- Paris Dauphine-PSL University
- DRM (Dauphine Recherches en Management)
MAIN RESEARCH AREAS:
- Econométrie de la Finance
- Marchés financiers
- Microstructure empirique
- Asset pricing empirique
RESEARCH PROJECTS/INITIATIVES:
- ANR Multirisk (responsable Dauphine)
- IdR QMI (Directrice Scientifique) : Economic Efficiency at EU & Global levels
SELECTED PUBLICATIONS:
- “Mixture of Distribution Hypothesis: Analyzing daily liquidity frictions and information flow”, with S. Darolles and G. Mero, Journal of Econometrics, 201, p.367-383, 2017
- “Intrinsic Liquidity in Conditional Volatility Models”, with S. Darolles, C. Francq and J.M. Zakoïan, Annals of Economics and Statistics, 123/124, p. 225-245, 2016
- “Gauging Liquidity Risk in Emerging Market Bond Index Funds”, with S. Darolles and J. Dudek, Annals of Economics and Statistics, 123/124, p. 247-269, 2016
- “Measuring the liquidity part of volume”, with S. Darolles and G. Mero, Journal of Banking and Finance, 50, p. 92-105, 2015
- “Improving VWAP strategies: A dynamical volume approach”, with J. Bialkowski and S. Darolles, Journal of Banking and Finance, Vol. 32, p. 1709-1722, 2008