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:

Tracking ‘Pure’ Systematic Risk with Realized Betas for Bitcoin and Ethereum, with 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, with APF, 2016, Annals of Economics and Statistics

Volatility spillovers across daytime and overnight information between China and world equity markets, with JH, 2015, Applied Economics

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, Bât. D, 2 rue de la Liberté, 93526 Saint-Denis


Linkedin, Orcid, RG