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Details about François-Éric Racicot

E-mail:
Homepage:http://www.telfer.uottawa.ca/fr/repertoire/professeurs-par-domaine-denseignement/finance/
Phone:613-562-5800 ext. 4757
Workplace:École de Gestion Telfer / Telfer School of Management, Université d'Ottawa / University of Ottawa, (more information at EDIRC)
Chaire d'Information Financière et Organisationnelle (CIFO) (Chair of Financial and Organizational Information), École des Sciences de la Gestion (ESG) (Business School), Université du Québec à Montréal (UQAM) (University of Quebec in Montreal), (more information at EDIRC)
Groupe de Recherche en Finance Appliquée (GREFA) (Research Group in Applied Finance), Faculté d'administration (Management Faculty), Université de Sherbrooke (University of Sherbrooke), (more information at EDIRC)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (IPAG Business School), (more information at EDIRC)
Centre de recherche en comptabilité et en gouvernance CPA-Canada / CPA-Canada Accounting and Governance Research Centre, École de Gestion Telfer / Telfer School of Management, Université d'Ottawa / University of Ottawa, (more information at EDIRC)

Access statistics for papers by François-Éric Racicot.

Last updated 2019-09-25. Update your information in the RePEc Author Service.

Short-id: pra162


Jump to Journal Articles

Working Papers

2018

  1. Examining the dynamics of illiquidity risks within the phases of the business cycle
    Post-Print, HAL
    See also Journal Article in Borsa Istanbul Review (2019)
  2. Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?
    Post-Print, HAL
    See also Journal Article in Economic Modelling (2019)

2014

  1. La titrisation aux États-Unis et au Canada
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads

2012

  1. Firms' Accruals and Tobin’s q
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads View citations (1)

2011

  1. Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads View citations (1)
    Also in MPRA Paper, University Library of Munich, Germany (2010) Downloads View citations (2)
  2. Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads View citations (4)
  3. Risk Procyclicality and Dynamic Hedge Fund Strategies
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads

2010

  1. Accruals, Cash-Flows and Tobin’s q: An Investment Perspective on Firm Accruals
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  2. Accruals, Investment and Errors-in-Variables
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads

2008

  1. Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads View citations (1)

2007

  1. Programmes de volatilité stochastique et de volatilité implicite: applications Visual Basic (Excel) et Matlab
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  2. Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads View citations (3)

2006

  1. A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  2. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
    See also Journal Article in International Advances in Economic Research (2008)
  3. La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  4. La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  5. Les modèles HJM et LMM revisités
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  6. Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  7. Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads View citations (1)

2005

  1. Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  2. De l'évaluation du risque de crédit
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  3. L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads
  4. Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads View citations (3)

2000

  1. Estimation et tests en présence d'erreurs de mesure sur les variables explicatives: vérification empirique par la méthode de simulation Monte Carlo
    RePAd Working Paper Series, Département des sciences administratives, UQO Downloads View citations (2)

Journal Articles

2019

  1. Examining the dynamics of illiquidity risks within the phases of the business cycle
    Borsa Istanbul Review, 2019, 19, (2), 117-131 Downloads
    See also Working Paper (2018)
  2. Hedge fund return higher moments over the business cycle
    Economic Modelling, 2019, 78, (C), 73-97 Downloads
  3. Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?
    Economic Modelling, 2019, 78, (C), 11-31 Downloads
    See also Working Paper (2018)

2018

  1. Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables
    Estudios de Economia Aplicada, 2018, 36, 251-262 Downloads
  2. Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly
    Applied Economics, 2018, 50, (32), 3441-3463 Downloads
  3. Multi-moment risk, hedging strategies, & the business cycle
    International Review of Economics & Finance, 2018, 58, (C), 637-675 Downloads View citations (1)
  4. Testing the new Fama and French factors with illiquidity: A panel data investigation
    Finance, 2018, 39, (3), 45-102 Downloads

2017

  1. A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model
    Applied Economics Letters, 2017, 24, (6), 410-416 Downloads View citations (2)
  2. A stylized model of home buyers’ and bankers’ behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective
    Applied Economics, 2017, 49, (9), 915-928 Downloads View citations (1)
  3. Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables
    International Advances in Economic Research, 2017, 23, (1), 75-90 Downloads View citations (1)
  4. Yield Curve Forecasting with the Burg Model
    Journal of Forecasting, 2017, 36, (1), 91-99 Downloads

2016

  1. Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds
    Journal of Banking & Finance, 2016, 62, (C), 41-61 Downloads View citations (7)
  2. Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments
    Applied Economics Letters, 2016, 23, (6), 444-448 Downloads View citations (6)
  3. The asymmetrical behavior of hedge funds across the state of the business cycle: The q -factor model revisited
    Finance, 2016, 37, (1), 51-95 Downloads View citations (1)
  4. The q-factor and the Fama and French asset pricing models: hedge fund evidence
    Managerial Finance, 2016, 42, (12), 1180-1207 Downloads View citations (1)
  5. The q-factor model and the redundancy of the value factor: An application to hedge funds
    Journal of Asset Management, 2016, 17, (7), 526-539 Downloads

2015

  1. Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note
    Applied Economics, 2015, 47, (10), 981-989 Downloads View citations (3)
  2. Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution
    Applied Economics, 2015, 47, (51), 5461-5475 Downloads

2014

  1. Cumulant instrument estimators for hedge fund return models with errors in variables
    Applied Economics, 2014, 46, (10), 1134-1149 Downloads View citations (4)

2013

  1. Accruals, Errors-in-variables, and Tobin’s q
    Atlantic Economic Journal, 2013, 41, (2), 193-195 Downloads

2012

  1. Optimally weighting higher-moment instruments to deal with measurement errors in financial return models
    Applied Financial Economics, 2012, 22, (14), 1135-1146 Downloads View citations (4)

2010

  1. Hedge Fund Returns, Kalman Filter, and Errors-in-Variables
    Atlantic Economic Journal, 2010, 38, (3), 377-378 Downloads View citations (5)

2009

  1. On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns
    International Advances in Economic Research, 2009, 15, (1), 30-43 Downloads View citations (1)

2008

  1. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models
    International Advances in Economic Research, 2008, 14, (1), 112-124 Downloads View citations (3)
    See also Working Paper (2006)
  2. On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns
    International Advances in Economic Research, 2008, 14, (4), 473-474 Downloads

2007

  1. Capital asset pricing models revisited: Evidence from errors in variables
    Economics Letters, 2007, 95, (3), 443-450 Downloads View citations (4)
  2. Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models
    International Advances in Economic Research, 2007, 13, (2), 243-244 Downloads
 
Page updated 2019-11-21