Life Cycle Behaviour of US Households: an Estimation by GMM using Pseudo-Panel Data (with Michel Beine and Frédéric Docquier), 2001, Journal of Policy Modelling, 23, 713-729.
Accounting for Conditional Leptokurtosis and Closing Days Effects in FIGARCH Models of Daily Exchange Rates (with Michel Beine and Christelle Lecourt), 2002, Applied Financial Economics, 12, 589-600.
G@RCH 2.0: An Ox Package for Estimating and Forecasting Various ARCH Models (with Jean-Philippe Peters), 2002, Journal of Economic Surveys, 16, 447-485.
Quantifying Market Risk for Long and Short Traders (with Pierre Giot). 2002, European Investment Review, 1, 31-39.
Central Bank Intervention and Exchange Rate Volatility: Evidence from a Switching Regime Analysis (with Michel Beine and Christelle Lecourt), 2003, European Economic Review, 47, 891-911.
Value-at-Risk for Long and Short Trading Positions (with Pierre Giot), 2003, Journal of Applied Econometrics, 18, 641-663.
Central Bank Interventions and Jumps in Double Long Memory Models of Daily Exchange Rates (with Michel Beine), 2003, Journal of Empirical Finance, 10, 641-660.
Market Risk in commodity markets: a VaR Approach (with Pierre Giot), 2003, Energy Economics, 25, 435-457.
Modelling daily Value-at-Risk using realized volatility and ARCH type models (with Pierre Giot), 2004, Journal of Empirical Finance, 11, 379 - 398.
Analytical derivates of the APARCH model, 2004, Computational Economics , 24, 51-57.
Have Sequential Interventions of Central Banks in Foreign Exchange been Effective? (with Michel Beine and Franz Palm), 2004, de Economist, 152(2), 297-308.
Bridging the Gap between Gauss and Ox using OXGAUSS (with Jean-Pierre Urbain), 2005, Journal of Applied Econometrics, 1, 131-139.
A New Class of Multivariate Skew Densities, with Application to GARCH Models (with Luc Bauwens), 2005, Journal of Business & Economic Statistics, 23(3), 8.
Multivariate GARCH models: a survey (with Luc Bauwens and Jeroen Rombouts), 2006, Journal of Applied Econometrics, 21(1), 79-109. (Revised version)
The information content of implied volatility in light of the jump/continuous decomposition of realized volatility (with Pierre Giot), 2007, Journal of Futures Markets, volume 27, pp. 337-359.
The Impact of Central Bank FX Interventions on Currency Components (with Charles Bos and Michel Beine), 2007, Journal of Financial Econometrics, 5/1, 153-183.
Central Bank Intervention and Exchange Rate Volatility, Its Continuous and Jump Components (with Michel Beine, Jerome Lahaye, Chris Neely and Franz Palm), 2007, International Journal of Finance and Economics, 12/2, 201-223.
Does transparency in central bank intervention policy bring noise to the FX market? The case of the Bank of Japan (with Christelle Lecourt and Jean-Yves Gnabo), 2009, Journal of International Financial Markets, Institutions & Money 19/1, 94-111.
Central Bank Forex Interventions Assessed Using Realized Moments, (with Michel Beine and Franz Palm), 2009, Journal of International Financial Markets, Institutions & Money, 19/1, 112-127.
Trading activity, realized volatility and jumps (with Pierre Giot and Mikael Petitjean), 2010, Journal of Empirical Finance 17, 168-175.
Jumps, CoJumps and Macro Announcements (with Jérome Lahaye and Chris Neely), 2011, Journal of Applied Econometrics, 26, 893-921.
Robust estimation of intraweek periodicity in volatility and jump detection (with Kris Boudt and Christophe Croux), 2011, Journal of Empirical Finance, 18, 353-367.
On the Forecasting Accuracy of Multivariate GARCH Models (with Jeroen Rombouts and Francesco Violante), 2012, Journal of Applied Econometrics, 12/6, 934-955. Web Appendix.
Outlyingness Weighted Quadratic Covariation (with Kris Boudt and Christophe Croux), 2011, Journal of Financial Econometrics, 9, 657-684. Appendix.
Volatility Forecasts Evaluation and Comparison (with Francesco Violante), 2011, Wiley Interdisciplinary Reviews: Computational Statistics, 4, 1-12.
Testing Conditional Asymmetry. A Residual-Based Approach (with Philippe Lambert and David Veredas), 2012, Journal of Economics Dynamics and Control, 36/8, 1129-1247.
Do Jumps mislead the FX market? (with Jean-Yves Gnabo, Jerome Lahaye and Christelle Lecourt), 2012, Quantitative Finance, 12/10, 1521-1532.
Common Intraday Periodicity (with Alain Hecq and Franz Palm), 2012, Journal of Financial Econometrics, 10, 325-353.
Robust Forecasting of Dynamic Conditional Correlation GARCH Models (with Kris Boudt and Jon Danielsson), 2013, International Journal of Forecasting, 29, 244-257. Technical Report
On Loss Functions and Ranking Forecasting Performances of Multivariate Volatility Models (with Jeroen Rombouts and Francesco Violante), 2013, Journal of Econometrics, 173, 1-10.
Testing for Jumps in ARMA-GARCH Models, a Robust Approach (with Christelle Lecourt and Franz Palm), 2016, Computational Statistics and Danta Analysis, 100, 383-400.
Which Continuous-time Model Is Most Appropriate for Exchange Rates? (with Deniz Erdemlioglu and Christopher J. Neely), 2015, Journal of Banking and Finance, 61, Supplement 2, S256-S268.
On the Univariate Representation of BEKK Models with Common Factors (with Alain Hecq and Franz Palm), 2016, Journal of Time Series Econometrics, 8 (2) 91-113.
Do We Need Ultra-High Frequency Data to Forecast Variances? (with Georgiana-Denisa Banulescu, Bertrand Candelon and Christophe Hurlin), 2016, Annals of Economics and Statistics, vol 123-124, p. 135-174.
Risk Measure Inference (with Christophe Hurlin, Rogier Quaedvlieg and Stephan Smeekes), 2017, Journal of Business & Economic Statistics, 35, 4, 499-512.
Weak Diffusion Limits of Dynamic Conditional Correlation Models (with Christian Hafner and Francesco Violante), 2017 Econometric Theory, 33, 1-26.
Positive Semidefinite Integrated Covariance Estimation, Factorizations and Asynchronicity (with Kris Boudt, Asger Lunde, Rogier Quaedvlieg and Orimar Sauri), 2017, Journal of Econometrics, 196, 347-367
Generating Univariate Fractional Integration within a Large VAR(1) (with Alain Hecq and Guillaume Chevillon), Journal of Econometrics, 2018, 204, 54-65. Previous title: Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence. Online Appendix.
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas (with Serge Darolles and Christian Francq), Journal of Econometrics, 2018, 204, 223-247.
Volatility Estimation and Jump Detection for Drift-diffusion Processes (with Shuping Shi), Journal of Econometrics, 2020, 217/2, 259-290.
Unit Root Test with High-Frequency Data (with Shuping Shi), Econometric Theory, 2022, 38/1, 113 - 171. Online Appendix.
Quasi score-driven models (with Francisco Blasques and Christian Francq), Journal of Econometrics, 2023, 234/1, 251-275.
We modeled long memory with just one lag! (with Luc Bauwens and Guillaume Chevillon). Forthcoming in Journal of Econometrics.
Autoregressive conditional betas (with Francisco Blasques and Christian Francq). Online supplement. Conditionally accepted in Journal of Econometrics.