×

zbMATH — the first resource for mathematics

Guégan, Dominique

Compute Distance To:
Author ID: guegan.dominique Recent zbMATH articles by "Guégan, Dominique"
Published as: Guegan, D.; Guegan, Dominique; Guègan, Dominique; Guégan, D.; Guégan, Dominique
Documents Indexed: 66 Publications since 1979, including 3 Books

Publications by Year

Citations contained in zbMATH Open

42 Publications have been cited 208 times in 187 Documents Cited by Year
Probabilistic properties of the \(\beta\)-ARCH model. Zbl 0826.60060
Guégan, Dominique; Diebolt, Jean
25
1994
Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1. Zbl 0777.60062
Diebolt, Jean; Guégan, Dominique
23
1993
How can we define the concept of long memory? An econometric survey. Zbl 1115.62346
Guégan, Dominique
15
2005
A comparison of techniques of estimation in long-memory processes. Zbl 1042.62599
Bisaglia, Luisa; Guégan, Dominique
15
1998
Change analysis of a dynamic copula for measuring dependence in multivariate financial data. Zbl 1203.91311
Guégan, D.; Zhang, J.
12
2010
Empirical estimation of tail dependence using copulas: application to Asian markets. Zbl 1081.62031
Caillault, Cyril; Guégan, Dominique
9
2005
Option pricing for GARCH-type models with generalized hyperbolic innovations. Zbl 1279.91155
Chorro, Christophe; Guégan, Dominique; Ielpo, Florian
8
2012
An \(\mathbf L^{\infty }- \mathbf L^p\) mesh-adaptive method for computing unsteady bi-fluid flows. Zbl 1202.76094
Guégan, D.; Allain, O.; Dervieux, A.; Alauzet, F.
8
2010
Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system. Zbl 0841.62028
Bosq, D.; Guégan, D.
8
1995
Power of the score test against bilinear time series models. Zbl 0820.62073
Guégan, D.; Pham Dinh Tuan
8
1992
Non-mixing properties of long memory processes. Zbl 1135.62368
Guégan, Dominique; Ladoucette, Sophie
7
2001
A note on the estimation of the parameters of the diagonal bilinear model by the method of least squares. Zbl 0676.62068
Guegan, D.; Pham, D. T.
5
1989
Different representations for bilinear models. Zbl 0653.62065
Guegan, Dominique
5
1987
On the necessity of five risk measures. Zbl 1298.91193
Guégan, Dominique; Tarrant, Wayne
4
2012
The stationary seasonal hyperbolic asymmetric power ARCH model. Zbl 1325.62163
Diongue, Abdou Kâ; Guégan, Dominique
4
2007
Modelling squared returns using a SETAR model with long-memory dynamics. Zbl 1254.91654
Dufrenot, Gilles; Guegan, Dominique; Peguin-Feissolle, Anne
4
2005
Le modèle de série chronologique autorégressive \(\beta\)-ARCH. (The autoregressive \(\beta\)-ARCH model of time series). Zbl 0723.62049
Diebolt, Jean; Guégan, Dominique
4
1991
Minimalité et inversibilité des modèles bilinéaires à temps discret. (Minimality and invertibility of discrete time bilinear models). Zbl 0616.62128
Guegan, Dominique; Pham Dinh Tuan
4
1987
Portfolio symmetry and momentum. Zbl 1219.91124
Billio, Monica; Calès, Ludovic; Guégan, Dominique
3
2011
Estimation of time-varying long memory parameter using wavelet method. Zbl 1217.62135
Lu, Zhiping; Guegan, Dominique
3
2011
Wavelet shrinkage of a noisy dynamical system with non-linear noise impact. Zbl 1364.93798
Garcin, Matthieu; Guégan, Dominique
2
2016
A time series approach to option pricing. Models, methods and empirical performances. Zbl 1325.91006
Chorro, Christophe; Guégan, Dominique; Ielpo, Florian
2
2015
Probability density of the empirical wavelet coefficients of a noisy chaos. Zbl 1347.60057
Garcin, Matthieu; Guégan, Dominique
2
2014
Option pricing with discrete time jump processes. Zbl 1402.91785
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo
2
2013
BL-GARCH models with elliptical distributed innovations. Zbl 1200.91256
Diongue, Abdou Kâ; Guégan, Dominique; Wolff, Rodney C.
2
2010
Testing fractional order of long memory processes: a Monte Carlo study. Zbl 1192.62196
Ferrara, Laurent; Guegan, Dominique; Lu, Zhiping
2
2010
Pricing bivariate option under GARCH processes with time-varying copula. Zbl 1141.91478
Zhang, J.; Guégan, D.
2
2008
Tail behavior of a threshold autoregressive stochastic volatility model. Zbl 1090.62115
Diop, Aliou; Guegan, Dominique
2
2004
Modelization and nonparametric estimation for dynamical systems with noise. Zbl 1065.62055
Blanke, D.; Bosq, D.; Guégan, D.
2
2003
Power of the Lagrange multiplier test for certain subdiagonal bilinear models. Zbl 0861.62042
Guegan, Dominique; Ngatchou Wandji, Joseph
2
1996
Asymptotic normality of the discrete Fourier transform of long memory time series. Zbl 0805.62088
Phm Dinh Tuan; Guégan, Dominique
2
1994
Étude d’un modèle non linéaire, le modèle superdiagonal d’ordre 1. Zbl 0476.60038
Guegan, Dominique
2
1981
Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model. Zbl 1342.62155
Cisse, Papa Ousmane; Diongue, Abdou Kâ; Guegan, Dominique
1
2016
GDP nowcasting with ragged-edge data: a semi-parametric modeling. Zbl 1205.91127
Ferrara, Laurent; Guégan, Dominique; Rakotomarolahy, Patrick
1
2010
Estimation of \(k\)-factor GIGARCH process: A Monte Carlo study. Zbl 1153.62355
Diongue, Abdou Kâ; Guégan, Dominique
1
2008
Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models. Zbl 1084.62087
Brummelhuis, Raymond; Guégan, Dominique
1
2005
Extreme values of particular non-linear processes. Zbl 0998.60051
Guégan, Dominique; Ladoucette, Sophie
1
2002
Statistical estimation of the embedding dimension of a dynamical system. Zbl 0981.37004
Bosq, D.; Guégan, D.; Léorat, G.
1
1999
Determination Lyapunov exponents in deterministic dynamical systems. Zbl 0926.65138
Delecroix, M.; Guégan, D.; Léorat, G.
1
1997
Tests de modèles non linéaires. Zbl 0572.62071
Guegan, D.
1
1984
Une condition d’ergodicité pour des modèles bilinéaires à temps discret. Zbl 0536.60057
Guégan, Dominique
1
1983
Tests d’hypothèses séparées pour des processus stochastique. Zbl 0419.62067
Guegan, Dominique
1
1979
Wavelet shrinkage of a noisy dynamical system with non-linear noise impact. Zbl 1364.93798
Garcin, Matthieu; Guégan, Dominique
2
2016
Statistical properties of the seasonal fractionally integrated separable spatial autoregressive model. Zbl 1342.62155
Cisse, Papa Ousmane; Diongue, Abdou Kâ; Guegan, Dominique
1
2016
A time series approach to option pricing. Models, methods and empirical performances. Zbl 1325.91006
Chorro, Christophe; Guégan, Dominique; Ielpo, Florian
2
2015
Probability density of the empirical wavelet coefficients of a noisy chaos. Zbl 1347.60057
Garcin, Matthieu; Guégan, Dominique
2
2014
Option pricing with discrete time jump processes. Zbl 1402.91785
Guégan, Dominique; Ielpo, Florian; Lalaharison, Hanjarivo
2
2013
Option pricing for GARCH-type models with generalized hyperbolic innovations. Zbl 1279.91155
Chorro, Christophe; Guégan, Dominique; Ielpo, Florian
8
2012
On the necessity of five risk measures. Zbl 1298.91193
Guégan, Dominique; Tarrant, Wayne
4
2012
Portfolio symmetry and momentum. Zbl 1219.91124
Billio, Monica; Calès, Ludovic; Guégan, Dominique
3
2011
Estimation of time-varying long memory parameter using wavelet method. Zbl 1217.62135
Lu, Zhiping; Guegan, Dominique
3
2011
Change analysis of a dynamic copula for measuring dependence in multivariate financial data. Zbl 1203.91311
Guégan, D.; Zhang, J.
12
2010
An \(\mathbf L^{\infty }- \mathbf L^p\) mesh-adaptive method for computing unsteady bi-fluid flows. Zbl 1202.76094
Guégan, D.; Allain, O.; Dervieux, A.; Alauzet, F.
8
2010
BL-GARCH models with elliptical distributed innovations. Zbl 1200.91256
Diongue, Abdou Kâ; Guégan, Dominique; Wolff, Rodney C.
2
2010
Testing fractional order of long memory processes: a Monte Carlo study. Zbl 1192.62196
Ferrara, Laurent; Guegan, Dominique; Lu, Zhiping
2
2010
GDP nowcasting with ragged-edge data: a semi-parametric modeling. Zbl 1205.91127
Ferrara, Laurent; Guégan, Dominique; Rakotomarolahy, Patrick
1
2010
Pricing bivariate option under GARCH processes with time-varying copula. Zbl 1141.91478
Zhang, J.; Guégan, D.
2
2008
Estimation of \(k\)-factor GIGARCH process: A Monte Carlo study. Zbl 1153.62355
Diongue, Abdou Kâ; Guégan, Dominique
1
2008
The stationary seasonal hyperbolic asymmetric power ARCH model. Zbl 1325.62163
Diongue, Abdou Kâ; Guégan, Dominique
4
2007
How can we define the concept of long memory? An econometric survey. Zbl 1115.62346
Guégan, Dominique
15
2005
Empirical estimation of tail dependence using copulas: application to Asian markets. Zbl 1081.62031
Caillault, Cyril; Guégan, Dominique
9
2005
Modelling squared returns using a SETAR model with long-memory dynamics. Zbl 1254.91654
Dufrenot, Gilles; Guegan, Dominique; Peguin-Feissolle, Anne
4
2005
Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models. Zbl 1084.62087
Brummelhuis, Raymond; Guégan, Dominique
1
2005
Tail behavior of a threshold autoregressive stochastic volatility model. Zbl 1090.62115
Diop, Aliou; Guegan, Dominique
2
2004
Modelization and nonparametric estimation for dynamical systems with noise. Zbl 1065.62055
Blanke, D.; Bosq, D.; Guégan, D.
2
2003
Extreme values of particular non-linear processes. Zbl 0998.60051
Guégan, Dominique; Ladoucette, Sophie
1
2002
Non-mixing properties of long memory processes. Zbl 1135.62368
Guégan, Dominique; Ladoucette, Sophie
7
2001
Statistical estimation of the embedding dimension of a dynamical system. Zbl 0981.37004
Bosq, D.; Guégan, D.; Léorat, G.
1
1999
A comparison of techniques of estimation in long-memory processes. Zbl 1042.62599
Bisaglia, Luisa; Guégan, Dominique
15
1998
Determination Lyapunov exponents in deterministic dynamical systems. Zbl 0926.65138
Delecroix, M.; Guégan, D.; Léorat, G.
1
1997
Power of the Lagrange multiplier test for certain subdiagonal bilinear models. Zbl 0861.62042
Guegan, Dominique; Ngatchou Wandji, Joseph
2
1996
Nonparametric estimation of the chaotic function and the invariant measure of a dynamical system. Zbl 0841.62028
Bosq, D.; Guégan, D.
8
1995
Probabilistic properties of the \(\beta\)-ARCH model. Zbl 0826.60060
Guégan, Dominique; Diebolt, Jean
25
1994
Asymptotic normality of the discrete Fourier transform of long memory time series. Zbl 0805.62088
Phm Dinh Tuan; Guégan, Dominique
2
1994
Tail behaviour of the stationary density of general non-linear autoregressive processes of order 1. Zbl 0777.60062
Diebolt, Jean; Guégan, Dominique
23
1993
Power of the score test against bilinear time series models. Zbl 0820.62073
Guégan, D.; Pham Dinh Tuan
8
1992
Le modèle de série chronologique autorégressive \(\beta\)-ARCH. (The autoregressive \(\beta\)-ARCH model of time series). Zbl 0723.62049
Diebolt, Jean; Guégan, Dominique
4
1991
A note on the estimation of the parameters of the diagonal bilinear model by the method of least squares. Zbl 0676.62068
Guegan, D.; Pham, D. T.
5
1989
Different representations for bilinear models. Zbl 0653.62065
Guegan, Dominique
5
1987
Minimalité et inversibilité des modèles bilinéaires à temps discret. (Minimality and invertibility of discrete time bilinear models). Zbl 0616.62128
Guegan, Dominique; Pham Dinh Tuan
4
1987
Tests de modèles non linéaires. Zbl 0572.62071
Guegan, D.
1
1984
Une condition d’ergodicité pour des modèles bilinéaires à temps discret. Zbl 0536.60057
Guégan, Dominique
1
1983
Étude d’un modèle non linéaire, le modèle superdiagonal d’ordre 1. Zbl 0476.60038
Guegan, Dominique
2
1981
Tests d’hypothèses séparées pour des processus stochastique. Zbl 0419.62067
Guegan, Dominique
1
1979
all top 5

Cited by 318 Authors

16 Guégan, Dominique
7 Wang, Lihong
6 Fakoor, Vahid
4 Bibi, Abdelouahab
4 Bisaglia, Luisa
4 Diongue, Abdou Kâ
4 Lee, Sangyeol
3 Alauzet, Frédéric
3 Cline, Daren B. H.
3 Garcin, Matthieu
3 Jomhoori, Sarah
3 Laib, Naâmane
3 Lee, Jiyeon
3 Ling, Shiqing
3 Na, Okyoung
3 Ngatchou Wandji, Joseph
3 Souza, Leonardo Rocha
3 Wu, Berlin
2 An, Hongzhi
2 Badescu, Alexandru M.
2 Basawa, Ishwar V.
2 Benghabrit, Youssef
2 Bordignon, Silvano
2 Bosq, Denis
2 Bouzebda, Salim
2 Brummelhuis, Raymond
2 Bücher, Axel
2 Chen, Min
2 Chen, Min
2 Dervieux, Alain
2 Dufrénot, Gilles
2 Elliott, Robert James
2 Ghezal, Ahmed
2 Hallin, Marc
2 Härdle, Wolfgang Karl
2 Hili, Ouagnina
2 Hill, Jonathan B.
2 Horváth, Lajos
2 Hwang, Sun Young
2 Ielpo, Florian
2 Lee, Oesook
2 Lu, Zudi
2 Ould-Saïd, Elias
2 Pai, Jeffrey S.
2 Pätäri, Eero
2 Peguin-Feissolle, Anne
2 Peng, Liang
2 Pu, Huay-min Huoh
2 Ravishanker, Nalini
2 Reisen, Valdério Anselmo
2 Tadjuidje-Kamgaing, Joseph
1 Adams, Terrence M.
1 Addo, Peter Martey
1 Agosto, Arianna
1 Ait Saidi, Ahmed
1 Ajami, Maryam
1 Amarante, Massimiliano
1 Andriosopoulos, Kostas
1 Azarnoosh, H. A.
1 Azarnoosh, Hasanali
1 Baillie, Richard T.
1 Barral, N.
1 Barrett, Charles Richard
1 Bédard, Diane
1 Belme, Anca
1 BenSaïda, Ahmed
1 Bertram, Philip
1 Billio, Monica
1 Boubaker, Heni
1 Boubaker, Sabri
1 Bourasseau, Sébastien
1 Boutahar, Mohamed
1 Brachner, Claudia
1 Brèthes, Gautier
1 Cai, Haiyan
1 Cancho, Vicente Garibay
1 Cecchinato, Nedda
1 Chan, Kung-Sik
1 Chan, Stephen Chi-fai
1 Chang, Chih-Li
1 Chaubey, Yogendra P.
1 Chen, Gemai
1 Chen, Yuyu
1 Cheong, Chin Wen
1 Choi, Moon Soo
1 Chorro, Christophe
1 Conrad, Christian
1 Contreras-Reyes, Javier E.
1 Corduas, Marcella
1 Couch, Matthew
1 Cui, Zhenyu
1 Dahmani, Abdelnasser
1 Davis, Richard A.
1 Davydov, Youri
1 de Magistris, Paolo Santucci
1 Désidéri, Jean-Antoine
1 Dissanayake, Gnanadarsha Sanjaya
1 Dolejší, Vít
1 Doumpos, Michael
1 Dufresne, Daniel
...and 218 more Authors
all top 5

Cited in 68 Serials

23 Statistics & Probability Letters
12 Journal of Statistical Planning and Inference
8 Journal of Time Series Analysis
7 Communications in Statistics. Theory and Methods
7 Computational Statistics and Data Analysis
7 Quantitative Finance
6 Journal of Econometrics
5 Journal of Computational Physics
5 European Journal of Operational Research
4 The Annals of Statistics
4 Economics Letters
4 Computational Statistics
4 Journal of Statistical Computation and Simulation
4 Comptes Rendus. Mathématique. Académie des Sciences, Paris
3 Journal of Multivariate Analysis
3 Physica D
3 Journal of Economic Dynamics & Control
3 Stochastic Processes and their Applications
3 International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
3 Statistical Papers
3 Journal of Nonparametric Statistics
3 Econometric Theory
3 Brazilian Journal of Probability and Statistics
3 Statistical Methodology
2 Computers and Fluids
2 Applied Mathematics and Computation
2 Econometric Reviews
2 Communications in Statistics. Simulation and Computation
2 Computational Economics
2 European Series in Applied and Industrial Mathematics (ESAIM): Probability and Statistics
2 Statistical Inference for Stochastic Processes
2 Journal of the Korean Statistical Society
2 Science China. Mathematics
2 Annals of Finance
1 Advances in Applied Probability
1 The Canadian Journal of Statistics
1 Israel Journal of Mathematics
1 Lithuanian Mathematical Journal
1 Russian Mathematical Surveys
1 Scandinavian Journal of Statistics
1 Annales Scientifiques de l’Université de Clermont-Ferrand II. Mathématiques
1 Journal of Applied Probability
1 Insurance Mathematics & Economics
1 Acta Mathematicae Applicatae Sinica. English Series
1 Statistical Science
1 Mathematical and Computer Modelling
1 The Annals of Applied Probability
1 Applied Mathematics. Series B (English Edition)
1 Mathematical Methods of Statistics
1 Mathematical Problems in Engineering
1 Discrete Dynamics in Nature and Society
1 International Journal of Theoretical and Applied Finance
1 Extremes
1 Scandinavian Actuarial Journal
1 Decisions in Economics and Finance
1 Journal of Machine Learning Research (JMLR)
1 Review of Derivatives Research
1 Statistical Methods and Applications
1 Statistical Analysis and Data Mining
1 Journal of Statistical Theory and Practice
1 AStA. Advances in Statistical Analysis
1 Electronic Journal of Statistics
1 Journal of the Italian Statistical Society
1 Probability Surveys
1 Afrika Statistika
1 Journal of Time Series Econometrics
1 Japanese Journal of Statistics and Data Science
1 Cogent Mathematics & Statistics

Citations by Year