Welcome to my homepage

News: 

• Our paper with Sophocles Mavroeidis and Zhaoguo Zhan "Robust inference in structural VARs with long-run restrictions" was accepted for publication at Econometric Theory (open source on the Editor's website)
• My opinion contribution in Libération was also published in La Libre Belgique, "Et si on réinitialisait les réseaux sociaux en 2019 ?"
• I'm pleased to be serving on the program committees of the Workshop in Financial Econometrics (Nantes, 21-22 March 2019, call still open) and of the 27th Symposium of the SNDE at the Dallas Fed (March 28-29, 2019)

• 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).

********************

About me

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

I am the Academic Director (for ESSEC) of the ESSEC-CentraleSupélec Master 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 Master which has been very successful so far, with great students and professors involved. 

-> It is the first joint master between a business school and an engineering school that was accredited by the French Ministry of Higher Education at the master level.

-> ranked #4 worldwide in 2019 QS ranking of Masters in Business Analytics

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