Dr Rachida   Ouysse
Lecturer

Dr Rachida Ouysse

Business School
Sch of Economics

I completed my PhD in Economics with specialisation in Econometrics at Boston College in 2003. Prior to joining UNSW, I held several teaching and research appointments at Boston College and University of Montreal. I have also been a visiting academic at the Risk Management Institute in Singapore, Department of Economics in San Diego USA, Department of Economics at University College Dublin, Ireland, and European Centre for Applied Research in Economics and Statistics (ECARES) in Brussels. 

My main research expertise is on modelling, estimating and making correct statistical analysis in big systems. Big-data presents technical challenges (hence curse of dimensionality) to the existing statistical tools that are used in economics and finance. My work falls in the new line of research that aims at turning this curse into a blessing. I have been published in top tier field journals. My contribution to the theoretical developments in econometrics has direct empirical implications. For example, a hedge fund manager wants to know what are the drivers of the market risk. Once these risk factors are identified, the hedge fund manager can build a portfolio to diversify away this risk. In big-data world, there are potentially hundreds/thousands of sources of systematic risk. The statistical tool I develop use this large volumes of information and selects the main key risk drivers without the fund manager having to make an uninformed ad-hoc guess. The technique is accurate and reliable and can be applied in many scenarios in Finance and Economics. Currently, I am working on identifying key drivers of growth in the real estate market in Australian Capital cities. For the Sydney area, the work is building a  big data spatial econometric model to uncover what drives the high premium some suburbs earn their homeowners.

In another. area interest, I have published in A* journal in Finance where I establish new evidence of dependence of risk aversion on the Business cycle. Aggregate risk aversion it seems does vary with periods of economic booms and busts. Consumers perception of risk and wiliness to engage in risky ventures is conditional of the health of the economy.

Statistical inference sometimes has to be performed in small samples and asymptotic tools are no longer reliable. I have expertise in using simulation methods like the Bootstrap to study the statistical properties of key estimators like the Generalized Method of Moments estimator in models of practical importance in consumer behaviours. These models include the rational expectation model of the consumption asset pricing model.

Research Interests:

  • Econometric Theory: Statistical Inference in High-Dimensional Factor Models, Bootstrap Methods, GMM Estimation, Bayesian Econometrics
  • Applied Econometrics: Forecasting with large number of predictors
  • Financial Econometrics: Arbitrage pricing theory model, Consumption CAPM

ASB Profile: http://www.asb.unsw.edu.au/schools/Pages/RachidaOuysse.aspx

 

Phone
93853321
Location
Room 441, Australian School of Business building

Publications

  • Journal articles | 2016
    Dr Rachida Ouysse
    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
    Journal articles | 2014
    Dr Rachida Ouysse
    Ouysse R, 2014, '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, vol. 29, pp. 233 - 261, http://dx.doi.org/10.1007/s00180-013-0447-0
    Journal articles | 2014
    Dr Rachida Ouysse
    Ouysse R, 2014, 'On the performance of block-bootstrap continuously updated GMM for a class of non-linear conditional moment models.', Comput. Stat., vol. 29, pp. 233 - 261
    Journal articles | 2011
    Dr Rachida Ouysse
    Ouysse R, 2011, '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
    Journal articles | 2011
    Dr Rachida Ouysse
    Ouysse R, 2011, 'Computationally efficient approximation for the double bootstrap mean bias correction', Economics Bulletin, vol. 31, pp. 2388 - 2403, http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I3-P214.pdf
    Journal articles | 2010
    Dr Rachida Ouysse
    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
    Journal articles | 2010
    Dr Rachida Ouysse
    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
    Journal articles | 2006
    Dr Rachida Ouysse
    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
    Journal articles | 2006
    Dr Rachida Ouysse
    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
    Journal articles | 2006
    Dr Rachida Ouysse
    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
  • Working Papers | 2021
    Dr Rachida Ouysse
    Shi S; Mangioni V; Ge J; Herath S; Ouysse R; Rabhi F, 2021, House Price Forecasting from Investment Perspectives, http://dx.doi.org
    Working Papers | 2020
    Dr Rachida Ouysse
    Ouysse R, 2020, Housing prices predictability in a data rich environment: case of Austrlia’s Capital Cities, http://dx.doi.org
    Working Papers | 2020
    Dr Rachida Ouysse
    Ouysse R, 2020, Constrained principal components estimation of large approximate factor models, http://dx.doi.org
    Working Papers | 2020
    Dr Rachida Ouysse
    Ouysse R, 2020, Asset pricing with endogenous state-dependent risk aversion, http://dx.doi.org
    Conference Papers | 2019
    Dr Rachida Ouysse
    Ouysse R, 2019, 'Asset Pricing with endogenous state-dependent risk aversion', Rabat Morocco, presented at 2019 Africa Meeting of the Econometric Society, Rabat Morocco, 11 July 2019 - 13 July 2019
    Conference Papers | 2018
    Dr Rachida Ouysse
    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 January 2018 - 07 January 2018, https://assets.aeaweb.org/assets/production/files/6336.pdf
    Conference Papers | 2016
    Dr Rachida Ouysse
    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 December 2016 - 11 December 2016, http://www.cfenetwork.org/CFE2016/docs/BoA%20CFE-CMStatistics%202016.pdf?20161110230038
    Conference Abstracts | 2015
    Dr Rachida Ouysse
    Ouysse R, 2015, 'Shrinkage PCA for ecient estimation of large approximate factor models', in 9th International Conference on Computational and Financial Econometrics (CFE 2015), 2015 - CFE and CMStatistics networks, pp. 133 - 133, presented at 9th International Conference on Computational and Financial Econometrics (CFE 2015), http://www.cfenetwork.org/CFE2015/docs/BoA%20CFE-CMStatistics%202015.pdf?20170207164601
    Conference Papers | 2014
    Dr Rachida Ouysse
    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 December 2014 - 08 December 2012, http://www.cfenetwork.org/CFE2014/docs/BoA%20CFE-ERCIM%202014.pdf
    Conference Posters | 2013
    Dr Rachida Ouysse
    Ouysse R, 2013, 'Bayesian model averaging and principal component regression forecasts in a data rich environment', Vienna, Austria, presented at 1st Vienna Workshop on High-Dimensional Time Series in Macroeconomics and Finance, Vienna, Austria, 08 June 2013 - 10 June 2013, http://www.ihs.ac.at/conferences/timeseries/index.html
    Working Papers | 2013
    Dr Rachida Ouysse
    Ouysse R, 2013, Forecasting using a large number of predictors: Bayesian model averaging versus principal components regression, http://dx.doi.orghttp://econpapers.repec.org/paper/swewpaper/2013-04.htm
    Conference Presentations | 2012
    Dr Rachida Ouysse
    Ouysse R, 2012, 'Efficientestimationofhighdimensionalfactormodelsundercrosssectionaldependence', presented at 6th CSDA International Conference on Computational and Financial Econometrics (CFE 2012), Oviedo, Spain, 01 December 2012 - 03 December 2012, http://www.cfe-csda.org/cfe12/BoA.pdf
    Working Papers | 2012
    Dr Rachida Ouysse
    Ouysse R, 2012, Comparison of Bayesian moving Average and Principal Component Forecast for Large Dimensional Factor Models, http://dx.doi.orghttp://econpapers.repec.org/paper/swewpaper/2012-03.htm
    Conference Presentations | 2012
    Dr Rachida Ouysse
    Ouysse R, 2012, 'Comparison of Bayesian Moving Average and Principal Component Forecasts for Large Dimensional Factor Models', presented at 2012/22nd NZESG Meeting, Wellington, New Zealand, 23 February 2012 - 24 February 2012
    Conference Papers | 2011
    Dr Rachida Ouysse
    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, Modelling and Simulation Society, Australian National University, Canberra, ACT, Australia, pp. 1624 - 1630, presented at MODSIM 2011 - 19th International Congress on Modelling and Simulation - Sustaining Our Future: Understanding and Living with Uncertainty, Perth, WA, 12 December 2011 - 16 December 2011, http://www.mssanz.org.au/modsim2011/D10/ouysse.pdf
    Conference Papers | 2010
    Dr Rachida Ouysse
    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 December 2010 - 12 December 2010
    Conference Presentations | 2010
    Dr Rachida Ouysse
    Ouysse R, 2010, 'New Evidence on the time varying risk aversion from a dynamic multinomial logit augmented C-CAPM', presented at Australian Conference of Economists, Sydney, 27 September 2010 - 29 September 2010
    Conference Papers | 2009
    Dr Rachida Ouysse
    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
    Conference Papers | 2008
    Dr Rachida Ouysse
    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 July 2008 - 19 July 2008
    Conference Presentations | 2008
    Dr Rachida Ouysse
    Ouysse R, 2008, 'Finite Sample Properties of the Dependent Bootstrap for Conditional moments Models', presented at 2nd International Workshop on Computational and Financial Economics, Neuchatel, Switzerland, 19 June 2008 - 21 June 2008
    Working Papers | 2008
    Dr Rachida Ouysse
    Ouysse R, 2008, Time Varying Determinants of Cross-Country Growth, School of Economics, UNSW, Working Paper, School of Economics, UNSW, http://dx.doi.org
    Conference Papers | 2007
    Dr Rachida Ouysse
    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
    Conference Papers | 2007
    Dr Rachida Ouysse
    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 September 2007 - 26 September 2007
    Conference Papers | 2007
    Dr Rachida Ouysse
    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
    Other | 2006
    Dr Rachida Ouysse
    Ouysse R, 2006, Book Review: Introduction to the mathematical and statistical foundations of econometrics, Blackwell Publishing

Awards

Certificate of Outstanding Contribution in Reviewing, Emerging Markets Review, 2018

Best Paper Award, V IIth Spring Meeting of Young Economists

Grants

  • Landcom (NSW Government) funded project: Review and development of a predictive model for the Sydney housing market, 2018-2019, ($35, 000)
  • Business School Research Grant, UNSW, 2018 ($10, 000)
  • ARC Project Booster Grant, Economics UNSW, 2017 ($5,000)
  • ARC Application Incentive Funding, ASB, UNSW, 2010-2013-2016 ($2, 000) Contestable Funding for International Strategic Projects, UNSW, 2012 ($30,000)
  • Australian School of Business Research Grant (ASBRG), UNSW, 2009 ($16,000)
  • Special Research Grant (SRG), UNSW, 2004-07 ($5,000, $3,000, $4,000, $4,000)
  • 2003: Center for Applied Economic Research CAER, UNSW, $3000
  • 2003: Faculty Research Grant Program (FRGP), UNSW, $ 15,000
  • Center for Applied Economic Research Grant CAER, 2003
  • Faculty Research Grant Program (FRGP), UNSW 2003 ($30, 000)
  • Best Paper Award, V IIth Spring Meeting of Young Economists
  • Doctoral Fellowship, Boston College, 1997-2002
  • H. Michael Mann Summer Dissertation Award, Boston College, 2000 Dissertation Award, Boston College, 2001
  • Thesis Proposal Award, Boston College, 2001
  • Excellence Bourse, University of Montreal, 1997
  • Full Scholarship, Canadian International Development Agency, 1995-1997

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