Nom
CHARLES
Prénom
Amélie
Nom
CHARLES
Prénom
Amélie
-
TitreProfesseur
- Maître de Conférences en Sciences de Gestion
Section CV
Formation
HDR
Université Paris Ouest Nanterre-La Défense, Nanterre 2011Efficience informationnelle des marchés : étude de la dynamique des rentabilités, de la volatilité et des anomalies saisonnières
Doctorat en Sciences Economiques
Université de Montpellier, Montpellier 2004DEA d’Analyse Economique, Modélisation et Quantification
Université de Montpellier, Montpellier 2000Licence et Maîtrise d’Econométrie
Université de Montpellier, Montpellier 1999Expériences professionnelles
Directrice adjointe - Research Centre for Financial and Risk
Audencia Business School, France 2010 - 2015Maître de Conférences en Sciences de Gestion
Université de Paris III Sorbonne Nouvelle, Paris, France Depuis 2005Attachée Temporaire d'Enseignement et de Recherche (ATER)
Université de La Réunion, France 2004 - 2005Attachée Temporaire d'Enseignement et de Recherche (ATER)
Université de Montpellier I, Montpellier, France 2003 - 2004Allocataire de Recherche Moniteur du Ministère de l’Education Nationale, de la Recherche et de la Technologie (MENRT)
Université de Montpellier I, Montpellier, France 2000 - 2003Publications
À paraître
CHARLES, A., DARNE, O., CARIOU, C. (2024). "Are national or regional surveys useful for nowcasting regional jobseekers? The case of the French region of Pays-de-la-Loire". Journal of Forecasting
Publié
CHARLES, A., DARNE, O., JAE PAUL KIM, J. P. (2022). Stock return predictability: Evaluation based on interval forecasts. Bulletin of Economic Research, 74 (April 2022), 363-385.
CHARLES, A., DARNE, O. (2022). Backcasting world trade growth using data reduction methods. World Economy, 45 (10), 23.
CHARLES, A., DARNE, O. (2021). Econometric history of the growth-volatility relationship in the U.S.: 1919-2017. Cliometrica, 15 (2), 419-442.
CHARLES, A., CHUA , C. L., DARNE, O., SUARDI, S. (2021). Oil Price Shocks, Real Economic Activity and Uncertainty. Bulletin of Economic Research, 73 (3), 364-392.
CHARLES, A., CHUA , C. L., DARNE, O., SUARDI, S. (2020). On the Pernicious Effects of Oil Price Uncertainty on U.S. Real Economic Activities. Empirical Economics, 59 (6), 2689-2715.
CHARLES, A., DARNE, O. (2020). Nowcasting GDP growth using data reduction methods: Evidence for the French economy. Economics Bulletin, 40 (3), 2431-2439.
CHARLES, A., DARNE, Olivier, HOARAU, Jean-François (2019). How resilient is La Réunion in terms of international tourism attractiveness:. Applied Economics, 51 (24), 2639-2653.
CHARLES, A., DARNE, Olivier (2019). The accuracy of asymmetric GARCH model estimation. Économie Internationale / International Economics, 157, 179-202.
CHARLES, A., DARNE, Olivier (2019). Volatility estimation for Bitcoin: Replication and robustness. Économie Internationale / International Economics, 157, 23-32.
CHARLES, A., DARNE, Olivier (2019). Volatility estimation for cryptocurrencies: Further evidence with jumps and structural breaks. Economics Bulletin, 39 (2), 954-968.
CHARLES, Amélie, DARNE, Olivier, TRIPIER, Fabien (2018). Uncertainty and the Macroeconomy: Evidence from a composite uncertainty indicator. Applied Economics, 50 (10), 1093-1107.
CHARLES, A., DARNE, Olivier, FERRARA, Laurent (2018). Does the Great Recession imply the end of the Great Moderation? International evidence. Economic Inquiry, 56 (2), 745-760.
CHARLES, A., DANG, Rey, REDOR, E. (2018). Board Gender Diversity and Firm Financial Performance: A Quantile Regression Analysis. Advances in Financial Economics, 20, 15-55.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2017). International Stock Return Predictability: Evidence from New Statistical Tests. International Review of Financial Analysis, 54, 97-113.
CHARLES, Amélie, DARNE, Olivier (2017). Forecasting crude-oil market volatility: Further evidence with jumps. Energy Economics, 67, 508-519.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2017). Adaptive Markets Hypothesis for Islamic Stock Indices: Evidence from Dow Jones Size and Sector-indices. Économie Internationale / International Economics, 151, 100-112.
CHARLES, Amélie, DARNE, Olivier (2016). Stock market reactions of FIFA World Cup announcements: an event study. Economics Bulletin, 36 (4), 2028-2036.
CHARLES, Amélie, REDOR, Etienne, DARNE, Olivier, KIM, Jae (2016). Stock Exchange Mergers and Market Efficiency. Applied Economics, 48 (7), 576-589.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2015). Will Precious Metals Shine? A Market Efficiency Perspective. International Review of Financial Analysis, 41, 284–291.
CHARLES, Amélie, REDOR, Etienne, ZOPOUNIDIS, Constantin (2015). The determinants of the existence of a critical mass of women on boards: A discriminant analysis. Economics Bulletin, 35 (3), 1809-1819.
CHARLES, Amélie, DARNE, Olivier, POP, Adrian (2015). Risk and Ethical Investment: Empirical Evidence from Dow Jones Islamic Indexes. Research in International Business and Finance, 35, 33-56.
CHARLES, Amélie, DARNE, Olivier (2015). La volatilité du Dow Jones : les leçons de l’histoire à travers l’étude des chocs (1928-2013). Revue d'Economie Financière, (118), 243-247.
CHARLES, Amélie, DARNE, Olivier, TRIPIER, Fabien (2015). Are Unit Root Tests Useful in the Debate over the (Non)Stationarity of Hours Worked?. Macroeconomic Dynamics, 19 (1), 167-188.
CHARLES, Amélie, DARNE, Olivier (2015). Are the Islamic indexes size or sector oriented? evidence from Dow Jones Islamic indexes. Economics Bulletin, 35 (3), 1897-2006.
CHARLES, Amélie, DARNE, Olivier, DIEBOLT, Claude, FERRARA, L. (2015). A new monthly chronology of the US industrial cycles in the prewar economy. Journal of Financial Stability, 17, 3-9.
CHARLES, Amélie, REDOR, Etienne (2014). Women are from Venus, Men are from Mars: But do the financial markets know it?. Economics Bulletin, 34 (1), 589-604.
CHARLES, Amélie, DARNE, Olivier (2014). Volatility Persistence in Crude Oil Markets. Energy Policy, 65, 729-742.
CHARLES, Amélie, DARNE, Olivier (2014). Large shocks in the volatility of the Dow Jones Industrial Average index: 1928-2013. Journal of Banking and Finance, 43, 188-199.
DARNE, Olivier, CHARLES, Amélie, DIEBOLT, Claude (2014). A revision of the US business-cycles chronology 1790-1928. Economics Bulletin, 34 (1), 234-244.
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (2013). Market Efficiency in the European Carbon Markets. Energy Policy, 60, 785-792.
CHARLES, Amélie, DARNE, Olivier (2012). Trends and random walks in macroeconomic time series: A reappraisal. Journal of Macroeconomics, 34 (1), 167-180.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2012). Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates. Journal of International Money and Finance, 31 (6), 1607-1626.
CHARLES, Amélie, DARNE, Olivier, HOARAU, Jean-François (2012). Convergence of real per capita GDP within COMESA countries: A panel unit root evidence. Annals of Regional Science, 49 (1), 53-71.
CHARLES, Amélie, DARNE, Olivier (2012). A note of the uncertain trend in US real GNP: Evidence from robust unit root tests. Economics Bulletin, 32 (3), 2399-2406.
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (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.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2011). Small Sample Properties of Alternative Tests for Martingale Difference Hypothesis. Economics Letters, 110 (2), 151-154.
CHARLES, Amélie, DARNE, Olivier (2011). Large shocks in U.S. macroeconomic time series: 1860–1988. Cliometrica, 5, 79-100.
CHARLES, Amélie (2010). The day-of-the week effects on the volatility: The role of the asymmetry. European Journal of Operational Research, 202 (1), 143-152.
CHARLES, Amélie, DARNE, Olivier (2009). Variance ratio tests of random walk: An overview. Journal of Economic Surveys, 23 (3), 503-527.
CHARLES, Amélie, DARNE, Olivier (2009). The random walk hypothesis for Chinese stock markets: Evidence from variance ratio tests. Economic Systems, 33 (2), 117-126.
CHARLES, Amélie, DARNE, Olivier (2009). The efficiency of the crude oil markets: Evidence from variance ratio tests. Energy Policy, 37 (11), 4267-4272.
CHARLES, Amélie, DARNE, Olivier (2009). Testing for random walk behavior in euro exchange rates. Économie Internationale / International Economics, (119), 25-45.
CHARLES, Amélie, DARNE, Olivier (2008). The impact of outliers on transitory and permanent components in macroeconomic time series. Economics Bulletin, 3 (60), 1-9.
CHARLES, Amélie (2008). Forecasting volatility with outliers in GARCH models. Journal of Forecasting, 27 (7), 551-565.
CHARLES, A., DARNE, Olivier The accuracy of asymmetric GARCH model estimation. Économie Internationale / International Economics
CHARLES, A., DARNE, Olivier, HOARAU, Jean-François How resilient is La Réunion in terms of international tourism attractiveness: An assessment from unit root tests with structural breaks from 1981-2015. Applied Economics
CHARLES, A., DARNE, Olivier Volatility estimation for Bitcoin: Replication and robustness. Économie Internationale / International Economics
CHARLES, A., DARNE, O., FERRARA, L. (2020). Méthodes de prévision en Finance. Economica
CHARLES, Amélie, MAURICE, Stéphanie, REDOR, Etienne (2015). Le financement des entreprises : questions de cours, QCM et exercices corrigés. Economica
CHARLES, Amélie, MAURICE, Stéphanie, REDOR, Etienne (2014). Le financement des entreprises. Economica
CHARLES, Amélie, REDOR, Etienne (2010). Le financement des entreprises : questions de cours, QCM et exercices corrigés. Economica
CHARLES, Amélie, REDOR, Etienne (2009). Le financement des entreprises. Economica
CHARLES, A., DARNE, O., FERRARA, L. (2020). Prévision par des modèles GARCH asymétriques. Economica
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (2017). The impact of screening strategies on the performance of ESG indices.
HOARAU, Jean-François, CHARLES, Amélie, DARNE, Olivier (2017). La capacité de résilience de la destination Réunion en matière de développement touristique : une application des tests de racine unitaire avec ruptures sur la période 1989-2016.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2016). Stock Return Predictability: International Evidence from New Statistical Tests.
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (2016). ESG Indices Financial Risk: Performance measures based on Value-at-Risk approach.
CHARLES, Amélie (2016). Board Gender Diversity and Firm Financial Performance: A Quantile Regression Analysis.
CHARLES, Amélie (2016). Board Gender Diversity and Firm Financial Performance: A Quantile Regression Analysis.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2015). Stock Return Predictability: International Evidence from New Statistical Tests.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2015). Stock Return Predictability: International Evidence from New Statistical Tests.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2015). International Stock Returns Predictability: Evidence from new statistical tests.
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (2015). ESG Indices Financial Risk: Performance measures based on Value-at-Risk approach.
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (2015). ESG Indices Financial Risk: Performance measures based on Value-at-Risk approach.
CHARLES, Amélie, REDOR, Etienne (2013). Women Come from Venus, Men from Mars: Do the Financial Markets Know it?.
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (2013). Market Efficiency in the European carbon markets.
CHARLES, Amélie, DARNE, Olivier, DIEBOLT, Claude, FERRARA, L. (2013). A new monthly chronology of the US industrial cycles in the prewar economy.
CHARLES, Amélie, DARNE, Olivier, KIM, Jae (2012). Exchange-Rate Return Predictability and the Adaptive Markets Hypothesis: Evidence from Major Foreign Exchange Rates.
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (2011). Testing the speculative efficiency hypothesis on CO2 emission allowance prices: Evidence from Bluenext.
CHARLES, Amélie, DARNE, Olivier, POP, Adrian (2011). Is the Islamic Finance Model More Resilient than the Conventional Model.
CHARLES, Amélie, DARNE, Olivier, POP, Adrian (2011). Is the Islamic Finance Model More Resilient than the Conventional Model.
CHARLES, Amélie, DARNE, Olivier, POP, Adrian (2011). Is the Islamic Finance Model More Resilient than the Conventional Model.
CHARLES, Amélie, DARNE, Olivier, POP, Adrian (2011). Is the Islamic Finance Model More Resilient than the Conventional Finance Model? Evidence from sudden changes in the volatility of Dow Jones indexes.
CHARLES, Amélie (2011). Is the Islamic Finance Model More Resilient than the Conventional Finance Model? Evidence from sudden changes in the volatility of Dow Jones indexes.
CHARLES, Amélie, DARNE, Olivier, TRIPIER, Fabien (2011). Are Unit Root Tests Useful in the Debate over the (Non) Stationarity of Hours Worked?.
CHARLES, Amélie, DARNÉ, Olivier, FOUILLOUX, Jessica (2010). Testing the Martingale Difference Hypothesis in the EU ETS Markets for the CO2 Emission Allowances: Evidence from Phase I and Phase II.
CHARLES, Amélie, DARNE, Olivier, HOARAU, Jean-François, JEAN-PIERRE, Philippe (2010). La persistance des écarts de richesse entre La Réunion et les standards français et européens : l'apport des tests de racine unitaire.
CHARLES, Amélie, DARNE, Olivier, POP, Adrian (2010). Is the Islamic finance the right medecine to the global financial crisis?.
CHARLES, Amélie, DARNE, Olivier, HOARAU, Jean-François (2010). Does the real GDP per capita convergence hold in the Common Market for Eastern and Southern Africa?.
CHARLES, Amélie, DARNE, Olivier, FOUILLOUX, Jessica (2009). The efficiency of the European carbon market: evidence from phase I and phase II on BlueNext.
CHARLES, A., DARNE, O. (2021). Sparse random forests and dimension reduction.
Activités scientifiques
Reviewer revue académique
Journal of Forecasting,
2023
Journal of Money, Credit and Banking,
2022
Cliometrica,
2022
Energy Policy,
2022
International Economics,
2021
Applied Economics,
2021
Financial Research Letters,
2021
Energy Economics
Applied Economics Letters
Membre Comité scientifique d'une association académique
PANORisk, Conférence de clôture,
2021
Financial Engineering and Banking Society,
2019
PANORisk, Conférence "Risk, Markets, and the Real Economy ",
2018
PANORisk, Conférence "Measurement, Valuation & Modeling of Finance Risks",
2017
PANORisk Ecole d'été "Modélisation des Nouveaux Risques en Finance et en Assurance",
2017
Récompenses et honneurs
PANORisk, Financement régional, 2015
Supervision doctorat
Depuis 2016, Jean-Baptiste Bonnier : Modélisation des risques des matières premières, Université de Nantes, France
Depuis 2014, Wafa Wafta : Les modèles de prédictabilité des rentabilités, Université de Nantes, France
Depuis 2016, O. CAILLE OLESSIA : Quatre essais en Finance, LEO Université d'Orléans, Orléans, France, France
Depuis 2016, Manh Ha N'GUYEN : L’analyse fondamentale et la prévisibilité de rentabilités boursières sur le marché Vietnamien, ,
Education
HDR
Université Paris Ouest Nanterre-La Défense, Nanterre 2011Efficience informationnelle des marchés : étude de la dynamique des rentabilités, de la volatilité et des anomalies saisonnières