Amélie Charles

Education

• HDR, Habilitation à Diriger des Recherches (research supervision qualification), Université Paris Ouest Nanterre
• Doctor in Economic Sciences, University of Montpellier I
• DEA Economic Analysis, Modelling and Quantification, University of Montpellier I
• Licence and Maîtrise in Econometrics, University of Montpellier I

Experience

• Assistant Professor (Maître de Conférence) in Management Sciences, University of Paris 1- Panthéon Sorbonne (since 2005)
• Temporary Lecturer and Researcher (ATER), University of La Réunion (2004-2005)
• Temporary Lecturer and Researcher (ATER), University of Montpellier I (2003-2004)
• Lecturer, Ministère de l’Education Nationale, de la Recherche et de la Technologie (MENRT), University of Montpellier I (2000-2003)

Research areas

• Financial markets
• Risk management
• Financial econometrics

Publications

Refereed journal articles

• Forthcoming. Trends and random walks in macroeconomic time series: A reappraisal. Journal of Macroeconomics  (with O. Darné)
• Forthcoming. Convergence of real per capita GDP within COMESA countries: A panel unit root evidence. Annals of Regional Science (with O. Darne and J-F. Hoarau).
• 2011. Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis. Economics Letters 110(2): 151-154 (with O. Darné and J. Kim).
• 2011. Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II. Economic Modelling 28(1-2): 27-35 (with O. Darné and J. Fouilloux).
• 2011. Large shocks in U.S. macroeconomic time series: 1860–1988. Cliometrica 5: 79-100 (with O. Darné).
• 2010. The day-of-the week effects on the volatility: The role of the asymmetry. European Journal of Operational Research 202 (1): 143-152.
• 2010. Does the day-of-the week effect on volatility improve the volatility forecasts? Applied Economics Letters 17 (3): 257-262.
• 2009. The efficiency of the crude oil markets: Evidence from variance ratio tests. Energy Policy 37(11): 4267-4272 (with O. Darné).
• 2009. Testing for random walk behavior in euro exchange rates. Economie Internationale (119): 25-45 (with O. Darné).
• 2009. Variance ratio tests of random walk: An overview. Journal of Economics Surveys 23(3): 503-527. 
• 2009. The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests. Economic Systems 33(2): 117-126.
• 2008. Forecasting volatility with outliers in GARCH models. Journal of Forecasting 27 (7): 551-565.
• 2008. The impact of outliers on transitory and permanent components in macroeconomic time series. Economics Bulletin 3 (60): 1-9 (with O. Darné).
• 2008. A note on unit root and GARCH errors: A simulation experiment. Communications in Statistics-Simulation and Computation 37 (2): 314-319 (with O. Darné).
• 2006. Large shocks and the September 11th terrorist attacks: An intervention analysis approach on international stock markets. Economic Modelling 23 (4): 683-698 (with O. Darné).
• 2005. Relevance of detecting outliers in GARCH models for modelling and forecasting financial data. Finance 26 (1): 33-71 (with O. Darné).
• 2005 Outliers and GARCH models in daily financial data. Economics Letters 86 (3): 347-352 (with O. Darné).
• 2004 Outliers and portfolio optimization. Banque & Marchés (72): 44-51.
• 2002 Weekend effect and seasonal volatility: The case of the CAC40 index. International Journal of Finance 14 (3): 2311-2326 (with J.B. Lesourd, M.Terraza et R.Thieblemont).
• 2002 Beta-convergence in African developing countries: A cliometric approach. Historical Social Research 27 (4): 270-281 (with L. Ripoll-Bresson).

Books

• 2010. Le financement des entreprises : questions de cours, QCM et exercices corrigés. Paris: Economica (avec E. Redor).
• 2009. Le financement des entreprises. Economica: Paris (avec E. Redor).

Communications

• 2011. Is the Islamic Finance Model More Resilient than the Conventional Model, 18th Annual Global Finance Conference: Bangkok, Thailand (with O. Darné and A. Pop).
• 2010. Is the Islamic finance the right medecine to the global financial crisis?, Journée d'Econométrie "Développements récents de l'économétrie appliquée à la finance": Paris (with O. Darné and A. Pop).
• 2010. Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II, 59ème congrès de l'Association Française de Science Economique (AFSE): Paris (with O. Darné and J. Fouilloux).
• 2010. La persistance des écarts de richesse entre La Réunion et les standards français et européens : l'apport des tests de racine unitaire, Journées d'Etude du CEMOI: Université de La Réunion (with O. Darné JF. Hoarau and P. Jean-Pierre).
• 2010. Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa? 14th Conference on Macroeconomics Analysis and International Finance, Crete, Greece (with O. Darne and J-F. Hoarau).