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Ph.D2006 - 2011 (5 years)
Magister1997 - 2003 (6 years)
Ingenier1991 - 1996 (5 years)
Market Volatility Transmission and Central Banking: What Happened during the Subprime Crisis?
We examine market volatility spillover during calm and crisis periods. We compare market reaction to central banking for two states: outside the subprime crisis and during the subprime crisis. We evaluate the effectiveness of central banking during the crisis.
Chocs, chocs de volatilité et contagion entre les marchés boursiers
In this paper we study dynamic interdependence between stock exchange markets across indices returns especially during crisis periods. We use a Vector Autoregressive Multivariate garch model with multiple regime in variance. Breakpoints in variance are given by Iterated Cumulative Sum of Squared algorithm corrected for heteroskedasticity.