Dominique Guegan

Ecole Normale Superieure de Cachan

61 avenue du President Wilson

Cachan

France

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 20,640

SSRN RANKINGS

Top 20,640

in Total Papers Downloads

2,270

CITATIONS
Rank 35,484

SSRN RANKINGS

Top 35,484

in Total Papers Citations

10

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 599 (43,406)
Citation 1

Abstract:

Loading...

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 574 (45,883)
Citation 5

Abstract:

Loading...

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 451 (62,188)

Abstract:

Loading...

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 Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 168 (175,502)
Citation 1

Abstract:

Loading...

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 Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 137 (207,844)
Citation 3

Abstract:

Loading...

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, European Union - European Commission, Joint Research Centre and Ecole Normale Superieure de Cachan
Downloads 119 (231,660)
Citation 1

Abstract:

Loading...

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 119 (231,660)

Abstract:

Loading...

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 (349,454)

Abstract:

Loading...

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 42 (411,712)

Abstract:

Loading...

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