Can we reject linearity in an HAR-RV model for the S&P 500? Insights from a nonparametric HAR-RV, with Philip Shaw. Economics Letters, forthcoming.
System-wide tail comovements: a bootstrap test for cojump identification on the S&P 500, US bonds and exchange rates, with J.-Y. Gnabo and L. Hvozdyk. Journal of International Money and Finance, forthcoming.
Do jumps mislead FX markets?, with J.-Y. Gnabo, S. Laurent, and C. Lecourt. Quantitative Finance, 12 (10), pp. 1521-1532, 2012.
Jumps, cojumps and macro announcements, with S. Laurent and C.J. Neely. Journal of Applied Econometrics, 26 (6). pp. 893-921, 2011.