Statistics, Birkhäuser Boston, 400 - Chapitre 5, 2001
Book sections halshs-00196432 v1

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
Book sections halshs-00199126 v1

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
Book sections halshs-00199167 v1

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
Book sections halshs-00375667 v1

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
Book sections halshs-00199145 v1

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
Book sections halshs-00199187 v1

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
Book sections halshs-00199178 v1
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Fair learning with bagging

Jean-David Fermanian , Dominique Guegan
2021
Other publications halshs-03500906 v1
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A Note on the Interpretability of Machine Learning Algorithms

Dominique Guegan
2020
Other publications halshs-02900929 v1
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Artificial Intelligence, Data, Ethics: An Holistic Approach for Risks and Regulation

Alexis Bogroff , Dominique Guegan
2019
Other publications halshs-02181597 v1
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The other side of the Coin: Risks of the Libra Blockchain

Louis Abraham , Dominique Guegan
2019
Other publications halshs-02325808 v1
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Crypto assets: the role of ICO tokens within a well-diversified portfolio

Saman Adhami , Dominique Guegan
2019
Other publications halshs-02353656 v1
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Initial Crypto-asset Offerings (ICOs), tokenization and corporate governance

Stéphane Blémus , Dominique Guegan
2019
Other publications halshs-02079171 v1
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Credit Risk Analysis using Machine and Deep Learning models

Peter Martey Addo , Dominique Guegan , Bertrand Hassani
2018
Other publications halshs-01719983 v1
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Is the Bitcoin Rush Over?

Dominique Guegan , Marius Cristian Frunza
2018
Other publications halshs-01822992 v1
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A novel multivariate risk measure: the Kendall VaR

Matthieu Garcin , Dominique Guegan , Bertrand Hassani
2018
Other publications halshs-01467857 v2
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The Digital World: I - Bitcoin: from history to real live

Dominique Guegan
2018
Other publications halshs-01822962 v1
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Les ICO la nouvelle façon de lever des fonds sans contrainte ?

Dominique Guegan
2018
Other publications halshs-01719901 v1
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A Probative Value for Authentication Use Case Blockchain

Dominique Guegan , Christophe Hénot
2018
Other publications halshs-01896540 v1
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Nonparametric forecasting of multivariate probability density functions

Dominique Guegan , Matteo Iacopini
Other publications halshs-01821815 v1
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On the parameters estimation of the Seasonal FISSAR Model

Papa Ousmane Cissé , Dominique Guegan , Abdou Kâ Diongue
2018
Other publications halshs-01832115 v1
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The Digital World: II – Alternatives to the Bitcoin Blockchain?

Dominique Guegan
2018
Other publications halshs-01832002 v1
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Public Blockchain versus Private blockhain

Dominique Guegan
2017
Other publications halshs-01524440 v1
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Blockchain Publique versus Blockchain Privée : Enjeux et Limites

Dominique Guegan
2017
Other publications halshs-01673321 v1
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An alternative class of distortion operators

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Other publications halshs-01543251 v1
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Testing for Leverage Effects in the Returns of US Equities

Christophe Chorro , Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison
2017
Other publications halshs-00973922 v2
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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
Other publications halshs-00917797 v2
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Regulatory Learning: how to supervise machine learning models? An application to credit scoring

Dominique Guegan , Bertrand Hassani
2017
Other publications halshs-01592168 v2
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Measuring risks in the extreme tail: The extreme VaR and its confidence interval

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Other publications halshs-01317391 v3
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Blockchain publique et contrats intelligents (Smart Contrats). Les possibilités ouvertes par Ethéreum... et ses limites

Dominique Guegan
2017
Other publications halshs-01673329 v1
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Multivariate Reflection Symmetry of Copula Functions

Monica Billio , Lorenzo Frattarolo , Dominique Guegan
2017
Other publications halshs-01592147 v1
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Impact of multimodality of distributions on VaR and ES calculations

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Other publications halshs-01491990 v1
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Three-stage estimation method for non-linear multiple time-series

Dominique Guegan , Giovanni de Luca , Giorgia Rivieccio
2017
Other publications halshs-01439860 v1
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Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure

Dominique Guegan , Bertrand K. Hassani , Kehan Li
2016
Other publications halshs-01277880 v1
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More Accurate Measurement for Enhanced Controls: VaR vs ES?

Dominique Guegan , Bertrand Hassani
2016
Other publications halshs-01281940 v1
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Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model

Papa Ousmane Cissé , Abdou Kâ Diongue , Dominique Guegan
2016
Other publications halshs-01278126 v1
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Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion

Dominique Guegan , Bertrand K. Hassani
2016
Other publications halshs-01318093 v1
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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
Other publications halshs-01391103 v1
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The Spectral Stress VaR (SSVaR)

Dominique Guegan , Bertrand K. Hassani , Kehan Li
2015
Other publications halshs-01169537 v1
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Risk or Regulatory Capital? Bringing distributions back in the foreground

Dominique Guegan , Bertrand Hassani
2015
Other publications halshs-01169268 v1
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Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact

Matthieu Garcin , Dominique Guegan
2015
Other publications halshs-01244239 v1
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Stress Testing Engineering: the real risk measurement?

Dominique Guegan , Bertrand Hassani
2014
Other publications halshs-00951593 v1
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Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions

Dominique Guegan , Bertrand Hassani
2014
Other publications halshs-00969242 v1
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Empirical Projected Copula Process and Conditional Independence An Extended Version

Lorenzo Frattarolo , Dominique Guegan
2013
Other publications halshs-00881185 v1
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Turning point chronology for the Euro-Zone: A Distance Plot Approach

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Other publications halshs-00803457 v1
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Using a time series approach to correct serial correlation in operational risk capital calculation

Dominique Guegan , Bertrand Hassani
2013
Other publications halshs-00771387 v2
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Understanding Exchange Rates Dynamics

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Other publications halshs-00803447 v1
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Probability density of the wavelet coefficients of a noisy chaos

Matthieu Garcin , Dominique Guegan
2013
Other publications hal-00800997 v1
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Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Other publications halshs-00803450 v1
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Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions

Dominique Guegan , Bertrand Hassani , Xin Zhao
2013
Other publications halshs-00820839 v1
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Cross-Sectional Analysis through Rank-based Dynamic Portfolios

Monica Billio , Ludovic Calès , Dominique Guegan
2012
Other publications halshs-00707430 v1
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A theoretical framework for trading experiments

Maxence Soumare , Jørgen Vitting Andersen , Francis Bouchard , Alain Elkaim , Dominique Guegan et al.
2012
Other publications halshs-00768898 v1
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Aggregation of Market Risks using Pair-Copulas

Dominique Guegan , Fatima Jouad
2012
Other publications halshs-00706689 v1
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Option pricing with discrete time jump processes

Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison
2012
Other publications halshs-00611706 v2
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Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach

Peter Martey Addo , Monica Billio , Dominique Guegan
2012
Other publications halshs-00694420 v1
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Extreme values of random or chaotic discretization steps

Matthieu Garcin , Dominique Guegan
2012
Other publications hal-00706825 v1
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Comparaison of Several Estimation Procedures for Long Term Behavior

Dominique Guegan , Zhiping Lu , Beijia Zhu
2012
Other publications halshs-00673934 v1
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Alternative Modeling for Long Term Risk

Dominique Guegan , Xin Zhao
2012
Other publications halshs-00694449 v1
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Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach

Dominique Guegan , Bertrand Hassani
2012
Other publications halshs-00587706 v3
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Viewing Risk Measures as information

Dominique Guegan , Wayne Tarrant
2011
Other publications halshs-00639489 v1
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A test for a new modelling : The Univariate MT-STAR Model

Peter Martey Addo , Monica Billio , Dominique Guegan
2011
Other publications halshs-00659158 v1
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An Omnibus Test to Detect Time-Heterogeneity in Time Series

Dominique Guegan , Philippe de Peretti
2011
Other publications halshs-00560221 v2
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Tests of structural changes in conditional distributions with unknown changepoints

Dominique Guegan , Philippe de Peretti
2011
Other publications halshs-00611932 v1
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A mathematical resurgence of risk management: an extreme modeling of expert opinions

Dominique Guegan , Bertrand Hassani
2011
Other publications halshs-00639666 v1
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Operational risk: A Basel II++ step before Basel III

Dominique Guegan , Bertrand Hassani
2011
Other publications halshs-00639484 v3
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Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems

Dominique Guegan , Justin Leroux
2010
Other publications halshs-00462454 v1
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Option pricing for GARCH-type models with generalized hyperbolic innovations

Christophe Chorro , Dominique Guegan , Florian Ielpo
2010
Other publications halshs-00469529 v1
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A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques

Dominique Guegan , Patrick Rakotomarolahy
2010
Other publications halshs-00461711 v1
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Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market

Marius-Cristian Frunza , Dominique Guegan
2010
Other publications halshs-00504209 v1
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New Prospects on Vines

Dominique Guegan , Pierre-André Maugis
2010
Other publications halshs-00348884 v3
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Alternative methods for forecasting GDP

Dominique Guegan , Patrick Rakotomarolahy
2010
Other publications halshs-00505165 v1
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Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes

Marius-Cristian Frunza , Dominique Guegan , Antonin Lassoudière
2010
Other publications halshs-00505145 v1
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Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes

Christophe Chorro , Dominique Guegan , Florian Ielpo
2010
Other publications halshs-00523371 v1
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Statistical evidence of tax fraud on the carbon allowances market

Marius-Cristian Frunza , Dominique Guegan , Antonin Lassoudière
2010
Other publications halshs-00523458 v1
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On the necessity of five risk measures

Dominique Guegan , Wayne Tarrant
2010
Other publications halshs-00460901 v1
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A Note on fair Value and Illiquid Markets

Dominique Guegan , Chafic Merhy
2010
Other publications halshs-00460856 v1
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A short note on option pricing with Lévy Processes

Dominique Guegan , Hanjarivo Lalaharison
2010
Other publications halshs-00542475 v1
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An Econometric Study of Vine Copulas

Dominique Guegan , Pierre-André Maugis
2010
Other publications halshs-00492124 v1
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Derivative Pricing and Hedging on Carbon Market

Marius-Cristian Frunza , Dominique Guegan
2010
Other publications halshs-00461474 v1
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Missing trader fraud on the emissions market

Marius-Cristian Frunza , Dominique Guegan , Fabrice Thiebaut
2010
Other publications halshs-00523512 v1
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A Cross-Sectional Performance Measure for Portfolio Management

Monica Billio , Ludovic Calès , Dominique Guegan
2010
Other publications halshs-00523466 v1
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A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios

Monica Billio , Ludovic Calès , Dominique Guegan
2010
Other publications halshs-00476038 v1
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Testing unit roots and long range dependence of foreign exchange

Dominique Guegan , Zhiping Lu
2010
Other publications halshs-00505117 v1
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An efficient threshold choice for operational risk capital computation

Dominique Guegan , Bertrand Hassani , Cédric Naud
2010
Other publications halshs-00544342 v2
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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
Other publications halshs-00423890 v1
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Wavelet Method for Locally Stationary Seasonal Long Memory Processes

Dominique Guegan , Zhiping Lu
2009
Other publications halshs-00375531 v1
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Chaos in economics and finance

Dominique Guegan
2009
Other publications halshs-00187885 v2
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GDP nowcasting with ragged-edge data : A semi-parametric modelling

Laurent Ferrara , Dominique Guegan , Patrick Rakotomarolahy
2009
Other publications halshs-00344839 v2
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Portfolio Symmetry and Momentum

Monica Billio , Ludovic Calès , Dominique Guegan
2009
Other publications halshs-00363383 v2
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Martingalized Historical approach for Option Pricing

Christophe Chorro , Dominique Guegan , Florian Ielpo
2009
Other publications halshs-00376756 v1
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Breaks or Long Memory Behaviour: An empirical Investigation

Lanouar Charfeddine , Dominique Guegan
2009
Other publications halshs-00377485 v1
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A new algorithm for the loss distribution function with applications to Operational Risk Management

Dominique Guegan , Bertrand Hassani
2009
Other publications halshs-00384398 v2
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An economic view of carbon allowances market

Marius-Cristian Frunza , Dominique Guegan
2009
Other publications halshs-00390676 v1
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The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting

Dominique Guegan , Patrick Rakotomarolahy
2009
Other publications halshs-00423871 v2
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Pricing bivariate option under GARCH processes with time-varying copula

Jing Zhang , Dominique Guegan
2008
Other publications halshs-00259242 v1
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Effect of noise filtering on predictions : on the routes of chaos

Dominique Guegan
2008
Other publications halshs-00235448 v1
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Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results

Christophe Chorro , Dominique Guegan , Florian Ielpo
2008
Other publications hal-00308687 v1
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Dynamic Analysis of the Insurance Linked Securities Index

Mathieu Gatumel , Dominique Guegan
2008
Other publications halshs-00320378 v1
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Non-stationarity and meta-distribution

Dominique Guegan
2008
Other publications halshs-00270708 v1
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Forecasting chaotic systems : the role of local Lyapunov exponents

Dominique Guegan , Justin Leroux
2008
Other publications halshs-00259238 v2
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Towards an understanding approach of the insurance linked securities market

Mathieu Gatumel , Dominique Guegan
2008
Other publications halshs-00235354 v1
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Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology

Christophe Chorro , Dominique Guegan , Florian Ielpo
2008
Other publications halshs-00281585 v1
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The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics

Abdou Kâ Diongue , Dominique Guegan
2008
Other publications halshs-00259225 v1
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Business surveys modelling with Seasonal-Cyclical Long Memory models

Laurent Ferrara , Dominique Guegan
2008
Other publications halshs-00277379 v1
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Estimation of k-factor GIGARCH process : a Monte Carlo study

Abdou Kâ Diongue , Dominique Guegan
2008
Other publications halshs-00235179 v1
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Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations

Abdou Kâ Diongue , Dominique Guegan , Rodney C. Wolff
2008
Other publications halshs-00270719 v1
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Testing fractional order of long memory processes : a Monte Carlo study

Laurent Ferrara , Dominique Guegan , Zhiping Lu
2008
Other publications halshs-00259193 v1
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Which is the best model for the US inflation rate: a structural changes model or a long memory process?

Lanouar Charfeddine , Dominique Guegan
2007
Other publications halshs-00188309 v1
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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market

Dominique Guegan , Jing Zhang
2007
Other publications halshs-00188248 v1
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Further evidence on the impact of economic news on interest rates

Dominique Guegan , Florian Ielpo
2007
Other publications halshs-00188331 v1
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A note on self-similarity for discrete time series

Dominique Guegan , Zhiping Lu
2007
Other publications halshs-00187910 v1
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Global and local stationary modelling in finance: theory and empirical evidence

Dominique Guegan
2007
Other publications halshs-00187875 v1
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Flexible time series models for subjective distribution estimation with monetary policy in view

Dominique Guegan , Florian Ielpo
2007
Other publications halshs-00188247 v1
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Forecasting electricity spot market prices with a k-factor GIGARCH process

Abdou Kâ Diongue , Dominique Guegan , Bertrand Vignal
2007
Other publications halshs-00188264 v2
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Change analysis of dynamic copula for measuring dependence in multivariate financial data

Dominique Guegan , Jing Zhang
2006
Other publications halshs-00189141 v2
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Regime switching model: real or spurious long memory?

Dominique Guegan , Stéphanie Rioublanc
2005
Other publications halshs-00189208 v1
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Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices

Dominique Guegan , Sophie A. Ladoucette
2005
Other publications halshs-00189214 v1

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

Dominique Guegan , Laurent Ferrara
2003
Other publications halshs-00201328 v1