Publications
Publications in Statistics and Financial Econometrics
2023: "Sparse M-estimators in semi-parametric copula models", with B. Poignard. To appear in Bernoulli. https://arxiv.org/abs/2112.12351
2023: “Risk Budgeting Portfolios: existence and computation”, with A.R. Centingoz and O. Guéant. To appear in Mathematical Finance. https://arxiv.org/pdf/2211.07212.pdf
2023: “A corrected Clarke’s test for model selection and beyond”, with F. Brück and A. Min. Journal of Econometrics 235, 105-132.
2022: “Conditional empirical copula processes and generalized measures of association”, with A. Derumigny. Electronic Journal of Statistics 16(2), 5692-5719. [supplementary file]
2022: “Testing for equality between conditional copulas given discretized conditioning events”, with A. Derumigny and A. Min. Canadian Journal of Statistics. [supplementary file]
2022: “Estimation of copulas via Maximum Mean Discrepancy”, with P. Alquier, B. Cherief, A. Derumigny. Journal of the American Statistical Association, 1-16. [supplementary file]
2022: “Identifiability and estimation of meta-elliptical copula generators”, with A. Derumigny. Journal of Multivariate Analysis 190, p.104962.
2021: “The Finite Sample Properties of Sparse M-estimators with Pseudo-Observations”, with B. Poignard. Annals of the Institute of Statistical Mathematics.
2021: “High-dimensional penalized ARCH processes”, with B. Poignard. Econometric Reviews 40, 86-107.
2020: “On Kendall’s regression”, with A. Derumigny. Journal of Multivariate Analysis 178.
2020: “On the dependence between default risk and recovery rates in structural models”. Annals of Economics and Statistics 140, 45-82.
2019: “About kernel-based estimation of conditional Kendall’s tau: finite distance bounds and asymptotic behavior”, with A. Derumigny. Dependence Modeling 7, 292-321.
2019: “A classification point-of-view about conditional Kendall's tau”, with A. Derumigny. Computational Statistics & Data Analysis 135, 70-94.
2018: “Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series”, with A. Bücher and I. Kojadinovic. Journal of Time series Analysis 40, 124-150.
2018: “Dynamic asset correlations based on vines”, with B. Poignard. Econometric Theory 35, 167-197.
2018: “On the link between volatilities, switching probabilities and correlation dynamics”, with H. Malongo. Annals of Economics & Statistics 131, 1-24.
2018: “Single-index copulas”, with O. Lopez. Journal of Multivariate Analysis 165, 27-55.
2017: “About tests of the Simplifying Assumption for conditional copulas”, with A. Derumigny. Dependence Modeling 5, 154-197.
2017: “On the stationarity of Dynamic Conditional Correlation models”, with H. Malongo. Econometric Theory 33, 636-663.
2017: “Multi-factor Granularity Adjustments for Market and Counterparty Risks”, with C. Florentin. Journal of Risk 20, 1-27.
2016: “The behavior of dealers and clients on the European corporate bond market: the case of multi-dealer-to-clients platforms”, with O. Guéant and J. Pu. Market Microstructure and Liquidity 2, No 3&4.
2015: “An Asymptotic Total Variation test for copulas", with D. Radulovic and M. Wegkamp. Bernoulli 21, 1911-1945.
2015: “On break-even correlation: the way to price structured credit derivatives by replication”, with O. Vigneron. Quantitative Finance 15, 829-840. [Working paper version]
2014: “The limits of Granularity Adjustments”. Journal of Banking and Finance 45, 9-25.
2013: “A top-down approach to Asset-Backet Securities: a consistent way of managing prepayment, default and interest risk”, Journal of Real Estate, Finance & Economics 46, 480-515.
2013: “An overview of the Goodness-of-Fit test problem for copulas”, in Copulae in Mathematical and quantitative Finance, P. Jaworski, F. Durante & W. Härdle (Eds), chap. 4, pp. 61-90.
2012: “Time-dependent copulas”, with M. Wegkamp. Journal of Multivariate Analysis 110, 19-29.
2012: “Volatility Strategies for Global and Country Specific European Investors”, with M. Brière, H. Malongo and O. Signori. Bankers, Markets & Investors 121, 17-29.
2011: “Hedging default risks of CDOs in Markovian contagion models”, with J-P. Laurent and A. Cousin. Quantitative Finance 11, 1773-1791.
2010: “Another view on the pricing of MBS, ABS and CDO of ABS”, in Lessons from the Financial Crisis, Arthur Berd (ed), 319-346, Risk Books.
2010: “Pricing and hedging basket credit derivatives in the Gaussian copula model”, with O. Vigneron. Risk, February, 92-96.
2009: “An empirical Central Limit Theorem with applications to copulas under weak dependence”, with P. Doukhan and G. Lang. Statist. Inf. Stoch. Processes, 12.
2007: “Kernel estimation of Greek weights by parameter randomization”, with R. Elie and N. Touzi. Annals of Applied Probability, 1399-1423, 17.
2006: “The estimation of copulas : theory and practice”, with A. Charpentier and O. Scaillet, in “Copulas, from theory to application in Finance”, J. Rank (editor), Risk Books.
2006: “A comparative analysis of dependence levels in intensity-based and Merton-style credit risks models”, with M. Sbai, in “Advances in Risk Management”, G. Gregoriou (editor), Macmillan.
2005: “Estimation of a reduced-form credit portfolio model and extensions to dynamic frailties”, with M. Delloye and M. Sbai, Risk, October, 100-105.
2005: “Some statistical pitfalls in copula modelling for financial applications”, with O. Scaillet, in “Capital Formation, Governance and Banking”, E. Klein (editor), 59-74, Nova Science Publ.
2005: “Sensitivity of VaR and Expected Shortfall for portfolios under netting agreements”, with O. Scaillet, Journal of Banking and Finance, 29, 927-958.
2005: “Goodness-of-fit tests for copulas”, Journal of Multivariate Analysis, 95, 119-152.
2004: “A nonparametric Simulated Maximum Likelihood estimation method”, with B. Salanié, Econometric Theory, 701-734.
2004: “The weak convergence of empirical and smoothed empirical copula processes”, with D. Radulovic and M. Wegkamp, Bernoulli, 847-860. [Working paper version]
2003: “Nonparametric estimation of copulas for time series”, with Olivier Scaillet, Journal of Risk, 5, No 4, 25-54.
2003: “Nonparametric estimation of Competing Risks models with covariates”, Journal of Multivariate Analysis, 85, 156-191.
2001: “Lower bounds in Bandwidth Selection in Hazard Estimation”, Journal of Nonparametric Statistics, 13, 515-567.
1999: “A new bandwidth selector in Hazard Estimation”, Journal of Nonparametric Statistics, 10, 137-182.
1997: “Multivariate Hazard Rates under Random Censorship”, Journal of Multivariate Analysis, 62, 273-309.
Publications in Economics (in french)
1999 : “Les horaires de travail dans le couple”, with S. Lagarde, Economie et Statistiques, 321-322, 89-110.
1999 : “Les rythmes de travail hors normes”, with P. Boisard, Economie et Statistiques, 321-322, 111-132.
1999 : “Réduction collective ou individuelle du temps de travail : que souhaitent les salariés?”, with B. Galtier and S. Lagarde, Economie et Statistiques, 321-322, 161-185.
1999 : “Durées et rythmes de travail en 1995”, Données sociales, INSEE.
1999 : “La durée du travail et les horaires dans les services marchands”, Synthèses 24.
1999 : “Le temps de travail des cadres”, Insee Première, 671.
1997 : “La durée du travail à temps complet”, with M-P. Baésa, Insee Première 545 .
Other Publications
2011: “In defence of the Gaussian copula”, Creditflux, may, 20-21.
2010 : “Les stress-test : de la théorie à la pratique”, Banque Stratégie, 282, 8-10.
2010 : “Quelles compétences pour le risk manager de demain”, with P. Biscourp, Banque, 721, 75-77.
2009 : “Améliorer le contrôle des risques", in « 20 propositions pour réformer le capitalisme », pp. 153-164, G. Giraud & C. Renouard (ed.), Flammarion.
2009 : “Transformer les dérivés de crédit en actifs dignes de confiance", in « 20 propositions pour réformer le capitalisme », pp. 119-130, G. Giraud & C. Renouard (ed.), Flammarion.
2003 : “La rénovation de la nomenclature des professions et catégories socio-professionnelles”, in Les professions et leur sociologie, P-M Menger (ed.), Editions de la Maison des Sciences de l’Homme.