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Associate Professor in Economics
University of Orléans
Research Interests :
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Fraud Prevention & Detection, Anti-Money Laundering
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Financial Econometrics, Volatility Modeling, High Frequency Risk Measures, Backtesting, Systemic Risk
UPCOMING EVENTS
UPCOMING
Conférence dans le cadre de l' Initiative de Recherche
"Data science et détection de la fraude en assurance"
Thématique : "Les risques climatiques"
le 21 octobre 2021
MY LATEST RESEARCH
Backtesting Marginal Expected Shortfall and Related Systemic Risk Measures
with Hurlin, C., Leymarie, J., Scaillet, O., 2020 in Management Science
Do High-frequency-based Measures Improve Conditional Covariance Forecasts?
with Dumitrescu, E., 2019
in Handbook of Financial Mathematics, Volatility and Covariance Modelling, Routledge, UK
Prévoir la volatilité d'un actif financier à l'aide d'un modèle à mélange de fréquences
with Ferrara, L., Marsilli, C., 2020
in Méthodes de prévision en finance, Economica
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