Elena Ivona Dumitrescu - Nanterre - EconomiX

Joint research unit 7235

Elena Ivona Dumitrescu

Phone. professional : 4766

Office in Paris Nanterre: G604B

Research focus : Macroéconomie Internationale, Banque et Econométrie Financière

Themes: Prévision
econométrie pour la finance
validation des mesures de risque et risque systémique
early warning systems

Research Fields

• Theoretical Econometrics: Time-series, Financial econometrics, Forecasting

• Finance : Financial risk modelling

Contact

Address: EconomiX

Building G, Office 604 B

200 avenue de la République

92001 Nanterre cedex

Phone:

01 40 97 47 66

Email:

elena.dumitrescu[at]parisnanterre.fr

Personal webpage on Google Sites

Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects

2022

2022 – Vol.297 – pp.1178-1192

Sullivan Hué, Christophe Hurlin, Sessi Tokpavi, Elena Ivona Dumitrescu

European Journal of Operational Research

How Should Parameter Estimation Be Tailored to the Objective?

2020

2020 – Vol.230 – pp.535-558

Peter Hansen, Elena Ivona Dumitrescu

Journal of Econometrics

Which Are the SIFIs? A Component Expected Shortfall Approach to Systemic Risk

2015

2015 – Vol.50 – pp.575-588

Georgiana-Denisa Banulescu, Elena Ivona Dumitrescu

Journal of Banking and Finance

Commodity Prices and Exchange Rate: Lessons from South Africa’s Capital Account Liberalization

2014

2014 – Vol.19 – pp.96-105

Rabah Arezki, Andreas Freytag, Marc Quintyn, Elena Ivona Dumitrescu

Emerging Markets Review

Currency Crises Early Warning Systems: Why They Should Be Dynamic

2014

2014 – Vol.30 – pp.1016-1029

Bertrand Candelon, Christophe Hurlin, Elena Ivona Dumitrescu

International Journal of Forecasting

Testing Interval Forecasts: a GMM-Based Approach

2013

2013 – Vol.32 – pp.97-110

Christophe Hurlin, Jaouad Madkour, Elena Ivona Dumitrescu

Journal of Forecasting

Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation

2013

2013 – Vol.32 – pp.395-427

Bertrand Candelon, Christophe Hurlin, Franz Palm, Elena Ivona Dumitrescu

Advances in Econometrics

Testing for Granger Non-causality in Heterogeneous Panels

2012

2012 – Vol.29 – pp.1450-1460

Christophe Hurlin, Elena Ivona Dumitrescu

Economic Modelling

How to Evaluate an Early Warning System? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods

2012

2012 – Vol.60 – pp.75-113

Bertrand Candelon, Christophe Hurlin, Elena Ivona Dumitrescu

International Monetary Fund Staff Papers

Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests

2012

2012 – Vol.33 – pp.79-112

Christophe Hurlin, Vinson Pham, Elena Ivona Dumitrescu

Finance

Do High-frequency-based Measures Improve Conditional Covariance Forecasts?

2019

2019

Georgiana-Denisa Banulescu, Elena Ivona Dumitrescu

Financial Mathematics, Volatility and Covariance Modelling

Routledge

Julien, Chevallier; Stéphane, Goutte; David, Guerreiro; Sophie, Saglio; Bilel, Sanhaji