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)


Office: D117, Bat. D, 2 rue de la Liberté, 93526 Saint-Denis


Linkedin, Orcid, RG