Faculty

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VANHEMS Anne

Education

- Research fellow, Princeton University. Research at the Bendheim Center for Finance (April- June 2002)
- Award winner of Fulbright grant from the Franco- American Commission (2001- 2002)
- Ph.D in Applied Mathematics, under the direction of Professor Jean- Pierre Florens - Université de Toulouse 1 (1998- 2001)Thesis : Nonparametric study of solutions of differential equations
- Research Scholarship from CREST institute, Paris (1998- 2001)
- Graduate (Economist - statistician) of ENSAE : (Statistics and Economic Administration Graduate School) 1998
- DEA (credit program for Ph.D) in "Statistics and Random Models in Economics and Finance" - Université Paris 7 (1998)

Academic activities

ESC Toulouse :
- Professor of Statistics in the Information Management Department
- Data analysis - Advanced Program 1 - 2001/2002, 2002/2003
- Statistics and optimization methods - Foundation Program - 2002/2003
- Financial econometrics - Masters - 2001/2002, 2002/2003 Other institutions :
- Models of time series (ARCH) in Year 3 Sup'aéro (Aeronautical Graduate School) 2002/2003
- Econometric tutorials for DEA (credit program for Ph.D) students, Toulouse Université 1 : 1998/99 ; 1999/2000
- Time series for Maîtrise (Bachelor's degree students) in Econometrics: 1998/99 ; 1999/2000, 2000/2001
- Probabilities DEUG (undergraduate students) MASS 1998/99
- Statistics DEUG Economic Management : 1999/2000

Teaching Areas

- Statistics and probabilities
- Modelling and forecasting methods
- Financial econometrics
- Econometrics of time series and ARCH- GARH models

Teaching languages

- French
- English
- Spanish

Professional experience

- October/June 97/98 CCF Paris : Financial series volatility modelling using a long memory process (FIGARCH)
- July/August 1997 IDEI (Institute of Industrial Economy) ToulouseSubject: Estimation of surplus variations, in a study for the French Mail Service (La Poste)
- October/June 96/97 GPA Paris : Study of the evolution of GPA client portfolios
- July 1996 MATRA MARCONI SPACE Toulouse, Department of Project ControlSubject : risk management for spatial projects (using the @Risk software)

Research Activities

Research collaboration with: University of Toulouse 1: work in progress with Professor Jean- Pierre Florens University College London: work in progress with Professor Richard Blundell University of Princeton: Post- Doctorate under the direction of Professor Yacine Ait- Sahalia Credit Lyonnais, Paris: applied work in progress with Marie Brière

Research interests

- Structural Econometrics and inverse problems
- Nonparametric functional estimation
- Financial econometrics

Publications

Chapter in research book

GERMAIN, Laurent, ROUSSEAU, Fabrice et VANHEMS, Anne (2010) "Strategic Financial Intermediaries with Brokerage Activities", in Handbook of Trading, in Handbook of Trading Ch 26, Mc Graw-Hill: 389-402, février.

VANHEMS, Anne et FLORENS, Jean-Pierre (2008) "Functional and operational statistics", in Is it always optimal to impose constraints on nonparametric functional estimators? Some evidence on the smoothing parameter choice - functional and operatorial statistics, in Is it always optimal to impose constraints on nonparametric functional estimators? Some evidence on the smoothing parameter choice - functional and operatorial statistics, Sophie Dabo-Niang & Frédéric Ferraty: 173-179, septembre. [978-3-7908-2061-4]

Academic journal paper

VANHEMS, Anne (2010) 'Non parametric estimation of exact consumer surplus with endogeneity in price', Econometrics Journal, No. Special issue, janvier

VANHEMS, Anne (2006) 'Nonparametric study of solutions of differential equations', Econometric Theory, Vol. 22, janvier: 127-157

Refereed Conference contribution with published proceedings

VANHEMS, Anne (2010) 'Non-parametric estimation of exact consumer surplus with endogeneity in price', Séminaire de recherche - Université de Boston, Boston, 5 janvier - 10 janvier.

NALPAS, Nicolas et VANHEMS, Anne (2010) 'Hedge funds performance appraisal: a non-parametric approach', Mathematical and Statistical Methods for actual sciences and finance Conference, Ravello, 7 avril - 9 avril.

NALPAS, Nicolas et VANHEMS, Anne (2010) 'Hedge funds performance appraisal : a directional FDH approach', EWG-EPA 2010, Chania, 1 juillet - 6 juillet.

HODERLEIN, Stefan et VANHEMS, Anne (2010) 'Welfare analysis using nonseparable models', World Congress of the Econometric Society, Shanghai, 17 août - 21 août.

VANHEMS, Anne (2009) 'Non parametric estimation of exact consumer surplus with endogeneity in price', Conférence "Semi parametric and nonparametric methods in econometrics", Banf, 5 avril - 10 avril.

VANHEMS, Anne et ROUDAUT, Nolwenn (2009) 'Explaining firms efficiency in the ivorian manufacturing sector: a robust nonparametric approach', Conference INSEE, Paris, 23 mars - 25 mars.

VANHEMS, Anne (2009) 'Non parametric estimation of exact consumer surplus with endogeneity in price', Latin American Meeting of Econometrics, Buenos Aires, 1 octobre - 3 octobre.

FLORENS, Jean-Pierre et VANHEMS, Anne (2008) 'Is it always optimal to impose constraints on nonparametric functional estimators? Some evidence on the smoothing parameter choice', Inference and Tests in Econometrics, Marseille, 24 avril - 27 avril.

NALPAS, Nicolas, GERMAIN, Laurent et VANHEMS, Anne (2008) 'Hedge funds performance appraisal: a comparison of different nonparametric approaches', International Federation of Operational Research Societies (IFORS 2008), Sandton, 13 juillet - 18 juillet.

VANHEMS, Anne (2008) 'A unified approach to solve ill-posed inverse problems in econometrics', Conférence EEA-ESEM 2008, Milan, 27 août - 31 août.

VANHEMS, Anne (2008) 'Nonparametric estimation of exact consumer surplus with endogeneity', Conférence EC² Structural microeconometrics, Rome, 19 décembre - 20 décembre.

VANHEMS, Anne (2008) 'Nonparametric estimation of exact consumer surplus with endogeneity', Séminaire de Recherche Université de NUIM, Dublin, 24 octobre.

NALPAS, Nicolas, GERMAIN, Laurent et VANHEMS, Anne (2007) 'Hedge Funds Performance : A non Parametric Approach', 47 ème Congrès de la SCSE, Québec, 14 mai - 17 mai.

VANHEMS, Anne et FLORENS, Jean-Pierre (2007) 'Is it always optimal to impose constraints on nonparametric funtional estimators? Some evidence on the smoothing parameter choice', Journées de statistiques de la SFDS (Société Française de Statistiques), Angers, 11 juin - 15 juin.

VANHEMS, Anne et FLORENS, Jean-Pierre (2007) 'Is it always optimal to impose constraints on nonparametric functional estimators ? Some evidence on the smoothing parameter choice', Conférence ISI , Lisbonne, 20 août - 29 août.

VANHEMS, Anne (2007) 'A unified approach to solve ill-posed inverse problems in econometrics', Centre International de Rencontres Mathématiques, Marseille, 17 décembre - 21 décembre.

GERMAIN, Laurent, ROUSSEAU, Fabrice et VANHEMS, Anne (2006) 'Optimistic and Pessimistic Trading in Financial Markets', Conférence de l'European Financial Management Association, Durham, 20 avril - 22 avril.

VANHEMS, Anne (2006) 'Inverse problems in Econometrics', Journées MAS de la SMAI, Lille, 4 septembre - 6 septembre.

VANHEMS, Anne (2005) 'Nonparametric study of solutions of differential equations', Congrès Mondial de l'ISI, Sydney, 5 avril - 12 avril.

VANHEMS, Anne (2005) 'Recovering signals form observations of its derivatives on disconnected intervals', Congrès Mondial de l'ISI, Sydney, 5 avril - 12 avril.

VANHEMS, Anne (2005) 'Nonparametric estimation under shape constraints', Econometric Society World Congress, London, 19 août - 24 août.

VANHEMS, Anne (2005) 'Regularization spaces in inverse problems', Econometric Society World Congress, London, 19 août - 24 août.

ROUDAUT, Nolwenn et VANHEMS, Anne (2004) 'Measure of firms inefficiency and heterogeneity using nonparametric frontier models : the Côte d'Ivoire case', 31st conference of the European Association for Research in Industrial Economics (E.A.R.I.E.), Berlin, 2 septembre - 5 septembre.

ROUDAUT, Nolwenn et VANHEMS, Anne (2004) 'Measure of firms inefficiency and heterogeneity using nonparametric frontier models : the Côte d'Ivoire case', 4th International Symposium of DEA, Birmingham, 5 septembre - 6 septembre.

VANHEMS, Anne et ROUDAUT, Nolwenn (2004) 'Measure of firms inefficiency and heterogeneity using nonparametric frontier models : the Côte d'Ivoire case', LIIIème Congrès annuel de l'Association Française de Science Economique, Paris, 16 septembre - 17 septembre.

VANHEMS, Anne et LOUBES, Jean-Michel (2003) 'Adaptative penalized density estimation with L1 penalty', 35ème Journées de Statistique , Lyon, 2 juin - 6 juin.

VANHEMS, Anne et LOUBES, Jean-Michel (2003) 'Saturation spaces for regularization methods in inverse problems', European Meeting of the Econometric Society , Stockholm, 24 août - 28 août.

VANHEMS, Anne et NAUGES, Céline (2003) 'Estimation non paramétrique d’une fonction de demande avec tarification non linéaire', 35ème Journées de Statistique , Lyon, 2 juin - 6 juin.

VANHEMS, Anne (2002) 'Non-parametric study of differential equations with endogeneous effects', Congrès européen de l’Econometric Society , Venise, août.

VANHEMS, Anne (2001) 'Etude non paramétrique d’équations différentielles bruitées : application à la théorie du consommateur représentatif', 33ème Journées de la Statistique , Nantes, mai.

VANHEMS, Anne (2001) 'Nonparametric study of differential equations and inverse problems', Lausanne, 25 août - 29 août.

VANHEMS, Anne (2001) 'Random ordinary differential equations and application to the representative consumer', Lausanne, 29 août - 1 septembre.

Refereed Conference contribution without published proceedings

NALPAS, Nicolas et VANHEMS, Anne (2009) 'Hedge Funds Performance Appraisal: A Non-Parametric Approach', IBFR, San-José, 27 mai - 30 mai.

VANHEMS, Anne (2001) 'Differential operators and inverse problems', Workshop on inverse problems , Aalborg, mars.

Other conference contribution

VANHEMS, Anne et LOUBES, Jean-Michel (2006) 'Estimation of the solution of a differential equation with endogenous effect', Séminaire d'Econométrie, Louvain La Neuve, mai.

VANHEMS, Anne et LOUBES, Jean-Michel (2005) 'Estimation of the solution of a differential equation with endogenous effect', Workshop sur les problèmes inverses - Pascal Core event, Toulouse, 3 octobre - 7 octobre.

VANHEMS, Anne et LOUBES, Jean-Michel (2005) 'Estimation of the solution of a differential equation with endogenous effect', Séminaire d'Econométrie, Université Carlos III, Madrid, 12 décembre.

VANHEMS, Anne (2003) 'Solving differential equations with endogenous effects', Seminar presentation to Economics Department , London, 6 mars.

VANHEMS, Anne (2002) 'Nonparametric estimation of solutions of differential equations', Seminar Presentation at the Economic Department, Londres, 20 mars.

VANHEMS, Anne (2002) 'Nonparametric estimation of solutions of differential equations', Seminar Research Group of Econometrics, mai.

VANHEMS, Anne (2002) 'Differential equations with endogeneous effects', Seminar of Econometrics , Toulouse, 18 janvier.

VANHEMS, Anne (2002) 'Estimation of solutions of differential equations : the surplus consumer case', Séminaire d’Econométrie au département d’Economie , London, mai.

VANHEMS, Anne (2001) 'Estimation of solutions of random differential equations', Marseille, avril.

Departmental report and working paper

GERMAIN, Laurent, KLARSFELD, Alain et VANHEMS, Anne (2005) Managing HR in the financial sector : overview and research avenues, Toulouse: Groupe ESC Toulouse, mars   download : PDF

GERMAIN, Laurent, KLARSFELD, Alain et VANHEMS, Anne (2004) GRH et gérants de portefeuille : proposition pour une recherche pluridisciplinaire, Cahiers de la Recherche, mars   download : PDF

GERMAIN, Laurent et VANHEMS, Anne (2004) Why Do Banks Sell Brokerage Activities ?, Toulouse: Groupe ESC Toulouse   download : PDF

GERMAIN, Laurent, KLARSFELD, Alain et VANHEMS, Anne (2004) GRH et gérants de portefeuille : proposition pour une recherche pluridisciplinaire, 15 ème Congrès de l'AGRH, MONTREAL, septembre

VANHEMS, Anne et LOUBES, Jean-Michel (2003) Solving Differential Equations with Endogeneous Effects, Cahiers de l’Université de Paris-Sud

VANHEMS, Anne (2003) Nonparametric study of solutions of differential equations, Working paper   download : PDF

GERMAIN, Laurent, RENUCCI, Antoine, VANHEMS, Anne et ANDRIEU, Guillaume (2002) Venture Capital in France, IRDI et SPEFF, juin

Teaching case

GALY, Nadine et VANHEMS, Anne (2007) Cas CASH 1, juin.

GALY, Nadine et VANHEMS, Anne (2007) Cas CASH 2, juin.

GALY, Nadine et VANHEMS, Anne (2007) Cas PATERNE, juin.

GALY, Nadine et VANHEMS, Anne (2006) Princesse électroménager, mars.