My primary research interests are in applied econometrics (non-parametric and parametric), volatility and jump estimation, state-space models, particle filters, international finance, asset price distribution dynamics, market microstructure.
Peer-reviewed publications:
Peer-reviewed publications:
- “The role of jumps in volatility spillovers in foreign exchange markets: meteor shower and heat waves revisited”, Journal of Business and Economic Statistics, forthcoming. (with C. J. Neely)
- “Currency risk: comovements and intraday cojumps”, Annals of Economics and Statistics, 123-124, pp. 53-76, 2016.
- “Estimating the price impact of trades in a high-frequency microstructure model with jumps”, Journal of Banking and Finance, 61, pp. 205-224, 2015. (with Jondeau E. and Rockinger M.)
- “Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV”, Economics Letters, 125 (1), pp. 43-46, 2014. (with Shaw P.)
- “System-wide tail comovements: a bootstrap test for cojump identification on the S&P 500, US bonds and exchange rates”, Journal of International Money and Finance, 48, pp. 147-174, 2014. (with Gnabo J.-Y. and Hvozdyk L.)
- “Do jumps mislead FX markets?”, Quantitative Finance, 12 (10), pp. 1521-1532, 2012. (with Gnabo J.-Y., Laurent S., and Lecourt C.)
- “Jumps, cojumps and macro announcements”, Journal of Applied Econometrics, 26 (6). pp. 893-921, 2011. (with Laurent S. and Neely C. J.)
- “Central bank intervention and exchange rate volatility, its continuous and jump components”, International Journal of Finance and Economics, 12 (2), pp. 201-23, 2007. (with Beine M., Laurent S., Neely C. J., and Palm F.)
- “Intraday data”, in S. Laurent, “G@RCH, Estimating and Forecasting ARCH Models”, Timberlake Consultants Press, London, 2014. (with Laurent S. and Boudt K.)