Details about François-Éric Racicot

Access statistics for papers by François-Éric Racicot.

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Short-id: pra162

Working Papers

2020

1. From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation
   Post-Print, HAL View citations (1)
   See also Journal Article From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation, Journal of Consumer Affairs, Wiley Blackwell (2020) View citations (1) (2020)

2018

2. Examining the dynamics of illiquidity risks within the phases of the business cycle
   Post-Print, HAL View citations (2)
   See also Journal Article Examining the dynamics of illiquidity risks within the phases of the business cycle, Borsa Istanbul Review, Research and Business Development Department, Borsa Istanbul (2019) View citations (2) (2019)
3. Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?
   Post-Print, HAL View citations (3)
   See also Journal Article Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?, Economic Modelling, Elsevier (2019) (2019)

2014

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

2012

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

2011

6. 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 View citations (1)
   Also in MPRA Paper, University Library of Munich, Germany (2010) View citations (5)
7. Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis
   RePAd Working Paper Series, Département des sciences administratives, UQO View citations (4)
8. Risk Procyclicality and Dynamic Hedge Fund Strategies
   RePAd Working Paper Series, Département des sciences administratives, UQO

2010

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

2008

11. 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 View citations (2)

2007

12. Programmes de volatilité stochastique et de volatilité implicite: applications Visual Basic (Excel) et Matlab
    RePAd Working Paper Series, Département des sciences administratives, UQO
13. 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 View citations (4)

2006

14. 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
15. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models
    RePAd Working Paper Series, Département des sciences administratives, UQO
    See also Journal Article Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models, International Advances in Economic Research, Springer (2008) View citations (5) (2008)
16. 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
17. 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
18. Les modèles HJM et LMM revisités
    RePAd Working Paper Series, Département des sciences administratives, UQO
19. 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
20. Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors
    RePAd Working Paper Series, Département des sciences administratives, UQO View citations (1)

2005

21. Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes
    RePAd Working Paper Series, Département des sciences administratives, UQO
22. De l'évaluation du risque de crédit
    RePAd Working Paper Series, Département des sciences administratives, UQO
23. 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
24. 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 View citations (3)

2000

25. 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 View citations (2)

Journal Articles

2022

1. Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach
   Financial Innovation, 2022, 8, (1), 1-56 View citations (5)

2021

2. The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks
   International Review of Economics & Finance, 2021, 72, (C), 289-318 View citations (5)
3. The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach
   Economic Modelling, 2021, 94, (C), 843-872 View citations (3)
4. Too Big to Fail or Too Deceitful to be Caught?
   Journal of Economic Issues, 2021, 55, (3), 736-759

2020

5. From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation
   Journal of Consumer Affairs, 2020, 54, (4), 1195-1212 View citations (1)
   See also Working Paper From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation, Post-Print (2020) View citations (1) (2020)
6. Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives
   Computational Economics, 2020, 55, (1), 1-35

2019

7. Examining the dynamics of illiquidity risks within the phases of the business cycle
   Borsa Istanbul Review, 2019, 19, (2), 117-131 View citations (2)
   See also Working Paper Examining the dynamics of illiquidity risks within the phases of the business cycle, Post-Print (2018) View citations (2) (2018)
8. Hedge fund return higher moments over the business cycle
   Economic Modelling, 2019, 78, (C), 73-97 View citations (14)
9. Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?
   Economic Modelling, 2019, 78, (C), 11-31
   See also Working Paper Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?, Post-Print (2018) View citations (3) (2018)
10. The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test
    PLOS ONE, 2019, 14, (9), 1-26 View citations (8)

2018

11. Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly
    Applied Economics, 2018, 50, (32), 3441-3463 View citations (3)
12. Multi-moment risk, hedging strategies, & the business cycle
    International Review of Economics & Finance, 2018, 58, (C), 637-675 View citations (12)
13. Testing the new Fama and French factors with illiquidity: A panel data investigation
    Finance, 2018, 39, (3), 45-102 View citations (7)

2017

14. 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 View citations (5)
15. 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 View citations (3)
16. Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables
    International Advances in Economic Research, 2017, 23, (1), 75-90 View citations (1)
17. Yield Curve Forecasting with the Burg Model
    Journal of Forecasting, 2017, 36, (1), 91-99 View citations (2)

2016

18. Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds
    Journal of Banking & Finance, 2016, 62, (C), 41-61 View citations (24)
19. Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments
    Applied Economics Letters, 2016, 23, (6), 444-448 View citations (10)
20. The asymmetrical behavior of hedge funds across the state of the business cycle: The q -factor model revisited
    Finance, 2016, 37, (1), 51-95 View citations (1)
21. 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

2015

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

2014

24. Cumulant instrument estimators for hedge fund return models with errors in variables
    Applied Economics, 2014, 46, (10), 1134-1149 View citations (7)

2013

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

2012

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

2010

27. Hedge Fund Returns, Kalman Filter, and Errors-in-Variables
    Atlantic Economic Journal, 2010, 38, (3), 377-378 View citations (6)

2009

28. Integrating volatility factors in the analysis of the hedge fund alpha puzzle
    Journal of Asset Management, 2009, 10, (1), 37-62 View citations (3)
29. On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns
    International Advances in Economic Research, 2009, 15, (1), 30-43 View citations (1)

2008

30. Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models
    International Advances in Economic Research, 2008, 14, (1), 112-124 View citations (5)
    See also Working Paper Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models, RePAd Working Paper Series (2006) (2006)
31. On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns
    International Advances in Economic Research, 2008, 14, (4), 473-474 View citations (1)

2007

32. Capital asset pricing models revisited: Evidence from errors in variables
    Economics Letters, 2007, 95, (3), 443-450 View citations (6)
33. Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models
    International Advances in Economic Research, 2007, 13, (2), 243-244