• “Proper Conditioning for Coherent VaR in Portfolio
Management,” (2006), forthcoming in Management
Science, (with E. Renault and G. Tsafack). Antepenultimate
version.
• “The Canadian Macroeconomy and the Yield Curve:
An Equilibrium-based Approach,” (2006), forthcoming in The
Canadian Journal of Economics (with R. Luger).
Antepenultimate
version.
• Article in press.
“Asymptotic Properties of Monte Carlo Estimators of Diffusion
Processes,” (2004), 65 pages, (with J. Detemple and M. Rindisbacher
), forthcoming in Journal
of Econometrics. Antepenultimate
version.
• Article in press.
“Disentangling Risk Aversion and Intertemporal Substitution
through a Reference Level,” (2002), (with E. Renault and A.
Semenov), forthcoming in Finance
Research Letters.
• “Simulation for Optimal Portfolios,’’
(2004) (with Detemple, J.B.and M. Rindisbacher) to appear in Handbooks
in Operations Research and Management Science, Volume on Financial
Engineering, J. Birge and V. Linetsky eds., Elsevier, Amsterdam.
• “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.
• “Asymptotic
Properties of Monte Carlo Estimators of Derivatives,”
(2004), 31 pages, (with J. Detemple and M. Rindisbacher ), Management
Science, 51, 11, Nov. 2005, p.1657-1675
• Comment on the 2005 JBES Invited Lecture “Realized
Variance and Microstructure Noise” by Peter R. Hansen and
Asger Lunde, (2005), 20 pages, (with Nour Meddahi), Journal
of Business and Economic Statistics, 24, 2, April 2006
, p. 184-192.
• “Representation Formulas for Malliavin Derivatives
of Diffusion Processes,” (2005) (with J. Detemple and M. Rindisbacher),
Finance and Stochastics,
9, 3, 349-367. Antepenultimate
version.
• “Intertemporal Asset Allocation: A Comparison of
Methods”, (2005) (with J. Detemple et M. Rindisbacher), The
Journal of Banking and Finance, 29, 11, 2821-2848. Antepenultimate
version.
• “Option Pricing, Preferences and State Variables”,
(with R. Luger and E. Renault), forthcoming in The
Canadian Journal of Economics, February 2005, 38(1), 1-27.
• “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.
• “Are the Effects of Interest Rate Changes Asymmetric?”,
(with Huntley Schaller), Economic
Inquiry, 2002 40: 102-119.
• “The Macroeconomic Effects of Infrequent Information
with Adjustment Costs”, (with M. Bonomo), The
Canadian Journal of Economics 34(1), February 2001,18-35.
• “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.
• “Tests of Conditional Asset Pricing Models in the
Brazilian Stock Market”, (with M. Bonomo), Journal
of International Money and Finance, 20 (2001), 71-90.
• “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, p.1-7.
• “Modèles d’évaluation des actifs
financiers et changement structurel dans les marchés boursiers
en émergence”, L’Actualité Économique,
74(3), September 1998, 467-484.
• “Structural Change and Asset Pricing in Emerging
Markets”, (with E. Ghysels), Journal
of International Money and Finance, 17(3), June 1998, 455-473.
• “Asymptotic Null Distribution of the Likelihood
Ratio Test in Markov Switching Models”, International
Economic Review, 39(3), August 1998, 763-788.
• “A Note on Hedging in ARCH-type Option Pricing Models”
(with E. Renault), Mathematical
Finance, 8/2, April 1998, 153-161.
• “Excess Sensitivity and Asymmetries in Consumption:
An Empirical Investigation”, (with Annamaria Lusardi et Serena
Ng), Journal
of Money, Credit and Banking, 29, May 1997, 154-176.
• “Consumption and Equilibrium Asset Pricing : An
Empirical Assessment”, (with M. Bonomo), Journal
of Empirical Finance, 3 (1996), 239-265.
• “An Analysis of the Real Interest Rate Under Regime
Shifts”(with P. Perron), 1996, Review
of Economics and Statistics, 111-125.
• “Information Asymétrique, contraintes de
liquidité et investissement: une comparaison internationale,
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Économique, December 1995, 398-420.
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Produce Mean Reversion?”, (with M. Bonomo), Journal
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• “Inflation, Staggering, and Disinflation”
(with M. Bonomo), Journal
of Development Economics, 43 (1994), 39-58.
• “Théorie économique de l’information
: exposé synthétique de la littérature”,
L’Actualité Economique 62(1), March 1986.
• “L’effet redistributif de l’inflation
de 1969 à 1975 sur les ménages canadiens” (with
M. Boyer), Canadian Public
Policy IV(2), Spring 1978.
• “Disequilibrium Econometrics for Business Loans”
(with J. J. Laffont), Econometrica,
July 1977.
• "Strategic Asset Allocation," (with J. Detemple
and M. Rindisbacher), Encyclopedia of Financial Engineering and
Risk Management, Fitzroy Dearborn.
• Book Review on “Modeling Stock market Volatility:
Bridging the Gap to Continuous Time”, Peter Rossi (Ed.), San
Diego: Academic Press, 1996, Journal of the American Statistical
Association, Volume 95, 2000, page 688.
• “Option Pricing with Neural Networks and a Homogeneity
Hint”, (with Ramazan Gencay), Conference Volume NNCM97, London
Business School, 1998.
• Comment : “International Cross-Listing, Market Segmentation
and Foreign Ownership Restrictions: The Case of Mexico”, by
I. Domowitz, J. Glen, and A. Madhavan, Proceedings, Conference on
The Future of Emerging Market Capital Flows, edited by R. Levich,
Leonard N. Stern School of Business, New York University, 1998,
Kluwer Academic Publishers.
• Comment : “The Credibility of Monetary Policy: A
survey of the literature with some applications to Canada”,
by R. Amano, P. Fenton, D. Tessier and S. Van Norden, Proceedings
of the Bank of Canada Conference on Exchange Rates and Monetary
Policy, May 1997, p. 65-69, Ottawa.