Research
Primary fields: Financial econometrics, Machine learning for finance, Natural language processing, Risk modeling.
Secondary fields: Asset allocation, Climate finance, Market microstructure.
Working papers
- The intraday gamma-variance channel with public options data, Working paper, with Vaudescal
- When social risks matter: Retail fund flows and social concern, Working paper, with Bluteau, Hardy & Lambert
- spantest: Mean-variance spanning tests in R, Working paper, with Séguin
- RSDC: Regime-switching correlation models in R, Working paper, with Séguin
- PeerPerformance: Luck-corrected peer performance analysis in R, Working paper, with Séguin
- Value creation in the hedge fund industry, Working paper, with Barras
- Robust inference in large panels and Markowitz portfolios, Working paper, with Sessinou [Code]
Publications
- Revisiting Boehmer et al. (2021): Recent period, alternative method, different conclusions, Financial Markets and Portfolio Management, forthcoming, with Aymard & Cenesizoglu [Code]
- Optimal text-based time-series indices, International Journal of Forecasting 2026, with Bluteau [Code]
- Examining high-frequency patterns in Robinhood users' trading behavior, International Review of Financial Analysis 2025, with Aymard & Cenesizoglu [Code]
- Twitter and cryptocurrency pump-and-dumps, International Review of Financial Analysis 2024, with Bluteau [Data]
- Thirty years of academic finance, Journal of Economic Surveys 2024, with Bluteau & Meghani [Code]
- Factor exposure heterogeneity in green and brown stocks, Finance Research Letters 2023, with Bluteau, Lortie-Cloutier & Tran
- How easy is it for investment managers to deploy their talent in green and brown stocks?, Finance Research Letters 2022, with Bluteau & Tran
- Properties of the Margrabe Best-of-two strategy to tactical asset allocation, International Review of Financial Analysis 2022, with Boudt, Hartmann & Nguyen
- The R package sentometrics to compute, aggregate, and predict with textual sentiment, Journal of Statistical Software 2021, with Bluteau, Borms & Boudt [Code]
- A century of economic policy uncertainty through the French-Canadian lens, Economics Letters 2021, with Bluteau & Kassem [Data]
- Econometrics meets sentiment: An overview of methodology and applications, Journal of Economic Surveys 2020, with Algaba, Bluteau, Borms & Boudt
- COVID-19 Data Hub, Journal of Open Source Software 2020, with Guidotti [Data]
- Questioning the news about economic growth: Sparse forecasting using thousands of news-based sentiment values, International Journal of Forecasting 2019, with Bluteau & Boudt [Data]
- Markov-switching GARCH models in R: The MSGARCH package, Journal of Statistical Software 2019, with Bluteau, Boudt, Catania & Trottier [Code]
- Regime changes in Bitcoin GARCH volatility dynamics, Finance Research Letters 2019, with Bluteau & Ruede
- Generalized autoregressive score models in R: The GAS package, Journal of Statistical Software 2019, with Boudt & Catania [Code]
- Forecasting risk with Markov-switching GARCH models: A large-scale performance study, International Journal of Forecasting 2018, with Bluteau, Boudt & Catania
- Methods for computing numerical standard errors: Review and application to Value-at-Risk estimation, Journal of Time Series Econometrics 2018, with Bluteau & Hoogerheide
- Beyond risk-based portfolios: Balancing performance and risk contributions in asset allocation, Quantitative Finance 2018, with Boudt & Nguyen
- The impact of parameter and model uncertainty on market risk predictions from GARCH-type models, Journal of Forecasting 2017, with Kolly & Trottier
- The impact of covariance misspecification in risk-based portfolios, Annals of Operations Research 2017, with Bolliger, Boudt & Gagnon-Fleury
- A new bootstrap test for multiple assets joint risk testing, Journal of Risk 2017, with Gatarek & Hoogerheide [Code]
- nse: Computation of numerical standard errors in R, Journal of Open Source Software 2017, with Bluteau [Code]
- RiskPortfolios: Computation of risk-based portfolios in R, Journal of Open Source Software 2017, with Boudt & Gagnon-Fleury [Code]
- Stress-testing with parametric models and Fully Flexible Probabilities, Wilmott 2017, with Bluteau
- Smart beta and CPPI performance, Finance 2016, with Boudt & Wauters
- Macroeconomic stress-testing of mortgage default rate using a vector error correction model and entropy pooling, Insurance and Risk Management 2016, with Guerrouaz & Rey
- Moments of standardized Fernandez-Steel skewed distributions: Applications to the estimation of GARCH-type models, Finance Research Letters 2016, with Trottier
- The economic benefits of market timing the style allocation of characteristic-based portfolios, North American Journal of Economics and Finance 2016, with Boudt & Wauters
- Return and risk of pairs trading using a simulation-based Bayesian procedure for predicting stable ratios of stock price, Econometrics 2016, with Gatarek & Hoogerheide
- A note on jointly backtesting models for multiple assets and horizons, Wilmott 2016, with Guerrouaz & Hoogerheide
- Predicting market risk with density combination: An introduction, Wilmott 2016, with Kolly
- Implied expected returns and the choice of a mean-variance efficient portfolio proxy, Journal of Portfolio Management 2015, with Boudt
- Testing equality of modified Sharpe ratios, Finance Research Letters 2015, with Boudt
- Parametric stress-testing in non-normal markets via entropy pooling, Risk Magazine 2015, with Meucci
- GARCH models for daily stock returns: Impact of estimation frequency on Value-at-Risk and Expected Shortfall forecast, Economics Letters 2014, with Hoogerheide
- Quantitative portfolio construction and systematic trading strategies using factor entropy pooling, Risk Magazine 2014, with Colasante & Meucci
- Worldwide equity risk prediction, Applied Economics Letters 2013, with Hoogerheide
- Cross-sectional distribution of GARCH coefficients across S&P 500 constituents, Wilmott 2013, with Hoogerheide
- A comparative study of Monte Carlo methods for efficient evaluation of marginal likelihoods, Computational Statistics & Data Analysis 2012, with Basturk, Hoogerheide & van Dijk
- Density prediction of stock index returns using GARCH models: Frequentist or Bayesian estimation?, Economics Letters 2012, with Corré & Hoogerheide
- An introduction to the Generalized Marginal risk, Wilmott 2012, with Keel
- Fully flexible extreme views, Journal of Risk 2011, with Keel & Meucci
- Generalized marginal risk, Journal of Asset Management 2011, with Keel
- Differential Evolution with DEoptim: An application to non-convex portfolio optimization, R Journal 2011, with Boudt, Carl, Mullen & Peterson
- DEoptim: An R package for global optimization by Differential Evolution, Journal of Statistical Software 2011, with Cline, Gil, Mullen & Windover [Code]
- Heuristic methods in finance, Newsletter American Statistical Association 2011, with Schumann
- Jump-diffusion calibration using Differential Evolution, Wilmott 2011, with Giraldo & Ospina
- Bayesian estimation of the GARCH(1,1) model with Student-t innovations in R, R Journal 2010, with Hoogerheide [Code]
- AdMit: Adaptive mixtures of Student-t distributions, R Journal 2009, with Hoogerheide & van Dijk
- Adaptive mixture of Student-t distributions as a flexible distribution for efficient simulation: The R package AdMit, Journal of Statistical Software 2009, with Hoogerheide & van Dijk [Code]
- Bayesian estimation of a Markov-switching threshold GARCH model with Student-t innovations, Econometrics Journal 2009
- Financial Risk Management with Bayesian Estimation of GARCH Models: Theory and Applications, Lecture Notes in Economics and Mathematical Systems 2008, 612, Springer
- Tests d'arbitrage sur options: Une analyse empirique des cotations de market-makers, Bankers, Markets and Investors 2007
Software
- bidask — Efficient estimation of bid-ask spreads from open, high, low, and close prices.
- sentometrics — Computation, aggregation, and prediction with textual sentiment.
- MSGARCH — Markov-switching GARCH models.
- GAS — Generalized autoregressive score models.
- RiskPortfolios — Construction of risk-based portfolios.
- PeerPerformance — Luck-corrected peer performance analysis.
- spantest — Mean-variance spanning tests.
- RSDC — Regime-switching dynamic correlation models.
- DEoptim — Global optimization by differential evolution.
- nse — Computation of numerical standard errors.
- AdMit — Adaptive mixtures of Student-t distributions.
- bayesGARCH — Bayesian estimation of the GARCH(1,1) model with Student-t innovations.