← All authors Christophe Hurlin Institut Universitaire de France (from arXiv:2601.03983, 2026) · ORCID · OpenAlex
55 papers in scope · 54 published · 2 on the econ.EM arXiv · 7,547 citations · h-index 23 (over the papers listed here)
Papers (2 of 55)
A Bayesian approach to probability default model calibration: Theoretical and empirical insights on the Jeffreys test
published 2026 · European Journal of Operational Research · first circulated 2025
published 2026 · Management Science · 3 citations · first circulated 2022
working paper 2026 · arXiv
Intelligence artificielle et marché du crédit : opportunités et acceptabilité
published 2025 · Revue d économie financière
with Christophe Pérignon
The at-Risk approach: a new tool for stress tests and overlays
published 2025 · Annals of Operations Research · 1 citations · first circulated 2023
Time Series for QFFE: Special Issue of the Journal of Time Series Analysis
published 2025 · Journal of Time Series Analysis
The Fairness of Credit Scoring Models
published 2024 · Management Science · 31 citations · first circulated 2021
with Christophe Pérignon, Sébastien Saurin
Computational Reproducibility in Finance: Evidence from 1,000 Tests
published 2024 · Review of Financial Studies · 27 citations
with Christophe Pérignon, Olivier Akmansoy, Anna Dreber, Felix Holzmeister, Jürgen Huber, Magnus Johannesson, Michael Kirchler, Albert J. Menkveld, Michael Razen, Utz Weitzel
Machine learning for credit scoring: Improving logistic regression with non-linear decision-tree effects
published 2021 · European Journal of Operational Research · 401 citations
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
published 2020 · Management Science · 52 citations · first circulated 2019
Machine learning et nouvelles sources de données pour le scoring de crédit
published 2020 · Revue d économie financière · 8 citations · first circulated 2019
with Christophe Pérignon
The counterparty risk exposure of ETF investors
published 2019 · Journal of Banking & Finance · 23 citations · first circulated 2014
with Grégoire Iseli, Christophe Pérignon, CW Yeung
Pitfalls in systemic-risk scoring
published 2018 · Journal of Financial Intermediation · 1 citations
with Sylvain Benoît, Christophe Pérignon
Loss functions for Loss Given Default model comparison
published 2018 · European Journal of Operational Research · 38 citations
with Jérémy Leymarie, Antoine Patin
La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ?
published 2017 · Revue économique
with Régis Breton, Sébastien Galanti, Anne-Gaël Vaubourg
CoMargin
published 2017 · Journal of Financial and Quantitative Analysis · 28 citations
with Jorge A. Cruz Lopez, Jeffrey H. Harris, Christophe Pérignon
Where the Risks Lie: A Survey on Systemic Risk
published 2016 · European Finance Review · 51 citations · first circulated 2015
with Sylvain Benoît, Jean-Édouard Colliard, Christophe Pérignon
Do We Need High Frequency Data to Forecast Variances?
published 2016 · Annals of Economics and Statistics · 2 citations · first circulated 2014
Risk Measure Inference
published 2015 · Journal of Business and Economic Statistics · 15 citations · first circulated 2013
Forecasting High‐Frequency Risk Measures
published 2015 · Journal of Forecasting · 3 citations · first circulated 2013
with Denisa Banulescu-Radu, Gilbert Colletaz, Sessi Tokpavi
A DARE for VaR
published 2015 · Finance · 5 citations
with Benjamin Hamidi, Patrick Kouontchou, Bertrand Maillet
Implied Risk Exposures
published 2015 · European Finance Review · 1 citations · first circulated 2013
with Sylvain Benoît, Christophe Pérignon
Currency crisis early warning systems: Why they should be dynamic
published 2014 · International Journal of Forecasting · 67 citations
with Bertrand Candelon, Elena-Ivona Dumitrescu
The Risk Map: A new tool for validating risk models
published 2013 · Journal of Banking & Finance · 74 citations · first circulated 2012
with Gilbert Colletaz, Christophe Pérignon
Why don't banks lend to Egypt's private sector?
published 2013 · Economic Modelling · 28 citations · first circulated 2012
with Santiago Herrera, Chahir Zaki
Extreme Financial cycles
published 2013 · Revue d économie politique · first circulated 2012
with Bertrand Candelon, Guillaume Gaulier
Is public capital really productive? A methodological reappraisal
published 2013 · European Journal of Operational Research · 4 citations · first circulated 2012
with Alexandru Minea
Network Effects and Infrastructure Productivity in Developing Countries *
published 2012 · Oxford Bulletin of Economics and Statistics · 45 citations · first circulated 2006
with Bertrand Candelon, Gilbert Colletaz
Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests
published 2012 · Finance · 46 citations
with Elena-Ivona Dumitrescu, Vinson Pham, Elena Dumitrescu
Sampling error and double shrinkage estimation of minimum variance portfolios
published 2012 · Journal of Empirical Finance · 11 citations
with Bertrand Candelon, Sessi Tokpavi
Testing for Granger non-causality in heterogeneous panels
published 2012 · Economic Modelling · 5688 citations · first circulated 2007
with Elena-Ivona Dumitrescu, Elena Dumitrescu
How to Evaluate an Early-Warning System: Toward a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods
published 2012 · IMF Economic Review · 105 citations
with Bertrand Candelon, Elena-Ivona Dumitrescu, Elena Ivona Dumitrescu
Testing Interval Forecasts: A GMM‐Based Approach
published 2011 · Journal of Forecasting · 7 citations
with Elena-Ivona Dumitrescu, Jaouad Madkour, Elena Dumitrescu
Are Public Investment Efficient in Creating Capital Stocks in Developing Countries
published 2010 · Economics bulletin · 16 citations
with Florence Arestoff
no link
Backtesting Value-at-Risk: A GMM Duration-Based Test
published 2010 · Journal of Financial Econometrics · 106 citations · first circulated 2008
with Bertrand Candelon, Gilbert Colletaz, Sessi Tokpavi
Un MEDAF à plusieurs moments réalisés
published 2010 · Brussels economic review · 1 citations
with Patrick Kouontchou, Bertrand Maillet
no link
Une évaluation des procédures de Backtesting
published 2008 · Finance · 10 citations · first circulated 2007
with Sessi Tokpavi
What would Nelson and Plosser find had they used panel unit root tests?
published 2008 · Applied Economics · 55 citations · first circulated 2007
Energy demand models: a threshold panel specification of the ‘Kuznets curve’
published 2008 · Applied Economics Letters · 29 citations
with Julien Fouquau, Ghislaine Destais
The Feldstein-Horioka Puzzle: A Panel Smooth Transition Regression Approach
published 2007 · Economic Modelling · 298 citations
with Julien Fouquau, Isabelle Rabaud
Credit market disequilibrium in Poland: Can we find what we expect?
published 2007 · Economic Systems · 19 citations · first circulated 2003
with Rafaƚ Kierzenkowski
Backtesting value-at-risk accuracy: a simple new test
published 2007 · The Journal of Risk · 48 citations · first circulated 2006
with Sessi Tokpavi
Une synthèse des tests de cointégration sur données de panel
published 2007 · Économie & prévision · 33 citations
with Valérie Mignon
Un test de validité de la Value at Risk
published 2007 · Revue économique · 4 citations
with Sessi Tokpavi
Panel-Data Co-integration Tests: A Survey
published 2007 · Economie & prévision · 1 citations
with Valérie Mignon
no link
Kamps, C.:The Dynamic Macroeconomic Effects of Public Capital. Theory and Evidence for OECD Countries.
published 2005 · Journal of Economics · 1 citations
Downgrading in the first job: who and why?
published 2005 · Applied Economics Letters · 1 citations
with David Clément, Fabien Serres, Douglas Clement
Une synthèse des tests de racine unitaire sur données de panel
published 2005 · Économie & prévision · 98 citations
with Valérie Mignon
Un test simple de l'hypothèse de non-causalité dans un modèle de panel hétérogène
published 2005 · Revue économique · 52 citations
An Overview of Panel Unit-Root Tests
published 2005 · Economie & prévision · 1 citations
with Valérie Mignon
no link
Estimating the contribution of public capital with times series production functions: a case of unreliable inference
published 2001 · Applied Economics Letters · 3 citations
How to estimate the productivity of public capital
published 2001 · Economics Papers from University Paris Dauphine · 2 citations
no link
La contribution du capital public à la productivité des facteurs privés : une estimation sur panel sectoriel pour dix pays de l'OCDE
published 1999 · Économie & prévision · 3 citations
Taux d'actualisation public, distorsions fiscales et croissance endogène
published 1999 · Annals of Economics and Statistics · 1 citations · first circulated 1997
with Franck Portier
no link
Le partage de la valeur ajoutée dans le cycle
published 1996 · Économie & prévision
with Franck Portier
Assembled from arXiv and OpenAlex. Duplicate records for the same paper are merged, and the published version is shown where we could identify one. Corrections welcome.
Built from arXiv and OpenAlex. Supported by UKRI grant APP47921 (Martin Weidner, UCL · Francis J. DiTraglia, Oxford).