Research

"The Mathematics of Currency Hedging", September 2010.

"Model Uncertainty and Forecasting, a Practioner Point of View", February 2006, (Revised November 2006), with E. Michaux.

" Les marchés financiers anticipent-ils les retournements conjoncturels? ", June 2005, with E. Gautier and S. Le Coent, Notes d'études et de recherche de la Banque de France, NER n°128, (First draft June 2004, accepted June 2005), forthcoming in Economie et Prévision, n° 172.

"Une lecture probabiliste du cycle d'affaires américain", April 2004, accepted February 2005, forthcoming in Economie et Prévision, n° 172.
Click here for the " Appendix : Une lecture probabiliste du cycle d'affaires américain"

"Classical Estimation of Multivariate Markov-Switching Models using MSVARlib", February 2005, paper and open source GAUSS programs, version 2.0
Click here to download the MSVARlib 2.0 package. Available in Scilab (included in the GROCER toolbox), see here.

"Predicting economic downturns with a financial qualitative hidden markov model ", August 2004, with E. Gautier. Updated results in Bulletin de la Banque de France, September 2006, here.

 "MSVARlib: a new Gauss library to estimate multivariate Hidden Markov Models " , July 2004, paper and open source GAUSS programs first version 1.1.
Click here to download the MSVARlib 2.0 package.