Working Papers in Econometrics

 

A. Econometric Theory

"Saddlepoint approximations for spatial panel data models" with C. Jiang, D. La Vecchia, and E. Ronchetti, Swiss finance Institute DP 2019.18. Abstract pdf
"Reverse score and likelihood ratio tests" with G. Dhaene, IRES DP 2026 and CREST DP 2000-60. Abstract pdf  ps
"Bartlett identities tests" with A. Chesher, G. Dhaene and C. Gouriéroux,  IRES DP 9919, CREST DP 9932 and CORE DP 9939. pdf  ps
"Forecast intervals in ARCH exponential smoothing" with L. Broze and G. Mélard, CORE DP 9481 and CREST DP 9502.
"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

"Backtesting marginal expected shortfall and related systemic risk measures", with D. Banulescu, C. Hurlin and J. Leymarie, Swiss Finance Institute DP 2019.48. Abstract pdf
"Estimation of large dimensional conditional factor models in finance", with P. Gagliardini and E. Ossola, Swiss Finance Institute DP 2019.46. Abstract pdf
"Skill and value creation the mutual fund industry", with L. Barras and P. Gagliardini, Swiss Finance Institute DP 2018.66. Abstract pdf
"Time-varying risk premia in large international equity markets", with I. Chaieb and H. Langlois, Swiss Finance Institute DP 2018.04. Abstract pdf Online Appendix
"Predictability hidden by anomalous observations", with L. Camponovo and F. Trojani, Swiss Finance Institute DP 2013.05. Abstract pdf Matlab Codes
"Reconstitution de la courbe des taux zéro-coupon et modèles d'arbitrage" with A. Frachot, mimeo.
"Estimation of the term structure from bond data" with C. Gouriéroux, CREST DP 9415 and CEPREMAP DP 9415.