Research:

Working papers:

1. GCov-Based Portmanteau Test ( with Joann Jasiak, R&R Econometric Reviews)

2. Regularized Generalized Covariance (RGCov) Estimator ( with Francesco Giancaterini, Alain Hecq, and Joann Jasiak, R&R  The Econometrics Journal) 

3. Bubble Detection with Application to Green Bubbles: a Noncausal Approach  ( with Francesco Giancaterini, Alain Hecq, and Joann Jasiak) 

4. Generalized Covariance Estimator under Misspecification and Constraints 

Work in Progress: 

5. Shrinkage Regularization of The Absence of Nonlinear Serial Dependence Test

6. A Nonparametric Test for Serial and Simultaneous Dependence in the Extremes of Multivariate Time Series

Conference Presentations:

•  CFE-CMStatistics (London),  December 2025 [scheduled].

• Canadian Econometrics Study Group (CESG) (Ottawa),  October 2025 [scheduled].

• James Mackinnon Workshop (Kingston), September 2025.

• Annual Conference of the International Association for Applied Econometrics (IAAE) (Torino), June 2025.

•  Non-Causal Econometrics workshop (Paris), June 2025.

• Canadian Economics Association Annual Meeting (Montreal), May 2025.

• Statistics Society of Canada Annual Meeting (Saskatoon), May 2025. [Best PhD Oral Presentation in the Business & Industrial Statistics subgroup]

• The Thirteenth Annual Canadian Statistics Student Conference (Saskatoon), May 2025. [3rd Place for Best PhD Oral Presentation]

•  CFE-CMStatistics (London),  December 2024.

• Canadian Econometrics Study Group (CESG) (Toronto),  October 2024.

• European winter meeting of The Econometric Society (Manchester), December 2023.

• Canadian Economics Association Annual Meeting (Winnipeg), May 2023.

Research Assistant :

• Perry Sadorsky: Using US Stock Sectors to Diversify, Hedge, and Provide Safe Havens for NFT Coins

• Perry Sadorsky: Do clean energy stocks diversify the risk of FinTech stocks? Connectedness and portfolio implications

• Perry Sadorsky: Connectedness and systemic risk between FinTech and traditional financial stocks: Implications for portfolio diversification

• Antoine Djogbenou: The application of factor models to big economic data in finance and economics