Research
Achievements
4497 Current Google Scholar citations
since 2017 In top 5% RePEc/Ideas authors ranking in terms of various criteria
since 2016 Causality Test of Dumitrescu & Hurlin - embedded in STATA and Eviews
Published Papers
Machine Learning for Credit Scoring: Improving Logistic Regression with Non Linear Decision Tree Effects, with Hué, S., Hurlin, C. and Tokpavi, S. In: European Journal of Operational Research 2022, pp 1178-1192.
How should parameter estimation be tailored to the objective?, with Hansen, P.R. In: Journal of Econometrics 2022, pp. 535-558.
Do High-frequency-based Measures Improve Conditional Covariance Forecasts?, with Banulescu-Radu, D. In “Financial Mathematics, Volatility and Covariance Modelling” Volume 2, Routledge Advances in Applied Financial Econometrics Series, 2019, pp. 261–285.
Which are the SIFIs? A Component Expected Shortfall approach to systemic risk, with Banulescu-Radu D. In: Journal of Banking & Finance 50 (2015), pp. 575–588. [Matlab code and compagnion website]
Currency crisis early warning systems: Why they should be dynamic, with Candelon B., and Hurlin C. In: International Journal of Forecasting 30 (2014), pp. 1016–1029. [Matlab code and compagnion website]
Commodity prices and exchange rate volatility: Lessons from South Africa’s capital account liberalization, with Arezki, R., Freytag, A., and Quintyn, M. In: Emerging Markets Review 19 (2014), pp. 96–105.
Modeling Financial Crises Mutation, with Candelon, B., Hurlin, C. and F. Palm. In: Advances in Econometrics 32 (2013), pp. 395–427.
Testing interval forecasts: A GMM-based approach, with Hurlin C., and Madkour J. In: Journal of Forecasting 32 (2013), pp. 97–110. [Matlab code and compagnion website]
Testing for Granger non-causality in heterogeneous panels, with Hurlin C. In: Economic Modelling 29 (2012), pp. 1450–1460. [Matlab code and compagnion website]
Backtesting value-at-risk: from dynamic quantile to dynamic binary tests, with Hurlin C., and Pham V. In: Finance 33 (2012), pp. 79–112. [Matlab code and compagnion website]
How to evaluate an early-warning system: Toward a unified statistical framework for assessing financial crises forecasting methods, with Candelon B., and Hurlin C.. In: IMF Economic Review 60 (2012), pp. 75–113. [Matlab code and compagnion website]
Econometric methods for financial crises, Ed. Universitaire Pers Maastricht, 2012.
Using a Markov Switching Approach for Currency Crises Early Warning Systems: an Evaluation Framework, In: AENORM 17 (2009), pp. 31–34.
Working Papers
Volatility persistence in fractional Heston models with self-exciting jumps, with de Truchis G. and Desgraupes B. R&R. Econometric Reviews.
Long memory and power law coherency between realized volatility and trading volume, with Banulescu-Radu D., and de Truchis G. Submitted.
Narrow-band weighted nonlinear least squares estimation of unbalanced cointegration Systems, with de Truchis G., To be submitted.
Testing for extreme volatility transmission with realized volatility measures, with de Truchis G. and Tokpavi S. To be submitted.
Local Whittle analysis of stationary unbalanced fractional cointegration Systems, with de Truchis G. and Dubois F. To be submitted.
Forecasting exchange rate volatility: Multivariate realized GARCH framework, with Hansen P.R. Working Paper.
Ongoing Papers
Bet on a bubble asset ? An optimal portfolio allocation strategy, with de Truchis G., Fries S. and Thomas A.
Oil market uncertainty, Google searches and extreme stock market volatility, with de Truchis G., Paris A. and Tokpavi S.
Unbalanced predictive regressions, with de Truchis G.
Generalized linear models with mixed-data sampling for counting variables, with Banulescu-Radu D., de Truchis, G. and Hué, S.
Conference organization
Seminar in Finance & Assurance at Institut Louis Bachelier
28-05-2019, with G. de Truchis, C. Francq, J.M. Zakoian, J. Rombouts (CREST, ESSEC & EconomiX)
Workshop in Financial Econometrics
21-03-2019, with G. de Truchis, O. Darné, Z. Moussa, B. Sévi (University of Nantes)
Workshop Econometric Theory and Time Series Analysis
19-09-2018, with D. Banulescu-Radu and G. de Truchis (Hôtel de Lauzun, IEA of Paris)
Young Econometrician Working Group
since 2016, with D. Banulescu-Radu and G. de Truchis (Paris & Orléans)
Journée d’Économétrie Appliquée à la Finance
since 2015 - (yearly) with V. Mignon and G. de Truchis (University of Paris Nanterre)
Selected conference participations
Quantitative Finance and Financial Econometrics (2022, [2020] ,2019, 2018)
International Conference of the French Finance Association (AFFI) (2021)
Workshop ANR Multirisk, (Florence, 2019)
French Econometrics Conference (2019, 2018, 2016, 2015, 2013)
Financial Time SeriesWorkshop (at CREST, 2018)
SoFiE Annuel Meeting (2018)
EC2 Conference (2016)
World Congress of the Econometric Society (2015, 2010)
European Meeting of the Econometric Society (2016, 2012, 2011)
European Economic Association (2016, 2010)
[.] cancelled due to sanitary conditions
Recent seminar presentations
2021 Lund University
2020 CREST
2020 University of Nantes, Finance Seminar
2019 Erasmus University of Rotterdam
2018 Aix-Marseille School of Economics