PUBLICATIONS
Hedge Fund Investment: Optimal Portfolios with Regime-Switching, (with Andréas Heinen), Journal of Financial Econometrics, 2026, Volume 24, Issue 3
The Kendall and Spearman rank correlations of the bivariate skew normal distribution, (with Andréas Heinen), Scandinavian Journal of Statistics, 2022, Volume 49, Issue 4.
Spearman rank correlation of the bivariate Student t and scale mixtures of normal distributions, (with Andréas Heinen), Journal of Multivariate Analysis, 2020, Volume 179.
Copula-Based Volatility Models, (with Andréas Heinen), Volatility Models and their Applications (edited by Luc Bauwens, Christian Hafner and Sébastien Laurent), 2012, Chapter 12, pp. 293 - 318.
Dynamic D-Vine, (with Andréas Heinen), Dependence Modeling: Vine Copula Handbook (edited by Harry Joe and Dorota Kurowicka), 2010, Chapter 16, pp. 329-358.
Modeling International Financial Returns with a Multivariate Regime Switching Copula, (with Lorán Chollete and Andréas Heinen), Journal of Financial Econometrics, 2009, Volume 7, Issue 4, pp. 437-480.
RESEARCH PAPERS
The Small World of Corporate Boards-Worldwide: International Evidence from Listed Firms, (with Malika Hamadi, Andréas Heinen and Nicolas Jonard).
Is it Worth Investing in Hedge funds? Optimal portfolios with Regime-Switching, (with Andréas Heinen).
WORK IN PROGRESS
Term Structure of the financial returns dependence.
Asymmetric dependence in Volatility? a copula based study.