• New.
“Assessing and Valuing the
Nonlinear Structure of Hedge Fund Returns” (2006), 56
pages, (with Antonio DIEZ DE LOS RIOS), working paper.
• New.
“An Analytical Framework for
Assessing Asset Pricing Models and Predictability” (2006),
69 pages, (with Nour MEDDAHI and Romeo TEDONGAP), working paper.
• New.
“The Value of Real and Financial
Risk Management” (2006), 35 pages, (with Marcel BOYER
and M. Martin BOYER), working paper.
• New.
“What Determines the Value of
Assets Under Management?” (2006), 37 pages, (with Susan
CHRISTOFFERSEN, Richard EVANS and David MUSTO), working paper.
• “Estimation
of Stable Distributions by Indirect Inference,” (2003,
revision 2006), manuscript, CIRANO,
CIREQ and Université de Montréal , 42 pages, (with
E. Renault and D. Veredas).
• “Estimation of Objective
and Risk-Neutral Distributions based on Moments of Integrated Volatility,”
(2001, revision 2006), manuscript,
CIRANO, CIREQ, Université de Montréal , 34 pages,
(with M. A. Lewis and E. Renault).
• “State Dependence
in Fundamentals and Preferences Explains Risk Aversion Puzzle
” (2004, revision 2006), 26 pages,
(with Fousseni CHABI-YO and Eric RENAULT), working paper.
• “Pricing and Hedging Options with Implied Asset
Prices and Volatilities,” (2003), manuscript, CIRANO, CIREQ
and Université de Montréal , 29 pages, (with R. Luger
and E. Renault).
• “A Consumption
Capital Asset Pricing Model with a Reference Level,” (2002),
manuscript, CIRANO, CIREQ, Université de Montréal
, 43 pages, (with E. Renault and A. Semenov).
• “Asymmetric
Smiles, Leverage Effects and Structural parameters”, CIRANO
working paper 2001s-01, 48 pages, (with R. Luger and E. Renault),
under revision.
• “Risk
Aversion, Intertemporal Substitution, and Option Pricing”,
CIRANO working paper 98s02, 52 pages, (with E. Renault).
• “On
the Dynamic Specification of International Asset Pricing Models”,
CIRANO working paper 95s39, October 1995, 27 pages, (with M. Kichian
and E. Ghysels).
• “Disappointment
Aversion as a Solution to the Equity Premium and the Risk-Free Rate
Puzzles”, CRDE working paper 2793, September 1993, 40
pages (with M. Bonomo).