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.

My Github where you can find all my codes for replications:

https://github.com/archuff

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
  • Co-author: Emma Hooper
  • Journal: Energy Economics, 2019, 80, 904-916
  • 10.1016/j.eneco.2019.02.003
• Interest in cryptocurrencies predicts conditional correlation dynamics
  • Journal: Finance Research Letters, 2021

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
• A new approach to nowcast exchange rates, with Cyril Dell’Eva