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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.


Journal articles103 documents

  • Dominique Guegan, Christophe Hénot. A probative value for authentication use case blockchain. Digital Finance, 2019, Smart Data Analytics, Investment Innovation, and Financial Technology, pp.1-25. ⟨Springer⟩. ⟨10.1007/s42521-019-00003-0⟩. ⟨halshs-02119190⟩
  • 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⟩
  • Christophe Chorro, Dominique Guegan, Florian Ielpo, Hanjarivo Lalaharison. 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⟩. ⟨10.1016/j.jempfin.2018.07.008⟩. ⟨halshs-01917590⟩
  • Dominique Guegan. ICO : la nouvelle façon d lever des fonds sans contrainte ?. Revue Banque, Revue Banque édition, 2018, pp.60-63. ⟨halshs-01906259⟩
  • 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, 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. ⟨10.1016/j.intfin.2017.06.002⟩. ⟨halshs-01917569⟩
  • 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⟩
  • 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, ⟨10.1016/j.frl.2018.10.018⟩. ⟨halshs-01917629⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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, 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, 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 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩. ⟨hal-02091677⟩
  • 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. 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, 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⟩
  • 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⟩
  • 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, 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⟩
  • 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⟩
  • 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, 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⟩
  • 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⟩
  • 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, 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⟩
  • 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⟩
  • 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, 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⟩
  • 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⟩
  • Dominique Guegan. Effect of noise filtering on predictions: on the routes of chaos. Brussels Economics Review, 2010, 53 (2), pp.255-272. ⟨halshs-00645851⟩
  • 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, 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⟩
  • 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⟩
  • 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, 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⟩
  • 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, 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⟩
  • 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. 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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. 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. Modelling squared returns using a SETAR model with long-memory dynamics. Economic Letters, 2005, 86, pp.237-243. ⟨halshs-00179285⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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⟩
  • 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. tail behavior of a threshold autoregressive stochastic volatility model. Extremes, Springer Verlag (Germany), 2005, 7, pp.369 - 377. ⟨halshs-00188530⟩
  • 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. Asymptotic Behavior for the Extreme Values of a Linear Regression Model. African Diaspora Journal of Mathematics, 2004, 15, pp.59 - 67. ⟨halshs-00188532⟩
  • 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⟩
  • 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, 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, 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. 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⟩
  • 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⟩
  • 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⟩
  • 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. Probabilistic properties of the Béta-ARCH model. Statistica Sinica, Taipei : Institute of Statistical Science, Academia Sinica, 1994, 4 (1), pp.71-88. ⟨halshs-00199490⟩
  • 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⟩

Conference papers22 documents

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

Books5 documents

  • Dominique Guegan, Bertrand K. Hassani. Risk Measurement: From Quantitative Measures to Management Decisions. Springer. 215 p., 2019. ⟨halshs-02119256⟩
  • 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⟩

Book sections25 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. 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, 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, 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, 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, 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. 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. 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, 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⟩
  • 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⟩
  • 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⟩
  • 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. 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⟩
  • 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. 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, 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. 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⟩
  • 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⟩

Directions of work or proceedings1 document

Other publications105 documents

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

Preprints, Working Papers, ...4 documents

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