Mamadou Yamar Thioub

Student (Ph.D.), GERAD

HEC Montréal

mamadou.thioub@gerad.ca

mamadou.yamar.thioub@gmail.com

Phone: 514 340-6053 x6908

Office 4510

Education

since Sep 2019

Ph.D. , Administration Machine learning for serially dependent data

HEC Montréal – Department of Decision Sciences, Bouchra Nasri, co-director, Bruno Rémillard, director, Jean-François Plante, co-director

Jan 2014 – Feb 2019

Master's degree , Financial Engineering Estimation et test d'adéquation pour des modèles de copule à changement de régimes, avec application

HEC Montréal – Department of Decision Sciences, Bouchra Nasri, co-director, Bruno Rémillard, director

Publications

Mar 2020

Goodness‐of‐fit for regime‐switching copula models with application to option pricing

Bouchra Nasri, Bruno Rémillard, and Mamadou Yamar Thioub

Canadian Journal of Statistics - La revue canadienne de statistique, 48(1), 79–96, 2020 BibTeX reference

Mar 2019

G-2018-101
Estimation and goodness-of-fit for regimes-switching copula models with application

Bouchra Nasri, Bruno Rémillard, and Mamadou Yamar Thioub

We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each...

BibTeX reference

Jan 2018

Estimation and Goodness-of-Fit for Regime-Switching Copula Models with Application to Option Pricing

Bouchra Nasri, Bruno Rémillard, and Mamadou Yamar Thioub

SSRN Electronic Journal, 2018 BibTeX reference