Dominique Guégan

Identifiants chercheurs

IdHAL :

dominique-guegan

ORCID :

0000-0003-4214-1429

IdRef :

026905809

ISNI :

0000000029418727

Présentation

Publications

Article dans une revue (105)

High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization Monica Billio,Lorenzo Frattarolo,Dominique Guégan Symmetry, 2022, 14 (1), pp.97. ⟨10.3390/sym14010097⟩ Article dans une revue hal-04085236v1
Does investor sentiment on social media provide robust information for Bitcoin returns predictability? Dominique Guégan,Thomas Renault Finance Research Letters, 2021, 38, pp.101494. ⟨10.1016/j.frl.2020.101494⟩ Article dans une revue hal-03205154v1
Is It Possible to Forecast the Price of Bitcoin? Julien Chevallier,Dominique Guégan,Stéphane Goutte Forecasting, 2021, 3 (2), pp.377-420. ⟨10.3390/forecast3020024⟩ Article dans une revue halshs-04250269v1
A probative value for authentication use case blockchain Dominique Guegan,Christophe Hénot Digital Finance, 2019, Smart Data Analytics, Investment Innovation, and Financial Technology, pp.1-25. ⟨10.1007/s42521-019-00003-0⟩ Article dans une revue halshs-02119190v1
The Digital World: II - Alternatives to the Bitcoin Blockchain Dominique Guegan Bankers Markets & Investors : an academic & professional review, 2018, 152, pp.1-6 Article dans une revue halshs-01906522v1
Credit Risk Analysis Using Machine and Deep Learning Models Dominique Guegan,Peter Martey Addo,Bertrand Hassani Risks, 2018, Computational Methods for Risk Management in Economics and Finance, 6 (2), pp.38. ⟨10.3390/risks6020038⟩ Article dans une revue halshs-01835164v1
Regulatory learning: How to supervise machine learning models? An application to credit scoring Dominique Guegan,Bertrand Hassani The Journal of Finance and Data Science, 2018, 4 (3), pp.157-171. ⟨10.1016/j.jfds.2018.04.001⟩ Article dans une revue halshs-01835213v1
Testing for leverage effects in the returns of US equities Christophe Chorro,Dominique Guegan,Florian Ielpo,Hanjarivo Lalaharison Journal of Empirical Finance, 2018, 48, pp.290-306. ⟨10.1016/j.jempfin.2018.07.008⟩ Article dans une revue halshs-01917590v1
More accurate measurement for enhanced controls: VaR vs ES? Dominique Guegan,Bertrand K. Hassani Journal of International Financial Markets, Institutions and Money, 2018, 54, pp.152-165. ⟨10.1016/j.intfin.2017.06.002⟩ Article dans une revue halshs-01917569v1
The Digital World: I - Bitcoin: from history to real life Dominique Guegan Bankers Markets & Investors : an academic & professional review, 2018, 151, pp.1-6 Article dans une revue halshs-01906518v1
Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach Giovanni de Luca,Dominique Guegan,Giorgia Rivieccio Finance Research Letters, 2018, ⟨10.1016/j.frl.2018.10.018⟩ Article dans une revue istex halshs-01917629v1
ICO : la nouvelle façon d lever des fonds sans contrainte ? Dominique Guegan Revue Banque, 2018, 817, pp.60-63 Article dans une revue halshs-01906259v1
Measuring risks in the tail: The extreme VaR and its confidence interval Dominique Guegan,Bertrand Hassani,Kehan Li Risk and Decision Analysis, 2017, Risk and Decision Analysis, 6 (3), pp.213 - 224. ⟨10.3233/RDA-170128⟩ Article dans une revue halshs-01592736v1
Bitcoin and the challenges for financial regulation Dominique Guegan,Anastasia Sotiropoulou Capital Markets Law Journal, 2017, 12 (4), pp.466-479. ⟨10.1093/cmlj/kmx037⟩ Article dans une revue halshs-01899495v1
Blockchain publique et contrats intelligents. Ethéreum : possibilités et limites Dominique Guegan Revue Banque, 2017, 814, pp.60-63 Article dans une revue halshs-01906243v1
Blockchain publique vs Blockchain privée : enjeux et limites Dominique Guegan Revue Banque, 2017, 810, pp.80-82 Article dans une revue halshs-01906189v1
Wavelet shrinkage of a noisy dynamical system with non-linear noise impact Matthieu Garcin,Dominique Guegan Physica D: Nonlinear Phenomena, 2016, 325, pp.126-145. ⟨10.1016/j.physd.2016.03.013⟩ Article dans une revue hal-01397328v1
Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model Papa Ousmane Cissé,Abdou Kâ Diongue,Dominique Guegan Afrika Statistika, 2016, 11 (1), pp.901-922. ⟨10.16929/as/2016.901.82⟩ Article dans une revue hal-01397357v1
Which is the best model for the US inflation rate: a structural changes model or a long memory process Dominique Guegan,Lanouar Charfeddine Journal of Applied Econometrics, 2015, A paraître Article dans une revue halshs-00645841v1
A Rank-based Approach to Cross-Sectional Analysis Dominique Guegan,Monica Billio,Ludovic Calès European Journal of Operational Research, 2015, A paraître Article dans une revue halshs-00646073v1
Dynamic factor analysis of carbon allowances prices: From classic Arbitrage pricing Theory to Switching Regimes Dominique Guegan,Marius-Cristian Frunza,Antonin Lassoudière International Journal of Financial Markets and derivative, 2015, A paraître Article dans une revue halshs-00646211v1
The univariate MT-STAR model and a new linearity and unit root test procedure Peter Martey Addo,Monica Billio,Dominique Guegan Computational Statistics and Data Analysis, 2014, 76, pp.4-19. ⟨10.1016/j.csda.2013.12.009⟩ Article dans une revue istex hal-01310518v1
Probability density of the empirical wavelet coefficients of a noisy chaos Matthieu Garcin,Dominique Guegan Physica D: Nonlinear Phenomena, 2014, 276, pp.28-47. ⟨10.1016/j.physd.2014.03.005⟩ Article dans une revue hal-01310473v1
Turning point chronology for the euro area: A distance plot approach Peter Martey Addo,Monica Billio,Dominique Guegan OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, 8, pp.1-14. ⟨10.1787/19952899⟩ Article dans une revue hal-01310533v1
Alternative modeling for long term risk Dominique Guegan,Xin Zhao Quantitative Finance, 2014, 14 (12), pp.2237-2253. ⟨10.1080/14697688.2013.835860⟩ Article dans une revue hal-00964956v1
Using a time series approach to correct serial correlation in operational risk capital calculation Dominique Guegan,Bertrand Hassani Journal of Operational Risk, 2013, 8 (3) Article dans une revue hal-01310545v1
Multivariate VaRs for operational risk capital computation: a vine structure approach Dominique Guegan,Bertrand Hassani International Journal of Risk Assessment and Management, 2013, 17 (2), pp.148-170. ⟨10.1504/IJRAM.2013.057104⟩ Article dans une revue halshs-00645778v1
Option pricing with discrete time jump processes Dominique Guegan,Florian Ielpo,Hanjarivo Lalaharison Journal of Economic Dynamics and Control, 2013, 37 (12), pp.2417-2445. ⟨10.1016/j.jedc.2013.07.003⟩ Article dans une revue istex hal-00964950v1
Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area Monica Billio,Laurent Ferrara,Dominique Guegan,Gian Luigi Mazzi Journal of Forecasting, 2013, 32 (72, numéro spécial "Modes de gestion des restructurations"), pp.577-586. ⟨10.1002/for.2260⟩ Article dans une revue istex hal-00965005v1
Nonlinear dynamics and recurrence plots for detecting financial crisis Peter Martey Addo,Monica Billio,Dominique Guegan North American Journal of Economics and Finance, 2013, 26, pp.416-435. ⟨10.1016/j.najef.2013.02.014⟩ Article dans une revue istex hal-00964975v1
An omnibus test to detect time-heterogeneity in time series Dominique Guegan,Philippe de Peretti Computational Statistics, 2013, 28 (3), pp.1225-1239. ⟨10.1007/s00180-012-0356-7⟩ Article dans une revue istex halshs-00759093v1
Extreme values of random or chaotic discretization steps and connected networks Dominique Guegan,Matthieu Garcin Applied Mathematical Sciences, 2012, 6 (119), pp.5901-5926 Article dans une revue halshs-00750231v1
Breaks or long memory behavior: An empirical investigation Lanouar Charfeddine,Dominique Guegan Physica A: Statistical Mechanics and its Applications, 2012, 391 (22), pp.5712-5726. ⟨10.1016/j.physa.2012.06.036⟩ Article dans une revue istex hal-01314013v1
Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations Christophe Chorro,Dominique Guegan,Florian Ielpo Quantitative Finance, 2012, 12 (7), pp.1079-1094. ⟨10.1080/14697688.2010.493180⟩ Article dans une revue hal-00511965v1
On the Necessity of Five Risk Measures Dominique Guegan,Wayne Tarrant Annals of Finance, 2012, 8 (4), pp.533-552. ⟨10.1007/s10436-012-0205-2⟩ Article dans une revue halshs-00721339v1
Operational risk : A Basel II++ step before Basel III Dominique Guegan,Bertrand Hassani Journal of risk management in financial institutions, 2012, 6 (13), pp.37 - 53 Article dans une revue halshs-00722029v1
A Cross-Sectional Score for the Relative Performance of an Allocation Dominique Guegan,Ludovic Calès,Monica Billio International Review of Applied Financial Issues and Economics, 2011, 3 (4), pp.700-710 Article dans une revue halshs-00646070v1
Missing trader fraud on the emissions market Dominique Guegan,Marius-Cristian Frunza,Fabrice Thiebaut Journal of Financial Crime, 2011, 18 (2), pp.25-33 Article dans une revue halshs-00646205v1
An econometric Study for Vine Copulas Dominique Guegan,Pierre-André Maugis International Journal of Economics and Finance, 2011, 2 (5), pp.2-14 Article dans une revue halshs-00645799v1
Portfolio Symmetry and Momentum Monica Billio,Ludovic Calès,Dominique Guegan European Journal of Operational Research, 2011, 214 (3), pp.759-767 Article dans une revue halshs-00645814v1
Pricing alternatives in incomplete markets. An application for carbon allowances Dominique Guegan,Marius-Cristian Frunza International Proceedings of Economics Development and Research, 2011, pp.200-204 Article dans une revue halshs-00755502v1
An efficient threshold choice for operational risk capital computation Dominique Guegan,Bertrand Hassani,Cédric Naud The Journal of Operational Risk, 2011, 6 (4), pp.3 - 19 Article dans une revue halshs-00790217v1
Note on new prospects on vines Pierre-André Maugis,Dominique Guegan Insurance Markets and Companies : Analyses and Actuarial Computations, 2010, 1 (1), pp.15-22 Article dans une revue halshs-00471362v1
Effect of noise filtering on predictions: on the routes of chaos Dominique Guegan Brussels Economic Review , 2010, 53 (2), pp.255-272 Article dans une revue halshs-00645851v1
GDP nowcasting with ragged-edge data: a semi-parametric modeling Laurent Ferrara,Dominique Guegan,Patrick Rakotomarolahy Journal of Forecasting, 2010, 29 (1-2), pp.186-199. ⟨10.1002/for.1159⟩ Article dans une revue halshs-00460461v1
Change analysis of a dynamic copula for measuring dependence in multivariate financial data Dominique Guegan,Jing Zhang Quantitative Finance, 2010, 10 (4), pp.421-430. ⟨10.1080/14697680902933041⟩ Article dans une revue halshs-00368334v1
A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques Dominique Guegan,Patrick Rakotomarolahy Economics Bulletin, 2010, 30 (1), pp.508-518 Article dans une revue halshs-00460472v1
Martingalized Historical approach for Option Pricing Christophe Chorro,Dominique Guegan,Florian Ielpo Finance Research Letters, 2010, 7 (1), pp.24-28. ⟨10.1016/j.frl.2009.11.002⟩ Article dans une revue halshs-00437927v1
BL-GARCH model with elliptical distributed innovations Abdou Kâ Diongue,Dominique Guegan,Rodney C. Wolff Journal of Statistical Computation and Simulation, 2010, 80 (7), pp.775-791. ⟨10.1080/00949650902773577⟩ Article dans une revue halshs-00368340v1
Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes Dominique Guegan,Marius-Cristian Frunza,Antonin Lassoudière International Review of Applied Financial Issues and Economics, 2010, 2 (3), pp.576-596 Article dans une revue halshs-00645890v1
Testing Fractional Order of Long Memory Processes: A Monte Carlo Study Laurent Ferrara,Dominique Guegan,Zhiping Lu Communications in Statistics - Simulation and Computation, 2010, 39 (9), pp.795-806. ⟨10.1080/03610911003646381⟩ Article dans une revue hal-00486655v1
Chaos in Economics and Finance Dominique Guegan Annual Reviews in Control, 2009, 33 (1), pp.89-93. ⟨10.1016/j.arcontrol.2009.01.002⟩ Article dans une revue halshs-00375713v2
Forecasting electricity spot market prices with a k-factor GIGARCH process Abdou Kâ Diongue,Dominique Guegan,Bertrand Vignal Applied Energy, 2009, 86 (4), pp.505-510. ⟨10.1016/j.apenergy.2008.07.005⟩ Article dans une revue halshs-00307606v2
Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market Dominique Guegan,Jing Zhang European Journal of Finance, 2009, 15 (7-8), pp.777-795. ⟨10.1080/13518470902895344⟩ Article dans une revue halshs-00368336v1
Forecasting chaotic systems: The role of local Lyapunov exponents Dominique Guegan,Justin Leroux Chaos, Solitons & Fractals, 2009, 41 (5), pp.2401-2404. ⟨10.1016/j.chaos.2008.09.017⟩ Article dans une revue halshs-00431726v2
Further evidence on the impact of economic news on interest rates Dominique Guegan,Florian Ielpo Frontiers in finance and economics, 2009, 6 (2), pp.1-45 Article dans une revue halshs-00439820v1
Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate Dominique Guegan,Florian Ielpo Journal of Monetary Economics, 2009, 7 (3-4), pp.44-72 Article dans une revue halshs-00439813v1
A modified Panjer algorithm for operational risk capital calculations Dominique Guegan,Bertrand Hassani Journal of Operational Risk, 2009, 4 (4), pp.53-72 Article dans une revue halshs-00443846v1
Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy Cyril Caillault,Dominique Guegan Frontiers in finance and economics, 2009, 6 (1), pp.26-50 Article dans une revue halshs-00375765v1
Pricing bivariate option under GARCH processes with time-varying copula Jing Zhang,Dominique Guegan Insurance: Mathematics and Economics, 2008, 42 (3), pp.1095-1103. ⟨10.1016/j.insmatheco.2008.02.003⟩ Article dans une revue halshs-00286054v1
Flexible time series models for subjective distribution estimation with monetary policy in view Dominique Guegan,Florian Ielpo Brussels Economic Review , 2008, 51 (1), pp.79-103 Article dans une revue halshs-00368356v1
Changing-regime volatility: A fractionally integrated SETAR model Gilles Dufrenot,Dominique Guegan,Anne Peguin-Feissolle Applied Financial Economics, 2008, 18 (7), pp.519-526. ⟨10.1080/09603100600993778⟩ Article dans une revue halshs-00185369v1
Business surveys modelling with Seasonal-Cyclical Long Memory models Laurent Ferrara,Dominique Guegan Economics Bulletin, 2008, 3 (29), pp.1-10 Article dans une revue halshs-00283710v1
Is it possible to discriminate between different switching regressions models? An empirical investigation Lanouar Charfeddine,Dominique Guegan The Euro-Mediterranean Economics and Finance Review, 2008, 3 (4), pp.54-75 Article dans une revue halshs-00368358v1
Estimation of k-Factor Gigarch Process: A Monte Carlo Study Diongue Abdou Ka,Dominique Guegan Communications in Statistics - Simulation and Computation, 2008, 37 (10), pp.2037-2049. ⟨10.1080/03610910802304994⟩ Article dans une revue halshs-00375758v1
La persistance dans les marchés financiers Dominique Guegan Banque & Marchés, 2007, 90, pp.34 - 43 Article dans une revue halshs-00179269v1
The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model Abdou Kâ Diongue,Dominique Guegan Statistics and Probability Letters, 2007, 77 (11), pp.1158-1164. ⟨10.1016/j.spl.2007.02.007⟩ Article dans une revue halshs-00179275v1
Hedging tranches index products : illustration of model dependency Dominique Guegan,Julien Houdain The Icfai Journal of derivatives markets, 2006, 4, pp.39 - 61 Article dans une revue halshs-00179325v1
Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data Dominique Guegan,Ludovic Mercier European Journal of Finance, 2005, 11, pp.137 - 150 Article dans une revue halshs-00180862v1
On the use of nearest neighbors in finance Nicolas Huck,Dominique Guegan Finance, 2005, 26, pp.67-86 Article dans une revue halshs-00180858v1
How can we define the concept of long memory ? An econometric survey, Dominique Guegan : Econometric Reviews,, 2005, 24 (2), pp.113 - 149 Article dans une revue halshs-00179343v1
Long-memory dynamics in a SETAR model - Applications to stock markets Gilles Dufrénot,Dominique Guegan,Anne Peguin-Feissolle Journal of International Financial Markets, Institutions and Money, 2005, 15, pp.391 - 406. ⟨10.1016/j.intfin.2004.09.001⟩ Article dans une revue halshs-00179339v1
Multi-period conditional distribution functions for heteroscedastic models with applications to VaR. Raymond Brummelhuis,Dominique Guegan Journal of Applied Probability, 2005, 42 (2), pp.35-55 Article dans une revue halshs-00179336v1
tail behavior of a threshold autoregressive stochastic volatility model Aliou Diop,Dominique Guegan Extremes, 2005, 7, pp.369 - 377 Article dans une revue halshs-00188530v1
Detection of the Industrial Business Cycle using SETAR models Dominique Guegan,Laurent Ferrara Journal of Business Cycle Measurement and Analysis, 2005, 2, pp.353-371 Article dans une revue halshs-00201309v1
De-noising with wavelets method in chaotic time series: application in climatology, energy and finance Dominique Guegan,Kebira Hoummyia Proceedings of SPIE, the International Society for Optical Engineering, 2005, 5848, pp.174 - 185 Article dans une revue halshs-00180873v1
Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets Cyril Caillault,Dominique Guegan Quantitative Finance, 2005, 5, pp.489 - 501 Article dans une revue halshs-00180865v1
Modelling squared returns using a SETAR model with long-memory dynamics Gilles Dufrénot,Dominique Guegan,Anne Peguin-Feissolle Economics Letters, 2005, 86, pp.237-243. ⟨10.1016/j.econlet.2004.07.014⟩ Article dans une revue halshs-00179285v1
Asymptotic Behavior for the Extreme Values of a Linear Regression Model Aliou Diop,Dominique Guegan African Diaspora Journal of Mathematics, 2004, 15, pp.59 - 67 Article dans une revue halshs-00188532v1
Estimating parameters for a k-GIGARCH process Abdou Kâ Diongue,Dominique Guegan Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2004, 339, pp.435 - 440 Article dans une revue halshs-00188531v1
A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates Dominique Guegan Finance India, 2003, XVII (1), pp.165 - 197 Article dans une revue halshs-00201314v1
Modelization and Nonparametric estimation for a dynamical system with noise Dominique Guegan,D. Bosq,Delphine Blanke Journal of Statistical Planning and Inference, 2003, 6, pp.267 - 290 Article dans une revue halshs-00201315v1
Extreme Distribution of a Generalized Stochastic Volatility Model, Aliou Diop,Dominique Guegan South African Journal of Statistics,, 2003, 37, pp.127 - 148 Article dans une revue halshs-00188535v1
What is the best approach to measure the interdependence between different markets Dominique Guegan,Sophie A. Ladoucette NER Banque de France, 2002, 94, pp.1 - 64 Article dans une revue halshs-00201333v1
Extreme values of particular nonlinear processes Dominique Guegan,Sophie A. Ladoucette C.R.A.S., 2002, 335, pp.73 - 78 Article dans une revue halshs-00201320v1
Long Memory Behavior for Simulated Chaotic Time Series Dominique Guegan IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences, 2001, E84-A (9), pp.2145-2154 Article dans une revue halshs-00193644v1
Prediction of Chaotic Time Series in the Presence of Measurement Error: the Importance of Initial Conditions Dominique Guegan,Rolf Tschernig Statistics and Computing, 2001, 11 (3), pp.277-284. ⟨10.1023/A:1016608506110⟩ Article dans une revue istex halshs-00194303v1
Non-mixing properties of long memory processes Dominique Guegan,Sophie A. Ladoucette Comptes Rendus de l'Académie des Sciences - Series I - Mathematics, 2001, 333 (4), pp.373-376. ⟨10.1016/S0764-4442(01)02052-3⟩ Article dans une revue istex halshs-00193651v1
Forecasting with k-factor Gegenbauer Processes: Theory and Applications Laurent Ferrara,Dominique Guegan Journal of Forecasting, 2001, 20 (8), pp.581 - 601. ⟨10.1002/for.815⟩ Article dans une revue halshs-00193667v1
Analyse d'intervention et prévisions. problématique et application à des données de la RATP Laurent Ferrara,Dominique Guegan Revue de Statistique Appliquée, 2000, 48 (2), pp.55-72 Article dans une revue halshs-00194345v1
A New Model: The k-Factor GIGARCH Process Dominique Guegan Journal of Signal Processing, 2000, 4 (3), pp.265-271 Article dans une revue halshs-00199207v1
Statistical estimation of the Embedding Dimension of a dynamical system D. Boscq,Dominique Guegan,Guillaume Léorat International journal of bifurcation and chaos in applied sciences and engineering , 1999, 9 (4), pp.645 - 656. ⟨10.1142/S0218127499000456⟩ Article dans une revue halshs-00194421v1
A comparison of techniques of estimation in long-memory processes Luisa Bisaglia,Dominique Guegan Computational Statistics and Data Analysis, 1998, 27 (1), pp.61-81. ⟨10.1016/S0167-9473(97)00045-5⟩ Article dans une revue istex halshs-00194462v1
Consistent estimation to determine the embedding dimension in financial data Dominique Guegan,Guillaume Léorat European Journal of Finance, 1997, 3 (3), pp.231 - 242. ⟨10.1080/135184797337453⟩ Article dans une revue halshs-00194487v1
Determinating Lyapunov exponents in deterministic dynamical systems Michel Delecroix,Dominique Guegan,Guillaume Léorat Computational Statistics, 1997, 12 (1), pp.93-107 Article dans une revue halshs-00196413v1
Power of the Lagrange multiplier test for certain subdiagonal bilinear models Dominique Guegan,Joseph Ngatchou Wandji Statistics and Probability Letters, 1996, 29 (3), pp.201-212. ⟨10.1016/0167-7152(95)00174-3⟩ Article dans une revue istex halshs-00199314v1
Puissance du test du multiplicateur de Lagrange pour certains modèles bilinéaires sous diagonaux d'ordre deux Dominique Guegan,N. Wandji Comptes rendus de l'Académie des sciences. Série I, Mathématique, 1996, 322, pp.179-184 Article dans une revue halshs-00199592v1
Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system D. Bosq,Dominique Guegan Statistics and Probability Letters, 1995, 25 (3), pp.201-212. ⟨10.1016/0167-7152(94)00223-U⟩ Article dans une revue istex halshs-00199345v1
Asymptotic normality of the discrete Fourier transform of long memory time series Dominique Guegan,Dinh Tuan Pham Statistics and Probability Letters, 1994, 21 (4), pp.299-309. ⟨10.1016/0167-7152(94)00023-9⟩ Article dans une revue istex halshs-00199350v1
Probabilistic properties of the Béta-ARCH model Jean Diebolt,Dominique Guegan Statistica Sinica, 1994, 4 (1), pp.71-88 Article dans une revue halshs-00199490v1
Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One Jean Diebolt,Dominique Guegan Journal of Applied Probability, 1993, 30 (2), pp.315-329 Article dans une revue halshs-00199526v1
Power of the score test against bilinear time series models Dominique Guegan,Dinh Tuan Pham Statistica Sinica, 1992, 2 (1), pp.157-169 Article dans une revue halshs-00199498v1
Processus à Longue Mémoire. Propriétés Probabilistes et Statistiques Dominique Guegan Annales de l'ISUP, 1991, XXXVI (1-2), pp.5-41 Article dans une revue hal-03664650v1
Statistique Paramétrique des processus Longue Mémoire Dominique Guegan Annales de l'ISUP, 1991, XXXVI (1-2), pp.125-140 Article dans une revue hal-03664801v1
Le modèle de séries chronologiques autorégressives Béta-ARCH Jean Diebolt,Dominique Guegan Comptes rendus de l'Académie des sciences. Série I, Mathématique, 1991, pp.625-630 Article dans une revue halshs-00199596v1

Communication dans un congrès (23)

Big Data, Artificial Intelligence and Blockchain Dominique Guegan Big Data, Artificial Intelligence and Blockchain, Université Saint-Louis du Sénégal, Mar 2019, Sénégal, Senegal Communication dans un congrès halshs-02137851v1
Fintech and Blockchain Dominique Guegan Reading seminars 2018-2019, University Ca Foscari, Apr 2019, Venise, Italy Communication dans un congrès halshs-02129853v1
Risks and Blockchain Dominique Guegan 1st International Symposium on Entrepreneurship, Blockchain and Crypto-Finance, UTC Tunis, Apr 2019, Tunis, Tunisia Communication dans un congrès halshs-02129864v1
Operational risk in blockchain payments Dominique Guegan Fin-Tech HO2020 European Project: FINTECH Risk Management, University of Pavia, Feb 2019, Pavie, Italy Communication dans un congrès halshs-02125743v1
Blockchain seminar: Risk and Blockchain Dominique Guegan Blockchain seminar: Risk and Blockchain, Conservatoire des Arts et Métiers (CNAM), Jan 2019, Paris, France Communication dans un congrès halshs-02125682v1
Credit Risk Analysis using Machine and Deep Learning Models Dominique Guegan Credit Risk Analysis Using Machine and Deep Learning Models, Università degli Studi di Padova, Jan 2019, Padoue, Italy Communication dans un congrès halshs-02125631v1
Measuring risk an explosive environment Dominique Guegan,Kruse-Becher Robin,Hans-Jörg Mettenheim, Von,Wegener Christoph Forecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom Communication dans un congrès halshs-01896907v1
Credit Risk Analysis Using machine and Deep Learning Models Dominique Guegan 3small Business Risk, Financial Regulation and Big Data Analytics, Sep 2018, Palazzo Franchetti - Venice, Italy Communication dans un congrès halshs-01889154v1
A new token: the CommodCoin. What could be its interest for financial market? A macro-economic modelling Dominique Guegan Digital, Innovation, Entrepreneurship and Financing, Jun 2018, Lyon, France Communication dans un congrès halshs-01897052v1
Initial Token Offerings (ITOs) and corporate governance Dominique Guegan,Stéphane Blémus Forecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom Communication dans un congrès halshs-01897035v1
Measuring risk in an explosive environment Dominique Guegan,Kruse-Becher Robin,Hans-Jörg Mettenheim, Von,Wegener Christoph Vietnam Symposium in Banking and Finance (VSBF), Oct 2018, Hué City, Vietnam Communication dans un congrès halshs-01917661v1
Assessment of proxy-hedging in jet-fuel markets Dominique Guegan,Marius Cristian Frunza,Rostislav Haliplii IRMBAM 2018, Jul 2018, Nice, France Communication dans un congrès halshs-01905479v1
Impact of multimodality of distributions on VaR and ES calculation Dominique Guegan,Bertrand K. Hassani,Kehan Li 10th International conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2017), Dec 2017, Senate House - Londres, United Kingdom Communication dans un congrès halshs-01899548v1
Bitcoin and the challenge for regulation Dominique Guegan Vietnam Symposium in Banking and Finance, Oct 2017, Ho Chi Minh City, Vietnam Communication dans un congrès halshs-01897056v1
Regulatory Learning: Credit Scoring Application of Machine Learning Dominique Guegan,Bertrand K. Hassani DMBD 2017, Jul 2017, Fukuoka, Japan Communication dans un congrès halshs-01905489v1
Risk Measures at Risk- Are we missing the point? Discussions around sub-additivity and distortion Dominique Guegan Conference on Banking and Finance, Sep 2016, Porthmouth, United Kingdom Communication dans un congrès halshs-01906485v1
Financial Regulation: More Accurate Measurements for Control Enhancements and the Capture of the Intrinsic Uncertainty of the VaR Dominique Guegan vsbf: 2016 Vietnam Symposium in Banking and Finance, Nov 2016, Hanoi, Vietnam Communication dans un congrès halshs-01906496v1
Pricing alternatives in incomplete markets. An application for Carbon allowances Dominique Guegan,Marius-Cristian Frunza 2011 International Conference on Information and Finance (ICIF 2011), Nov 2011, Malaysia Communication dans un congrès halshs-00646829v1
Derivative pricing and hedging on carbon market Dominique Guegan,Marius-Cristian Frunza 2009 International Conference on Computer and Development, Feb 2009, Kota Kinabalu, Malaysia Communication dans un congrès halshs-00646182v1
Fractional seasonality: Models and Application to Economic Activity in the Euro Area Laurent Ferrara,Dominique Guegan Conference on Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting, May 2006, Luxembourg. pp.137 - 153 Communication dans un congrès halshs-00185370v1
A k- factor GIGARCH process : estimation and application to electricity market spot prices, Dominique Guegan,Abdou Kâ Diongue,Bertrand Vignal Probabilistic methods applied to power systems, Jul 2004, United States. pp.1 - 7 Communication dans un congrès halshs-00188533v1
prediction in chaotic time series: methods and comparisons using simulations Dominique Guegan,Mercier Ludovic 5th International ECASP Conference, 1997, Prague, Czech Republic. pp.215 - 218 Communication dans un congrès halshs-00375663v1
Comparison of several methods to predict chaotic time series Dominique Guegan,Badel Emmanuelle,Ludovic Mercier,Olivier J.J. Michel International Conference on Complex Systems, 1997, Munich, Germany. pp.3793 - 3797 Communication dans un congrès halshs-00375658v1

Ouvrages (6)

Risk Measurement Dominique Guegan,Bertrand K. Hassani Springer. 215 p., 2019 Ouvrages halshs-02119256v1
Future Perspectives in Risk Models and Finance Alain Bensoussan,Dominique Guegan,Charles S. Tapiero Springer, 2015, 978-3-319-07524-2. ⟨10.1007/978-3-319-07524-2⟩ Ouvrages hal-01310459v1
A time series approach to option pricing: Models, Methods and Empirical Performances Christophe Chorro,Dominique Guegan,Florian Ielpo Springer, 2015 Ouvrages hal-01015308v1
Les chaos en finance: approche statistique Dominique Guegan Economica, pp.465, 2003, Statistique mathématique et probabilité, Paul Deheuvels Ouvrages halshs-00180849v1
Analyser les séries chronologiques avec S-Plus: une approche paramétrique Dominique Guegan,Laurent Ferrara Presses Universitaires de renne, pp.147, 2003 Ouvrages halshs-00375652v1
Séries chronologiques non linéaires à temps discret Dominique Guegan Economica, pp.308, 1994, Statistique mathématique et probabilité Ouvrages halshs-00196420v1

Chapitre d'ouvrage (25)

Distorsion Risk Measure or the Transformation of Unimodal Distributions into Multimodal Functions Dominique Guegan,Bertrand Hassani Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.71-88, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_2⟩ Chapitre d'ouvrage hal-01310467v1
Stress Testing Engineering: The Real Risk Measurement? Dominique Guegan,Bertrand Hassani Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.89-124, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_3⟩ Chapitre d'ouvrage hal-01310469v1
Nonlinear Dynamics and Wavelets for Business Cycle Analysis Peter Martey Addo,Monica Billio,Dominique Guegan Wavelet Applications in Economics and Finance, 2014, 978-3-319-07060-5. ⟨10.1007/978-3-319-07061-2_4⟩ Chapitre d'ouvrage hal-01310513v1
Non-stationary sample and meta-distribution Dominique Guegan A. Basu, T. Samanta, A. Sen Gupta. ISI Platinum Jubilee volume: statistical science and interdisciplinary research (International Conference of Statistical Paradigms - Recent Advances and Reconciliations), Word Scientific Publishing, à paraître, 2013 Chapitre d'ouvrage hal-00755507v1
Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems Dominique Guegan,Justin Leroux E. Tielo-Cuantle. Chaotic Systems, InTech Publishers, 25-38 (chapitre 2), 2011 Chapitre d'ouvrage halshs-00644500v1
Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison Dominique Guegan Catherine Kyrtsou, Costas Vorlow. Progress in financial market research, NOVA publishers, pp.233-254, 2011 Chapitre d'ouvrage halshs-00185373v1
Value at Risk Computation in a Non-Stationary Setting Dominique Guegan Greg N. Gregoriou, Carsten S. Wehn, Christian Hoppe. Handbook on Model Risk : Measuring, managing and mitigating model risk, lessons from financial crisis, John Wiley, 431-454 - chapter 19, 2010 Chapitre d'ouvrage halshs-00511995v1
Alternative methods for forecasting GDP Dominique Guegan,Patrick Rakotomarolahy R. Barnett, F. Jawady. Nonlinear Modeling of Economic and Financial Time-Series, Emerald Publishers, Chapiter 5 (29 p.), 2010, Series International Symposia in Economic Theory and Econometrics - n°21 Chapitre d'ouvrage halshs-00511979v1
Mettre les mathématiques financières au service du réel Dominique Guegan Gaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 141-152 (chapitre 10), 2009 Chapitre d'ouvrage halshs-00375378v1
Former les analystes et opérateurs financiers Dominique Guegan Gaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 95-104 (chapitre 6), 2009 Chapitre d'ouvrage halshs-00375376v1
Local Lyapunov Exponents: A new way to predict chaotic systems Dominique Guegan,Justin Leroux Christos H. Skiadas, Ioannis Dimotikalis, Charilaos Skiadas. Topics on Chaotic Systems: Selected papers from CHAOS 2008, International Conference, World Scientific Publishing, pp.158-185, 2009 Chapitre d'ouvrage halshs-00511996v1
Derivative pricing and hedging on carbon market Dominique Guegan,Marius-Cristian Frunza 2009 International Conference on Computer and Development, Kota Kinanalu (Malaysia), pp.130-133, 2009 Chapitre d'ouvrage halshs-00755510v1
Fractional and seasonal filtering Dominique Guegan,Laurent Ferrara J.L. Mazi. Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat, pp.121-132, 2008 Chapitre d'ouvrage halshs-00646178v1
Synthetic CDO Squared Pricing Methodologies Dominique Guegan,Julien Houdain Greg N. Gregoriou, Paul U. Ali. Credit Derivatives Handbook - Global Perspectives, Innovations, and Market Drivers, MCGraw Hill, 361-377 (chapiter 16), 2008 Chapitre d'ouvrage halshs-00265708v1
Real-time detection of the business cycle using SETAR models Laurent Ferrara,Dominique Guegan G.L. Mazzi and G. Savio. Growth and Cycle in the Euro-zone, Palgrave MacMillan, New York, pp.221-232, 2006 Chapitre d'ouvrage halshs-00185372v1
Forecasting with non Gaussian long memory processes Dominique Guegan,Jerome Collet Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.285 - 288, 2003 Chapitre d'ouvrage halshs-00201323v1
Estimation de la tail dependance à l'aide de la notion de copule Dominique Guegan,Sophie A. Ladoucette Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.289 - 292, 2003 Chapitre d'ouvrage halshs-00201321v1
Some remarks on the statistical modelling of chaotic systems Dominique Guegan Alistair I. Mees. Nonlinear Dynamics and Statistics, Birkhäuser Boston, 400 - Chapitre 5, 2001 Chapitre d'ouvrage halshs-00196432v1
Comparison of parameter estimation methods in cyclical long memory time series Laurent Ferrara,Dominique Guegan Christian L. Dunis, Allan Timmermann, John E. Moody. Developments in Forecast Combination and Portfolio Choice, Wiley, pp.330, 2001 Chapitre d'ouvrage halshs-00196426v1
Forecasting financial time series with generalized long memory processes Laurent Ferrara,Dominique Guegan Christian Dunis. Advances in Quantitative Asset Management, Kluver Academic Press, chapter 14, 2000, Studies in computational finance Chapitre d'ouvrage halshs-00199126v1
Stochastic or chaotic dynamics in high frequency financial data Dominique Guegan,L. Mercier Christian L. Dunis, Bin Zhou. Nonlinear Modelling of High Frequency Financial Time Series, Wiley, chapter 5, 1998 Chapitre d'ouvrage halshs-00199167v1
Some Recent Developments in Non Linear Time Series Dominique Guegan Atti del Convegno in Honore di Oliviero Lessi, Universita degli Studi di padova, pp.17-38, 1998 Chapitre d'ouvrage halshs-00375667v1
Non parametric forecasting techniques for mixing chaotic time series Dominique Guegan,L. Mercier Ales Prochazka, N.G. Kingsbury, P.J.W. Payner, J. Uhlir. Signal Analysis and Prediction, Birkhäuser Boston, chapter 25, 1998 Chapitre d'ouvrage halshs-00199145v1
Nonparametric Methods for Time Series and Dynamical Systems Dominique Guegan Gutti Jogesh Babu, Eric D. Feigelson. Statistical Challenges in Modern Astronomy II, Springer, 303-320 chapter 17, 1997 Chapitre d'ouvrage halshs-00199178v1
From data to models Dominique Guegan T. Subba Rao, M.B. Priestly, O. Lessi. Applications of Time Series Analysis in Astronomy and Meteorology, Chapman & Hall, chapter 8, 1997 Chapitre d'ouvrage halshs-00199187v1

Autre publication scientifique (111)

Fair learning with bagging Jean-David Fermanian,Dominique Guegan 2021 Autre publication scientifique halshs-03500906v1
A Note on the Interpretability of Machine Learning Algorithms Dominique Guegan 2020 Autre publication scientifique halshs-02900929v1
Artificial Intelligence, Data, Ethics: An Holistic Approach for Risks and Regulation Alexis Bogroff,Dominique Guegan 2019 Autre publication scientifique halshs-02181597v1
The other side of the Coin: Risks of the Libra Blockchain Louis Abraham,Dominique Guegan 2019 Autre publication scientifique halshs-02325808v1
Crypto assets: the role of ICO tokens within a well-diversified portfolio Saman Adhami,Dominique Guegan 2019 Autre publication scientifique halshs-02353656v1
Initial Crypto-asset Offerings (ICOs), tokenization and corporate governance Stéphane Blémus,Dominique Guegan 2019 Autre publication scientifique halshs-02079171v1
Credit Risk Analysis using Machine and Deep Learning models Peter Martey Addo,Dominique Guegan,Bertrand Hassani 2018 Autre publication scientifique halshs-01719983v1
Is the Bitcoin Rush Over? Dominique Guegan,Marius Cristian Frunza 2018 Autre publication scientifique halshs-01822992v1
A novel multivariate risk measure: the Kendall VaR Matthieu Garcin,Dominique Guegan,Bertrand Hassani 2018 Autre publication scientifique halshs-01467857v2
The Digital World: I - Bitcoin: from history to real live Dominique Guegan 2018 Autre publication scientifique halshs-01822962v1
Les ICO la nouvelle façon de lever des fonds sans contrainte ? Dominique Guegan 2018 Autre publication scientifique halshs-01719901v1
A Probative Value for Authentication Use Case Blockchain Dominique Guegan,Christophe Hénot 2018 Autre publication scientifique halshs-01896540v1
Nonparametric forecasting of multivariate probability density functions Dominique Guegan,Matteo Iacopini 2018, ⟨10.48550/arXiv.1803.06823⟩ Autre publication scientifique halshs-01821815v1
On the parameters estimation of the Seasonal FISSAR Model Papa Ousmane Cissé,Dominique Guegan,Abdou Kâ Diongue 2018 Autre publication scientifique halshs-01832115v1
The Digital World: II – Alternatives to the Bitcoin Blockchain? Dominique Guegan 2018 Autre publication scientifique halshs-01832002v1
Public Blockchain versus Private blockhain Dominique Guegan 2017 Autre publication scientifique halshs-01524440v1
Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics Camila Epprecht,Dominique Guegan,Álvaro Veiga,Joel Correa da Rosa 2017 Autre publication scientifique halshs-00917797v2
Testing for Leverage Effects in the Returns of US Equities Christophe Chorro,Dominique Guegan,Florian Ielpo,Hanjarivo Lalaharison 2017 Autre publication scientifique halshs-00973922v2
Blockchain Publique versus Blockchain Privée : Enjeux et Limites Dominique Guegan 2017 Autre publication scientifique halshs-01673321v1
An alternative class of distortion operators Dominique Guegan,Bertrand Hassani,Kehan Li 2017 Autre publication scientifique halshs-01543251v1
Regulatory Learning: how to supervise machine learning models? An application to credit scoring Dominique Guegan,Bertrand Hassani 2017 Autre publication scientifique halshs-01592168v2
Multivariate Reflection Symmetry of Copula Functions Monica Billio,Lorenzo Frattarolo,Dominique Guegan 2017 Autre publication scientifique halshs-01592147v1
Blockchain publique et contrats intelligents (Smart Contrats). Les possibilités ouvertes par Ethéreum... et ses limites Dominique Guegan 2017 Autre publication scientifique halshs-01673329v1
Measuring risks in the extreme tail: The extreme VaR and its confidence interval Dominique Guegan,Bertrand Hassani,Kehan Li 2017 Autre publication scientifique halshs-01317391v3
Impact of multimodality of distributions on VaR and ES calculations Dominique Guegan,Bertrand Hassani,Kehan Li 2017 Autre publication scientifique halshs-01491990v1
Three-stage estimation method for non-linear multiple time-series Dominique Guegan,Giovanni de Luca,Giorgia Rivieccio 2017 Autre publication scientifique halshs-01439860v1
Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model Papa Ousmane Cissé,Abdou Kâ Diongue,Dominique Guegan 2016 Autre publication scientifique halshs-01278126v1
Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure Dominique Guegan,Bertrand K. Hassani,Kehan Li 2016 Autre publication scientifique halshs-01277880v1
More Accurate Measurement for Enhanced Controls: VaR vs ES? Dominique Guegan,Bertrand Hassani 2016 Autre publication scientifique halshs-01281940v1
Risk Measures At Risk- Are we missing the point? Discussions around sub-additivity and distortion Dominique Guegan,Bertrand K. Hassani 2016 Autre publication scientifique halshs-01318093v1
Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regulatory Requirement for Financial Institutions Dominique Guegan,Bertrand K. Hassani 2016 Autre publication scientifique halshs-01391103v1
Risk or Regulatory Capital? Bringing distributions back in the foreground Dominique Guegan,Bertrand Hassani 2015 Autre publication scientifique halshs-01169268v1
The Spectral Stress VaR (SSVaR) Dominique Guegan,Bertrand K. Hassani,Kehan Li 2015 Autre publication scientifique halshs-01169537v1
Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact Matthieu Garcin,Dominique Guegan 2015 Autre publication scientifique halshs-01244239v1
Stress Testing Engineering: the real risk measurement? Dominique Guegan,Bertrand Hassani 2014 Autre publication scientifique halshs-00951593v1
Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions Dominique Guegan,Bertrand Hassani 2014 Autre publication scientifique halshs-00969242v1
Empirical Projected Copula Process and Conditional Independence An Extended Version Lorenzo Frattarolo,Dominique Guegan 2013 Autre publication scientifique halshs-00881185v1
Turning point chronology for the Euro-Zone: A Distance Plot Approach Peter Martey Addo,Monica Billio,Dominique Guegan 2013 Autre publication scientifique halshs-00803457v1
Using a time series approach to correct serial correlation in operational risk capital calculation Dominique Guegan,Bertrand Hassani 2013 Autre publication scientifique halshs-00771387v2
Understanding Exchange Rates Dynamics Peter Martey Addo,Monica Billio,Dominique Guegan 2013 Autre publication scientifique halshs-00803447v1
Probability density of the wavelet coefficients of a noisy chaos Matthieu Garcin,Dominique Guegan 2013 Autre publication scientifique hal-00800997v1
Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions Dominique Guegan,Bertrand Hassani,Xin Zhao 2013 Autre publication scientifique halshs-00820839v1
Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis Peter Martey Addo,Monica Billio,Dominique Guegan 2013 Autre publication scientifique halshs-00803450v1
Cross-Sectional Analysis through Rank-based Dynamic Portfolios Monica Billio,Ludovic Calès,Dominique Guegan 2012 Autre publication scientifique halshs-00707430v1
A theoretical framework for trading experiments Maxence Soumare,Jørgen Vitting Andersen,Francis Bouchard,Alain Elkaim,Dominique Gueganet al. 2012 Autre publication scientifique halshs-00768898v1
Aggregation of Market Risks using Pair-Copulas Dominique Guegan,Fatima Jouad 2012 Autre publication scientifique halshs-00706689v1
Option pricing with discrete time jump processes Dominique Guegan,Florian Ielpo,Hanjarivo Lalaharison 2012 Autre publication scientifique halshs-00611706v2
Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach Peter Martey Addo,Monica Billio,Dominique Guegan 2012 Autre publication scientifique halshs-00694420v1
Extreme values of random or chaotic discretization steps Matthieu Garcin,Dominique Guegan 2012 Autre publication scientifique hal-00706825v1
Comparaison of Several Estimation Procedures for Long Term Behavior Dominique Guegan,Zhiping Lu,Beijia Zhu 2012 Autre publication scientifique halshs-00673934v1
Alternative Modeling for Long Term Risk Dominique Guegan,Xin Zhao 2012 Autre publication scientifique halshs-00694449v1
Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach Dominique Guegan,Bertrand Hassani 2012 Autre publication scientifique halshs-00587706v3
Viewing Risk Measures as information Dominique Guegan,Wayne Tarrant 2011 Autre publication scientifique halshs-00639489v1
A test for a new modelling : The Univariate MT-STAR Model Peter Martey Addo,Monica Billio,Dominique Guegan 2011 Autre publication scientifique halshs-00659158v1
An Omnibus Test to Detect Time-Heterogeneity in Time Series Dominique Guegan,Philippe de Peretti 2011 Autre publication scientifique halshs-00560221v2
Tests of structural changes in conditional distributions with unknown changepoints Dominique Guegan,Philippe de Peretti 2011 Autre publication scientifique halshs-00611932v1
A mathematical resurgence of risk management: an extreme modeling of expert opinions Dominique Guegan,Bertrand Hassani 2011 Autre publication scientifique halshs-00639666v1
Operational risk: A Basel II++ step before Basel III Dominique Guegan,Bertrand Hassani 2011 Autre publication scientifique halshs-00639484v3
A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques Dominique Guegan,Patrick Rakotomarolahy 2010 Autre publication scientifique halshs-00461711v1
Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems Dominique Guegan,Justin Leroux 2010 Autre publication scientifique halshs-00462454v1
Option pricing for GARCH-type models with generalized hyperbolic innovations Christophe Chorro,Dominique Guegan,Florian Ielpo 2010 Autre publication scientifique halshs-00469529v1
Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes Marius-Cristian Frunza,Dominique Guegan,Antonin Lassoudière 2010 Autre publication scientifique halshs-00505145v1
Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes Christophe Chorro,Dominique Guegan,Florian Ielpo 2010 Autre publication scientifique halshs-00523371v1
Alternative methods for forecasting GDP Dominique Guegan,Patrick Rakotomarolahy 2010 Autre publication scientifique halshs-00505165v1
On the necessity of five risk measures Dominique Guegan,Wayne Tarrant 2010 Autre publication scientifique halshs-00460901v1
Statistical evidence of tax fraud on the carbon allowances market Marius-Cristian Frunza,Dominique Guegan,Antonin Lassoudière 2010 Autre publication scientifique halshs-00523458v1
Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market Marius-Cristian Frunza,Dominique Guegan 2010 Autre publication scientifique halshs-00504209v1
New Prospects on Vines Dominique Guegan,Pierre-André Maugis 2010 Autre publication scientifique halshs-00348884v3
A Note on fair Value and Illiquid Markets Dominique Guegan,Chafic Merhy 2010 Autre publication scientifique halshs-00460856v1
A short note on option pricing with Lévy Processes Dominique Guegan,Hanjarivo Lalaharison 2010 Autre publication scientifique halshs-00542475v1
An Econometric Study of Vine Copulas Dominique Guegan,Pierre-André Maugis 2010 Autre publication scientifique halshs-00492124v1
Derivative Pricing and Hedging on Carbon Market Marius-Cristian Frunza,Dominique Guegan 2010 Autre publication scientifique halshs-00461474v1
A Cross-Sectional Performance Measure for Portfolio Management Monica Billio,Ludovic Calès,Dominique Guegan 2010 Autre publication scientifique halshs-00523466v1
Missing trader fraud on the emissions market Marius-Cristian Frunza,Dominique Guegan,Fabrice Thiebaut 2010 Autre publication scientifique halshs-00523512v1
A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios Monica Billio,Ludovic Calès,Dominique Guegan 2010 Autre publication scientifique halshs-00476038v1
An efficient threshold choice for operational risk capital computation Dominique Guegan,Bertrand Hassani,Cédric Naud 2010 Autre publication scientifique halshs-00544342v2
Testing unit roots and long range dependence of foreign exchange Dominique Guegan,Zhiping Lu 2010 Autre publication scientifique halshs-00505117v1
GDP nowcasting with ragged-edge data : A semi-parametric modelling Laurent Ferrara,Dominique Guegan,Patrick Rakotomarolahy 2009 Autre publication scientifique halshs-00344839v2
Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area Monica Billio,Laurent Ferrara,Dominique Guegan,Gian Luigi Mazzi 2009 Autre publication scientifique halshs-00423890v1
Wavelet Method for Locally Stationary Seasonal Long Memory Processes Dominique Guegan,Zhiping Lu 2009 Autre publication scientifique halshs-00375531v1
Chaos in economics and finance Dominique Guegan 2009 Autre publication scientifique halshs-00187885v2
Portfolio Symmetry and Momentum Monica Billio,Ludovic Calès,Dominique Guegan 2009 Autre publication scientifique halshs-00363383v2
Martingalized Historical approach for Option Pricing Christophe Chorro,Dominique Guegan,Florian Ielpo 2009 Autre publication scientifique halshs-00376756v1
Breaks or Long Memory Behaviour: An empirical Investigation Lanouar Charfeddine,Dominique Guegan 2009 Autre publication scientifique halshs-00377485v1
A new algorithm for the loss distribution function with applications to Operational Risk Management Dominique Guegan,Bertrand Hassani 2009 Autre publication scientifique halshs-00384398v2
An economic view of carbon allowances market Marius-Cristian Frunza,Dominique Guegan 2009 Autre publication scientifique halshs-00390676v1
The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting Dominique Guegan,Patrick Rakotomarolahy 2009 Autre publication scientifique halshs-00423871v2
Pricing bivariate option under GARCH processes with time-varying copula Jing Zhang,Dominique Guegan 2008 Autre publication scientifique halshs-00259242v1
Effect of noise filtering on predictions : on the routes of chaos Dominique Guegan 2008 Autre publication scientifique halshs-00235448v1
Forecasting chaotic systems : the role of local Lyapunov exponents Dominique Guegan,Justin Leroux 2008 Autre publication scientifique halshs-00259238v2
Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results Christophe Chorro,Dominique Guegan,Florian Ielpo 2008 Autre publication scientifique hal-00308687v1
Non-stationarity and meta-distribution Dominique Guegan 2008 Autre publication scientifique halshs-00270708v1
Dynamic Analysis of the Insurance Linked Securities Index Mathieu Gatumel,Dominique Guegan 2008 Autre publication scientifique halshs-00320378v1
Towards an understanding approach of the insurance linked securities market Mathieu Gatumel,Dominique Guegan 2008 Autre publication scientifique halshs-00235354v1
Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology Christophe Chorro,Dominique Guegan,Florian Ielpo 2008 Autre publication scientifique halshs-00281585v1
The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics Abdou Kâ Diongue,Dominique Guegan 2008 Autre publication scientifique halshs-00259225v1
Estimation of k-factor GIGARCH process : a Monte Carlo study Abdou Kâ Diongue,Dominique Guegan 2008 Autre publication scientifique halshs-00235179v1
Business surveys modelling with Seasonal-Cyclical Long Memory models Laurent Ferrara,Dominique Guegan 2008 Autre publication scientifique halshs-00277379v1
Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations Abdou Kâ Diongue,Dominique Guegan,Rodney C. Wolff 2008 Autre publication scientifique halshs-00270719v1
Testing fractional order of long memory processes : a Monte Carlo study Laurent Ferrara,Dominique Guegan,Zhiping Lu 2008 Autre publication scientifique halshs-00259193v1
Which is the best model for the US inflation rate: a structural changes model or a long memory process? Lanouar Charfeddine,Dominique Guegan 2007 Autre publication scientifique halshs-00188309v1
Further evidence on the impact of economic news on interest rates Dominique Guegan,Florian Ielpo 2007 Autre publication scientifique halshs-00188331v1
Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market Dominique Guegan,Jing Zhang 2007 Autre publication scientifique halshs-00188248v1
Global and local stationary modelling in finance: theory and empirical evidence Dominique Guegan 2007 Autre publication scientifique halshs-00187875v1
A note on self-similarity for discrete time series Dominique Guegan,Zhiping Lu 2007 Autre publication scientifique halshs-00187910v1
Flexible time series models for subjective distribution estimation with monetary policy in view Dominique Guegan,Florian Ielpo 2007 Autre publication scientifique halshs-00188247v1
Forecasting electricity spot market prices with a k-factor GIGARCH process Abdou Kâ Diongue,Dominique Guegan,Bertrand Vignal 2007 Autre publication scientifique halshs-00188264v2
Change analysis of dynamic copula for measuring dependence in multivariate financial data Dominique Guegan,Jing Zhang 2006 Autre publication scientifique halshs-00189141v2
Regime switching model: real or spurious long memory? Dominique Guegan,Stéphanie Rioublanc 2005 Autre publication scientifique halshs-00189208v1
Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices Dominique Guegan,Sophie A. Ladoucette 2005 Autre publication scientifique halshs-00189214v1
Analyser les séries chronologiques avec S-Plus : une approche paramétrique, Dominique Guegan,Laurent Ferrara 2003 Autre publication scientifique halshs-00201328v1

Pré-publication, Document de travail (4)

An Omnibus Test to Detect Time-Heterogeneity in Time Series Dominique Guegan,Philippe de Peretti 2012 Pré-publication, Document de travail halshs-00721327v1
Viewing Risk Measures as information Dominique Guegan,Wayne Tarrant 2012 Pré-publication, Document de travail halshs-00721350v1
Breaks or long memory behaviour : an empirical investigation Lanouar Charfeddine,Dominique Guegan 2012 Pré-publication, Document de travail halshs-00722032v1
Changing-regime volatility : A fractionally integrated SETAR model Anne Peguin-Feissolle,Gilles Dufrénot,Dominique Guegan 2006 Pré-publication, Document de travail halshs-00410540v1