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Publications
choisies / Selected Publications - "Proper
Conditioning for Coherent VaR in Portfolio Management" (with E. Renault and
G. Tsafack), Management Science, à paraître.
- "The
Canadian Macroeconomy and the Yield Cuve: An Equilibrium-based Approach"
(with R. Luger), The Canadian Journal of Economics, à paraître.
- "Disentangling
Risk Aversion and Intertemporal Substitution through a Reference Level" (with
É Renault and A. Semenov), Financial Research Letters, à
paraître.
- "The
Econometrics of Option Pricing", (with Eric Ghysels and Eric Renault), forthcoming
in Handbook of Financial Econometrics, Yacine Aït-Sahalia and Lars
Peter Hansen eds, Elsevier-North Holland, Amsterdam.
- "Empirical
Assessment of an Intertemporal Option Pricing Model with Latent Variables,"
(with R. Luger and E. Renault), Journal of Econometrics, 116, 2003, 49-83.
- "A
Monte Carlo Method for Optimal Portfolios", (with J. Detemple and M. Rindisbacher),
Journal of Finance, February 2003, 58:1, 401-446.
- "Latent
Variable Models for Stochastic Discount Factors", (with E. Renault), Handbooks
in Mathematical Finance: Topics in Option Pricing, Interest Rates and Risk Management,
J. Cvitanic, E. Jouini and M. Musiela eds., Cambridge University Press, 2001.
- "Pricing
and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint",
(with R. Gencay), Journal of Econometrics, 94, 2000, 93-115.
- "Econometric
Methods for Derivative Securities and Risk Management," (with E. Ghysels
and E. Renault), Journal of Econometrics, 94 (1-2), Jan.-Feb. 2000, 1-7.
Activités
éditoriales / Editorial Positions - Rédacteur
: Journal of Financial Econometrics,
Oxford University Press, 2000-; Annals Issue of the Journal of Econometrics,
1998.
- Rédacteur
adjoint : Studies in Nonlinear Dynamics and Econometrics, 2000-.; Canadian
Journal of Economics, 1998-2001; L'Actualité économique
1996-1999.
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