Julien Fouquau

ESCP Europe

Julien Fouquau is an associate professor at ESCP Europe. He received his PhD in 2008 from Orleans University and his HDR (French qualification for PhD supervisor) in 2012 from Paris Dauphine University. His research focuses on applied econometrics (time series, panel data and nonlinear dynamics) in the field of finance, energy and financial macroeconomics.

His recent work consists of modeling and forecasting the dynamics of various financial assets (long memory in stock market, nonlinearity in sovereign bond prices, forecasting electricity prices).

Articles by Julien Fouquau

Original research

The impact of economic sentiment on financial portfolios during the recent turmoil

The authors investigate the influence of economic sentiment on financial portfolios during Covid-19 and the Russia-Ukraine conflict before conducting a portfolio management analysis on their data.

04 Jul 2024

Original research

International and temporal diversifications: the best of both worlds?

In this paper, the authors focus on seven stock market indexes: two US, three European, one emerging and one Japanese. They select different pairs of markets and, with the help of wavelets, decompose these series at different timescales.

28 Mar 2018