Dominique Guegan

Ecole Normale Superieure de Cachan

61 avenue du President Wilson

Cachan

France

SCHOLARLY PAPERS

9

DOWNLOADS
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2,328

SSRN CITATIONS

1

CROSSREF CITATIONS

9

Scholarly Papers (9)

1.

Hedging Tranched Index Products: Illustration of the Model Dependency

Number of pages: 20 Posted: 11 May 2006
Julien P Houdain and Dominique Guegan
Legal and General Asset Management and Ecole Normale Superieure de Cachan
Downloads 615 (47,019)
Citation 2

Abstract:

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CDO, Hedging, Index tranches, Delta, Hedge ratio, Model dependency, Correlation, Correlation smile, Factor models, NIG

2.

Collateralized Debt Obligations Pricing and Actor Models: A New Methodology Using Normal Inverse Gaussian Distributions

Number of pages: 29 Posted: 11 May 2006
Dominique Guegan and Julien P Houdain
Ecole Normale Superieure de Cachan and Legal and General Asset Management
Downloads 582 (50,580)
Citation 13

Abstract:

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CDO pricing, implied correlation, implied distribution, loss distribution, factor models, Normal Inverse Gaussian distribution, default probability, conditional default probability

3.

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

IDHE-MORA Note of Research No. 07-2004
Number of pages: 28 Posted: 28 Apr 2006
Dominique Guegan and Caillault Cyril
Ecole Normale Superieure de Cachan and affiliation not provided to SSRN
Downloads 467 (66,592)

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Value at Risk, Expected Shortfall, Copula, RiskMetrics, Risk management

4.

Understanding the Importance of the Timing and the Size of the Variations the Fed's Target Rate

C.E.S.-A.C. Working Paper No. 2006-01
Number of pages: 22 Posted: 20 Mar 2006 Last Revised: 12 Sep 2008
Dominique Guegan and Florian Ielpo
Ecole Normale Superieure de Cachan and Unigestion
Downloads 181 (181,992)
Citation 1

Abstract:

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Taylor rule, duration models, probit models, Central Bank expectations, Factor based methods

5.

Further Evidence on the Impact of Economic News on Interest Rates

Centre d'Economie de la Sorbonne (C.E.S.-A.C.) Working Paper No. 2007-03
Number of pages: 32 Posted: 04 Jun 2007 Last Revised: 07 Oct 2008
Dominique Guegan and Florian Ielpo
Ecole Normale Superieure de Cachan and Unigestion
Downloads 137 (229,807)
Citation 3

Abstract:

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

6.

Portfolio Symmetry and Momentum

University Ca' Foscari of Venice, Dept. of Economics Research Paper No. 05/WP/2009
Number of pages: 23 Posted: 01 Mar 2009 Last Revised: 25 Apr 2012
Monica Billio, Ludovic Calès and Dominique Guegan
Ca Foscari University of Venice - Dipartimento di Economia, Joint Research Center of the European Commission and Ecole Normale Superieure de Cachan
Downloads 122 (251,306)
Citation 1

Abstract:

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Graph Theory, Momentum, Dynamic Portfolio, Quantum Probability, Spectral Analysis

7.

Regime Switching Models: Real or Spurious Long Memory?

IDHE-MORA Note of Research No. 02-2005
Number of pages: 28 Posted: 28 Apr 2006
Dominique Guegan and Rioublanc Stéphanie
Ecole Normale Superieure de Cachan and Ecole Normale Superieure de Cachan
Downloads 120 (254,458)

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Markov switching models, Structural breaks, Long memory behavior, ARFIMA models, Forecasting.

8.

Can the Suplr Test Discriminate between Different Switching Regression Models: Application to the Us Gnp and the Uk/Us Exchange Rate

Number of pages: 26 Posted: 25 Apr 2006
Dominique Guegan and Charfeddine Lanouar
Ecole Normale Superieure de Cachan and College of Business and Economics, Qatar University
Downloads 61 (385,086)

Abstract:

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Switching Models, SETAR processes, Test, Empirical power

9.

A Meta-Distribution for Non-Stationary Samples

CREATES Research Paper 2009-24
Number of pages: 25 Posted: 03 Jun 2009
Dominique Guegan
Ecole Normale Superieure de Cachan
Downloads 43 (449,220)

Abstract:

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non-stationarity, copula, long-memory, switching, cumulants, estimation theory