News: 

• Generating Univariate Fractional Integration within a Large VAR(1) with Alain Hecq (Maastricht) and Sébastien Laurent (Aix-Marseille) will be published in May 2018.
• Learning can generate long memory with Sophocles Mavroeidis (Oxford) was published in May 2017. We have a companion paper: Perpetual Learning and Apparent Long Memory (Journal of Economic Dynamics & Control, 2018).

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Welcome to my homepage

I am an Econometrician who works on Economics and Forecasting. I am Professor at ESSEC Business School, in the greater Paris area and also a member of the Macroeconomics Center at CREST. 

I am the Academic Director (for ESSEC) of the ESSEC-CentraleSupelec MSc in Data Sciences & Business Analytics. Together with Nikos Paragios from CentraleSupelec, we've been running this program since we welcomed the first cohort in 2015. I'm very proud of this MSc  which has been very successful so far, with great students and professors involved. 

On the research side, as Economics cannot be a proper experimental science (contrary to Physics and Natural Sciences, economists cannot and will not conduct large scale experiments on economies), if we have any hope for it ever to become a proper "science" rather than a set of opinions, we need to be able to refute and reject wrong theories. 

This is the purpose of econometricians:  we develop tools to judge economic theories by their empirical relevance. The lack of experimentation implies that we have to resort to historical data and see what laws and principles are permanent and hidden. This is in fact a form of data sciences developed specifically with social sciences in mind. 

In this context my interests have also been recently about the interplay between Data Sciences and Social Sciences since both are ultimately about understanding human behavior and how we can have a progressive modeling strategy, i.e. truly moving towards science.  

More specifically my research interests lie in time series econometrics and forecasting, with a special interest in Macroeconomics (esp. Dynamics of deviations from Rational Expectations) and Finance (Forecasting of Asset Prices). I also have other work on risk premia in oil prices and the human origin of global warming. 

I hold a degree of Ingénieur des Mines de Paris, an M.Phil. & a D.Phil. in Economics from the University of Oxford and have been a visiting researcher at Oxford, NYU, Brown and the NY Fed. I have also worked for a few years as an applied forecaster at OFCE (SciencesPo), in Paris. I have taught in the past at Oxford, SciencesPo, Dauphine, ENA, HEC and Orléans. 

At ESSEC, I belong the the group of Statisticians & Econometricians. 

contacts: chevillon@essec.edu

twitter: @gchevil