Current works
Currently, I am working on the impact of central bank communication on contagion. I work also on a couple of projects listed below. If you want to collaborate on a project, don’t hesitate to send me a mail.
Publications
- Selection criteria in regime switching conditional volatility models
- Journal: Econometrics, MDPI, 2015
- Testing for Misspecification in the short-run component of GARCH-type Models
- Co-authors: Emmanuel Flachaire and Anne Péguin-Feissolle
- Journal: Studies in Nonlinear Dynamics and Econometrics, 2018 – PDF available on demand
- DOI: 10.1515/snde-2017-0069
- Codes: Github
Working papers
- Selection criteria in regime switching conditional volatility models – AMSE Working Papers (PDF)
- Is sovereign default looming for oil exportingcountries? The case of Russia and Venezuela – Do not cite – joint with Emma Hooper (PDF) – Submitted
- Did carry trades hamper quantitative easing effectiveness in Japan ? – Do not cite – joint with Cyril Dell’Eva – Submitted
Projects
- Misspecification tests in conditional covariances for large cross-sectional – joint with Bilel Sanhaji (Université Paris 8)