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Debbie J. Dupuis

Professor,  Department of Decision Sciences


Debbie J. Dupuis

Contact information

HEC Montréal
3000, chemin de la Côte-Sainte-Catherine
Montréal (Québec)
Canada H3T 2A7

Email: debbie.dupuis@hec.ca
Phone: 514 340-6952
Secretary: 514 340-6472
Fax: 514 340-5634
Office: 4.848

Personal page

Other title(s)

Education

  • M. Sc. (mathématiques et statistiques), Queen’s
  • Ph. D. (mathématiques et statistiques), University of New Brunswick

Expertise

  • Extreme Values
  • Robustness
  • Statistical Modeling
  • Statistical Computing

This publication selection covers the last five years.


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Journal articles (12)


DUPUIS, Debbie J., TRAPIN, Luca; « Ground-level ozone: Evidence of increasing serial dependence in the extremes », Annals of Applied Statistics, vol. 13, no 1, 2019, p. 34-59.

BEE, Marco, DUPUIS, Debbie J., TRAPIN, Luca; « Realized Peaks over Threshold: A Time-Varying Extreme Value Approach with High-Frequency-Based Measures », Journal of Financial Econometrics, vol. 17, no 2, 2019, p. 254-283.

BEE, Marco, DUPUIS, Debbie J., TRAPIN, Luca; « Realized extreme quantile: A joint model for conditional quantiles and measures of volatility with EVT refinements », Journal of Applied Econometrics, vol. 33, no 3, 2018, p. 398-415.

DUPUIS, Debbie J.; « Assessing the Role of Hourly Changes in the Occurrence of Daily Extreme Temperatures », Journal of Climate, vol. 30, no 20, 2017, p. 8393-8403.

DUPUIS, Debbie J.; « Electricity price dependence in New York State zones: A robust detrended correlation approach », Annals of Applied Statistics, vol. 11, no 1, 2017, p. 248-273.

BEE, Marco, DUPUIS, Debbie J., TRAPIN, Luca; « US stock returns: are there seasons of excesses? », Quantitative Finance, vol. 16, no 9, 2016, p. 1453-1464.

DUPUIS, Debbie J., GAUTHIER, Geneviève, GODIN, Frédéric; « Short-term Hedging for an Electricity Retailer », Energy Journal, vol. 37, no 2, 2016, p. 31-59.

BEE, Marco, DUPUIS, Debbie J., TRAPIN, Luca; « Realizing the extremes: Estimation of tail-risk measures from a high-frequency perspective », Journal of Empirical Finance, vol. 36, 2016, p. 86-99.

DUPUIS, Debbie J., PAPAGEORGIOU, Nicolas, RÉMILLARD, Bruno; « Robust Conditional Variance and Value-at-Risk Estimation », Journal of Financial Econometrics, vol. 13, no 4, 2015, p. 896-921.

DUPUIS, Debbie J., SUN, Y., WANG, Huixia Judy; « Detecting change-points in extremes », Statistics and Its Interface, vol. 8, no 1, 2015, p. 19-31.

PINEAU, Pierre-Olivier, DUPUIS, Debbie J., CENESIZOGLU, Tolga; « Assessing the value of power interconnections under climate and natural gas price risks », Energy, vol. 82, 2015, p. 128-137.

DUPUIS, Debbie J.; « A Model for Nighttime Minimum Temperatures », Journal of Climate, vol. 27, no 19, 2014, p. 7207-7229.



This award and honor selection covers the last five years.


DUPUIS, Debbie J.
ASA Fellow, American Statistical Association, 2017


This selection of supervision activities covers the last five years.

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Master's thesis direction – MSc in Management (2)


Beating the House: Exploiting Inefficiencies in the Major League Baseball Betting Market , by Andrei Munteanu
May 2015

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Supervised project supervision – MSc in Management (3)

In codirection with : PINEAU, Pierre-Olivier
An Investigation of Arbitrage Leading Indicators Between Ontario and New York Power Markets , by Alexis Ethier
May 2019

Formulation d'un modèle de prévision du volume de demandes pour les principales analyses du laboratoire afin de planifier les ressources humaines , by Maria Yepez Garces
March 2018

Élaboration d'un cadre d'analyse et de prévision des cycles sectoriels , by Ezzat Saleim Demnati
September 2017

Winter 2019

6-638-16
Méthodes de prévision
6-638-18A
Forecasting Methods

Fall 2018

80-622-10
Analysis of Extreme Values with Application in Financial Engineering

Winter 2018

1-620-15A
Statistics
6-638-16
Méthodes de prévision

Fall 2017

3-602-09
Modèles probabilistes et stochastiques de la gestion

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