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Dominique Guégan personnal webpage


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

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

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

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


Article dans une revue101 documents

  • Dominique Guegan. The Digital World: I - Bitcoin: from history to real life. Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2018, pp.1-6. 〈halshs-01906518〉
  • Dominique Guegan. The Digital World: II - Alternatives to the Bitcoin Blockchain. Bankers Markets & Investors : an academic & professional review, Groupe Banque, 2018, pp.1-6. 〈halshs-01906522〉
  • Dominique Guegan. ICO : la nouvelle façon d lever des fonds sans contrainte ?. Revue Banque, Revue Banque édition, 2018, pp.60-63. 〈halshs-01906259〉
  • Giovanni De Luca, Dominique Guegan, Giorgia Rivieccio. Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach. Finance Research Letters, Elsevier, 2018, 〈https://doi.org/10.1016/j.frl.2018.10.018〉. 〈halshs-01917629〉
  • Dominique Guegan, Bertrand Hassani. Regulatory learning: How to supervise machine learning models? An application to credit scoring. The Journal of Finance and Data Science, KeAi Publishing, 2018, 4 (3), pp.157-171. 〈https://www.sciencedirect.com/science/article/pii/S2405918817300648〉. 〈10.1016/j.jfds.2018.04.001〉. 〈halshs-01835213〉
  • Dominique Guegan, Florian Ielpo, Hanjarivo Lalaharison, Christophe Chorro. Testing for leverage effects in the returns of US equities. Journal of Empirical Finance, Elsevier, 2018, 48, pp.290-306. 〈https://doi.org/10.1016/j.jempfin.2018.07.008〉. 〈halshs-01917590〉
  • Dominique Guegan, Peter Addo, Bertrand Hassani. Credit Risk Analysis Using Machine and Deep Learning Models. Risks, MDPI, 2018, Computational Methods for Risk Management in Economics and Finance, 6 (2), pp.38. 〈http://www.mdpi.com/2227-9091/6/2/38〉. 〈10.3390/risks6020038〉. 〈halshs-01835164〉
  • Dominique Guegan, Bertrand Hassani. More accurate measurement for enhanced controls: VaR vs ES?. Journal of International Financial Markets, Institutions and Money, Elsevier, 2018, 54, pp.152-165. 〈https://doi.org/10.1016/j.intfin.2017.06.002〉. 〈halshs-01917569〉
  • Dominique Guegan. Blockchain Publique versus Blockchain Privée : Enjeux et Limites. Revue Banque, Revue Banque édition, 2017, Juillet - Août (810), pp.80-81. 〈halshs-01682525〉
  • Dominique Guegan. Blockchain publique vs Blockchain privée : enjeux et limites. Revue Banque, Revue Banque édition, 2017, pp.80-82. 〈halshs-01906189〉
  • Dominique Guegan. Blockchain publique et contrats intelligents. Ethéreum : possibilités et limites. Revue Banque, Revue Banque édition, 2017, pp.60-63. 〈halshs-01906243〉
  • Dominique Guegan, Anastasia Sotiropoulou. Bitcoin and the challenges for financial regulation. Capital Markets Law Journal, Oxford University Press (OUP), 2017, 12 (4), pp.466-479. 〈https://academic.oup.com/cmlj/article/12/4/466/4158628〉. 〈10.1093/cmlj/kmx037〉. 〈halshs-01899495〉
  • Dominique Guegan, Bertrand Hassani, Kehan Li. Measuring risks in the tail: The extreme VaR and its confidence interval. Risk and Decision Analysis, IOS, 2017, Risk and Decision Analysis, 6 (3), pp.213 - 224. 〈http://content.iospress.com/articles/risk-and-decision-analysis/rda128〉. 〈10.3233/RDA-170128〉. 〈halshs-01592736〉
  • Papa Ousmane Cissé, Abdou Kâ Diongue, Dominique Guegan. Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model. Afrika Statistika, Fondation Société Africaine de Probabilités et Statistiques (SAPS), 2016, 11 (1), pp.901-922. 〈www.jafristat.net〉. 〈10.16929/as/2016.901.82〉. 〈hal-01397357〉
  • Matthieu Garcin, Dominique Guegan. Wavelet shrinkage of a noisy dynamical system with non-linear noise impact. Physica D: Nonlinear Phenomena, Elsevier, 2016, 325, pp.126-145. 〈http://www.sciencedirect.com/science/article/pii/S0167278916301105〉. 〈10.1016/j.physd.2016.03.013〉. 〈hal-01397328〉
  • Dominique Guegan, Marius-Cristian Frunza, Antonin Lassoudière. Dynamic factor analysis of carbon allowances prices: From classic Arbitrage pricing Theory to Switching Regimes. International Journal of Financial Markets and derivative, 2015, A paraître. 〈halshs-00646211〉
  • Dominique Guegan, Lanouar Charfeddine. Which is the best model for the US inflation rate: a structural changes model or a long memory process. Journal of Applied Econometrics, Wiley, 2015, A paraître. 〈halshs-00645841〉
  • Dominique Guegan, Monica Billio, Ludovic Calès. A Rank-based Approach to Cross-Sectional Analysis. European Journal of Operational Research, Elsevier, 2015, A paraître. 〈halshs-00646073〉
  • Peter Martey Addo, Monica Billio, Dominique Guegan. Turning point chronology for the euro area: A distance plot approach. OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, pp.1-14. 〈10.1787/19952899〉. 〈hal-01310533〉
  • Peter Martey Addo, Monica Billio, Dominique Guégan. The univariate MT-STAR model and a new linearity and unit root test procedure. Computational Statistics and Data Analysis, Elsevier, 2014, 76, pp.4-19. 〈10.1016/j.csda.2013.12.009〉. 〈hal-01310518〉
  • Matthieu Garcin, Dominique Guégan. Probability density of the empirical wavelet coefficients of a noisy chaos. Physica D: Nonlinear Phenomena, Elsevier, 2014, 276, pp.28-47. 〈10.1016/j.physd.2014.03.005〉. 〈hal-01310473〉
  • Dominique Guegan, Xin Zhao. Alternative modeling for long term risk. Quantitative Finance, Taylor & Francis (Routledge), 2014, 14 (12), pp.2237-2253. 〈10.1080/14697688.2013.835860〉. 〈hal-00964956〉
  • Dominique Guegan, Bertrand Hassani. Using a time series approach to correct serial correlation in operational risk capital calculation. Journal of Operational Risk, 2013, 8 (3). 〈hal-01310545〉
  • Dominique Guegan, Philippe De Peretti. An omnibus test to detect time-heterogeneity in time series. Computational Statistics, Springer Verlag, 2013, 28 (3), pp.1225-1239. 〈10.1007/s00180-012-0356-7〉. 〈halshs-00759093〉
  • Dominique Guegan, Bertrand Hassani. Multivariate VaRs for operational risk capital computation: a vine structure approach. International Journal of Risk Assessment and Management, Inderscience, 2013, 17 (2), pp.148-170. 〈10.1504/IJRAM.2013.057104〉. 〈halshs-00645778〉
  • Peter Martey Addo, Monica Billio, Dominique Guegan. Nonlinear dynamics and recurrence plots for detecting financial crisis. North American Journal of Economics and Finance, Elsevier, 2013, 26, pp.416-435. 〈10.1016/j.najef.2013.02.014〉. 〈hal-00964975〉
  • Monica Billio, Laurent Ferrara, Dominique Guégan, Gian Luigi Mazzi. Evaluation of regime switching models for real-time business cycle analysis of the euro area. Journal of Forecasting, Wiley, 2013, 32, pp.577 - 586. 〈hal-01385939〉
  • Monica Billio, Laurent Ferrara, Dominique Guegan, Gian Luigi Mazzi. Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area. Journal of Forecasting, Wiley, 2013, 32 (72, numéro spécial "Modes de gestion des restructurations"), pp.577-586. 〈10.1002/for.2260〉. 〈hal-00965005〉
  • Dominique Guegan, Florian Ielpo, Hanjarivo Lalaharison. Option pricing with discrete time jump processes. Journal of Economic Dynamics and Control, Elsevier, 2013, 37 (12), pp.2417-2445. 〈10.1016/j.jedc.2013.07.003〉. 〈hal-00964950〉
  • Dominique Guegan, Matthieu Garcin. Extreme values of random or chaotic discretization steps and connected networks. Applied Mathematical Sciences, hikari, 2012, 6 (119), pp.5901-5926. 〈halshs-00750231〉
  • Dominique Guegan, Bertrand Hassani. Operational risk : A Basel II++ step before Basel III. Journal of risk management in financial institutions, 2012, 6 (13), pp.37 - 53. 〈halshs-00722029〉
  • Lanouar Charfeddine, Dominique Guégan. Breaks or long memory behavior: An empirical investigation. Physica A: Statistical Mechanics and its Applications, Elsevier, 2012, 391 (22), pp.5712-5726. 〈10.1016/j.physa.2012.06.036〉. 〈hal-01314013〉
  • Dominique Guegan, Wayne Tarrant. On the Necessity of Five Risk Measures. Annals of Finance, Springer Verlag, 2012, 8 (4), pp.533-552. 〈10.1007/s10436-012-0205-2〉. 〈halshs-00721339〉
  • Christophe Chorro, Dominique Guegan, Florian Ielpo. Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations. Quantitative Finance, Taylor & Francis (Routledge), 2012, 12 (7), pp.1079-1094. 〈10.1080/14697688.2010.493180〉. 〈hal-00511965〉
  • Dominique Guegan, Marius-Cristian Frunza. Pricing alternatives in incomplete markets. An application for carbon allowances. International Proceedings of Economics Development and Research, 2011, pp.200-204. 〈halshs-00755502〉
  • Dominique Guegan, Bertrand Hassani, Cédric Naud. An efficient threshold choice for operational risk capital computation. The Journal of Operational Risk, 2011, 6 (4), pp.3 - 19. 〈halshs-00790217〉
  • Dominique Guegan, Pierre-André Maugis. An econometric Study for Vine Copulas. International Journal of Economics and Finance, 2011, 2 (5), pp.2-14. 〈halshs-00645799〉
  • Dominique Guegan, Ludovic Calès, Monica Billio. A Cross-Sectional Score for the Relative Performance of an Allocation. International Review of Applied Financial Issues and Economics, 2011, 3 (4), pp.700-710. 〈halshs-00646070〉
  • Monica Billio, Ludovic Calès, Dominique Guegan. Portfolio Symmetry and Momentum. European Journal of Operational Research, Elsevier, 2011, 214 (3), pp.759-767. 〈halshs-00645814〉
  • Dominique Guegan, Marius-Cristian Frunza, Fabrice Thiebaut. Missing trader fraud on the emissions market. Journal of Financial Crime, Emerald, 2011, 18 (2), pp.25-33. 〈halshs-00646205〉
  • Dominique Guegan, Marius-Cristian Frunza, Antonin Lassoudière. Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes. International Review of Applied Financial Issues and Economics, 2010, 2 (3), pp.576-596. 〈halshs-00645890〉
  • Dominique Guegan. Effect of noise filtering on predictions: on the routes of chaos. Brussels Economics Review, 2010, 53 (2), pp.255-272. 〈halshs-00645851〉
  • Pierre-André Maugis, Dominique Guegan. Note on new prospects on vines. Insurance Markets and Companies : Analyses and Actuarial Computations, 2010, 1 (1), pp.15-22. 〈halshs-00471362〉
  • Laurent Ferrara, Dominique Guegan, Zhiping Lu. Testing Fractional Order of Long Memory Processes: A Monte Carlo Study. Communication in Statistics- Simulation and Computation / Communications in Statistics Simulation and Computation, 2010, 39 (9), pp.795-806. 〈10.1080/03610911003646381〉. 〈hal-00486655〉
  • Christophe Chorro, Dominique Guegan, Florian Ielpo. Martingalized Historical approach for Option Pricing. Finance Research Letters, Elsevier, 2010, 7 (1), pp.24-28. 〈10.1016/j.frl.2009.11.002〉. 〈halshs-00437927〉
  • Laurent Ferrara, Dominique Guegan, Patrick Rakotomarolahy. GDP nowcasting with ragged-edge data: a semi-parametric modeling. Journal of Forecasting, Wiley, 2010, 29 (1-2), pp.186-199. 〈10.1002/for.1159〉. 〈halshs-00460461〉
  • Dominique Guegan, Jing Zhang. Change analysis of a dynamic copula for measuring dependence in multivariate financial data. Quantitative Finance, Taylor & Francis (Routledge), 2010, 10 (4), pp.421-430. 〈10.1080/14697680902933041〉. 〈halshs-00368334〉
  • Abdou Kâ Diongue, Dominique Guegan, Rodney C. Wolff. BL-GARCH model with elliptical distributed innovations. Journal of Statistical Computation and Simulation, Taylor & Francis, 2010, 80 (7), pp.775-791. 〈10.1080/00949650902773577〉. 〈halshs-00368340〉
  • Dominique Guegan, Patrick Rakotomarolahy. A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques. Economics Bulletin, Economics Bulletin, 2010, 30 (1), pp.508-518. 〈halshs-00460472〉
  • Dominique Guegan, Florian Ielpo. Further evidence on the impact of economic news on interest rates. Frontiers in finance and economics, 2009, 6 (2), pp.1-45. 〈halshs-00439820〉
  • Dominique Guegan, Florian Ielpo. Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate. the ICFAI University Journal of Monetary Economics, 2009, 7 (3-4), pp.44-72. 〈halshs-00439813〉
  • Dominique Guegan, Bertrand Hassani. A modified Panjer algorithm for operational risk capital calculations. Journal of Operational Risk, 2009, 4 (4), pp.53-72. 〈halshs-00443846〉
  • Cyril Caillault, Dominique Guegan. Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy. Frontiers in finance and economics, 2009, 6 (1), pp.26-50. 〈halshs-00375765〉
  • Dominique Guegan, Justin Leroux. Forecasting chaotic systems: The role of local Lyapunov exponents. Chaos, Solitons and Fractals, Elsevier, 2009, 41 (5), pp.2401-2404. 〈10.1016/j.chaos.2008.09.017〉. 〈halshs-00431726v2〉
  • Dominique Guegan. Chaos in Economics and Finance. Annual Reviews in Control, Elsevier, 2009, 33 (1), pp.89-93. 〈10.1016/j.arcontrol.2009.01.002〉. 〈halshs-00375713v2〉
  • Abdou Kâ Diongue, Dominique Guegan, Bertrand Vignal. Forecasting electricity spot market prices with a k-factor GIGARCH process. Applied Energy, Elsevier, 2009, 86 (4), pp.505-510. 〈10.1016/j.apenergy.2008.07.005〉. 〈halshs-00307606v2〉
  • Dominique Guegan, Jing Zhang. Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market. European Journal of Finance, Taylor & Francis (Routledge), 2009, 15 (7-8), pp.777-795. 〈10.1080/13518470902895344〉. 〈halshs-00368336〉
  • Lanouar Charfeddine, Dominique Guegan. Is it possible to discriminate between different switching regressions models? An empirical investigation. The Euro-Mediterranean Economics and Finance Review, Mediterranean Association of Finance, Insurance and Management (AMFAM), 2008, 3 (4), pp.54-75. 〈halshs-00368358〉
  • Dominique Guegan, Florian Ielpo. Flexible time series models for subjective distribution estimation with monetary policy in view. Brussels Economic Review , Editions du DULBEA, 2008, 51 (1), pp.79-103. 〈halshs-00368356〉
  • Diongue Abdou Ka, Dominique Guegan. Estimation of k-Factor Gigarch Process: A Monte Carlo Study. Communications in Statistics - Simulations and Computations, 2008, 37 (10), pp.2037-2049. 〈10.1080/03610910802304994〉. 〈halshs-00375758〉
  • Jing Zhang, Dominique Guegan. Pricing bivariate option under GARCH processes with time-varying copula. Insurance: Mathematics and Economics, Elsevier, 2008, 42 (3), pp.1095-1103. 〈10.1016/j.insmatheco.2008.02.003〉. 〈halshs-00286054〉
  • Laurent Ferrara, Dominique Guegan. Business surveys modelling with Seasonal-Cyclical Long Memory models. Economics Bulletin, Economics Bulletin, 2008, 3 (29), pp.1-10. 〈halshs-00283710〉
  • Gilles Dufrenot, Dominique Guegan, Anne Peguin-Feissolle. Changing-regime volatility: A fractionally integrated SETAR model. Applied Financial Economics, Taylor & Francis (Routledge), 2008, 18 (7), pp.519-526. 〈10.1080/09603100600993778〉. 〈halshs-00185369〉
  • Dominique Guegan. La persistance dans les marchés financiers. Banque & Marchés, Revue Banque, 2007, 90, pp.34 - 43. 〈halshs-00179269〉
  • Abdou Kâ Diongue, Dominique Guegan. The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model. Statistics and Probability Letters, Elsevier, 2007, 77 (11), pp.1158-1164. 〈10.1016/j.spl.2007.02.007〉. 〈halshs-00179275〉
  • Dominique Guegan, Julien Houdain. Hedging tranches index products : illustration of model dependency. The Icfai Journal of derivatives markets, 2006, 4, pp.39 - 61. 〈halshs-00179325〉
  • Dominique Guegan, Kebira Hoummyia. De-noising with wavelets method in chaotic time series: application in climatology, energy and finance. Proceedings of SPIE, the International Society for Optical Engineering, SPIE, The International Society for Optical Engineering, 2005, 5848, pp.174 - 185. 〈halshs-00180873〉
  • Nicolas Huck, Dominique Guegan. On the use of nearest neighbors in finance. Revue de l'Association française de Finance, 2005, 26, pp.67-86. 〈halshs-00180858〉
  • Raymond Brummelhuis, Dominique Guegan. Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.. Journal of Applied Probability, Applied Probability Trust, 2005, 42 (2), pp.35-55. 〈halshs-00179336〉
  • Gilles Dufrénot, Dominique Guegan, Anne Peguin-Feissolle. Modelling squared returns using a SETAR model with long-memory dynamics. Economic Letters, 2005, 86, pp.237-243. 〈halshs-00179285〉
  • Dominique Guegan. How can we define the concept of long memory ? An econometric survey,. : Econometric Reviews,, 2005, 24 (2), pp.113 - 149. 〈halshs-00179343〉
  • Gilles Dufrénot, Dominique Guegan, Anne Peguin-Feissolle. Long-memory dynamics in a SETAR model - Applications to stock markets. International Financial Markets, Inst. And Money, 2005, 15, pp.391 - 406. 〈halshs-00179339〉
  • Dominique Guegan, Ludovic Mercier. Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data. European Journal of Finance, Taylor & Francis (Routledge), 2005, 11, pp.137 - 150. 〈halshs-00180862〉
  • Aliou Diop, Dominique Guegan. tail behavior of a threshold autoregressive stochastic volatility model. Extremes, Springer Verlag (Germany), 2005, 7, pp.369 - 377. 〈halshs-00188530〉
  • Cyril Caillault, Dominique Guegan. Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets. Quantitative Finance, Taylor & Francis (Routledge), 2005, 5, pp.489 - 501. 〈halshs-00180865〉
  • Dominique Guegan, Laurent Ferrara. Detection of the Industrial Business Cycle using SETAR models. Journal of Business Cycle Measurement and Analysis, OECD Publishing, 2005, 2, pp.353-371. 〈halshs-00201309〉
  • Aliou Diop, Dominique Guegan. Asymptotic Behavior for the Extreme Values of a Linear Regression Model. African Diaspora Journal of Mathematics, 2004, 15, pp.59 - 67. 〈halshs-00188532〉
  • Abdou Kâ Diongue, Dominique Guegan. Estimating parameters for a k-GIGARCH process. Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 2004, 339, pp.435 - 440. 〈halshs-00188531〉
  • Aliou Diop, Dominique Guegan. Extreme Distribution of a Generalized Stochastic Volatility Model,. South African Journal of Statistics,, 2003, 37, pp.127 - 148. 〈halshs-00188535〉
  • Dominique Guegan, D. Bosq, Delphine Blanke. Modelization and Nonparametric estimation for a dynamical system with noise. Journal of Statistical Planning and Inference, Elsevier, 2003, 6, pp.267 - 290. 〈halshs-00201315〉
  • Dominique Guegan. A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates. Finance India, 2003, XVII (1), pp.165 - 197. 〈halshs-00201314〉
  • Dominique Guegan, Sophie A. Ladoucette. Extreme values of particular nonlinear processes. C.R.A.S., 2002, 335, pp.73 - 78. 〈halshs-00201320〉
  • Dominique Guegan, Sophie A. Ladoucette. What is the best approach to measure the interdependence between different markets. NER Banque de France, 2002, 94, pp.1 - 64. 〈halshs-00201333〉
  • Dominique Guegan, Rolf Tschernig. Prediction of Chaotic Time Series in the Presence of Measurement Error: the Importance of Initial Conditions. Statistics and Computing, Springer Verlag (Germany), 2001, 11 (3), pp.277-284. 〈10.1023/A:1016608506110〉. 〈halshs-00194303〉
  • Dominique Guegan, Sophie A. Ladoucette. Non-mixing properties of long memory processes. Comptes Rendus de l'Académie des Sciences - Series I - Mathematics, Elsevier, 2001, 333 (4), pp.373-376. 〈10.1016/S0764-4442(01)02052-3〉. 〈halshs-00193651〉
  • Dominique Guegan. Long Memory Behavior for Simulated Chaotic Time Series. IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences, Institute of Electronics, Information and Communication Engineers, 2001, E84-A (9), pp.2145-2154. 〈halshs-00193644〉
  • Laurent Ferrara, Dominique Guegan. Forecasting with k-factor Gegenbauer Processes: Theory and Applications. Journal of Forecasting, Wiley, 2001, 20 (8), pp.581 - 601. 〈10.1002/for.815〉. 〈halshs-00193667〉
  • Laurent Ferrara, Dominique Guegan. Analyse d'intervention et prévisions. problématique et application à des données de la RATP. Revue de Statistique Appliquée, Société française de statistique, 2000, 48 (2), pp.55-72. 〈halshs-00194345〉
  • Dominique Guegan. A New Model: The k-Factor GIGARCH Process. Journal of Signal Processing, Research Institute of Signal Processing, 2000, 4 (3), pp.265-271. 〈halshs-00199207〉
  • D. Boscq, Dominique Guegan, Guillaume Léorat. Statistical estimation of the Embedding Dimension of a dynamical system. International Journal of Bifurcation and Chaos, World Scientific Publishing, 1999, 9 (4), pp.645 - 656. 〈10.1142/S0218127499000456〉. 〈halshs-00194421〉
  • Luisa Bisaglia, Dominique Guegan. A comparison of techniques of estimation in long-memory processes. Computational Statistics and Data Analysis, Elsevier, 1998, 27 (1), pp.61-81. 〈10.1016/S0167-9473(97)00045-5〉. 〈halshs-00194462〉
  • Michel Delecroix, Dominique Guegan, Guillaume Léorat. Determinating Lyapunov exponents in deterministic dynamical systems. Computational Statistics, Springer Verlag, 1997, 12 (1), pp.93-107. 〈halshs-00196413〉
  • Dominique Guegan, Guillaume Léorat. Consistent estimation to determine the embedding dimension in financial data: with an application to the dollar/deutschmark exchange rate. European Journal of Finance, Taylor & Francis (Routledge), 1997, 3 (3), pp.231 - 242. 〈10.1080/135184797337453〉. 〈halshs-00194487〉
  • Dominique Guegan, N. Wandji. Puissance du test du multiplicateur de Lagrange pour certains modèles bilinéaires sous diagonaux d'ordre deux. Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 1996, 322, pp.179-184. 〈halshs-00199592〉
  • Dominique Guegan, Joseph Ngatchou Wandji. Power of the Lagrange multiplier test for certain subdiagonal bilinear models. Statistics and Probability Letters, Elsevier, 1996, 29 (3), pp.201-212. 〈10.1016/0167-7152(95)00174-3〉. 〈halshs-00199314〉
  • D. Bosq, Dominique Guegan. Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system. Statistics and Probability Letters, Elsevier, 1995, 25 (3), pp.201-212. 〈10.1016/0167-7152(94)00223-U〉. 〈halshs-00199345〉
  • Jean Diebolt, Dominique Guegan. Probabilistic properties of the Béta-ARCH model. Statistica Sinica, Taipei : Institute of Statistical Science, Academia Sinica, 1994, 4 (1), pp.71-88. 〈halshs-00199490〉
  • Dominique Guegan, Dinh Tuan Pham. Asymptotic normality of the discrete Fourier transform of long memory time series. Statistics and Probability Letters, Elsevier, 1994, 21 (4), pp.299-309. 〈10.1016/0167-7152(94)00023-9〉. 〈halshs-00199350〉
  • Jean Diebolt, Dominique Guegan. Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One. Journal of Applied Probability, Applied Probability Trust, 1993, 30 (2), pp.315-329. 〈halshs-00199526〉
  • Dominique Guegan, Dinh Tuan Pham. Power of the score test against bilinear time series models. Statistica Sinica, Taipei : Institute of Statistical Science, Academia Sinica, 1992, 2 (1), pp.157-169. 〈halshs-00199498〉
  • Jean Diebolt, Dominique Guegan. Le modèle de séries chronologiques autorégressives Béta-ARCH. Comptes rendus de l'Académie des sciences. Série I, Mathématique, Elsevier, 1991, pp.625-630. 〈halshs-00199596〉

Communication dans un congrès17 documents

Ouvrage (y compris édition critique et traduction)4 documents

  • Christophe Chorro, Dominique Guegan, Florian Ielpo. A time series approach to option pricing: Models, Methods and Empirical Performances. Springer, 2015. 〈hal-01015308〉
  • Dominique Guegan. Les chaos en finance: approche statistique. Economica, pp.465, 2003, Statistique mathématique et probabilité, Paul Deheuvels. 〈halshs-00180849〉
  • Dominique Guegan, Laurent Ferrara. Analyser les séries chronologiques avec S-Plus: une approche paramétrique. Presses Universitaires de renne, pp.147, 2003. 〈halshs-00375652〉
  • Dominique Guegan. Séries chronologiques non linéaires à temps discret. Economica, pp.308, 1994, Statistique mathématique et probabilité. 〈halshs-00196420〉

Chapitre d'ouvrage25 documents

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

Direction d'ouvrage, Proceedings, Dossier1 document

Autre publication105 documents

  • Dominique Guegan, Matteo Iacopini. Nonparametric forecasting of multivariate probability density functions. Documents de travail du Centre d'Economie de la Sorbonne 2018.12 - ISSN : 1955-611X. 2018. 〈halshs-01821815〉
  • Papa Cissé, Dominique Guegan, Abdou Kâ Diongue. On the parameters estimation of the Seasonal FISSAR Model. Documents de travail du Centre d'Economie de la Sorbonne 2018.18 - ISSN : 1955-611X. 2018. 〈halshs-01832115〉
  • Dominique Guegan. The Digital World: I - Bitcoin: from history to real live. Documents de travail du Centre d'Economie de la Sorbonne 2018.11 - ISSN : 1955-611X. 2018. 〈halshs-01822962〉
  • Dominique Guegan. The Digital World: II – Alternatives to the Bitcoin Blockchain?. Documents de travail du Centre d'Economie de la Sorbonne 2018.16 - ISSN : 1955-611X. 2018. 〈halshs-01832002〉
  • Matthieu Garcin, Dominique Guegan, Bertrand Hassani. A novel multivariate risk measure: the Kendall VaR. Documents de travail du Centre d'Economie de la Sorbonne 2017.08R - ISSN : 1955-611X
    Version.. 2018. 〈halshs-01467857v2〉
  • Dominique Guegan, Marius Frunza. Is the Bitcoin Rush Over?. Documents de travail du Centre d'Economie de la Sorbonne 2018.14 - ISSN : 1955-611X. 2018. 〈halshs-01822992〉
  • Peter Addo, Dominique Guegan, Bertrand Hassani. Credit Risk Analysis using Machine and Deep Learning models. Documents de travail du Centre d'Economie de la Sorbonne 2018.03 - ISSN : 1955-611X 2018. 〈halshs-01719983〉
  • Dominique Guégan, Christophe Hénot. A Probative Value for Authentication Use Case Blockchain. Documents de travail du Centre d'Economie de la Sorbonne 2018.22 - ISSN : 1955-611X. 2018. 〈halshs-01896540〉
  • Dominique Guegan. Les ICO la nouvelle façon de lever des fonds sans contrainte ?. Documents de travail du Centre d'Economie de la Sorbonne 2018.02 - ISSN : 1955-611X. 2018. 〈halshs-01719901〉
  • Dominique Guegan, Bertrand Hassani, Kehan Li. Measuring risks in the extreme tail: The extreme VaR and its confidence interval. Documents de travail du Centre d'Economie de la Sorbonne 2016.34RR - ISSN : 1955-611X. Version or.. 2017. 〈halshs-01317391v3〉
  • Camila Epprecht, Dominique Guegan, Álvaro Veiga, Joel Correa da Rosa. Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics. Documents de travail du Centre d'Economie de la Sorbonne 2013.80R - ISSN : 1955-611X.
    Version.. 2017. 〈halshs-00917797v2〉
  • Dominique Guegan, Bertrand Hassani, Kehan Li. An alternative class of distortion operators : alternative tools to generate asymmetrical multimodal distributions. Documents de travail du Centre d'Economie de la Sorbonne 2017.30 - ISSN : 1955-611X. 2017. 〈halshs-01543251〉
  • Monica Billio, Lorenzo Frattarolo, Dominique Guégan. Multivariate Reflection Symmetry of Copula Functions. Documents de travail du Centre d'Economie de la Sorbonne 2017.33 - ISSN : 1955-611X. 2017. 〈halshs-01592147〉
  • Dominique Guegan, Bertrand Hassani, Kehan Li. Impact of multimodality of distributions on VaR and ES calculations. Documents de travail du Centre d'Economie de la Sorbonne 2017.19 - ISSN : 1955-611X. 2017. 〈halshs-01491990〉
  • Dominique Guegan. Public Blockchain versus Private blockhain. Documents de travail du Centre d'Economie de la Sorbonne 2017.20 - ISSN : 1955-611X. 2017. 〈halshs-01524440〉
  • Dominique Guegan. Blockchain publique et contrats intelligents (Smart Contrats). Les possibilités ouvertes par Ethéreum... et ses limites. Documents de travail du Centre d'Economie de la Sorbonne 2017.57 - ISSN : 1955-611X. 2017. 〈halshs-01673329〉
  • Dominique Guegan. Blockchain Publique versus Blockchain Privée : Enjeux et Limites. Documents de travail du Centre d'Economie de la Sorbonne 2017.53 - ISSN : 1955-611X. 2017. 〈halshs-01673321〉
  • Dominique Guegan, Giovanni De Luca, Giorgia Rivieccio. Three-stage estimation method for non-linear multiple time-series. Documents de travail du Centre d'Economie de la Sorbonne 2017.01 - ISSN : 1955-611X. 2017. 〈halshs-01439860〉
  • Dominique Guegan, Bertrand Hassani. Regulatory Learning: how to supervise machine learning models? An application to credit scoring. Documents de travail du Centre d'Economie de la Sorbonne 2017.34R - ISSN : 1955-611X
    Version.. 2017. 〈halshs-01592168v2〉
  • Christophe Chorro, Dominique Guegan, Florian Ielpo, Hanjarivo Lalaharison. Testing for Leverage Effects in the Returns of US Equities. Documents de travail du Centre d'Economie de la Sorbonne 2014.22R - ISSN : 1955-611X. Version ori.. 2017. 〈halshs-00973922v2〉
  • Dominique Guegan, Bertrand K. Hassani, Kehan Li. Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. Documents de travail du Centre d'Economie de la Sorbonne 2016.06 - ISSN : 1955-611X. 2016. 〈halshs-01277880〉
  • Dominique Guegan, Bertrand Hassani. 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. Documents de travail du Centre d'Economie de la Sorbonne 2016.66 - ISSN : 1955-611X. 2016. 〈halshs-01391103〉
  • Dominique Guegan, Bertrand K. Hassani. Risk Measures At Risk- Are we missing the point?
    Discussions around sub-additivity and distortion. Documents de travail du Centre d'Economie de la Sorbonne 2016.39 - ISSN : 1955-611X. 2016. 〈halshs-01318093〉
  • Papa Ousmane Cissé, Abdou Kâ Diongue, Dominique Guegan. Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model. Documents de travail du Centre d'Economie de la Sorbonne 2016.13 - ISSN : 1955-611X. 2016. 〈halshs-01278126〉
  • Dominique Guegan, Bertrand Hassani. More Accurate Measurement for Enhanced Controls: VaR vs ES?. Documents de travail du Centre d'Economie de la Sorbonne 2016.15 - ISSN : 1955-611X. 2016. 〈halshs-01281940〉
  • Dominique Guegan, Bertrand Hassani. Risk or Regulatory Capital? Bringing distributions back in the foreground. Documents de travail du Centre d'Economie de la Sorbonne 2015.46 - ISSN : 1955-611X. 2015. 〈halshs-01169268〉
  • Dominique Guegan, Bertrand K. Hassani, Kehan Li. The Spectral Stress VaR (SSVaR). Documents de travail du Centre d'Economie de la Sorbonne 2015.52 - ISSN : 1955-611X. 2015. 〈halshs-01169537〉
  • Matthieu Garcin, Dominique Guegan. Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact. Documents de travail du Centre d'Economie de la Sorbonne 2015.85 - ISSN : 1955-611X. 2015. 〈halshs-01244239〉
  • Dominique Guegan, Bertrand Hassani. Stress Testing Engineering: the real risk measurement?. Documents de travail du Centre d'Economie de la Sorbonne 2014.06 - ISSN : 1955-611X
    Chapitr.. 2014. 〈halshs-00951593〉
  • Dominique Guegan, Bertrand Hassani. Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions. Documents de travail du Centre d'Economie de la Sorbonne 2014.08 - ISSN : 1955-611X. 2014. 〈halshs-00969242〉
  • Dominique Guegan, Bertrand Hassani, Xin Zhao. Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions. Documents de travail du Centre d'Economie de la Sorbonne 2013.34 - ISSN : 1955-611X. 2013. 〈halshs-00820839〉
  • Peter Martey Addo, Monica Billio, Dominique Guegan. Turning point chronology for the Euro-Zone: A Distance Plot Approach. Documents de travail du Centre d'Economie de la Sorbonne 2013.25 - ISSN : 1955-611X. 2013. 〈halshs-00803457〉
  • Matthieu Garcin, Dominique Guegan. Probability density of the wavelet coefficients of a noisy chaos. Documents de travail du Centre d'Economie de la Sorbonne 2013.15 - ISSN : 1955-611X. 2013. 〈hal-00800997〉
  • Peter Martey Addo, Monica Billio, Dominique Guegan. Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis. Documents de travail du Centre d'Economie de la Sorbonne 2013.24 - ISSN : 1955-611X. 2013. 〈halshs-00803450〉
  • Lorenzo Frattarolo, Dominique Guegan. Empirical Projected Copula Process and Conditional Independence An Extended Version. Documents de travail du Centre d'Economie de la Sorbonne 2013.68 - ISSN : 1955-611X. 2013. 〈halshs-00881185〉
  • Dominique Guegan, Bertrand Hassani. Using a time series approach to correct serial correlation in operational risk capital calculation. Documents de travail du Centre d'Economie de la Sorbonne 2012.91R - ISSN : 1955-611X - Version or.. 2013. 〈halshs-00771387v2〉
  • Peter Martey Addo, Monica Billio, Dominique Guegan. Understanding Exchange Rates Dynamics. Documents de travail du Centre d'Economie de la Sorbonne 2013.23 - ISSN : 1955-611X. 2013. 〈halshs-00803447〉
  • Dominique Guegan, Fatima Jouad. Aggregation of Market Risks using Pair-Copulas. Documents de travail du Centre d'Economie de la Sorbonne 2012.31 - ISSN : 1955-611X. 2012. 〈halshs-00706689〉
  • Dominique Guegan, Florian Ielpo, Hanjarivo Lalaharison. Option pricing with discrete time jump processes. Documents de travail du Centre d'Economie de la Sorbonne 2011.37 - ISSN : 1955-611X - Version ori.. 2012. 〈halshs-00611706v2〉
  • Dominique Guegan, Bertrand Hassani. Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach. Documents de travail du Centre d'Economie de la Sorbonne 2011.17 - ISSN : 1955-611X - Version ori.. 2012. 〈halshs-00587706v3〉
  • Monica Billio, Ludovic Calès, Dominique Guegan. Cross-Sectional Analysis through Rank-based Dynamic Portfolios. Documents de travail du Centre d'Economie de la Sorbonne 2012.36 - ISSN : 1955-611X. 2012. 〈halshs-00707430〉
  • Matthieu Garcin, Dominique Guegan. Extreme values of random or chaotic discretization steps. Documents de travail du Centre d'Economie de la Sorbonne 2012.33 - ISSN : 1955-611X. 2012. 〈hal-00706825〉
  • Peter Martey Addo, Monica Billio, Dominique Guegan. Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach. Documents de travail du Centre d'Economie de la Sorbonne 2012.23 - ISSN : 1955-611X. 2012. 〈halshs-00694420〉
  • Maxence Soumare, Jørgen Vitting Andersen, Francis Bouchard, Alain Elkaim, Dominique Guegan, et al.. A theoretical framework for trading experiments. Documents de travail du Centre d'Economie de la Sorbonne 2012.83 - ISSN : 1955-611X. 2012. 〈halshs-00768898〉
  • Dominique Guegan, Zhiping Lu, Beijia Zhu. Comparaison of Several Estimation Procedures for Long Term Behavior. Documents de travail du Centre d'Economie de la Sorbonne 2012.08 - ISSN : 1955-611X. 2012. 〈halshs-00673934〉
  • Dominique Guegan, Xin Zhao. Alternative Modeling for Long Term Risk. Documents de travail du Centre d'Economie de la Sorbonne 2012.25 - ISSN : 1955-611X. 2012. 〈halshs-00694449〉
  • Dominique Guegan, Bertrand Hassani. Operational risk: A Basel II++ step before Basel III. Documents de travail du Centre d'Economie de la Sorbonne 2011.53 - ISSN : 1955-611X - Version ori.. 2011. 〈halshs-00639484v3〉
  • Peter Martey Addo, Monica Billio, Dominique Guegan. A test for a new modelling : The Univariate MT-STAR Model. Documents de travail du Centre d'Economie de la Sorbonne 2011.83 - ISSN : 1955-611X. 2011. 〈halshs-00659158〉
  • Dominique Guegan, Bertrand Hassani. A mathematical resurgence of risk management: an extreme modeling of expert opinions. Documents de travail du Centre d'Economie de la Sorbonne 2011.57 - ISSN : 1955-611X. 2011. 〈halshs-00639666〉
  • Dominique Guegan, Philippe De Peretti. An Omnibus Test to Detect Time-Heterogeneity in Time Series. Documents de travail du Centre d'Economie de la Sorbonne 2010.98 - ISSN : 1955-611X - Version ori.. 2011. 〈halshs-00560221v2〉
  • Dominique Guegan, Philippe De Peretti. Tests of structural changes in conditional distributions with unknown changepoints. Documents de travail du Centre d'Economie de la Sorbonne 2011.42 - ISSN : 1955-611X. 2011. 〈halshs-00611932〉
  • Dominique Guegan, Wayne Tarrant. Viewing Risk Measures as information. Documents de travail du Centre d'Economie de la Sorbonne 2011.54 - ISSN : 1955-611X. 2011. 〈halshs-00639489〉
  • Dominique Guegan, Bertrand Hassani, Cédric Naud. An efficient threshold choice for operational risk capital computation. Documents de travail du Centre d'Economie de la Sorbonne 2010.96 - ISSN : 1955-611X - Version ré.. 2010. 〈halshs-00544342v2〉
  • Dominique Guegan, Chafic Merhy. A Note on fair Value and Illiquid Markets. Documents de travail du Centre d'Economie de la Sorbonne - 2010.01 - ISSN : 1955-611X. 2010. 〈halshs-00460856〉
  • Dominique Guegan, Patrick Rakotomarolahy. A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques. Documents de travail du Centre d'Economie de la Sorbonne 2010.13 - ISSN : 1955-611X. 2010. 〈halshs-00461711〉
  • Dominique Guegan, Wayne Tarrant. On the necessity of five risk measures. Documents de travail du Centre d'Economie de la Sorbonne 2010.05 - ISSN : 1955-611X. 2010. 〈halshs-00460901〉
  • Monica Billio, Ludovic Calès, Dominique Guegan. A Cross-Sectional Performance Measure for Portfolio Management. Documents de travail du Centre d'Economie de la Sorbonne 2010.70 - ISSN : 1955-611X. 2010. 〈halshs-00523466〉
  • Marius-Cristian Frunza, Dominique Guegan, Antonin Lassoudière. Statistical evidence of tax fraud on the carbon allowances market. Documents de travail du Centre d'Economie de la Sorbonne 2010.69 - ISSN : 1955-611X. 2010. 〈halshs-00523458〉
  • Dominique Guegan, Hanjarivo Lalaharison. A short note on option pricing with Lévy Processes. Documents de travail du Centre d'Economie de la Sorbonne 2010.78 - ISSN : 1955-611X. 2010. 〈halshs-00542475〉
  • Marius-Cristian Frunza, Dominique Guegan. Derivative Pricing and Hedging on Carbon Market. Documents de travail du Centre d'Economie de la Sorbonne 2010.07 - ISSN : 1955-611X. 2010. 〈halshs-00461474〉
  • Monica Billio, Ludovic Calès, Dominique Guegan. A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios. Documents de travail du Centre d'Economie de la Sorbonne 2010.30 - ISSN : 1955-611X. 2010. 〈halshs-00476038〉
  • Marius-Cristian Frunza, Dominique Guegan, Antonin Lassoudière. Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes. Documents de travail du Centre d'Economie de la Sorbonne 2010.62 - ISSN : 1955-611X. 2010. 〈halshs-00505145〉
  • Christophe Chorro, Dominique Guegan, Florian Ielpo. Option pricing for GARCH-type models with generalized hyperbolic innovations. Documents de travail du Centre d'Economie de la Sorbonne 2010.23 - ISSN : 1955-611X. 2010. 〈halshs-00469529〉
  • Dominique Guegan, Justin Leroux. Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems. Documents de travail du Centre d'Economie de la Sorbonne 2010.19 - ISSN : 1955-611X. 2010. 〈halshs-00462454〉
  • Dominique Guegan, Pierre-André Maugis. New Prospects on Vines. Documents de travail du Centre d'Economie de la Sorbonne 2008.95 - ISSN : 1955-611X. 2010. 〈halshs-00348884v3〉
  • Marius-Cristian Frunza, Dominique Guegan. Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market. Documents de travail du Centre d'Economie de la Sorbonne 2010.54 - ISSN : 1955-611X. 2010. 〈halshs-00504209〉
  • Marius-Cristian Frunza, Dominique Guegan, Fabrice Thiebaut. Missing trader fraud on the emissions market. Documents de travail du Centre d'Economie de la Sorbonne 2010.71 - ISSN : 1955-611X. 2010. 〈halshs-00523512〉
  • Christophe Chorro, Dominique Guegan, Florian Ielpo. Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes. Documents de travail du Centre d'Economie de la Sorbonne 2010.67 - ISSN : 1955-611X. 2010. 〈halshs-00523371〉
  • Dominique Guegan, Patrick Rakotomarolahy. Alternative methods for forecasting GDP. Documents de travail du Centre d'Economie de la Sorbonne 2010.65 - ISSN : 1955-611X. 2010. 〈halshs-00505165〉
  • Dominique Guegan, Pierre-André Maugis. An Econometric Study of Vine Copulas. Documents de travail du Centre d'Economie de la Sorbonne 2010.40 - ISSN : 1955-611X. 2010. 〈halshs-00492124〉
  • Dominique Guegan, Zhiping Lu. Testing unit roots and long range dependence of foreign exchange. Documents de travail du Centre d'Economie de la Sorbonne 2010.59 - ISSN : 1955-611X. 2010. 〈halshs-00505117〉
  • Lanouar Charfeddine, Dominique Guegan. Breaks or Long Memory Behaviour : An empirical Investigation. Documents de travail du Centre d'Economie de la Sorbonne 2009.22 - ISSN : 1955-611X. 2009. 〈halshs-00377485〉
  • Monica Billio, Ludovic Calès, Dominique Guegan. Portfolio Symmetry and Momentum. Documents de Travail du Centre d'Economie de la Sorbonne 2009.03 - ISSN : 1955-611X. 2009. 〈halshs-00363383v2〉
  • Dominique Guegan, Bertrand Hassani. A new algorithm for the loss distribution function with applications to Operational Risk Management. Documents de travail du Centre d'Economie de la Sorbonne 2009.23 - ISSN : 1955-611X. 2009. 〈halshs-00384398v2〉
  • Monica Billio, Laurent Ferrara, Dominique Guegan, Gian Luigi Mazzi. Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area. Documents de travail du Centre d'Economie de la Sorbonne 2009.53 - ISSN : 1955-611X. 2009. 〈halshs-00423890〉
  • Dominique Guegan, Patrick Rakotomarolahy. The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting. Documents de travail du Centre d'Economie de la Sorbonne 2009.50 - ISSN : 1955-611X. 2009. 〈halshs-00423871v2〉
  • Laurent Ferrara, Dominique Guegan, Patrick Rakotomarolahy. GDP nowcasting with ragged-edge data : A semi-parametric modelling. Documents de travail du Centre d'Economie de la Sorbonne 2008.82 - ISSN : 1955-611X. 2009. 〈halshs-00344839v2〉
  • Dominique Guegan, Zhiping Lu. Wavelet Method for Locally Stationary Seasonal Long Memory Processes. Document de travail du Centre d'Economie de la Sorbonne 2009.15 - ISSN : 1955-611X. 2009. 〈halshs-00375531〉
  • Christophe Chorro, Dominique Guegan, Florian Ielpo. Martingalized Historical approach for Option Pricing. Documents de travail du Centre d'Economie de la Sorbonne 2009.21 - ISSN : 1955-611X. 2009. 〈halshs-00376756〉
  • Marius-Cristian Frunza, Dominique Guegan. An economic view of carbon allowances market. Documents de travail du Centre d'Economie de la Sorbonne 2009.38 - ISSN : 1955-611X. 2009. 〈halshs-00390676〉
  • Christophe Chorro, Dominique Guegan, Florian Ielpo. Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology. Documents de travail du Centre d'Economie de la Sorbonne 2008.37 - ISSN : 1955-611X. 2008. 〈halshs-00281585〉
  • Dominique Guegan. Effect of noise filtering on predictions : on the routes of chaos. Documents de travail du Centre d'Economie de la Sorbonne 2008.08 - ISSN : 1955-611X. 2008. 〈halshs-00235448〉
  • Dominique Guegan. Non-stationarity and meta-distribution. Documents de travail du Centre d'Economie de la Sorbonne 2008.26 - ISSN : 1955-611X. 2008. 〈halshs-00270708〉
  • Abdou Kâ Diongue, Dominique Guegan, Rodney C. Wolff. Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations. Documents de travail du Centre d'Economie de la Sorbonne 2008.27 - ISSN : 1955-611X. 2008. 〈halshs-00270719〉
  • Mathieu Gatumel, Dominique Guegan. Dynamic Analysis of the Insurance Linked Securities Index. Documents de travail du Centre d'Economie de la Sorbonne 2008.49 - ISSN : 1955-611X. 2008. 〈halshs-00320378〉
  • Dominique Guegan, Justin Leroux. Forecasting chaotic systems : the role of local Lyapunov exponents. Documents de travail du Centre d'Economie de la Sorbonne 2008.14 - ISSN : 1955-611X. 2008. 〈halshs-00259238v2〉
  • Mathieu Gatumel, Dominique Guegan. Towards an understanding approach of the insurance linked securities market. Documents de travail du Centre d'Economie de la Sorbonne 2008.06 - ISSN : 1955-611X. 2008. 〈halshs-00235354〉
  • Laurent Ferrara, Dominique Guegan. Business surveys modelling with Seasonal-Cyclical Long Memory models. Documents de travail du Centre d'Economie de la Sorbonne 2008.35 - ISSN : 1955-611X. 2008. 〈halshs-00277379〉
  • Abdou Kâ Diongue, Dominique Guegan. Estimation of k-factor GIGARCH process : a Monte Carlo study. Documents de travail du Centre d'Economie de la Sorbonne 2008.04 - ISSN : 1955-611X. 2008. 〈halshs-00235179〉
  • Christophe Chorro, Dominique Guegan, Florian Ielpo. Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results. Documents de travail du Centre d'Economie de la Sorbonne 2008.47 - ISSN : 1955-611X. 2008. 〈hal-00308687〉
  • Abdou Kâ Diongue, Dominique Guegan. The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics. Documents de travail du Centre d'Economie de la Sorbonne 2008.13 - ISSN : 1955-611X. 2008. 〈halshs-00259225〉
  • Laurent Ferrara, Dominique Guegan, Zhiping Lu. Testing fractional order of long memory processes : a Monte Carlo study. Documents de travail du Centre d'Economie de la Sorbonne 2008.12 - ISSN : 1955-611X. 2008. 〈halshs-00259193〉
  • Jing Zhang, Dominique Guegan. Pricing bivariate option under GARCH processes with time-varying copula. Documents de travail du Centre d'Economie de la Sorbonne 2008.15 - ISSN : 1955-611X. 2008. 〈halshs-00259242〉
  • Lanouar Charfeddine, Dominique Guegan. Which is the best model for the US inflation rate : a structural changes model or a long memory process ?. Documents de travail du Centre d'Economie de la Sorbonne 2007.61 - ISSN : 1955-611X. 2007. 〈halshs-00188309〉
  • Dominique Guegan, Florian Ielpo. Further evidence on the impact of economic news on interest rates. Documents de travail du Centre d'Economie de la Sorbonne 2007.62 - ISSN : 1955-611X. 2007. 〈halshs-00188331〉
  • Dominique Guegan, Florian Ielpo. Flexible time series models for subjective distribution estimation with monetary policy in view. Documents de travail du Centre d'Economie de la Sorbonne 2007.56 - ISSN : 1955-611X. 2007. 〈halshs-00188247〉
  • Dominique Guegan, Jing Zhang. Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market. Documents de travail du Centre d'Economie de la Sorbonne 2007.57 - ISSN : 1955-611X. 2007. 〈halshs-00188248〉
  • Dominique Guegan, Zhiping Lu. A note on self-similarity for discrete time series. Documents de travail du Centre d'Economie de la Sorbonne 2007.55 - ISSN : 1955-611X. 2007. 〈halshs-00187910〉
  • Dominique Guegan. Global and local stationary modelling in finance : theory and empirical evidence. Documents de travail du Centre d'Economie de la Sorbonne 2007.53 - ISSN : 195-611X. 2007. 〈halshs-00187875〉
  • Abdou Kâ Diongue, Dominique Guegan, Bertrand Vignal. Forecasting electricity spot market prices with a k-factor GIGARCH process. Documents de travail du Centre d'Economie de la Sorbonne 2007.58 - ISSN : 1955-611X. 2007. 〈halshs-00188264v2〉
  • Dominique Guegan. Chaos in economics and finance. Documents de travail du Centre d'Economie de la Sorbonne 2007.54 - ISSN : 1955-611X. 2007. 〈halshs-00187885v2〉
  • Dominique Guegan, Jing Zhang. Change analysis of dynamic copula for measuring dependence in multivariate financial data. Cahiers de la Maison des Sciences Economiques 2006.90 - ISSN : 1624-0340. 2006. 〈halshs-00189141v2〉
  • Dominique Guegan, Stéphanie Rioublanc. Regime switching models : real or spurious long memory ?. Cahiers de la Maison des Sciences Economiques 2005.100 - ISSN : 1624-0340. 2005. 〈halshs-00189208〉
  • Dominique Guegan, Sophie A. Ladoucette. Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices. Cahiers de la Maison des Sciences Economiques 2005.101 - ISSN : 1624-0340. 2005. 〈halshs-00189214〉
  • Dominique Guegan, Laurent Ferrara. Analyser les séries chronologiques avec S-Plus : une approche paramétrique,. Linear and non linear Time series analysis with the software S-Plus. 2003. 〈halshs-00201328〉

Pré-publication, Document de travail4 documents

  • Dominique Guegan, Philippe De Peretti. An Omnibus Test to Detect Time-Heterogeneity in Time Series. A paraître dans Computational Statistics. 2012. 〈halshs-00721327〉
  • Lanouar Charfeddine, Dominique Guegan. Breaks or long memory behaviour : an empirical investigation. A paraître dans Physica A. 2012. 〈halshs-00722032〉
  • Dominique Guegan, Wayne Tarrant. Viewing Risk Measures as information. A paraître dans International Journal of Business and social science. 2012. 〈halshs-00721350〉
  • Anne Peguin-Feissolle, Gilles Dufrénot, Dominique Guegan. Changing-regime volatility : A fractionally integrated SETAR model. 2006. 〈halshs-00410540〉