Details about Jean-Guy Simonato
Access statistics for papers by Jean-Guy Simonato.
Last updated 2008-10-20. Update your information in the RePEc Author Service.
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- A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors
Cahiers de recherche, CIRPEE View citations (10)
- Default Risk in Corporate Yield Spreads
Cahiers de recherche, CIRPEE View citations (6)
- Seize the Moments: Approximating American Option Prices in the GARCH Framework
- Pricing Discretely Monitored Barrier Options by a Markov Chain
CIRANO Working Papers, CIRANO View citations (8)
- The Estimation of Deposit Insurance with Interest Rate Risk
Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. View citations (2)
- Empirical Martingale Simulation for Asset Prices
CIRANO Working Papers, CIRANO View citations (36)
- Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter
CIRANO Working Papers, CIRANO View citations (7)
See also Journal Article in Review of Quantitative Finance and Accounting (1999)
- American GARCH Option Pricing by a Markov Chain Approximation
Computing in Economics and Finance 1997, Society for Computational Economics
- Maximum likelihood estimation of deposit insurance value with interest rate risk
Journal of Empirical Finance, 2002, 9, (1), 109-132 View citations (13)
- American option pricing under GARCH by a Markov chain approximation
Journal of Economic Dynamics and Control, 2001, 25, (11), 1689-1718 View citations (31)
- Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter
Review of Quantitative Finance and Accounting, 1999, 13, (2), 111-35 View citations (79)
See also Working Paper (1995)
- Seasonal BVAR models: A search along some time domain priors
Journal of Econometrics, 1993, 55, (1-2), 203-229 View citations (2)
- Estimation of GARCH process in the presence of structural change
Economics Letters, 1992, 40, (2), 155-158 View citations (7)
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