Financial Econometrics, Financial Economics, Insurance, Risk Managment.
Summary of my papers
A new application of exact nonparametric methods to long-horizon predictability tests, with Alex Maynard, Studies in Nonlinear Dynamics & Econometrics 11(1)(2007 forthcoming).
Testing for forward rate unbiasedness allowing for persistent regressors, with Alex Maynard, Journal of Empirical Finance 12 (2005), 613-628.
Efficient portfolio analysis using distortion risk measures, with Christian Gourieroux. (job market paper)
Sensitivity analysis of distortion risk measures, with Christian Gourieroux. (also job market paper, submitted to Insurance: Mathematics and Economics)
Currencies portfolio return: a copula methodology, submitted to Insurance and Risk Management Journal.
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