My research interests include the study of the limit properties of heavy-tailed stochastic processes, and the stationarity and inference of multiplicative component and functional volatility models. More broadly, I am interested in many topics in probability, statistics and financial econometrics.
Stochastic recurrent equations: structure, statistical inference, and financial applications. [pdf]
On the growth rate of superadditive processes and the stability of functional GARCH models [CREST-WP], 2023.
Markov-Switching Normal-Mixture GARCH [Nexialog-WP], 2023.
Strict stationarity and existence of moments for a family of functional GARCHs.
Stability of perpetuities in the non-iid case.
10th International Workshop on Applied Probability (IWAP 2023 ) – Thessaloniki, June 2023
16th International Conference on Computational and Financial Econometrics (CFE 2022) – London, Dec. 2022
5th Rencontres des jeunes chercheurs africains en France (RJCAF 2022) – Paris, Dec. 2022
Webinar R&D Nexialog Consulting – Paris, Nov. 2022
Center for Research in Economics and Statistics (CREST) seminar in Financial Econometrics – Palaiseau, Oct. 2022
24th International Conference on Computational Statistics (COMPSTAT 2022) – Bologna, Aug. 2022
Colloque International de Statistique et Économétrie (CISEM 2022) – Mahdia (Tunisia) , May. 2022
15th International Conference on Computational and Financial Econometrics (CFE 2021) – London (virtual), Dec. 2021
Center for Research in Economics and Statistics (CREST) seminar in Financial Econometrics – Palaiseau, Oct. 2021
