Research Papers

Work in Progress:

• "Multifractal Cryptocurrencies", with Bastien Buchwalter and Engin Iyidogan.

• " M&A Rumors about Listed Firms", with Yan Alperovych, Douglas Cumming and Alexander Groh.

• " JOBS act and VC-backed IPOs", with Yan Alperovych and Anantha Divakaruni.

• " Structural Dynamic Analysis of Systematic Risk", with Christian Gouriéroux and Laurent Calvet, permanent working paper.
  
  

Publications:

• " Uncovering Asset Market Participation from Household Consumption and Income" (2023), with René Garcia and Francois Le Grand, Journal of Econometrics, forthcoming.
  - Online Appendix to Uncovering Asset Market Participation from Household Consumption and Income

• " Approximate Maximum Likelihood for Complex Structural Models" (2022), with David T. Frazier and Eric Renault, Journal of Econometrics, vol. 231, issue 2, 432-456.

• " M&A Rumors about Unlisted Firms" (2021), with Yan Alperovych, Douglas Cumming and Alexander Groh, Journal of Financial Economics, vol. 142, issue 3, 1324–1339.
  - Online Appendix to M&A Rumors about Unlisted Firms
  
  Our paper is also featured on: Harvard Law School Forum on Corporate Governance
  
  

• " Asymmetric Stochastic Volatility Models: Properties and Particle Filter-based Simulated Maximum Likelihood Estimation" (2020), with Xiuping Mao, Esther Ruiz and Helena Veiga, Econometrics and Statistics, vol. 13, January 2020, 84-105.

• " Robust Filtering" (2015), with Laurent Calvet and Elvezio Ronchetti, Journal of the American Statistical Association, vol. 110, issue 512, 1591-1606.
  - Online Appendix to Robust Filtering
  - C code for robust filtering in an MSM (Figure 1)
  - C code for robust particle filtering in a bivariate linear Gaussian model (Figure 5) 

• " Through the Looking Glass: Indirect Inference Via Simple Equilibria" (2015), with Laurent Calvet, Journal of Econometrics, vol. 185, issue 2, 343–358.
  - Online Appendix to Through the Looking Glass: Indirect Inference Via Simple Equilibria.
  - C code for the empirical estimation of the Bansal and Yaron (2004) model (Table 1) which uses the following data: consumption.txt, dividend.txt, pdratio.txt, riskfree.txt

• " Accurate Methods for Approximate Bayesian Computation Filtering" (2015), with Laurent Calvet, Journal of Financial Econometrics, vol. 13, issue 4, 798–838.

• " Accurate and Robust Tests for Indirect Inference" (2010), with Elvezio Ronchetti, Biometrika, vol. 97, issue 3, 621-630.
  - Online Appendix to Accurate and Robust Tests for Indirect Inference.

• " Accurate and Robust Indirect Inference for Diffusion Models" (2008), with Elvezio Ronchetti, Cahiers du Département d’Econométrie, Université de Genève, No 2008.01.

• " Indirect Robust Estimation of the Short-term Interest Rate Process" (2007), with G. Andrew Karolyi and Elvezio Ronchetti, Journal of Empirical Finance , vol. 14, issue 4, 546-563.