Dominique Guegan

Université Paris I Panthéon-Sorbonne

Full Professor, CES UMR 8174 , Maison des Sciences Economiques

106 avenue de lhopital

75634 Paris Cedex 13

Paris, IL

France

SCHOLARLY PAPERS

30

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CITATIONS
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132

Scholarly Papers (30)

1.

Credit Risk Analysis Using Machine and Deep Learning Models

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2018
Number of pages: 32 Posted: 17 Apr 2018
Peter Martey Addo, Dominique Guegan and Bertrand Hassani
Labex ReFi, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 388 (74,472)

Abstract:

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Credit risk, Financial regulation, Data Science, Bigdata, Deep learning

2.
Downloads 216 (139,534)

Is the Bitcoin Rush Over?

Handbook: Cryptofinance and Mechanism of Exchange, Forthcoming
Number of pages: 22 Posted: 25 Apr 2018
Dominique Guegan and Marius Frunza
Université Paris I Panthéon-Sorbonne and Schwarzthal Kapital
Downloads 158 (185,229)

Abstract:

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Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

Is the Bitcoin Rush Over?

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10/WP/2018
Number of pages: 24 Posted: 19 Apr 2018
Marius Frunza and Dominique Guegan
Schwarzthal Kapital and Université Paris I Panthéon-Sorbonne
Downloads 58 (363,513)

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Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

3.

Forecasting VAR and Expected Shortfall Using Dynamical Systems: A Risk Management Strategy

Frontiers in Finance and Economics, Vol. 6, No. 1, p. 26-50, 2009
Number of pages: 25 Posted: 12 Jun 2010
Cyril Caillault and Dominique Guegan
BNP Paribas and Université Paris I Panthéon-Sorbonne
Downloads 208 (144,578)
Citation 2

Abstract:

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Value at Risk, Expected Shortfall, Copulas, Risk Management, GARCH Models, Markov Switching models

Option Pricing for Garch-Type Models with Generalized Hyperbolic Innovations

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 30 Posted: 24 Oct 2010
Florian Ielpo, Dominique Guegan and Christophe Chorro
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 114 (240,364)

Abstract:

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Generalized hyperbolic distribution, Option pricing, Incomplete markets, CAC 40, SP 500, GARCH-type models

Option Pricing for GARCH-Type Models with Generalized Hyperbolic Innovations

Centre d’Economie de la Sorbonne Working Paper No. 2010.23
Number of pages: 31 Posted: 18 Jul 2010
Dominique Guegan, Christophe Chorro and Florian Ielpo
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 90 (282,647)
Citation 8

Abstract:

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Generalized Hyperbolic Distribution, Option Pricing, Incomplete Markets, CAC 40, SP 500, GARCH-Type Models

5.

An Econometric Study of Vine Copulas

Number of pages: 18 Posted: 17 Apr 2010
Dominique Guegan and Pierre André Maugis
Université Paris I Panthéon-Sorbonne and Paris School of Economics (PSE)
Downloads 203 (147,908)
Citation 1

Abstract:

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Vines Copulas, Conditional Copulas, Risk management

6.

Initial Crypto-Asset Offerings (ICOs), Tokenization and Corporate Governance

Number of pages: 31 Posted: 08 Apr 2019
Stéphane Blemus and Dominique Guegan
Université Paris I Panthéon-Sorbonne - Sorbonne Law School and Université Paris I Panthéon-Sorbonne
Downloads 182 (164,332)

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Corporate Governance, Tokenization, Blockchain, ICO, DLT, Distributed Ledger Technology, Smart Contract, Token, Initial Coin Offering, Bitcoin, Ethereum, Cryptocurrency, Decentralized Autonomous Organization, DAO, FinTech, Internet, Trust, Securities Law

7.

A Mathematical Resurgence of Risk Management: An Extreme Modeling of Expert Opinions

Frontiers in Finance and Economics, Vol. 11, No. 1, 25-45, 2014
Number of pages: 21 Posted: 02 Feb 2015
Dominique Guegan and Bertrand Hassani
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 160 (182,986)
Citation 2

Abstract:

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Operational risks, EVT, AMA, Expert, Value-at-Risk, Expected Shortfall

8.

Statistical Evidence of Tax Fraud on the Carbon Allowances Market

Number of pages: 11 Posted: 13 Dec 2010
Marius Frunza, Dominique Guegan and Antonin Lassoudiere
Schwarzthal Kapital, Université Paris I Panthéon-Sorbonne and affiliation not provided to SSRN
Downloads 136 (209,085)

Abstract:

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Carbon, EUA, Energy, VAT, Fraud, Missing trader

9.

Option Pricing with Discrete Time Jump Processes

Number of pages: 29 Posted: 01 Jul 2011
Florian Ielpo, Dominique Guegan and Hanjarivo Lalaharison
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 122 (227,461)
Citation 2

Abstract:

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10.

Towards an Understanding Approach of the Insurance Linked Securities Market

Number of pages: 26 Posted: 10 Sep 2011
Mathieu Gatumel and Dominique Guegan
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE) and Université Paris I Panthéon-Sorbonne
Downloads 113 (242,162)
Citation 4

Abstract:

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insurance linked securities, cat. bonds, market price of risk.

11.

A Cross-Sectional Performance Measure for Portfolio Management

CES Working Paper No. 2010-70
Number of pages: 32 Posted: 09 May 2012
Monica Billio, Ludovic Calès and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, European Union - European Commission, Joint Research Centre and Université Paris I Panthéon-Sorbonne
Downloads 99 (263,745)

Abstract:

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Performance Measure, Portfolio Management, Relative-Value Strategy, Large Portfolios, Absolute Return Strategy, Multivariate Statistics, Generalized Hyperbolic Distribution

12.

The Spectral Stress VaR (SSVaR)

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2015
Number of pages: 23 Posted: 25 Jun 2015
Dominique Guegan, Bertrand Hassani and Kehan Li
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 81 (299,279)

Abstract:

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Value at Risk, Asymptotic theory, Distribution, Spectral analysis, Stress, Risk measure, Regulation

13.

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

CES Working Paper No. 2012-36
Number of pages: 28 Posted: 04 Jun 2012
Monica Billio, Ludovic Calès and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, European Union - European Commission, Joint Research Centre and Université Paris I Panthéon-Sorbonne
Downloads 76 (310,735)

Abstract:

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finance, continuous time random walk, cross-section analysis, rank-based models, momentum

14.

New Prospects on Vines

Insurance Markets and Companies: Analyses and Actuarial Computations, Vol. 1, No. 1, pp. 4-11, 2010
Number of pages: 13 Posted: 17 Apr 2010
Dominique Guegan and Pierre André Maugis
Université Paris I Panthéon-Sorbonne and Paris School of Economics (PSE)
Downloads 75 (313,107)
Citation 1

Abstract:

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Vine copulas, Multivariate copulas, Model Selection, VaR

15.

Further Evidence on the Impact of Economic News on Interest Rates

Frontiers in Finance and Economics, Vol. 6, No. 2, pp. 1-45, 2009
Number of pages: 45 Posted: 10 Jun 2010 Last Revised: 29 Feb 2012
Dominique Guegan and Florian Ielpo
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 68 (330,525)
Citation 2

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Macroeconomic Announcements, Interest Rates Dynamic, Outliers, Reaction Function, Principal Component Analysis

16.

Testing for Leverage Effects in the Returns of US Equities

CES Working Papers No. 2014.22
Number of pages: 16 Posted: 07 Apr 2015 Last Revised: 12 Jan 2017
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 65 (338,488)
Citation 1

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Asymmetry, GARCH, Mixture of Gaussian distributions, Generalized hyperbolic distributions, S&P 500, Leverage effect

17.

A Theoretical Framework for Trading Experiments

Number of pages: 12 Posted: 17 Feb 2013
Université de Nice Sophia Antipolis - Laboratoire Jean-Alexandre Dieudonné, CES, Université Paris 1 Panthéon-Sorbonne, HEC Montreal, HEC Montreal, Université Paris I Panthéon-Sorbonne, HEC Montreal - Institute of Applied Economics, Laboratoire Jean-Alexandre Dieudonné and Department of Economics, University of Western Ontario
Downloads 52 (377,061)

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decision making, game theory, complex systems theory, technical analysis, rational expectations

18.

Assessment of Proxy-Hedging in Jet-Fuel Markets

Number of pages: 30 Posted: 09 Oct 2017
Marius Frunza, Dominique Guegan and Rostislav Haliplii
Schwarzthal Kapital, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 49 (386,945)

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Oil Distillates, Gasoil, Jet Fuel, Hedging Strategies, Market Liquidity, Market Efficiency, Time Series Modeling

19.

Pricing Alternatives in Incomplete Markets: An Application for Carbon Allowances

Number of pages: 19 Posted: 04 Feb 2013
Marius Frunza and Dominique Guegan
Schwarzthal Kapital and Université Paris I Panthéon-Sorbonne
Downloads 45 (400,832)

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Carbon, EUA, Generalized Hyperbolic distribution, GARCH modelling, pricing, Incomplete markets, Empirical Martingale Correction.

20.

What is the Best Approach to Measure the Interdependence between Different Markets?

Banque de France Working Paper No. 95
Number of pages: 72 Posted: 21 Dec 2010
Sanvi Avouyi-Dovi, Dominique Guegan and Sophie LaDoucette
Banque de France, Université Paris I Panthéon-Sorbonne and Banque de France
Downloads 40 (419,271)
Citation 86

Abstract:

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interdependence, conditional correlation, concordance, functions copulas

21.

Risk or Regulatory Capital? Bringing Distributions Back in the Foreground

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18/WP/2015
Number of pages: 42 Posted: 25 Jun 2015
Dominique Guegan and Bertrand Hassani
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 36 (435,410)

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Risk measures, Sub-additivity, Level of confidence, Extreme value distributions, Financial regulation, aggregation

22.

An Assessment of Persistence in Stock Markets (in French)

Banque de France Working Paper No. 94
Number of pages: 46 Posted: 21 Dec 2010
Sanvi Avouyi-Dovi, Dominique Guegan and Sophie LaDoucette
Banque de France, Université Paris I Panthéon-Sorbonne and Banque de France
Downloads 33 (447,909)
Citation 30

Abstract:

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long memory, persistence phenomenon, stock markets

23.

Artificial Intelligence, Data, Ethics An Holistic Approach for Risks and Regulation

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19
Number of pages: 36 Posted: 15 Jul 2019
Alexis Bogroff and Dominique Guegan
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 22 (532,825)

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Artificial Intelligence, Bias, Big Data, Ethics, Governance, Interpretability, Regulation, Risk

24.

Nonparametric Forecasting of Multivariate Probability Density Functions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 15/WP/2018
Number of pages: 47 Posted: 08 Jun 2018
Dominique Guegan and Matteo Iacopini
Université Paris I Panthéon-Sorbonne and Scuola Normale Superiore
Downloads 22 (503,939)

Abstract:

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Functional data analysis, functional PCA, functional time series, time varying dependence, time varying copula, clr transform, compositional data analysis

25.

Business Surveys Modelling with Seasonal-Cyclical Long Memory Models

Banque de France Working Paper No. 224
Number of pages: 19 Posted: 17 Sep 2010
Laurent Ferrara and Dominique Guegan
Banque de France and Université Paris I Panthéon-Sorbonne
Downloads 22 (503,939)
Citation 7

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Euro area, business surveys, seasonal, long memory

26.

Testing Unit Roots and Long Range Dependence of Foreign Exchange

Journal of Time Series Analysis, Vol. 32, Issue 6, pp. 631-638, 2011
Number of pages: 8 Posted: 13 Oct 2011
Zhiping Lu and Dominique Guegan
Ecole Normale Superieure de Cachan, East China Normal University and Université Paris I Panthéon-Sorbonne
Downloads 1 (643,830)
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Foreign exchange rate, long memory processes, Monte Carlo simulation, non‐stationary, test

27.

Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market

Journal of Alternative Investments, Forthcoming
Posted: 23 Oct 2012 Last Revised: 21 Feb 2014
Marius Frunza and Dominique Guegan
Schwarzthal Kapital and Université Paris I Panthéon-Sorbonne

Abstract:

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Carbon, Generalized Hyperbolic Distribution, Value-at-Risk, CER, EUA, Swap

28.

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, Vol. ol. X, No. 1, pp. 5-25, January 2011
Posted: 07 Mar 2011
Charfeddine Lanouar and Dominique Guegan
College of Business and Economics, Qatar University and Université Paris I Panthéon-Sorbonne

Abstract:

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29.

: Change Analysis of Dynamic Copula for Measuring Dependence in Multivariate Financial Data

Quantitative Finance, Vol. 10, No. 4. pp. 421-430, 2009
Posted: 18 Jul 2010
Jing Zhang and Dominique Guegan
affiliation not provided to SSRN and Université Paris I Panthéon-Sorbonne

Abstract:

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Test, Conditional Pseudo Copula, Change-Point, U-Statistics

30.

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

The IUP Journal of Monetary Economics, Vol. VII, Nos. 3 & 4, pp. 44-72, August & November 2009
Posted: 26 Aug 2009
Florian Ielpo and Dominique Guegan
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne

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