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

2021

2021

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

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