Guillaume Bagnarosa

ESC Rennes School of Business

Assistant Professor

2, RUE ROBERT D'ARBRISSEL

Rennes, 35065

France

SCHOLARLY PAPERS

14

DOWNLOADS
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Top 30,018

in Total Papers Downloads

2,309

SSRN CITATIONS

5

CROSSREF CITATIONS

4

Scholarly Papers (14)

1.

Violations of Uncovered Interest Rate Parity and International Exchange Rate Dependences

Number of pages: 34 Posted: 01 Aug 2015
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 376 (109,527)
Citation 4

Abstract:

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

2.

Forecasting Covariance for Optimal Carry Trade Portfolio Allocations

Number of pages: 5 Posted: 07 Jan 2016
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 314 (132,686)

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

3.

Which Risk Factors Drive Oil Futures Price Curves?

Number of pages: 63 Posted: 20 Sep 2016 Last Revised: 03 Feb 2020
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 307 (136,034)
Citation 2

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

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
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 254 (165,133)
Citation 1

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

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
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 217 (191,864)
Citation 2

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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 School of Business and Dublin City University Business School
Downloads 205 (202,328)

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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
The Institute of Statistical MathematicsResilientML, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, ESC Rennes School of Business and Department of Statistical Science, University College London
Downloads 136 (285,571)

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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
Imperial College London - Department of Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 117 (319,134)

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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
Imperial College London - Department of Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 95 (366,700)
Citation 1

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Cointegration, Bayesian, Hamiltonian Monte Carlo

10.

A Weighted Spatio-Temporal Model for County Yields

Number of pages: 51 Posted: 07 Sep 2019
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, ESC Rennes School of Business, The Institute of Statistical Mathematics and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 68 (444,884)

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Crop yields, crop insurance pricing, SARIMA, Gaussian process

11.

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

Number of pages: 13 Posted: 04 Aug 2015
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business and University College London - Department of Statistical ScienceUniversity of California Santa Barbara
Downloads 68 (444,884)

Abstract:

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

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 School of Business, Deakin University - School of Accounting, Economics & Finance, Glion Institute of Higher Education and EMLyon Business School (Paris Campus)
Downloads 39 (578,577)
Citation 1

Abstract:

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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 School of Business, Deakin University - School of Accounting, Economics & Finance, Glion Institute of Higher Education and EMLyon Business School (Paris Campus)
Downloads 25 (668,461)

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Option Pricing Models, Martingale Restriction, Padé Approximants

13.

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

Number of pages: 25 Posted: 02 Aug 2017
Imperial College London - Department of Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara, Imperial College London and ESC Rennes School of Business
Downloads 56 (489,085)

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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
The Institute of Statistical MathematicsResilientML, ESC Rennes School of Business, The Institute of Statistical Mathematics, University College London - Department of Statistical ScienceUniversity of California Santa Barbara and Macquarie University - Department of Actuarial Studies and Business Analytics
Downloads 32 (604,409)

Abstract:

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