Being a former assistant professor from Laval University and a two-year F.R.S.-FNRS researcher from Université Namur, I am now working as a visiting professor (full-time) at Essec Business School. My research mainly focuses on time series econometrics. In particular, I mostly use Bayesian inference to model macroeconomic and financial time series.

My Ph.D. supervisor was Luc Bauwens at Université Catholique de Louvain (UCL) and I was next a one-year postdoc at CREST as well as at UCL.

Current position (see CV) :

Research Interests:

  • Econometrics, Finance.
  • Time series modeling and Bayesian inference.
  • Time-varying parameter models.

Published papers :

Working papers and ongoing research :

Ph.D. thesis :

Modeling structural changes in volatility 

(Thesis advisor : Luc Bauwens)

It is well known by economists that forecasting time series is difficult for many reasons, among which the changing (institutional, technological…) environment and behaviour of agents of the economic system. Changes may be slow and progressive or quick and abrupt, and generate the non-stationarity of many time series in the long run, such as changes in their trend or volatility. Ignoring these breaks by assuming constant parameters in econometric models, typically leads to forecasts that are far from realizations.  The thesis focuses on detecting and estimating structural breaks in volatility of financial time series.