Guillaume Bagnarosa

ESC Rennes School of Business

Assistant Professor

2, RUE ROBERT D'ARBRISSEL

Rennes, 35065

France

  • ESC Rennes School of Business

SCHOLARLY PAPERS

14

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10

CROSSREF CITATIONS

4

Scholarly Papers (14)

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1.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
Matthew Ames, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 469 (102,917)
Citation 5

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

2.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 63 Posted: 20 Sep 2016 Last Revised: 03 Feb 2020
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 342 (147,607)
Citation 4

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Crude oil futures, Theory of storage, Theory of normal backwardation, Hedging pressure, Futures Term structure

3.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 337 (149,932)
Citation 1

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

4.

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, Matthew Ames, Guillaume Bagnarosa, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 276 (184,896)
Citation 2

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

5.

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 School of Business and Dublin City University Business School
Downloads 243 (210,577)

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Hog Spread, Multiple Bubbles, Commodities, Cointegration

6.

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, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 231 (220,389)
Citation 2

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

7.

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, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 162 (303,058)

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Bayesian Cointegration, Crush Trades, Rao-Blackwellized MCMC

8.

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

Number of pages: 19 Posted: 18 Jun 2014
Matthew Ames, Matthew Ames, Gareth Peters, Guillaume Bagnarosa and Ioannis Kosmidis
The Institute of Statistical MathematicsResilientML, University of California Santa Barbara, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 157 (311,183)

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

9.

A Weighted Spatio-Temporal Model for County Yields

Number of pages: 51 Posted: 07 Sep 2019
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Suikai Gao, Tomoko Matsui and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, ESC Rennes School of Business, The Institute of Statistical Mathematics and University of California Santa Barbara
Downloads 117 (390,946)

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Crop yields, crop insurance pricing, SARIMA, Gaussian process

10.

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, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 114 (398,393)
Citation 1

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Cointegration, Bayesian, Hamiltonian Monte Carlo

11.

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

Downloads 104 (425,454)
Citation 1

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
Guillaume Bagnarosa, Charles J. Corrado, Emmanuel Jurczenko and Bertrand B. Maillet
ESC Rennes School of Business, Deakin University - School of Accounting, Economics & Finance, EDHEC Business School and EMLyon Business School (Paris Campus)
Downloads 59 (601,716)
Citation 1

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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
Guillaume Bagnarosa, Charles J. Corrado, Emmanuel Jurczenko and Bertrand B. Maillet
ESC Rennes School of Business, Deakin University - School of Accounting, Economics & Finance, EDHEC Business School and EMLyon Business School (Paris Campus)
Downloads 45 (682,487)

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Option Pricing Models, Martingale Restriction, Padé Approximants

12.

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, Matthew Ames, Guillaume Bagnarosa and Gareth Peters
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University of California Santa Barbara
Downloads 93 (458,645)

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

13.

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, University of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 74 (525,895)

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

14.

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

Number of pages: 18 Posted: 16 Jan 2019
Matthew Ames, Matthew Ames, Guillaume Bagnarosa, Tomoko Matsui, Gareth Peters and Pavel V. Shevchenko
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 63 (577,514)

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

Other Papers (1)

Total Downloads: 0
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1.

Consistently Combining Multi-Factor Stochastic Oil Commodity Models with Observed Exogenous Explanatory Regression Factors: Perspectives from Speculators and Hedgers

Posted: 20 Sep 2016
Matthew Ames, Matthew Ames, Gareth Peters, Guillaume Bagnarosa, Pavel V. Shevchenko and Tomoko Matsui
The Institute of Statistical MathematicsResilientML, University of California Santa Barbara, ESC Rennes School of Business, Macquarie University - Department of Actuarial Studies and Business Analytics and The Institute of Statistical Mathematics

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Crude Oil, Short-Term and Long-Term Factors, Macroeconomical Factors, Risk Premium, Term Structure