Department and Affiliations

Department of Economics

Area(s) of Expertise

Time Series Econometrics, Financial Economics

Research Areas

• Department of Economics
• Faculty

Research Publications

• “Regime Switching for Dynamic Correlations,” Journal of Econometrics, 131(1-2), 445-473, March-April 2006.
• “Short Run and Long Run Causality in Time Series: Inference” (with Jean-Marie Dufour and Éric Renault), Journal of Econometrics, 132(2), 337-362, June 2006.
• “Backtesting Value-at-Risk: A Duration-Based Approach” (with Peter Christoffersen), Journal of Financial Econometrics, 2(1), 84-108. Winter 2004

• “On Jumps and ARCH Effects in Natural Resources Prices: An Application to Pacific Northwest Stumpage Prices” (with Jean-Daniel Saphores and Lynda Khalaf), American Journal of Agricultural Economics, 84(2), 387-400, May 2002.

CV

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Education

Ph.D., Economics, University of Montreal (2004)