Research and Publications

- The August 2017 issue of
*Statistical Modelling*, an Academic journal for which I'm acting as Associate Editor, is on line. This issue contains a survey paper on statistical contribution to bioinformatics.

Impact factor: 1.074, Ranked 57 out of 124 in Statistics & Probability.

5-Year impact factor: 1.444, Ranked 52 out of 124 in Statistics & Probability (Source: 2016 Journal Citation Reports)

Potential authors are encouraged to read the*aims and scope*of this journal and submit their manuscript. - Mon cours de 3
^{ème}année à*l'IMT Atlantique-Télécom Bretagne*sur les processus non stationnaires est en cours de refonte pour 2017-2018 à la suite d'une série d'articles à analyser pour les Mathematical Reviews : articles MR3210268 à MR3210277, et MR3551912 pour la section sur les modèles à changement de régime, article MR3375197 pour la section sur les estimateurs spot, article MR3311862 sur la multifractalité, et le livre MR3441999 qui traite entre autres de la prévision directement à partir des données sans référence à un modèle spécifique et de la statistique computationelle est d'un grand intérêt pour le traitement statistique des grands échantillons de données (les « big data »). Le livre tiré du cours prend enfin forme.

Les sujets de mémoire de 3^{ème}année sur la prédiction "model free", le machine learning et le deep-learning sont disponibles depuis le 9 octobre.

Liste des leçons pour 2016-2017:- Leçon 1 : Modèles de volatilité.
Modèle GARCH : définition, propriétés, structure de dépendance, estimation par QML et prévision.
*Transparents* - Leçon 2 : Modèle GARCH exponentiel. Inférence des modèles univariés. Modèles multivariés.
*Transparents* - Leçon 3 : Modèles de volatilité fortement dépendants. Modèles à changement de régime.
*Transparents* - Leçon 4 : Estimation de la volatilité de processus observés à très haute fréquence.
Analyse par ondelettes de la volatilité. Multifractalité.
*Transparents*

I'm currently updating my 3^{rd}year lectures at*IMT Atlantique-Télécom Bretagne*on nonstationary processes for the academic year 2017-2018. The sections on change-point, spot volatility estimators, multifractality are modified, and a section on computational statistics and “big data” is added after reviewing a set of papers and a book on these issues for Mathematical Reviews: MR3210268 to MR3210277, MR3375197, MR3311862, MR3442999 and MR3551912. The writing of the book supporting these lectures is in progress.

List of lectures for 2016-2017:- Lecture 1: Volatility models.
GARCH model: definition, properties, dependence structure, QML estimation, model-based and model-free prediction.
*Slides* - Lecture 2: Exponential GARCH model. Inference of univariate models. Multivariate models.
*Slides* - Lecture 3: Long-range dependent volatility models. Change-point models.
*Slides* - Lecture 4: Volatility estimation of high frequency time series.
Wavelet analysis of volatility processes. Multifractality.
*Slides*

- Leçon 1 : Modèles de volatilité.
Modèle GARCH : définition, propriétés, structure de dépendance, estimation par QML et prévision.

- Time series,
- Long-memory and multifractal processes, change-point detection,
- Statistical analysis of financial data, volatility modeling, anti money laundering analysis,
- Financial markets with interacting agents, financial bubbles,
- Wavelet signal processing of scaling processes,
- Computational statistics, machine learning and big data analysis.

- D. Surgailis, G. Teyssière and M. Vaičiulis.
*The increment ratio statistic*.

*Journal of Multivariate Analysis*(2008) vol 99, 510-541.*DOI*.*MR2396977*.*Pdf*file (Supplementary Material*Pdf*). - 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*et al.*editors, 173-238, Springer (2007).*DOI*.*MR2265060*.*Pdf*file. - M. Lavielle and G. Teyssière.
*Adaptive detection of multiple change-points in asset price volatility*.

In*Long-Memory in Economics*. G. Teyssière*et al.*editors, 129-156, Springer (2007).*DOI*.*MR2265058*.*Pdf*file. - 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*et al.*editors, 239-261, Springer (2007).*DOI*.*MR2265061*.*Pdf*file. - M. Lavielle and G. Teyssière.
*Detection of multiple change-points in multivariate time series*.

*Lithuanian Mathematical Journal*(2006) vol 46, 287-306.*DOI*.*MR2285348*.*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. - P. Doukhan, G. Teyssière and P. Winant.
*A LARCH$(\infty)$ 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*.*MR2283258*.*Pdf*file. - A. Kirman and G. Teyssière.
*Testing for bubbles and change-points*.

*Journal of Economic Dynamics and Control*(2005) vol 29, 765-799.*DOI*.*MR2129522*.*Pdf*and*PostScript*files. - 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*.*MR2073226*.*Pdf*and*PostScript*files. - 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*.*MR2233424*.*Pdf*file. Volume for the*Workshop on Computational Methods in Finance and Insurance*,*Kraków*, Poland, June 2004.*Slides*. - 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*.*MR2024032*.*Pdf*and*PostScript*files.*(Special Issue for the 8*,^{th}Vilnius Conference on Probability Theory and Mathematical Statistics)*Vilnius*, Lithuania. - 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. - 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*.*MR1951145*.*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*.*MR2155635*.*Pdf*file. - 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). - A. Kirman and G. Teyssière.
*Microeconomic models for long-memory in the volatility of financial time series*.

*SNDE*(2002) vol 5, 281-302.*DOI*. - 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*.*MR1863965*.*Pdf*and*PostScript*files. - 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*.*MR1819290*.*Pdf*and*PostScript*files. - 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.

*Statistical Methods for the Detection of Money Laundering.*

J-P. Brun and G. Teyssière (Under preparation).

*Long-Memory in Economics*

G. Teyssière and A. Kirman editors, Springer (2007).

*DOI*,
*MR2263582*

ISBN (Hardcover): 978-3540226949

ISBN (Paperback): 978-3642061547

ISBN (eBook): 978-3540346258

*Dependence in Probability and Statistics*,
*Lecture Notes in Statistics*, Vol 200.

G. Lang, D. Surgailis and G. Teyssière editors, Springer (2010).

*DOI*, *MR2741808*

ISBN (Paperback): 978-3642141034

ISBN (eBook): 978-3642141041

- G. Teyssière and P. Abry.
*Wavelet multifractal analysis of high-frequency financial data*(2010),*10*^{th}Vilnius Conference on Probability Theory and Mathematical Statistics - D. Surgailis and G. Teyssière.
*The increment ratio test for unit root under linear observations*(2009). - P. Bertrand, G. Teyssière and A. Chamoux.
*Detection of change-Points in the spectral density. With applications to ECG data*. (Occasional paper).

In*Proceedings of the EGC 2009 Conference, Workshop "Fouille de données temporelles et analyse de flux de données"*(2009) 3-10.*Pdf*file. - G. Teyssière.
*Détection de ruptures multiples sur des séries chronologiques univariées et multivariées. Application à des données de prix de l'énergie*(2008). (Rapport de recherche pour 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*54*, August 2003.^{th}Session of the International Statistical Institute*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 8*vol 78, 285-299.^{th}Vilnius Conference on Probability Theory and Mathematical Statistics)*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*

Presented in the*1997 Econometric Society European Meeting*, the*1997 Society for Economic Dynamics conference*Oxford, the*28*,^{th}Workshop of the Euro Working Group on Financial Modelling*Vilnius*, May 2001,*Slides*.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.