Dominique Guegan

Université Paris I Panthéon-Sorbonne

Full Professor, CES UMR 8174 , Maison des Sciences Economiques

106 avenue de lhopital

75634 Paris Cedex 13

Paris, IL

France

SCHOLARLY PAPERS

36

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4,711

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14

CROSSREF CITATIONS

132

Scholarly Papers (36)

1.

Credit Risk Analysis Using Machine and Deep Learning Models

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 08/WP/2018
Number of pages: 32 Posted: 17 Apr 2018
Agence Française de Développement (AFD)Labex ReFi, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 621 (55,286)
Citation 8

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Credit risk, Financial regulation, Data Science, Bigdata, Deep learning

2.

The Other Side of the Coin: Risks of the Libra Blockchain

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 30/WP/2019
Number of pages: 38 Posted: 24 Oct 2019 Last Revised: 20 Jan 2020
Louis Abraham and Dominique Guegan
University of Paris-Saclay - Ecole Polytechnique and Université Paris I Panthéon-Sorbonne
Downloads 553 (64,080)
Citation 1

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Blockchain Protocol, Central Bank Digital Currency, Cryptocurrency, Governance, Libra, Regulation, Risk

3.

Initial Crypto-Asset Offerings (ICOs), Tokenization and Corporate Governance

Number of pages: 31 Posted: 08 Apr 2019
Stéphane Blemus and Dominique Guegan
Université Paris I Panthéon-Sorbonne - Sorbonne Law School and Université Paris I Panthéon-Sorbonne
Downloads 513 (70,270)
Citation 6

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Corporate Governance, Tokenization, Blockchain, ICO, DLT, Distributed Ledger Technology, Smart Contract, Token, Initial Coin Offering, Bitcoin, Ethereum, Cryptocurrency, Decentralized Autonomous Organization, DAO, FinTech, Internet, Trust, Securities Law

4.
Downloads 275 (142,215)

Is the Bitcoin Rush Over?

Handbook: Cryptofinance and Mechanism of Exchange, Forthcoming
Number of pages: 22 Posted: 25 Apr 2018
Dominique Guegan and Marius Frunza
Université Paris I Panthéon-Sorbonne and Schwarzthal Tech
Downloads 195 (197,713)
Citation 1

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Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

Is the Bitcoin Rush Over?

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 10/WP/2018
Number of pages: 24 Posted: 19 Apr 2018
Marius Frunza and Dominique Guegan
Schwarzthal Tech and Université Paris I Panthéon-Sorbonne
Downloads 80 (386,582)

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Bitcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

5.

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

Frontiers in Finance and Economics, Vol. 6, No. 1, p. 26-50, 2009
Number of pages: 25 Posted: 12 Jun 2010
Cyril Caillault and Dominique Guegan
BNP Paribas and Université Paris I Panthéon-Sorbonne
Downloads 218 (178,565)

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Value at Risk, Expected Shortfall, Copulas, Risk Management, GARCH Models, Markov Switching models

6.

An Econometric Study of Vine Copulas

Number of pages: 18 Posted: 17 Apr 2010
Dominique Guegan and Pierre André Maugis
Université Paris I Panthéon-Sorbonne and Paris School of Economics (PSE)
Downloads 217 (179,329)
Citation 1

Abstract:

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Vines Copulas, Conditional Copulas, Risk management

Option Pricing for Garch-Type Models with Generalized Hyperbolic Innovations

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 30 Posted: 24 Oct 2010
Florian Ielpo, Dominique Guegan and Christophe Chorro
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 122 (291,882)

Abstract:

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Generalized hyperbolic distribution, Option pricing, Incomplete markets, CAC 40, SP 500, GARCH-type models

Option Pricing for GARCH-Type Models with Generalized Hyperbolic Innovations

Centre d’Economie de la Sorbonne Working Paper No. 2010.23
Number of pages: 31 Posted: 18 Jul 2010
Dominique Guegan, Christophe Chorro and Florian Ielpo
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 92 (354,351)
Citation 2

Abstract:

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Generalized Hyperbolic Distribution, Option Pricing, Incomplete Markets, CAC 40, SP 500, GARCH-Type Models

8.

Artificial Intelligence, Data, Ethics An Holistic Approach for Risks and Regulation

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 19
Number of pages: 36 Posted: 15 Jul 2019
Alexis Bogroff and Dominique Guegan
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 207 (187,343)
Citation 1

Abstract:

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Artificial Intelligence, Bias, Big Data, Ethics, Governance, Interpretability, Regulation, Risk

9.

A Mathematical Resurgence of Risk Management: An Extreme Modeling of Expert Opinions

Frontiers in Finance and Economics, Vol. 11, No. 1, 25-45, 2014
Number of pages: 21 Posted: 02 Feb 2015
Dominique Guegan and Bertrand Hassani
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 183 (209,428)

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Operational risks, EVT, AMA, Expert, Value-at-Risk, Expected Shortfall

10.

Towards an Understanding Approach of the Insurance Linked Securities Market

Number of pages: 26 Posted: 10 Sep 2011
Mathieu Gatumel and Dominique Guegan
University of Savoy - Institut de Recherche en Gestion et Économie (IREGE) and Université Paris I Panthéon-Sorbonne
Downloads 157 (238,613)
Citation 7

Abstract:

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insurance linked securities, cat. bonds, market price of risk.

11.

To Mine or Not to Mine? The Bitcoin Mining Paradox

Number of pages: 25 Posted: 22 May 2020
Rostislav Haliplii, Dominique Guegan and Marius Frunza
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and Schwarzthal Tech
Downloads 154 (242,356)

Abstract:

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Bitcoin Mining, Difficulty Modelling, Real Option Theory

12.

Statistical Evidence of Tax Fraud on the Carbon Allowances Market

Number of pages: 11 Posted: 13 Dec 2010
Marius Frunza, Dominique Guegan and Antonin Lassoudiere
Schwarzthal Tech, Université Paris I Panthéon-Sorbonne and affiliation not provided to SSRN
Downloads 144 (256,016)

Abstract:

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Carbon, EUA, Energy, VAT, Fraud, Missing trader

13.

Proxy-Hedging of Bitcoin Exposures With Altcoins

Number of pages: 29 Posted: 20 May 2020
Dominique Guegan, Marius Frunza and Rostislav Haliplii
Université Paris I Panthéon-Sorbonne, Schwarzthal Tech and Université Paris I Panthéon-Sorbonne
Downloads 135 (269,349)

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Bitcoin, Altcoins, hedging, volatility modelling, portfolio risk management

14.

Option Pricing with Discrete Time Jump Processes

Number of pages: 29 Posted: 01 Jul 2011
Florian Ielpo, Dominique Guegan and Hanjarivo Lalaharison
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 125 (285,460)
Citation 2

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15.

A Cross-Sectional Performance Measure for Portfolio Management

CES Working Paper No. 2010-70
Number of pages: 32 Posted: 09 May 2012
Monica Billio, Monica Billio, Ludovic Calès and Dominique Guegan
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Joint Research Center of the European Commission and Université Paris I Panthéon-Sorbonne
Downloads 106 (320,666)

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Performance Measure, Portfolio Management, Relative-Value Strategy, Large Portfolios, Absolute Return Strategy, Multivariate Statistics, Generalized Hyperbolic Distribution

16.

The Spectral Stress VaR (SSVaR)

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 17/WP/2015
Number of pages: 23 Posted: 25 Jun 2015
Dominique Guegan, Bertrand Hassani and Kehan Li
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 92 (351,515)
Citation 1

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Value at Risk, Asymptotic theory, Distribution, Spectral analysis, Stress, Risk measure, Regulation

17.

Assessment of Proxy-Hedging in Jet-Fuel Markets

Number of pages: 30 Posted: 09 Oct 2017
Marius Frunza, Dominique Guegan and Rostislav Haliplii
Schwarzthal Tech, Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 85 (369,268)

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Oil Distillates, Gasoil, Jet Fuel, Hedging Strategies, Market Liquidity, Market Efficiency, Time Series Modeling

18.

Cross-Sectional Analysis Through Rank-Based Dynamic Portfolios

CES Working Paper No. 2012-36
Number of pages: 28 Posted: 04 Jun 2012
Monica Billio, Monica Billio, Ludovic Calès and Dominique Guegan
University of Venice - Department of EconomicsCa Foscari University of Venice - Dipartimento di Economia, Joint Research Center of the European Commission and Université Paris I Panthéon-Sorbonne
Downloads 81 (379,963)

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finance, continuous time random walk, cross-section analysis, rank-based models, momentum

19.

New Prospects on Vines

Insurance Markets and Companies: Analyses and Actuarial Computations, Vol. 1, No. 1, pp. 4-11, 2010
Number of pages: 13 Posted: 17 Apr 2010
Dominique Guegan and Pierre André Maugis
Université Paris I Panthéon-Sorbonne and Paris School of Economics (PSE)
Downloads 76 (394,128)

Abstract:

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Vine copulas, Multivariate copulas, Model Selection, VaR

20.

Further Evidence on the Impact of Economic News on Interest Rates

Frontiers in Finance and Economics, Vol. 6, No. 2, pp. 1-45, 2009
Number of pages: 45 Posted: 10 Jun 2010 Last Revised: 29 Feb 2012
Dominique Guegan and Florian Ielpo
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES)
Downloads 72 (406,153)
Citation 2

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

21.

Testing for Leverage Effects in the Returns of US Equities

CES Working Papers No. 2014.22
Number of pages: 16 Posted: 07 Apr 2015 Last Revised: 12 Jan 2017
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES), Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne - CERMSEM
Downloads 69 (415,620)
Citation 1

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Asymmetry, GARCH, Mixture of Gaussian distributions, Generalized hyperbolic distributions, S&P 500, Leverage effect

22.

Bubbles on Altcoins: Rush versus Manipulation

Number of pages: 25 Posted: 24 Nov 2020
Rostislav Haliplii, Dominique Guegan and Marius Frunza
Université Paris I Panthéon-Sorbonne, Université Paris I Panthéon-Sorbonne and Schwarzthal Tech
Downloads 66 (425,538)

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Bitcoin, Altcoin, crypto-currencies, bubbles, market efficiency, timeseries modeling

23.

A Theoretical Framework for Trading Experiments

Number of pages: 12 Posted: 17 Feb 2013
Université de Nice Sophia Antipolis - Laboratoire Jean-Alexandre Dieudonné, CES, Université Paris 1 Panthéon-Sorbonne, HEC Montreal, HEC Montreal, Université Paris I Panthéon-Sorbonne, HEC Montreal - Institute of Applied Economics, Laboratoire Jean-Alexandre Dieudonné and Department of Economics, University of Western Ontario
Downloads 55 (464,910)

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decision making, game theory, complex systems theory, technical analysis, rational expectations

24.

Nonparametric Forecasting of Multivariate Probability Density Functions

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 15/WP/2018
Number of pages: 47 Posted: 08 Jun 2018
Dominique Guegan and Matteo Iacopini
Université Paris I Panthéon-Sorbonne and VU University Amsterdam - Department of Econometrics
Downloads 52 (476,649)

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Functional data analysis, functional PCA, functional time series, time varying dependence, time varying copula, clr transform, compositional data analysis

25.

Pricing Alternatives in Incomplete Markets: An Application for Carbon Allowances

Number of pages: 19 Posted: 04 Feb 2013
Marius Frunza and Dominique Guegan
Schwarzthal Tech and Université Paris I Panthéon-Sorbonne
Downloads 50 (484,880)

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Carbon, EUA, Generalized Hyperbolic distribution, GARCH modelling, pricing, Incomplete markets, Empirical Martingale Correction.

26.

A Note on the Interpretability of Machine Learning Algorithms

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 20/WP/2020
Number of pages: 16 Posted: 12 Jan 2021
Dominique Guegan
Université Paris I Panthéon-Sorbonne
Downloads 45 (506,448)

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Agnostic models, Artificial Intelligence, Counterfactual approach, Interpretability, LIME method, Machine learning

27.

What is the Best Approach to Measure the Interdependence between Different Markets?

Banque de France Working Paper No. 95
Number of pages: 72 Posted: 21 Dec 2010
Sanvi Avouyi-Dovi, Dominique Guegan and Sophie LaDoucette
Banque de France, Université Paris I Panthéon-Sorbonne and Banque de France
Downloads 44 (510,920)
Citation 85

Abstract:

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interdependence, conditional correlation, concordance, functions copulas

28.

Risk or Regulatory Capital? Bringing Distributions Back in the Foreground

University Ca' Foscari of Venice, Dept. of Economics Research Paper Series No. 18/WP/2015
Number of pages: 42 Posted: 25 Jun 2015
Dominique Guegan and Bertrand Hassani
Université Paris I Panthéon-Sorbonne and Université Paris I Panthéon-Sorbonne
Downloads 39 (534,494)

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Risk measures, Sub-additivity, Level of confidence, Extreme value distributions, Financial regulation, aggregation

29.

An Assessment of Persistence in Stock Markets (in French)

Banque de France Working Paper No. 94
Number of pages: 46 Posted: 21 Dec 2010
Sanvi Avouyi-Dovi, Dominique Guegan and Sophie LaDoucette
Banque de France, Université Paris I Panthéon-Sorbonne and Banque de France
Downloads 36 (549,752)
Citation 30

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long memory, persistence phenomenon, stock markets

30.

Business Surveys Modelling with Seasonal-Cyclical Long Memory Models

Banque de France Working Paper No. 224
Number of pages: 19 Posted: 17 Sep 2010
Laurent Ferrara and Dominique Guegan
SKEMA Business School and Université Paris I Panthéon-Sorbonne
Downloads 24 (621,030)
Citation 6

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Euro area, business surveys, seasonal, long memory

31.

Fair learning with bagging

Number of pages: 51 Posted: 23 Nov 2021
Jean-David Fermanian and Dominique Guegan
Ensae-Crest and Université Paris I Panthéon-Sorbonne
Downloads 2 (789,143)

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fairness, nonparametric regression, classification, accuracy.

32.

Testing Unit Roots and Long Range Dependence of Foreign Exchange

Journal of Time Series Analysis, Vol. 32, Issue 6, pp. 631-638, 2011
Number of pages: 8 Posted: 13 Oct 2011
Zhiping Lu and Dominique Guegan
Ecole Normale Superieure de Cachan, East China Normal University and Université Paris I Panthéon-Sorbonne
Downloads 1 (800,684)
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Foreign exchange rate, long memory processes, Monte Carlo simulation, non‐stationary, test

33.

Risk Assessment for a Structured Product Specific to the CO2 Emission Permits Market

Journal of Alternative Investments, Forthcoming
Posted: 23 Oct 2012 Last Revised: 21 Feb 2014
Marius Frunza and Dominique Guegan
Schwarzthal Tech and Université Paris I Panthéon-Sorbonne

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Carbon, Generalized Hyperbolic Distribution, Value-at-Risk, CER, EUA, Swap

34.

Which is the Best Model for the US Inflation Rate: A Structural Change Model or a Long Memory Process?

The IUP Journal of Applied Economics, Vol. ol. X, No. 1, pp. 5-25, January 2011
Posted: 07 Mar 2011
Charfeddine Lanouar and Dominique Guegan
College of Business and Economics, Qatar University and Université Paris I Panthéon-Sorbonne

Abstract:

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35.

: Change Analysis of Dynamic Copula for Measuring Dependence in Multivariate Financial Data

Quantitative Finance, Vol. 10, No. 4. pp. 421-430, 2009
Posted: 18 Jul 2010
Jing Zhang and Dominique Guegan
affiliation not provided to SSRN and Université Paris I Panthéon-Sorbonne

Abstract:

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Test, Conditional Pseudo Copula, Change-Point, U-Statistics

36.

Understanding the Importance of the Duration and Size of the Variations of Fed’s Target Rate

The IUP Journal of Monetary Economics, Vol. VII, Nos. 3 & 4, pp. 44-72, August & November 2009
Posted: 26 Aug 2009
Florian Ielpo and Dominique Guegan
Université Paris I Panthéon-Sorbonne - Centre d'Economie de la Sorbonne (CES) and Université Paris I Panthéon-Sorbonne

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