Works submitted for publication
Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications (with Nabil Bouamara and Shuping Shi). Online supplement.
Sluggish news reactions: A combinatorial approach for synchronizing stock jumps (with Nabil Bouamara, Kris Boudt and Christopher J. Neely).
Estimation in high-dimensional linear regression: Post-Double-Autometrics as an alternative to Post-Double-Lasso (with Sullivan Hué, Ulrich Aiounou and Emmanuel Flachaire).
⚠️ Penalized QMLE and model selection of time series regressions (with Christian Francq and Julie Schnaitmann). Online Supplement.
Unpublished working papers
Modelling Skewness Dynamics in Series of financial data using skewed location-scale distributions (with Philippe Lambert).
Modelling financial time series using GARCH-type models and a skewed Student density (with Philippe Lambert).