Works submitted for publication

1. Autoregressive conditional betas (with Francisco Blasques and Christian Francq).

2. GAM(L)A: An econometric model for interpretable Machine Learning (with Emmanuel Flachaire, Gilles Hacheme and Sullivan Hué).

Unpublished working papers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).