Research

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• Clarivate Web of Science (ex-Publons) Author Page

• SSRN Author Page 

• ORCID ID: https://orcid.org/0000-0002-6082-8251

• Web of Science Researcher ID: J-1474-2019

Working Papers

1. Hué S., Hurlin C. and Lu, Y. (2024), Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials, arXiv, May 2024. 

2. Flament G., Hurlin C. and Lajaunie Q. (2023), The at-Risk Approach: A New Tool for Stress Tests and Overlays, SSRN, November 2023.

3. Hurlin, C. and Pérignon, C. (2023),  Machine Learning and IRB Capital Requirements: Advantages, Risks, and Recommendations, SSRN, July 2023.

4. Hué S., Hurlin, C., Pérignon, C. , and Saurin, S. (2023), Explainable Performance, arXiv, R&R at Management Science, June 2023.

5. Colliard, J-E, Hurlin, C. and Pérignon, C. (2023), The Economics of Computational Reproducibility, SSRN, December 2022. 

6. Beaumont, P., Libert, T., and Hurlin, C. (2019), Granular Borrowers , Université Paris-Dauphine Research Paper No. 3391768.  

Published papers 

1. Hurlin, C., Pérignon, C. , and Saurin, S. (2024), The Fairness of Credit Scoring Models, available at SSRN, forthcoming in Management Science.

2. Pérignon C., Akmansoy O., Hurlin C., et al. (2024), Computational Reproducibility in Finance: Evidence from 1,000 Tests, available at SSRN, forthcoming in Review of Financial Studies. 

3. Menkveld A.J. et al. (2024), Non-Standard Errors, Journal of Finance, 79: 2339-2390.    

4. Dumitrescu, E.-I., Hué, S. Hurlin, C., and Tokpavi, S. (2022), Machine Learning for Credit Scoring: Improving Logistic Regression with Non-Linear Decision-Tree Effects, European Journal of Operational Research, 297(3), 1178-1192 .

5. Banulescu-Radu, D., Hurlin, C., Leymarie, J. and Scaillet, O. (2021), Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures,  Management Science, 3-4, 5301-5967.

6. Pérignon, C., K. Gadouche, C. Hurlin, R. Silberman, and Debonnel E. (2019), Certifying Reproducibility with Confidential Data, Science, 365: 6449, 12 July, 127-128.

   • Press coverage: Data police force will help clean up research, Times Higher Education, 29 August 2019. Print headline: A badge that gives assurance 

7. Hurlin C., Iseli G., Pérignon C., and Yeung S. (2019), The Counterparty Risk Exposure of ETF Investors, Journal of Banking and Finance, 102, 215-230.  

8. Benoit S., Hurlin C., and Pérignon C. (2019), Pitfalls in Systemic-Risk Scoring, Journal of Financial Intermediation, 38, 19-44. Companion website and Matlab code. 

   •  Press coverage: Les régulateurs bancaires font trop souvent preuve de schizophrénie, Le Monde, 4 July 2018.

   • Please visit SIFIWatch, an academic initiative on bank risk nowcasting. 

9. Hurlin C. and Pérignon, C. (2019), Machine Learning, Nouvelles Données et Scoring de Crédit, Revue d’Économie Financière, 135, 21-50.

10. Hurlin C., Leymarie J. and Patin A. (2018), Loss functions for Loss Given Default Model Comparison, European Journal of Operational Research, 268(1), 348-360. Companion website and Matlab code.

11. Cruz-Lopez J.A, Harris J.H., Hurlin C. and Pérignon C. (2017), Comargin, Journal of Financial and Quantitative Analysis, 52(5), 2183-2215. Companion website and Matlab code. 

12. Benoit S., Colliard J.E., Hurlin C. and Pérignon C. (2017), Where the Risks Lie: A Survey on Systemic Risk, Review of Finance, 21(1), 109-152. Companion website and Matlab code

13. Hurlin C., Laurent S., Quaedvlieg R. and Smeekes S. (2017). Risk Measure Inference, Journal of Business and Economic Statistics, 35(4), 499-512.

14. Breton R., Galanti S., Hurlin C., and Vaubourg A-G. (2017), La relation firme-analyste explique-t-elle les erreurs de prévision des analystes ?, Revue Économique, 68(6), 1033-1062.

15. Banulescu D., Colletaz G., Hurlin C. and Tokpavi S. (2016), Forecasting High Frequency Risk Measures,  Journal of Forecasting, 35(3), 224-249. Comapanion website and Matlab code.

16. Banulescu D., Candelon B., Hurlin C. and Laurent S. (2016), Do We Need Ultra-High Frequency Data to Forecast Variances?, Annales d’Économie et Statistiques,123-124, 135-174.

17. Benoit S., Hurlin C. and Pérignon C. (2015), Implied Risk Exposures, Review of Finance, 19(6), 2183-2222. Companion website and Matlab Code.

18. Hamidi B., Hurlin C., Kouontchou P. and Maillet B. (2015), A DARE model for VaR, Finance, 36(1), 7-38. 

19. Dumitrescu E., Candelon B., Hurlin C. and Palm. F. (2014), Multivariate Dynamic Probit Models: An Application to Financial Crises Mutation, Advances in Econometrics, Essays in Honor of Christopher A. Sims, 32, 395-427.

20. Candelon B., Dumitrescu E. and Hurlin C. (2014), Currency Crises Early Warning Systems: why they should be Dynamic?, International Journal of Forecasting, 30(4), 1016–1029. Companion website and Matlab code.

21. Colletaz G., Hurlin C. and Perignon C. (2013), The Risk Map: a New Tool for Risk Management, Journal of Banking and Finance, 37(10), pp. 3843.-3854. Companion websiste and Matlab code.

22. Candelon B., Colletaz G., and Hurlin C. (2013), Network Effects and Infrastructure Productivity in Developing Countries, Oxford Bulletin of Economics and Statistics, 75(6), 887-913. Companion website and Matlab code for the PTR model.

23. Minea A. and Hurlin C. (2013), Is Public Capital Really Productive? A Methodological Reappraisal, European Journal of Operational Research, 228(1), 122-130. Companion website and Matlab code. Online appendices.

24. Hurlin C., Perignon C and Stodden S. (2013), RunMyCode.org: a novel dissemination and collaboration platform for executing published computational results, E-Science (e-Science), 2012 IEEE 8th International Conference on Chicago, 1-8.

25. Herrera S., Hurlin C. and Zaki C. (2013), Why don't Banks lend to Egypt's Private Sector?, Economic Modelling, 33, 347-356.

26. Candelon B., Gaulier G. and Hurlin C. (2012), Extreme Financial Crisis, Revue d’Économie Politique, 122(6), 823-831.

27. Dumitrescu E., Hurlin C. and Madkour J. (2012), Testing Interval Forecasts: a GMM-based approach, Journal of Forecasting, 32, 97-110. Companion website and Matlab code. 

28. Hurlin C. and Pérignon C. (2012), Margin Backtesting, Review of Futures Market, 20, 179-194. Companion website and Matlab code.

29. Dumitrescu E., Hurlin C. and Pham V. (2012), Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests, Finance, 33, 79-111. Companion website and Matlab code.

30. Dumitrescu E. and Hurlin C. (2012), Testing for Granger Non-causality in Heterogeneous Panels, Economic Modelling, 29, 1450-1460. Companion website and Matlab code for panel Granger causality tests. Note: this test is also available under Eviews, R (pgrangertest), and Stata software. Most cited Economic Modelling article since 2012.

31. Candelon B., Dumitrescu E. and Hurlin C. (2012), How to evaluate an Early Warning System?, IMF Economic Review, 60(1), 75-113. Companion website and Matlab code.

32. Candelon B., Hurlin C. and Tokpavi S. (2012), Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios, Journal of Empirical Finance, 19, 511-527.

33. Candelon B., Colletaz G., Hurlin C. and Tokpavi S. (2011), Backtesting Value-at-Risk: a GMM duration-based test, Journal of Financial Econometrics, 9(2), 314-343. Companion website and Matlab code.

34. Hurlin, C (2010), What would Nelson and Plosser find had they used Panel Unit Root Tests?, Applied Economics, 42(12), 1515 - 1531. Companion website and Matlab code. 

35. Arestoff F. and Hurlin C. (2010), Are Public Investment Efficient in Creating Capital Stocks in Developing Countries?, Economics Bulletin, 30(4), 1-11.

36. Hurlin C., Kouontchou P. and Maillet M., (2010). Un MEDAF à plusieurs Moments Réalisés, Brussels Economic Review, 53(3-4), 457-480. 

37. Destais G, Fouquau J. and Hurlin C. (2009), Energy Demand Models : A Threshold Panel Specification of the Kuznets Curve, Applied Economic Letters, 16(12), 1241-1244.

38. Hurlin C. and Tokpavi S. (2008), Une Evaluation des Procédures de Backtesting : Tout va pour le Mieux dans le Meilleur des Mondes, Finance, 29(1), 53-80. 

39. Fouquau J., Hurlin C. and Rabaud I. (2008), The Feldstein-Horioka Puzzle: a Panel Smooth Transition Regression Approach, Economic Modelling, 25(2), 284-299, Companion website and Matlab code for the PSTR model.

40. Hurlin C. and Mignon, V. (2007), Une Synthèse des Tests de Cointégration sur Données de Panel, Économie et Prévision, 180-181, 241- 265.

41. Hurlin C. and Tokpavi, S. (2007), Un Test de Validité de la Value-at-Risk, Revue Economique, 58(3), 599-608.

42. Hurlin C. and Kierzenkowski, R (2007), Credit Market Disequilibrium in Poland: Can we find what we expect? Non Stationarity and the Short Side Rule, Economic Systems, 31(2), 157-183.

43. Hurlin C. and Tokpavi, S. (2006), Backtesting Value-at-Risk Accuracy: A Simple New Test, Journal of Risk, 9(2), 19-37.

44. Hurlin, C. and Mignon, V. (2005), Une Synthèse des Tests de Racine Unitaire en sur Données de Panel, Économie et Prévision. 169-171, 251-295. 

45. Hurlin C. (2005), Un Test Simple de l'Hypothèse de Non Causalité dans un Modèle de Panel Hétérogène, Revue Economique, 56(3), 799-809.

46. Hurlin C. (2005), Kamps, C.: The Dynamic Macroeconomic Effects of Public Capital. Theory and Evidence for OECD Countries, Journal of Economics, Springer, 86(3), 308-312.

47. Clément, D., Hurlin, C. and Serres, F. (2004), Downgrading in the First Job: Who and Why?, Applied Economic Letters 12(4), 227-233. 

48. Hurlin, C. (2001), Estimating the Productive Contribution of Public Capital with Times Series Production Functions: a Case of Unreliable Inference, Applied Economic Letters, 8(2), 99-103.

49. Gaulier, G., Hurlin, C. and Jean-Pierre, P. (1999), Testing Convergence: A Panel Data Approach, Annales d'Economie et de Statistiques, 55-56, 411-428. 

50. Hurlin, C. and Portier, F. (1999), Taux d'Actualisation Public, Distorsions Fiscales et Croissance : Modélisation et Application à l'Economie Française, Annales d'Economie et de Statistiques, 54, 173-201. 

51. Hurlin, C. (1999), La Contribution Productive du Capital Public à la Croissance : Estimation sur un Panel Sectoriel de dix pays de l'OCDE, Économie et Prévision, 137, 49-66.

52. Hurlin, C. and Portier, F. (1996), Le Partage de la Valeur Ajoutée dans le Cycle : Quelques Pistes de Modélisation en Equilibre Général, Économie et Prévision, 125, 73-85.

Books 

1. Hurlin C and Mignon V. (2022), Statistique et Probabilités en Économie-Gestion, Dunod, Collection Openbook, 416 pages, seconde édition.

2. Hurlin C and Mignon V. (2015), Statistique et Probabilités en Économie-Gestion, Dunod, Collection Openbook, 384 pages.

Chapters 

1. Colet J., Hurlin C., and Richard M. (2020), Validation de Prévisions en Densité, in Méthodes de Prévision en Finance, Charles A., Darné O. and Ferrara L. eds, Economica. 

2. Hurlin C., Pérignon C. and Stodden V. (2013), RunMyCode.org: A Research-Reproducibility Tool for Computational Sciences, in Implementing Reproducible Research, Stodden V., Leisch F. and Peng R. eds, Chapman & Hall/CRC The R Series.

3. Destais G, Fouquau J. and Hurlin C. (2007), Economic Development and Energy Intensity: a Panel Data Analysis, in The Econometrics of Energy Systems, Bourbonnais R., Chevalier, J.M and Keppler, J.H, eds. Palgrave.

4. Colletaz G. and Hurlin C. (2007), Research report for the Institut pour la Recherche de la Caisse des Dépôts et Consignations, Modèles à Changement de Régimes et Prévisions Macro-économiques, (106 pages).