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Dominique Madeleine Guegan

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Personal Details

First Name: Dominique
Middle Name: Madeleine
Last Name: Guegan
Suffix:

RePEc Short-ID: pgu275

Email: [This author has chosen not to make the email address public]
Homepage: http://www.univ-paris1.fr/recherche/page-perso/page/?uid=dguegan/?uid=dguegan
Postal Address:
Phone:

Affiliation

(75%) Centre d'Économie de la Sorbonne
Université Paris 1 (Panthéon-Sorbonne)
Location: Paris, France
Homepage: http://centredeconomiesorbonne.univ-paris1.fr/
Email:
Phone: + 33 44 07 81 00
Fax: + 33 1 44 07 83 01
Postal: 106-112 boulevard de l'Hôpital 75 647 PARIS CEDEX 13
Handle: RePEc:edi:cenp1fr (more details at EDIRC)
(25%) Institut de Préparation à l'Administration et à la Gestion (IPAG)
Location: Paris, France
Homepage: http://www.ipag.fr/
Email:
Phone: 33 1 53 63 36 00
Fax:
Postal: 184 Boulevard Saint-Germain, 75006 Paris
Handle: RePEc:edi:ipagpfr (more details at EDIRC)

Works

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Working papers

  1. Christophe Chorro & Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2014. "Testing for Leverage Effect in Financial Returns," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00973922, HAL.
  2. Dominique Guegan & Bertrand Hassani, 2014. "Stress Testing Engineering: the real risk measurement?," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00951593, HAL.
  3. Dominique Guegan & Bertrand Hassani, 2014. "Distortion Risk Measures or the Transformation of Unimodal Distributions into Multimodal Functions," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00969242, HAL.
  4. Camila Epprecht & Dominique Guegan & Álvaro Veiga, 2013. "Comparing variable selection techniques for linear regression: LASSO and Autometrics," Documents de travail du Centre d'Economie de la Sorbonne 13080, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  5. Matthieu Garcin & Dominique Guegan, 2013. "Probability density of the wavelet coefficients of a noisy chaos," Documents de travail du Centre d'Economie de la Sorbonne 13015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  6. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Turning point chronology for the Euro-Zone: A Distance Plot Approach," Documents de travail du Centre d'Economie de la Sorbonne 13025, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  7. Lorenzo Frattarolo & Dominique Guegan, 2013. "Empirical Projected Copula Process and Conditional Independence an Extended Version," Documents de travail du Centre d'Economie de la Sorbonne 13068, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  8. Dominique Guegan & Bertrand K. Hassani & Xin Zhao, 2013. "Emerging Countries Sovereign Rating Adjustment using Market Information: Impact on Financial Institution Investment Decisions," Documents de travail du Centre d'Economie de la Sorbonne 13034, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  9. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Understanding Exchange Rates Dynamics," Documents de travail du Centre d'Economie de la Sorbonne 13023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  10. Peter Martey Addo & Monica Billio & Dominique Guegan, 2013. "Nonlinear Dynamics and Recurrence Plots for Detecting Financial Crisis," Documents de travail du Centre d'Economie de la Sorbonne 13024, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  11. Dominique Guegan & Zhiping Lu & BeiJia Zhu, 2012. "Comparaison of several estimation procedures for long term behavior," Documents de travail du Centre d'Economie de la Sorbonne 12008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  12. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic Portfolios," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00707430, HAL.
  13. Monica Billio & Ludovic Calès & Dominique Guegan, 2012. "Cross-Sectional Analysis through Rank-based Dynamic," Documents de travail du Centre d'Economie de la Sorbonne 12036, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  14. Matthieu Garcin & Dominique Guegan, 2012. "Extreme values of random or chaotic discretization steps," Documents de travail du Centre d'Economie de la Sorbonne 12033, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  15. Dominique Guegan & Bertrand Hassani, 2012. "An Autocorrelated Loss Distribution Approach: back to the time series," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00771387, HAL.
  16. Dominique Guegan & Fatima Jouad, 2012. "Aggregation of Market Risks using Pair-Copulas," Documents de travail du Centre d'Economie de la Sorbonne 12031, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  17. Maxence Soumare & Jørgen Vitting Andersen & Francis Bouchard & Alain Elkaim & Dominique Guegan & Justin Leroux & Michel Miniconi & Lars Stentoft, 2012. "A theoretical framework for trading experiments," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00768898, HAL.
  18. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Studies in Nonlinear Dynamics and Wavelets for Business Cycle Analysis," Documents de travail du Centre d'Economie de la Sorbonne 12023r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2013.
  19. Dominique Guegan & Bertrand Hassani, 2012. "Multivariate VaRs for Operational Risk Capital Computation: a Vine Structure Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00587706, HAL.
  20. Dominique Guegan & Florian Ielpo & Hanjarivo Lalaharison, 2012. "Option pricing with discrete time jump processes," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00611706, HAL.
  21. Peter Martey Addo & Monica Billio & Dominique Guegan, 2012. "Alternative Methodology for Turning-Point Detection in Business Cycle : A Wavelet Approach," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00694420, HAL.
  22. Dominique Guegan & Bertrand K. Hassani, 2012. "Using a time series approach to correct serial correlation in Operational Risk capital calculation," Documents de travail du Centre d'Economie de la Sorbonne 12091r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised May 2013.
  23. Dominique Guegan & Xin Zhao, 2012. "Alternative Modeling for Long Term Risk," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00694449, HAL.
  24. Dominique Guegan & Wayne Tarrant, 2011. "Viewing risk measures as information," Documents de travail du Centre d'Economie de la Sorbonne 11054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  25. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A test for a new modelling: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  26. Dominique Guegan & Bertrand Hassani, 2011. "Operational risk: A Basel II++ step before Basel III," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00639484, HAL.
  27. Dominique Guegan & Philippe de Peretti, 2011. "Tests of Structural Changes in Conditional Distributions with Unknown Changepoints," Documents de travail du Centre d'Economie de la Sorbonne 11042, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  28. Peter Martey Addo & Monica Billio & Dominique Guegan, 2011. "A New Modelling Test: The Univariate MT-STAR Model," Documents de travail du Centre d'Economie de la Sorbonne 11083r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Aug 2013.
  29. Dominique Guegan & Bertrand K. Hassani, 2011. "A mathematical resurgence of risk management: an extreme modeling of expert opinions," Documents de travail du Centre d'Economie de la Sorbonne 11057, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  30. Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A Cross-Sectional Performance Measure for Portfolio Management," Documents de travail du Centre d'Economie de la Sorbonne 10070, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  31. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Likelihood-Related Estimation Methods and Non-Gaussian GARCH Processes," Documents de travail du Centre d'Economie de la Sorbonne 10067, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  32. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Statistical evidence of tax fraud on the carbon allowances market," Documents de travail du Centre d'Economie de la Sorbonne 10069, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  33. Dominique Guegan & Philippe de Peretti, 2010. "An omnibus test to detect time-heterogeneity in time series," Documents de travail du Centre d'Economie de la Sorbonne 10098, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  34. Dominique Guegan & Chafic Merhy, 2010. "A note on fair value and illiquid markets," Documents de travail du Centre d'Economie de la Sorbonne 10001, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  35. Marius-Cristian Frunza & Dominique Guegan & Antonin Lassoudière, 2010. "Dynamic factor analysis of carbon allowances prices : From classic Arbitrage Pricing Theory to Switching Regimes," Documents de travail du Centre d'Economie de la Sorbonne 10062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  36. Dominique Guegan & Zhiping Lu, 2010. "Testing unit roots and long range dependence of foreign exchange," Documents de travail du Centre d'Economie de la Sorbonne 10059, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  37. Dominique Guegan & Bertrand Hassani & Cédric Naud, 2010. "An efficient threshold choice for operational risk capital computation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00544342, HAL.
  38. Dominique Guegan & Hanjarivo Lalaharison, 2010. "A short note on option pricing with Lévy Processes," Documents de travail du Centre d'Economie de la Sorbonne 10078, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  39. Marius-Cristian Frunza & Dominique Guegan, 2010. "Risk assessment for a Structured Product Specific to the CO2 Emission Permits Market," Documents de travail du Centre d'Economie de la Sorbonne 10054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  40. Dominique Guegan & Patrick Rakotomarolahy, 2010. "A short note on the nowcasting and the forecasting of Euro-area GDP using non-parametric techniques," Documents de travail du Centre d'Economie de la Sorbonne 10013, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  41. Dominique Guegan & Justin Leroux, 2010. "Predicting chaos with Lyapunov exponents : zero plays no role in forecasting chaotic systems," Documents de travail du Centre d'Economie de la Sorbonne 10019, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  42. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2010. "Option pricing for GARCH-type models with generalized hyperbolic innovations," Documents de travail du Centre d'Economie de la Sorbonne 10023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  43. Dominique Guegan & Wayne Tarrant, 2010. "On the necessity of five risk measures," Documents de travail du Centre d'Economie de la Sorbonne 10005, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  44. Dominique Guegan & Pierre-André Maugis, 2010. "An Econometric Study of Vine Copulas," Documents de travail du Centre d'Economie de la Sorbonne 10040, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  45. Marius-Cristian Frunza & Dominique Guegan & Fabrice Thiebaut, 2010. "Missing trader fraud on the emissions market," Documents de travail du Centre d'Economie de la Sorbonne 10071, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  46. Monica Billio & Ludovic Calès & Dominique Guegan, 2010. "A performance measure of Zero-dollar Long/Short equally weighted portfolios," Documents de travail du Centre d'Economie de la Sorbonne 10030, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  47. Dominique Guegan & Patrick Rakotomarolahy, 2010. "Alternative methods for forecasting GDP," Documents de travail du Centre d'Economie de la Sorbonne 10065, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  48. Marius-Cristian Frunza & Dominique Guegan, 2010. "Derivative pricing and hedging on Carbon Market," Documents de travail du Centre d'Economie de la Sorbonne 10007, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  49. Dominique Guegan & Patrick Rakotomarolahy, 2009. "The Multivariate k-Nearest Neighbor Model for Dependent Variables : One-Sided Estimation and Forecasting," Documents de travail du Centre d'Economie de la Sorbonne 09050, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Dec 2009.
  50. Monica Billio & Ludovic Calès & Dominique Guégan, 2009. "Portfolio Symmetry and Momentum," Working Papers 2009_05, Department of Economics, University of Venice "Ca' Foscari".
  51. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or long memory behaviour : An empirical investigation," Documents de travail du Centre d'Economie de la Sorbonne 09022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  52. Dominique Guégan, 2009. "A Meta-Distribution for Non-Stationary Samples," CREATES Research Papers 2009-24, School of Economics and Management, University of Aarhus.
  53. Marius-Cristian Frunza & Dominique Guegan, 2009. "An economic view of carbon allowances market," Documents de travail du Centre d'Economie de la Sorbonne 09038, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  54. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2009. "Martingalized historical approach for option pricing," Documents de travail du Centre d'Economie de la Sorbonne 09021, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  55. Dominique Guegan & Zhiping Lu, 2009. "Wavelet method for locally stationary seasonal long memory processes," Documents de travail du Centre d'Economie de la Sorbonne 09015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  56. Dominique Guegan & Bertrand Hassani, 2009. "A new algorithm for the loss distribution function with applications to Operational Risk Management," Documents de travail du Centre d'Economie de la Sorbonne 09023, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
  57. Monica Billio & Laurent Ferrara & Dominique Guegan & Gian Luigi Mazzi, 2009. "Evaluation of Nonlinear time-series models for real-time business cycle analysis of the Euro," Documents de travail du Centre d'Economie de la Sorbonne 09053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  58. Mathieu Gatumel & Dominique Guegan, 2008. "Dynamic analysis of the insurance linked securities index," Documents de travail du Centre d'Economie de la Sorbonne b08049, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  59. Dominique Guegan, 2008. "Non-stationarity and meta-distribution," Documents de travail du Centre d'Economie de la Sorbonne b08026, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  60. Dominique Guegan & Pierre-André Maugis, 2008. "New prospects on vines," Documents de travail du Centre d'Economie de la Sorbonne b08095, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Mar 2010.
  61. Abdou Kâ Diongue & Dominique Guegan, 2008. "Estimation of k-factor GIGARCH process : a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08004, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  62. Dominique Guegan, 2008. "Effect of noise filtering on predictions : on the routes of chaos," Documents de travail du Centre d'Economie de la Sorbonne b08008, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  63. Mathieu Gatumel & Dominique Guegan, 2008. "Towards an understanding approach of the insurance linked securities market," Documents de travail du Centre d'Economie de la Sorbonne b08006, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  64. Laurent Ferrara & Dominique Guegan & Zhiping Lu, 2008. "Testing fractional order of long memory processes : a Monte Carlo study," Documents de travail du Centre d'Economie de la Sorbonne b08012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  65. Laurent Ferrara & Dominique Guegan & Patrick Rakotomarolahy, 2008. "GDP nowcasting with ragged-edge data : A semi-parametric modelling," Documents de travail du Centre d'Economie de la Sorbonne b08082, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
  66. Laurent Ferrara & Dominique Guegan, 2008. "Business surveys modelling with seasonal-cyclical long memory models," Documents de travail du Centre d'Economie de la Sorbonne b08035, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  67. Dominique Guegan & Justin Leroux, 2008. "Forecasting chaotic systems : the role of local Lyapunov exponents," Documents de travail du Centre d'Economie de la Sorbonne b08014, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Sep 2008.
  68. Abdou Kâ Diongue & Dominique Guegan, 2008. "The k-factor Gegenbauer asymmetric Power GARCH approach for modelling electricity spot price dynamics," Documents de travail du Centre d'Economie de la Sorbonne b08013, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  69. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option pricing under GARCH models with generalized hyperbolic innovations (II) : data and results," Documents de travail du Centre d'Economie de la Sorbonne b08047, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  70. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option pricing under GARCH models with generalized hyperbolic innovations (I) : methodology," Documents de travail du Centre d'Economie de la Sorbonne b08037, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  71. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Documents de travail du Centre d'Economie de la Sorbonne b08015, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  72. Abdou Kâ Diongue & Dominique Guegan & Rodney C. Wolff, 2008. "Exact Maximum Likelihood estimation for the BL-GARCH model under elliptical distributed innovations," Documents de travail du Centre d'Economie de la Sorbonne b08027, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  73. Dominique Guégan & Justin Leroux, 2008. "Local Lyapunov exponents: Zero plays no role in Forecasting chaotic systems," Cahiers de recherche 08-10, HEC Montréal, Institut d'économie appliquée.
  74. Dominique Guégan & Florian Ielpo, 2007. "Flexible time series models for subjective distribution estimation with monetary policy in view," Documents de travail du Centre d'Economie de la Sorbonne b07056, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  75. Dominique Guégan, 2007. "Global and local stationary modelling in finance : theory and empirical evidence," Documents de travail du Centre d'Economie de la Sorbonne b07053, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  76. Dominique Guégan & Jing Zhang, 2007. "Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market," Documents de travail du Centre d'Economie de la Sorbonne b07057, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  77. Dominique Guégan & Zhiping Lu, 2007. "A note on self-similarity for discrete time series," Documents de travail du Centre d'Economie de la Sorbonne b07055, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  78. Abdou Kâ Diongue & Dominique Guégan & Bertrand Vignal, 2007. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Documents de travail du Centre d'Economie de la Sorbonne b07058, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Nov 2009.
  79. Dominique Guégan & Florian Ielpo, 2007. "Further evidence on the impact of economic news on interest," Documents de travail du Centre d'Economie de la Sorbonne b07062, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  80. Lanouar Charfeddine & Dominique Guégan, 2007. "Which is the best model for the US inflation rate : a structural changes model or a long memory," Documents de travail du Centre d'Economie de la Sorbonne b07061, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  81. Dominique Guégan, 2007. "Chaos in economics and finance," Documents de travail du Centre d'Economie de la Sorbonne b07054, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jan 2009.
  82. Ielpo, Florian & Guégan, Dominique, 2006. "Further evidence on the impact of economic news on interest rates," MPRA Paper 3425, University Library of Munich, Germany, revised Jun 2007.
  83. Ielpo, Florian & Guégan, Dominique, 2006. "An econometric specification of monetary policy dark art," MPRA Paper 1004, University Library of Munich, Germany, revised 07 Oct 2006.
  84. Dominique Guégan & Jing Zhang, 2006. "Change analysis of dynamic copula for measuring dependence in multivariate financial data," Cahiers de la Maison des Sciences Economiques b06090, Université Panthéon-Sorbonne (Paris 1).
  85. Charfeddine L. & Guegan D., 2006. "Can The Sup Lr Test Discriminate Between Different Switching Regressions Models: Applications To The U.S Gnp And The Us/Uk Exchange Rate?," Working Papers ERMES 0606, ERMES, University Paris 2.
  86. Anne Peguin-Feissolle & Gilles Dufrénot & Dominique Guegan, 2006. "Changing-regime volatility : A fractionally integrated SETAR model," Working Papers halshs-00410540, HAL.
  87. Cyril Caillault & Dominique Guegan, 2005. "Empirical Estimation of Tail Dependence Using Copulas. Application to Asian Markets," Post-Print halshs-00180865, HAL.
  88. Nicolas Huck & Dominique Guegan, 2005. "On the use of nearest neighbors in finance," Post-Print halshs-00180858, HAL.
  89. Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Long-memory dynamics in a SETAR model - Applications to stock markets," Post-Print halshs-00179339, HAL.
  90. Dominique Guegan & Sophie A. Ladoucette, 2005. "Dependence modelling of the joint extremes in a portfolio using Archimedean copulas : application to MSCI indices," Cahiers de la Maison des Sciences Economiques b05101, Université Panthéon-Sorbonne (Paris 1).
  91. Ferrara, Laurent & Guégan, Dominique, 2005. "Detection of the industrial business cycle using SETAR models," MPRA Paper 4389, University Library of Munich, Germany.
  92. Dominique Guegan & Kebira Hoummyia, 2005. "De-noising with wavelets method in chaotic time series: application in climatology, energy and finance," Post-Print halshs-00180873, HAL.
  93. Raymond Brummelhuis & Dominique Guegan, 2005. "Multi-period conditional distribution functions for heteroscedastic models with applications to VaR," Post-Print halshs-00179336, HAL.
  94. Dominique Guegan & Stéphanie Rioublanc, 2005. "Regime switching models : real or spurious long memory ?," Cahiers de la Maison des Sciences Economiques b05100, Université Panthéon-Sorbonne (Paris 1).
  95. Gilles Dufrénot & Dominique Guegan & Anne Peguin-Feissolle, 2005. "Modelling squared returns using a SETAR model with long-memory dynamics," Post-Print halshs-00179285, HAL.
  96. Aliou Diop & Dominique Guegan, 2005. "tail behavior of a threshold autoregressive stochastic volatility model," Post-Print halshs-00188530, HAL.
  97. Abdou Kâ Diongue & Dominique Guegan, 2004. "Estimating parameters for a k-GIGARCH process," Post-Print halshs-00188531, HAL.
  98. Dominique Guegan & Abdou Kâ Diongue & Bertrand Vignal, 2004. "A k- factor GIGARCH process : estimation and application to electricity market spot prices," Post-Print halshs-00188533, HAL.
  99. Jerome J Collet & Dominique Guegan, 2004. "Another Characterization of Long Memory Behavior," Econometric Society 2004 Australasian Meetings 359, Econometric Society.
  100. Aliou Diop & Dominique Guegan, 2004. "Asymptotic Behavior for the Extreme Values of a Linear Regression Model," Post-Print halshs-00188532, HAL.
  101. Guégan D., 2004. "How Can We Define The Concept of Long Memory? An Econometric Survey," School of Economics and Finance Discussion Papers and Working Papers Series 178, School of Economics and Finance, Queensland University of Technology.
  102. Dominique Guegan, 2004. "How Can We Define the Long Memory Concept? An Econometric Survey," Econometric Society 2004 Australasian Meetings 361, Econometric Society.
  103. Gilles DUFRENOT & Dominique GUEGAN & Anne PEGUIN-FEISSOLLE, 2003. "A SETAR model with long-memory dynamics," Econometrics 0309002, EconWPA.
  104. Aliou Diop & Dominique Guegan, 2003. "Extreme Distribution of a Generalized Stochastic Volatility Model," Post-Print halshs-00188535, HAL.
  105. Dominique Guegan, 2003. "A prospective study of the k-factor Gegenbauer processes with heteroscedastic errors and an application to inflation rates," Post-Print halshs-00201314, HAL.
  106. Dominique Guegan & Sophie A. Ladoucette, 2002. "Extreme values of particular nonlinear processes," Post-Print halshs-00201320, HAL.
  107. Avouyi-Dovi, S. & Guégan, D. & Ladoucette, S., 2002. "What is the Best Approach to Measure the Interdependence between Different Markets?," Working papers 95, Banque de France.
  108. Avouyi-Dovi, S. & Guégan, D. & Ladoucette, S., 2002. "Une mesure de la persistance dans les indices boursiers," Working papers 94, Banque de France.
  109. Chauveau, T. & Damon, J. & Guegan, D., 1999. "Testing for Non-Linearity in Intra-Day Financial Series : The Cases of Two French Stocks," Papers 1999-06/fi, Caisse des Depots et Consignations - Cahiers de recherche.
  110. Laurent Ferrara & Dominique Guegan, 1999. "Estimation and Applications of Gegenbauer Processes," Working Papers 99-27, Centre de Recherche en Economie et Statistique.
  111. Dominique Guegan & Rolf Tschernig, 1998. "Prédiction of Chaotic Time Series in the Presence of Measurement Error : The Importance of Initial Conditions," Working Papers 98-02, Centre de Recherche en Economie et Statistique.
  112. Dominique Guegan & Jean-Marc Nguyen, 1998. "The Multivariate Threshold Model -An Alternative to Detect Breaks and Hidden Cycles on Real Data," Working Papers 98-39, Centre de Recherche en Economie et Statistique.
  113. Laurent Ferrara & Dominique Guegan, 1998. "Analyse d’Intervention et Prévisions. Problématique et Application à des données de la RATP," Working Papers 98-42, Centre de Recherche en Economie et Statistique.
  114. Delphine Blanke & Denis Bosq & Dominique Guegan, 1998. "Modelization and Nonparametric Estimation for a Dynamical System with Noise," Working Papers 98-57, Centre de Recherche en Economie et Statistique.
  115. Denis Bosq & Dominique Guegan & Guillaume Leorat, 1998. "Statistical Estimation of the Embedding Dimension of a Dynamic System," Working Papers 98-03, Centre de Recherche en Economie et Statistique.
  116. Dominique Guegan & F, Lisi, 1997. "Predictive Dimension : An Alternative Definition of the Embedding Dimension," Working Papers 97-49, Centre de Recherche en Economie et Statistique.
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Articles

  1. Guégan, Dominique & Ielpo, Florian & Lalaharison, Hanjarivo, 2013. "Option pricing with discrete time jump processes," Journal of Economic Dynamics and Control, Elsevier, vol. 37(12), pages 2417-2445.
  2. Monica Billio & Laurent Ferrara & Dominique Guégan & Gian Luigi Mazzi, 2013. "Evaluation of Regime Switching Models for Real‐Time Business Cycle Analysis of the Euro Area," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 32(7), pages 577-586, November.
  3. Addo, Peter Martey & Billio, Monica & Guégan, Dominique, 2013. "Nonlinear dynamics and recurrence plots for detecting financial crisis," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 416-435.
  4. Dominique Guégan & Philippe Peretti, 2013. "An omnibus test to detect time-heterogeneity in time series," Computational Statistics, Springer, vol. 28(3), pages 1225-1239, June.
  5. Christophe Chorro & Dominique Guégan & Florian Ielpo, 2012. "Option pricing for GARCH-type models with generalized hyperbolic innovations," Quantitative Finance, Taylor & Francis Journals, vol. 12(7), pages 1079-1094, April.
  6. Dominique Guégan & Wayne Tarrant, 2012. "On the necessity of five risk measures," Annals of Finance, Springer, vol. 8(4), pages 533-552, November.
  7. Charfeddine, Lanouar & Guégan, Dominique, 2012. "Breaks or long memory behavior: An empirical investigation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(22), pages 5712-5726.
  8. Billio, Monica & Calès, Ludovic & Guégan, Dominique, 2011. "Portfolio symmetry and momentum," European Journal of Operational Research, Elsevier, vol. 214(3), pages 759-767, November.
  9. Charfeddine Lanouar & Guégan Dominique, 2011. "Which is the Best Model for the US Inflation Rate: A Structural Change Model or a Long Memory Process?," The IUP Journal of Applied Economics, IUP Publications, vol. 0(1), pages 5-25, January.
  10. Zhiping Lu & Dominique Guegan, 2011. "Testing unit roots and long range dependence of foreign exchange," Journal of Time Series Analysis, Wiley Blackwell, vol. 32(6), pages 631-638, November.
  11. D. Guegan & J. Zhang, 2010. "Change analysis of a dynamic copula for measuring dependence in multivariate financial data," Quantitative Finance, Taylor & Francis Journals, vol. 10(4), pages 421-430.
  12. Chorro, C. & Guégan, D. & Ielpo, F., 2010. "Martingalized historical approach for option pricing," Finance Research Letters, Elsevier, vol. 7(1), pages 24-28, March.
  13. Dominique Guégan & Patrick Rakotomarolahy, 2010. "A Short Note on the Nowcasting and the Forecasting of Euro-area GDP Using Non-Parametric Techniques," Economics Bulletin, AccessEcon, vol. 30(1), pages 508-518.
  14. Laurent Ferrara & Dominique Guégan & Patrick Rakotomarolahy, 2010. "GDP nowcasting with ragged-edge data: a semi-parametric modeling," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(1-2), pages 186-199.
  15. Dominique Guégan, 2010. "Effect of Noise Filtering on Predictions :on the Routes of Chaos," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 53(2), pages 255-272.
  16. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
  17. Florian Ielpo & Dominique Gúegan, 2009. "Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate," The IUP Journal of Monetary Economics, IUP Publications, vol. 0(3-4), pages 44-72, August.
  18. Diongue, Abdou Kâ & Guégan, Dominique & Vignal, Bertrand, 2009. "Forecasting electricity spot market prices with a k-factor GIGARCH process," Applied Energy, Elsevier, vol. 86(4), pages 505-510, April.
  19. Cyril Caillault, Dominique Guégan, 2009. "Forecasting VaR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy," Frontiers in Finance and Economics, SKEMA Business School, vol. 6(1), pages 26-50, April.
  20. Dominique Guégan & Florian Ielpo, 2008. "Flexible time series models for subjective distribution estimation with monetary policy in view," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, vol. 51(1), pages 79-103.
  21. Laurent Ferrara & Dominique Guégan, 2008. "Business surveys modelling with Seasonal-Cyclical Long Memory models," Economics Bulletin, AccessEcon, vol. 3(29), pages 1-10.
  22. Zhang, J. & Guégan, D., 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1095-1103, June.
  23. Gilles Dufrenot & Dominique Guegan & Anne Peguin-Feissolle, 2008. "Changing-regime volatility: a fractionally integrated SETAR model," Applied Financial Economics, Taylor & Francis Journals, vol. 18(7), pages 519-526.
  24. Diongue, Abdou Kâ & Guégan, Dominique, 2007. "The stationary seasonal hyperbolic asymmetric power ARCH model," Statistics & Probability Letters, Elsevier, vol. 77(11), pages 1158-1164, June.
  25. Laurent Ferrara & Dominique Guégan, 2005. "Detection of the Industrial Business Cycle using SETAR Models," Journal of Business Cycle Measurement and Analysis, OECD Publishing,CIRET, vol. 2005(3), pages 353-371.
  26. D. Guegan & L. Mercier, 2005. "Prediction in chaotic time series: methods and comparisons with an application to financial intra-day data," The European Journal of Finance, Taylor & Francis Journals, vol. 11(2), pages 137-150.
  27. Dominique Guegan, 2005. "How can we Define the Concept of Long Memory? An Econometric Survey," Econometric Reviews, Taylor & Francis Journals, vol. 24(2), pages 113-149.
  28. Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Modelling squared returns using a SETAR model with long-memory dynamics," Economics Letters, Elsevier, vol. 86(2), pages 237-243, February.
  29. Cyril Caillault & Dominique Guegan, 2005. "Empirical estimation of tail dependence using copulas: application to Asian markets," Quantitative Finance, Taylor & Francis Journals, vol. 5(5), pages 489-501.
  30. Dufrenot, Gilles & Guegan, Dominique & Peguin-Feissolle, Anne, 2005. "Long-memory dynamics in a SETAR model - applications to stock markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 15(5), pages 391-406, December.
  31. D. Blanke & D. Bosq & D. Guégan, 2003. "Modelization and Nonparametric Estimation for Dynamical Systems with Noise," Statistical Inference for Stochastic Processes, Springer, vol. 6(3), pages 267-290, October.
  32. Ferrara, Laurent & Guegan, Dominique, 2001. "Forecasting with k-Factor Gegenbauer Processes: Theory and Applications," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(8), pages 581-601, December.
  33. Bisaglia, Luisa & Guegan, Dominique, 1998. "A comparison of techniques of estimation in long-memory processes," Computational Statistics & Data Analysis, Elsevier, vol. 27(1), pages 61-81, March.
  34. Dominique Guegan & Guillaume Leorat, 1997. "Consistent estimation to determine the embedding dimension in financial data; with an application to the dollar/deutschmark exchange rate," The European Journal of Finance, Taylor & Francis Journals, vol. 3(3), pages 231-242.
  35. Guegan, Dominique & Wandji, Joseph Ngatchou, 1996. "Power of the Lagrange multiplier test for certain subdiagonal bilinear models," Statistics & Probability Letters, Elsevier, vol. 29(3), pages 201-212, September.
  36. Bosq, D. & Guégan, D., 1995. "Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system," Statistics & Probability Letters, Elsevier, vol. 25(3), pages 201-212, November.
  37. Pham, Dinh Tuan & Guégan, Dominique, 1994. "Asymptotic normality of the discrete Fourier transform of long memory time series," Statistics & Probability Letters, Elsevier, vol. 21(4), pages 299-309, November.

NEP Fields

185 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BAN: Banking (20) 2009-12-11 2010-01-16 2010-03-20 2010-09-11 2010-12-18 2011-04-30 2011-11-14 2011-11-14 2011-11-14 2011-11-21 2011-11-21 2011-11-21 2012-05-02 2012-05-15 2012-08-23 2012-08-23 2012-08-23 2013-12-15 2014-02-21 2014-03-08. Author is listed
  2. NEP-BEC: Business Economics (5) 2009-10-31 2010-03-20 2010-03-20 2012-05-02 2012-05-15. Author is listed
  3. NEP-CBA: Central Banking (13) 2008-12-14 2009-01-31 2009-10-24 2009-12-11 2010-03-13 2010-03-20 2010-03-20 2010-07-31 2010-07-31 2010-09-11 2012-08-23 2013-12-15 2014-03-08. Author is listed
  4. NEP-CBE: Cognitive & Behavioural Economics (1) 2012-12-22
  5. NEP-CFN: Corporate Finance (3) 2007-12-01 2010-03-20 2013-12-15
  6. NEP-CMP: Computational Economics (3) 2009-05-23 2010-01-16 2010-12-18
  7. NEP-CSE: Economics of Strategic Management (3) 2009-04-25 2009-08-02 2010-10-30
  8. NEP-CWA: Central & Western Asia (1) 2013-04-06
  9. NEP-DCM: Discrete Choice Models (1) 2007-01-14
  10. NEP-ECM: Econometrics (62) 2003-09-08 2007-12-01 2007-12-01 2007-12-01 2007-12-01 2008-02-16 2008-02-16 2008-04-15 2008-04-15 2008-04-15 2008-05-17 2008-05-17 2008-05-17 2008-10-28 2008-12-14 2009-01-31 2009-04-25 2009-04-25 2009-04-25 2009-04-25 2009-04-25 2009-05-02 2009-05-23 2009-05-23 2009-06-03 2009-08-02 2009-08-02 2009-08-02 2009-08-02 2009-10-24 2009-10-24 2009-10-31 2009-10-31 2009-12-11 2009-12-11 2009-12-11 2009-12-11 2010-01-16 2010-03-13 2010-03-20 2010-03-28 2010-06-18 2010-07-31 2010-07-31 2010-09-11 2010-09-11 2010-10-16 2010-12-18 2011-01-03 2011-04-30 2011-08-02 2011-12-13 2012-01-25 2012-02-27 2012-05-02 2013-01-07 2013-03-23 2013-03-23 2013-04-06 2013-11-16 2013-12-15 2014-03-30. Author is listed
  11. NEP-EEC: European Economics (10) 2008-12-14 2009-10-24 2009-10-31 2010-03-13 2010-03-20 2010-07-31 2010-09-11 2013-03-23 2013-04-06 2013-11-22. Author is listed
  12. NEP-EFF: Efficiency & Productivity (1) 2010-10-16
  13. NEP-ENE: Energy Economics (15) 2008-01-05 2009-04-25 2009-06-03 2009-06-17 2009-08-02 2009-08-02 2009-12-11 2010-03-20 2010-03-20 2010-07-31 2010-07-31 2010-10-16 2010-10-16 2010-10-30 2010-10-30. Author is listed
  14. NEP-ENV: Environmental Economics (13) 2009-06-03 2009-06-17 2009-08-02 2010-03-20 2010-03-20 2010-07-31 2010-07-31 2010-07-31 2010-07-31 2010-10-16 2010-10-16 2010-10-30 2010-10-30. Author is listed
  15. NEP-ETS: Econometric Time Series (43) 2003-09-08 2007-12-01 2007-12-01 2007-12-01 2008-02-16 2008-02-16 2008-04-15 2008-05-17 2008-05-17 2008-05-17 2009-04-25 2009-04-25 2009-04-25 2009-04-25 2009-04-25 2009-05-23 2009-05-23 2009-06-03 2009-08-02 2009-08-02 2009-08-02 2009-10-24 2009-10-31 2010-07-31 2010-07-31 2010-09-11 2010-09-11 2010-10-16 2010-10-30 2011-01-03 2011-02-05 2011-08-02 2012-01-18 2012-01-25 2012-02-27 2012-03-08 2012-05-02 2012-05-15 2012-08-23 2012-08-23 2013-01-19 2013-03-23 2013-04-06. Author is listed
  16. NEP-EUR: Microeconomic European Issues (2) 2010-10-16 2010-10-30
  17. NEP-EXP: Experimental Economics (2) 2012-12-22 2013-01-19
  18. NEP-FIN: Finance (1) 2003-09-08
  19. NEP-FMK: Financial Markets (17) 2007-12-01 2008-02-16 2008-04-15 2008-09-29 2008-11-25 2008-11-25 2008-11-25 2009-04-25 2009-04-25 2009-04-25 2009-08-02 2009-08-02 2010-03-20 2011-11-21 2012-08-23 2012-08-23 2014-04-18. Author is listed
  20. NEP-FOR: Forecasting (32) 2008-01-05 2008-02-16 2008-04-15 2008-05-17 2008-05-17 2008-10-28 2008-12-14 2009-01-31 2009-04-25 2009-04-25 2009-08-02 2009-08-02 2009-10-24 2009-10-31 2009-12-11 2009-12-11 2009-12-11 2010-01-16 2010-03-13 2010-03-20 2010-03-20 2010-03-28 2010-04-11 2010-07-31 2010-07-31 2010-09-11 2012-05-02 2012-05-15 2013-12-15 2013-12-29 2014-03-30 2014-04-18. Author is listed
  21. NEP-HPE: History & Philosophy of Economics (3) 2009-04-25 2009-08-02 2009-12-11
  22. NEP-IAS: Insurance Economics (4) 2008-02-16 2008-09-20 2008-09-29 2008-11-25
  23. NEP-IFN: International Finance (1) 2010-07-31
  24. NEP-INT: International Trade (1) 2013-01-19
  25. NEP-MAC: Macroeconomics (18) 2003-09-08 2007-01-14 2007-06-11 2007-12-01 2007-12-01 2007-12-01 2008-05-17 2008-12-14 2008-12-14 2009-01-31 2009-10-24 2009-10-31 2009-12-11 2010-03-13 2010-03-20 2010-07-31 2010-09-11 2013-11-22. Author is listed
  26. NEP-MIC: Microeconomics (3) 2009-08-02 2009-08-02 2010-04-11
  27. NEP-MON: Monetary Economics (4) 2007-01-14 2007-06-11 2007-12-01 2007-12-01
  28. NEP-ORE: Operations Research (21) 2008-01-05 2008-02-16 2008-02-16 2008-04-15 2008-04-15 2008-04-15 2008-05-17 2008-08-06 2009-04-25 2009-05-23 2010-04-11 2010-07-31 2010-09-11 2010-10-16 2010-10-30 2010-12-18 2011-01-03 2011-02-05 2012-03-08 2013-03-23 2013-04-06. Author is listed
  29. NEP-REG: Regulation (3) 2010-03-20 2011-11-14 2011-11-21
  30. NEP-RES: Resource Economics (2) 2009-06-03 2009-06-17
  31. NEP-RMG: Risk Management (41) 2003-09-08 2007-12-01 2008-02-16 2008-05-17 2009-04-25 2009-05-02 2009-05-23 2009-05-23 2009-06-03 2009-08-02 2009-08-02 2009-12-11 2010-01-16 2010-03-20 2010-06-18 2010-06-26 2010-07-31 2010-09-11 2010-10-16 2010-10-30 2010-12-18 2011-04-30 2011-11-14 2011-11-14 2011-11-14 2011-11-21 2011-11-21 2011-11-21 2011-12-13 2012-05-02 2012-06-25 2012-08-23 2012-08-23 2012-08-23 2013-01-07 2013-01-19 2013-12-15 2014-02-21 2014-02-21 2014-03-08 2014-04-05. Author is listed
  32. NEP-TRA: Transition Economics (2) 2009-04-25 2009-08-02
  33. NEP-UPT: Utility Models & Prospect Theory (6) 2011-11-14 2011-11-21 2012-05-02 2012-05-15 2012-08-23 2014-04-05. Author is listed

Statistics

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  5. Number of Downloads through RePEc Services over the past 12 months
  6. Number of Abstract Views in RePEc Services over the past 12 months, Weighted by Number of Authors
  7. Number of Downloads through RePEc Services over the past 12 months, Weighted by Number of Authors
  8. Strength of students

Most cited item

Most downloaded item (past 12 months)

Access and download statistics for all items

Co-authorship network on CollEc

Corrections

For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Dominique Guegan should log into the RePEc Author Service

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.