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.
- Selection criteria in regime switching conditional volatility models – Econometrics, MDPI, 2015
- Testing for Misspecification in the short-run component of GARCH-type Models – joint with Emmanuel Flachaire and Anne Péguin-Feissolle – Forthcoming in Studies in Nonlinear Dynamics and Econometrics – PDF available on demand – Github
- 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 The case of Russia and Venezuela – Do not cite – joint with Emma Hooper (PDF) – Submitted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 – Do not cite – joint with Cyril Dell’Eva – Submitted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 (Université Paris 8)