Associate Professor (Maître de Conférence HDR) of Economics
Université Paris 8, Vincennes --> Saint-Denis
Laboratoire d’Économie Dionysien, EA 3391
Associate Editor of Finance Research Letters
Research Interest:
Nonlinear time series econometrics and modeling volatility
Tests in multivariate conditional heteroskedastic models
Score Driven Models (Generalized Autoregressive Score)
Published Research Papers:
Jump-robust REGARCH-MIDAS-X estimators for Bitcoin and Ethereum volatility indices, w/ JC, 2023, Stats
Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum, w/ JC, 2023, Econometrics
Testing for nonlinearity in conditional covariances, 2017, Journal of Time Series Econometrics
Tests of the constancy of conditional correlations of unknown functional form in multivariate GARCH models, w/ APF, 2016, Annals of Economics and Statistics
Volatility spillovers across daytime and overnight information between China and world equity markets, w/ JH, 2015, Applied Economics
Ongoing Research:
Scalar BEKK with covariance targeting and smooth transition (previously entitled: Nonlinear Scalar BEKK)
A Test for Nonlinear Conditional Covariance Models in Multivariate Time Series
A misspecification test for nonlinearity in conditional covariances, w/ TC
Teaching Experience:
Financial Econometrics (fr, en), Probability and Statistics (fr, en), Econometrics (fr, en), Neural Networks (en), Economic Analysis (fr), Financial Mathematics (fr), Microeconomics (fr), Descriptive Statistics I and II (fr), Analysis I (fr)
Contact:
Office: D117, Bat. D, 2 rue de la Liberté, 93526 Saint-Denis
Social: