
Dominique Guégan
274
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Publications
Risks and Blockchain1st International Symposium on Entrepreneurship, Blockchain and Crypto-Finance, UTC Tunis, Apr 2019, Tunis, Tunisia
Communication dans un congrès
halshs-02129864
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Big Data, Artificial Intelligence and BlockchainBig Data, Artificial Intelligence and Blockchain, Université Saint-Louis du Sénégal, Mar 2019, Sénégal, Senegal
Communication dans un congrès
halshs-02137851
v1
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Fintech and BlockchainReading seminars 2018-2019, University Ca Foscari, Apr 2019, Venise, Italy
Communication dans un congrès
halshs-02129853
v1
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Operational risk in blockchain paymentsFin-Tech HO2020 European Project: FINTECH Risk Management, University of Pavia, Feb 2019, Pavie, Italy
Communication dans un congrès
halshs-02125743
v1
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Blockchain seminar: Risk and BlockchainBlockchain seminar: Risk and Blockchain, Conservatoire des Arts et Métiers (CNAM), Jan 2019, Paris, France
Communication dans un congrès
halshs-02125682
v1
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Credit Risk Analysis using Machine and Deep Learning ModelsCredit Risk Analysis Using Machine and Deep Learning Models, Università degli Studi di Padova, Jan 2019, Padoue, Italy
Communication dans un congrès
halshs-02125631
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Credit Risk Analysis Using machine and Deep Learning Models3small Business Risk, Financial Regulation and Big Data Analytics, Sep 2018, Palazzo Franchetti - Venice, Italy
Communication dans un congrès
halshs-01889154
v1
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Measuring risk an explosive environmentForecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Communication dans un congrès
halshs-01896907
v1
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Initial Token Offerings (ITOs) and corporate governanceForecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Communication dans un congrès
halshs-01897035
v1
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A new token: the CommodCoin. What could be its interest for financial market? A macro-economic modellingDigital, Innovation, Entrepreneurship and Financing, Jun 2018, Lyon, France
Communication dans un congrès
halshs-01897052
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Measuring risk in an explosive environmentVietnam Symposium in Banking and Finance (VSBF), Oct 2018, Hué City, Vietnam
Communication dans un congrès
halshs-01917661
v1
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Assessment of proxy-hedging in jet-fuel marketsIRMBAM 2018, Jul 2018, Nice, France
Communication dans un congrès
halshs-01905479
v1
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Impact of multimodality of distributions on VaR and ES calculation10th 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-01899548
v1
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Bitcoin and the challenge for regulationVietnam Symposium in Banking and Finance, Oct 2017, Ho Chi Minh City, Vietnam
Communication dans un congrès
halshs-01897056
v1
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Regulatory Learning: Credit Scoring Application of Machine LearningDMBD 2017, Jul 2017, Fukuoka, Japan
Communication dans un congrès
halshs-01905489
v1
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Financial Regulation: More Accurate Measurements for Control Enhancements and the Capture of the Intrinsic Uncertainty of the VaRvsbf: 2016 Vietnam Symposium in Banking and Finance, Nov 2016, Hanoi, Vietnam
Communication dans un congrès
halshs-01906496
v1
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Risk Measures at Risk- Are we missing the point? Discussions around sub-additivity and distortionConference on Banking and Finance, Sep 2016, Porthmouth, United Kingdom
Communication dans un congrès
halshs-01906485
v1
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Pricing alternatives in incomplete markets. An application for Carbon allowances2011 International Conference on Information and Finance (ICIF 2011), Nov 2011, Malaysia
Communication dans un congrès
halshs-00646829
v1
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Derivative pricing and hedging on carbon market2009 International Conference on Computer and Development, Feb 2009, Kota Kinabalu, Malaysia
Communication dans un congrès
halshs-00646182
v1
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Fractional seasonality: Models and Application to Economic Activity in the Euro AreaConference on Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting, May 2006, Luxembourg. pp.137 - 153
Communication dans un congrès
halshs-00185370
v1
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A k- factor GIGARCH process : estimation and application to electricity market spot prices,Probabilistic methods applied to power systems, Jul 2004, United States. pp.1 - 7
Communication dans un congrès
halshs-00188533
v1
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prediction in chaotic time series: methods and comparisons using simulations5th International ECASP Conference, 1997, Prague, Czech Republic. pp.215 - 218
Communication dans un congrès
halshs-00375663
v1
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Comparison of several methods to predict chaotic time seriesInternational Conference on Complex Systems, 1997, Munich, Germany. pp.3793 - 3797
Communication dans un congrès
halshs-00375658
v1
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Risk MeasurementSpringer. 215 p., 2019
Ouvrages
halshs-02119256
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Future Perspectives in Risk Models and FinanceSpringer, 2015, 978-3-319-07524-2. ⟨10.1007/978-3-319-07524-2⟩
Ouvrages
hal-01310459
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A time series approach to option pricing: Models, Methods and Empirical PerformancesSpringer, 2015
Ouvrages
hal-01015308
v1
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Les chaos en finance: approche statistiqueEconomica, pp.465, 2003, Statistique mathématique et probabilité, Paul Deheuvels
Ouvrages
halshs-00180849
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Analyser les séries chronologiques avec S-Plus: une approche paramétriquePresses Universitaires de renne, pp.147, 2003
Ouvrages
halshs-00375652
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Séries chronologiques non linéaires à temps discretEconomica, pp.308, 1994, Statistique mathématique et probabilité
Ouvrages
halshs-00196420
v1
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Distorsion Risk Measure or the Transformation of Unimodal Distributions into Multimodal FunctionsAlain 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-01310467
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Stress Testing Engineering: The Real Risk Measurement?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-01310469
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Nonlinear Dynamics and Wavelets for Business Cycle AnalysisWavelet Applications in Economics and Finance, 2014, 978-3-319-07060-5. ⟨10.1007/978-3-319-07061-2_4⟩
Chapitre d'ouvrage
hal-01310513
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Non-stationary sample and meta-distributionA. 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-00755507
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Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A ComparisonCatherine Kyrtsou, Costas Vorlow. Progress in financial market research, NOVA publishers, pp.233-254, 2011
Chapitre d'ouvrage
halshs-00185373
v1
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Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systemsE. Tielo-Cuantle. Chaotic Systems, InTech Publishers, 25-38 (chapitre 2), 2011
Chapitre d'ouvrage
halshs-00644500
v1
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Value at Risk Computation in a Non-Stationary SettingGreg 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-00511995
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Alternative methods for forecasting GDPR. 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-00511979
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Former les analystes et opérateurs financiersGaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 95-104 (chapitre 6), 2009
Chapitre d'ouvrage
halshs-00375376
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Mettre les mathématiques financières au service du réelGaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 141-152 (chapitre 10), 2009
Chapitre d'ouvrage
halshs-00375378
v1
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Local Lyapunov Exponents: A new way to predict chaotic systemsChristos 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-00511996
v1
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Derivative pricing and hedging on carbon market2009 International Conference on Computer and Development, Kota Kinanalu (Malaysia), pp.130-133, 2009
Chapitre d'ouvrage
halshs-00755510
v1
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Fractional and seasonal filteringJ.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-00646178
v1
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Synthetic CDO Squared Pricing MethodologiesGreg 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-00265708
v1
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Real-time detection of the business cycle using SETAR modelsG.L. Mazzi and G. Savio. Growth and Cycle in the Euro-zone, Palgrave MacMillan, New York, pp.221-232, 2006
Chapitre d'ouvrage
halshs-00185372
v1
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Estimation de la tail dependance à l'aide de la notion de copuleProc. XXXV ème Journées de Stat., Lyon, ASU, pp.289 - 292, 2003
Chapitre d'ouvrage
halshs-00201321
v1
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Forecasting with non Gaussian long memory processesProc. XXXV ème Journées de Stat., Lyon, ASU, pp.285 - 288, 2003
Chapitre d'ouvrage
halshs-00201323
v1
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Comparison of parameter estimation methods in cyclical long memory time seriesChristian L. Dunis, Allan Timmermann, John E. Moody. Developments in Forecast Combination and Portfolio Choice, Wiley, pp.330, 2001
Chapitre d'ouvrage
halshs-00196426
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Some remarks on the statistical modelling of chaotic systemsAlistair I. Mees. Nonlinear Dynamics and Statistics, Birkhäuser Boston, 400 - Chapitre 5, 2001
Chapitre d'ouvrage
halshs-00196432
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Forecasting financial time series with generalized long memory processesChristian Dunis. Advances in Quantitative Asset Management, Kluver Academic Press, chapter 14, 2000, Studies in computational finance
Chapitre d'ouvrage
halshs-00199126
v1
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Stochastic or chaotic dynamics in high frequency financial dataChristian L. Dunis, Bin Zhou. Nonlinear Modelling of High Frequency Financial Time Series, Wiley, chapter 5, 1998
Chapitre d'ouvrage
halshs-00199167
v1
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Some Recent Developments in Non Linear Time SeriesAtti del Convegno in Honore di Oliviero Lessi, Universita degli Studi di padova, pp.17-38, 1998
Chapitre d'ouvrage
halshs-00375667
v1
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Non parametric forecasting techniques for mixing chaotic time seriesAles Prochazka, N.G. Kingsbury, P.J.W. Payner, J. Uhlir. Signal Analysis and Prediction, Birkhäuser Boston, chapter 25, 1998
Chapitre d'ouvrage
halshs-00199145
v1
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Nonparametric Methods for Time Series and Dynamical SystemsGutti Jogesh Babu, Eric D. Feigelson. Statistical Challenges in Modern Astronomy II, Springer, 303-320 chapter 17, 1997
Chapitre d'ouvrage
halshs-00199178
v1
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From data to modelsT. 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-00199187
v1
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Viewing Risk Measures as information2012
Pré-publication, Document de travail
halshs-00721350
v1
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An Omnibus Test to Detect Time-Heterogeneity in Time Series2012
Pré-publication, Document de travail
halshs-00721327
v1
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Breaks or long memory behaviour : an empirical investigation2012
Pré-publication, Document de travail
halshs-00722032
v1
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Changing-regime volatility : A fractionally integrated SETAR model2006
Pré-publication, Document de travail
halshs-00410540
v1
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