Gilles de Truchis PhD from Aix-Marseille School of Economics Château La Farge - Route des Milles 13290 Aix-En-Provence France T 06 28 20 87 60 B gilles.detruchis@gmail.com Í http://www.varennes-ecofin.com Current Position 2010-2014 Thesis Jury Supervisors PhD in Economics, Aix-Marseille Université. Fractional Cointegration Analysis of Comovements in International Financial Markets. Luis A. Gil-Alana - Roselyne Joyeux - Sébastien Laurent - Valérie Mignon. Marcel Aloy and Gilles Dufrénot. Center Associate member at Aix-Marseille School of Economics - GREQAM. Position ATER, Université de Cergy-Pontoise. Fields Financial Econometrics - Energy Finance - Volatility Dynamics. References Sébastien Laurent, Professor of Economics, GREQAM - Aix-Marseille Université (IAE). sebastien.laurent@univ-amu.fr Luis A. Gil-Alana, Professor of Economics, ICS - University of Navarra. alana@unav.es Anne Péguin-Feissolle, Professor of Economics, GREQAM - CNRS. anne.peguin@univ-amu.fr Education 2010-2014 PhD, in Economics, Aix-Marseille School of Economics - GREQAM. Aix-Marseille Université 2008-2010 M.A., in Economics and International Finance (Research). Aix-Marseille Université 2005-2008 B.A., in Economics and Management. Aix-Marseille Université Job Market Paper Abstract Local Whittle Analysis of Unbalanced Fractional Cointegration and the No-Arbitrage Condition, The no-arbitrage condition between spot and future prices implies an analogous condition on their underlying volatilities. Interestingly, the long memory behavior of the volatility series also involves a long-run relationship that allows to test for the no-arbitrage condition by means of cointegration techniques. Unfortunately, the persistent nature of the volatility can vary with the future maturity, thereby leading to unbalanced integration orders between spot and future volatility series. Nonetheless, if a balanced long-run relationship can be recovered by an appropriate filtering of one of the time series, the cointegration theory applies all the same and unbalanced cointegration operates between the raw series. In this paper, we introduce a new estimator of unbalanced fractional cointegration systems that allows to test for the no-arbitrage condition between the crude oil spot and futures volatilities. Research Works Published 2Approximate whittle analysis of fractional cointegration and the stock market synchropapers nization issue. Economic Modelling, 34, 98-105 (2013) 2South East Asian monetary integration : new evidences from fractional cointegration of RER, with B. Keddad. Journal of International Financial Markets, Institutions & Money, 26, 394-412 (2013) Accepted 2On the risk dependence between crude oil market and U.S. dollar exchange rates, with Papers B. Keddad. Forthcoming in Economic Modelling (http ://dx.doi.org/10.1016/j.econmod.2014.11.014) Book 2Shift-volatility transmission in East Asian equity markets : new indicators, with M. Aloy, Chapter G. Dufrénot and B. Keddad, In Market Microstructure and Nonlinear Dynamics, Dufrénot, Gilles, Jawadi, Fredj, Louhichi, Waël (Eds.), Springer, 2014. Working 1Optimal estimation strategies for bivariate fractional cointegration systems and the coPapers persistence analysis of stock market realized volatilities, with M. Aloy. Submitted, AMSE Working papers 1Long-run comovements in East Asian stock market volatility, with B. Keddad. Submitted, AMSE Working papers Works in 0Local whittle analysis of unbalanced fractional cointegration and the No-Arbitrage CondiProgress tion, with F. Dubois. Preliminary draft available. 0Cointegration in exchange rate systems : new evidence from multi-country monetary model with adaptive learning, with C. Dell’Eva and B. Keddad. Preliminary draft available. Teaching Experience 2014-2015 Teaching Assistant, Université de Cergy-Pontoise. Macroeconomics - BSc in economics (1st year) 2011-2014 Teaching Assistant, Aix Marseille Université. Econometrics - Master in economics (1st year) Macroeconomics - BSc in economics (1st and 2nd year) Communications in Seminars 2014 Paris Financial Management Conference. IPAG Business School 2014 Lunch Seminar of THEMA. Université de Cergy-Pontoise 2014 13ème Journée d’Econométrie, EconomiX. Université de Nanterre 2014 INFINITY Conference on International Finance. University of Monash - Trinity College Dublin 2014 Third International Symposium in Computational Economics. Université d’Evry - INSEEC 2013 12ème Journée d’Econométrie, EconomiX. Université de Nanterre 2013 International Workshop on Market Microstructure and Nonlinear Dynamics. Université d’Evry 2012 11ème Journée d’Econométrie, EconomiX. Université de Nanterre Referral Activities T&F Applied Economics. Elsevier Economic Modelling ; International Economics ; Research in International Business and Finance. Springer Empirical Economics. Fellowships and previous positions 2014-2015 ATER, Université de Cergy-Pontoise. 2013-2014 ATER, Aix-Marseille Université. 2010-2013 Doctoral Grant, French Ministry of Research. Computer Proficiency Econ. soft. MATLAB, OxMetrics, RATS, Mathematica, STATA, Latex. Office soft. Latex, Beamer, Word, Excel.
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