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Pricing bivariate option under GARCH-GH model with dynamic copula : application for Chinese market
Guégan, Dominique; Zang, Jing - In: The European journal of finance 15 (2009) 7/8, pp. 777-795
Persistent link: https://www.econbiz.de/10003924432
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Risk assessment for a structured product specific to the CO2 emission permits market
Frunza, Marius-Christian; Guégan, Dominique - In: The journal of alternative investments 15 (2012/13) 3, pp. 72-91
Persistent link: https://www.econbiz.de/10009715857
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Operational risk : a Basel II + + step before Basel III
Guégan, Dominique; Hassani, Bertrand K. - In: Journal of risk management in financial institutions 6 (2012/13) 1, pp. 37-53
Persistent link: https://www.econbiz.de/10009722605
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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