CHEVILLON Guillaume
Contact
- email : chevillon@essec.edu
- tél : +33 (0)1 34 43 36 44
Biography
Current
Since 2020
Chair, Department of Information Systems, Decision Sciences & Statistics
Academic CoDirector, ESSEC METALAB for Data, Technology & Society
Since 2015
Professor (Full), ESSEC Business School
Academic CoDirector (for ESSEC) of the ESSEC|CentraleSupélec Master in Data Sciences & Business Analytics
Previous
2020 Visiting Professor, Keio University, Tokyo & UNSW, Sydney
From 2007- Member, Macroeconomics Department, CREST-INSEE
2012-13 Visiting Scholar, Economics Department, New York University
2012 - Visiting Scholar, Macro & Money Group, Federal Reserve Bank of New York
2011 - Visiting Professor, Economics Department, Université d'Oxford
2009-15 Associate Professor, ESSEC Business School
2006-9 Assistant Professor, ESSEC Business School
1999-2006 Adjunct Lecturer at IEP Paris (French Institute of Political Studies, aka Sciences-Po U), HEC, ENA, University Paris-Dauphine, University of Oxford; teaching Econometrics, Time Series Analysis, Forecasting Theory, Macroeconomics, Statistics.
2003-6 Research Fellow at OFCE, Department of Applied Economics of Sciences-Po University.
Diplomas
- 2004 : D.Phil. in Economics (University of Oxford, United Kingdom)
- 2000 : M.Phil. in Economics (Brasenose College, University of Oxford, United Kingdom)
- 1998 : M.Sc. in Executive Engineering (Diplôme d’Ingénieur) (Mines ParisTech, France)
Career
- 2015 - Present : Professor (ESSEC Business School, France)
- 2010 - 2015 : Associate Professor (ESSEC Business School, France)
- 2006 - 2010 : Assistant Professor (ESSEC Business School, France)
- 2015 - 2023 : CoDirector of the MSc in Data Sciences & Business Analytics (ESSEC-CentraleSupélec) (ESSEC Business School, France)
- 2020 - 2023 : Academic director / Pedagogical Head (ESSEC Business School, France)
- 2020 - 2022 : Department head (ESSEC Business School, France)
- 2008 - Present : Associate Researcher (Center for Research in Economics and Statistics (CREST), France)
- 2020 : Visiting Professor (Fukuoka University, Japan)
- 2020 : Visiting Professor (Keio University, Japan)
- 2020 : Visiting Professor (UNSW Business School, Australia)
- 2012 - 2013 : Visiting Scholar (9 months), Economics Department (New York University, United States of America)
- 2012 : Visiting Scholar (3 months), Money and Macro Function (Federal Reserve Bank of New York, United States of America)
- 2011 : Visiting Professor (half a term), Economics Department (University of Oxford, United Kingdom)
- 2007 - 2010 : Visiting Scholar (regular stays several times a year), Economics Department (Brown University, United States of America)
- 2003 - 2006 : Research Fellow (Economics) at OFCE (Institut d'Etudes Politiques, France)
- 2000 - 2002 : Research Assistant for Prof D. F. Hendry, Economics Department (University of Oxford, United Kingdom)
Full-time academic appointments
Other Academic Appointments
Grants
- 2016 - 2018 : White Project (ESSEC Foundation, France)
- 2014 - 2020 : Regular grants by the Labex MME-DII (Labex MME-DII, France)
- 2007 - 2020 : Regular grants by the Research Center at ESSEC since 2007 (ESSEC Business School, France)
- 2007 - 2019 : Research grants, Europlace Institute of Finance (in collaboration) (Institut Europlace de Finance (IEF), France)
Journal articles
- CHEVILLON, G., MAVROEIDIS, S. and ZHAN, Z. (2020). Robust inference in structural VARs with long-run restrictions. Econometric Theory, 36, pp. 86-121.
- BANERJEE, A., CHEVILLON, G. and KRATZ, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. Econometrics Journal, 23(2).
- 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 Estimation 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.
Presentations at an Academic or Professional conference
- BAUWENS, L. and CHEVILLON, G. (2021). We Modelled Long Memory with Just One Lag! In: 15th International Conference on Computational and Financial Econometrics (CFE). London.
- BAUWENS, L., CHEVILLON, G. and LAURENT, S. (2019). Forecasting Long Memory through a VAR Model. In: 4th Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance 2019.
- CHEVILLON, G. (2019). The Bias-Variance Trade-off in Multistep Forecasting and Predictive Regressions at Intermediate and Long Horizons. In: 27th annual symposium of the Society for Nonlinear Dynamics and Econometrics 2019.
- CHEVILLON, G. (2019). The Bias-Variance Trade-off in Multistep Forecasting and Predictive Regressions at Intermediate and Long Horizons. In: 2019 Quantitative Finance and Financial Econometrics (QFFE).
- CHEVILLON, G. and MAVROEIDIS, S. (2019). The Shadow of a Doubt. In: 2019 Workshop Annuel de l'ANR MultiRisk.
- CHEVILLON, G. (2018). Exuberance: Sentiments Driven Buoyancy. In: 2018 Econometric Theory and Time Series Analysis (ETTSA) Workshop.
- BAUWENS, L., CHEVILLON, G. and LAURENT, S. (2018). Forecast Comparisons for Long Memory. In: Quantitative Finance and Financial Econometrics (QFFE 2018).
- CHEVILLON, G., BAUWENS, L. and LAURENT, S. (2018). Forecasting Long Memory via a VAR Model. In: 12th International Conference on Computational and Financial Econometrics (CE) 2018.
- CHEVILLON, G., BAUWENS, L. and LAURENT, S. (2018). Forecasting Long Memory via a VAR Model. In: 1st Applied Financial Econometrics Workshop.
- CHEVILLON, G., BAUWENS, L. and LAURENT, S. (2018). Forecasting Long Memory via a VAR Model. In: Workshop on Long Memory.
- CHEVILLON, G. and MAVROEIDIS, S. (2018). Perpetual Learning and Apparent Long Memory. In: 26th Annual Symposium of the Society for Nonlinear Dynamics & Econometrics.
- BANERJEE, A., CHEVILLON, G. and KRATZ, M. (2018). Probabilistic Forecasting of Bubbles and Flash Crashes. In: 2018 Asian Meeting of the Econometric Society.
- CHEVILLON, G., HECQ, A. and LAURENT, S. (2016). Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. In: 2016 Asian Meeting of the Econometric Society (AMES2016).
- CHEVILLON, G., HECQ, A. and LAURENT, S. (2016). Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. In: 2016 Summer Forum of the Barcelona School of Economics.
- CHEVILLON, G., MAVROEIDIS, S. and ZANG, Z. (2016). Robust Inference in Structural VARs with Long-Run Restrictions. In: 24th Symposium of the Society for Nonlinear Dynamics and Econometrics.
- CHEVILLON, G., MAVROEIDIS, S. and ZHAN, Z. (2016). Robust Inference in Structural VARs with Long-Run Restrictions. In: 10th International Conference on Computational and Financial Econometrics.
- CHEVILLON, G. and SOPHOCLES, M. (2015). Learning Can Generate Long Memory. In: 2nd Annual Conference of the International Association for Applied Econometrics (IAAE).
- CHEVILLON, G., HECQ, A. and LAURENT, S. (2015). Long Memory through Cross-Section Dependence and Marginalization. In: 23rd Annual Symposium of the Society for Nonlinear Dynamics and Econometrics.
- CHEVILLON, G., LAURENT, S. and HECQ, A. (2015). Long Memory Through Margnialization of Large Systems and Hidden Cross Section Dependence. In: 4th Long-Memory Symposium.
- CHEVILLON, G., SOPHOCLES, M. and ZHAOGUO, Z. (2015). Robust inference in Structural VARs with Long-Run Restrictions. In: 38th Annual National Bureau of Economic Research (NBER) Summer Institute.
- CHEVILLON, G., NAVROEIDIS, S. and ZHAN, Z. (2015). Robust Inference in Structural VARS within Long Run Restrictions. In: 16th OxMetrics User Conference.
- CHEVILLON, G., BANERJEE, A. and KRATZ, M. (2014). Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Coefficient Model. In: 68th European Meeting of the Econometric Society.
- BANERJEE, A., CHEVILLON, G. and KRATZ, M. (2014). Detecting and Forecasting Large Deviations and Bubbles in a Near-Explosive Random Co-efficient Model. In: Summer Institute 2014 of the National Bureau of Economic Research.
- CHEVILLON, G., BANERJEE, A. and KRATZ, M. (2014). Forecasting Bubbles in a Near Explosive Random Coefficient Model. In: 25th EC2 Conference on "Advances in Forecasting".
- CHEVILLON, G., HECQ, A. and LAURENT, S. (2014). Persistence Through Correlation. In: 15th OxMetrics User Conference.
- CHEVILLON, G., BANERJEE, A. and KRATZ, M. (2014). Sentiment Driven Buoyancy. In: 8th International Conference on Computational and Financial Econometrics (CFE 2014).
- CHEVILLON, G. and MAVROEIDIS, S. (2014). The Shadow of a Doubt: The Dynamic Impact of Exceptional Uncertainty. In: 2014 Society for Nonlinear Dynamics and Econometrics (SNDE) Conference.
- CHEVILLON, G. (2013). Detecting and Forecasting Large Deviations and Bubbles in a near Explosive Random Coefficient Model. In: 2013 NBER-NSF Time Series Conference.
- CHEVILLON, G. (2013). Long Memory through Correlation. In: 7th Annual Methods in International Finance Network Workshop.
- CHEVILLON, G., HECQ, A. and LAURENT, S. (2013). Long Memory Through Correlation. In: 7th International Conference on Computational and Financial Econometrics (CFE).
- BANERJEE, A., CHEVILLON, G. and KRATZ, M. (2012). Detecting and Predicting Rational Asset Price Bubbles in a Near Explosive Random Coefficient Autoregressive Model. In: SMU-ESSEC Symposium on Empirical Finance and Financial Econometrics 2012.
- CHEVILLON, G. (2012). Learning Can Generate Long Memory. In: 2012 NBER-NSF Time Series Conference.
- CHEVILLON, G. and MAVROEIDIS, S. (2012). Learning Generates Long Memory. In: 20th Symposium of the Society for Nonlinear Dynamics and Econometrics.
Press article, video or other popular media
- CHEVILLON, G. (2022). L'algorithme est in influenceur comme les autres. Le Monde.
- CHEVILLON, G. (2021). The power of persuading: Can and should we regulate AI algorithms? OECD Publications.
- CHEVILLON, G. (2020). Laisser-faire or Policing social networks. ESSEC Knowledge & Reflets Magazine.
- CHEVILLON, G. (2020). Laisser-faire or Policing social networks. ESSEC Knowledge.
- CHEVILLON, G. (2019). Il semble illusoire de contrôler a priori les outils d’intelligence artificielle car leurs conséquences sont quasi imprévisibles. Le Monde.
- CHEVILLON, G. (2018). Et si on réinitialisait les réseaux sociaux en 2019 ? La Libre Belgique.
- CHEVILLON, G. (2018). Les employeurs sont à la recherche d’ingénieurs-manageurs, interview by M. de Amorim. Le Monde.
- CHEVILLON, G. (2018). Et si on réinitialisait les réseaux sociaux ? Libération.
- CHEVILLON, G. (2016). Des algorithmes dangereux pour le débat démocratique. Libération.
- CHEVILLON, G. (2016). L'étudiant co-créateur de sa formation. Le Monde des Grandes Ecoles.
- CHEVILLON, G. (2016). La nécessité de l’alliance data sciences et business analytics dans la création de valeur. Journal des Grandes Écoles.
- CHEVILLON, G. (2015). La Banque centrale européenne agit-elle trop tard ? La Tribune.
- CHEVILLON, G. (2014). How econometrics helps us explain Climate Change. ESSEC Knowledge.
- CHEVILLON, G. (2014). Three Big Questions Preoccupying Economists. ESSEC Knowledge.
- CHEVILLON, G. (2013). Homo-oeconomicus : un comportement modèle ou un modèle de comportement ? La Tribune.
- CHEVILLON, G. (2012). Tous les électeurs sont-ils égaux ? Les Echos.
- CHEVILLON, G. (2004). Buts et Abus d'une Constitution. Libération, pp. 40-40.
- CHEVILLON, G. (2004). Commerce Extérieur: les Raisons du Déficit. Interview by Sophie Fay. Le Monde.
Interviews: radio, TV, press
Services
- 2020 : - Present : Elected Member of Faculty Senate, ESSEC Business School, France
- 2006 : - Present : Member of Faculty recruitment group, ESSEC Business School, France
- 2016 - 2018 : Elected Member of the Board of Overseers, ESSEC Business School, France
- 2017 : Member of Search Committee for the new Dean & President, ESSEC Business School, France
- 2013 - 2016 : Elected Member of Faculty Senate, ESSEC Business School, France
- 2016 : Member of Evaluation Committee of Faculty, ESSEC Business School, France
- 2010 - 2012 : Elected to Evaluation Committee of Faculty, ESSEC Business School, France
- 2006 - 2012 : Member of various Teaching and Pedagogical Committees & Juries, ESSEC Business School, France
Research activities
- 2016 - 2020 : Editorial board membership - Revue Economique
- Reviewer for Econometric Reviews; Econometric Theory; Econometrics Journal; Energy Economics; International Journal of Forecasting; International Review of Economics and Finance; Journal of Applied Econometrics; Journal of Banking & Finance; Journal of Business and Economic Statistics; Journal of Econometrics; Journal of Economic Dynamics and Control; Journal of Economic Surveys; Journal of Forecasting; Journal of Housing Economics; Journal of the Royal Statistical Society: Series B (Statistical Methodology); Journal of Time Series Analysis; L'Actualité Économique; Lithuanian Mathematical Journal; Macroeconomic Dynamics; Nature Climate Change; Oeconomia; Oxford Bulletin of Economics and Statistics; Quantitative Economics; Review of Economic Dynamics; Revue Economique; Risk; Statistical Methods and Applications
- 2018 : - Present : Co-Organized: Workshop in Time Series
- 2017 : - Present : Co-organizer 25th annual Symposium of the Society for Nonlinear Dynamics & Econometrics
- 2016 : - Present : Co-organizer: 8th French Econometrics Conference
- 2006 : - Present : ESSEC Statistics and Econometrics seminar co-organizer, ESSEC Business School, France
- 2020 : - Present : Local Organizer: 2020 (EC)^2 High Dimensional Modelling in Time Series
- 2017 : - Present : Organizer: 19th Oxmetrics User Conference
- 2015 : Co-Organizer of Advances in Time Series and Forecasting, in the honor of J.-P. Indjehagopian, workshop on « Current Trends in Time Series Econometrics », ESSEC Business School, France
- 2014 : Co-organizer of Banque de France & ESSEC workshop on Expectations & Forecasting, December 10. ESSEC-CentraleSupelec Conference on Big Data, May 16.
- 2013 : - Present : Ad-hoc reviewer for National Science Foundation, National Science Foundation, United States of America
- 2020 : - Present : Member: OECD Network of Experts on Artificial Intelligence, OECD
- 2004 : - Present : Reviewer for National Science Foundation (US)
- 2019 : - Present : Member of Scientific Committee: Workshop in Financial Econometrics, LEMNA, NANTES
- 2018 : - Present : Member of the Scientific Committee of 10th French Econometrics Conference, Paris School of Economics & Paris 1 University
- 2018 : - Present : Member of the Scientific Committee of IEEE Conference on Technology Management, Operations and Decisions, Casablanca, Morocco
- 2019 : - Present : Member of the Scientific Committee of Symposium of the Society for Nonlinear Dynamics and Econometrics, Federal Reserve Bank of Dallas
- 2020 : - Present : Member of the Scientific Committee of Symposium of the Society for Nonlinear Dynamics and Econometrics, University of Zagreb
- 2015 : Member of the Scientific Committee of Symposium of the Society for Nonlinear Dynamics and Econometrics, BI Norway, March
Editorial Board Membership
Reviewer for a journal
Organization of a conference or a seminar
Role as an expert or appraisor in a research organization
Participation in scientific commissions or reviewer for a conference
Theses
- 2019 : YOON Yong June (ESSEC Business School), Thesis director, First placement: Economist - The Bank of Korea
- 2019 : KWON Joonsuk (ESSEC Business School), Thesis director, First placement: Economist - The Bank of Korea
- 2016 : PEIA Oana (ESSEC Business School), Thesis co-director, First placement: Assistant Professor - University College Dublin School of Economics