Curriculum Vitae
Current Position
Associate Professor (Maître de Conférence HDR) of Economics
Université Paris 8 Vincennes - Saint-Denis
Laboratoire d'Économie Dionysien (LED, EA 3391)
Saint-Denis, France
Associate Editor
Finance Research Letters
Education
Habilitation à Diriger des Recherches (HDR)
Université Paris 8
2023
Ph.D. in Economics
Aix Marseille School of Economics
2014
Research Interests
- Nonlinear time series econometrics and modeling volatility
- Tests in multivariate conditional heteroskedastic models
- Score Driven Models (Generalized Autoregressive Score)
- Financial econometrics and cryptocurrency markets
- Machine learning applications in finance
Selected Publications
"A test for time-varying smooth transition conditional covariance models in multivariate time series", Studies in Nonlinear Dynamics & Econometrics, 2025
"Tracking 'Pure' Systematic Risk with Realized Betas for Bitcoin and Ethereum", Econometrics, 2023
"Testing for nonlinearity in conditional covariances", Journal of Time Series Econometrics, 2017
Teaching Experience
Current courses at Université Paris 8:
- Financial Econometrics (Master level, English & French)
- Time Series Econometrics (Master level, English & French)
- Probability and Statistics (Undergraduate & Master level)
- Microeconomics (Undergraduate level, French)
Contact Information
Office: D117, Bat. D
2 rue de la Liberté
93526 Saint-Denis Cedex
France
Email: bilel.sanhaji@univ-paris8.fr