1. No category

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 [email protected]
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).
[email protected]
Luis A. Gil-Alana, Professor of Economics, ICS - University of Navarra.
[email protected]
Anne Péguin-Feissolle, Professor of Economics, GREQAM - CNRS.
[email protected]
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.