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
CÉRÉMONIE DE LANCEMENT
Initiative de Recherche
« Data science et détection de la fraude en assurance »
le 1er mars 2022
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