ESSEC Business School

Avenue Bernard Hirsch B.P. 50105

95021 Cergy-Pontoise Cedex FRANCE

Tel: (+33)134433647

Fax: (+33)134433212

• A Stable Estimator for the Information Matrix under EM (with Jin-Chuan Duan), 2010, Statistics and Computing, 21, 83-91 (WP version)
• Estimating the Structural Credit Risk Model When Equity Prices Are Contaminated by Trading Noises'' (with Jin-Chuan Duan), 2009, Journal of Econometrics, 150, 288-296 (WP version)
• A first look at the microstructure of CDS markets (with Laurence Lescourret), 2008 in Proceedings of the 1st International Financial Research Forum, edited by Monique Jeanblanc, Economica

• "Filtering Methods" In Handbook of Computational Finance Edited by Jin-Chuan Duan, James E. Gentle, Wolfgang Haerdle Berlin: Springer, 2011
  
• "Maximum Likelihood'' (with Jin-Chuan Duan) 2004, Encyclopedia of Actuarial Science, 2004, eds. Jozef Teugels and Bjorn Sundt, Wiley, Volume 2, 1107-1115.

• Bayesian Learning of Impacts of Self-Exciting Jumps in Returns and Volatility, (with Jun Yu and Junye Li), first version: May 2011,  this version December 2011
• Marginalized Sequential Monte Carlo Samplers, (with Jin-Chuan Duan), first version: March 2010,  this version May 2011
• Robust and Efficient Learning: A Marginalized Resample-Move Approach, (with Junye Li), first version: December 2010,  this version September 2011 MATLAB code for linear model
• Intra-daily variations in volatility and transaction costs in the credit default swap market, 2009 , (with Laurence Lescourret)
• How Frequently Does the Stock Price Jump? An Analysis of High-Frequency Data with Microstructure Noises, 2007, (with Jin-Chuan Duan)
• Feedback Effects of Rating Downgrades, 2006