Access Statistics for François-Éric Racicot

Author contact details at EconPapers.

Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited 0 0 1 181 0 0 3 515
Accruals, Cash-Flows and Tobin’s q: An Investment Perspective on Firm Accruals 0 1 1 78 0 2 2 210
Accruals, Investment and Errors-in-Variables 0 0 0 61 0 0 0 203
Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes 1 1 1 156 1 1 1 488
De l'évaluation du risque de crédit 0 0 4 969 0 1 6 3,646
Estimation et tests en présence d'erreurs de mesure sur les variables explicatives: vérification empirique par la méthode de simulation Monte Carlo 0 2 4 48 0 2 5 158
Examining the dynamics of illiquidity risks within the phases of the business cycle 0 0 0 0 1 2 5 24
Firms' Accruals and Tobin’s q 1 1 2 50 1 1 2 165
Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models 0 1 1 263 0 2 2 636
Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio 0 0 0 235 0 0 3 305
Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio 0 2 5 454 0 4 24 1,476
From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation 0 0 0 0 0 0 1 9
L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options 0 0 1 188 0 0 1 567
La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché 1 5 19 1,067 4 11 41 2,218
La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC) 0 0 1 443 2 2 14 1,391
La titrisation aux États-Unis et au Canada 0 0 0 59 0 1 3 199
Les modèles HJM et LMM revisités 0 0 0 339 0 0 7 754
Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis 0 0 0 23 0 0 0 57
Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns 0 0 0 57 0 0 0 143
Predatory cells and puzzling financial crises: Are toxic products good for the financial markets? 1 1 2 2 1 1 2 30
Programmes de volatilité stochastique et de volatilité implicite: applications Visual Basic (Excel) et Matlab 0 0 2 511 0 0 4 1,326
Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices 0 1 4 781 0 3 21 2,251
Risk Procyclicality and Dynamic Hedge Fund Strategies 0 0 0 50 0 0 3 117
Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes 0 0 0 471 0 3 8 1,609
Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives 0 0 0 58 0 1 2 224
Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors 0 0 1 79 0 1 4 302
Total Working Papers 4 15 49 6,623 10 38 164 19,023


Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model 0 1 3 18 0 1 4 53
A stylized model of home buyers’ and bankers’ behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective 0 0 0 2 1 1 2 15
Accruals, Errors-in-variables, and Tobin’s q 0 0 0 4 0 0 1 56
Capital asset pricing models revisited: Evidence from errors in variables 0 0 0 55 0 0 0 151
Cumulant instrument estimators for hedge fund return models with errors in variables 0 0 0 4 0 0 1 32
Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables 0 0 0 4 0 0 3 42
Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note 1 2 2 4 1 2 3 39
Examining the dynamics of illiquidity risks within the phases of the business cycle 0 0 0 4 0 0 2 14
Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models 0 0 0 2 0 0 0 43
Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models 0 0 0 1 0 0 1 10
From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation 1 1 1 1 1 1 1 8
Hedge Fund Returns, Kalman Filter, and Errors-in-Variables 0 0 0 44 0 0 0 137
Hedge fund return higher moments over the business cycle 2 6 7 14 6 11 13 44
Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly 0 0 0 0 0 0 3 15
Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives 0 1 5 14 1 3 11 39
Integrating volatility factors in the analysis of the hedge fund alpha puzzle 0 0 1 1 0 0 1 3
Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds 0 2 4 21 1 3 7 115
Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution 0 0 0 3 0 0 0 21
Multi-moment risk, hedging strategies, & the business cycle 1 1 10 20 4 6 22 88
On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns 0 0 0 2 0 0 0 24
On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns 0 0 0 1 0 0 0 10
Optimally weighting higher-moment instruments to deal with measurement errors in financial return models 0 0 0 8 0 0 0 56
Predatory cells and puzzling financial crises: Are toxic products good for the financial markets? 0 0 0 5 1 1 3 53
Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables 0 0 0 15 0 0 3 75
Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments 0 2 2 8 0 2 9 26
Testing the new Fama and French factors with illiquidity: A panel data investigation 0 1 5 23 0 3 14 64
The asymmetrical behavior of hedge funds across the state of the business cycle: The q -factor model revisited 0 0 0 13 0 0 0 42
The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test 0 0 0 3 0 0 3 15
The q-factor and the Fama and French asset pricing models: hedge fund evidence 0 0 1 15 0 0 6 71
The q-factor model and the redundancy of the value factor: An application to hedge funds 0 0 0 5 0 1 7 55
The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks 1 3 4 8 2 6 8 25
The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach 2 2 6 8 3 6 17 51
Too Big to Fail or Too Deceitful to be Caught? 0 0 1 1 0 0 3 3
Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach 0 0 2 2 0 0 3 3
Yield Curve Forecasting with the Burg Model 0 0 0 5 1 1 1 17
Total Journal Articles 8 22 54 338 22 48 152 1,515


Statistics updated 2022-12-04