Dominique Guégan
274
Documents
Identifiants chercheurs
- dominique-guegan
- IdRef : 026905809
- 0000-0003-4214-1429
- ISNI : 0000000029418727
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.
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Fintech and BlockchainReading seminars 2018-2019, University Ca Foscari, Apr 2019, Venise, Italy
Communication dans un congrès
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Credit Risk Analysis using Machine and Deep Learning ModelsCredit Risk Analysis Using Machine and Deep Learning Models, Università degli Studi di Padova, Jan 2019, Padoue, Italy
Communication dans un congrès
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Blockchain seminar: Risk and BlockchainBlockchain seminar: Risk and Blockchain, Conservatoire des Arts et Métiers (CNAM), Jan 2019, Paris, France
Communication dans un congrès
halshs-02125682v1
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Operational risk in blockchain paymentsFin-Tech HO2020 European Project: FINTECH Risk Management, University of Pavia, Feb 2019, Pavie, Italy
Communication dans un congrès
halshs-02125743v1
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Big Data, Artificial Intelligence and BlockchainBig Data, Artificial Intelligence and Blockchain, Université Saint-Louis du Sénégal, Mar 2019, Sénégal, Senegal
Communication dans un congrès
halshs-02137851v1
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Risks and Blockchain1st International Symposium on Entrepreneurship, Blockchain and Crypto-Finance, UTC Tunis, Apr 2019, Tunis, Tunisia
Communication dans un congrès
halshs-02129864v1
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Measuring risk in an explosive environmentVietnam Symposium in Banking and Finance (VSBF), Oct 2018, Hué City, Vietnam
Communication dans un congrès
halshs-01917661v1
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Initial Token Offerings (ITOs) and corporate governanceForecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Communication dans un congrès
halshs-01897035v1
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A new token: the CommodCoin. What could be its interest for financial market? A macro-economic modellingDigital, Innovation, Entrepreneurship and Financing, Jun 2018, Lyon, France
Communication dans un congrès
halshs-01897052v1
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Measuring risk an explosive environmentForecasting Financial Markets (FFM), Sep 2018, Oxford, United Kingdom
Communication dans un congrès
halshs-01896907v1
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Credit Risk Analysis Using machine and Deep Learning Models3small Business Risk, Financial Regulation and Big Data Analytics, Sep 2018, Palazzo Franchetti - Venice, Italy
Communication dans un congrès
halshs-01889154v1
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Assessment of proxy-hedging in jet-fuel marketsIRMBAM 2018, Jul 2018, Nice, France
Communication dans un congrès
halshs-01905479v1
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Regulatory Learning: Credit Scoring Application of Machine LearningDMBD 2017, Jul 2017, Fukuoka, Japan
Communication dans un congrès
halshs-01905489v1
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Bitcoin and the challenge for regulationVietnam Symposium in Banking and Finance, Oct 2017, Ho Chi Minh City, Vietnam
Communication dans un congrès
halshs-01897056v1
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Impact of multimodality of distributions on VaR and ES calculation10th 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
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Risk Measures at Risk- Are we missing the point? Discussions around sub-additivity and distortionConference on Banking and Finance, Sep 2016, Porthmouth, United Kingdom
Communication dans un congrès
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Financial Regulation: More Accurate Measurements for Control Enhancements and the Capture of the Intrinsic Uncertainty of the VaRvsbf: 2016 Vietnam Symposium in Banking and Finance, Nov 2016, Hanoi, Vietnam
Communication dans un congrès
halshs-01906496v1
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Pricing alternatives in incomplete markets. An application for Carbon allowances2011 International Conference on Information and Finance (ICIF 2011), Nov 2011, Malaysia
Communication dans un congrès
halshs-00646829v1
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Derivative pricing and hedging on carbon market2009 International Conference on Computer and Development, Feb 2009, Kota Kinabalu, Malaysia
Communication dans un congrès
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Fractional seasonality: Models and Application to Economic Activity in the Euro AreaConference on Seasonality, Seasonal Adjustment and their Implications for Short-Term Analysis and Forecasting, May 2006, Luxembourg. pp.137 - 153
Communication dans un congrès
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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
Communication dans un congrès
halshs-00188533v1
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Comparison of several methods to predict chaotic time seriesInternational Conference on Complex Systems, 1997, Munich, Germany. pp.3793 - 3797
Communication dans un congrès
halshs-00375658v1
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prediction in chaotic time series: methods and comparisons using simulations5th International ECASP Conference, 1997, Prague, Czech Republic. pp.215 - 218
Communication dans un congrès
halshs-00375663v1
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Risk MeasurementSpringer. 215 p., 2019
Ouvrages
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A time series approach to option pricing: Models, Methods and Empirical PerformancesSpringer, 2015
Ouvrages
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Future Perspectives in Risk Models and FinanceSpringer, 2015, 978-3-319-07524-2. ⟨10.1007/978-3-319-07524-2⟩
Ouvrages
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Analyser les séries chronologiques avec S-Plus: une approche paramétriquePresses Universitaires de renne, pp.147, 2003
Ouvrages
halshs-00375652v1
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Les chaos en finance: approche statistiqueEconomica, pp.465, 2003, Statistique mathématique et probabilité, Paul Deheuvels
Ouvrages
halshs-00180849v1
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Séries chronologiques non linéaires à temps discretEconomica, pp.308, 1994, Statistique mathématique et probabilité
Ouvrages
halshs-00196420v1
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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⟩
Chapitre d'ouvrage
hal-01310469v1
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Distorsion Risk Measure or the Transformation of Unimodal Distributions into Multimodal FunctionsAlain 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
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Nonlinear Dynamics and Wavelets for Business Cycle AnalysisWavelet Applications in Economics and Finance, 2014, 978-3-319-07060-5. ⟨10.1007/978-3-319-07061-2_4⟩
Chapitre d'ouvrage
hal-01310513v1
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Non-stationary sample and meta-distributionA. 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
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Contagion Between the Financial Sphere and the Real Economy. Parametric and non Parametric Tools: A ComparisonCatherine Kyrtsou, Costas Vorlow. Progress in financial market research, NOVA publishers, pp.233-254, 2011
Chapitre d'ouvrage
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Predicting chaos with Lyapunov exponents: zero plays no role in forecasting chaotic systemsE. Tielo-Cuantle. Chaotic Systems, InTech Publishers, 25-38 (chapitre 2), 2011
Chapitre d'ouvrage
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Alternative methods for forecasting GDPR. 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
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Value at Risk Computation in a Non-Stationary SettingGreg 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
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Derivative pricing and hedging on carbon market2009 International Conference on Computer and Development, Kota Kinanalu (Malaysia), pp.130-133, 2009
Chapitre d'ouvrage
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Local Lyapunov Exponents: A new way to predict chaotic systemsChristos 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
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Mettre les mathématiques financières au service du réelGaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 141-152 (chapitre 10), 2009
Chapitre d'ouvrage
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Former les analystes et opérateurs financiersGaël Giraud, Cécile Renouard. 20 propositions pour réformer le capitalisme, Flammarion, 95-104 (chapitre 6), 2009
Chapitre d'ouvrage
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Synthetic CDO Squared Pricing MethodologiesGreg N. Gregoriou, Paul U. Ali. Credit Derivatives Handbook - Global Perspectives, Innovations, and Market Drivers, MCGraw Hill, 361-377 (chapiter 16), 2008
Chapitre d'ouvrage
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Fractional and seasonal filteringJ.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 modelsG.L. Mazzi and G. Savio. Growth and Cycle in the Euro-zone, Palgrave MacMillan, New York, pp.221-232, 2006
Chapitre d'ouvrage
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Estimation de la tail dependance à l'aide de la notion de copuleProc. XXXV ème Journées de Stat., Lyon, ASU, pp.289 - 292, 2003
Chapitre d'ouvrage
halshs-00201321v1
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Forecasting with non Gaussian long memory processesProc. XXXV ème Journées de Stat., Lyon, ASU, pp.285 - 288, 2003
Chapitre d'ouvrage
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Some remarks on the statistical modelling of chaotic systemsAlistair I. Mees. Nonlinear Dynamics and Statistics, Birkhäuser Boston, 400 - Chapitre 5, 2001
Chapitre d'ouvrage
halshs-00196432v1
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Comparison of parameter estimation methods in cyclical long memory time seriesChristian L. Dunis, Allan Timmermann, John E. Moody. Developments in Forecast Combination and Portfolio Choice, Wiley, pp.330, 2001
Chapitre d'ouvrage
halshs-00196426v1
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Forecasting financial time series with generalized long memory processesChristian Dunis. Advances in Quantitative Asset Management, Kluver Academic Press, chapter 14, 2000, Studies in computational finance
Chapitre d'ouvrage
halshs-00199126v1
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Non parametric forecasting techniques for mixing chaotic time seriesAles Prochazka, N.G. Kingsbury, P.J.W. Payner, J. Uhlir. Signal Analysis and Prediction, Birkhäuser Boston, chapter 25, 1998
Chapitre d'ouvrage
halshs-00199145v1
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Some Recent Developments in Non Linear Time SeriesAtti del Convegno in Honore di Oliviero Lessi, Universita degli Studi di padova, pp.17-38, 1998
Chapitre d'ouvrage
halshs-00375667v1
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Stochastic or chaotic dynamics in high frequency financial dataChristian L. Dunis, Bin Zhou. Nonlinear Modelling of High Frequency Financial Time Series, Wiley, chapter 5, 1998
Chapitre d'ouvrage
halshs-00199167v1
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From data to modelsT. 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
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Nonparametric Methods for Time Series and Dynamical SystemsGutti 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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Viewing Risk Measures as information2012
Pré-publication, Document de travail
halshs-00721350v1
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An Omnibus Test to Detect Time-Heterogeneity in Time Series2012
Pré-publication, Document de travail
halshs-00721327v1
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Breaks or long memory behaviour : an empirical investigation2012
Pré-publication, Document de travail
halshs-00722032v1
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Changing-regime volatility : A fractionally integrated SETAR model2006
Pré-publication, Document de travail
halshs-00410540v1
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