Prosper Dovonon

Address:                                
                Department of Economics
                Concordia University
                1455 de Maisonneuve Blvd. West
                Montreal, Quebec,
                H3G 1M8, Canada
 
Telephone:
               (514) 848-2424 (ext. 3479)
                
Email:              prosper.dovonon@concordia.ca
 
 
Education:
 
        2007: Ph.D. Economics, Universite de Montreal.
        2000: MSc. Statistics and Economics, ENSEA, Abidjan, Cote d'Ivoire.
        1996: MSc. Mathematics, Universite Nationale du Benin, Abomey-Calavi, Benin.
 
 
Professional Experience:
    
        Fall 2017     :  Academic visit at HEC Montreal.
        2015 - Pres.:  Associate Professor at Concordia University, Montreal, Canada.
        2010 - 2015 : Assistant Professor at Concordia University, Montreal, Canada.
        2007 - 2010 : Assistant vice president, Barclays Wealth, London.
        2002 - 2007 : Instructor, Universite de Montreal.
 
        My resume
  
 
Research Fields:
 
Econometrics, Time Series Analysis, Financial Econometrics.
 
 
Publications:

"The Asymptotic Properties of GMM and Indirect Inference under Second-Order Identification", Joint with Alastair R. Hall, (2017) Journal of Econometrics, to appear.


"Bootstrapping the GMM Overidentification Test under First-Order Underidentification", Joint with Silvia Goncalves, (2017) Journal of Econometrics, to appear.
 

"Large Sample Properties of the Three-Step Euclidean Likelihood Estimators under Model Misspecification", (2016) 
Econometric Reviews, 35(4):465–514.
 
 
"Testing for Common Conditionally Heteroskedastic Factors", with Eric Renault, (2013) Econometrica, 81(6), 2561-2586.
 

"Bootstrapping Realized Multivariate Volatility Measures", with Silvia Goncalves and Nour Meddahi, (2013) Journal of Econometrics, 172, 49-65.
  
 
"Conditionally Heteroskedastic Factor Models with Skewness and Leverage Effects", (2013) Journal of Applied Econometrics, 28, 1110-1137.
 
 
"Inference about Long Run Canonical Correlations", with Alastair R. Hall and Kalidas Jana, (2012) Journal of Time Series Analysis, 33, 665-683.

 
 
Working Papers:

"Robust Estimation with Exponentially Tilted Hellinger Distance", Joint with Antoine Bertille, submitted.
This version: September 2017.


"Inference in Second-Order Identified Models", Joint with Alastair R. Hall, and Frank Kleibergensubmitted.
This version: January 2017.


"Efficiency Bounds for Semiparametric Models with Singular Score Functions", Joint with Yves F. Atchade, submitted. 
This version: November 2016.
 

"Bootstrapping High-frequency Jump Tests", Joint with Silvia GoncalvesUlrich Hounyo, and Nour Meddahisubmitted.
This version: December 2016 (First draft: June 2015).


"GMM Overidentification Test with First Order Underidentification", Joint with Eric Renault (Brown University).
This version: August 2009.