CHEVILLON Guillaume

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.

• 2004 : Ph.D. 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 )

Full-time academic appointments

• 2015 - Present : Professor (ESSEC Business School, France)
• 2010 - 2015 : Associate Professor (ESSEC Business School, France)
• 2006 - 2010 : Assistant Professor (ESSEC Business School, France)

Other Academic Appointments

• 2020 - 2023 : Department head (ESSEC Business School, France)
• 2015 - 2021 : CoDirector of the MSc in Data Sciences & Business Analytics (ESSEC-CentraleSupélec) (ESSEC Business School, France)
• 2020 - 2021 : Academic director ESSEC METALAB for Data, Technology & Society (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)

• 1999 : Best core papers performance in the MPhil in Economics (University of Oxford, United Kingdom)

• 2016 : White Project (ESSEC Foundation, France)
• 2014 : Regular grants by the Labex MME-DII (Labex MME-DII, France)
• 2007 : Regular grants by the Research Center at ESSEC since 2007 (ESSEC Business School, France)
• 2007 : Research grants, Europlace Institute of Finance (in collaboration) (Institut Europlace de Finance (IEF), France)

• CHEVILLON, G., MAVROEIDIS, S. and ZHAN, Z. (2020). Robust inference in structural VARs with long-run restrictions. Econometric Theory, 36(1), pp. 86-121.
• BANERJEE, A., CHEVILLON, G. and KRATZ, M. (2020). Probabilistic Forecasting of Bubbles and Flash Crashes. Econometrics Journal,.
• CHEVILLON, G., HECQ, A. and LAURENT, S. (2018). Generating Univariate Fractional Integration within a Large VAR(1). Journal of Econometrics, 204(1), 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.

• 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.

• 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 High-Dimensional Time Series in Macroeconomics and Finance 2019 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.

• 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.

• CHEVILLON, G. 2017. Data Scientist: Think Big! Short interview by Mireille Weinber October..
• CHEVILLON, G. 2017. Managing the robots. Short interview September..
• CHEVILLON, G. 2016. Stop à l'anarchie sur les médias sociaux ? Interview by Thierry Boutte November..