Testing for Jumps in Near Non-Stationary Diffusion Processes
(with Shuping Shi). October 2017 Version.
Asymptotics of Cholesky GARCH Models and Time-Varying Conditional Betas
(with Serge Darolles and Christian Francq). October 2017 Version.
Generating Univariate Fractional Integration within a Large VAR(1)
(with Alain Hecq and Guillaume Chevillon). October 2017 Version.
Previous title: Long Memory Through Marginalization of Large Systems and Hidden Cross-Section Dependence.
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).