Research and publications

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.


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 The case of Russia and Venezuela – Do not cite – joint with Emma Hooper (PDF) – Submitted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 – Do not cite –  joint with Cyril Dell’Eva – Submitted


  • Misspecification tests in conditional covariances for large cross-sectional – joint with Bilel Sanhaji (UniversitĂ© Paris 8)