CV update 17/12/2016

Thomas Chuffart
24, rue de la justice – 59000 Lille, France
¬ +33 7 86464758
• 7 [email protected]
r www.thomaschuffart.fr
Research Associate. Aix-Marseille University, GREQAM
Professional
Université Lille 2 Droit et Santé
Temporary Lecturer
Lille
2016–2017
Université Lille 3 Sciences humaines et sociales
Temporary Lecturer
Lille
2015–2016
Education
Aix-Marseille Université
PhD in Economics With highest honors.
Marseille
2012–2016
Supervised by Anne Péguin-Feissolle and Emmanuel Flachaire
Title: Model selection in conditional volatility and GARCH modeling
Menbers of the Jury: Prof M. Billio, Prof C. Hurlin, Prof S. Laurent, Prof J.M Zakoïan
Aix-Marseille Université
Master, Major
Marseille
2010–2012
Econometrics and finance - Option: Econometrics
Université Lille 3 Sciences humaines et sociales
Bachelor
Villeneuve d’Ascq
2007–2010
Mathematics and computer sciences applied in social sciences (Economics)
Université Lille 1
DUT
Villeneuve d’Ascq
2006–2007
1st year in a technology institute (french diploma) - computer science / 1st semester validate
Publications, work in progress and projects
Publications. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Chuffart, T. (2015). “Selection Criteria in Regime Switching Conditional Volatility Models”. Econometrics 3.2, p. 289. issn: 2225-1146, Impact Factor: 1.244, revue récente, non classée par la
HCERES.
Working Papers. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Chuffart, T., Flachaire, E., and Peguin-Feissolle, A. (2016). “Testing for misspecification in GARCHtype models”. Document de Travail (DT).
Chuffart, T. and Hooper, E. (2016). “Could oil price collapse be one determinant of the next credit
crisis?”
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Chuffart, T. (2016). “An Implementation of Markov Switching GARCH Models in Matlab”.
Projects. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Chuffart, T. and Dell’Eva, C. (2016). “Did carry trades hamper quantitative easing effectiveness in
Japan?”
Chuffart, T. and Sanhaji, B. (2016). “Misspecification tests in conditional covariances for large
cross-sectional dimensions”.
Research Experience
Visitor PhD student at Université de Montréal - CIREQ
Visitor PhD student at Ca’Foscari
Oxmetrics Summer School
Montréal
May – September 2015
Venezia
January – March 2015
Aix-en-Provence
July 2014
Teaching Experience
Université Lille 2 Droit et Santé
Teaching assistant in economics
○␣
○␣
Microeconomics (Bachelor 1st and 3rd years)
Quantitative methods (Bachelor 3rd year)
Université Lille 3 Sciences Humaines et Sociales
Teaching assistant in economics:
○␣
○␣
Lille
2015–2016
Microeconomics (Bachelor 1st, 2nd and 3rd years)
Aix-Marseille Université
Teaching assistant in econometrics and quantitative methods:
○␣
Lille
2016–2017
Marseille
2012–2015
Econometrics (Bachelor 3rd year)
Quantitative methods (Bachelor 2nd year)
Communications
Local seminars. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Ca’Foscari internal seminar
Venezia
February 2015
Testing for misspecification in GARCH models
AMSE PhD seminar
Marseille
January 2014
Testing for nonlinear GARCH models
AMSE PhD seminar
Marseille
October 2012
Selection criteria in regime switching conditional volatility models
International conferences. . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . . .
Commodity Markets Conference
Hannover
June 2016
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Could oil price collapse be one determinant of the next credit crisis?
4th International Symposium in Computational Economics and Finance
Paris
April 2016
Could oil price collapse be one determinant of the next credit crisis?
11th World Congress of the Econometric Society
Montréal
August 2015
Organization helping
55ème congrés annuel de la SCSE
Montréal
May 2015
Testing for misspecification in GARCH models
8th International Conference on Computational and Financial Econometrics
Pisa
December 2014
Invited by Markus Haas
Journée d’économétrie financière
Paris
December 2014
Testing for nonlinear GARCH models
1st International Association for Applied Econometrics
London
June 2014
Selection criteria in regime switching conditional volatility models
22nd Symposium of the Society for Nonlinear Dynamics and Econometrics
New York
April 2014
Testing for nonlinear GARCH models
13th OxMetrics User Conference
Aarhus
September 13
Posters session: Selection criteria in regime switching conditional volatility models
Vancouver
18th International Conference on Computing in Economics and Finance (CEF 2013)
July 2013
Selection criteria in regime switching conditional volatility models
Computational skills
Matlab: Development of an unofficial toolbox Python: Intermediate
Econometric software: STATA, SAS, GRETL, C,Java: Beginner
GAUSS, EVIEWS, R
Website: HTML, PHP, SQL, Wordpress, SPIP
Referee activity
International Economics, Pacific Economic Review
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References
Prof. Monica Billio
Dipartimento di Economia
Università Ca’ Foscari Venezia
San Giobbe 873
30121 Venezia, Italy
7 [email protected]
¹ (+39) 041 2349170
Prof. Russell Davidson
Department of Economics
McGill University
855 Sherbrooke Street West
Montreal, Canada
7 [email protected]
¹ (+1) 514-398-4835
Prof. Sébastien Laurent
IAE Aix-en-provence, GREQAM
Château Lafarge
Route des Milles
13290 Les Milles, France
7 [email protected]
¹ (+33) 442935960
Prof. Jean-Michel Zakoïan
CREST
Lab. Finance-Insurance
15 Boulevard Gabriel PÃľri
92245 Malakoff, France
7 [email protected]
¹ (+33) 141177725
Prof. Anne Péguin-Feissolle
Aix-Marseille Université, GREQAM
Château Lafarge
Route des Milles
13290 Les Milles, France
7 [email protected]
¹ (+33) 442935980
Prof. Emmanuel Flachaire
Aix-Marseille Université, GREQAM
Centre de la Vieille Charité
2 rue de la charité
13002 Marseille, France
7 [email protected]
¹ (+33) 491140261
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