Currently, I am working with my advisors on a statistical test which permit to choose between GARCH(p,q) and non linear GARCH models. 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
- Selection criteria in regime switching conditional volatility models – AMSE Working Papers (PDF)
- Testing for Misspecification in GARCH-type Models – joint with Emmanuel Flachaire and Anne Péguin-Feissolle – do not cite – (PDF)
- Is sovereign default looming for oil exportingcountries? The case of Russia and Venezuela – Do not cite – joint with Emma Hooper (PDF)
- Did carry trades hamper quantitative easing effectiveness in Japan ? – joint with Cyril Dell’Eva
- Misspecification tests in conditional covariances for large cross-sectional – joint with Bilel Sanhaji (Université Paris 8)