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.

Short-id: psi36

Working Papers

2007

1. A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors
   Cahiers de recherche, CIRPEE View citations (14)

2005

2. Default Risk in Corporate Yield Spreads
   Cahiers de recherche, CIRPEE View citations (11)

2002

3. Seize the Moments: Approximating American Option Prices in the GARCH Framework
   Finance, University Library of Munich, Germany

1999

4. Pricing Discretely Monitored Barrier Options by a Markov Chain
   CIRANO Working Papers, CIRANO View citations (13)

1998

5. 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

6. Empirical Martingale Simulation for Asset Prices
   CIRANO Working Papers, CIRANO View citations (60)
7. Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter
   CIRANO Working Papers, CIRANO View citations (11)
   See also Journal Article Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter, Review of Quantitative Finance and Accounting, Springer (1999) View citations (118) (1999)

Undated

8. American GARCH Option Pricing by a Markov Chain Approximation
   Computing in Economics and Finance 1997, Society for Computational Economics View citations (33)

Journal Articles

2002

1. Maximum likelihood estimation of deposit insurance value with interest rate risk
   Journal of Empirical Finance, 2002, 9, (1), 109-132 View citations (24)

2001

2. American option pricing under GARCH by a Markov chain approximation
   Journal of Economic Dynamics and Control, 2001, 25, (11), 1689-1718 View citations (44)

1999

3. Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter
   Review of Quantitative Finance and Accounting, 1999, 13, (2), 111-35 View citations (118)
   See also Working Paper Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter, CIRANO Working Papers (1995) View citations (11) (1995)

1993

4. Seasonal BVAR models: A search along some time domain priors
   Journal of Econometrics, 1993, 55, (1-2), 203-229 View citations (4)

1992

5. Estimation of GARCH process in the presence of structural change
   Economics Letters, 1992, 40, (2), 155-158 View citations (9)