Rachida Ouysse
Lecturer
School of Economics -
PhD and MA, Boston College | MA, University of Montreal | BA, INSEA Morocco
Expertise
Econometric Theory, Applied Econometrics, Financial Econometrics
- Bio
- Publications & Research
- Teaching & Supervision
- Grants
- Engagement
- Prizes & awards
Journal Articles
- Ouysse R, 2016, 'Bayesian model averaging and principal component regression forecasts in a data rich environment' International Journal of Forecasting, vol. 32, pp. 763 - 787, http://dx.doi.org/10.1016/j.ijforecast.2015.11.015
- Ouysse R, 2013, '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, pp. 1 - 29, http://dx.doi.org/10.1007/s00180-013-0447-0
- Ouysse R, 2013, 'A fast iterated bootstrap procedure for approximating the small-sample bias' Communications in Statistics: Simulation and Computation, vol. 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, vol. 31, pp. 2388 - 2403
- 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; Kohn R, 2010, 'Bayesian variable selection and model averaging in the arbitrage pricing theory model' Computational Statistics and Data Analysis, vol. 54, pp. 3249 - 3268, http://dx.doi.org/10.1016/j.csda.2009.09.034
- 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, vol. 82, pp. 230 - 233
- Ouysse R, 2006, 'Approximate factor models: Finite sample distributions' Journal of Statistical Computation and Simulation, vol. 76, pp. 279 - 303, http://dx.doi.org/10.1080/10629360500107964
- Ouysse R, 2006, 'Consistent variable selection in large panels when factors are observable' Journal of Multivariate Analysis, vol. 97, pp. 946 - 984, http://dx.doi.org/10.1016/j.jmva.2005.07.003
Conference Papers
- Ouysse R, 2018, 'Constrained Principal Components Analysis of Large Approximate Factor Models' in Constrained Principal Components Analysis of Large Approximate Factor Models, North American Winter Meetings of the Econometric Society, Philadelphia, USA, presented at North American Winter Meetings of the Econometric Society, Philadelphia, USA, 05 - 07 January 2018, https://assets.aeaweb.org/assets/production/files/6336.pdf
- Ouysse R, 2016, 'Efficient estimation of large approximate factor models using constrained principal components regression' in CFE-CMStatistics 2016, 10th International Conference on Computational and Financial Econometrics (CFE 2016), Seville, Spain, pp. 213 - 213, presented at 10th International Conference on Computational and Financial Econometrics (CFE 2016), Seville, Spain, 09 - 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' in Forecasting in a Data Rich Environment: Bayesian model averaging and principal components regression, 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy, pp. 72 - 73, presented at 8th International Conference on Computational and Financial Econometrics (CFE 2014), Pisa, Italy, 06 - 08 December 2014, 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, pp. 1624 - 1630
- Ouysse R, 2010, 'Efficient estimation of high dimensional factor models under cross sectional dependence' in Efficient estimation of high dimensional factor models under cross sectional dependence, Computational and Financial Econometrics, London, presented at Computational and Financial Econometrics, London, 10 - 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, 01 February 2009
- 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, Far Eastern Meeting of the Econometric Society, Singapore, pp. 1 - 29, presented at Far Eastern Meeting of the Econometric Society, Singapore, 16 - 19 July 2008
- 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, Bayesian Variable Selection of Risk Factors in the APT model, presented at Bayesian Variable Selection of Risk Factors in the APT model, 01 January 2007
- 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, 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, 01 January 2007
- Ouysse R, 2007, 'Finite sample properties of the dependent bootstrap for conditional moment models' in 36th Australian Conference of Economists, 36th Australian Conference of Economists, Hobart, presented at 36th Australian Conference of Economists, Hobart, 24 - 26 September 2007
Working Papers
- Ouysse R, 2013, 'Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression'
- Ouysse R, 2012, 'Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models'
- Ouysse R, 2008, 'Time Varying Determinants of Cross-Country Growth', Working Paper, School of Economics, UNSW
Other Academic Work
- Ouysse R, 2013, 'Bayesian model averaging and principal component regression forecasts in a data rich environment' in Bayesian model averaging and principal component regression forecasts in a data rich environment, 1st Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Vienna, Austria, presented at 1st Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Vienna, Austria, 08 - 10 June 2013, http://www.ihs.ac.at/conferences/timeseries/index.html
- Ouysse R, 2012, 'Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models' in Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models, 2012/22nd NZESG Meeting, Wellington, New Zealand, presented at 2012/22nd NZESG Meeting, Wellington, New Zealand, 23 - 24 February 2012
- Ouysse R, 2012, 'Efficientestimationofhighdimensionalfactormodelsundercrosssectionaldependence' in Efficientestimationofhighdimensionalfactormodelsundercrosssectionaldependence, 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Oviedo, Spain, presented at 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Oviedo, Spain, 01 - 03 December 2012, http://www.cfe-csda.org/cfe12/BoA.pdf
- Ouysse R, 2010, 'New Evidence on the time varying risk aversion from a dynamic multinomial logit augmented C-CAPM' in New Evidence on the time varying risk aversion from a dynamic multinomial logit augmented C-CAPM, Australian Conference of Economists, Sydney, presented at Australian Conference of Economists, Sydney, 27 - 29 September 2010
- Ouysse R, 2008, 'Finite Sample Properties of the Dependent Bootstrap for Conditional moments Models' in Finite Sample Properties of the Dependent Bootstrap for Conditional moments Models, 2nd International Workshop on Computational and Financial Economics, Neuchatel, Switzerland, presented at 2nd International Workshop on Computational and Financial Economics, Neuchatel, Switzerland, 19 - 21 June 2008
- Ouysse R, 2006, Introduction to the mathematical and statistical foundations of econometrics
Research Grants
- 2009: UNSW Australia Business School research grant, UNSW, $16,000
- 2007: Special Research Grant (SRG), UNSW, $4948
- 2006: Special Research Grant, UNSW, $3000
- 2005: Special Research Grant, UNSW, $4000
- 2004: Special Research Grant, UNSW, $3725
- 2003: Center for Applied Economic Research CAER, UNSW, $3000
- 2003: Faculty Research Grant Program (FRGP), UNSW, $ 15,000