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Research and Publications
SMJStatistical Modelling
Long Memory in Economics Long Memory in Economics.
Springer, 2007.
Dependence in Probability and Statistics Dependence in Probability and Statistics.
Springer, 2010.

Ultima - Last News

Research Interests

  • Time series,
  • Long-memory and multifractal processes, change-point detection,
  • Financial econometrics, volatility modeling,
  • Financial markets with interacting agents, financial bubbles,
  • Wavelet signal processing,
  • Computational statistics.

Publications

  1. P. Bertrand, G. Teyssière and A. Chamoux. Detection of Change-Points in the Spectral Density. With Applications to ECG Data.
    In Proceedings of the EGC 2009 Conference, Workshop "Fouille de données temporelles et analyse de flux de données" (2009) 3-10. PDF file.
  2. D. Surgailis, G. Teyssière and M. Vaičiulis. The Increment Ratio Statistic.
    Journal of Multivariate Analysis (2008) vol 99, 510-541. DOI. PDF file (Supplementary Material PDF).
  3. M. Lavielle and G. Teyssière. Detection of Multiple Change-Points in Multivariate Time Series.
    Lithuanian Mathematical Journal (2006) vol 46, 287-306. DOI. PDF file.
    M. Lavielle and G. Teyssière. Détection de Ruptures Multiples dans des Séries Temporelles Multivariées (French version of this paper).
    Lietuvos Matematikos Rinkinys (2006) vol 46, 351-376. PDF file.
  4. G. Teyssière and P. Abry. Wavelet Analysis of Nonlinear Long-Range Dependent Processes. Applications to Financial Time Series.
    In Long-Memory in Economics. G. Teyssière and A. Kirman editors, 173-238, Springer (2007). DOI. PDF file.
  5. P. Doukhan, G. Teyssière and P. Winant. A LARCH(infinity) Vector Valued Process.
    In Dependence in Probability and Statistics. Lecture Notes in Statistics. P. Bertail, P. Doukhan and Ph. Soulier editors, vol 187, 245-258, Springer (2006). DOI. PDF file.
  6. M. Lavielle and G. Teyssière. Adaptive Detection of Multiple Change-Points in Asset Price Volatility.
    In Long-Memory in Economics. G. Teyssière and A. Kirman editors, 129-156, Springer (2007). DOI. PDF file.
  7. D. Kateb, A. Seghier and G. Teyssière. Prediction, Orthogonal Polynomials and Toeplitz Matrices: A Fast and Reliable Approximation to the Durbin-Levinson Algorithm,
    In Long-Memory in Economics. G. Teyssière and A. Kirman editors, 239-261, Springer (2007). DOI
  8. A. Kirman and G. Teyssière. Testing for Bubbles and Change-Points.
    Journal of Economic Dynamics and Control (2005) vol 29, 765-799. DOI. PDF and PostScript files.
  9. L. Horváth, P. Kokoszka and G. Teyssière. Bootstrap Misspecification Tests for ARCH Based on the Empirical Process of Squared Residuals.
    Journal of Statistical Computation and Simulation (2004) vol 74, 469-485. DOI. PDF and PostScript files.
  10. P. Kokoszka, G. Teyssière and A. Zhang. Confidence Intervals for the Autocorrelations of the Squares of GARCH Sequences.
    In Computational Science - ICCS 2004. Lecture Notes in Computer Science. M. Bubak et al. editors, vol 3039, 827-834, Springer (2004). DOI. PDF file.
    Volume for the Workshop on Computational Methods in Finance and Insurance, Kraków, Poland, June 2004. Slides.
  11. L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière. On the Power of R/S-Type Tests under Contiguous and Semi Long-Memory Alternatives.
    Acta Applicandae Mathematicae (2003) vol 78, 285-299. DOI. PDF and PostScript files. (Special Issue for the 8th Vilnius Conference on Probability Theory and Mathematical Statistics), Vilnius, Lithuania.
  12. G. Teyssière. Interaction Models for Common Long-Range Dependence in Asset Price Volatilities.
    Invited chapter in Processes with Long Range Correlations: Theory and Applications. Lecture Notes in Physics. G. Rangarajan and M. Ding editors, vol 621, 251-269, Springer (2003). DOI. PDF and PostScript files.
    Invited lecture to the International Conference on Long-Range Dependent Stochastic Processes and their Applications, Bangalore, India, January 2002.
  13. L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière. Rescaled Variance and Related Tests for Long Memory in Volatility and Levels.
    Journal of Econometrics (2003) vol 112, 265-294. DOI. PDF file.
    See also L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière, Corrigendum to "Rescaled Variance and Related Tests for Long Memory in Volatility and Levels",
    Journal of Econometrics (2005) vol 126, 571-572. DOI. PDF file.
  14. A. Kirman and G. Teyssière. Bubbles and Long Range Dependence in Asset Prices Volatilities.
    In Equilibrium, Markets and Dynamics. C.H. Hommes, R. Ramer and C. Withagen editors, 307-327, Springer (2002).
  15. A. Kirman and G. Teyssière. Microeconomic Models for Long-Memory in the Volatility of Financial Time Series.
    Studies in Nonlinear Dynamics and Econometrics (2002) vol 5, 281-302. PDF and PostScript files.
  16. L. Horváth, P. Kokoszka and G. Teyssière. Empirical Process of the Squared Residuals of an ARCH Sequence.
    The Annals of Statistics (2001) vol 29, 445-469. DOI. PDF and PostScript files.
  17. L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière. Semiparametric Estimation of the Intensity of Long-Memory in Conditional Heteroskedasticity.
    Statistical Inference for Stochastic Processes (2000) vol 3, 113-128. (Special Issue on Limit Theorems and Long-Range Dependence). DOI. PDF and PostScript files.
  18. G. Teyssière. Multivariate Long-Memory ARCH Modelling for High Frequency Foreign Exchange Rates.
    In Proceedings of the Second High Frequency Data in Finance (HFDF-II) Conference, Olsen & Associates, Zurich, (1998). PDF and PostScript files.
  19. G. Teyssière. Matching Process in the Labour Market: An Econometric Study.
    Labour Economics (1995) vol 2, 421-435. DOI. PDF file.

Books

  • Statistical Methods for Fraud Detection and the Evaluation of the Economic Consequences of Corruption.
    J-P. Brun and G. Teyssière (Under preparation).
     
Dependence in Probability and Statistics, Lecture Notes in Statistics, Vol 200.
P. Doukhan, G. Lang, D. Surgailis and G. Teyssière editors, Springer (2010).
Table of contents and list of contributors. PDF file.
DOI.
ISBN: 978-3642141034
Long-Memory in Economics,
G. Teyssière and A. Kirman editors, Springer (2007).
Table of contents and list of effective contributors.
DOI, Mathematical Reviews (MathSciNet): MR2263582.
ISBN (Hardcover): 978-3540226949
ISBN (Paperback, since November 2009 at Amazon.com ): 978-3642061547

Preprints & Current Works

  • P. Abry, and G. Teyssière. Wavelet analysis of financial time series. Multifractality and changes in the scaling structure (2010). Slides.
  • G. Teyssière. Detecting changes in economic time series using wavelets (2009).
  • D. Surgailis and G. Teyssière. The Increment Ratio test for unit root under linear observations (2009). Slides.
  • G. Teyssière. Détection de ruptures multiples sur des séries chronologiques univariées et multivariées. Application à des données de prix de l'énergie (2008). (Research report for EDF).
  • G. Teyssière. Long-Range Dependence and Multiple Change-Points in Multivariate Time Series (2007). Slides.
    Invited presentation to the International Conference on Statistical Models for Financial Data II, organized by István Berkes and Lajos Horváth at the Institute of Statistics, Graz University of Technology, Graz, Austria, 23-26 May 2007.
  • L. Giraitis, P.M. Robinson and G. Teyssière. Testing for Change-Point in Cyclical and Persistent Long-Memory Processes (2005).
  • G. Teyssière. Bubbles, Non-Stationarity and Double Long Memory (2004).
    Invited presentation to the International Conference on Statistical Models for Financial Data, organized by István Berkes and Lajos Horváth at the Institute of Statistics, Graz University of Technology, Graz, Austria, May 2004.
  • P. Kokoszka and G. Teyssière. Change-Point Detection in GARCH Models: Asymptotic and Bootstrap Tests, PostScript file.
    Presented to the Invited Paper Meeting of the 54th Session of the International Statistical Institute, August 2003. Slides. Under revision.
  • G. Teyssière. Nonlinear and Semiparametric Long-Memory ARCH (2001).
    Part of the material of this paper appeared in L. Giraitis, P. Kokoszka, R. Leipus and G. Teyssière On the Power of R/S-Type Tests under Contiguous and Semi Long-Memory Alternatives, Acta Applicandae Mathematicae (2003), (Special Issue for the 8th Vilnius Conference on Probability Theory and Mathematical Statistics) vol 78, 285-299. DOI. The remainder of this paper has been inserted in others papers.
  • G. Teyssière. Modelling Exchange Rates Volatility with Multivariate Long-Memory ARCH Processes (1997). PDF and PostScript files (Old Version). Under revision/transformation.
  • G. Teyssière. Double Long-Memory Financial Time Series (1996), Preprint.
    In 1996, I pioneered the class of double long memory processes with the ARFIMA-FIGARCH; this was my first paper in time series analysis. My 1998 paper on multivariate (trivariate) ARFIMA-FIGARCH, published in the proceedings of the High Frequency Data in Finance-II conference organized by Olsen & Associates (see above in the list of publications) is available here in both PDF and PostScript formats.
    This class of models has been used by other authors. So far, the only serious development is the paper by Giraitis and Surgailis, ARCH-type bilinear models with double long memory, Stochastic Processes and their Applications (2002) vol 100, 275-300. DOI.

Co-Authors

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