About fundamental research

  1. "One day, sir, you may tax it". Reply that Michael Faraday gave in 1850 to a question by William Gladstone, then Chancellor of the Exchequer, if electricity had practical value.



Selected articles in peer-review journals

  1. 1.The Method of Simulated Quantiles (with Yves Dominicy). Forthcoming in the Journal of Econometrics. Read abstract & download

  2. 2.One-step R-estimation in linear models with stable errors (with Marc Hallin, Yvik Swan and Thomas Verdebout). Forthcoming in the Journal of Econometrics. Read abstract & download

  3. 3.Market liquidity as dynamic factors (with Marc Hallin, Charles Mathias and Hughes Pirotte). Journal of Econometrics 163(1)42-50, 2011. Read abstract & download

  4. 4.Estimation of stable distributions with indirect inference (with Rene Garcia and Eric Renault). Journal of Econometrics 161, 325-337, 2011. Read abstract & download

  5. 5.The Stochastic Conditional Duration model: A latent factor model for the analysis of financial durations (with Luc Bauwens). Journal of Econometrics 119/2, 381-412, 2004. Read abstract & download


Other articles in peer-review journals

      Quantitative Finance

  1. 6.Optimal portfolios with end-of-period target (with Hiroshi Shiraishi, Hiroaki Ogata, Tomoyuki Amano, Valentin Palitea and Masanobu Taniguchi). Advances in Decision Sciences. ID 703465, 13 pages, 2012. Read abstract & download

  2. 7.A simple two-component model for the distribution of intraday returns (with Laura Coroneo). Formerly entitled "On the conditional probability law of intraday returns" and "Intraday seasonality of returns distribution: A Quantile Regression approach and intraday VaR". Forthcoming in The European Journal of Finance. Read abstract & download. Download the web appendix

  3. 8.The impact of macroeconomic news on quote adjustments, noise and informational volatility (with Nikolaus Hautsch and Dieter Hess). Journal of Banking and Finance 35(10), 2733-2746, 2011. Read abstract & download

  4. 9.Dynamic portfolio optimization with conditional heteroscedastic generalized dynamic factor models (with Takayuki Shiohama, Marc Hallin and Masanobu Taniguchi). Journal of the Japanese Statistical Society 40, 145-166, 2010.

  5. 10.Does the open limit order book matter in explaining informational volatility? (with with Roberto Pascual). Journal of Financial Econometrics 8(1), 57-87, 2010. Read abstract & download

  6. 11.What pieces of limit order book information matter in explaining the behavior of patient and impatient traders? (with Roberto Pascual). Quantitative Finance 5, 527–545, 2009. Read abstract & download

  7. 12.Macro surprises and short-term behavior in bond futures. Empirical Economics 30/4, 843-866, 2005. Read abstract & download

      Econometrics

  1. 13.Testing conditional asymmetry. A residual-based approach. (with Philippe Lambert and Sebastien Laurent). Forthcoming in the Journal of Economic Dynamics and Control. Read abstract & download

  2. 14.Rank based testing in linear models with stable errors (with Marc Hallin, Yvik Swan and Thomas Verdebout). Journal of Nonparametric Statistics 23, 305-320, 2011. Read abstract & download

  3. 15.Aggregation of linear models for panel data (with Alex Petkovic). ECORE DP 2009/12. Journal of the Japanese Statistical Society 40, 63-95, 2010. Read abstract & download

  4. 16.Indirect estimation of elliptical stable distributions. (with Marco Lombardi). Computational Statistics and Data Analysis 53, 2309-2324, 2009. Read abstract & download

  5. 17.Temporal aggregation of univariate and multivariate time series models: a survey (with Andrea Silvestrini). Journal of Economic Surveys, 22/3, 458-500, 2008. Read abstract & download

  6. 18.How to monitor and forecast annual public deficit every month (with Andrea Silvestrini, Laurent Moulin and Matteo Salto). Empirical Economics 34/3, 493-524, 2008. Read abstract & download

  7. 19.A comparison of financial duration models via density forecast (with Luc Bauwens, Pierre Giot and Joachim Grammig). International Journal of Forecasting, 20, 589-604, 2004. Read abstract & download


Edited books

  1. 20.High frequency financial econometrics. Recent developments (co-edited with Luc Bauwens and Winfried Pohlmeier). 2007. Springer Verlag. Buy it here


Chapters in edited collective volumes

  1. 21.Semiparametric estimation for financial durations (with Juan Rodriguez-Poo and Antoni Espasa). In High frequency financial econometrics. Recent developments. Eds Luc Bauwens, Winfried Polhmeier and David Veredas. 2007. Springer Verlag. Read abstract & download the final version. This paper was formerly entitled "On the (intradaily) seasonality and dynamics of a financial point process: A semiparametric approach".

  2. 22.Macro surprises and short-term behavior in bond futures. In High frequency financial econometrics. Recent developments. Eds Luc Bauwens, Winfried Polhmeier and David Veredas. 2007. Springer Verlag. Read abstract & download the final version.


Working papers

      Quantitative Finance

  1. 23.Disentangling systematic and idiosyncratic risk for large panels of assets (with Matteo Barigozzi, Christian Brownlees and Giampiero Gallo). ECARES WP 2010/19 New version!. Read abstract & download. Download slides and GAUSS code.

      Econometrics

  1. 24.(Very) Fast inference and testing for (very) large dimensional heavy-tailed elliptical distributions (with Yves Dominicy and Hiroaki Ogata). Largely revised version of ECARES WP 2010/29 Quantile-based inference for elliptical distributions. Read abstract & download.

  2. 25.A simple model for vast panels of volatilities (with Matteo Luciani). ECARES WP 2011/28. Read abstract & download. Download the Matlab codes.

  3. 26.Which model to match? (with Matteo Barigozzi and Roxana Halbleib). ECARES WP 2012/04. Read abstract & download.


Editorials

  1. 27.Latest Developments in Heavy-Tailed Distributions (with Marc Paolella, Eric Renault and Gennady Samorodnisky). Editorial to a special issue. Journal of Econometrics, forthcoming.

  2. 28.Quantifying and understanding dysfunctions in financial markets (with Thomas Lux and Pablo Rovira). Editorial to a special issue. Journal of Economic Dynamics and Control, forthcoming

  3. 29.High frequency finance (with Luc Bauwens and Winfried Pohlmeier). Editorial to a special issue. Empirical Economics, 30/4, 791-794, 2005. Download the final version.


Permanent working papers

  1. 30.Testing weak exogeneity in the exponential family: an application to financial point processes (with Juanjo Dolado and Juan Rodriguez-Poo). CORE DP 2004/49. Read abstract & download the last version.

  2. 31.How much does infrastructure matter to growth in sub-Saharan Africa? (with Antonio Estache and Biagio Speciale). Download the last version.

  3. 32.How relevant is infrastructure to growth in East Asia? (with Kalpana Seethepalli and Maria Caterina Bramati). World Bank Policy Research Working Paper 4597. Read abstract & download the last version.

  4. 33.A monthly volatility index for the US real economy. (with Cecilia Frale). ECORE DP 2008/15. Read abstract & download


Public opinion

  1. 34.Notation: a l’Europe de jouer (Ratings: time for Europe). La Libre Entreprise, 9 September 2011

  2. 35.Information et marchés financières (Information and financial markets). La Libre Entreprise, 12 Mars 2011

  3. 36.Surveillance du Risque Systémique (Overseeing Systemic Risk). La Libre Entreprise, 10 July 2010

  4. 37.Interview in the journal From Solvay, June 2010

  5. 38.L'Euro. 10 ans d'amour tranquile (10 years of calm love with the Euro). L'Echo, 6 June 2009

  6. 39.La baguette magique d’Obama (Obama's magic wand). L'Echo, 17 January 2009


Proceedings and other publications

  1. 40.Reduced version of Aggregation of linear models for panel data (with Alexandre Petkovic). Proceedings 3st Brussels-Waseda Workshop in Time Series and Finance, Izu, Japan, November 2008.

  2. 41.Reduced version of Testing conditional asymmetry. A residual-based approach (with Philippe Lambert and Sebastien Laurent). Proceedings 1st Brussels-Waseda Workshop in Time Series and Finance, Hakone, Japan, November 2007.

  3. 42.Summary of Measuring quote quality (with Roberto Pascual). Revista Bolsa de Madrid. December 2007.

  4. 43.¿Qué componentes del libro de órdenes son informativos? (with Roberto Pascual) Revista Bolsa de Madrid, N 131, May 2004.

  5. 44.Estacionalidad intra diaria de datos financieros. Bulletin EU and US Inflation and Macroeconomic Analysis, N. 81, June 2001. Instituto Flores de Lemus de Estudios Avanzados en Economia. University Carlos III de Madrid.


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