Working Papers in Econometrics


A. Econometric Theory

"A higher-correct fast moving-average bootstrap for dependent data" with D. La Vecchia and A. Moor, Swiss finance Institute DP 2020.01. Abstract pdf
"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

"Spanning analysis of stock market anomalies under Prospect Stochastic Dominance", with S. Arvanitis and N. Topaloglou, Swiss Finance Institute DP 2020.18. Abstract pdf Online Appendix
"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 in the mutual fund industry", with L. Barras and P. Gagliardini, Swiss Finance Institute DP 2018.66. Abstract pdf Appendix L'Agefi 17.07.2019 BCGE Video
"Factors and risk premia in individual international stock 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.