Works submitted for publication
🆕Sluggish news reactions: A combinatorial approach for synchronizing stock jumps (with Nabil Bouamara, Kris Boudt and Christopher J. Neely). Online Supplement.
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 Autoregressive Conditional Betas (with Christian Francq and Julie Schnaitmann). Online Supplement. Data.
Unpublished working papers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).