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Research


Publications



“Sovereign Credit Ratings and Financial Markets Volatility”, (with António Afonso and Pedro Gomes).
Forthcoming Journal of Computational Statistics and Data Analysis.

Portfolio Selection in a Data-Rich Environment”, (with Mohammed Bouaddi). Forthcoming in the Journal of Economic Dynamics and Control.

Bernstein Estimator for Unbounded Density Copula”, (with Taoufik Bouezmarni and Anouar El Gouch). Forthcoming in Statistics and Risk Modelling.

The Equity Premium, the Variance Premium and the Maturity Structure of Uncertainty” (with Bruno Feunou, Jean-Sébastien Fontaine and Roméo Tédongap). Forthcoming in Review of Finance.pdf

Moments of multivariate regime switching with application to risk-return trade-off. Journal of Empirical Finance, Volume 19, Issue 2, pages 292-308, 2012.

Measuring high-frequency causality between returns, realized volatility and implied volatility” (with Jean-Marie Dufour and René Garcia). Journal of Financial Econometrics, Volume 10, Issue 1, pages 124-163, 2012.

“Portfolio Risk Management in a Data-Rich Environment”, (with Mohammed Bouaddi). Financial
Markets and Portfolio Management, Volume 26, Issue 4, pp 469-494, 2012.

What Drives International Equity Correlations? Volatility or Market Direction? (with Georges Tsafack and Khaled Amira). Journal of International Money and Finance, Volume 30, Issue 6, pages 1234-1263, 2011.

Short and long run causality measures: theory and inference” (with Jean-Marie Dufour). Journal of Econometrics, Volume 154, Issue 1, pages 42-58, 2010.

A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality”, (with Taoufik Bouezmarni and Jeroen V.K. Rombouts). Journal of Business & Economic Statistics, Volume 30, No. 2, pages 275-287.

Asymptotic Properties of the Bernstein Density Copula for Dependent Data”, (with Taoufik Bouezmarn and Jeroen V.K. Rombouts). Journal of Multivariate Analysis, Volume 101, Issue 1, pages 1-10, 2010.

Exact Optimal and Adaptive Inference in Linear and Nonlinear Models under Heteroskedasticity and Non-Normality of Unknown Forms, (with Jean-Marie Dufour). Journal of Computational Statistics and Data Analysis,Volume 54, Issue 11 Form, Pages 2532-2553, 2010.

Analytical Value-at-Risk and Expected Shortfall under Regime Switching”. Finance Research Letters,Volume 6, Issue 3, September 2009, Pages 138-151.

Asymptotic and Small Sample Properties of Conditional-Distribution-based Tests for Conditional“, (with Roch Roy and Taoufik Bouezmarni). 2010 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Vancouver, 1436-1447.

Nonparametric Short and Long Run Causality Measures” (with Jean-Marie Dufour), 2006 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington, D.C., 3986-3992.


Revise and Rusubmit Papers, Submitted and Working Papers


Nonparametric Estimation and Inference for Causality Measures”, (with Taoufik Bouezmarni and Anouar El Gouch). Revise and Resubmit.pdf
 
“Nonparametric Tests for Conditional Independence Using Conditional Distribution”, (with Taoufik Bouezmarni). Revise and Resubmit.pdf

Stock Market's Reaction to Money Supply: Parametric and Nonparametric Analysis”.Revise and Resubmit.

Did the Euro change the effect of fundamentals on economic uncertainty”. (with Jaime Luque).pdf 

“The Reaction of Stock Market Returns to Anticipated Unemployment”, (with Jesus Gonzalo). pdf

“Measuring Nonlinear Granger Causality in Mean”, (with Xiaojun Song).

“Fractional Cointegration in Volatility and Portfolio Performance”, (with Yunus Emre Ergemen).

“Estimating and Forecasting Financial Risk”, (With Jesus Gonzalo and Fabian Rinnen).















September 2013