Mohamed Chaouch
Associate Professor · Qatar University

Mohamed Chaouch

Department of Mathematics & Statistics

Quant. Finance Researcher and Statistician with expertise in high-frequency financial data modelling, volatility forecasting, copula-based dependence, VaR/ES estimation, and machine learning in finance. Grounded in limit theorems and statistical inference for stochastic processes, my work bridges rigorous theory and applied financial econometrics to address real-world risk and portfolio decisions.

View Publications About Me Download CV
InstitutionQatar University, Doha
DepartmentMathematics & Statistics
CollegeArts & Sciences
Contact Me
Biography

Quant Researcher & Statistician

Quant Risk | Machine Learning in Finance | Copulas Modelling

Associate Professor of Statistics at Qatar University with more than 15 years of experience across academia, applied research, and industrial R&D, including a former role as Permanent Research Engineer at EDF R&D, Électricité de France, in Paris.

My research develops nonparametric and semiparametric statistical methods for financial risk modelling, with applications in credit risk, energy markets, and financial time series. I have published more than 25 journal articles in journals including the Electronic Journal of Statistics, Journal of Multivariate Analysis, Annals of Operations Research, Annals of the Institute of Statistical Mathematics, Computational Statistics and Data Analysis, and Journal of Statistical Planning and Inference.

I have taught a broad range of graduate and undergraduate courses in statistics, probability, time series, regression, statistical learning, and statistical computing across Qatar University, UAE University, and the University of Reading. I have supervised PhD, MSc, and BSc students on topics including functional regression, copula-based classification, volatility modelling, and real-time risk monitoring.

Research Interests
01
Financial
Econometrics
Wikipedia ↗
02
Statistical
Learning
Wikipedia ↗
03
Copula-based
Modelling
Wikipedia ↗
04
Functional
Data Analysis
Wikipedia ↗
Career

Academic
Journey

Experience
Since 2019
Associate Professor of Statistics
Qatar University · Doha, Qatar
2018 — 2019
Associate Professor
UAE University · United Arab Emirates
2014 — 2018
Assistant Professor
UAE University · United Arab Emirates
2013 — 2014
Research Associate
University of Reading · United Kingdom
2009 — 2013
Permanent Research Engineer
EDF R&D (Électricité de France) · Paris, France
2006 — 2009
Teaching Fellow
University of Burgundy Europe · Dijon, France
Education
Ph.D. · 2009
Mathematics
University of Burgundy Europe · Dijon, France
M.Sc. · 2005
Biostatistics
University of Montpellier II · France
B.Eng. · 2004
Statistics and Data Analytics
University of Carthage · Tunisia
Teaching

Recent
Courses

Spring 2026
Time Series STAT 333
Statistics I STAT 101
Fall 2025
Statistical Packages STAT 371
Statistics I STAT 101
Spring 2025
Statistical Computation & Simulation STAT 617
Time Series STAT 333
Statistics I STAT 101
Supervision

Students
Supervision

PhD Students
2022–
2026
Abdelbasset Djeniah
Advanced estimation methods for complex functional regression models.
University of Saida, Algeria · Joint with A. A. Bouchentouf
Publication ↗
MSc Students
2025
Amel Mansouri
Supervised classification models with copulas.
University of Sherbrooke, Canada · Joint with T. Bouezmarni
2023
Feriel Achaibou
Volatility estimation in missing at random high-frequency financial time series.
Qatar University
2020
Shaikha Abdulla
Proportional hazard regression model for partly interval censored data.
Qatar University · Joint with F. Elfaki
BSc Students
2023
Omama Al-Hamed
Real-time statistical learning with application to fetal well-being monitoring and credit risk.
Qatar University
Publication ↗
Research Output

Publications

* former/current PhD student  |  ** former/current BSc/MSc student
Manuscripts Under Review / Submitted
[30]
Semiparametric estimation of extreme value-at-risk and expected shortfall with high-frequency predictors.
with Bouchentouf, A.A.
Submitted
[29]
Uniform prediction bands for functional time series with conditional heteroscedasticity.
Submitted
[28]
Market competition and poverty dynamics: Short and long run effects across financial development levels.
with Stengos, T.
Submitted
arXiv ↗
[27]
Modeling the happiness-sustainability nexus via graphical lasso and Quantile-Quantile regression.
with Stengos, T.
Submitted
arXiv ↗
Papers — Methodology
[26]
Scalable nonparametric supervised learning for streaming and massive data: applications in healthcare monitoring and credit risk.
with Al-Hamed, O.M.**
IEEE Access, 2025, 13, 131716–131732
Journal ↗
[25]
Functional conditional volatility modeling with missing data: inference and application to energy commodities.
with Djeniah, A.* and Bouchentouf, A.A.
Journal of Mathematics, 2025, 1, 8695947
Journal ↗
[24]
Regression estimation for continuous time functional data processes with missing at random response.
with Laib, N.
Journal of Nonparametric Statistics, 2025, 37, 1, 1–32
Journal ↗
[23]
Joint parametric specification checking of conditional mean and volatility in time series models with martingale difference innovations.
with Ghoudi, K. and Laib, N.
Journal of Nonparametric Statistics, 2023, 35, 1, 88–121
Journal ↗
[22]
Uniform limit theorems for a class of conditional Z-estimators when covariates are functions.
with Bouzebda, S.
Journal of Multivariate Analysis, 2022, 189, 104872
Journal ↗
[21]
Asymptotics for function derivatives estimators based on stationary and ergodic discrete time processes.
with Bouzebda, S. and Didi, S.
Annals of the Institute of Statistical Mathematics, 2022, 74, 737–771
Journal ↗
[20]
Single functional index quantile regression under general dependence structure.
with Bouchentouf, A.A., Traore, A. and Rabhi, A.
Journal of Nonparametric Statistics, 2020, 32, 3, 725–755
Journal ↗
[19]
Real-time estimation for functional stochastic regression models.
with Aboubacar, A.
Journal of Statistical Computation and Simulation, 2020, 90, 9, 1705–1732
Journal ↗
[18]
Optimal asymptotic MSE of kernel regression estimate for continuous time processes with missing at random response.
with Laib, N.
Statistics and Probability Letters, 2019, 154, 2, 161–178
Journal ↗
[17]
Volatility estimation in a nonlinear heteroscedastic functional regression model with martingale difference errors.
Journal of Multivariate Analysis, 2019, 170, 129–148
Journal ↗
[16]
Mean and median based nonparametric estimation of returns in mean-downside risk portfolio frontier.
with Ben Salah, H., Gannoun, A., De Peretti, C. and Trabelsi, A.
Annals of Operations Research (S.I.: Financial Economics), 2018, 262, 2, 653–681
Journal ↗
[15]
Rate of uniform consistency for a class of mode regression on functional stationary ergodic data.
with Laib, N. and Louani, D.
Statistical Methods and Applications, 2017, 26, 1, 19–47
Journal ↗
[14]
Nonparametric M-estimation for right censored regression model with stationary ergodic data.
with Laib, N. and Ould Said, E.
Statistical Methodology, 2016, 33, 234–255
Journal ↗
[13]
Limiting law results for a class of conditional mode estimates for functional stationary ergodic data.
with Bouzebda, S. and Laib, N.
Mathematical Methods of Statistics, 2016, 25, 3, 168–195
Journal ↗
[12]
Vector-on-function quantile regression for stationary ergodic processes.
with Laib, N.
Journal of the Korean Statistical Society, 2015, 44, 2, 161–178
Journal ↗
[11]
Randomly censored quantile regression estimation using functional stationary ergodic data.
with Khardani, S.
Journal of Nonparametric Statistics, 2015, 27, 1, 65–87
Journal ↗
[10]
Clustering-based improvement of nonparametric functional time series forecasting. Application to intraday household-level curves.
IEEE Transactions on Smart Grid, 2014, 5, 1, 411–419
Journal ↗
[09]
Nonparametric multivariate L1-median regression estimation with functional covariates.
with Laib, N.
Electronic Journal of Statistics, 2013, 7, 1553–1586
Journal ↗
[08]
Using complex surveys to estimate the L1-median of a functional variable: application to electricity load curves.
with Goga, C.
International Statistical Review, 2012, 80, 40–59
Journal ↗
[07]
Design-Based estimation for geometric quantiles with application to outlier detection.
with Goga, C.
Computational Statistics and Data Analysis, 2012, 54, 10, 2214–2229
Journal ↗
[06]
Properties of design-based functional principal components analysis.
with Cardot, H., Goga, C. and Labruere, C.
Journal of Statistical Planning and Inference, 2010, 140, 75–91
Journal ↗
[05]
Conditional and non-conditional geometric quantile estimation.
with Gannoun, A. and Saracco, J.
Journal of the French Statistical Society, 2009, 150, 2, 1–27
Papers — Applications
[04]
On happiness and sustainability comovement — evidence from regularized regression and semiparametric copula model.
with Katsaiti, M.S.
Social Indicators Research, 2026, 181, 36
Journal ↗
[03]
Probabilistic wind speed forecasting for wind turbines allocation in the power grid.
Energies, 2023, 16, 22, 7615
Journal ↗
[02]
Optimal Wind Turbine Design based Wind Potential and Radial Distribution Network Characteristics.
with Bourhim, F.Z., Ouammi, A. and Benchrifa, R.
IEEE Access, 2023, 11, 2169–3536
Journal ↗
Book Chapters
[01]
Functional principal components analysis with survey data.
with Cardot, H., Goga, C. and Labruere, C.
Functional and Operational Statistics, Dabo-Niang, S. and Ferraty, F. (Eds.), Physica-Verlag, Heidelberg, 2008, 95–102
Chapter ↗
Funding

Research
Grants

Copula-enhanced conditional portfolio optimization under Mean-Variance and Mean-Semivariance criteria
US$ 3,000
RoleLead Principal Investigator
FunderQatar University — Student Grant
Period2026 – 2027
Copula Modelling Portfolio Optimization
Recursive Statistical Approaches for Massive Data Challenge
US$ 55,000
RoleLead Principal Investigator
FunderUAE University — Start-up Competitive Research Grant
Period2015 – 2018
Stochastic Algorithms Recursive Estimation Probabilistic Forecasting High-Dimensional Data Electricity & Renewable Energy
Editorial Activity

Journal
Contributions

Advisory Panel Member
Topical Advisory Panel
Journal of Risk and Financial Management (MDPI)
Guest Editor
Machine Learning Based Risk Management in Finance and Insurance
Special Issue · Journal of Risk and Financial Management
MC
Ask about Mohamed Chaouch
● AI Assistant · Powered by Claude
Hello! I can answer questions about Prof. Chaouch's research, publications, teaching experience, supervision, and expertise in statistics and financial econometrics. What would you like to know?