Works submitted for publication
Estimation in high-dimensional linear regression: Post-Double-Autometrics as an alternative to Post-Double-Lasso (with Sullivan Hué, Ulrich Aiounou and Emmanuel Flachaire).
⚠️ L1-Penalized Quasi-Maximum Likelihood Estimation of 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Unpublished working papers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).