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Stéphane Goutte

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Personal Details

First Name:Stéphane
Middle Name:
Last Name:Goutte
RePEc Short-ID:pgo412
Postal Address:Université PARIS 8 2 rue de la liberté 93526 Saint-Denis Office : D 117 Phone : +33 (0)1 49 40 73 94
Location: Saint-Denis, France
Phone: 01 49 40 65 15
Fax: 01 49 40 65 02
Postal: 2, rue de la Liberté, 93526 Saint-Denis Cedex
Handle: RePEc:edi:ledp8fr (more details at EDIRC)
Location: Luxembourg, Luxembourg
Phone: (+352) 46 66 44
Fax: (+352) 46 66 44 ext 633
Postal: 162a avenue de la Faïencerie, L-1511 Luxembourg
Handle: RePEc:edi:crcrplu (more details at EDIRC)
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  1. Stéphane Goutte & Amine Ismail & Huyên Pham, 2015. "Regime-switching Stochastic Volatility Model : Estimation and Calibration to VIX options," Working Papers hal-01212018, HAL.
  2. Julien Chevallier & Stéphane Goutte, 2014. "The goodness-of-fit of the fuel-switching price using the mean-reverting Lévy jump process," Working Papers 2014-285, Department of Research, Ipag Business School.
  3. Raphaël Homayoun Boroumand & Stéphane Goutte & Simon Porcher & Thomas Porcher, 2014. "A Conditional Markov Regime Switching Model to Study Margins: Application to the French Fuel Retail Markets," Working Papers hal-01090837, HAL.
  4. Stéphane Goutte & Raphaël Homayoun & Thomas Porcher, 2014. "A regime switching model to evaluate bonds in a quadratic term structure of interest rates," Working Papers hal-01090846, HAL.
  5. Julien Chevallier & Stéphane Goutte, 2014. "Detecting jumps and regime-switches in international stock markets returns," Working Papers hal-01090833, HAL.
  6. Olivier Damette & Stéphane Goutte, 2014. "Tobin tax and trading volume tightening: a reassessment," Working Papers halshs-00926805, HAL.
  7. St\'ephane Goutte & Nadia Oudjane & Francesco Russo, 2013. "Variance optimal hedging for continuous time additive processes and applications," Papers 1302.1965,
  8. Stéphane Goutte, 2013. "Markov switching quadratic term structure models," Working Papers hal-00821745, HAL.
  9. Goutte, Stéphane & Oudjane, Nadia & Russo, Francesco, 2013. "On Some Expectation and Derivative Operators Related to Integral Representations of Random Variables with Respect to a PII Process," Economics Papers from University Paris Dauphine 123456789/11525, Paris Dauphine University.
  10. Gabriel Faraud & Stéphane Goutte, 2012. "Bessel bridges decomposition with varying dimension. Applications to finance," Working Papers hal-00694126, HAL.
  11. Stephane Goutte & Armand Ngoupeyou, 2012. "Optimization problem and mean variance hedging on defaultable claims," Papers 1209.5953,
  12. Stéphane Goutte & Benteng Zou, 2012. "Continuous time regime switching model applied to foreign exchange rate," Working Papers hal-00643900, HAL.
  13. Stéphane Goutte, 2012. "Conditional Markov regime switching model applied to economic modelling," Working Papers hal-00747479, HAL.
  14. St\'ephane Goutte & Nadia Oudjane & Francesco Russo, 2012. "Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets," Papers 1205.4089,
  15. Stéphane GOUTTE & Benteng Zou, 2011. "Foreign exchange rates under Markov Regime switching model," CREA Discussion Paper Series 11-16, Center for Research in Economic Analysis, University of Luxembourg.
  16. St\'ephane Goutte & Nadia Oudjane & Francesco Russo, 2009. "Variance Optimal Hedging for continuous time processes with independent increments and applications," Papers 0912.0372,
  1. Boroumand, Raphaël Homayoun & Goutte, Stéphane & Porcher, Simon & Porcher, Thomas, 2016. "Asymmetric evidence of gasoline price responses in France: A Markov-switching approach," Economic Modelling, Elsevier, vol. 52(PB), pages 467-476.
  2. Boroumand, Raphaël Homayoun & Goutte, Stéphane & Porcher, Simon & Porcher, Thomas, 2015. "Hedging strategies in energy markets: The case of electricity retailers," Energy Economics, Elsevier, vol. 51(C), pages 503-509.
  3. Goutte, Stéphane & Ngoupeyou, Armand, 2015. "The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1323-1351.
  4. Olivier Damette & Stéphane Goutte, 2015. "Tobin tax and trading volume tightening: a reassessment," Applied Economics, Taylor & Francis Journals, vol. 47(29), pages 3124-3141, June.
  5. Goutte, Stéphane, 2014. "Conditional Markov regime switching model applied to economic modelling," Economic Modelling, Elsevier, vol. 38(C), pages 258-269.
  6. Rapha�l Homayoun Boroumand & Stéphane Goutte & Thomas Porcher, 2014. "A regime-switching model to evaluate bonds in a quadratic term structure of interest rates," Applied Financial Economics, Taylor & Francis Journals, vol. 24(21), pages 1361-1366, November.
  7. Rapha�l Homayoun Boroumand & Stephane Goutte & Simon Porcher & Thomas Porcher, 2014. "Correlation evidence in the dynamics of agricultural commodity prices," Applied Economics Letters, Taylor & Francis Journals, vol. 21(17), pages 1238-1242, November.
  8. Goutte Stéphane & Ngoupeyou Armand, 2014. "Dual Optimization Problem on Defaultable Claims," Mathematical Economics Letters, De Gruyter, vol. 1(2-4), pages 8, July.
16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (2) 2012-02-08 2012-05-15
  2. NEP-COM: Industrial Competition (1) 2015-08-19
  3. NEP-ECM: Econometrics (2) 2012-11-11 2015-10-17
  4. NEP-ENE: Energy Economics (3) 2012-05-29 2014-05-17 2015-08-19
  5. NEP-ETS: Econometric Time Series (2) 2012-11-11 2015-10-17
  6. NEP-FDG: Financial Development & Growth (1) 2012-02-08
  7. NEP-IFN: International Finance (1) 2012-02-08
  8. NEP-MON: Monetary Economics (1) 2012-02-08
  9. NEP-MST: Market Microstructure (1) 2014-01-24
  10. NEP-ORE: Operations Research (4) 2012-11-11 2015-08-19 2015-08-25 2015-10-17. Author is listed
  11. NEP-PBE: Public Economics (1) 2014-01-24
  12. NEP-PUB: Public Finance (1) 2014-01-24
  13. NEP-RMG: Risk Management (2) 2014-05-17 2015-10-17

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