About Me

I am an Associate Professor (Maître de Conférence HDR) of Economics at Université Paris 8 (Vincennes - Saint-Denis). I am a research affiliate at Laboratoire d'Économie Dionysien (LED, EA 3391).

Research Interests

• Nonlinear time series econometrics and modeling volatility
• Tests in multivariate conditional heteroskedastic models
• Score Driven Models (Generalized Autoregressive Score)
• Financial econometrics with applications to cryptocurrencies and financial markets

Recent Highlights

• Published research on testing for time-varying smooth transition conditional covariance models in Studies in Nonlinear Dynamics & Econometrics (2025)
• Research on cryptocurrency volatility and machine learning applications in financial markets
• Ongoing work on A Joint Portmanteau Test for Multivariate Conditional Mean and Variance Models

Teaching

• Financial Econometrics (Master level)
• Time Series Econometrics (Master level)
• Probability and Statistics
• Python for Financial Econometrics
• Neural Networks

Among others; for more details, please visit the Teaching page and full CV.

Contact

Bilel Sanhaji
Office: D117, Bat. D
2 rue de la Liberté
93526 Saint-Denis Cedex
France
Email: bilel.sanhaji@univ-paris8.fr