Gilles de Truchis

Gilles de Truchis
Assistant Professor in Economics
Contact
Bur. 604B, Bat. G
200 av. de la République
92001 Nanterre cedex
France
Position
2015-
Coordinator (with Christophe Boucher) of the master's degree programs
Gestion des Actifs - Opérations de Marché et Régulation des Risques
+33 140 974 766
Research fields
Time Series Econometrics - Energy Finance - Macro-Finance
[email protected]
varennes-ecofin.com
ResearchGate
Languages
french mother tongue
english fluency
Education
2010-2014
PhD in Economics
Aix-Marseille University - AMSE - GREQAM
Thesis: Fractional Cointegration Analysis of Comovements in International Financial Markets
Jury: Luis A. Gil-Alana - Roselyne Joyeux - Sébastien Laurent - Valérie Mignon
Advisors: Marcel Aloy and Gilles Dufrénot
Award: Aix-Marseille University PhD Thesis Prize
2008-2010
Master in Economics and International Finance (Research)
Aix-Marseille University
2005-2008
Bachelor in Economics and Management
Aix-Marseille University
Softwares
MATLAB
Mathematica,
OxMetrics, RATS, SAS
Thomson Reuters Eikon
Assistant Professor in Economics
EconomiX (UMR 7235) - Université de Paris Ouest Nanterre la Défense
Research
Published Papers
2016
Long-run comovements in East Asian stock market volatility Forthcoming in
with B. Keddad
Open Economies Review
2016
Optimal estimation strategies for bivariate fractional cointegration systems
and the co-persistence analysis of stock market realized volatilities Computational Economics, 48, 83-104
with M. Aloy
2014
On the risk dependence between crude oil market and U.S. dollar exchange
rates Economic Modelling, 52, 206-215
with B. Keddad
2013
Approximate whittle analysis of fractional cointegration and the stock market
synchronization issue Economic Modelling, 34, 98-105
2013
South East Asian monetary integration : new evidences from fractional cointegration of RER J. of Inter. Fin. M., Inst. & Money, 26, 394-412 with B. Keddad
Book Chapter
2014
Shift-volatility transmission in East Asian equity markets: new indicators In
Market Microstructure and Nonlinear Dynamics, Springer with M. Aloy, G. Dufrénot
and B. Keddad
Works in Progress
2015
On exchange rates comovements: New evidence from a Taylor rule fundamentals model with adaptive learning Submitted
with C. Dell’Eva and B. Keddad
2016
Testing for Extreme Volatility Transmission with Realized Volatility Measuress
Preliminary draft
with C. Boucher and S. Tokpavi
2014
Unbalanced Fractional Cointegration and the Information Flowing on Commodity Markets Preliminary draft available
with F. Dubois
2015
Long memory and power law coherency between realized volatility and trading
volume Preliminary draft available
with D. Banulescu
2015
On the efficiency of the CME-NYMEX oil option market: Evidence from a cofractional analysis Preliminary draft available
with B. Sévi
2014
European stock markets integration and the 2007-08 financial crisis Preliminary draft available
with B. Sévi
2015
How the European debt crisis has impacted the renewable energy sector? Preliminary draft available
with K. Constant, M. Davin and B. Keddad
Teaching
201620152015201520152014-2015
Nonlinear Econometrics - Master in Economics
Université de Paris Ouest Nanterre la Défense
Spatial Econometrics - Master in Economics
Université de Paris Ouest Nanterre la Défense
Introduction to Finance - Master in Economics
Université de Paris Ouest Nanterre la Défense
Econometrics - Master in Economics
Université de Paris Ouest Nanterre la Défense
Open Macroeconomics - Bachelor in Economics
Université de Paris Ouest Nanterre la Défense
Macroeconomics - Bachelor in Economics
Université de Cergy-Pontoise
2014-2015
Macroeconomics - DU & CMI
Université de Cergy-Pontoise
2011-2014
Macroeconomics - Bachelor in Economics
Aix Marseille Université
Econometrics - Master in Economics
Aix Marseille Université
2011-2012
Lectures
Lectures
Lectures
Tutorials
Lectures
Lectures
Lectures & Tutorials
Tutorials
Tutorials
Referral Activities
Applied Economics / Economic Modelling / Macroeconomic Dynamics / Economics Bulletin / International Economics / Research in International Business and Finance / Empirical Economics
/ International Review of Financial Analysis / International Journal of Forecasting
Communications
2016
14th INFINITI Conference on International Finance
Trinity College Dublin
2016
4th International Symposium in Computational Economics
Université d’Evry - INSEEC
2015
7th French Econometric Conference
Université d’Orléans
3rd JEAM Conference
Université de Cergy-Pontoise - Université Paris 13
2015
2015
13th INFINITI Conference on International Finance
University of Ljubljana - Trinity College Dublin
2015
2nd International Workshop in Financial Markets and Nonlinear Dynamics
Université d’Evry - ESSCA
2015
3rd International Symposium on Energy and Finance Issues
IPAG Business School
Association for the Development of Research in Economics and Statistics
(ADRES)
Université Panthéon Sorbonne
Paris Financial Management Conference
IPAG Business School
Lunch Seminar du THEMA
Université de Cergy-Pontoise
2015
2014
2014
2014
2014
13ème Journée d’Econométrie
Université de Paris Ouest Nanterre la Défense
12th INFINITI Conference on International Finance
University of Monash - Trinity College Dublin
2014
3rd International Symposium in Computational Economics
Université d’Evry - INSEEC
2013
12ème Journée d’Econométrie
Université de Paris Ouest Nanterre la Défense
International Workshop on Market Microstructure and Nonlinear Dynamics
Université d’Evry
2013
2012
11ème Journée d’Econométrie
Université de Paris Ouest Nanterre la Défense
Fellowships and Previous Positions
2014-2015
ATER
Université de Cergy-Pontoise
2013-2014
ATER
Aix-Marseille Université
Doctoral Grant
French Ministry of Research via ED 372
2010-2013