Assistant Professor in Economics, EconomiX - Université Paris Ouest Nanterre la Défense.

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1 Gilles de Truchis PhD from Aix-Marseille School of Economics Université Paris Ouest Nanterre la Défense Bat. G, 200 avenue de la République Nanterre cedex Current Position Center Fields Assistant Professor in Economics, EconomiX - Université Paris Ouest Nanterre la Défense. Financial Econometrics - Energy Finance - Macro-Finance - Volatility dynamics. Education PhD in Economics, - AMSE - GREQAM, with highest honors. Award Aix-Marseille University Phd Thesis Prize. Thesis Fractional Cointegration Analysis of Comovements in International Financial Markets. Jury Luis A. Gil-Alana - Roselyne Joyeux - Sébastien Laurent - Valérie Mignon. Advisors Marcel Aloy and Gilles Dufrénot Master, in Economics and International Finance (Research) Licence, in Economics and Management. Teaching Lectures, Université de Paris Ouest Nanterre la Défense. Spatial Econometrics - Master in Economics Lectures, Université de Paris Ouest Nanterre la Défense. Introduction to Finance - Master in Economics Tutorials, Université de Paris Ouest Nanterre la Défense. Econometrics - Master in Economics Lectures & Tutorials, Université de Paris Ouest Nanterre la Défense. Open Lectures, Université de Cergy-Pontoise Lectures & Tutorials, Université de Cergy-Pontoise. Macroeconomics - DU and CMI Tutorials, Aix Marseille Université Tutorials, Aix Marseille Université Tutorials, Aix Marseille Université. Econometrics - Master in Economics

2 Published Published Papers Approximate whittle analysis of fractional cointegration and the stock market synchronization issue, Abstract : I consider a bivariate stationary fractional cointegration system and I propose a quasimaximum likelihood estimator based on the Whittle analysis of the joint spectral density of the regressor and errors. This allows to estimate jointly all parameters of interest of the model. I lead a Monte Carlo experiment to investigate the finite sample properties of this estimator when integration orders are less than 1/2. However, it is not so easy for practitioners to identify whether or not the observed time series are stationary. This issue is investigated by extending the numerical analysis to mean-reverting non-stationary region of the parameter space, although the proposed estimator is not theoretically designed to handle this case. The results display good finite sample properties in both cases, stationary and non-stationary. Thereby, it reveals that making a wrong decision on the stationarity of raw series does not lead to an erroneous conclusion. An application to the stock market synchronization is proposed to illustrate the empirical relevance of this estimator. Economic Modelling, 34, (2013) South East Asian monetary integration : new evidences from fractional cointegration of RER, with B. Keddad, Abstract : This paper examines generalized purchasing power parity theory (G-PPP) among the ASEAN-5 countries. Implementing both the rank analysis and the regression-based analysis of the cointegrating system s, we identify several weak fractional cointegration relationships. Accordingly, cointegrating errors of real exchange rates (RERs) are highly persistent but mean-reverting. Our findings contrast with all previous studies that restrict their investigations to the traditional I(1)/I(0) cointegration. Since RERs are tied through a long memory process, empirical models of G-PPP theory that ignore such a feature should be misspecified. Finally, our results support further monetary integration among different sub-groups of the ASEAN-5 countries as they share long-run comovements. Journal of International Financial Markets, Institutions & Money, 26, (2013) Accepted Book chapter On the risk dependence between crude oil market and U.S. dollar exchange rates, with B. Keddad, Abstract : This article examines the dependences between crude oil prices and US dollar exchange rate using fractional cointegration techniques. More precisely, we aim to provide a comprehensive assessment of comovements among prices but also volatilities over the last decade. We show that oil price and exchange rate do not share commonalities over the long-run. However, the dynamics underlying the volatility processes on these two markets are tied together through a common equilibrium, suggesting that fluctuations in US dollar exchange rate and crude oil prices are linked in the long-run. Forthcoming in Economic Modelling (http ://dx.doi.org/ /j.econmod ) Shift-volatility transmission in East Asian equity markets : new indicators, with M. Aloy, G. Dufrénot and B. Keddad, Abstract : This paper attempts to provide evidence of "shift-volatility" transmission in the East Asian equity markets. By shift-volatility, we mean the volatility shifts from a low level to a high level, corresponding respectively to tranquil and crisis periods. Our main issue is whether shift-volatility needs to be considered as a regional phenomenon, or from a more global perspective. We find that the timing/spans of high volatility regimes correspond adequately to years historically documented as those of crises (the Asian crisis and the years following the 2008 crisis). Moreover, we suggest different indicators that could be useful to guide the investors in their arbitrage behavior in the different regimes Finally, we are able to identify which market can be considered as leading markets in terms of volatility. In Market Microstructure and Nonlinear Dynamics, Dufrénot, Gilles, Jawadi, Fredj, Louhichi, Waël (Eds.), Springer, 2014

3 Working papers Ongoing papers Works in Progress Optimal estimation strategies for bivariate fractional cointegration systems and the copersistence analysis of stock market realized volatilities, with M. Aloy, Abstract : Estimation methods of bivariate fractional cointegration models are numerous and have in most cases non-equivalent asymptotic and finite sample properties, implying difficulties in determining an optimal estimation strategy. This paper addresses this issue by means of simulations and provides useful guidance to practitioners. Our Monte Carlo study reveals the superiority of techniques that estimate jointly all parameters of interest, over those operating in two steps. We propose an application to the co-persistence analysis of pairwise stock market volatility. Revised and resubmitted, AMSE Working papers Long-run comovements in East Asian stock market volatility, with B. Keddad, Abstract : Two integrated financial markets are generally subjected to common shocks revealing that commonalities in fundamentals drive the underlying return processes. In such a case, volatilities should share a long-run component although their transitory components might temporary diverge. Accordingly, we investigate stock market integration in East Asia by analyzing the co-persistent nature of their integrated volatility. Using recent fractional cointegration techniques, we find that volatility of several markets converge in long-run to a common equilibrium. Our results reveal that a global integration process drives the most developed markets of the region, while no evidence of co-persistence appears between emerging markets. Submitted, AMSE Working papers Unbalanced Fractional Cointegration and the Information Flowing on Commodity Markets, with F. Dubois, Abstract : The no-arbitrage condition between spot and future prices implies an analogous condition on their underlying volatilities and hence, an information flowing between both markets. However, the long memory behavior of the volatility series requires a fractional cointegration analysis. Unfortunately, the persistent nature of the volatility can vary with the future maturity, thereby leading to unbalanced integration orders between spot and future volatilities. Nonetheless, if a balanced long-run relationship can be recovered by an appropriate filtering of one of the time series, the cointegration theory applies all the same and unbalanced cointegration operates between the raw series. In this paper, we introduce a new estimator of unbalanced fractional cointegration systems that allows to analyze the information flowing between the crude oil spot and CME-NYMEX futures volatilities. Long memory and power law coherency between realized volatility and trading volume, Abstract : The nature of the relationship between trading volume and volatility series has been highly debated but overall, the literature provides mixed results. In this paper, we investigate this issue for several European stock market indices in light of a recent and promising concept named anti-cointegration. Our anti-cointegration analysis notably shows that the most persistent component of both series is idiosyncratic and dwarfs a less persistent common factor that is undetectable by means of fractional cointegration or short run techniques. We also study the phase angle of the cross-spectrum and find clear evidence that the trading volume leads the volatility, thereby supporting the sequential arrival of information hypothesis rather than the mixture of distributions hypothesis.

4 On the efficiency of the CME-NYMEX oil option market : Evidence from a cofractional analysis, with B. Sévi, Abstract : During the last decade, oil markets have faced increasing speculation activities. In this paper we investigate whether this intensive trading development has impacted the efficiency of these markets. More precisely, we analyze the relationship between the realized and implied volatility series on the CME-NYMEX oil option market. In line with the recent literature, we account for the persistent nature of the volatility and perform a fractional cointegration analysis. But conversely to previous studies we use a parametric approach by estimating a cofractional model. Our results provide strong evidence of market efficiency and conclude in favor a bidirectional causality which is interesting with respect to the price discovery mechanism. European stock markets integration and the financial crisis, with B. Sévi, Abstract : Examining stock market integration through the analysis of price convergence is not reliable as the methodology is exposed to structural changes in one country. Conversely, considering volatility as a relevant proxy for the information flow, studying the dependence between volatilities in several countries may yield robust results as to whether markets are integrated. An important feature of volatility in financial markets, however, is that it exhibits long memory property that is not easy to handle in a multivariate setting. In this paper, we investigate the relationship between the realized volatility of 7 European stock indices over the period. Fractional cointegration then emerges as an important features for many pairs of indices thereby indicating the existence of a long-run relationship between volatilities in these markets. Over the second part of our sample ( ), which covers the financial crisis, we find that many relationships have weakened thus providing evidence of a de-integration of European financial markets in recent years. On exchange rates comovements : New evidence from a Taylor rule fundamentals model with adaptive learning, with C. Dell Eva and B. Keddad, Abstract : This paper proposes a general theoretical framework to assess under which conditions long run comovements are likely to appear between exchange rates. We introduce a three-country extension of the Taylor rule fundamentals model with adaptive learning. Moreover, economies are affected by common and/or country specific shocks and react according to the preferences of central banks. Simulation results suggest that the extent to which exchange rate comove in the long run strongly depends on the degree of linkages between economies and purchasing power parity level of exchange rates. Indeed without coordinated or similar Taylor rules in two countries economically linked, exchange rates comovements disappear. We pursue our theoretical analysis in real data and find strong evidence of fractional cointegration between several European exchange rates. How the European debt crisis has impacted the renewable energy sector?, with K. Constant, M. Davin and B. Keddad, Abstract : Since the 2008 crisis and during the recent European crisis, the clean energy sector has sharply slumped. In this paper, we explore several indicators of the macro-financial environment that may explain this downward trend, empirically and theoretically. Conversely to previous empirical studies that only focus on fossil energy and technology sectors, we also account for the private investment environment and the austerity pressures in European countries. We notably find that the poor performance of the private equity, the fall in the crude oil prices and more interestingly, the rise in the sovereign credit risk have contributed to explain the decline of the European renewable energy companies during the recent period. Conferences th INFINITI Conference on International Finance. University of Ljubljana - Trinity College Dublin

5 2015 2nd International Workshop in Financial Markets and Nonlinear Dynamics. Université d Evry - ESSCA rd International Symposium on Energy and Finance Issues. IPAG Business School 2015 Association for the Development of Research in Economics and Statistics (ADRES). Université Panthéon Sorbonne 2014 Paris Financial Management Conference. IPAG Business School 2014 Lunch Seminar du THEMA. Université de Cergy-Pontoise ème Journée d Econométrie, EconomiX th INFINITI Conference on International Finance. University of Monash - Trinity College Dublin rd International Symposium in Computational Economics. Université d Evry - INSEEC 2014 AMSE PhD Workshop, Aix Marseille School of Economics ème Journée d Econométrie, EconomiX International Workshop on Market Microstructure and Nonlinear Dynamics. Université d Evry 2013 AMSE PhD Workshop, Aix Marseille School of Economics ème Journée d Econométrie, EconomiX. Referral Activities T&F Elsevier Springer Other Applied Economics. Economic Modelling. International Economics. Research in International Business and Finance. Empirical Economics. Macroeconomic Dynamics. Economic Bulletin. Fellowships and Previous Positions ATER, Université de Cergy-Pontoise ATER, Doctoral Grant, French Ministry of Research via ED 372. Computer Proficiency Econ. soft. Office soft. Data soft. MATLAB, OxMetrics, RATS, Mathematica, STATA, SAS. Latex, Beamer, Word, Excel. Thomson Reuters Eikon.