Publications in Econometrics
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"Robust subsampling", with L. Camponovo and F. Trojani, Journal of Econometrics, 167, (2012), 197-210. Abstract pdf |
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"Nonparametric instrumental variable estimators of quantile structural effects", with P. Gagliardini, Econometrica, 80, (2012), 1533-1562. Abstract pdf Technical report |
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"Tikhonov regularisation for nonparametric instrumental variable estimators", with P. Gagliardini, Journal of Econometrics, 167, (2012), 61-75. Abstract pdf Technical report |
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"Testing for equality between two copulas", with B. Rémillard, Journal of Multivariate Analysis, 100, (2009), 377-386. Abstract pdf |
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"Local multiplicative bias correction for asymmetric kernel density estimators", with M. Hagmann, Journal of Econometrics, 141, (2007), 213-249. Abstract pdf |
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"Multivariate wavelet-based shape preserving estimation for dependent observations", with A. Cosma and R. von Sachs, Bernoulli, 13, (2007), 301-329. Abstract pdf |
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"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 |
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"Kernel based goodness-of-fit tests for copulas with fixed smoothing parameters", Journal of Multivariate Analysis, 98, (2007), 533-543. Abstract pdf |
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"A fast subsampling method for nonlinear dynamic models", with H. Hong, Journal of Econometrics, 133, (2006), 557-578. Abstract |
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"A Kolmogorov-Smirnov type test for positive quadrant dependence ", Canadian Journal of Statistics, 33, (2005), 415-427. Abstract pdf ps |
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"Consistency of asymmetric kernel density estimators and smoothed histograms with application to income data", with T. Bouezmarni, Econometric Theory, 21, (2005), 390-412. Abstract |
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"Density estimation using inverse and reciprocal inverse Gaussian kernels", Journal of Nonparametric Statistics, 16, (2004), 217-226. Abstract pdf ps |
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"Indirect inference, nuisance parameter and threshold moving average models" with A. Guay, Journal of Business and Economic Statistics, 21, (2003), 122-132. Abstract |
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"Instrumental models and indirect encompassing" with G. Dhaene and C. Gouriéroux, Econometrica, 66, (1998), 673-688. Abstract |
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"Quasi indirect inference for diffusion processes" with L. Broze and J.M. Zakoïan, Econometric Theory, 14, (1998), 161-186. Abstract |
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"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
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"Technical trading revisited: persistence tests, transaction costs, and false discoveries" with P. Bajgrowicz, Journal of Financial Economics, 106, (2012), 473-491. Abstract pdf |
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"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 |
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"Testing for stochastic dominance efficiency" with N. Topaloglou, Journal of Business and Economic Statistics, 28, (2010), 169-180. Abstract pdf |
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"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 |
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"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 |
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"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 |
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"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 |
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"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. |
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"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. |
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"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 |
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"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 |
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"Nonparametric estimation of conditional expected shortfall", Revue Assurances et Gestion des Risques/Insurance and Risk Management Journal, 74, (2005), 639-660. Abstract pdf ps |
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"Non parametric tests for positive quadrant dependence" with M. Denuit, Journal of Financial Econometrics, 2, (2004), 422-450. Abstract |
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"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 |
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"Testing for concordance ordering", with A. Cebrian and M. Denuit, Astin Bulletin, 34, (2004), 151-173. Abstract |
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"Option pricing with discrete rebalancing", with J.L. Prigent and O. Renault, Journal of Empirical Finance, 11, (2004), 133-161. Abstract |
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"Nonparametric estimation and sensitivity analysis of expected shortfall", Mathematical Finance, 14, (2004), 115-129. Abstract |
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"The origin and development of VaR", in Modern Risk Management: A History, 15th Anniversary of Risk Magazine, Risk Publications, London, (2003), 151-158. |
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"Nonparametric estimation of copulas for time series", with J.D. Fermanian, Journal of Risk, 5, (2003), 25-54. Abstract pdf ps |
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"A nonparametric analysis of stock index return dependence through bivariate copulas", European Investment Review, 1, (2002), 7-16. |
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"The dynamics of US credit spread indices", with O. Renault, European Investment Review, 1, (2002), 45-49. |
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"An empirical investigation in credit spread indices" with J.L. Prigent and O. Renault, Journal of Risk, 3, (2001), 27-55. Abstract pdf ps |
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"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 |
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"Multiregime term structure models" with C. Gouriéroux, Finance, 19, (1998), 71-92. |
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"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. |
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"A new index of Belgian shares" with R. Anderson and D. Reinard, Revue de la Banque, 3, (1998), 126-130. |
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"Unemployment insurance and mortgages" with C. Gouriéroux, Insurance : Mathematics and Economics, 20, (1997), 173-195. Abstract |
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"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. |
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"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. |
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"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 |