Hi Arnaud and welcome to TeX-SE.
As much as I appreciate your choice of "One editor to rule them all", I find it quite odd, as you don't have access to some tools.
If your are compiling at the command line you need
pdflatex <filename>.tex to create to
pdf and the
.aux file, then apply
bibtex <filename>.aux to create the
.bbl file from your
.bib file applying the format given by the
.bst file. From personal experience, it is usually slower compiling from command line than from inside an editor, if your are doing minor changes (I may be wrong, but that's what I observe).
You may execute the commands
bibtex independently, but the proper result, the one with correct references, needs the usage of the commands in the correct order.
Here are some comparisons of LaTeX editors: Comparison of TeX editors, 10 Best LaTeX Editors You Should Use.
I tried some of them until reach TeXstudio. In TeXstudio, I have shortcuts. F5 for
pdflatex and F8 for
bibtex. I may configure it at will, or create my own. This the kind of tool that make easier to my brain to remember commands I once learned and used once or twice.
Bonus: And as you said you are writing your doctoral thesis, then it is highly recommend to read a little bit about managing large projects in LaTeX: Multi-file LaTeX projects, On managing large documents.