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Yves Dominicy

Personal Details

First Name:Yves
Middle Name:
Last Name:Dominicy
Suffix:
RePEc Short-ID:pdo328
[This author has chosen not to make the email address public]
Université libre de Bruxelles 50, Avenue Roosevelt CP 139 B-1050 Bruxelles (Ixelles)
+32 2 650 45 02
Terminal Degree: European Centre for Advanced Research in Economics and Statistics (ECARES); Solvay Brussels School of Economics and Management; Université Libre de Bruxelles (from RePEc Genealogy)

Affiliation

European Centre for Advanced Research in Economics and Statistics (ECARES)
Solvay Brussels School of Economics and Management
Université Libre de Bruxelles

Bruxelles, Belgium
http://ecares.org/
RePEc:edi:arulbbe (more details at EDIRC)

Research output

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Jump to: Working papers Articles Software

Working papers

  1. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.
  2. Yves Dominicy & Siegfried Hörmann & Hiroaki Ogata & David Veredas, 2013. "On sample marginal quantiles for stationary processes," ULB Institutional Repository 2013/136283, ULB -- Universite Libre de Bruxelles.
  3. Yves Dominicy & Siegfried Hörmann & David Veredas & Hiroaki Ogata, 2012. "Marginal quantiles for stationary processes," Working Papers 1228, Banco de España.

Articles

  1. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
  2. Dominicy, Yves & Hörmann, Siegfried & Ogata, Hiroaki & Veredas, David, 2013. "On sample marginal quantiles for stationary processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 28-36.
  3. Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.

Software components

  1. Yves Dominicy & Hiroaki Ogata & David Veredas, 2012. "FQBIED: MATLAB functions for "Inference for vast dimensional elliptical distributions"," HSC Software ZIP12001, Hugo Steinhaus Center, Wroclaw University of Science and Technology.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," ULB Institutional Repository 2013/136282, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Christophe Ley & Anouk Neven, 2013. "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES ECARES 2013-26, ULB -- Universite Libre de Bruxelles.
    2. Matias Heikkilä & Yves Dominicy & Pauliina Ilmonen, 2017. "Multivariate moment based extreme value index estimators," Computational Statistics, Springer, vol. 32(4), pages 1481-1513, December.
    3. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2016. "Multivariate Method Of Simulated Quantiles," Departmental Working Papers of Economics - University 'Roma Tre' 0212, Department of Economics - University Roma Tre.
    4. Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020. "TailCoR," Papers 2011.14817, arXiv.org.
    5. Michele Leonardo Bianchi & Gian Luca Tassinari, 2018. "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers 1805.05584, arXiv.org, revised May 2018.
    6. Michele Leonardo Bianchi & Asmerilda Hitaj & Gian Luca Tassinari, 2020. "Multivariate non-Gaussian models for financial applications," Papers 2005.06390, arXiv.org.
    7. Michele Leonardo Bianchi & Gian Luca Tassinari & Frank J. Fabozzi, 2016. "Riding With The Four Horsemen And The Multivariate Normal Tempered Stable Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-28, June.

  2. Yves Dominicy & Siegfried Hörmann & Hiroaki Ogata & David Veredas, 2013. "On sample marginal quantiles for stationary processes," ULB Institutional Repository 2013/136283, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Sébastien Laurent & Shuping Shi, 2018. "Volatility Estimation and Jump Detection for drift-diffusion Processes," AMSE Working Papers 1843, Aix-Marseille School of Economics, France.
    2. Sla{dj}ana Babi'c & Christophe Ley & Lorenzo Ricci & David Veredas, 2020. "TailCoR," Papers 2011.14817, arXiv.org.
    3. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.

  3. Yves Dominicy & Siegfried Hörmann & David Veredas & Hiroaki Ogata, 2012. "Marginal quantiles for stationary processes," Working Papers 1228, Banco de España.

    Cited by:

    1. Christian Francq & Jean-Michel Zakoian, 2014. "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers 2014-01, Center for Research in Economics and Statistics.
    2. Lajos Horváth & Gregory Rice, 2014. "Extensions of some classical methods in change point analysis," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 23(2), pages 219-255, June.

Articles

  1. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
    See citations under working paper version above.
  2. Dominicy, Yves & Hörmann, Siegfried & Ogata, Hiroaki & Veredas, David, 2013. "On sample marginal quantiles for stationary processes," Statistics & Probability Letters, Elsevier, vol. 83(1), pages 28-36.
    See citations under working paper version above.
  3. Dominicy, Yves & Veredas, David, 2013. "The method of simulated quantiles," Journal of Econometrics, Elsevier, vol. 172(2), pages 235-247.

    Cited by:

    1. Tsionas, Mike, 2012. "Simple techniques for likelihood analysis of univariate and multivariate stable distributions: with extensions to multivariate stochastic volatility and dynamic factor models," MPRA Paper 40966, University Library of Munich, Germany, revised 20 Aug 2012.
    2. Christophe Ley & Anouk Neven, 2013. "Simple Le Cam Optimal Inference for the Tail Weight of Multivariate Student t Distributions: Testing Procedures and Estimation," Working Papers ECARES ECARES 2013-26, ULB -- Universite Libre de Bruxelles.
    3. Tsionas, Mike G., 2016. "Bayesian analysis of multivariate stable distributions using one-dimensional projections," Journal of Multivariate Analysis, Elsevier, vol. 143(C), pages 185-193.
    4. Hasan A. Fallahgoul & David Veredas & Frank J. Fabozzi, 2019. "Quantile-Based Inference for Tempered Stable Distributions," Computational Economics, Springer;Society for Computational Economics, vol. 53(1), pages 51-83, January.
    5. Mohammad Mohammadi & Adel Mohammadpour & Hiroaki Ogata, 2015. "On estimating the tail index and the spectral measure of multivariate $$\alpha $$ α -stable distributions," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 78(5), pages 549-561, July.
    6. Sgouropoulos, Nikolaos & Yao, Qiwei & Yastremiz, Claudia, 2015. "Matching a distribution by matching quantiles estimation," LSE Research Online Documents on Economics 57221, London School of Economics and Political Science, LSE Library.
    7. Amengual, Dante & Fiorentini, Gabriele & Sentana, Enrique, 2013. "Sequential estimation of shape parameters in multivariate dynamic models," Journal of Econometrics, Elsevier, vol. 177(2), pages 233-249.
    8. Calzolari, Giorgio & Halbleib, Roxana, 2018. "Estimating stable latent factor models by indirect inference," Journal of Econometrics, Elsevier, vol. 205(1), pages 280-301.
    9. Jae Wook Jung & Ina Simonovska & Ariel Weinberger, 2015. "Exporter Heterogeneity and Price Discrimination: A Quantitative View," NBER Working Papers 21408, National Bureau of Economic Research, Inc.
    10. Qin, Shanshan & Wu, Yuehua, 2020. "General matching quantiles M-estimation," Computational Statistics & Data Analysis, Elsevier, vol. 147(C).
    11. Ogata, Hiroaki, 2013. "Estimation for multivariate stable distributions with generalized empirical likelihood," Journal of Econometrics, Elsevier, vol. 172(2), pages 248-254.
    12. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    13. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    14. Yves Dominicy & Hiroaki Ogata & David Veredas, 2013. "Inference for vast dimensional elliptical distributions," Computational Statistics, Springer, vol. 28(4), pages 1853-1880, August.
    15. Grabchak, Michael, 2021. "An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case," Statistics & Probability Letters, Elsevier, vol. 170(C).
    16. M. Bee & J. Hambuckers & L. Trapin, 2019. "Estimating Value-at-Risk for the g-and-h distribution: an indirect inference approach," Quantitative Finance, Taylor & Francis Journals, vol. 19(8), pages 1255-1266, August.
    17. Svetlana Makarova, 2016. "ECB footprints on inflation forecast uncertainty," Bank of Estonia Working Papers wp2016-5, Bank of Estonia, revised 19 Jul 2016.
    18. Hallin, Marc & Swan, Yvik & Verdebout, Thomas & Veredas, David, 2013. "One-step R-estimation in linear models with stable errors," Journal of Econometrics, Elsevier, vol. 172(2), pages 195-204.
    19. Svetlana Makarova, 2018. "European Central Bank Footprints On Inflation Forecast Uncertainty," Economic Inquiry, Western Economic Association International, vol. 56(1), pages 637-652, January.
    20. Jabłońska-Sabuka, Matylda & Teuerle, Marek & Wyłomańska, Agnieszka, 2017. "Bivariate sub-Gaussian model for stock index returns," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 486(C), pages 628-637.
    21. Charemza, Wojciech & Díaz, Carlos & Makarova, Svetlana, 2019. "Quasi ex-ante inflation forecast uncertainty," International Journal of Forecasting, Elsevier, vol. 35(3), pages 994-1007.
    22. Paola Stolfi & Mauro Bernardi & Lea Petrella, 2018. "The sparse method of simulated quantiles: An application to portfolio optimization," Statistica Neerlandica, Netherlands Society for Statistics and Operations Research, vol. 72(3), pages 375-398, August.

Software components

    Sorry, no citations of software components recorded.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 1 paper announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-ETS: Econometric Time Series (1) 2012-08-23

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