Professor, ESSEC Business School, Paris
Research: Econometrics, Forecasting, Economics, Business Data Science
Chair, Department of Information Systems, Decision Sciences & Statistics
ESSEC Metalab for Data, Technology & Society
ESSEC | CentraleSupélec Master in Data Sciences & Business Analytics
Welcome to my homepage
The website of the ESSEC Metalab for Data, Technology & Society is now live, and we will keep adjusting over its first few weeks
I will be in Singapore this month, visiting the ESSEC campus.
The 33rd EC^2 has taken place at ESSEC, and we had two great days of conference. It was nice to organize it in person this time!
I am grateful to members of the Society for Nonlinear Dynamics & Econometrics for reelecting me for a second mandate in the Society's Executive Committee.
I have now stepped down as Chair of the Department of Information Systems, Decision Sciences & Statistics at ESSEC, following two intense years where we've recruited a large number of great new colleagues!
I'm giving a seminar at the Economics Department, Lund University, it's always a pleasure to come here.
Le Monde (12/11/2022) published another of my articles, « Le nouvel ambassadeur aux droits LGBT+ peut jouer un rôle crucial dans la réflexion sur les haines en ligne » this time about how the new French ambassador for LGBT+ rights could be influential at the European level working on digital rights and anti-discrimination policies (Summary in English here).
The first Aarhus Econometrics Workshop on October 19-21. was fun. I presented "We modeled long memory with one lag!" with Luc Bauwens and Sébastien Laurent.
We're creating a Bachelor of Science in AI, Data & Management Sciences with CentraleSupelec (School of Engineering, Paris-Saclay University).
We have 180 students this year in the ESSEC|CentraleSupélec Master in Data Sciences & Business Analytics – 31 nationalities having studied in 32 countries before joining.
My round of conferences this summer:
QFFE, Aix-Marseille School of Economics where I present "We modeled long memory with one lag!" with Luc Bauwens and Sébastien Laurent.
IAAE, King's College, London: my talk is on "What Does it Take to Control Global Temperatures? Prospective and Counterfactual Carbon Abatement Policies in a Cointegrated Vector Autoregressive Model", with Takamitsu Kurita (Kyoto Sangyo University)
SOFIE, Churchill College, Cambdridge (UK): I presented my paper on "The Bias-Variance Trade-off in (Un)Conditional Multistep Forecasting, Predictive Regressions and Local Projections"
ISF, Oxford, UK. "What Does it Take to Control Global Temperatures? Prospective and Counterfactual Carbon Abatement Policies in a Cointegrated Vector Autoregressive Model", with Takamitsu Kurita (Kyoto Sangyo University)
My new article in Le Monde (26/04/22): L'algorithme est in influenceur comme les autres about the new European Data Services Act.
I was very pleased to be invited to participate in the conference LA RÉGULATION DES ALGORITHMES EN MATIÈRE BANCAIRE ET FINANCIÈRE organized jointly by the Economics and Law departments at Université d'Orléans, please find my slides here.
A new working paper: We modeled long memory with just one lag! (pdf), with Luc Bauwens and Sébastien Laurent
As part of its new RISE strategy, ESSEC is launching the Metalab for Data, Technology & Society.
Very pleased to share my article on the Wonk website of the OECD: The power of persuading: Can and should we regulate AI algorithms? with a short introductory video here.
As part of the Creation of the Metalab for Data, Technology & Society, we've produced a special issue of the ESSEC Knowledge Review on Artificial Intelligence and the Technological Transformation. French version to come soon.
I was very happy to serve as Chair of the Department of Information Systems, Decision Sciences & Statistics at ESSEC Business School.
I am pleased to join ONE AI, the OECD Network of Experts on AI and to contribute to their work.
In March/April 2020 I was visiting the Department of Economics at Keio University and then at the University of Fukuoka.
In January/March 2020, I wasvisiting the Department of Economics at the Business School of the University of New South Wales, Sydney and gave the following seminars at
Feb 5, Economics Department, UNSW Business School
Feb 14, Business Analytics, Sydney University Business School
Feb 26, Macquarie University
March 4, Economics Department, Sydney University
Our paper with Anurag Banerjee and Marie Kratz "Probabilistic Forecasting of Bubbles and Flash Crashes" was published online of the website of The Econometrics Journal. https://doi.org/10.1093/ectj/utaa004
Our paper with Sophocles Mavroeidis and Zhaoguo Zhan, "Robust inference in structural VARs with long-run restrictions" is now published in Econometric Theory, 36(1), pp. 86-121, 2020 (open source access).
Pleased to be invited to the Joint Research Centre of the European Commission in the program on Big Data & Forecasting of Economic Developments run by Sebastiano Manzan.
I have a new article published in Le Monde « Il semble illusoire de contrôler a priori les outils d’intelligence artificielle car leurs conséquences sont quasi imprévisibles » where I discuss the issues surrounding scientific evaluations of the long run effects of social network algorithms and whether/how recent proposals of Public Agencies for Algorithmic Security might be feasible.
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)
I was interviewed by Le Monde about the recent good news on the Master in Data Sciences & Business Analytics, and more generally about the interplay between Engineering & Management, see the interview here.
April 2018: I have two papers about different origins of long memory that are just making it to the Journal of Econometrics.
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).
March 2018: I'm honored to have been elected to the Executive Committee of the Society for Nonlinear Dynamics and Econometrics. The 26th annual symposium organized by Ippei Fujiwara & Yasuo Hirose at Keio University was a great success.
France Info: I no longer participate in Emmanuel Davidenkoff's series "Un jour, une question" but the topics I've covered can be found here.