Research

A. Econometric analysis of factor models

Large (conditional) factor models for asset pricing, Factor Analysis in short panels, inference with large-N-large-T panels, mixed frequency datasets, identifying contagion versus common factors in time series, linear and non-linear state space models, granularity theory and its applications to large portfolios in finance

1. Eigenvalue Tests for the Number of Latent Factors in Short Panels, 2022, prepared for the Journal of Financial Econometrics H. White Memorial Lecture at the 2022 Annual Conference of SoFiE, with A.-P. Fortin and O. Scaillet

2. Skill, Scale and Value Creation in the Mutual Fund Industry, 2022, Journal of Finance, 77, 601-638, with L. Barras and O. Scaillet

3. Three Common Factors, 2022, with E. Andreou, E. Ghysels, and M. Rubin

4. Is it Alpha or Beta? A Formal Evaluation of Hedge Fund Models, 2020, with D. Ardia, L. Barras and O. Scaillet 

5. Estimation of Large-Dimensional Conditional Factor Models in Finance, 2020,  Handbook of Econometrics, Volume 7A, Chapter 3, 219-282, with O. Scaillet and E. Ossola

6. Instrumental Variables Inference in a State Space Model, 2019, forthcoming in Econometric Theory, with F. Carlini

7. Extracting Statistical Factors When Betas Are Time-Varying, 2019, Preprint, with H. Ma

8. Mixed-Frequency Macro–Finance Factor Models: Theory and Applications , 2020, Journal of Financial Econometrics, 18(3), 585-628,  with A. Andreou, E. Ghysels and M. Rubin

9. A Diagnostic Criterion for Approximate Factor Structure, 2019, Journal of Econometrics, 212, 503- 521, with E. Ossola and O. Scaillet 

10. Inference in Group Factor Models with an Application to Mixed Frequency Data, 2019, Econometrica, 87, 1267-1305, with E. Andreou, E. Ghysels and M. Rubin 

11. Identification by Laplace Transforms in Nonlinear Panel or Time Series Models with Unobserved Stochastic Dynamic Effects, 2019, Journal of Econometrics, 208, 613-637, with C. Gourieroux 

12. Indirect Inference Estimation of Mixed Frequency Stochastic Volatility State Space Models using MIDAS Regressions and ARCH Models, 2017, Journal of Financial Econometrics, 15, 509-560, with E. Ghysels and M. Rubin

13. Double instrumental Variable Estimation of Interaction Models with Big Data, Journal of Econometrics, 201, 176-202, 2017, with C. Gourieroux

14. Spread Term Structure and Default Correlation, 2016, Annals of Economics and Statistics, 123/124, 175-223, with C. Gourieroux

15. Time-Varying Risk Premium in Large Cross-Sectional Equity Datasets, 2016, Econometrica, 84, 985-1046, with E. Ossola and O.Scaillet

16. Efficiency in Large Dynamic Panel Models with Common Factor, 2014, Econometric Theory, 30, 961-1020, with C. Gourieroux

17. Granularity Theory with Applications to Finance and Insurance, 2014, Cambridge University Press, Themes in Modern Econometrics, with C. Gourieroux

18. Correlated Risks vs Contagion in Stochastic Transition Models, 2013, Journal of Economic Dynamics and Control, 37, 2241-2269, with C. Gourieroux

19. Granularity Adjustment for Risk Measures: Systematic vs Unsystematic Risks, 2013, Journal of Approximate Reasoning, 54, 717-747, with C. Gourieroux

20. Microinformation, Nonlinear Filtering and Granularity, Journal of Financial Econometrics, 10(1), 1-53, 2012, with C. Gourieroux and A. Monfort

21. Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk, Journal of Financial Econometrics, 9, 237-280, 2011, with C. Gourieroux

22. Stochastic Migration Models with Application to Corporate Risk, Journal of Financial Econometrics, 3 (2), 188-226, 2005, with C. Gourieroux

23. Migration Correlation: Definition and Efficient Estimation, Journal of Banking and Finance, 29, 865-894, 2005, with C. Gourieroux

24. Testing Asset Pricing models with Coskewness, Journal of Business and Economic Statistics, 22, 474-485, 2004, with G. Barone Adesi and G. Urga

B. Statistical learning in small data regimes 

Nonparametric nonstationary time series models, Maximum entropy principle, high-dimensional modeling of financial data, entropic Scalable Probabilistic Approximation (eSPA), Sparse Probabilistic Approximation for Regression Task Analysis (SPARTAn) 

1. On Cheap Entropy-Sparsified Regression Learning, 2023, forthcoming in Proceedings of the National Academy of Sciences of the United States of America , with I. Horenko, E. Vecchi, J. Kardos, A. Wächter, O. Schenk, T. J. O'Kane, and S. Gerber

2. Entropic approximate learning for financial decision-making in the small data regime, with G. Berra, I. Horenko, E. Vecchi

3. On a Computationally Scalable Sparse Formulation of the Multidimensional and Nonstationary Maximum Entropy Principle, 2020, Communications in Applied Mathematics and Computational Science, 15(2), 129-146, with G. Marchenko and I. Horenko 

4. Towards a Computationally Tractable Maximum Entropy Principle for Nonstationary Financial Time Series, 2018, SIAM Journal on Financial Mathematics, with G. Marchenko and I. Horenko

5. On a Scalable Nonparametric Denoising of Time Series Signals, 2018, Communications in Applied Mathematics and Computational Science, with L. Pospisil, I. Horenko and W. Sawyer

C.  Generalized Method of Moments 

GMM estimation of asset pricing models, the econometrics of derivative pricing, robustness

1. Comparing Asset Pricing Models with the Conditional Hansen Jagannathan Distance, 2020, Journal of Financial Econometrics, 18(2), 333-394, with D. Ronchetti 

2. Discussion of: Pseudo-True SDFs in Conditional Asset Pricing Models by B. Antoine, K. Proulx and E. Renault: Comparing Fixed vs Vanishing-Bandwidth Estimators of Pseudo-True SDFs, 2020, Journal of Financial Econometrics, 18(4), 736-775, with D. Ronchetti 

3. Semi-parametric Estimation of American Option Prices, Journal of Econometrics, 173, 57-82, 2013, with D. Ronchetti

4. Efficient Derivative Pricing by the Extended Method of Moments, Econometrica, 79(4), 1181-1232, 2011, with C. Gourieroux and E. Renault

5. Ambiguity Aversion and the Term Structure of Interest Rates, Review of Financial Studies, 22(10), 4157-4188, 2009, with P. Porchia and F. Trojani

6. Robust Tests for Structural Breaks, Journal of Econometrics, 129, 139-182, 2005, with F. Trojani and G. Urga

D. Nonparametric instrumental variable estimation

Tikhonov regularization, non-linear ill-posed methods, Quantile regression

1. A Specification Test for Nonparametric Instrumental Variable Regression, Annals of Economics and Statistics, 128, 151-202, 2017, with O. Scaillet

2. Nonparametric Instrumental Variable Estimation of Quantile Structural Effects, Econometrica, 80(4), 1533-1562, 2012, with O. Scaillet

3. Tikhonov Regularisation for Nonparametric Instrumental Variable Estimators, Journal of Econometrics, 167(1), 61-75, 2012, with O. Scaillet

E. Econometric models of ranks

Dynamic models of ranks, copulas, semi-nonparametric estimation of copula models, asset allocation with relative performance criteria

1. Wage Mobility: A Functional Copula Approach, 2019, Preprint, with C. Naguib

2. Positional Portfolio Management, 2019, Journal of Financial Econometrics, with C. Gourieroux and M. Rubin 

3. Duration Time Series Models with Proportional Hazard, Journal of Time Series Analysis, 29 (1), 74-124, 2007, with C. Gourieroux

4. An Efficient Nonparametric Estimator for Models with Non-linear Dependence, Journal of Econometrics, 137 (1), 189-229, 2007, with C. Gourieroux