Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
(with Serge Darolles and Christian Francq). February 2017 Version.
Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence
(with Alain Hecq and Guillaume Chevillon). January 2017 Version.
Modelling Skewness Dynamics in
Series of financial
distributions (with Philippe Lambert).
Modelling financial time
series using GARCH-type models
and a skewed Student
density (with Philippe Lambert).