Research Fields
Financial Econometrics, Financial Economics, Insurance, Risk Managment. Summary of my papers
Publications
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.
Working Papers
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.
Please click here for copies of papers or see my papers link.
