Guillaume Chevillon

Guillaume CHEVILLON is Professor, Chair of the Department of Information Systems, Decision Sciences & Statistics at ESSEC Business School, and Academic CoDirector of the ESSEC Metalab for Data, Technology & Society. He has also been, since its creation in 2015, director of the ESSEC|CentraleSupélec Master in Data Sciences & Business Analytics, among the top ranked such programs in Europe.

His field of research is econometric theory with applications to forecasting and statistical learning in economics and finance. His interests range from dynamic spillovers in large scale networks to dependence in unstable environments and the reinforcement between agents’ behaviors and policies that aim to influence them. Applications include monetary policy, business cycles, financial bubbles, energy forecasting, social networks, global warming and pandemic dynamics.

Guillaume obtained an MPhil and a DPhil in Economics from the University of Oxford, and an MSc in Engineering from Ecole des Mines de Paris. He has been a visiting scholar or professor at, inter alia, Brown, Oxford, NYU, Keio, UNSW Sydney and the NY Federal Reserve. He regularly publishes or is interviewed in mainstream media.

RESEARCH INTERESTS

• Econometrics, Macroeconomics, Forecasting Analytics

Research

• BANERJEE, A., CHEVILLON, G. and KRATZ, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. Econometrics Journal, 23(2).
• CHEVILLON, G., MAVROEIDIS, S. and ZHAN, Z. (2019). Robust inference in structural VARs with long-run restrictions. Econometric Theory.
• CHEVILLON, G., HECQ, A. and LAURENT, G. (2018). Generating Univariate Fractional Integration within a Large VAR(1), Journal of Econometrics, 1(204), pp. 54-65.
• CHEVILLON, G. and MAVROEIDIS, S. (2018). Perpetual Learning and Apparent Long Memory. Journal of Economic Dynamics and Control, 90, pp. 343-365.
• CHEVILLON, G. and MAVROEIDIS, S. (2017). Learning can generate long memory. Journal of Econometrics, 198(1), pp. 1-9.
• CHEVILLON, G. (2017). Robust Cointegration Testing in the Presence of Weak Trends, with an Application to the Human Origin of Global Warming. Econometric Reviews, 36(5), pp. 514-545.
• CHEVILLON, G. (2016). Multistep Forecasting in the Presence of Location Shifts. International Journal of Forecasting, 32(1), pp. 121-137.
• CHEVILLON, G. (2014). Multi-step Forecast Error Corrections: A Comment on “Evaluating Predictive Densities of US Output Growth and Inflation in a Large Macroeconomic Data Set” by Barbara Rossi and Tatevik Sekhposyan. International Journal of Forecasting, 30(3), pp. 683-687.
• CHEVILLON, G., MASSMANN, M. and MAVROEIDIS, S. (2010). Inference in Models with Adaptive Learning. Journal of Monetary Economics, 57(3), pp. 341-351.
• CHEVILLON, G. (2009). Multi-Step Forecasting in Emerging Economies: An Investigation of the South African GDP. International Journal of Forecasting, 25(3), pp. 602-628.
• CHEVILLON, G. and RIFFLART, C. (2009). Physical Market Determinants of the Price of Crude Oil and the Market Premium. Energy Economics, 31(4), pp. 537-549.
• CHARLETY-LEPERS, P., CHEVILLON, G. and MESSAOUDI, M. (2009). Stratégies de vote en AG face aux résolutions externes. Revue Française de Gestion, 198(8-9), pp. 277-296.
• CHEVILLON, G. (2007). Direct Multi-step Eestimation and Forecasting. Journal of Economic Surveys, 21(4), pp. 746-785.
• CHEVILLON, G. (2005). Analyse Econométrique et Compréhension des Erreurs de Prévision. Revue de l’OFCE, 95, pp. 327-356.
• CHEVILLON, G. and HENDRY, D. (2005). Non-parametric Direct Multi-Step Estimation for Forecasting Economic Processes. International Journal of Forecasting, 21, pp. 201-218.
• CHEVILLON, G. and RIFFLART, C. (2004). Brouillard autour des puits de pétrole. Revue de l’OFCE, (253), pp. 1-4.
• CHEVILLON, G. and DAP (2004). Les tribulations de la parité euro/dollar, Revue de l’OFCE, (252), pp. 1-4.

Book chapters

• CHEVILLON, G. and TIMBEAU, X. (2006). Impact du taux de change sur le tourisme en France. In: Evolution Recente du commerce extérieur Français. 1st ed. Paris: La Documentation Française, pp. 99-108.
• CHEVILLON, G., HEYER, E. and LEMOINE, M. (2004). Perspectives de l'économie Française à l'horizon 2009. In: Rapport d'information du Sénat n° 70. 1st ed. Paris: pp. 138-203.
• CHAUVIN, V., CHEVILLON, G. and HEYER, E. (2003). Perspectives de l'économie Française à l'horizon 2008. In: Rapport d'information du Sénat n° 69. 1st ed. Paris: pp. 132-188.