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Dominique Guégan

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Presentation

Dominique Guégan is currently Emeritus Professor of Mathematics at the [University Paris1 Panthéon – Sorbonne](http://centredeconomiesorbonne.univ-paris1.fr/presentation/emerites/) 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](http://www.labex-refi.com/publications/working-papers/labex-refi-working-paper-series-2018/) (Financial regulation). She is an associate researcher to [University Ca’Foscari in Venezia](http://www.unive.it/pag/16868/). 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 ](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity)[Frontiers in Artificial Intelligence](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity) for the section Artificial Intelligence in Finance.

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-04085236v1
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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-03205154v1
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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-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⟩
Journal articles halshs-02119190v1

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-01906518v1

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-01917569v1

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-01917590v1
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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-01835164v1

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-01906522v1

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-01835213v1

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-01917629v1

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

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

Blockchain publique vs Blockchain privée : enjeux et limites

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

Blockchain publique et contrats intelligents. Ethéreum : possibilités et limites

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

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-01592736v1

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-01899495v1

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-01397357v1

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-01397328v1

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-00646073v1

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-00646211v1

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-00645841v1

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-00964956v1

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-01310473v1

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-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⟩
Journal articles hal-01310533v1

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 halshs-00759093v1

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-00964975v1

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-00964950v1

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-00965005v1

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-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)
Journal articles hal-01310545v1
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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-00721339v1

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-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⟩
Journal articles hal-01314013v1
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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-00722029v1
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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-00511965v1
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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-00645814v1

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-00646070v1

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-00646205v1
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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-00645799v1

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-00755502v1
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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-00790217v1

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-00645890v1
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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-00486655v1
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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-00368340v1
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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-00471362v1

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-00645851v1
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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-00460461v1
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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-00368334v1
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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-00437927v1
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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-00460472v1
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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-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
Journal articles halshs-00439820v1
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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-00375713v2
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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-00307606v2
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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-00368336v1
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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-00375765v1
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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-00443846v1

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-00439813v1
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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-00368358v1
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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-00375758v1
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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-00368356v1
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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-00283710v1
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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-00185369v1
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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-00286054v1
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La persistance dans les marchés financiers

Dominique Guegan
Banque & Marchés, 2007, 90, pp.34 - 43
Journal articles halshs-00179269v1
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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-00179275v1
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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-00179325v1
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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-00179285v1
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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-00179336v1
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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-00201309v1
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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-00188530v1
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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-00179343v1
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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-00180858v1
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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-00180865v1
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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-00180873v1

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-00180862v1
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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-00179339v1
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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-00188531v1
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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-00188532v1
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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-00201314v1
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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-00201315v1
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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-00188535v1
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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-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
Journal articles halshs-00201333v1

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-00193667v1

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 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⟩
Journal articles halshs-00193651v1

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-00193644v1

A New Model: The k-Factor GIGARCH Process

Dominique Guegan
Journal of Signal Processing, 2000, 4 (3), pp.265-271
Journal articles 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
Journal articles 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⟩
Journal articles 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⟩
Journal articles halshs-00194462v1

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-00194487v1

Determinating Lyapunov exponents in deterministic dynamical systems

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

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 halshs-00199314v1

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-00199592v1

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 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⟩
Journal articles halshs-00199350v1

Probabilistic properties of the Béta-ARCH model

Jean Diebolt , Dominique Guegan
Statistica Sinica, 1994, 4 (1), pp.71-88
Journal articles 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
Journal articles 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
Journal articles halshs-00199498v1

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-00199596v1
Image document

Processus à Longue Mémoire. Propriétés Probabilistes et Statistiques

Dominique Guegan
Annales de l'ISUP, 1991, XXXVI (1-2), pp.5-41
Journal articles hal-03664650v1
Image document

Statistique Paramétrique des processus Longue Mémoire

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

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-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
Conference papers halshs-02125631v1

Risks and Blockchain

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

Fintech and Blockchain

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

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-02125743v1

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-02137851v1

Assessment of proxy-hedging in jet-fuel markets

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

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-01917661v1

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-01889154v1

Initial Token Offerings (ITOs) and corporate governance

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

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-01897052v1

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-01896907v1

Bitcoin and the challenge for regulation

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

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-01899548v1

Regulatory Learning: Credit Scoring Application of Machine Learning

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

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-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
Conference papers 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
Conference papers 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
Conference papers halshs-00646182v1
Image document

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-00185370v1
Image document

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-00188533v1

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-00375663v1

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-00375658v1

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-01310467v1

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-01310469v1

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-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
Book sections 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
Book sections halshs-00644500v1
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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-00185373v1
Image document

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-00511995v1
Image document

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-00511979v1

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-00755510v1

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-00375376v1
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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-00511996v1

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-00375378v1

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-00265708v1
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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-00646178v1
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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-00185372v1