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Contacts
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Preprints Positional Portfolio Management (2014, with M. Rubin and C. Gouriéroux) Survival of Hedge Funds: Frailty vs Contagion (2012, with S. Darolles and C. Gouriéroux) (See here for the supplementary material) A Specification Test for Nonparametric Instrumental Variable Regression (2007, with O. Scaillet) (See Technical Report for the proofs of technical Lemmas) Default Correlation and Spread Term Structure (2003, with C. Gouriéroux)
Publications Inference in Group Factor Models with an Application to Mixed Frequency Data, (2019, with E. Andreou, E. Ghysels and M. Rubin), forthcoming in Econometrica. (See here for the supplementary material) Identification by Laplace Transform Transforms in Nonlinear Time Series and Panel Models with Unobserved Stochastic Dynamic Effects, (2018, with C. Gouriéroux), forthcoming in Journal of Econometrics. (See here for the supplementary material) Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models (2017, with E. Ghysels and M. Rubin), Journal of Financial Econometrics, 15, 509-560. Double Instrumental Variable Estimation of Interaction Models with Big Data (2017, with C. Gouriéroux), Journal of Econometrics, 201, 176-197. Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets (2016, with O. Scaillet and E. Ossola) Econometrica, 84, 985-1056. (See here for the supplementary material) Efficiency in Large Dynamic Panel Models with Common Factors (2014, with C. Gouriéroux), Econometric Theory, 30, 961-1020. (See the supplementary material for the proofs of technical Lemmas) Correlated Risks vs Contagion in Stochastic Transition Models (2013, with C. Gouriéroux), Journal of Economic Dynamic and Control, 37, 2241-2269. Semi-parametric Estimation of American Opion Prices (2013, with D. Ronchetti), Journal of Econometrics, 173, 57-82 (See here for the proofs of technical Lemmas) Nonparametric Instrumental Variables Estimation of Quantile Structural Effects (2012, with O. Scaillet), Econometrica, 80, 1533-1562 (See Technical Report for the proofs of technical Lemmas) Microinformation, Nonlinear Filtering and Granularity (2012, with C. Gouriéroux and A. Monfort), Journal of Financial Econometrics, 10, 1-53. Tikhonov Regularisation for Nonparametric Instrumental Variable Estimators (2012, with O. Scaillet), Journal of Econometrics, 167, 61-75 (See Technical Report for the proofs of technical Lemmas) Efficient Derivative Pricing by the Extended Method of Moments (2011, with C. Gouriéroux and E. Renault), Econometrica, 79, 1181-1232 (See this document for the proofs of technical Lemmas) Approximate Derivative Pricing in Large Classes of Homogeneous Assets with Systematic Risk (2011, with C. Gouriéroux), Journal of Financial Econometrics, 9, 237-280. Ambiguity Aversion and the Term Structure of Interest Rates (2008, with P. Porchia and F. Trojani), Review of Financial Studies, 22, 4157-4188. Duration Time Series Models with Proportional Hazard (2007, with C. Gouriéroux) Journal of Time Series Analysis, 29 (1), 74-124 An Efficient Nonparametric Estimator for Models with Non-linear Dependence (2007, with C. Gouriéroux) (See this document for part of the proofs and some additional results not included in the paper) Journal of Econometrics, 137 (1), 189-229 Stochastic Migration Models with Application to Corporate Risk (2005, with C. Gouriéroux)Journal of Financial Econometrics, 3 (2), 188-226 Robust Tests for Structural Breaks (2005, with F. Trojani and G. Urga) Journal of Econometrics, 129, 139-182 Migration Correlation: Definition and Efficient Estimation (2005, with C. Gouriéroux) Journal of Banking and Finance, 29, 865-894 Testing Asset Pricing models with Coskewness (2004, with G. Barone Adesi and G. Urga) Journal of Business and Economic Statistics, 22, 474-485 Volatility Timing Reduces Downside Risk (2001, with G. Barone Adesi and F. Trojani) International Journal of Finance, 13, 1794-1825 Generalization of the Luttinger Theorem for Fermionic Ladder Systems (1998, with S. Haas and T. M. Rice) Phys. Rev. B, 58, 9603-6
Editorial service I'm an Associate Editor of: The Journal of Financial Econometrics
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