Valérie Chavez-Demoulin

University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)

Professor

Unil Dorigny, Batiment Anthropole

Lausanne, 1015

Switzerland

http://https://www.hec.unil.ch/people/vchavez&vue=contact&set_language=en&cl=en

SCHOLARLY PAPERS

9

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SSRN CITATIONS
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Top 33,231

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5

CROSSREF CITATIONS

20

Scholarly Papers (9)

1.

Valuing Lead Time

Journal of Operations Management, Forthcoming
Number of pages: 31 Posted: 26 Jun 2014
University of Lausanne - Faculty of Business and Economics, Schulich School of Business, York University, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, Swiss Finance Institute - HEC Lausanne, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Stanford University - Department of Statistics
Downloads 380 (100,415)

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lead time, supply-chain mismatch cost, forecast evolution

2.

Generalized Additive Models for Conditional Dependence Structures

Journal of Multivariate Analysis, Volume 141, October 2015, Pages 147-167
Number of pages: 43 Posted: 16 May 2013 Last Revised: 04 Aug 2016
Thibault Vatter and Valérie Chavez-Demoulin
Columbia University - Departments of Statistics and Mathematics and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 256 (153,241)

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Conditional rank correlations, Copula, Penalized log-likelihood, Regression splines, Semiparametric modeling, Intraday financial returns

3.

Non-Parametric Estimation of Intraday Spot Volatility: Disentangling Instantaneous Trend and Seasonality

Number of pages: 34 Posted: 23 Nov 2013 Last Revised: 04 Aug 2016
Thibault Vatter, Hau-tieng Wu, Valérie Chavez-Demoulin and Bin Yu
Columbia University - Departments of Statistics and Mathematics, University of Toronto - Department of Mathematics, University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Univ of California at Berkeley
Downloads 177 (216,037)

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Intraday spot volatility, Seasonality, Foreign exchange returns, Time-frequency analysis, Synchrosqueezing

4.

Non-Linear Models for Extremal Dependence

Journal of Multivariate Analysis, Volume 159, April 2017, Pages 49-66
Number of pages: 32 Posted: 11 Sep 2016 Last Revised: 06 Jul 2017
Linda Mhalla, Valérie Chavez-Demoulin and Philippe Naveau
University of Lausanne, School of Economics and Business Administration (HEC Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Laboratoire des Sciences du Climat et de l'Environnement (LSCE)
Downloads 124 (287,821)
Citation 1

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Extreme value theory, Generalized additive models, Max-stable random vectors, Non-stationarity, Pickands function, Semi-parametric models, Temperature data.

5.

A New Lens for Looking at MOOC Data to Predict Student Performance

Number of pages: 23 Posted: 19 Oct 2017 Last Revised: 30 Nov 2017
Kshitij Sharma, Valérie Chavez-Demoulin and Patrick Jermann
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Ecole Polytechnique Fédérale de Lausanne
Downloads 111 (311,422)

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Predicting Success, Massive Open Online Courses, MOOCs, Extreme values Theory, GARCH, EVT, Time series analysis, Generalized Auto Regressive Conditional Heteroskedasticity.

6.

An Application of Extreme Value Theory to Learning Analytics: Predicting Collaboration Outcome from Eye-Tracking Data

Number of pages: 22 Posted: 30 Aug 2016 Last Revised: 13 Mar 2017
Kshitij Sharma, Valérie Chavez-Demoulin and Pierre Dillenbourg
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), University of Lausanne - School of Economics and Business Administration (HEC-Lausanne) and Ecole Polytechnique Fédérale de Lausanne
Downloads 92 (352,316)

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Eye-tracking, Dual eye-tracking, Extreme value theory, Computer Supported Collaborative learning, Learning Analytics, Collaboration quality

7.

Climate-Related Disasters and the Death Toll

Swiss Finance Institute Research Paper No. 21-63
Number of pages: 59 Posted: 08 Sep 2021
Valérie Chavez-Demoulin, Eric Jondeau and Linda Mhalla
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Swiss Finance Institute and University of Lausanne, School of Economics and Business Administration (HEC Lausanne)
Downloads 51 (481,775)

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Climate change, Climate disasters, Death toll, Frequency and severity

8.

A Note on the Statistical Robustness of Risk Measures

Journal of Operational Risk, Forthcoming
Number of pages: 22 Posted: 14 Jun 2017
Mikhail Zhelonkin and Valérie Chavez-Demoulin
Erasmus University Rotterdam (EUR) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
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expected shortfall (ES), influence function, M-estimation, risk measures, robustness, value-at-risk (VaR)

9.

An Extreme Value Approach for Modeling Operational Risk Losses Depending on Covariates

Journal of Risk and Insurance, Vol. 83, Issue 3, pp. 735-776, 2016
Number of pages: 42 Posted: 09 Aug 2016
Valérie Chavez-Demoulin, Paul Embrechts and Marius Hofert
University of Lausanne - School of Economics and Business Administration (HEC-Lausanne), Swiss Federal Institute of Technology Zurich and ETH Zurich, RiskLab, Department of Mathematics
Downloads 0 (819,352)
Citation 4
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