INTERESTS
My main research interests are econometrics and statistics. I am interested in inference and modelling of skewed and heavy-tailed distributions, as well as extreme value theory and their application in finance and economics. I am also working on size distribution, flexible modelling and directional statistics. Besides my econometric and statistical research, I also do research combining mathematics and sports.
PUBLICATIONS
Refereed Publications:
1. The Method of Simulated Quantiles (with D. Veredas), Journal of Econometrics 172(2), 208-221, 2013.
2. On Sample Marginal Quantiles for Stationary Processes (with S. Hörmann, H. Ogata and D. Veredas), Statistics and Probability Letters 83(1), 28-36, 2013.
3. Inference for Vast Dimensional Elliptical Distributions (with H. Ogata and D. Veredas), Computational Statistics 28(4), 1853-1880, 2013.
4. A stochastic analysis of table-tennis (with C. Ley and Y. Swan), Brazilian Journal of Probability and Statistics 27(4), 467-486, 2013.
5. Multivariate Hill Estimators (with P. Ilmonen and D. Veredas), forthcoming in the International Statistical Review 85(1), 108-142, 2017.
6. Multivariate Moment Based Extreme Value Index Estimators (with M. Heikkilä and P. Ilmonen), forthcoming in Computational Statistics 32(4), 1481-1513, 2017.
7. Detecting multivariate outliers : Do not use Mahalanobis distance, use the Minimum Covariance Determinant approach (C. Ley, C. Leys and O. Klein), Journal of Experimental Social Psychology 74(1), 150-156, 2018.
8. Mutual Point-winning Probabilities (MPW): a New Performance Measure for Table Tennis (with C. Ley and W. Bruneel), forthcoming in Journal of Sports Sciences, 36(23), 2684-2690, 2018
9. On multivariate separating Hill estimator under estimated location and scatter (with M. Heikkilä and P. Ilmonen), Statistics : A Journal of Theoretical and Applied Statistics, 53(2), 301-320, 2019.
10. Multivariate Flexible Hill Estimator (with M. Heikkilä, P. Ilmonen and D. Veredas), forthcoming in Journal of Econometrics, 217 (2), 398-410, 2020.
Work in progress:
1. A note on EGIG distributions (with A. E. Koudou).
2. An interpolating family of size distributions (with C. Ley, C. Sinner, J. Truffin and P. Weber).
Co-editor of a book:
1. Science Meets Sports: When Statistics Are More Than Numbers (with C. Ley), Cambridge Scholars Publishing, 2020.
Book Chapters and Manuscripts:
1. Théorie des jeux : représentations et types de jeux, chapter in Notes de la quatrième BSSM, Edition 2011, ULB, 109-122, 2012.
2. Distributions and composite models for size-type data (with C. Sinner), for Advances in Statistical Methodologies and Their Applications to Real Problems, INTECH, Chapter 8, 2017.
Co-editor of the following works :
1. Notes de la sixième BSSM, Edition 2013 (with C. Bartholmé, T. Connor, J. Distexhe, L. Kidzinski, J. Meyer, G. Van Bever and P. Weber) ULB, 2014.
2. Notes de la cinquième BSSM, Edition 2012 (with C. Bartholmé, T. Connor, L. Kidzinski, J.Meyer, N. Richard and Y. Swan) ULB, 2013.
3. Notes de la quatrième BSSM, Edition 2011 (with C. Bartholmé, C. Ley, N. Richard, Y. Swan and G. Van Bever), ULB, 2012.