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Multivariate VaRs for operational risk capital computation : a vine structure approach
Guégan, Dominique; Hassani, Bertrand K. - In: International journal of risk assessment and management … 17 (2013) 2, pp. 148-170
Persistent link: https://www.econbiz.de/10010385914
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Evaluation of regime switching models for real-time business cycle analysis of the euro area
Billio, Monica; Ferrara, Laurent; Guégan, Dominique; … - In: Journal of forecasting 32 (2013) 7, pp. 577-586
Persistent link: https://www.econbiz.de/10010202176
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Viewing risk measures as information
Tarrant, Wayne; Guégan, Dominique - In: Journal / The Capco Institute : journal of financial … 38 (2013), pp. 83-88
Persistent link: https://www.econbiz.de/10010341523
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Nonlinear dynamics and recurrence plots for detecting financial crisis
Addo, Peter Martey; Billio, Monica; Guégan, Dominique - In: The North American journal of economics and finance : a … 26 (2013), pp. 416-435
Persistent link: https://www.econbiz.de/10010367574
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Option pricing with discrete time jump processes
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo - In: Journal of economic dynamics & control 37 (2013) 12, pp. 2417-2445
Persistent link: https://www.econbiz.de/10010348134
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Using a time series approach to correct serial correlation in operational risk capital calculation
Guégan, Dominique; Hassani, Bertrand K. - In: The journal of operational risk 8 (2013) 3, pp. 31-56
Persistent link: https://www.econbiz.de/10010248377
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Emerging countries sovereign rating adjustment using market information : impact on financial institutions' investment decisions
Guégan, Dominique; Hassani, Bertrand K.; Zhao, Xin - In: Emerging markets and the global economy, (pp. 17-49). 2014
Persistent link: https://www.econbiz.de/10010434672
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Nonlinear dynamics and wavelets for business cycle analysis
Addo, Peter Martey; Billio, Monica; Guégan, Dominique - In: Wavelet applications in economics and finance, (pp. 73-100). 2014
Persistent link: https://www.econbiz.de/10010411183
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On the necessity of five risk measures
Guégan, Dominique; Tarrant, Wayne - In: Annals of finance 8 (2012) 4, pp. 533-552
Persistent link: https://www.econbiz.de/10009670961
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Contagion between the financial sphere and the real economy : parametric and non parametric tools ; a comparison
Guégan, Dominique - In: Progress in financial markets research, (pp. 221-242). 2012
Persistent link: https://www.econbiz.de/10009678546