Publications in Econometrics

 

A. Econometric Theory

"A specification test for nonparametric instrumental variable regression", with P. Gagliardini, Annals of Economics and Statistics, Special Issue on "Inverse Problems in Econometrics", 128, (2017), 151-202. Abstract pdf Technical report
"On ill-posedness of nonparametric instrumental variable regression with convexity constraints", The Econometrics Journal, 19, (2016), 232-236. Abstract pdf
"Testing for symmetry and conditional asymmetry with asymmetric kernels", with M. Fernandes and E. Mendes, Annals of the Institute of Statistical Mathematics, 67, 4, (2015), 649-671. Abstract pdf
"Robust subsampling", with L. Camponovo and F. Trojani, Journal of Econometrics, 167, (2012), 197-210. Abstract pdf
"Nonparametric instrumental variable estimators of quantile structural effects", with P. Gagliardini, Econometrica, 80, (2012), 1533-1562. Abstract pdf Technical report Data and Gauss Codes
"Tikhonov regularisation for nonparametric instrumental variable estimators", with P. Gagliardini, Journal of Econometrics, 167, (2012), 61-75. Abstract pdf Technical report
"Testing for equality between two copulas", with B. Rémillard, Journal of Multivariate Analysis, 100, (2009), 377-386. Abstract pdf
"Local multiplicative bias correction for asymmetric kernel density estimators", with M. Hagmann, Journal of Econometrics, 141, (2007), 213-249. Abstract pdf
"Semiparametric methods in econometrics: Guest editorial", with M. Fernandes and O. Linton, Journal of Econometrics, 141, (2007), 1-4.
"Multivariate wavelet-based shape preserving estimation for dependent observations", with A. Cosma and R. von Sachs, Bernoulli, 13, (2007), 301-329. Abstract pdf
"A Kolmogorov-Smirnov type test for shortfall dominance against parametric alternatives" with M. Denuit and A.-C. Goderniaux, Technometrics, 49, (2007), 88-99. Abstract pdf
"Kernel based goodness-of-fit tests for copulas with fixed smoothing parameters", Journal of Multivariate Analysis, 98, (2007), 533-543. Abstract pdf
"A fast subsampling method for nonlinear dynamic models", with H. Hong, Journal of Econometrics, 133, (2006), 557-578. Abstract
"A Kolmogorov-Smirnov type test for positive quadrant dependence ", Canadian Journal of Statistics, 33, (2005), 415-427. Abstract pdf  ps
"Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data", with T. Bouezmarni, Econometric Theory, 21, (2005), 390-412. Abstract
"Density estimation using inverse and reciprocal inverse Gaussian kernels", Journal of Nonparametric Statistics, 16, (2004), 217-226. Abstract pdf  ps
"Indirect inference, nuisance parameter and threshold moving average models" with A. Guay, Journal of Business and Economic Statistics, 21, (2003), 122-132. Abstract
"Instrumental models and indirect encompassing" with G. Dhaene and C. Gouriéroux, Econometrica, 66, (1998), 673-688. Abstract
"Quasi indirect inference for diffusion processes" with L. Broze and J.M. Zakoïan, Econometric Theory, 14, (1998), 161-186. Abstract
"Estimation d'équations de diffusion à partir d'observations discrètes et de méthodes fondées sur des simulations" with L. Broze and J.M. Zakoian, Mélanges en l'honneur de Simone Huyberechts, Cahiers du CERO, Vol. 36, (1994), 43-55.

 

B. Econometrics applied to Finance and Insurance

"A diagnostic criterion for approximate factor structure", with P. Gagliardini and E. Ossola, forthcoming in Journal of Econometrics. Abstract pdf Data and Matlab Codes for Empirical Section
"Spanning tests for Markowitz stochastic dominance", with S. Arvanitis and N. Topaloglou, forthcoming in Journal of Econometrics. Abstract pdf
"High-frequency jump analysis of the bitcoin market", with A. Treccani and C. Trevisan, forthcoming in a special issue of the Journal of Financial Econometrics dedicated to blockchain and cryptocurrencies. Abstract pdf
"Comments on : Nonparametric Tail Risk, Stock Returns and the Macroeconomy", with L. Camponovo and F. Trojani, Journal of Financial Econometrics, 15, 3, (2017), 377-387. pdf
"Time-varying risk premium in large cross-sectional equity datasets" with P. Gagliardini and E. Ossola, Econometrica, 84, 3, (2016), 985-1046. Abstract pdf Supplementary Materials Data and Matlab Codes
"Jumps in high-frequency data: spurious detections, dynamics and news" with P. Bajgrowicz and A. Treccani, Management Science, 62, 8, (2016), 2198-2217. Abstract pdf
"Hedge fund managers: luck and dynamic assessment" with G. Criton, Bankers, Markets & Investors, 129, (2014), 1-15. pdf
"Technical trading revisited: persistence tests, transaction costs, and false discoveries" with P. Bajgrowicz, Journal of Financial Economics, 106, (2012), 473-491. Abstract pdf Matlab Codes
"False discoveries in mutual fund performance: Measuring luck in estimated alphas" with L. Barras and R. Wermers, Journal of Finance, 65, (2010), 179-216, Banque Privée Espirito Santo Award Prize 2008. Abstract pdf NYTimes 13/07/2008 Le Temps 19/11/2008 Le Temps 24/11/2008 Forbes Investment Guide 08/12/2008 L'Hebdo Supplement Finance Hiver 2009 L'Agefi 30/03/2009 La Libre Entreprise 13/06/2009 Financial Times 21/10/2009 Financial Times 02/05/2010 Financial Times 09/05/2010 National Post 29/06/2010
"Testing for stochastic dominance efficiency" with N. Topaloglou, Journal of Business and Economic Statistics, 28, (2010), 169-180. Abstract pdf
"Testing for threshold effect in ARFIMA models: Application to US unemployment rate data" with A. Lahiani, International Journal of Forecasting, 25, (2009), 418-428. Abstract pdf
"Local transformation kernel density estimation of loss distributions", with J. Gustafsonn, M. Hagmann and J.P Nielsen, Journal of Business and Economic Statistics, 27, (2009), 161-175. Abstract pdf
"Assessing multivariate predictors of financial market movements: A latent factor framework for ordinal data" with P. Huber and Maria-Pia Victoria-Feser, Annals of Applied Statistics, 3, (2009), 249-271. Abstract pdf
"Business and financial indicators: what are the determinants of default probability changes?" with F. Couderc and O. Renault, in Credit Risk: Models, Derivatives, and Management, Chapman & Hall, Financial Mathematics Series, (2008), 235-268. Abstract pdf
"The estimation of copulas: theory and practice" with A. Charpentier and J.-D. Fermanian, in Copulas: From theory to application in finance, Ed: Rank J., Risk Publications, London, (2007), Section 2.
"Estimation of recovery rate densities: non-parametric and semi-parametric approaches versus industry practice" with M. Hagmann and O. Renault, Recovery Risk: The Next Challenge in Credit Risk Management, Eds: Resti, A., Sironi, A., Altman E., Risk Publications, London, (2005), 323-346.
"Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements" with J.D. Fermanian, Journal of Banking and Finance, 29, (2005), 927-958. Abstract pdf  ps
"Some statistical pitfalls in copula modeling for financial applications" with J.D. Fermanian, in Capital Formation, Governance and Banking, Nova Science Publishers (2005), 57-72. Abstract pdf  ps
"Nonparametric estimation of conditional expected shortfall", Revue Assurances et Gestion des Risques/Insurance and Risk Management Journal, 74, (2005), 639-660. Abstract pdf  ps
"Non parametric tests for positive quadrant dependence" with M. Denuit, Journal of Financial Econometrics, 2, (2004), 422-450. Abstract
"On the way to recovery: A nonparametric bias free estimation of recovery rate densities" with O. Renault, Journal of Banking and Finance, 28, (2004), 2915-2931. Abstract pdf  ps
"Testing for concordance ordering", with A. Cebrian and M. Denuit, Astin Bulletin, 34, (2004), 151-173. Abstract
"Option pricing with discrete rebalancing", with J.L. Prigent and O. Renault, Journal of Empirical Finance, 11, (2004), 133-161. Abstract
"Nonparametric estimation and sensitivity analysis of expected shortfall", Mathematical Finance, 14, (2004), 115-129. Abstract
"The origin and development of VaR", in Modern Risk Management: A History, 15th Anniversary of Risk Magazine, Risk Publications, London, (2003), 151-158.
"Nonparametric estimation of copulas for time series", with J.D. Fermanian, Journal of Risk, 5, (2003), 25-54. Abstract pdf  ps
"A nonparametric analysis of stock index return dependence through bivariate copulas", European Investment Review, 1, (2002), 7-16.
"The dynamics of US credit spread indices", with O. Renault, European Investment Review, 1, (2002), 45-49.
"An empirical investigation in credit spread indices" with J.L. Prigent and O. Renault, Journal of Risk, 3, (2001), 27-55. Abstract pdf  ps
"Sensitivity analysis of Values at Risk", with C. Gouriéroux and J.P. Laurent, Journal of Empirical Finance, Bi-Annual  Award Winning Paper of Best Paper published  in JEF, 7, (2000), 225-245. Abstract
"Multiregime term structure models" with C. Gouriéroux, Finance, 19, (1998), 71-92.
"Analyse empirique de la théorie des anticipations de la structure par terme des taux d'intérêt", Bulletin du Service d'Analyse Economique de l'IRES, Janvier, (1998), 101-127.
"A new index of Belgian shares" with R. Anderson and D. Reinard, Revue de la Banque, 3, (1998), 126-130.
"Unemployment insurance and mortgages" with C. Gouriéroux, Insurance : Mathematics and Economics, 20, (1997), 173-195. Abstract
"Comparaison de la rentabilité historique de l'immobilier, des actions, des obligations et du monétaire" with T. de Roquemaurel, Banque et Marchés, 28, (1997), 16-20.
"Estimation de modèles de la structure par terme des taux d'intérêt" with L. Broze and J.M. Zakoian, Revue Economique, XLIV Congrès de l'AFSE, Vol. 47, N° 3, (1996), 511-519.
"Testing for continuous-time models of the short-term interest rate" with L. Broze and J.M. Zakoian, Journal of Empirical Finance, Vol. 2, (1995), 199-223. Abstract