PUBLICATIONS
The Kendall and Spearman rank correlations of the bivariate skew normal distribution, (with Andréas Heinen), Scandinavian Journal of Statistics, forthcoming, 2022.
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).
Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model, (with Andréas Heinen).
WORK IN PROGRESS
Term Structure of the financial returns dependence.
Asymmetric dependence in Volatility? a copula based study.