By Dr Rachida Ouysse

Journal articles

Ouysse R, 2021, 'Asset Pricing with Endogenous Beliefs-Dependent Risk Aversion', Journal of Financial Econometrics, http://dx.doi.org/10.1093/jjfinec/nbab003

Ouysse R, 2021, 'House Price Forecasting from Investment Perspectives', LAND, 10, pp. 1 - 17, https://www.mdpi.com/2073-445X/10/10/1009

Ouysse R, 2016, 'Bayesian model averaging and principal component regression forecasts in a data rich environment', International Journal of Forecasting, 32, pp. 763 - 787, http://dx.doi.org/10.1016/j.ijforecast.2015.11.015

Ouysse R, 2014, 'On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models: Moving block bootstrap inference under weak identification', Computational Statistics, 29, pp. 233 - 261, http://dx.doi.org/10.1007/s00180-013-0447-0

Ouysse R, 2014, 'On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models.', Comput. Stat., 29, pp. 233 - 261, http://dx.doi.org/10.1007/s00180-013-0447-0

Ouysse R, 2011, 'A fast iterated bootstrap procedure for approximating the small-sample bias', Communications in Statistics - Simulation and Computation, 42, pp. 1472 - 1494, http://dx.doi.org/10.1080/03610918.2012.667473

Ouysse R, 2011, 'Computationally efficient approximation for the double bootstrap mean bias correction', Economics Bulletin, 31, pp. 2388 - 2403, http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P214.pdf

Ouysse R; Kohn R, 2010, 'Bayesian Variable Selection and Model Averaging in the Arbitrage Pricing Theory Model', Computational Statistics and Data Analysis, 54, pp. 3249 - 3268, http://dx.doi.org/10.1016/j.csda.2009.09.034

Ouysse R, 2010, 'Finite Sample Properties of Bootstrap GMM for Nonlinear Conditional Moment Models', InterStat : statistics on the internet, http://interstat.statjournals.net/YEAR/2010/articles/1002002.pdf

Ouysse R, 2006, 'approximate Factor Models: Finite Sample Distributions', Journal of Statistical Computation and Simulation, 76, pp. 279 - 303

Ouysse R, 2006, 'Book Review: Introduction to the Mathematical and Statistical Foundations of Econometrics, by Herman J. Bierens (Cambridge University Press, Cambridge, 2004)', The Economic Record, 82, pp. 230 - 233

Ouysse R, 2006, 'Consistent Variable Selection in Large Panels when Factors are Observable', Journal of Multivariate Analysis, 97, pp. 946 - 984

Conference Papers

Ouysse R, 2019, 'Asset Pricing with endogenous state-dependent risk aversion', Rabat Morocco, presented at 2019 Africa Meeting of the Econometric Society, Rabat Morocco, 11 July 2019 - 13 July 2019

Ouysse R, 2018, 'Constrained Principal Components Analysis of Large Approximate Factor Models', Philadelphia, USA, presented at North American Winter Meetings of the Econometric Society, Philadelphia, USA, 05 January 2018 - 07 January 2018, http://dx.doi.org/10.26190/unsworks/28158

Ouysse R, 2016, 'Efficient estimation of large approximate factor models using constrained principal components regression', in CFE-CMStatistics 2016, Seville, Spain, pp. 213 - 213, presented at 10th International Conference on Computational and Financial Econometrics (CFE 2016), Seville, Spain, 09 December 2016 - 11 December 2016, http://www.cfenetwork.org/CFE2016/docs/BoA%20CFE-CMStatistics%202016.pdf?20161110230038

Ouysse R, 2014, 'Forecasting in a Data Rich Environment: Bayesian model averaging and principal components regression', Pisa, Italy, pp. 72 - 73, presented at 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy, 06 December 2014 - 08 December 2012, http://www.cfenetwork.org/CFE2014/docs/BoA%20CFE-ERCIM%202014.pdf

Ouysse R, 2011, 'Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models', in MODSIM 2011 - 19th International Congress on Modelling and Simulation - Sustaining Our Future: Understanding and Living with Uncertainty, Modelling and Simulation Society, Australian National University, Canberra, ACT, Australia, pp. 1624 - 1630, presented at MODSIM 2011 - 19th International Congress on Modelling and Simulation - Sustaining Our Future: Understanding and Living with Uncertainty, Perth, WA, 12 December 2011 - 16 December 2011, http://www.mssanz.org.au/modsim2011/D10/ouysse.pdf

Ouysse R, 2010, 'Efficient estimation of high dimensional factor models under cross sectional dependence', London, presented at Computational and Financial Econometrics, London, 10 December 2010 - 12 December 2010

Ouysse R, 2009, 'Fast Iterated Bootstrap for Mean Bias Correction', in Proceedings of the 2009 NZESG Workshop, University of Canterbury, Christchurch, presented at NZESG, Christchurch

Ouysse R; Kohn R, 2008, 'Bayesian Selection of Risk Factors and Estimation of Factor Betas and Risk Premiums in the APT model', in FEMES-SAMES 2008, Singapore, pp. 1 - 29, presented at Far Eastern Meeting of the Econometric Society, Singapore, 16 July 2008 - 19 July 2008

Ouysse R, 2007, 'Finite sample properties of the dependent bootstrap for conditional moment models', in 36th Australian Conference of Economists, Hobart, presented at 36th Australian Conference of Economists, Hobart, 24 September 2007 - 26 September 2007

Ouysse R; Kohn R, 2007, 'Bayesian variable Selecton of Risk Factors in the APT model', in Bayesian Variable Selection of Risk Factors in the APT model, presented at Bayesian Variable Selection of Risk Factors in the APT model

Ouysse R, 2007, 'Finite Sample Properties of the Dependent Bootstrap for Conditional Moment Models: Case of GMM Estimation', in Finite Sample Properties of the Dependent Bootstrap for Conditional Moment Models: Case of GMM Estimation, presented at Finite Sample Properties of the Dependent Bootstrap for Conditional Moment Models: Case of GMM Estimation

Conference Posters

Ouysse R, 2013, 'Bayesian model averaging and principal component regression forecasts in a data rich environment', Vienna, Austria, presented at 1st Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Vienna, Austria, 08 June 2013 - 10 June 2013, http://www.ihs.ac.at/conferences/timeseries/index.html

Conference Presentations

Ouysse R, 2012, 'Efficientestimationofhighdimensionalfactormodelsundercrosssectionaldependence', presented at 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Oviedo, Spain, 01 December 2012 - 03 December 2012, http://www.cfe-csda.org/cfe12/BoA.pdf

Ouysse R, 2012, 'Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models', presented at 2012/22nd NZESG Meeting, Wellington, New Zealand, 23 February 2012 - 24 February 2012

Ouysse R, 2010, 'New Evidence on the time varying risk aversion from a dynamic multinomial logit augmented C-CAPM', presented at Australian Conference of Economists, Sydney, 27 September 2010 - 29 September 2010

Ouysse R, 2008, 'Finite Sample Properties of the Dependent Bootstrap for Conditional moments Models', presented at 2nd International Workshop on Computational and Financial Economics, Neuchatel, Switzerland, 19 June 2008 - 21 June 2008

Conference Abstracts

Ouysse R, 2015, 'Shrinkage PCA for ecient estimation of large approximate factor models', in 9th International Conference on Computational and Financial Econometrics (CFE 2015), 2015 - CFE and CMStatistics networks, pp. 133 - 133, presented at 9th International Conference on Computational and Financial Econometrics (CFE 2015), http://www.cfenetwork.org/CFE2015/docs/BoA%20CFE-CMStatistics%202015.pdf?20170207164601

Working Papers

Shi S; Mangioni V; Ge J; Herath S; Ouysse R; Rabhi F, 2021, House Price Forecasting from Investment Perspectives, http://dx.doi.org

Ouysse R, 2020, Housing prices predictability in a data rich environment: case of Austrlia’s Capital Cities, http://dx.doi.org

Ouysse R, 2020, Asset pricing with endogenous state-dependent risk aversion, http://dx.doi.org

Ouysse R, 2020, Constrained principal components estimation of large approximate factor models, http://dx.doi.org

Ouysse R, 2013, Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression, http://dx.doi.org, http://econpapers.repec.org/paper/swewpaper/2013-04.htm

Ouysse R, 2012, Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models, http://dx.doi.org, http://econpapers.repec.org/paper/swewpaper/2012-03.htm

Ouysse R, 2008, Time Varying Determinants of Cross-Country Growth, School of Economics, UNSW, http://dx.doi.org

Media

Ouysse R, 2021, Asset pricing.with endogenous beliefs dependent risk aversion, https://faculti.net/asset-pricing-with-endogenous-beliefs-dependent-risk-aversion/

Preprints

Ouysse R, Asset Pricing with Endogenous State-Dependent Risk Aversion, http://dx.doi.org/10.2139/ssrn.3536084

Ouysse R, Constrained Principal Components Estimation of Large Approximate Factor Models, http://dx.doi.org/10.2139/ssrn.2956211

Ouysse R, Forecasting Using a Large Number of Predictors: Bayesian Model Averaging Versus Principal Components Regression, http://dx.doi.org/10.2139/ssrn.2250902

Other

Ouysse R, 2006, Book Review: Introduction to the mathematical and statistical foundations of econometrics, Blackwell Publishing

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