Andréas Heinen

University of Cergy-Pontoise - THEMA

33 boulevard du port

F-95011 Cergy-Pontoise Cedex, 95011

France

SCHOLARLY PAPERS

13

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CITATIONS
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Top 10,279

in Total Papers Citations

53

Scholarly Papers (13)

1.

Modelling Time Series Count Data: An Autoregressive Conditional Poisson Model

Number of pages: 37 Posted: 08 Apr 2008
Andréas Heinen
University of Cergy-Pontoise - THEMA
Downloads 834 (27,736)
Citation 19

Abstract:

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Forecast, volatility, transactions data

2.

Asymmetric CAPM Dependence for Large Dimensions: The Canonical Vine Autoregressive Copula Model

Number of pages: 54 Posted: 09 Nov 2008 Last Revised: 02 Nov 2009
Andréas Heinen and Alfonso Valdesogo
University of Cergy-Pontoise - THEMA and Universidad Carlos III de Madrid
Downloads 545 (49,020)
Citation 10

Abstract:

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Asymmetric dependence, Canonical vine copula, Multivariate volatility, High dimension, Risk Management

Modeling International Financial Returns with a Multivariate Regime Switching Copula

Number of pages: 43 Posted: 09 Mar 2008
Lorán Chollete, Alfonso Valdesogo and Andréas Heinen
UiS Business School, Universidad Carlos III de Madrid and University of Cergy-Pontoise - THEMA
Downloads 417 (67,699)
Citation 24

Abstract:

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Asymmetric dependence, Canonical vine copula, International returns, Regime-Switching, Risk Management, Value-at-Risk

Modeling International Financial Returns with a Multivariate Regime-Switching Copula

Journal of Financial Econometrics, Vol. 7, Issue 4, pp. 437-480, 2009
Posted: 09 Oct 2009
Lorán Chollete, Andréas Heinen and Alfonso Valdesogo
UiS Business School, University of Cergy-Pontoise - THEMA and Universidad Carlos III de Madrid

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asymmetric dependence, canonical vine copula, international returns, portfolio selection, regime-switching, risk management, Value at Risk

4.

Trading Activity and Liquidity Supply in a Pure Limit Order Book Market. An Empirical Analysis Using a Multivariate Count Data Model

CORE Discussion Paper No. 2004/58, EFA 2005 Moscow Meetings Paper
Number of pages: 45 Posted: 06 Mar 2005
Joachim Grammig, Andréas Heinen and Erick W. Rengifo
Eberhard Karls Universitaet Tübingen, University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 388 (74,490)
Citation 3

Abstract:

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Market microstructure, Liquidity, Trading activity, Multivariate count process

5.

Export Diversification and Price Uncertainty in Developing Countries: A Portfolio Theory Approach

Number of pages: 30 Posted: 14 Jan 2009 Last Revised: 26 Jan 2009
Luisito Bertinelli, Andréas Heinen and Eric Strobl
Universite du Luxembourg, University of Cergy-Pontoise - THEMA and Ecole Polytechnique, Paris - Department of Economic Sciences
Downloads 215 (140,170)
Citation 2

Abstract:

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Development, Diversiication, CAPM

6.

Competition, Loan Rates and Information Dispersion in Microcredit Markets

ESMT Working Paper No. 12-02 , LSF Working Paper Series No. 11-17
Number of pages: 61 Posted: 18 Feb 2012 Last Revised: 14 Jul 2014
Guillermo Baquero, Malika Hamadi and Andréas Heinen
ESMT European School of Management and Technology, Surrey Business School and University of Cergy-Pontoise - THEMA
Downloads 192 (155,858)
Citation 6

Abstract:

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Loan rates, bank competition, microfinance, information dispersion, portfolio quality, nonprofit institutions

7.

Frequent Turbulence? A Dynamic Copula Approach

NHH Dept. of Finance & Management Science Discussion Paper No. 2006/10
Number of pages: 44 Posted: 07 Mar 2007
Lorán Chollete and Andréas Heinen
UiS Business School and University of Cergy-Pontoise - THEMA
Downloads 157 (185,972)
Citation 2

Abstract:

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International Markets, Turbulence, Hidden Markov Model, Copula

8.

Multivariate Reduced Rank Regression in Non-Gaussian Contexts, Using Copulas

CORE Discussion Paper No. 2004/32
Number of pages: 14 Posted: 31 Mar 2007
Andréas Heinen and Erick W. Rengifo
University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)
Downloads 107 (250,152)

Abstract:

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multivariate dispersion model, multivariate statistical analysis, canonical correlations, principal component analsysis

9.

The Foreign Exchange Quoting Activity as an Informative Signal

EFMA 2004 Basel Meetings Paper; CORE Discussion Paper No. DP 2003/70
Number of pages: 21 Posted: 08 May 2004
Walid Ben Omrane and Andréas Heinen
Brock University - Department of Finance, Operations and Information Systems (FOIS) and University of Cergy-Pontoise - THEMA
Downloads 89 (282,474)

Abstract:

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Foreign Exchange, Market Microstructure, Time Series, Count Data

10.

The Response of Individual Fx Dealers' Quoting Activity to Macroeconomic News Announcements'

CORE Discussion Paper No. 2003/70
Number of pages: 23 Posted: 31 May 2007
Walid Ben Omrane and Andréas Heinen
Brock University - Department of Finance, Operations and Information Systems (FOIS) and University of Cergy-Pontoise - THEMA
Downloads 56 (364,521)

Abstract:

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Foreign Exchange, Market Microstructure, Time Series, Count Data.

11.

Does Basel II Affect the Market Valuation of Discretionary Loan Loss Provisions?

Journal of Banking and Finance, Vol. 70, 2016
Posted: 10 Oct 2017
Surrey Business School, University of Cergy-Pontoise - THEMA, ESSEC Business School and University of Groningen

Abstract:

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Basel II, Market Valuation, Income Smoothing, Loan Loss Provisions, Regulatory Capital, Banks, Europe

12.

Mulivariate Reduced Rank Regression in Non-Gaussian Contexts, Using Copulas

CORE Discussion Paper 2004/32
Posted: 04 Jan 2005
Andréas Heinen and Erick W. Rengifo
University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

Abstract:

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multivariate dispersion model, multivariate statistical analysis

13.

Multivariate Modelling of Time Series Count Data: An Autoregressive Conditional Poisson Model

CORE Discussion Paper No. 2003/25
Posted: 03 Jan 2005
Andréas Heinen and Erick W. Rengifo
University of Cergy-Pontoise - THEMA and Fordham University - Department of Economics - Center for International Policy Studies (CIPS)

Abstract:

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count data, time series, copula, market microstructure.