Works submitted for publication

1. Testing for jumps in GARCH models, a robust approach (with Christelle Lecourt and Franz Palm).

2. Robust Forecasting of Dynamic Conditional Correlation GARCH Models (with Kris Boudt and Jon Danielsson). Technical Report

3. On the Univariate Representation of BEKK Models with Common Factors (new version of `On the Univariate Representation of Multivariate Volatility Models with Common Factors' (with Alain Hecq and Franz Palm).

4. Consistent Ranking of Multivariate Volatility Models (with Jeroen Rombouts and Francesco Violante).

5. Econometric Modeling of Exchange Rate Volatility and Jumps (with Deniz Erdemlioglu and Chris Neely).

Unpublished working papers

1. Modelling Skewness Dynamics in Series of financial data using skewed location-scale distributions (with Philippe Lambert).

2. Modelling financial time series using GARCH-type models and a skewed Student density (with Philippe Lambert).