Ma recherche

Domaines de Recherche

Mes travaux de recherche se focalisent principalement sur l’économétrie théorique dans le cadre des séries temporelles. Dans sa dimension appliquée, ma recherche s’axe sur les marchés financiers, la macroéconomie et le climat.

Publications

8 articles publiés dans des revues internationales à comité de lecture et 1 chapitre d’ouvrage.

G. de Truchis, B. Desgraupes and E. Dumitrescu. “Assessing Volatility Persistence in Fractional Heston Models with
Self-exciting Jumps”. In: Econometric Reviews (forthcoming, 2025), (CNRS 2, HCERES A)
K. Constant et al. “The European renewable energy sector in calm and turmoil periods: The key role of
sovereign risk”. In: The Energy Journal, 45(5), 65-89, (CNRS 1, HCERES A).
G. de Truchis, C. Dell’Eva, and B. Keddad. “On exchange rate comovements: New evidence from a Taylor rule
fundamentals model with adaptive learning”. In: Journal of International Financial Markets, Institutions and Money 48
(2017), 82–98 (CNRS 3, HCERES B).
M. Aloy and G. de Truchis. “Optimal estimation strategies for bivariate fractional cointegration systems and the
co-persistence analysis of stock market realized volatilities”. In: Computational Economics 48.1 (2016), 83–104
(CNRS 3, HCERES B).
G. de Truchis and B. Keddad. “Long-run comovements in East Asian stock market volatility”. In: Open Economies
Review 27.5 (2016), 969–986 (CNRS 3, HCERES B).
G. de Truchis and B. Keddad. “On the risk comovements between the crude oil market and US dollar exchange
rates”. In: Economic Modelling 52 (2016), 206–215 (CNRS 2, HCERES A).
G. de Truchis. “Approximate Whittle analysis of fractional cointegration and the stock market synchronization
issue”. In: Economic Modelling 34 (2013), 98–105 (CNRS 2, HCERES A).
G. de Truchis and B. Keddad. “Southeast Asian monetary integration: New evidences from fractional cointegration
of real exchange rates”. In: Journal of International Financial Markets, Institutions and Money 26 (2013), 394–412
(CNRS 3, HCERES B).
M. Aloy et al. “Shift-volatility transmission in east asian equity markets: New indicators”. In: Market microstructure
and nonlinear dynamics. Springer, 2014, pp. 273–291.

Documents de travail

G. de Truchis, S. Fries, and A. Thomas. “Forecasting extreme trajectories using semi-norm representations”. 2024.
G. de Truchis et al. “Speculative Bubbles and optimal portfolio allocation”. 2024.
G. de Truchis, E. Dumitrescu, and S. Tokpavi. “Testing for extreme volatility transmission with realized volatility
measures”. 2021.
G. de Truchis and B. Sévi. “Jumps and the normality of oil futures returns”. 2021.
G. de Truchis, F. Dubois, and E. Dumitrescu. “Local Whittle analysis of stationary unbalanced fractional
cointegration Systems”. 2020.
G. de Truchis and E. Dumitrescu. “Narrow-band weighted nonlinear least squares estimation of unbalanced
cointegration Systems”. 2020.

Projets en cours

D. Banulescu-Radu, G. de Truchis, and Dumitrescu E. Semiparametric p-components models for volatility and trading
volume. 2021.
G. de Truchis and E. Dumitrescu. Unbalanced predictive regressions. Ongoing paper. 2020.
G. de Truchis and B. Sévi. On the efficiency of the CME-NYMEX oil option market: Evidence from a cofractional analysis.
Preliminary version. 2020.

Mes principaux co-auteurs

Mes collaborations sont diverses puisque je travaille avec des économistes, des économètres et des mathématiciens.