RESEARCH




CV Download


WORKING PAPERS
  • Nonlinear Fore(Back)casting and Innovation Filtering for Causal-Noncausal VAR Models Download with C. Gourieroux
  • GCov-Based Portmanteau Test Download with A. Manafi Neyazi
  • Digital Divide: Empirical Study of CIUS 2020 Download with Peter MacKenzie and Pujee Tuvaandorj
  • Penalized Likelihood Inference with Survey Data Download with Pujee Tuvaandorj
  • Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood Download with C. Gourieroux

CODES
  • Code for GCOV mixed VAR(1), Matlab by F. Giancaterini Download
  • Code for diag GCOV version JoE (2017), mixed VAR(p), Python by M. Hall Download
  • Code for GCOV univariate MAR, Matlab by A. Manafi Neyazi Download
  • 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
  • Online Appendix to Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood Download
  • Online Appendix to Digital Divide Download
  • Online Appendix to Generalized Covariance-Based Inference for Models Partially Identified from Independence Restrictions Download
  • Online Appendix to Generalized Covariance Estimator Download
  • Online Appendix to Dynamic Deconvolution and Identification of Independent Autoregressive Sources Download
  • Data for Simulation in Deconvolution Download
  • Online 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


  • 2024 A Stochastic Tree for Bubble Asset Modelling and Pricing Download with C. Gourieroux Journal of Time Series Analysis

  • 2024 Long Run Risk in Stationary Vector Autoregressive Models Download with C. Gourieroux Journal of Econometrics

  • 2024 Generalized Covariance-Based Inference for Models Partially Identified from Independence Restrictions Download with C. Gourieroux Journal of Time Series Analysis

  • 2024 Intraday and Daily Dynamics of Cryptocurrency Download with C. Zhong International Review of Economics and Finance

  • 2024 Modelling Common Bubbles in Cryptocurrency Prices Download with Mauri Hall, Economic Modelling

  • 2024 Optimization of the Generalized Covariance Estimator in Noncausal Processes Download with G. Cubadda, F. Giancaterini and A. Hecq, Statistics and Computing

  • 2023 Composite Likelihood for Stochastic Migration Model with Unobserved Factor Download with M. Bandehali, A. Djogbenou, and C. Gourieroux Journal of Financial Econometrics , https://doi.org/10.1093/jjfinec/nbad031

  • 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 , Vol 139, 102946

  • 2023 Temporally Local Maximum Likelihood with Application to SIS Model Download with C. Gourieroux Journal of Time Series Econometrics , https://doi.org/ 10.1515/jtse-2022-0016

  • 2023 Generalized Covariance Estimator Download with C. Gourieroux, Journal of Business and Economic Statistics , Volume 41, 1315-1327.

  • 2023 Dynamic Deconvolution of Independent Autoregressive Sources last version Download with C. Gourieroux, Journal of Time Series Analysis link , Vol 44, Issue 2, 151-180

  • 2023 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

  • 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 Testing for Endogeneity of Covid-19 Patient Assignments, Download with A. Djogbenou and C. Gourieroux, Journal of Financial Econometrics link, Vol 232, issue 1, 35-51

  • 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

  • 2007 Nonlinear Causality with Application to Liquidity and Stochastic Volatility (C. Gourieroux), Les Cahiers du CREF, ISSN 1707-4096, 15, 111-130 Download

  • 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)


    Other Papers


    • 2019 A Stochastic Tree with Application to Bubble Modelling and Pricing, with C. Gourieroux Download

    • 2007 Nonlinear Causality, with Applications to Liquidity and Stochastic Volatility, with C. Gourieroux Download


    CONFERENCES (organized recently)
      CESG 2024: Canadian Econometric Study Group: "Inequality Measures and Econometric Modelling" October 25-27, Toronto link

      Econometrics at CEA 2024, May 30-June 1, Toronto Metropolitan University, Toronto link

      CFE CMStatistics 2023, Computational and Methodological Statistics - Co-Chair and Invited Session Organizer, December 16-18, HTW Berlin, Germany link

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

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

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