Techniques of Econometrics (Undergraduate)
Statistics and Probability (Master)
- Causality in time series
- Risk management and portfolio optimization
- Characteristic function methods in time series
- Exact sign-based inference
- Asymmetric volatility and correlations
- Nonparametric tests
- "Affine term structure of risk neutral moments models", (with Bruno Feunou, Jean-Sébastien Fontaine and Roméo Tédongap).
Reaction of Conditional Distribution and Quantiles of Stock Market
Returns to Anticipated Unemployment", (with Jesus Gonzalo).
- "Diffusion index approach to the portfolio optimization", (with Mohammed Bouaddi).