Guillaume Bagnarosa

ESC Rennes

Assistant Professor

2, RUE ROBERT D'ARBRISSEL

Rennes, 35065

France

SCHOLARLY PAPERS

13

DOWNLOADS
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in Total Papers Downloads

1,579

CITATIONS

4

Scholarly Papers (13)

1.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical Mathematics, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 246 (123,505)

Abstract:

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Markowitz Portfolio, Equal Risk Contribution

2.

Understanding the Interplay between Covariance Forecasting Factor Models and Risk Based Portfolio Allocations in Currency Carry Trades

Number of pages: 25 Posted: 05 Dec 2015
Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical Mathematics, ESC Rennes, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 200 (150,869)

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Covariance Forecasting, Currency Carry Trade, Covariance Regression, Generalised Multi-Factor Model, Portfolio Optimisation

3.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 45 Posted: 20 Sep 2016 Last Revised: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 193 (156,053)

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Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure

4.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical Mathematics, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 187 (160,576)
Citation 3

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Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

5.

Reinvestigating the Uncovered Interest Rate Parity Puzzle via Analysis of Multivariate Tail Dependence in Currency Carry Trades

Number of pages: 26 Posted: 22 Mar 2013 Last Revised: 23 Jan 2014
Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical Mathematics, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 180 (166,194)
Citation 2

Abstract:

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture copula models, Generalized Archimedean copula, Extreme value copula

6.

Do Cointegrated Commodities Bubble Together? The Case of Hog, Corn, and Soybean

Finance Research Letters, Forthcoming
Number of pages: 20 Posted: 10 Feb 2017
Christos Alexakis, Guillaume Bagnarosa and Michael M. Dowling
ESC Rennes School of Business, ESC Rennes and ESC Rennes School of Business
Downloads 159 (185,113)

Abstract:

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Hog Spread, Multiple Bubbles, Commodities, Cointegration

7.

Upside and Downside Risk Exposures of Currency Carry Trades via Tail Dependence

Number of pages: 19 Posted: 18 Jun 2014
Matthew Ames, Gareth Peters, Guillaume Bagnarosa and Ioannis Kosmidis
The Institute of Statistical Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, ESC Rennes and Department of Statistical Science, University College London
Downloads 110 (246,787)

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Currency carry trade, Multivariate tail dependence, Forward premium puzzle, Mixture models, Generalized Archimedean copula

8.

Bayesian Inference for Dynamic Cointegration Models with Application to Soybean Crush Spread

Number of pages: 30 Posted: 01 May 2017
Maciej Marówka, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 77 (310,366)

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Bayesian Cointegration, Crush Trades, Rao-Blackwellized MCMC

9.

Estimation of Cointegrated Spaces: A Numerical Case Study on Efficiency, Accuracy and Influence of the Model Noise

Number of pages: 28 Posted: 16 Feb 2017
Maciej Marówka, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 73 (319,981)
Citation 1

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Cointegration, Bayesian, Hamiltonian Monte Carlo

10.

An Online Appendix to: 'Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences'

Number of pages: 13 Posted: 04 Aug 2015
Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical Mathematics, ESC Rennes and Department of Actuarial Mathematics and Statistics, Heriot-Watt University
Downloads 50 (386,204)

Abstract:

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Forward Premium Puzzle, Speculative Trading Volumes, Multivariate Tail Dependence, Mixture Copula Models, Currency Carry Trade, Covariance Regressions

11.

Some Recent Developments in Markov Chain Monte Carlo for Cointegrated Time Series

Number of pages: 25 Posted: 02 Aug 2017
Maciej Marówka, Gareth Peters, Nikolas Kantas and Guillaume Bagnarosa
Imperial College London - Department of Mathematics, Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Imperial College London and ESC Rennes
Downloads 47 (396,472)

Abstract:

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Time Series, Cointegration, Bayesian, Markov Chain Monte Carlo, Hamiltonian Monte Carlo, Geodesic Monte Carlo, Manifold Learning

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

Number of pages: 20 Posted: 04 Mar 2007
ESC Rennes, Deakin University - School of Accounting, Economics & Finance, Glion Institute of Higher Education and EMLyon Business School (Paris Campus)
Downloads 32 (466,968)

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Option Pricing Models, Martingale Restriction, Padé Approximants.

An Implicit Martingale Restriction in a Closed-Form Higher Order Moments Option Pricing Formula Based on Multipoint Padé Approximants

Number of pages: 20 Posted: 22 May 2018
ESC Rennes, Deakin University - School of Accounting, Economics & Finance, Glion Institute of Higher Education and EMLyon Business School (Paris Campus)
Downloads 13 (582,718)

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Option Pricing Models, Martingale Restriction, Padé Approximants

13.

Supplementary Material: Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 21 Posted: 16 Jan 2019
The Institute of Statistical Mathematics, ESC Rennes, Independent, Department of Actuarial Mathematics and Statistics, Heriot-Watt University and Macquarie University
Downloads 12 (566,533)

Abstract:

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Crude oil, Short-term factor, Long-term factor, Hybrid Multi-Factor model, Macroeconomical factors, Term structure