Working Papers in Econometrics
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"SWAG: A wrapper method for sparse learning" with R. Molinari, G. Bakalli, S. Guerrier, C. Migliogli, and S. Orso, Swiss Finance Institute DP 2020.49. Abstract pdf |
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"Reverse score and likelihood ratio tests" with G. Dhaene, IRES DP 2026 and CREST DP 2000-60. Abstract pdf ps |
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"Bartlett identities tests" with A. Chesher, G. Dhaene and C. Gouriéroux, IRES DP 9919, CREST DP 9932 and CORE DP 9939. pdf ps |
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"Forecast intervals in ARCH exponential smoothing" with L. Broze and G. Mélard, CORE DP 9481 and CREST DP 9502. |
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"Estimation of models with ARCH errors and applications" with R. Azrak and G. Mélard, User's guide TSE Time Series Software, 1993. |
B. Econometrics applied to Finance and Insurance
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"Mean reversion trading on the naphtha crack", with B. Turquet and P. Bajgrowicz, Swiss Finance Institute DP 2024.101. Abstract pdf Replication Files |
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"Sparse spanning portfolios and under-diversification with second-order stochastic dominance", with S. Arvanitis and N. Topaloglou, Swiss Finance Institute DP 2024.08. Abstract pdf |
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"Latent factor analysis in short panels", with A.-P. Fortin and P. Gagliardini, Swiss Finance Institute DP 2023.44. Abstract pdf SM coding Replication Files |
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"Reconstitution de la courbe des taux zéro-coupon et modèles d'arbitrage" with A. Frachot, mimeo. |
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"Estimation of the term structure from bond data" with C. Gouriéroux, CREST DP 9415 and CEPREMAP DP 9415. |