RESEARCH




CV Download


WORKING PAPERS
  • Optimization of the Generalized Covariance Estimator in Noncausal Processes Download with G. Cubbada, F. Giancaterini and A. Hecq
  • Digital Divide: Empirical Study of CIUS 2020 Download with Peter MacKenzie and Pujee Tuvaandorj
  • Penalized Likelihood Inference with Survey Data Download with Pujee Tuvaandorj
  • Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal (S)VAR Models Download, with C. Gourieroux, Appendix: Download
    • old version: Nonlinear Forecasts and Impulse Responses for Causal-Noncausal (S)VAR Models Download, Appendix: Download
  • Long Run Risk in Stationary Vector Autoregressive Models Download with C. Gourieroux
  • A Stochastic Tree with Application to Bubble Modelling and Pricing Download with C. Gourieroux
  • Composite Likelihood for Stochastic Migration Model with Unobserved Factor Download with A. Djogbenou, C. Gourieroux and M. Bandehali

CODES
  • Code for GCOV, mixed VAR(1) estimation, new version JBES(2022) Download
  • Codes for Deconvolution of AR(1) imaginary: Download, real Download, Noise: imaginary:Download, real: Download
  • Code for MAR(1,1) Forecast of WTI Crude Oil Prices JTSA(2016), JoF(2020) Download
  • Code for MAR(1,1) Cauchy or t-Student Simulation, JTSA(2016) Download
  • Code for MAR(1,1) Cauchy AML Estimation JTSA(2016) Download
  • Code for Simulation and GCOV Estimation of Cauchy Noncausal AR(1) Download
  • Code for Simulation and GCOV Estimation of Noncausal VAR with t-Student Errors, JoE (2017) Download
  • Codes for GCOV Estimation of Noncausal VAR(2) and VAR(3), JoE (2017) Download, Download
  • Code for Martingale Test and Block Bootstrap, Emetrics and Stats. (2019) Download

    • GAUSS software by APTECH link

TECHNICAL PAPERS
  • On-line Appendix to Generalized Covariance Estimator Download
  • On-line Appendix to Dynamic Deconvolution and Identification of Independent Autoregressive Sources Download
  • Data for Simulation in Deconvolution Download
  • On-line Appendix to Transition Model for Coronavirus Management Download
  • Data for Forecast Performance and Bubble Analysis : Bitcoin Download, US Corn Download
  • SIMULATION RESULTS FOR Misspecification of Causal and Noncausal Orders in Autoregressive Processes, JoE 2018: CAUCHY MIXTURE Download T-STUDENT MIXTURE Download
  • Noncausal Vector Autoregressive Processes VAR(p), JoE 2016: Complementary Material Download APPENDIX On-Line Download Explanatory analysis for Noncausal Vector Autoregressive VAR(1) Download
  • Appendices to Robust Analysis of the Martingale Hypothesis, Emetrics and Stats. (2019) Download
  • Appendices to Dynamic Quantile Models, JoE 2008 Download
  • The Ordered Qualitative Model for Credit Rating Transitions, Jo Emp. Fin. (2008): Additional Tables Download
  • Composite Likelihood for Stochastic Migration Model with Unobserved Factor: Supplementary Material Download

PUBLICATIONS

Articles


  • 2023 Time-Varying Coefficient DAR Model and Stability Measures for Stablecoin Prices: An Application to Tether Download with A. Djogbenou and E. Inan Journal of International Money and Finance ,

  • 2023 Temporally Local Maximum Likelihood with Application to SIS Model Download with C. Gourieroux Journal of Time Series Econometrics , forthcoming

  • 2022 Generalized Covariance Estimator Download with C. Gourieroux, Journal of Business and Economic Statistics , forthcoming

  • 2022 Dynamic Deconvolution of Independent Autoregressive Sources last version Download with C. Gourieroux, Journal of Time Series Analysis link

  • 2022 An Econometric Panel data Model of the COVID-19 Pandemic Download with A. Djogbenou and C. Gourieroux and P. Rilstone Journal of Statistical and Econometric Methods , Vol 11, issue 1

  • 2022 Long Run Predictions, Download with C. Gourieroux, Annals of Economics and Statistics 145, p75-90

  • 2022 Transition Model for Coronavirus Management, with A. Djogbenou, C. Gourieroux, P. Rilstone and M. Bandehali, Canadian Journal of Economics, Vol 55, Issue S1, 665-704, Covid Economics, Issue 35, July 07 2020, First version Download

  • 2021 Time Varying Markov Process with Partially Observed Aggregate Data: An Application to Coronavirus, ArXiv 2005.0450 2020 Download with C. Gourieroux, Journal of Econometrics, link

  • 2021 Testing for Endogeneity of Covid-19 Patient Assignments, Download with A. Djogbenou and C. Gourieroux, Journal of Financial Econometrics link

  • 2021 Convolution-Based Filtering and Forecasting: An application to WTI Crude Oil Prices, with M. Tong, Gourieroux Journal of Forecasting link

  • 2020 Analysis of Virus Transmission: A Transition Model Representation of Stochastic Epidemiological Models, ArXiv 2006 10265 2020 Download with C. Gourieroux, Annals of Economics and Statistics, link

  • 2020 Forecast Performance and Bubble Analysis in Noncausal MAR(1,1) Processes, with A, Hencic, Gourieroux Journal of Forecasting link

  • 2020 Stationary Bubble Equilibria in Rational Expectation Models, with Gourieroux, Monfort Journal of Econometrics, 218, 714-735 link

  • 2019 Robust Analysis of the Martingale Hypothesis, with Gourieroux, Econometrics and Statistics, Vol 9, 17-41 link

  • 2018 Misspecification of Noncausal Order in Autoregressive Processes, with Gourieroux, Journal of Econometrics, Vol 205, 226-248 link

  • 2017 Noncausal Vector Autoregressive Processes: Representation, Identification and Semi-Parametric Estimation, with Gourieroux Journal of Econometrics, Vol 200, 118-134 link

  • 2016 Filtering, Prediction and Simulation Methods for Noncausal Processes, with Gourieroux, Journal of Time Series Analysis, Vol 37, 405-430 link

  • 2016 The Tradability Premium on the S&P 500 Index, with Gourieroux and P. Xu, Journal of Financial Econometrics, Vol 14, 461-495 link

  • 2012 Granularity Adjustment for Default Risk Factor Model with Cohorts, with C. Gourieroux, Journal of Banking and Finance, Vol 36, 1464 -1477 link

  • 2010 Local Likelihood Density Estimation and Value at Risk, with Christian Gourieroux, Journal of Probability and Statistics, Vol 2010, 754851 link

  • 2009 L-Performance with an Application to Hedge Funds, with S. Darolles and C. Gourieroux, Journal of Empirical Finance, Vol 16, 671-685 link

  • 2009 The Wishart Autoregressive Process of Multivariate Stochastic Volatility (with C. Gourieroux R. Sufana), Journal of Econometrics, Vol 150, 167-181 link

  • 2008 Dynamic Quantile Models(with C. Gourieroux), Journal of Econometrics 147, 198-205 link

  • 2008 The Ordered Qualitative Model for Credit Rating Transitions (with D. Feng and C. Gourieroux), Journal of Empirical Finance, 15, 111-130 link

  • 2006 Structural Laplace Transform and Compound Autoregressive Models (with S. Darolles and C. Gourieroux), Journal of Time Series Analysis, 27, 477-50 link

  • 2006 Autoregressive Gamma Processes, Journal of Forecasting (with C. Gourieroux), 25, 129-152 link

  • 2006 Multivariate Jacobi Process with Application to Smooth Transitions, Journal of Econometrics, (with C. Gourieroux) 131,475-507 link

  • 2005 Nonlinear Innovations and Impulse Responses, Annales d'Economie et de Statistique, (with C. Gourieroux), 78, 1-30 Download. link

  • 2004 Heterogeneous INAR(1) Model with Application to Car Insurance, Insurance: Mathematics and Economics, 34, 177-192. (with C. Gourieroux) link

  • 2004 Stochastic Volatility Duration Models (with E. Ghysels and C. Gourieroux), Journal of Econometrics, 119, 413-433 link

  • 2003 First-Order Autoregressive Processes with Heterogeneous Persistence, Journal of Time Series Analysis, Vol 24, No 3, 283-311 link

  • 2001 Dynamic Factor Models (with C. Gourieroux), Econometric Reviews, Vol. 20, No. 4, 385-424 link

  • 2001 State Space Models with Finite Dimensional Dependence (with C. Gourieroux), Journal of Time Series Analysis, Vol. 22, No. 6, 665-678 link

  • 2001 Nonlinear Autocorrelograms; an Application to Inter-Trade Durations (with C. Gourieroux), Journal of Time Series Analysis, Vol. 23, No 2, 1-28 link

  • 2001 Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors (with J.M. Dufour), International Economic Review, Vol. 42,815-843 link

  • 2001 Memory and Infrequent Breaks (with C. Gourieroux), Economics Letters, Vol. 70, No. 1, 29-41

  • 2000 Causality in Return and Volume State Transitions (with E. Ghysels and C. Gourieroux), Annales d'Economie et de Statistique, No. 60, 189-206 Download

  • 1999 Long Memory in Economics, Journal de la Societe Francaise de Statistique, Vol.140, No.2, 61-67 Download

  • 1999 Intra-Day Market Activity (with C. Gourieroux and G. LeFol), Journal of Financial Markets, Vol.2 No.3, 193-226.

  • 1998 Persistence in Intertrade Durations, Finance - Revue de l'Association Francaise de Finance, Vol.19, No. 2, 166-195 Download

  • 1998 GARCH for Irregularly Spaced Data: The ACD-GARCH (with E. Ghysels) Studies in Nonlinear Dynamics and Econometrics, Vol.2, No.4, 133-149 Download

  • 1998 Kernel Autocorrelogram for Time Deformed Processes (with E. Ghysels and C. Gourieroux) Journal of Statistical Planning and Inference, Vol.68, No.1, 167-192.

  • 1994 Bayesian Analysis of Stochastic Volatility Models (with E. Ghysels), Journal of Business and Economic Statistics 12, October 1994, 399-402.


    • Books


    • 2001 Financial Econometrics (with C. Gourieroux), 500 pp., Princeton University Press, Princeton.
    • 2006 Econometrics of Individual Risk; Credit, Insurance and Marketing, 500pp, Princeton University Press, (with C. Gourieroux),


    Chapters in Books


    • 2013 Size Distortion in the Analysis of Volatility and Covolatility Effects (with C. Gourieroux) in Advances in Intelligent Systems and Computing, 200, "Uncertainty Analysis in Econometrics with Applications", Huynh, V.N;, Kreinovich, V.,Sriboonchita, S.,and Suriya, K. (ed), Springer, p91-118. Download

    • 2011 Nonlinear Persistence and Copersistence (with C. Gourieroux) in "Nonlinear Financial Econometrics, G. Gregoriou, R. Pascalau (ed), (Palgrave Macmillan) p. 77-104.

    • 2009 Value at Risk (with C. Gourieroux) in "Handbook of Financial Econometrics", Y. Ait-Sahalia, L.P. Hansen (ed), (Elsevier)

    • 2000 Durations (with C. Gourieroux) in " A Companion to Theoretical Econometrics", B. Baltagi (ed.) (Blackwell).

    • 2000 Nonlinear Panel Data Models with Dynamic Heterogeneity (with C. Gourieroux) in "Panel Data Econometrics: Future Directions", J. Krishnakumar and E. Ronchetti (ed.) (Elsevier) Download

    • 1998 Market Time and Asset Price Movements: Theory and Estimation (with E. Ghysels and C. Gourieroux) in D. Hand and S. Jacka (ed.), "Statistics in Finance" (Arnold)

    • 1998 High Frequency Financial Time Series Data: Some Stylized Facts and Models of Stochastic Volatility (with E. Ghysels and C. Gourieroux) in C. Dunis and B. Zhou (ed.), "Nonlinear Modelling of High Frequency Financial Time Series" ,(Wiley)

    • 1997 Activite de marches intra-journalieres (with C. Gourieroux and G. Le Fol) in B. Biais, D. Davydoff and B. Jacquillat (ed.), "Organisation et qualite des marches financiers", (Presses Universitaires de France)

    CONFERENCES (organized recently)
      CMStatistics 2022, Computational and Methodological Statistics, Organized Session, December 17-19, King's College, London UK link

      CESG 2017: Canadian Economeric Study Group: "Econometrics of Risk and Uncertainty" link

      Econometrics at CEA 2017, June 2-3, St. Francis Xavier University, Antigonish NS link