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Guegan, Dominique's
Scholarly Papers
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Total
Downloads
940 |
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Citations
18 |
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1.
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Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Maugis, Pierre André
Paris School of Economics (PSE)
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159
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Vines Copulas, Conditional Copulas, Risk management
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2.
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Caillault, Cyril
BNP Paribas Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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150
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1
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Value at Risk, Expected Shortfall, Copulas, Risk Management, GARCH Models, Markov Switching models
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3.
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Option Pricing for GARCH-Type Models with Generalized Hyperbolic Innovations
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Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Chorro, Christophe
University of Paris 1 Pantheon-Sorbonne - Centre d'Economie de la Sorbonne (CES) Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM
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Posted:
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18 Jul 10
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Last Revised:
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24 Oct 10
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143
(101,928)
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3
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Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Chorro, Christophe
University of Paris 1 Pantheon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
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68
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3
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Generalized hyperbolic distribution, Option pricing, Incomplete markets, CAC 40, SP 500, GARCH-type models
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Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Chorro, Christophe
University of Paris 1 Pantheon-Sorbonne - Centre d'Economie de la Sorbonne (CES) Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM
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75
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3
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Generalized Hyperbolic Distribution, Option Pricing, Incomplete Markets, CAC 40, SP 500, GARCH-Type Models
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4.
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Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Lalaharison, Hanjarivo
University of Paris 1 Pantheon-Sorbonne - CERMSEM
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79
(157,283)
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5.
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Frunza, Marius
Schwarzthal Kapital Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Lassoudiere, Antonin
affiliation not provided to SSRN
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75
(162,342)
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Carbon, EUA, Energy, VAT, Fraud, Missing trader
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6.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Cales, Ludovic
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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59
(185,059)
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Performance Measure, Portfolio Management, Relative-Value Strategy, Large Portfolios, Absolute Return Strategy, Multivariate Statistics, Generalized Hyperbolic Distribution
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7.
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Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Maugis, Pierre André
Paris School of Economics (PSE)
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50
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2
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Vine copulas, Multivariate copulas, Model Selection, VaR
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8.
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Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM
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10 Jun 10
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Last Revised:
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29 Feb 12
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48
(203,771)
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5
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Macroeconomic Announcements, Interest Rates Dynamic, Outliers, Reaction Function, Principal Component Analysis
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9.
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Gatumel, Mathieu
French National Center for Scientific Research (CNRS) - Centre de Recherches Appliquées à la Gestion (CERAG) Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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47
(205,648)
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1
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insurance linked securities, cat. bonds, market price of risk.
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10.
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Billio, Monica
Ca Foscari University of Venice - Department of Economics Cales, Ludovic
Paris School of Economics - Université Paris-1 Panthéon-La Sorbonne Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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33
(235,167)
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finance, continuous time random walk, cross-section analysis, rank-based models, momentum
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11.
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Avouyi-Dovi, Sanvi
Banque de France Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne LaDoucette, Sophie
Banque de France
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26
(254,606)
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6
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interdependence, conditional correlation, concordance, functions copulas
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12.
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Avouyi-Dovi, Sanvi
Banque de France Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne LaDoucette, Sophie
Banque de France
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21
(271,320)
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long memory, persistence phenomenon, stock markets
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13.
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Soumare, Maxence
Université de Nice Sophia Antipolis - Laboratoire Jean-Alexandre Dieudonné Vitting Andersen, Jorgen
CES, Université Paris 1 Panthéon-Sorbonne Bouchard, Francis
HEC Montreal Elkaim, Alain
HEC Montreal Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne Leroux, Justin
Centre Interuniversitaire sur le Risque - Les Politiques Economiques et L'emploi (CIRPÉE) Miniconi, Michel
Laboratoire Jean-Alexandre Dieudonné Stentoft, Lars
HEC Montréal - Department of Finance
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19
(278,339)
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decision making, game theory, complex systems theory, technical analysis, rational expectations
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14.
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Frunza, Marius
Schwarzthal Kapital Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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15
(292,437)
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Carbon, EUA, Generalized Hyperbolic distribution, GARCH modelling, pricing, Incomplete markets, Empirical Martingale Correction.
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15.
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Ferrara, Laurent
Banque de France Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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15
(292,437)
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Euro area, business surveys, seasonal, long memory
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16.
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Lu, Zhiping
Ecole Normale Superieure de Cachan, East China Normal University Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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1
(342,786)
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Foreign exchange rate, long memory processes, Monte Carlo simulation, non‐stationary, test
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17.
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Frunza, Marius
Schwarzthal Kapital Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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23 Oct 12
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Last Revised:
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30 Nov 12
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Carbon, Generalized Hyperbolic Distribution, Value-at-Risk, CER, EUA, Swap
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18.
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Lanouar, Charfeddine
University Paris II Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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19.
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Zhang, Jing
affiliation not provided to SSRN Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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Test, Conditional Pseudo Copula, Change-Point, U-Statistics
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20.
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Ielpo, Florian
University of Paris 1 Pantheon-Sorbonne - CERMSEM Guegan, Dominique
Universite Paris 1 Pantheon-Sorbonne
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Records 1 -
20
of 20 matches
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1
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