Modelling Correlation between Two Markov Diffusion Processes: A Copula Approach, with Application to Stochastic Correlation Modelling (2005). Available online: paper ,slides.
Rescaling Markov Diffusions, with Nicole El Karoui (2008). In progress.
Research on Risk Measures:
Comonotonic measures of multivariate risks, with Marc Henry (2008). Available upon request.
Optimization
Anisotropic transportation, with Guillaume Carlier and Filippo Santambrogio (2008). In progress.
Econometrics and Statistics
Research on Rearrangement:
Quantile and Probability Curves without Crossing, with Victor Chernozhukov and Ivan Fernandez-Val (2007). Available online: paper, slides.
Rearranging Edgeworth-Cornish-Fisher Expansions , with Victor Chernozhukov and Ivan Fernandez-Val (2007). Available online: paper.
Improving Estimates of Monotone Functions By Rearrangement, with Victor Chernozhukov and Ivan Fernandez-Val (2007). Accepted (with revisions) in Biometrika. Available online: paper.
Research on Partial Identification:
Inference in Incomplete Models, with Marc Henry (2006). Available online: paper, slides.
Dilation Bootstrap: A methodology for constructing confidence regions with partially identified models, with Marc Henry (2006). Available online: paper, slides.
Optimal transportation and the falsifiability of incompletely specified economic models, with Marc Henry (2007). Available online: paper.
Optimal transportation and the falsifiability of incompletely specified economic models. Part II: moment restrictions on latent variables, with Ivar Ekeland and Marc Henry (2007). Available online: paper.
Test of non-identifying restrictions and confidence regions for partially identified parameters, with Marc Henry (2007). Available online: paper.
Universal power of Kolmogorov-Smirnov tests of under-identifying restrictions, with Marc Henry (2008). Available online: paper.
Research on Strong Central Limit Theorems:
Asymptotic rate of convergence of the Wasserstein distance between a distribution and its empirical version, the multivariate case, with Victor Chernozhukov (2007). In progress.