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PhD Thesis (Maastricht University and University of Orléans): Econometric Methods for Financial Crises
Publications and Work in progress
Conference and Seminar Presentations
Conference and Seminar Presentations
Conference Presentations
11th French Econometrics Conférence, AMSE, December 2019
Workshop ANR Multirisk, Florence, 29-30 Avril 2019
10th French Econometrics Conférence, PSE, December 2018
Financial Time Series Workshop, CREST, Palaiseau, 3 Decembre 2018
11th SoFiE Annual Meeting, Lugano, 12-14 June 2018
QFFE, The 1st international conference on “Quantitative Finance and Financial Econometrics”, Aix-Marseille, 30 May - 1 June 2018
19th Oxmetrics Users Conference, Paris, 11-12 September 2017
ERMAS, The 4th Annual Conference of the Romanian Academic Economists from Abroad, Cluj-Napoca, 26-28 July 2017
INFER, The 19th annual conference, Bordeaux, 7-9 June 2017
FMND, The 3rd International Workshop on “Financial Markets and Nonlinear Dynamics” , Paris, 1-2 June 2017
Vienna-Copenhagen conference on Financial Econometrics, Vienna, 9-11 March 2017
EC2 conference on Big Data, Toulouse, 16-17 December 2016
8th French Econometrics Conférence, Paris, 17-18 November 2016
Risk Measures Workshop, Orléans, 3 October 2016
EEA, The 31st Annual Congress of the European Economic Association, Geneva, 22-26 August 2016
7th French Econometrics Conférence, Orléans, December 2015
WCES, The 11th World Congress of the Econometric Society, Montreal, 17-21 August 2015
ERMAS, The 2nd Annual Conference of the Romanian Academic Economists from Abroad, Cluj-Napoca, 29-31 July 2015
Computational and Financial Econometrics, Pisa 6-8December 2014
International Symposium on Forecasting, Rotterdam 29 juin - 2 juillet 2014
Measuring and Modeling Financial Risk with High Frequency Data, Florence 19-20 June 2014
Applied Time Series Econometrics Workshop, St. Louis 11 avril 2014
5th French Econometrics Conférence, Toulouse 13-14 November 2013
INFER, Annual congress, Orléans, 28 May - 1 June 2013
SNDE, 21th Symposium of the Society for Nonlinear Dynamics, Milan, 28-29 Machs 2013
ADRES, Conférence Doctoriale de l'Association pour le Développement de la Recherche en Économie et en Statistique, Strasbourg, 31 January - 1 February 2013
Journée d'économétrie "développements récents de l'économétrie appliquée à la finance", Paris Ouest - Nanterre La Défense, 21 November 2012
Advances in Econometrics, The 12th annual conference, Dallas, 2-4 November 2012
CREDIT, The 11th International Conference on Credit Risk Evaluation Designed for Institutional Targeting in finance, Venice, 27-28 September 2012
ESEM, The 66th European Meeting of the Econometric Society, Malaga, 27-31 August 2012
AFSE, Le 61ème Congres de AFSE, Paris II, 2-4 July 2012
MIFN, Methods in International Finance Network - 5th Workshop, Orléans, 20-21 October 2011
AFSE, Association Française de Sciences Economiques, Le 60ème Congres de AFSE, Paris Ouest - Nanterre La Défence, 8-9 September 2011
ESEM, The 65th European Meeting of the Econometric Society, Oslo, 25-29 August 2011
Journée d'économétrie "développements récents de l'économétrie appliquée à la finance", Paris Ouest - Nanterre La Défense, 24 November 2010
MIFN, Methods in International Finance Network - 4th Workshop, Jinan, 16-17 October 2010
Eurostat, 6th Colloquium on "Modern Tools for Business Cycle Analysis: the lessons from global economic crisis", Luxembourg, 27-29 September 2010
AFSE, Le 59ème Congrès de AFSE, Paris Ouest - Nanterre La Défence, 9-10 September 2010
EEA, The 25th Annual Congress of the European Economic Association, Glasgow, 23-26 August 2010
WCES, The 10th World Congress of the Econometric Society, Shanghai, 17-21 August 2010
GDRE, Groupe de Recherche Européen, 27èmes journées d'économie monétaire et bancaire, Bordeaux, 17-18 June 2010
INFINITI, The 8th Conference on International Finance, Dublin, 14-15 June 2010
AFFI, Association Française de Finance Spring Meeting, Saint-Malo, 10-12 May 2010
FIW, 3rd Research Conference on International Economics, Vienna, 11 December 2009
Journée d'économétrie "développements récents de l'économétrie appliquée à la finance", Paris Ouest - Nanterre La Défense, 25 November 2009
MIFN, Methods in International Finance Network - 3rd Workshop, Luxembourg, 15-16 October 2009
Seminar Presentations
CREST - ENSAE, November 2020
University of Nantes, Finance Seminar, February 2020
Erasmus University of Rotterdam, May 2019
Aix-Marseille Shool of Economics, February 2018
Queen Mary University, March 2014
University of Cergy-Pontoise, April 2013
University Paris Ouest Nanterre la Défense, February 2013
University Paris-Dauphine, February 2013
Konstanz University, February 2013
Banque de France, February 2013
European University Institute, October 2011
University of Orléans, December 2009 and June 2012
Seminar at the International Monetary Fund, May 2010
RunMyCode Project
Objective: Make research easier to use and easier to replicate. RunMyCode is a free web service allowing scholars and other interested professionals to acces computer codes associated with a scientific publication (articles and working papers). To learn more: SHS letter (in french).
Please visit my companion websites: (click on the title to discover it)
Which Are the SIFIs? A Component Expected Shortfall (CES) Approach to Systemic Risk (Journal of Banking and Finance 50, 2015)
How to Evaluate an Early Warning System ? Towards a Unified Statistical Framework for Assessing Financial Crises Forecasting Methods (IMF Economic Review 60 (1), 2012)
Backtesting Value-at-Risk : From Dynamic Quantile to Dynamic Binary Tests (Finance 33 (1), 2012)
Currency Crises Early Warning Systems : Why They Should Be Dynamic (International Journal of Forecasting 30, 2014)
Testing for Granger Non-causality in Heterogeneous Panels (Economic Modelling 29(4), 2012)
Testing Interval Forecasts : a GMM-Based Approach (Journal of Forecasting, 2011)
Participation in Funded Research Projects
Défi "INFIniTi", CNRS Exploratory Project (2018), Research Project Analyse Multivariée du Risque Financier et Modélisation de la persistance en présence de Jumps, Coordinator (with de Truchis, G.)
Défi "INFIniTi", CNRS Exploratory Project (2017), Research Project Analyse du Risque Financier et Modélisation de la persistance en présence de Jumps, Coordinator (with de Truchis, G.)
SAS-IIF Grant to Support Research on Principles of Forecasting (2013), Research Project Forecasting Exchange Rate Volatility: Multivariate Realized GARCH Framework, Coordinator
IMF (January-March 2011), Research Projet Avoiding the Oil Curse: Financial Stability and the Financial Sector in the Arab World, Project Leader Rabah Arezki
ANR Grant Econom&Risk (2010), Research Project Approches Econométriques pour la Modélisation du Risque, Project Leaders Christophe Hurlin, Christian Francq and Gaëlle Le Fol
PICS Grant - Projet International de Cooperation scientifique (CNRS)- (2009-2012), Research Project Econometric Approaches to Risk Modelling, Project Leader Christophe Hurlin
Invitations
Visiting at the European University Institute, Florence (Sept.-Dec. 2011)
Invited researcher at Maastricht University (2009, 2010, 2011, according to the joint PhD regulation)
Referee activity
Referee for the reviews: Journal of Applied Econometrics, Journal of Financial Econometrics, Journal of Banking and Finance, Journal of International Money and Finance, Journal of Forecasting, Journal of Empirical Finance, Finance, Journal of International Financial Markets, Institutions & Money, Emerging Markets Finance and Trade, Economie Internationale / International Economics, Revue d’économie politique, Revue d’Economie Régionale et Urbaine, Review of Finance and Banking
Other Research Related Activities
Seminar in Finance & Insurance at Louis Bachelier Institute ( Paris, 28 Mai 2019), with G. de Truchis, C. Francq and J-M. Zakoian
Co-organizer of the ”Workshop in Financial Econometrics” (Nantes, 21-22 March 2019) with G. de Truchis, O. Darné, Z. Moussa and B. Sevi
Co-organizer of the workshop “Econometric Theory and Time Series Analysis” (Paris, 19 September 2018) with D. Banulescu and G. de Truchis
Co-organizer of the seminar "Le Thé des Jeunes Economètres" (since September 2016), with D. Banulescu-Radu and G. de Truchis
Member of the organising committee of the workshop in financial econometrics 'Journée d’économétrie', Université Paris Ouest (since 2015)
Member of the Systemic Risk Hub team dedicated to systemic risk measures (since 2014)
Member of the scientific committee for the French Econometrics Conference 2015, and the International Network For Economic Research (INFER) 2014, 2017
Coordinator of the Time-Series Working Group weekly seminar, EUI (2012-2013)
Participation in the "Econometric Game" contest, Amsterdam, 2008, and Captain of University of Orléans's team in 2011
I took part at the organization of Methods in International Finance Network - 5th workshop (Orléans, 20-21 October 2011), the 26th Symposium in Money Banking and Finance (Orléans, 25-26 June 2009) and Journées de l'AFSE 2010 (Orléans, 3-4 June 2010)
Member of the Association des Doctorants et Docteurs Orléanais en Sciences de l'Homme et de la Société, ADDOSHS (2012-2013)
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