Working Papers in Econometrics
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"Testing for symmetry and conditional asymmetry with asymmetric kernels", with M. Fernandes and E. Mendes, HEC Genève DP 2011.01 and Swiss Finance Institute DP2011.32. Abstract pdf |
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"Predictability hidden by anomalous observations", with L. Camponovo and F. Trojani, HEC Genève DP and Swiss Finance Institute DP . Abstract pdf |
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"A specification test for nonparametric instrumental variable regression", with P. Gagliardini, HEC Genève DP 2007.06 and Swiss Finance Institute DP 2007.13. Abstract pdf Technical report |
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"Reverse score and likelihood ratio tests" with G. Dhaene, IRES DP 2026 and CREST DP 2000-60. Abstract pdf ps |
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"Bartlett identities tests" with A. Chesher, G. Dhaene and C. Gouriéroux, IRES DP 9919, CREST DP 9932 and CORE DP 9939. pdf ps |
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"Forecast intervals in ARCH exponential smoothing" with L. Broze and G. Mélard, CORE DP 9481 and CREST DP 9502. |
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"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
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"Time-varying risk premium in large cross-sectional equity datasets" with P. Gagliardini and E. Ossola, HEC Genève DP and Swiss Finance Institute DP 2011.40. Abstract pdf Supplementary Materials |
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"Jumps in high-frequency data: spurious detections, dynamics and news" with P. Bajgrowicz, HEC Genève DP 2011.03 and Swiss Finance Institute DP 2011.36. Abstract pdf |
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"Reconstitution de la courbe des taux zéro-coupon et modèles d'arbitrage" with A. Frachot, mimeo. |
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"Estimation of the term structure from bond data" with C. Gouriéroux, CREST DP 9415 and CEPREMAP DP 9415. |