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
- The role of carry trades on the effectiveness of Japan’s quantitative easing
- Co-author: Cyril Dell’Eva
- Journal: International Economics, 2020, 161, 30-40 – PDF available on demand
- DOI: 10.1016/j.inteco.2019.11.001
- An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela
- Emma Hooper
- Journal: Energy Economics, 2019, 80, 904-916
- 10.1016/j.eneco.2019.02.003
Working papers
- Misspecification tests in conditional covariances for large cross-sectional – joint with Bilel Sanhaji (Université Paris 8)
Projects
- Sentometrics, big-data and monetary policy