Working Papers

 Works submitted for publication

1. Sequential Cauchy Combination Test for Multiple Testing Problems with Financial Applications (with Nabil Bouamara and Shuping Shi). Online supplement.

2. Realized Drift (with Roberto Renò and Shuping Shi). Online Appendix.

3. Interpretable Machine Learningusing Partial Linear Models (with Emmanuel Flachaire, Sullivan Hué and Gilles Hacheme). Online supplement. A previous version circulated with the title "GAM(L)A: An econometric model for interpretable Machine Learning".

 Unpublished working papers

1. Modelling Skewness Dynamics in Series of financial data using skewed location-scale distributions (with Philippe Lambert).

2. Modelling financial time series using GARCH-type models and a skewed Student density (with Philippe Lambert).