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)
Contact:
Office: D117, Bât. D, 2 rue de la Liberté, 93526 Saint-Denis
Social: