Discussion paper of “Robust Distance Covariance” by S. Leyder, J. Raymaekers, and P.J. Rousseeuw (with Hallin M., Liu H., and Xu X.), International Statistical Review, forthcoming
Inference via robust optimal transportation: theory and methods (with Y. Ma, H. Liu and M. Lerasle), International Statistical Review, 2025, forthcoming.
General spatio-temporal factor models for high-dimensional random fields on a lattice (with M.Barigozzi and H. Liu), Annals of Statistics, 2025, forthcoming.
GLAMLE: inference for multiview network data in the presence of latent variables, with application to commodities trading (with C.Jiang and R.Rastelli), Econometrics and Statistics, 2024, forthcoming.
On the use of the cumulant generating function for inference on time series (with A. Moor and E. Ronchetti), Computational Statistics and Data Analysis, 2024, forthcoming.
Editorial for the Special Issue on Robustness Dedicated to Elvezio Ronchetti and Peter Rousseeuw (with E. Cantoni, M. Hubert, and S. Van Aelst), Econometrics and Statistics, 2024, forthcoming
A Higher-Order Correct Fast Moving-Average Bootstrap for Dependent Data (with A.Moor and O.Scaillet), Journal of Econometrics, 2023, 235, Pages 65-8.
Rank-based Testing for Semiparametric VAR models: a measure transportation approach (with M.Hallin and H.Liu), Bernoulli ,2023, 29(1): 229-273.
Robust sieve M-estimation with an application to dimensionality reduction (with J. Bodelet), Electronic Journal of Statistics, 2022, 16(2): 3996-4030, Matlab Code
On some connections between Esscher's titlting, saddlepoint approximations, and optimal transportation: a statistical perspective (with E.Ronchetti and A. Ilievski), Statistical Science, 2022, 38(1), 30-51. (R and MATLAB code available at the same GitHub link)
Saddlepoint techniques for spatial panel data models (with C.Jiang, E.Ronchetti and O.Scaillet), Journal of the American Statistical Association, 2021,118(542), 1164–1175;
Estimation of Nonparametric model for Bond Prices from Cross-section and Time series Information (with B.Koo and O.Linton), Journal of Econometrics, 2021,220(2),562-588
Center-outward R-estimation for semiparametric VARMA models (with M.Hallin and H.Liu), 2020, Journal of the American Statistical Association, available on line from October 2020
A simple R-estimation method for semiparametric duration models (with M.Hallin), Journal of Econometrics, 2020, 18: 736-749.
Semiparametric segment M-estimation for locally stationary diffusions (with P-Y.Deléamont), Biometrika, 2019, Vol 106, Issue 4, Pages 941–956
Saddlepoint approximations for short and long memory time series: A frequency domain approach (with E. Ronchetti), Journal of Econometrics, 2019, 2: 578-592
R-estimation in semiparametric dynamic location-scale models, (with M.Hallin), Journal of Econometrics, 2017,196, 2, 233–247
Stable asymptotics for M-estimators, International Statistical Review, 2016, 84: 267-290
Robust heart rate variability analysis via generalized entropy minimisation (with L.Camponovo and D.Ferrari), Computational Statistics and Data Analysis, 2015, 82:137–151
Realizing smiles: option pricing using realised volatility (with F.Corsi and N.Fusari), Journal of Financial Economics, 2013, 107, 2: 284-304
On robust estimation via pseudo-additive information (with D.Ferrari), Biometrika, 2012, 99, 1, 238-244
Higher-order infinitesimal robustness (with E.Ronchetti and F.Trojani), Journal of the American Statistical Association, 2012, 107, 500, 1546-1557
Infinitesimal robustness for diffusions (with F.Trojani), Journal of the American Statistical Association, 2010,105: 703-712