Publications

• Public News Announcements and Quoting Activity in the Euro/Dollar Foreign Exchange Market, (with Walid Ben Omrane, UQAM) Forthcoming in Computational Statistics and Data Analysis, DOI: 10.116/j.csda.2009.11.018.
• A comment on Bond Risk, Bond Return Volatility and the Structure of Interest Rates. Forthcoming in the International Journal of Forecasting.
• Modeling International Financial Returns with a Multivariate Regime Switching Copula, (with Lorán Chollete, NHH (Bergen) and Alfonso Valdesogo, U. Luxembourg), Journal of Financial Econometrics, 2009, Volume 4, pp. 437-480.
• Is there any common knowledge news in the Euro/Dollar market? (with Walid Ben Omrane, UQAM), International Review of Economics and Finance, 2009, Volume 18, Issue 4, pp. 656-670.
• Multivariate reduced rank regression in non-Gaussian contexts, using copulas (with Eric Rengifo, Fordham), Computational Statistics and Data Analysis, 2008, Volume 52, Issue 6, pp. 2931-2944.
• Multivariate autoregressive modeling of time series count data using copulas, (with Erick Rengifo, Fordham), Journal of Empirical Finance, 2007, Volume 14, Issue 4, pp. 564-583.

Contributions to Edited Books

o A Dynamic D-vine model (with Alfonso Valdesogo, U. Luxembourg), forthcoming in the of Vine Copula Handbook (edited by Harry Joe and Dorota Kurowicka).

Papers under Review

o Analysis of the submission of orders on Xetra, using multivariate count data, (with Erick Rengifo, Fordham and Joachim Grammig, Tübingen). Revision requested by Journal of Applied Econometrics.

o From Global to Local: In Search of R&D Spillovers using Plant Level Data, (with Salvador Barrios, EU Commision, Luisito Bertinelli, U. Luxembourg and Eric Strobl, Ecole Polytechnique). Revision requested by the Scandinavian Journal of Economics.

o Modelling Time Series Count Data: The Autoregressive Conditional Poisson Model. Submitted for publication.

o Asymmetric CAPM dependence for large dimensions: the Canonical Vine Autoregressive Model, (with Alfonso Valdesogo, U. Luxembourg). Submitted for publication.

Manuscripts

o Export Diversification and Price Uncertainty in Sub-Saharan Africa and Other Developing Countries: A Portfolio Approach, (with Luisito Bertinelli, U. Luxembourg and Eric Strobl, Ecole Polytechnique).

o Ownership Structure and Firm Performance: Evidence from a nonparametric panel. (with Malika Hamadi, U. Luxembourg). Preliminary version, FESAMES 2009

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