Published & Working papers
Precision Least Squares: Estimation and Inference in High-Dimensional Linear Regression Models, with L. Margaritella (Journal of Business & Economic Statistics)
Robust Inference in Large Panels and Markowitz Portfolios, with D. Ardia (submitted)
Validating a Selected Model (submitted)
Post-Selection Inference with Time Series, with Christian Brownlees
Work in progress
Inference in High-Dimensional Panel Data Models with Yousef Kaddoura
On time-varying impulse responses in high dimensional state-dependent VAR with Endong Wang
Break Detection in High-Dimensional Models with Yousef Kaddoura and Stephan Smeekes
Testing stochastic dominance and spanning with high-dimensional co-moments
On sufficient and necessary conditions for consistent model selection
Estimating the ESG-efficient frontier
Contribution to book chapter
Are French small- and mid-cap stocks an alternative profitable asset class in periods of financial crisis? with Sébastien Laurent and Christelle Lecourt, 2022