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Dominique Guégan

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Identifiants chercheurs

Présentation

Dominique Guégan is currently Emeritus Professor of Mathematics at the [University Paris1 Panthéon – Sorbonne](http://centredeconomiesorbonne.univ-paris1.fr/presentation/emerites/) inside the CNRS Research Laboratory CES (Centre d’Economie de la Sorbonne). Her domains of research are: Financial regulation – Fintech technology (Blockchain, big data, HFT) - non-linear econometrics modelling - Extreme value theory and risk measures in finance - pricing theory in incomplete markets- Deterministic dynamical systems. She belongs to the [LaBex ReFi](http://www.labex-refi.com/publications/working-papers/labex-refi-working-paper-series-2018/) (Financial regulation). She is an associate researcher to [University Ca’Foscari in Venezia](http://www.unive.it/pag/16868/). She has already supervised 37 PhD in economics and mathematics. She currently supervised 2 thesis. She has already published 11 books in statistics theory, time series and finance, participate for chapters in 30 books , and published more than130 academic papers . She is regularly invited in universities around the world to give seminars or lectures for long stays in Italy (Venezia , Firenze, Padova ), in Danemark (Arrhus), in The Netherlands (Rotterdam), in Belgium (Louvain), in Germany (Berlin ), in Great Britain (London, Warwick), in Russia (HCE Moscou), in Hong Kong University, in China (Shanghai , Beijing, Tianjin), in Manilla, in Japan (Tokyo), in India (Calcutta, New Delhi), in Australia (Sydney, Brisbane, Melbourne), in New Zealand, in Canada (Montreal), in Brazil ( Porto Alegre, Rio) . She also participates to several international projects supported by French government, or European Commission, or International institutions. These projects focus on the financial regulation, the measures of risks and the decisions of Basel committee in Europe, the Fintech industry, the development of long term risks and the way to take them into account both for bankers, insurance companies and individuals, the importance of systemic risks with the actual financial crisis and the globalization of the markets. These projects link the research and the works of several academic teams inside French universities, European universities, North American Universities, and also enterprises. She is nominated, since August 2018, Associated Editor in the [Journal ](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity)[Frontiers in Artificial Intelligence](http://www.frontiersin.org/people/DOMINIQUEGUEGAN/601907/activity) for the section Artificial Intelligence in Finance.

Publications

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High-Dimensional Radial Symmetry of Copula Functions: Multiplier Bootstrap vs. Randomization

Monica Billio , Lorenzo Frattarolo , Dominique Guégan
Symmetry, 2022, 14 (1), pp.97. ⟨10.3390/sym14010097⟩
Article dans une revue hal-04085236v1
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Does investor sentiment on social media provide robust information for Bitcoin returns predictability?

Dominique Guégan , Thomas Renault
Finance Research Letters, 2021, 38, pp.101494. ⟨10.1016/j.frl.2020.101494⟩
Article dans une revue hal-03205154v1
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Is It Possible to Forecast the Price of Bitcoin?

Julien Chevallier , Dominique Guégan , Stéphane Goutte
Forecasting, 2021, 3 (2), pp.377-420. ⟨10.3390/forecast3020024⟩
Article dans une revue halshs-04250269v1

A probative value for authentication use case blockchain

Dominique Guegan , Christophe Hénot
Digital Finance, 2019, Smart Data Analytics, Investment Innovation, and Financial Technology, pp.1-25. ⟨10.1007/s42521-019-00003-0⟩
Article dans une revue halshs-02119190v1

The Digital World: II - Alternatives to the Bitcoin Blockchain

Dominique Guegan
Bankers Markets & Investors : an academic & professional review, 2018, 152, pp.1-6
Article dans une revue halshs-01906522v1

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

Dominique Guegan
Revue Banque, 2018, 817, pp.60-63
Article dans une revue halshs-01906259v1

Assessing tail risk for nonlinear dependence of MSCI sector indices: A copula three-stage approach

Giovanni de Luca , Dominique Guegan , Giorgia Rivieccio
Finance Research Letters, 2018, ⟨10.1016/j.frl.2018.10.018⟩
Article dans une revue halshs-01917629v1

More accurate measurement for enhanced controls: VaR vs ES?

Dominique Guegan , Bertrand K. Hassani
Journal of International Financial Markets, Institutions and Money, 2018, 54, pp.152-165. ⟨10.1016/j.intfin.2017.06.002⟩
Article dans une revue halshs-01917569v1

Testing for leverage effects in the returns of US equities

Christophe Chorro , Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison
Journal of Empirical Finance, 2018, 48, pp.290-306. ⟨10.1016/j.jempfin.2018.07.008⟩
Article dans une revue halshs-01917590v1

The Digital World: I - Bitcoin: from history to real life

Dominique Guegan
Bankers Markets & Investors : an academic & professional review, 2018, 151, pp.1-6
Article dans une revue halshs-01906518v1

Regulatory learning: How to supervise machine learning models? An application to credit scoring

Dominique Guegan , Bertrand Hassani
The Journal of Finance and Data Science, 2018, 4 (3), pp.157-171. ⟨10.1016/j.jfds.2018.04.001⟩
Article dans une revue halshs-01835213v1
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Credit Risk Analysis Using Machine and Deep Learning Models

Dominique Guegan , Peter Martey Addo , Bertrand Hassani
Risks, 2018, Computational Methods for Risk Management in Economics and Finance, 6 (2), pp.38. ⟨10.3390/risks6020038⟩
Article dans une revue halshs-01835164v1

Measuring risks in the tail: The extreme VaR and its confidence interval

Dominique Guegan , Bertrand Hassani , Kehan Li
Risk and Decision Analysis, 2017, Risk and Decision Analysis, 6 (3), pp.213 - 224. ⟨10.3233/RDA-170128⟩
Article dans une revue halshs-01592736v1

Blockchain publique vs Blockchain privée : enjeux et limites

Dominique Guegan
Revue Banque, 2017, 810, pp.80-82
Article dans une revue halshs-01906189v1

Bitcoin and the challenges for financial regulation

Dominique Guegan , Anastasia Sotiropoulou
Capital Markets Law Journal, 2017, 12 (4), pp.466-479. ⟨10.1093/cmlj/kmx037⟩
Article dans une revue halshs-01899495v1

Blockchain publique et contrats intelligents. Ethéreum : possibilités et limites

Dominique Guegan
Revue Banque, 2017, 814, pp.60-63
Article dans une revue halshs-01906243v1

Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model

Papa Ousmane Cissé , Abdou Kâ Diongue , Dominique Guegan
Afrika Statistika, 2016, 11 (1), pp.901-922. ⟨10.16929/as/2016.901.82⟩
Article dans une revue hal-01397357v1

Wavelet shrinkage of a noisy dynamical system with non-linear noise impact

Matthieu Garcin , Dominique Guegan
Physica D: Nonlinear Phenomena, 2016, 325, pp.126-145. ⟨10.1016/j.physd.2016.03.013⟩
Article dans une revue hal-01397328v1

Dynamic factor analysis of carbon allowances prices: From classic Arbitrage pricing Theory to Switching Regimes

Dominique Guegan , Marius-Cristian Frunza , Antonin Lassoudière
International Journal of Financial Markets and derivative, 2015, A paraître
Article dans une revue halshs-00646211v1

Which is the best model for the US inflation rate: a structural changes model or a long memory process

Dominique Guegan , Lanouar Charfeddine
Journal of Applied Econometrics, 2015, A paraître
Article dans une revue halshs-00645841v1

A Rank-based Approach to Cross-Sectional Analysis

Dominique Guegan , Monica Billio , Ludovic Calès
European Journal of Operational Research, 2015, A paraître
Article dans une revue halshs-00646073v1

Probability density of the empirical wavelet coefficients of a noisy chaos

Matthieu Garcin , Dominique Guegan
Physica D: Nonlinear Phenomena, 2014, 276, pp.28-47. ⟨10.1016/j.physd.2014.03.005⟩
Article dans une revue hal-01310473v1

Turning point chronology for the euro area: A distance plot approach

Peter Martey Addo , Monica Billio , Dominique Guegan
OECD Journal: Journal of Business Cycle Measurement and Analysis, 2014, 8, pp.1-14. ⟨10.1787/19952899⟩
Article dans une revue hal-01310533v1

The univariate MT-STAR model and a new linearity and unit root test procedure

Peter Martey Addo , Monica Billio , Dominique Guegan
Computational Statistics and Data Analysis, 2014, 76, pp.4-19. ⟨10.1016/j.csda.2013.12.009⟩
Article dans une revue hal-01310518v1

Alternative modeling for long term risk

Dominique Guegan , Xin Zhao
Quantitative Finance, 2014, 14 (12), pp.2237-2253. ⟨10.1080/14697688.2013.835860⟩
Article dans une revue hal-00964956v1

Option pricing with discrete time jump processes

Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison
Journal of Economic Dynamics and Control, 2013, 37 (12), pp.2417-2445. ⟨10.1016/j.jedc.2013.07.003⟩
Article dans une revue hal-00964950v1

Nonlinear dynamics and recurrence plots for detecting financial crisis

Peter Martey Addo , Monica Billio , Dominique Guegan
North American Journal of Economics and Finance, 2013, 26, pp.416-435. ⟨10.1016/j.najef.2013.02.014⟩
Article dans une revue hal-00964975v1

Evaluation of Regime Switching Models for Real-Time Business Cycle Analysis of the Euro Area

Monica Billio , Laurent Ferrara , Dominique Guegan , Gian Luigi Mazzi
Journal of Forecasting, 2013, 32 (72, numéro spécial "Modes de gestion des restructurations"), pp.577-586. ⟨10.1002/for.2260⟩
Article dans une revue hal-00965005v1

Using a time series approach to correct serial correlation in operational risk capital calculation

Dominique Guegan , Bertrand Hassani
Journal of Operational Risk, 2013, 8 (3)
Article dans une revue hal-01310545v1

Multivariate VaRs for operational risk capital computation: a vine structure approach

Dominique Guegan , Bertrand Hassani
International Journal of Risk Assessment and Management, 2013, 17 (2), pp.148-170. ⟨10.1504/IJRAM.2013.057104⟩
Article dans une revue halshs-00645778v1

An omnibus test to detect time-heterogeneity in time series

Dominique Guegan , Philippe de Peretti
Computational Statistics, 2013, 28 (3), pp.1225-1239. ⟨10.1007/s00180-012-0356-7⟩
Article dans une revue halshs-00759093v1

Extreme values of random or chaotic discretization steps and connected networks

Dominique Guegan , Matthieu Garcin
Applied Mathematical Sciences, 2012, 6 (119), pp.5901-5926
Article dans une revue halshs-00750231v1

Breaks or long memory behavior: An empirical investigation

Lanouar Charfeddine , Dominique Guegan
Physica A: Statistical Mechanics and its Applications, 2012, 391 (22), pp.5712-5726. ⟨10.1016/j.physa.2012.06.036⟩
Article dans une revue hal-01314013v1
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Operational risk : A Basel II++ step before Basel III

Dominique Guegan , Bertrand Hassani
Journal of risk management in financial institutions, 2012, 6 (13), pp.37 - 53
Article dans une revue halshs-00722029v1
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Option Pricing for GARCH-type Models with Generalized Hyperbolic Innovations

Christophe Chorro , Dominique Guegan , Florian Ielpo
Quantitative Finance, 2012, 12 (7), pp.1079-1094. ⟨10.1080/14697688.2010.493180⟩
Article dans une revue hal-00511965v1
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On the Necessity of Five Risk Measures

Dominique Guegan , Wayne Tarrant
Annals of Finance, 2012, 8 (4), pp.533-552. ⟨10.1007/s10436-012-0205-2⟩
Article dans une revue halshs-00721339v1
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An efficient threshold choice for operational risk capital computation

Dominique Guegan , Bertrand Hassani , Cédric Naud
The Journal of Operational Risk, 2011, 6 (4), pp.3 - 19
Article dans une revue halshs-00790217v1

Pricing alternatives in incomplete markets. An application for carbon allowances

Dominique Guegan , Marius-Cristian Frunza
International Proceedings of Economics Development and Research, 2011, pp.200-204
Article dans une revue halshs-00755502v1
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An econometric Study for Vine Copulas

Dominique Guegan , Pierre-André Maugis
International Journal of Economics and Finance, 2011, 2 (5), pp.2-14
Article dans une revue halshs-00645799v1

Missing trader fraud on the emissions market

Dominique Guegan , Marius-Cristian Frunza , Fabrice Thiebaut
Journal of Financial Crime, 2011, 18 (2), pp.25-33
Article dans une revue halshs-00646205v1

A Cross-Sectional Score for the Relative Performance of an Allocation

Dominique Guegan , Ludovic Calès , Monica Billio
International Review of Applied Financial Issues and Economics, 2011, 3 (4), pp.700-710
Article dans une revue halshs-00646070v1
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Portfolio Symmetry and Momentum

Monica Billio , Ludovic Calès , Dominique Guegan
European Journal of Operational Research, 2011, 214 (3), pp.759-767
Article dans une revue halshs-00645814v1
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Martingalized Historical approach for Option Pricing

Christophe Chorro , Dominique Guegan , Florian Ielpo
Finance Research Letters, 2010, 7 (1), pp.24-28. ⟨10.1016/j.frl.2009.11.002⟩
Article dans une revue halshs-00437927v1
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A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques

Dominique Guegan , Patrick Rakotomarolahy
Economics Bulletin, 2010, 30 (1), pp.508-518
Article dans une revue halshs-00460472v1

Effect of noise filtering on predictions: on the routes of chaos

Dominique Guegan
Brussels Economic Review , 2010, 53 (2), pp.255-272
Article dans une revue halshs-00645851v1
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GDP nowcasting with ragged-edge data: a semi-parametric modeling

Laurent Ferrara , Dominique Guegan , Patrick Rakotomarolahy
Journal of Forecasting, 2010, 29 (1-2), pp.186-199. ⟨10.1002/for.1159⟩
Article dans une revue halshs-00460461v1
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Change analysis of a dynamic copula for measuring dependence in multivariate financial data

Dominique Guegan , Jing Zhang
Quantitative Finance, 2010, 10 (4), pp.421-430. ⟨10.1080/14697680902933041⟩
Article dans une revue halshs-00368334v1
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Note on new prospects on vines

Pierre-André Maugis , Dominique Guegan
Insurance Markets and Companies : Analyses and Actuarial Computations, 2010, 1 (1), pp.15-22
Article dans une revue halshs-00471362v1
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Testing Fractional Order of Long Memory Processes: A Monte Carlo Study

Laurent Ferrara , Dominique Guegan , Zhiping Lu
Communications in Statistics - Simulation and Computation, 2010, 39 (9), pp.795-806. ⟨10.1080/03610911003646381⟩
Article dans une revue hal-00486655v1

Forecasting Strategies for Carbon Allowances Prices: From Classic Arbitrage Pricing Theory to Switching Regimes

Dominique Guegan , Marius-Cristian Frunza , Antonin Lassoudière
International Review of Applied Financial Issues and Economics, 2010, 2 (3), pp.576-596
Article dans une revue halshs-00645890v1
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BL-GARCH model with elliptical distributed innovations

Abdou Kâ Diongue , Dominique Guegan , Rodney C. Wolff
Journal of Statistical Computation and Simulation, 2010, 80 (7), pp.775-791. ⟨10.1080/00949650902773577⟩
Article dans une revue halshs-00368340v1

Understanding the Importance of the Duration and Size of the Variations of Fed's Target Rate

Dominique Guegan , Florian Ielpo
Journal of Monetary Economics, 2009, 7 (3-4), pp.44-72
Article dans une revue halshs-00439813v1
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A modified Panjer algorithm for operational risk capital calculations

Dominique Guegan , Bertrand Hassani
Journal of Operational Risk, 2009, 4 (4), pp.53-72
Article dans une revue halshs-00443846v1
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Forecasting VaR and Expected Shortfall using Dynamical Systems: A Risk Management Strategy

Cyril Caillault , Dominique Guegan
Frontiers in finance and economics, 2009, 6 (1), pp.26-50
Article dans une revue halshs-00375765v1

Further evidence on the impact of economic news on interest rates

Dominique Guegan , Florian Ielpo
Frontiers in finance and economics, 2009, 6 (2), pp.1-45
Article dans une revue halshs-00439820v1
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Forecasting chaotic systems: The role of local Lyapunov exponents

Dominique Guegan , Justin Leroux
Chaos, Solitons & Fractals, 2009, 41 (5), pp.2401-2404. ⟨10.1016/j.chaos.2008.09.017⟩
Article dans une revue halshs-00431726v2
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Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market

Dominique Guegan , Jing Zhang
European Journal of Finance, 2009, 15 (7-8), pp.777-795. ⟨10.1080/13518470902895344⟩
Article dans une revue halshs-00368336v1
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Chaos in Economics and Finance

Dominique Guegan
Annual Reviews in Control, 2009, 33 (1), pp.89-93. ⟨10.1016/j.arcontrol.2009.01.002⟩
Article dans une revue halshs-00375713v2
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Forecasting electricity spot market prices with a k-factor GIGARCH process

Abdou Kâ Diongue , Dominique Guegan , Bertrand Vignal
Applied Energy, 2009, 86 (4), pp.505-510. ⟨10.1016/j.apenergy.2008.07.005⟩
Article dans une revue halshs-00307606v2
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Changing-regime volatility: A fractionally integrated SETAR model

Gilles Dufrenot , Dominique Guegan , Anne Peguin-Feissolle
Applied Financial Economics, 2008, 18 (7), pp.519-526. ⟨10.1080/09603100600993778⟩
Article dans une revue halshs-00185369v1
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Business surveys modelling with Seasonal-Cyclical Long Memory models

Laurent Ferrara , Dominique Guegan
Economics Bulletin, 2008, 3 (29), pp.1-10
Article dans une revue halshs-00283710v1
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Pricing bivariate option under GARCH processes with time-varying copula

Jing Zhang , Dominique Guegan
Insurance: Mathematics and Economics, 2008, 42 (3), pp.1095-1103. ⟨10.1016/j.insmatheco.2008.02.003⟩
Article dans une revue halshs-00286054v1
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Flexible time series models for subjective distribution estimation with monetary policy in view

Dominique Guegan , Florian Ielpo
Brussels Economic Review , 2008, 51 (1), pp.79-103
Article dans une revue halshs-00368356v1
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Is it possible to discriminate between different switching regressions models? An empirical investigation

Lanouar Charfeddine , Dominique Guegan
The Euro-Mediterranean Economics and Finance Review, 2008, 3 (4), pp.54-75
Article dans une revue halshs-00368358v1
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Estimation of k-Factor Gigarch Process: A Monte Carlo Study

Diongue Abdou Ka , Dominique Guegan
Communications in Statistics - Simulation and Computation, 2008, 37 (10), pp.2037-2049. ⟨10.1080/03610910802304994⟩
Article dans une revue halshs-00375758v1
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La persistance dans les marchés financiers

Dominique Guegan
Banque & Marchés, 2007, 90, pp.34 - 43
Article dans une revue halshs-00179269v1
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The Stationary Seasonal Hyperbolic Asymmetric Power ARCH model

Abdou Kâ Diongue , Dominique Guegan
Statistics and Probability Letters, 2007, 77 (11), pp.1158-1164. ⟨10.1016/j.spl.2007.02.007⟩
Article dans une revue halshs-00179275v1
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Hedging tranches index products : illustration of model dependency

Dominique Guegan , Julien Houdain
The Icfai Journal of derivatives markets, 2006, 4, pp.39 - 61
Article dans une revue halshs-00179325v1
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How can we define the concept of long memory ? An econometric survey,

Dominique Guegan
: Econometric Reviews,, 2005, 24 (2), pp.113 - 149
Article dans une revue halshs-00179343v1
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On the use of nearest neighbors in finance

Nicolas Huck , Dominique Guegan
Revue de l'Association française de Finance, 2005, 26, pp.67-86
Article dans une revue halshs-00180858v1
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Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets

Cyril Caillault , Dominique Guegan
Quantitative Finance, 2005, 5, pp.489 - 501
Article dans une revue halshs-00180865v1
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De-noising with wavelets method in chaotic time series: application in climatology, energy and finance

Dominique Guegan , Kebira Hoummyia
Proceedings of SPIE, the International Society for Optical Engineering, 2005, 5848, pp.174 - 185
Article dans une revue halshs-00180873v1
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Long-memory dynamics in a SETAR model - Applications to stock markets

Gilles Dufrénot , Dominique Guegan , Anne Peguin-Feissolle
Journal of International Financial Markets, Institutions and Money, 2005, 15, pp.391 - 406. ⟨10.1016/j.intfin.2004.09.001⟩
Article dans une revue halshs-00179339v1

Prediction in Chaotic Time series : Methods and Comparisons with an application to financial intra day data

Dominique Guegan , Ludovic Mercier
European Journal of Finance, 2005, 11, pp.137 - 150
Article dans une revue halshs-00180862v1
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Multi-period conditional distribution functions for heteroscedastic models with applications to VaR.

Raymond Brummelhuis , Dominique Guegan
Journal of Applied Probability, 2005, 42 (2), pp.35-55
Article dans une revue halshs-00179336v1
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Detection of the Industrial Business Cycle using SETAR models

Dominique Guegan , Laurent Ferrara
Journal of Business Cycle Measurement and Analysis, 2005, 2, pp.353-371
Article dans une revue halshs-00201309v1
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tail behavior of a threshold autoregressive stochastic volatility model

Aliou Diop , Dominique Guegan
Extremes, 2005, 7, pp.369 - 377
Article dans une revue halshs-00188530v1
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Modelling squared returns using a SETAR model with long-memory dynamics

Gilles Dufrénot , Dominique Guegan , Anne Peguin-Feissolle
Economics Letters, 2005, 86, pp.237-243. ⟨10.1016/j.econlet.2004.07.014⟩
Article dans une revue halshs-00179285v1
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Asymptotic Behavior for the Extreme Values of a Linear Regression Model

Aliou Diop , Dominique Guegan
African Diaspora Journal of Mathematics, 2004, 15, pp.59 - 67
Article dans une revue halshs-00188532v1
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Estimating parameters for a k-GIGARCH process

Abdou Kâ Diongue , Dominique Guegan
Comptes rendus de l'Académie des sciences. Série I, Mathématique, 2004, 339, pp.435 - 440
Article dans une revue halshs-00188531v1
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A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates

Dominique Guegan
Finance India, 2003, XVII (1), pp.165 - 197
Article dans une revue halshs-00201314v1
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Extreme Distribution of a Generalized Stochastic Volatility Model,

Aliou Diop , Dominique Guegan
South African Journal of Statistics,, 2003, 37, pp.127 - 148
Article dans une revue halshs-00188535v1
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Modelization and Nonparametric estimation for a dynamical system with noise

Dominique Guegan , D. Bosq , Delphine Blanke
Journal of Statistical Planning and Inference, 2003, 6, pp.267 - 290
Article dans une revue halshs-00201315v1
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Extreme values of particular nonlinear processes

Dominique Guegan , Sophie A. Ladoucette
C.R.A.S., 2002, 335, pp.73 - 78
Article dans une revue halshs-00201320v1

What is the best approach to measure the interdependence between different markets

Dominique Guegan , Sophie A. Ladoucette
NER Banque de France, 2002, 94, pp.1 - 64
Article dans une revue halshs-00201333v1

Non-mixing properties of long memory processes

Dominique Guegan , Sophie A. Ladoucette
Comptes Rendus de l'Académie des Sciences - Series I - Mathematics, 2001, 333 (4), pp.373-376. ⟨10.1016/S0764-4442(01)02052-3⟩
Article dans une revue halshs-00193651v1

Prediction of Chaotic Time Series in the Presence of Measurement Error: the Importance of Initial Conditions

Dominique Guegan , Rolf Tschernig
Statistics and Computing, 2001, 11 (3), pp.277-284. ⟨10.1023/A:1016608506110⟩
Article dans une revue halshs-00194303v1

Long Memory Behavior for Simulated Chaotic Time Series

Dominique Guegan
IEICE Transactions on Fundamentals of Electronics, Communications and Computer Sciences, 2001, E84-A (9), pp.2145-2154
Article dans une revue halshs-00193644v1

Forecasting with k-factor Gegenbauer Processes: Theory and Applications

Laurent Ferrara , Dominique Guegan
Journal of Forecasting, 2001, 20 (8), pp.581 - 601. ⟨10.1002/for.815⟩
Article dans une revue halshs-00193667v1

Analyse d'intervention et prévisions. problématique et application à des données de la RATP

Laurent Ferrara , Dominique Guegan
Revue de Statistique Appliquée, 2000, 48 (2), pp.55-72
Article dans une revue halshs-00194345v1

A New Model: The k-Factor GIGARCH Process

Dominique Guegan
Journal of Signal Processing, 2000, 4 (3), pp.265-271
Article dans une revue halshs-00199207v1

Statistical estimation of the Embedding Dimension of a dynamical system

D. Boscq , Dominique Guegan , Guillaume Léorat
International journal of bifurcation and chaos in applied sciences and engineering , 1999, 9 (4), pp.645 - 656. ⟨10.1142/S0218127499000456⟩
Article dans une revue halshs-00194421v1

A comparison of techniques of estimation in long-memory processes

Luisa Bisaglia , Dominique Guegan
Computational Statistics and Data Analysis, 1998, 27 (1), pp.61-81. ⟨10.1016/S0167-9473(97)00045-5⟩
Article dans une revue halshs-00194462v1

Determinating Lyapunov exponents in deterministic dynamical systems

Michel Delecroix , Dominique Guegan , Guillaume Léorat
Computational Statistics, 1997, 12 (1), pp.93-107
Article dans une revue halshs-00196413v1

Consistent estimation to determine the embedding dimension in financial data

Dominique Guegan , Guillaume Léorat
European Journal of Finance, 1997, 3 (3), pp.231 - 242. ⟨10.1080/135184797337453⟩
Article dans une revue halshs-00194487v1

Puissance du test du multiplicateur de Lagrange pour certains modèles bilinéaires sous diagonaux d'ordre deux

Dominique Guegan , N. Wandji
Comptes rendus de l'Académie des sciences. Série I, Mathématique, 1996, 322, pp.179-184
Article dans une revue halshs-00199592v1

Power of the Lagrange multiplier test for certain subdiagonal bilinear models

Dominique Guegan , Joseph Ngatchou Wandji
Statistics and Probability Letters, 1996, 29 (3), pp.201-212. ⟨10.1016/0167-7152(95)00174-3⟩
Article dans une revue halshs-00199314v1

Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system

D. Bosq , Dominique Guegan
Statistics and Probability Letters, 1995, 25 (3), pp.201-212. ⟨10.1016/0167-7152(94)00223-U⟩
Article dans une revue halshs-00199345v1

Asymptotic normality of the discrete Fourier transform of long memory time series

Dominique Guegan , Dinh Tuan Pham
Statistics and Probability Letters, 1994, 21 (4), pp.299-309. ⟨10.1016/0167-7152(94)00023-9⟩
Article dans une revue halshs-00199350v1

Probabilistic properties of the Béta-ARCH model

Jean Diebolt , Dominique Guegan
Statistica Sinica, 1994, 4 (1), pp.71-88
Article dans une revue halshs-00199490v1

Tail Behaviour of the Stationary Density of General Non-Linear Autoregressive Processes of Order One

Jean Diebolt , Dominique Guegan
Journal of Applied Probability, 1993, 30 (2), pp.315-329
Article dans une revue halshs-00199526v1

Power of the score test against bilinear time series models

Dominique Guegan , Dinh Tuan Pham
Statistica Sinica, 1992, 2 (1), pp.157-169
Article dans une revue halshs-00199498v1
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Processus à Longue Mémoire. Propriétés Probabilistes et Statistiques

Dominique Guegan
Annales de l'ISUP, 1991, XXXVI (1-2), pp.5-41
Article dans une revue hal-03664650v1
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Statistique Paramétrique des processus Longue Mémoire

Dominique Guegan
Annales de l'ISUP, 1991, XXXVI (1-2), pp.125-140
Article dans une revue hal-03664801v1

Le modèle de séries chronologiques autorégressives Béta-ARCH

Jean Diebolt , Dominique Guegan
Comptes rendus de l'Académie des sciences. Série I, Mathématique, 1991, pp.625-630
Article dans une revue halshs-00199596v1

Fintech and Blockchain

Dominique Guegan
Reading seminars 2018-2019, University Ca Foscari, Apr 2019, Venise, Italy
Communication dans un congrès halshs-02129853v1

Credit Risk Analysis using Machine and Deep Learning Models

Dominique Guegan
Credit Risk Analysis Using Machine and Deep Learning Models, Università degli Studi di Padova, Jan 2019, Padoue, Italy
Communication dans un congrès halshs-02125631v1

Blockchain seminar: Risk and Blockchain

Dominique Guegan
Blockchain seminar: Risk and Blockchain, Conservatoire des Arts et Métiers (CNAM), Jan 2019, Paris, France
Communication dans un congrès halshs-02125682v1

Operational risk in blockchain payments

Dominique Guegan
Fin-Tech HO2020 European Project: FINTECH Risk Management, University of Pavia, Feb 2019, Pavie, Italy
Communication dans un congrès halshs-02125743v1

Big Data, Artificial Intelligence and Blockchain

Dominique Guegan
Big Data, Artificial Intelligence and Blockchain, Université Saint-Louis du Sénégal, Mar 2019, Sénégal, Senegal
Communication dans un congrès halshs-02137851v1

Risks and Blockchain

Dominique Guegan
1st International Symposium on Entrepreneurship, Blockchain and Crypto-Finance, UTC Tunis, Apr 2019, Tunis, Tunisia
Communication dans un congrès halshs-02129864v1

Measuring risk in an explosive environment

Dominique Guegan , Kruse-Becher Robin , Hans-Jörg Mettenheim, Von , Wegener Christoph
Vietnam Symposium in Banking and Finance (VSBF), Oct 2018, Hué City, Vietnam
Communication dans un congrès halshs-01917661v1

Initial Token Offerings (ITOs) and corporate governance

Dominique Guegan , Stéphane Blémus
Forecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Communication dans un congrès halshs-01897035v1

A new token: the CommodCoin. What could be its interest for financial market? A macro-economic modelling

Dominique Guegan
Digital, Innovation, Entrepreneurship and Financing, Jun 2018, Lyon, France
Communication dans un congrès halshs-01897052v1

Measuring risk an explosive environment

Dominique Guegan , Kruse-Becher Robin , Hans-Jörg Mettenheim, Von , Wegener Christoph
Forecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Communication dans un congrès halshs-01896907v1

Credit Risk Analysis Using machine and Deep Learning Models

Dominique Guegan
3small Business Risk, Financial Regulation and Big Data Analytics, Sep 2018, Palazzo Franchetti - Venice, Italy
Communication dans un congrès halshs-01889154v1

Assessment of proxy-hedging in jet-fuel markets

Dominique Guegan , Marius Cristian Frunza , Rostislav Haliplii
IRMBAM 2018, Jul 2018, Nice, France
Communication dans un congrès halshs-01905479v1

Regulatory Learning: Credit Scoring Application of Machine Learning

Dominique Guegan , Bertrand K. Hassani
DMBD 2017, Jul 2017, Fukuoka, Japan
Communication dans un congrès halshs-01905489v1

Bitcoin and the challenge for regulation

Dominique Guegan
Vietnam Symposium in Banking and Finance, Oct 2017, Ho Chi Minh City, Vietnam
Communication dans un congrès halshs-01897056v1

Impact of multimodality of distributions on VaR and ES calculation

Dominique Guegan , Bertrand K. Hassani , Kehan Li
10th International conference of the ERCIM WG on Computational and Methodological Statistics (CMStatistics 2017), Dec 2017, Senate House - Londres, United Kingdom
Communication dans un congrès halshs-01899548v1

Risk Measures at Risk- Are we missing the point? Discussions around sub-additivity and distortion

Dominique Guegan
Conference on Banking and Finance, Sep 2016, Porthmouth, United Kingdom
Communication dans un congrès halshs-01906485v1

Financial Regulation: More Accurate Measurements for Control Enhancements and the Capture of the Intrinsic Uncertainty of the VaR

Dominique Guegan
vsbf: 2016 Vietnam Symposium in Banking and Finance, Nov 2016, Hanoi, Vietnam
Communication dans un congrès halshs-01906496v1

Pricing alternatives in incomplete markets. An application for Carbon allowances

Dominique Guegan , Marius-Cristian Frunza
2011 International Conference on Information and Finance (ICIF 2011), Nov 2011, Malaysia
Communication dans un congrès halshs-00646829v1

Derivative pricing and hedging on carbon market

Dominique Guegan , Marius-Cristian Frunza
2009 International Conference on Computer and Development, Feb 2009, Kota Kinabalu, Malaysia
Communication dans un congrès halshs-00646182v1
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Fractional seasonality: Models and Application to Economic Activity in the Euro Area

Laurent Ferrara , Dominique Guegan
Conference on Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting, May 2006, Luxembourg. pp.137 - 153
Communication dans un congrès halshs-00185370v1
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A k- factor GIGARCH process : estimation and application to electricity market spot prices,

Dominique Guegan , Abdou Kâ Diongue , Bertrand Vignal
Probabilistic methods applied to power systems, Jul 2004, United States. pp.1 - 7
Communication dans un congrès halshs-00188533v1

Comparison of several methods to predict chaotic time series

Dominique Guegan , Badel Emmanuelle , Ludovic Mercier , Olivier J.J. Michel
International Conference on Complex Systems, 1997, Munich, Germany. pp.3793 - 3797
Communication dans un congrès halshs-00375658v1

prediction in chaotic time series: methods and comparisons using simulations

Dominique Guegan , Mercier Ludovic
5th International ECASP Conference, 1997, Prague, Czech Republic. pp.215 - 218
Communication dans un congrès halshs-00375663v1

Stress Testing Engineering: The Real Risk Measurement?

Dominique Guegan , Bertrand Hassani
Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.89-124, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_3⟩
Chapitre d'ouvrage hal-01310469v1

Distorsion Risk Measure or the Transformation of Unimodal Distributions into Multimodal Functions

Dominique Guegan , Bertrand Hassani
Alain Bensoussan, Dominique Guégan et Charles S. Tapiero. Future Perspectives in Risk Models and Finance, Springer, pp.71-88, 2015, 978-3-319-07523-5. ⟨10.1007/978-3-319-07524-2_2⟩
Chapitre d'ouvrage hal-01310467v1

Nonlinear Dynamics and Wavelets for Business Cycle Analysis

Peter Martey Addo , Monica Billio , Dominique Guegan
Wavelet Applications in Economics and Finance, 2014, 978-3-319-07060-5. ⟨10.1007/978-3-319-07061-2_4⟩
Chapitre d'ouvrage hal-01310513v1

Non-stationary sample and meta-distribution

Dominique Guegan
A. Basu, T. Samanta, A. Sen Gupta. ISI Platinum Jubilee volume: statistical science and interdisciplinary research (International Conference of Statistical Paradigms - Recent Advances and Reconciliations), Word Scientific Publishing, à paraître, 2013
Chapitre d'ouvrage hal-00755507v1
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Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A Comparison

Dominique Guegan
Catherine Kyrtsou, Costas Vorlow. Progress in financial market research, NOVA publishers, pp.233-254, 2011
Chapitre d'ouvrage halshs-00185373v1

Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systems

Dominique Guegan , Justin Leroux
E. Tielo-Cuantle. Chaotic Systems, InTech Publishers, 25-38 (chapitre 2), 2011
Chapitre d'ouvrage halshs-00644500v1
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Alternative methods for forecasting GDP

Dominique Guegan , Patrick Rakotomarolahy
R. Barnett, F. Jawady. Nonlinear Modeling of Economic and Financial Time-Series, Emerald Publishers, Chapiter 5 (29 p.), 2010, Series International Symposia in Economic Theory and Econometrics - n°21
Chapitre d'ouvrage halshs-00511979v1
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Value at Risk Computation in a Non-Stationary Setting

Dominique Guegan
Greg N. Gregoriou, Carsten S. Wehn, Christian Hoppe. Handbook on Model Risk : Measuring, managing and mitigating model risk, lessons from financial crisis, John Wiley, 431-454 - chapter 19, 2010
Chapitre d'ouvrage halshs-00511995v1

Derivative pricing and hedging on carbon market

Dominique Guegan , Marius-Cristian Frunza
2009 International Conference on Computer and Development, Kota Kinanalu (Malaysia), pp.130-133, 2009
Chapitre d'ouvrage halshs-00755510v1
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Local Lyapunov Exponents: A new way to predict chaotic systems

Dominique Guegan , Justin Leroux
Christos H. Skiadas, Ioannis Dimotikalis, Charilaos Skiadas. Topics on Chaotic Systems: Selected papers from CHAOS 2008, International Conference, World Scientific Publishing, pp.158-185, 2009
Chapitre d'ouvrage halshs-00511996v1

Mettre les mathématiques financières au service du réel

Dominique Guegan
Gaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 141-152 (chapitre 10), 2009
Chapitre d'ouvrage halshs-00375378v1

Former les analystes et opérateurs financiers

Dominique Guegan
Gaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 95-104 (chapitre 6), 2009
Chapitre d'ouvrage halshs-00375376v1

Synthetic CDO Squared Pricing Methodologies

Dominique Guegan , Julien Houdain
Greg N. Gregoriou, Paul U. Ali. Credit Derivatives Handbook - Global Perspectives, Innovations, and Market Drivers, MCGraw Hill, 361-377 (chapiter 16), 2008
Chapitre d'ouvrage halshs-00265708v1
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Fractional and seasonal filtering

Dominique Guegan , Laurent Ferrara
J.L. Mazi. Proceeding Book on the Conference Seasonality, Seasonal adjustment and its implication for short term analysis and forecasting, Eurostat, pp.121-132, 2008
Chapitre d'ouvrage halshs-00646178v1
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Real-time detection of the business cycle using SETAR models

Laurent Ferrara , Dominique Guegan
G.L. Mazzi and G. Savio. Growth and Cycle in the Euro-zone, Palgrave MacMillan, New York, pp.221-232, 2006
Chapitre d'ouvrage halshs-00185372v1

Estimation de la tail dependance à l'aide de la notion de copule

Dominique Guegan , Sophie A. Ladoucette
Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.289 - 292, 2003
Chapitre d'ouvrage halshs-00201321v1

Forecasting with non Gaussian long memory processes

Dominique Guegan , Jerome Collet
Proc. XXXV ème Journées de Stat., Lyon, ASU, pp.285 - 288, 2003
Chapitre d'ouvrage halshs-00201323v1

Some remarks on the statistical modelling of chaotic systems

Dominique Guegan
Alistair I. Mees. Nonlinear Dynamics and Statistics, Birkhäuser Boston, 400 - Chapitre 5, 2001
Chapitre d'ouvrage halshs-00196432v1

Comparison of parameter estimation methods in cyclical long memory time series

Laurent Ferrara , Dominique Guegan
Christian L. Dunis, Allan Timmermann, John E. Moody. Developments in Forecast Combination and Portfolio Choice, Wiley, pp.330, 2001
Chapitre d'ouvrage halshs-00196426v1

Forecasting financial time series with generalized long memory processes

Laurent Ferrara , Dominique Guegan
Christian Dunis. Advances in Quantitative Asset Management, Kluver Academic Press, chapter 14, 2000, Studies in computational finance
Chapitre d'ouvrage halshs-00199126v1

Non parametric forecasting techniques for mixing chaotic time series

Dominique Guegan , L. Mercier
Ales Prochazka, N.G. Kingsbury, P.J.W. Payner, J. Uhlir. Signal Analysis and Prediction, Birkhäuser Boston, chapter 25, 1998
Chapitre d'ouvrage halshs-00199145v1

Some Recent Developments in Non Linear Time Series

Dominique Guegan
Atti del Convegno in Honore di Oliviero Lessi, Universita degli Studi di padova, pp.17-38, 1998
Chapitre d'ouvrage halshs-00375667v1

Stochastic or chaotic dynamics in high frequency financial data

Dominique Guegan , L. Mercier
Christian L. Dunis, Bin Zhou. Nonlinear Modelling of High Frequency Financial Time Series, Wiley, chapter 5, 1998
Chapitre d'ouvrage halshs-00199167v1

From data to models

Dominique Guegan
T. Subba Rao, M.B. Priestly, O. Lessi. Applications of Time Series Analysis in Astronomy and Meteorology, Chapman & Hall, chapter 8, 1997
Chapitre d'ouvrage halshs-00199187v1

Nonparametric Methods for Time Series and Dynamical Systems

Dominique Guegan
Gutti Jogesh Babu, Eric D. Feigelson. Statistical Challenges in Modern Astronomy II, Springer, 303-320 chapter 17, 1997
Chapitre d'ouvrage halshs-00199178v1
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Fair learning with bagging

Jean-David Fermanian , Dominique Guegan
2021
Autre publication scientifique halshs-03500906v1
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A Note on the Interpretability of Machine Learning Algorithms

Dominique Guegan
2020
Autre publication scientifique halshs-02900929v1
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Crypto assets: the role of ICO tokens within a well-diversified portfolio

Saman Adhami , Dominique Guegan
2019
Autre publication scientifique halshs-02353656v1
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Initial Crypto-asset Offerings (ICOs), tokenization and corporate governance

Stéphane Blémus , Dominique Guegan
2019
Autre publication scientifique halshs-02079171v1
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Artificial Intelligence, Data, Ethics: An Holistic Approach for Risks and Regulation

Alexis Bogroff , Dominique Guegan
2019
Autre publication scientifique halshs-02181597v1
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The other side of the Coin: Risks of the Libra Blockchain

Louis Abraham , Dominique Guegan
2019
Autre publication scientifique halshs-02325808v1
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The Digital World: II – Alternatives to the Bitcoin Blockchain?

Dominique Guegan
2018
Autre publication scientifique halshs-01832002v1
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A Probative Value for Authentication Use Case Blockchain

Dominique Guegan , Christophe Hénot
2018
Autre publication scientifique halshs-01896540v1
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Les ICO la nouvelle façon de lever des fonds sans contrainte ?

Dominique Guegan
2018
Autre publication scientifique halshs-01719901v1
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A novel multivariate risk measure: the Kendall VaR

Matthieu Garcin , Dominique Guegan , Bertrand Hassani
2018
Autre publication scientifique halshs-01467857v2
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Is the Bitcoin Rush Over?

Dominique Guegan , Marius Cristian Frunza
2018
Autre publication scientifique halshs-01822992v1
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Credit Risk Analysis using Machine and Deep Learning models

Peter Martey Addo , Dominique Guegan , Bertrand Hassani
2018
Autre publication scientifique halshs-01719983v1
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The Digital World: I - Bitcoin: from history to real live

Dominique Guegan
2018
Autre publication scientifique halshs-01822962v1
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On the parameters estimation of the Seasonal FISSAR Model

Papa Ousmane Cissé , Dominique Guegan , Abdou Kâ Diongue
2018
Autre publication scientifique halshs-01832115v1
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Nonparametric forecasting of multivariate probability density functions

Dominique Guegan , Matteo Iacopini
2018
Autre publication scientifique halshs-01821815v1
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Variable selection and forecasting via automated methods for linear models: LASSO/adaLASSO and Autometrics

Camila Epprecht , Dominique Guegan , Álvaro Veiga , Joel Correa da Rosa
2017
Autre publication scientifique halshs-00917797v2
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Testing for Leverage Effects in the Returns of US Equities

Christophe Chorro , Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison
2017
Autre publication scientifique halshs-00973922v2
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Three-stage estimation method for non-linear multiple time-series

Dominique Guegan , Giovanni de Luca , Giorgia Rivieccio
2017
Autre publication scientifique halshs-01439860v1
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Regulatory Learning: how to supervise machine learning models? An application to credit scoring

Dominique Guegan , Bertrand Hassani
2017
Autre publication scientifique halshs-01592168v2
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An alternative class of distortion operators

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Autre publication scientifique halshs-01543251v1
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Blockchain Publique versus Blockchain Privée : Enjeux et Limites

Dominique Guegan
2017
Autre publication scientifique halshs-01673321v1
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Public Blockchain versus Private blockhain

Dominique Guegan
2017
Autre publication scientifique halshs-01524440v1
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Multivariate Reflection Symmetry of Copula Functions

Monica Billio , Lorenzo Frattarolo , Dominique Guegan
2017
Autre publication scientifique halshs-01592147v1
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Blockchain publique et contrats intelligents (Smart Contrats). Les possibilités ouvertes par Ethéreum... et ses limites

Dominique Guegan
2017
Autre publication scientifique halshs-01673329v1
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Measuring risks in the extreme tail: The extreme VaR and its confidence interval

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Autre publication scientifique halshs-01317391v3
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Impact of multimodality of distributions on VaR and ES calculations

Dominique Guegan , Bertrand Hassani , Kehan Li
2017
Autre publication scientifique halshs-01491990v1
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Note on a new Seasonal Fractionally Integrated Separable Spatial Autoregressive Model

Papa Ousmane Cissé , Abdou Kâ Diongue , Dominique Guegan
2016
Autre publication scientifique halshs-01278126v1
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Combining risk measures to overcome their limitations - spectrum representation of the sub-additivity issue, distortion requirement and added-value of the Spatial VaR solution: An application to Regulatory Requirement for Financial Institutions

Dominique Guegan , Bertrand K. Hassani
2016
Autre publication scientifique halshs-01391103v1
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Risk Measures At Risk- Are we missing the point?
Discussions around sub-additivity and distortion

Dominique Guegan , Bertrand K. Hassani
2016
Autre publication scientifique halshs-01318093v1
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Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure

Dominique Guegan , Bertrand K. Hassani , Kehan Li
2016
Autre publication scientifique halshs-01277880v1
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More Accurate Measurement for Enhanced Controls: VaR vs ES?

Dominique Guegan , Bertrand Hassani
2016
Autre publication scientifique halshs-01281940v1
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Risk or Regulatory Capital? Bringing distributions back in the foreground

Dominique Guegan , Bertrand Hassani
2015
Autre publication scientifique halshs-01169268v1
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Optimal wavelet shrinkage of a noisy dynamical system with non-linear noise impact

Matthieu Garcin , Dominique Guegan
2015
Autre publication scientifique halshs-01244239v1
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The Spectral Stress VaR (SSVaR)

Dominique Guegan , Bertrand K. Hassani , Kehan Li
2015
Autre publication scientifique halshs-01169537v1
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Stress Testing Engineering: the real risk measurement?

Dominique Guegan , Bertrand Hassani
2014
Autre publication scientifique halshs-00951593v1
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Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions

Dominique Guegan , Bertrand Hassani
2014
Autre publication scientifique halshs-00969242v1
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Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institutions Investment Decisions

Dominique Guegan , Bertrand Hassani , Xin Zhao
2013
Autre publication scientifique halshs-00820839v1
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Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Autre publication scientifique halshs-00803450v1
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Understanding Exchange Rates Dynamics

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Autre publication scientifique halshs-00803447v1
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Turning point chronology for the Euro-Zone: A Distance Plot Approach

Peter Martey Addo , Monica Billio , Dominique Guegan
2013
Autre publication scientifique halshs-00803457v1
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Empirical Projected Copula Process and Conditional Independence An Extended Version

Lorenzo Frattarolo , Dominique Guegan
2013
Autre publication scientifique halshs-00881185v1
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Using a time series approach to correct serial correlation in operational risk capital calculation

Dominique Guegan , Bertrand Hassani
2013
Autre publication scientifique halshs-00771387v2
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Probability density of the wavelet coefficients of a noisy chaos

Matthieu Garcin , Dominique Guegan
2013
Autre publication scientifique hal-00800997v1
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Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach

Dominique Guegan , Bertrand Hassani
2012
Autre publication scientifique halshs-00587706v3
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Extreme values of random or chaotic discretization steps

Matthieu Garcin , Dominique Guegan
2012
Autre publication scientifique hal-00706825v1
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Aggregation of Market Risks using Pair-Copulas

Dominique Guegan , Fatima Jouad
2012
Autre publication scientifique halshs-00706689v1
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Option pricing with discrete time jump processes

Dominique Guegan , Florian Ielpo , Hanjarivo Lalaharison
2012
Autre publication scientifique halshs-00611706v2
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A theoretical framework for trading experiments

Maxence Soumare , Jørgen Vitting Andersen , Francis Bouchard , Alain Elkaim , Dominique Guegan
2012
Autre publication scientifique halshs-00768898v1
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Cross-Sectional Analysis through Rank-based Dynamic Portfolios

Monica Billio , Ludovic Calès , Dominique Guegan
2012
Autre publication scientifique halshs-00707430v1
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Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach

Peter Martey Addo , Monica Billio , Dominique Guegan
2012
Autre publication scientifique halshs-00694420v1
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Comparaison of Several Estimation Procedures for Long Term Behavior

Dominique Guegan , Zhiping Lu , Beijia Zhu
2012
Autre publication scientifique halshs-00673934v1
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Alternative Modeling for Long Term Risk

Dominique Guegan , Xin Zhao
2012
Autre publication scientifique halshs-00694449v1
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A test for a new modelling : The Univariate MT-STAR Model

Peter Martey Addo , Monica Billio , Dominique Guegan
2011
Autre publication scientifique halshs-00659158v1
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A mathematical resurgence of risk management: an extreme modeling of expert opinions

Dominique Guegan , Bertrand Hassani
2011
Autre publication scientifique halshs-00639666v1
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Operational risk: A Basel II++ step before Basel III

Dominique Guegan , Bertrand Hassani
2011
Autre publication scientifique halshs-00639484v3
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Tests of structural changes in conditional distributions with unknown changepoints

Dominique Guegan , Philippe de Peretti
2011
Autre publication scientifique halshs-00611932v1
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An Omnibus Test to Detect Time-Heterogeneity in Time Series

Dominique Guegan , Philippe de Peretti
2011
Autre publication scientifique halshs-00560221v2
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Viewing Risk Measures as information

Dominique Guegan , Wayne Tarrant
2011
Autre publication scientifique halshs-00639489v1
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Dynamic factor analysis of carbon allowances prices: From classic Arbitrage Pricing Theory to Switching Regimes

Marius-Cristian Frunza , Dominique Guegan , Antonin Lassoudière
2010
Autre publication scientifique halshs-00505145v1
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On the necessity of five risk measures

Dominique Guegan , Wayne Tarrant
2010
Autre publication scientifique halshs-00460901v1
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Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes

Christophe Chorro , Dominique Guegan , Florian Ielpo
2010
Autre publication scientifique halshs-00523371v1
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Alternative methods for forecasting GDP

Dominique Guegan , Patrick Rakotomarolahy
2010
Autre publication scientifique halshs-00505165v1
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Statistical evidence of tax fraud on the carbon allowances market

Marius-Cristian Frunza , Dominique Guegan , Antonin Lassoudière
2010
Autre publication scientifique halshs-00523458v1
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Testing unit roots and long range dependence of foreign exchange

Dominique Guegan , Zhiping Lu
2010
Autre publication scientifique halshs-00505117v1
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A Performance Measure of Zero-Dollar Long/Short Equally Weighted Portfolios

Monica Billio , Ludovic Calès , Dominique Guegan
2010
Autre publication scientifique halshs-00476038v1
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An efficient threshold choice for operational risk capital computation

Dominique Guegan , Bertrand Hassani , Cédric Naud
2010
Autre publication scientifique halshs-00544342v2
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Derivative Pricing and Hedging on Carbon Market

Marius-Cristian Frunza , Dominique Guegan
2010
Autre publication scientifique halshs-00461474v1
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A short note on option pricing with Lévy Processes

Dominique Guegan , Hanjarivo Lalaharison
2010
Autre publication scientifique halshs-00542475v1
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An Econometric Study of Vine Copulas

Dominique Guegan , Pierre-André Maugis
2010
Autre publication scientifique halshs-00492124v1
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A Note on fair Value and Illiquid Markets

Dominique Guegan , Chafic Merhy
2010
Autre publication scientifique halshs-00460856v1
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Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market

Marius-Cristian Frunza , Dominique Guegan
2010
Autre publication scientifique halshs-00504209v1
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Option pricing for GARCH-type models with generalized hyperbolic innovations

Christophe Chorro , Dominique Guegan , Florian Ielpo
2010
Autre publication scientifique halshs-00469529v1
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Predicting chaos with Lyapunov exponents: Zero plays no role in forecasting chaotic systems

Dominique Guegan , Justin Leroux
2010
Autre publication scientifique halshs-00462454v1
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A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques

Dominique Guegan , Patrick Rakotomarolahy
2010
Autre publication scientifique halshs-00461711v1
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New Prospects on Vines

Dominique Guegan , Pierre-André Maugis
2010
Autre publication scientifique halshs-00348884v3
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A Cross-Sectional Performance Measure for Portfolio Management

Monica Billio , Ludovic Calès , Dominique Guegan
2010
Autre publication scientifique halshs-00523466v1
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Missing trader fraud on the emissions market

Marius-Cristian Frunza , Dominique Guegan , Fabrice Thiebaut
2010
Autre publication scientifique halshs-00523512v1
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GDP nowcasting with ragged-edge data : A semi-parametric modelling

Laurent Ferrara , Dominique Guegan , Patrick Rakotomarolahy
2009
Autre publication scientifique halshs-00344839v2
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The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting

Dominique Guegan , Patrick Rakotomarolahy
2009
Autre publication scientifique halshs-00423871v2
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A new algorithm for the loss distribution function with applications to Operational Risk Management

Dominique Guegan , Bertrand Hassani
2009
Autre publication scientifique halshs-00384398v2
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An economic view of carbon allowances market

Marius-Cristian Frunza , Dominique Guegan
2009
Autre publication scientifique halshs-00390676v1
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Portfolio Symmetry and Momentum

Monica Billio , Ludovic Calès , Dominique Guegan
2009
Autre publication scientifique halshs-00363383v2
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Breaks or Long Memory Behaviour: An empirical Investigation

Lanouar Charfeddine , Dominique Guegan
2009
Autre publication scientifique halshs-00377485v1
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Martingalized Historical approach for Option Pricing

Christophe Chorro , Dominique Guegan , Florian Ielpo
2009
Autre publication scientifique halshs-00376756v1
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Wavelet Method for Locally Stationary Seasonal Long Memory Processes

Dominique Guegan , Zhiping Lu
2009
Autre publication scientifique halshs-00375531v1
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Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro area

Monica Billio , Laurent Ferrara , Dominique Guegan , Gian Luigi Mazzi
2009
Autre publication scientifique halshs-00423890v1
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Chaos in economics and finance

Dominique Guegan
2009
Autre publication scientifique halshs-00187885v2
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Forecasting chaotic systems : the role of local Lyapunov exponents

Dominique Guegan , Justin Leroux
2008
Autre publication scientifique halshs-00259238v2
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Testing fractional order of long memory processes : a Monte Carlo study

Laurent Ferrara , Dominique Guegan , Zhiping Lu
2008
Autre publication scientifique halshs-00259193v1
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The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics

Abdou Kâ Diongue , Dominique Guegan
2008
Autre publication scientifique halshs-00259225v1
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Towards an understanding approach of the insurance linked securities market

Mathieu Gatumel , Dominique Guegan
2008
Autre publication scientifique halshs-00235354v1
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Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology

Christophe Chorro , Dominique Guegan , Florian Ielpo
2008
Autre publication scientifique halshs-00281585v1
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Option Pricing under GARCH models with Generalized Hyperbolic distribution (II) : Data and Results

Christophe Chorro , Dominique Guegan , Florian Ielpo
2008
Autre publication scientifique hal-00308687v1
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Pricing bivariate option under GARCH processes with time-varying copula

Jing Zhang , Dominique Guegan
2008
Autre publication scientifique halshs-00259242v1
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Effect of noise filtering on predictions : on the routes of chaos

Dominique Guegan
2008
Autre publication scientifique halshs-00235448v1
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Dynamic Analysis of the Insurance Linked Securities Index

Mathieu Gatumel , Dominique Guegan
2008
Autre publication scientifique halshs-00320378v1
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Non-stationarity and meta-distribution

Dominique Guegan
2008
Autre publication scientifique halshs-00270708v1
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Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations

Abdou Kâ Diongue , Dominique Guegan , Rodney C. Wolff
2008
Autre publication scientifique halshs-00270719v1
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Estimation of k-factor GIGARCH process : a Monte Carlo study

Abdou Kâ Diongue , Dominique Guegan
2008
Autre publication scientifique halshs-00235179v1
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Business surveys modelling with Seasonal-Cyclical Long Memory models

Laurent Ferrara , Dominique Guegan
2008
Autre publication scientifique halshs-00277379v1
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Flexible time series models for subjective distribution estimation with monetary policy in view

Dominique Guegan , Florian Ielpo
2007
Autre publication scientifique halshs-00188247v1
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A note on self-similarity for discrete time series

Dominique Guegan , Zhiping Lu
2007
Autre publication scientifique halshs-00187910v1
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Global and local stationary modelling in finance: theory and empirical evidence

Dominique Guegan
2007
Autre publication scientifique halshs-00187875v1
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Which is the best model for the US inflation rate: a structural changes model or a long memory process?

Lanouar Charfeddine , Dominique Guegan
2007
Autre publication scientifique halshs-00188309v1
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Further evidence on the impact of economic news on interest rates

Dominique Guegan , Florian Ielpo
2007
Autre publication scientifique halshs-00188331v1
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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market

Dominique Guegan , Jing Zhang
2007
Autre publication scientifique halshs-00188248v1
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Forecasting electricity spot market prices with a k-factor GIGARCH process

Abdou Kâ Diongue , Dominique Guegan , Bertrand Vignal
2007
Autre publication scientifique halshs-00188264v2
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Change analysis of dynamic copula for measuring dependence in multivariate financial data

Dominique Guegan , Jing Zhang
2006
Autre publication scientifique halshs-00189141v2
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Dependence modelling of the joint extremes in a portfolio using Archimedean copulas: application to MSCI indices

Dominique Guegan , Sophie A. Ladoucette
2005
Autre publication scientifique halshs-00189214v1
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Regime switching model: real or spurious long memory?

Dominique Guegan , Stéphanie Rioublanc
2005
Autre publication scientifique halshs-00189208v1

Analyser les séries chronologiques avec S-Plus : une approche paramétrique,

Dominique Guegan , Laurent Ferrara
2003
Autre publication scientifique halshs-00201328v1