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Details about Jean-Guy Simonato

E-mail:
Homepage:http://www.hec.ca/~p239/pageweb/
Phone:514-340-6807
Postal address:Department of finance HEC Montréal 3000 Cote-Sainte-Catherine Montreal (Québec) Canada
Workplace:Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) (Interuniversity Center on Risk, Economic Policy and Employment), (more information at EDIRC)
Service de l'Enseignement de la Finance (Finance Teaching Service), HEC Montréal (École des Hautes Études Commerciales) (HEC Montreal Business School), (more information at EDIRC)

Access statistics for papers by Jean-Guy Simonato.

Last updated 2008-10-20. Update your information in the RePEc Author Service.

Short-id: psi36


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Working Papers

2007

  1. A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors
    Cahiers de recherche, CIRPEE Downloads View citations (10)

2005

  1. Default Risk in Corporate Yield Spreads
    Cahiers de recherche, CIRPEE Downloads View citations (6)

2002

  1. Seize the Moments: Approximating American Option Prices in the GARCH Framework
    Finance, EconWPA Downloads

1999

  1. Pricing Discretely Monitored Barrier Options by a Markov Chain
    CIRANO Working Papers, CIRANO Downloads View citations (8)

1998

  1. 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)

1995

  1. Empirical Martingale Simulation for Asset Prices
    CIRANO Working Papers, CIRANO Downloads View citations (36)
  2. Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter
    CIRANO Working Papers, CIRANO Downloads View citations (7)
    See also Journal Article in Review of Quantitative Finance and Accounting (1999)

Undated

  1. American GARCH Option Pricing by a Markov Chain Approximation
    Computing in Economics and Finance 1997, Society for Computational Economics Downloads

Journal Articles

2002

  1. Maximum likelihood estimation of deposit insurance value with interest rate risk
    Journal of Empirical Finance, 2002, 9, (1), 109-132 Downloads View citations (13)

2001

  1. American option pricing under GARCH by a Markov chain approximation
    Journal of Economic Dynamics and Control, 2001, 25, (11), 1689-1718 Downloads View citations (31)

1999

  1. Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter
    Review of Quantitative Finance and Accounting, 1999, 13, (2), 111-35 Downloads View citations (81)
    See also Working Paper (1995)

1993

  1. Seasonal BVAR models: A search along some time domain priors
    Journal of Econometrics, 1993, 55, (1-2), 203-229 Downloads View citations (2)

1992

  1. Estimation of GARCH process in the presence of structural change
    Economics Letters, 1992, 40, (2), 155-158 Downloads View citations (7)
 
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