Template of MITACS Project Website

List of all publications directly arising from network-funded research.
Author in bold: MITACS Investigator. Author underlined: MITACS Students co-author.

A) Refereed Contributions

1. Articles in refereed publications

Published or Accepted

2010

Bolduc D., L. Khalaf and C. Yelou (2010). “Identification Robust Confidence Sets Methods for Inference on Parameter Ratios with Application to Discrete Choice Models”, Journal of Econometrics 157, 317-327.

Marine Carrasco, Xiaohong Chen and Lars Peter Hansen, "Nonlinearity and Temporal Dependence", Journal of Econometrics, 155 (2010), 155-169.

Marine Carrasco, and Jean-Pierre Florens, "Spectral method for deconvolving a density", Econometric Theory, forthcoming.

Marine Carrasco, Frédérique Bec and Mélika Ben Salem “Detecting Mean Reversion in Real Exchange Rates: Evidence from a Multiple Regime STAR Specification”, Annales d’Economie et de Statistique, forthcoming.

Jean-Marie Dufour, Lynda Khalaf and M.-C. Beaulieu "Multivariate residual-based finite sample tests for serial dependence and ARCH effects with applications to asset pricing models", Journal of Applied Econometrics, 25 (2010), 263-285.

Jean-Marie Dufour and Abderrahim Taamouti "Short and long run causality measures: theory and inference", Journal of Econometrics, 154 (2010), 1, 42-58.

Jean-Marie Dufour, Jeong-Ryeol Kurz-Kim and Franz Palm, editors, "Heavy Tails and Paretian Distributions in Empirical Finance. A Volume Honoring Benoît Mandelbrot ", special issue of Journal of Empirical Finance, 17 (2) 2010, 177-282.

Jean-Marie Dufour, Jeong-Ryeol Kurz-Kim and Franz Palm "Editorial introduction: Heavy tails and stable Paretian distributions in empirical finance: A volume honoring Benoît B. Mandelbrot", Journal of Empirical Finance, 17 (2) 2010, 177-179.

Jean-Marie Dufour and Jeong-Ryeol Kurz-Kim "Exact inference and optimal invariant estimation for the stability parameter of symmetric α-stable distributions" Journal of Empirical Finance, 17 (2010), 180-194.

Jean-Marie Dufour and Abderrahim Taamouti "Exact optimal inference in regression models under heteroskedasticity and non-normality of unknown form", Computational Statistics and Data Analysis, 54 (2010), 2532-2553.

Jean-Marie Dufour, Lynda Khalaf and Maral Kichian "Estimation uncertainty in structural inflation models with real wage rigidities", Computational Statistics and Data Analysis, 54, 11 (November 2010), 2554-2561.

Marie-Claude Beaulieu, Jean-Marie Dufour and Lynda Khalaf "Asset-pricing anomalies and spanning: multivariate and multifactor tests with heavy-tailed distributions" , Journal of Empirical Finance, 17 (2010), 763-782.

Jean-Marie Dufour, Lynda Khalaf and Maral Kichian "On the precision of Calvo parameter estimates in structural NKPC models", Journal of Economic Dynamics and Control, , 34 (2010), 1582-1595.

Jean-Thomas Bernard, Jean-Marie Dufour, Lynda Khalaf and Maral Kichian "An identification-robust test for time-varying parameters in the dynamics of energy prices" , Journal of Applied Econometrics, forthcoming.

Silvia Gonçalves “The moving blocks bootstrap for panel linear regression models with individual fixed effects,” January 2010, Econometric Theory, forthcoming.

Silvia Gonçalves and Tim Vogelsang. “Block Bootstrap Puzzles in HAC Robust Testing: The Sophistication of the Naive Bootstrap,” with Tim Vogelsang, Econometric Theory forthcoming.

Eric Renault, R. Garcia and E. Ghysels “Econometrics of Option Pricing Models” (with R. Garcia and E. Ghysels), Handbook of Financial Econometrics, Y. Aït-Sahalia and L.P. Hansen (eds.), North Holland,Vol 1, 2010, p 479-552.

Eric Renault “Econometrics of Option Pricing” in Encyclopedia of Quantitative Finance, Ed. R. Cont, Wiley, Vol 2, 2010, p 518-528.

L.P. Hansen and Eric Renault “Pricing Kernels”, in Encyclopedia of Quantitative Finance, Ed. R. Cont, Wiley, Vol 3, 2010, p 1418-1428.

Eric Renault and Bas Werker “Causality effects in return volatility measures with random times'' (with ), Journal of Econometrics, 2010, forthcoming.

Eric Renault “Estimation of Objective and Risk-Neutral Distributions based on Moments of Integrated Volatility” (with R. Garcia, M. A. Lewis and S. Pastorello), Journal of
Econometrics, 2010, forthcoming.

F. Comte, L. Coutin and Eric Renault “Affine Fractional Stochastic Volatility Models” (with ), 2010, Annals of Finance forthcoming.

B. Antoine and Eric Renault “Efficient Inference with Poor Instruments, a General Framework” (with ), 2010, forthcoming in Handbook of Empirical Economics and Finance, Eds David Giles and Aman Ullah, Taylor and Francis, 2010.

R. Garcia, Eric Renault and D. Veredas “Estimation of Stable Distributions by Indirect Inference” (with ), 2010, Journal of Econometrics, forthcoming.

B. Antoine and Eric Renault “Efficient Minimum Distance Estimation with Multiple Rates of Convergence” (with ), 2010, Journal of Econometrics, forthcoming.

2009

Beaulieu, M.-C., J.-M. Dufour and L. Khalaf (2009).“Finite-sample multivariate tests of asset pricing models with coskewness”, Computational Statistics and Data Analysis 53, 2008-2021.

Beaulieu, M.-C., M.-H. Gagnon and L. Khalaf (2009). “A Cross-Section Analysis of Financial Market Integration in North America Using a Four Factor Model”, International Journal of Managerial Finance, 5, 248-267.

Elise Coudin and Jean-Marie Dufour Finite-sample distribution-free inference in linear median regressions under heteroskedasticity and nonlinear dependence of unknown form (with Élise Coudin), The Econometrics Journal, Tenth Anniversary Special Issue, 12 (2009), S1, S19-S49.

Jean-Marie Dufour Comments on "Weak instrument robust tests in GMM and the new Keynesian Phillips curve" by F. Kleibergen and S. Mavroeidis., Journal of Business and Economic Statistics, 27 (2009), 3, 318-321.

Jean-Marie Dufour and Pascale Valéry "Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models", Journal of Econometrics, 150 (2009), 193-206.

Jean-Marie Dufour, Marie-Claude Beaulieu and Lynda Khalaf "Finite-sample multivariate tests of asset pricing models with coskewness, Computational Statistics and Data Analysis, 53 (2009), 6, 2008-2021.

Lynda Khalaf with M.-C. Beaulieu, M.-C. and J.-M. Dufour, Testing Three-Moment Based Asset Pricing Models: an Exact non-Gaussian Multivariate Regression Approach, Computational Statistics and Data Analysis 53, 2008-2021

René Garcia with Antonio Diez de los Rios, Assessing and Valuing the Nonlinear Structure of Hedge Fund Returns, forthcoming in the Journal of Applied Econometrics.

René Garcia with M. A. Lewis, Sergio Pastorello and E. Renault Estimation of Objective and Risk-Neutral Distributions based on Moments of Integrated Volatility, forthcoming in the Journal of Econometrics.

Silvia Gonçalves and Nour Meddahi Box-Cox Transforms for Realized Volatility", Journal of Econometrics, forthcoming.

Silvia Gonçalves and Nour Meddahi Bootstrapping Realized Volatility", Econometrica, 2009, 77, 283-306.

Marcel Rindisbacher Detemple, J. and M. Rindisbacher, Dynamic Asset Allocation: A Portfolio Decomposition Formula and Applications, "forthcoming Review of Financial Studies (2009).

Marcel Rindisbacher Bodie, Z., J. Detemple and M. Rindisbacher. Life Cycle Finance and the Design of Pension Plans "forthcoming Annual Review of Finance (2009).

Eric Renault “Moment-Based Estimation of Stochastic Volatility Models”, in Handbook of Financial Time Series, Eds Torben Andersen, Richard Davis, Jens-Peter Kreiss and
Thomas Mikosch, Springer Verlag, 2009, p 269-311.

Bertille Antoine and Eric Renault “Efficient GMM with Nearly-Weak Instruments” (with B. Antoine), Tenth Anniversary Special Issue of The Econometrics Journal, Vol 12, 2009, p S135-S171.

2008

Bernard J.-T., Khalaf L., Kichian M. and S. McMahon (2008). “Forecasting Commodity Prices: GARCH, Jumps, and Mean-Reversion”, The Journal of Forecasting 27 (2008), 279-291.

Bolduc D., Khalaf L. and E. Moyneur (2008). Identification-Robust Simulation-Based Inference in Joint Discrete/Continuous Models for Energy Markets, Computational Statistics and Data Analysis, 52, 3148-3161.
.
Marine Carrasco Translation (in collaboration with Josef Perktold) of the textbook “Econometric Modeling and Inference” by J.-P. Florens, V. Marimoutou, and A. Peguin-Feissolle, Cambridge University Press, 2007.

Jérôme Detemple and Marcel Rindisbacher, "Dynamic Asset Liability Management with Tolerance for Limited Shortfalls, "Insurance, Mathematics & Economics, Volume 43, 3, (2008), 281-294.

Jean-Marie Dufour and Firmin Doko Tchatoka Instrument endogeneity and identification-robust tests: some analytical results”, Journal of Statistical Planning and Inference, 138 (2008), 2649-2661.

Jean-Marie Dufour Market failure, inequality and redistribution, Ethics and Economics / Éthique et économique, 6 (2008), 1.

Jean-Marie Dufour and Chafik Bouhaddioui Tests for Non-Correlation of Two Infinite-Order Cointegrated Vector Autoregressive Series Journal of Applied Probability and Statistics, 3 (2008), 1, 77-94.

Jean-Marie Dufour and Cheng Hsiao "Identification", in The New Palgrave Dictionary of Economics, edited by Lawrence E. Blume and Steven N. Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, 2008. Online: http://www.dictionaryofeconomics.com/article?id=pde2008_I000004

Jean-Marie Dufour "Model Selection", in The New Palgrave Dictionary of Economics, 2nd Edition, edited by Lawrence E. Blume and Steven N. Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, 2008. Online: http://www.dictionaryofeconomics.com/article?id=pde2008_M000379

Jean-Marie Dufour and Rolf Scheufele) "The Phillips Curve as a Macroeconometric Relation: Evolution and Recent Econometric Developments" (with Rolf Scheufele), in Empirische Makroökonomik für Deutschland: Analysen, Prognosen, Politikberatung. Festschrift zum 65.Geburtstag von Udo Ludwig, edited by Ulrich Blum, Axel Lindner and Diemo Dietrich, Schriften des Instituts für Wirtschaftsforschung Halle, Vol. 27. Nomos Verlagsgesellschaft, Baden-Baden, 2009, 27-48.

René Garcia, Chabi-Yo and E. Renault State Dependence Can Explain the Risk Aversion Puzzle,. Review of Financial Studies, April 2008, 21, 973-1011.

Silvia Gonçalves and Nour Meddahi "Edgeworth Corrections for Realized Volatility,”Econometric Reviews, 27 (2008), 1, 139-162.

Bandi, Federico and Benoit Perron, "Long-run risk-return trade-offs", Journal of Econometrics, 143, 2008, 349-374.

Moon, Hyungsik Roger and Benoit Perron, «Asymptotic Local Power of a Test for Unit Roots in Panels with Fixed Effects», Econometrics Journal, 11, 2008, 80-104.

Moon, Hyungsik Roger and Benoit Perron «Seemingly Unrelated Regressions», The New Palgrave Dictionary of Economics, 2nd ed, Eds. Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008.

F. Chabi-Yo, R. Garcia, and Eric Renault, “State Dependence in Fundamentals and Preferences Explains Risk-Aversion Puzzle”, Review of Financial Studies, 21:2, April 2008, 973-1011.

R. Garcia “Simulation-based estimation”, in The New Palgrave Dictionary of Economics, Second Edition, Eds Steven N. Durlauf and Lawrence E. Blume. Palgrave Macmillan, 2008.

2007

Marine Carrasco, Mike Chernov, J. P. Florens, and Eric Ghysels “Efficient estimation of general dynamic models with a continuum of moment conditions”, 2007, Journal of Econometrics, 140, 529-573.

Marine Carrasco, “Method of Moments”, to be published in The International Encyclopedia of the Social Sciences, 2d edition, Thomson Gale, November 2007.

Marine Carrasco, J.-P. Florens and Eric Renault, “Linear Inverse Problems in Structural Econometrics: Estimation based on spectral decomposition and regularization”, in Handbook of Econometrics, Vol. 6, J Heckman (ed.), North Holland, Chapter 77, 5634-5751.

T. Berrada, Jérôme Detemple and J. Hugonnier, 2007, "Heterogenous Preferences and Equilibrium Trading Volume", Journal of Financial Economics, 83, 3, 2007, 719-750.

Jérôme Detemple and Marcel Rindisbacher, 2007, "Monte Carlo Methods for Derivatives with Discontinuous Payoffs", Computational Statistics and Data Analysis, 51, 7, 3393-3417..

Beaulieu, M.-C. Jean-Marie Dufour and Lynda Khalaf, “Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach”, Journal of Business and Economic Statistics, 25 (2007), 4, 398-410..WP UdeM .

Jean-Marie Dufour, “Model Selection”, in The New Palgrave Dictionary of Economics, edited by Larry Blume and Steven Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, forthcoming.

Jean-Marie Dufour and Cheng Hsiao, “Identification”, in The New Palgrave Dictionary of Economics, edited by Larry Blume and Steven Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, forthcoming.

Jean-Marie Dufour, and M. Taamouti, “Further results on projection-based inference in IV regressions with weak, collinear or missing instruments”, Journal of Econometrics, 139, 1, 133-153. WP

Jean-Marie Dufour and P. Valery, “Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models”, Journal of Econometrics, forthcoming.

René Garcia., Eric Renault and G. Tsafack, 2007, “Proper Conditioning for Coherent VaR in Portfolio Management”, Management Science, 53:3, 483-494.

René Garcia., E. Ghysels and Eric Renault, “Econometrics of Option Pricing Models”, Handbook of Financial Econometrics, Y. Aït-Sahalia and L.P. Hansen (eds.), North-Holland, forthcoming.

Silvia Gonçalves, L. Kilian, "Asymptotic and Bootstrap Inference for AR(inf) Processes with Conditional Heteroskedasticity", Econometric Reviews, 26 (6), 609-641, 2007.

Bernard J.-T., Idoudi N., Lynda Khalaf and C. Yélou (2007) “Finite Sample Multivariate Structural Change Tests with Application to Energy Demand Models”, Journal of Econometrics 141, 1219-1244.

Lynda Khalaf and M. Kichian (2007) “Exact test for Breaks in Covariance in Multivariate Regressions”, Economics Letters, 95, 241-246.

Eric Renault, R. Dridi and A. Guay, 2007, “Indirect Inference and Calibration of Dynamic Stochastic General Equilibrium Models”, Journal of Econometrics, 136, 397-430.

B. Antoine, H. Bonnal and Eric Renault, “On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood”, Journal of Econometrics, 138, June 2007, p 461-487.

C. Gouriéroux, Eric Renault and P. Valery, “Diffusion processes with polynomial eigenfunctions”, Annales d’Economie et de Statistique, March 2007, p 115-130.

2006

Jean-Marie Dufour, Abdeljelil Farhat, Marc Hallin, “Distribution-free bounds for serial correlation coefficients in heteroskedastic symmetric time series”, Journal of Econometrics, 130 (2006), 123-142. WP - WP2

Jean-Marie Dufour, Touhami Abdelkhalek, “Confidence regions for calibrated parameters in computable general equilibrium models”, Annales d’économie et de statistique, forthcoming.

Jean-Marie Dufour, Denis Pelletier, Eric Renault, “Short run and long run causality in time series: inference”, Journal of Econometrics, 132 (2006), 2, 337-362. WP.

Jean-Marie Dufour, Resampling Methods in Econometrics (Editor, with Benoit Perron), Annals issue of the Journal of Econometrics, Volume 133 (2), 2006, 478 pages. WP

Jean-Marie Dufour, “Monte Carlo Tests with Nuisance Parameters: A General Approach to Finite-Sample Inference and Nonstandard Asymptotics in Econometrics”, Journal of Econometrics, 133 (2006), 2, 443-477. WP.

Jean-Marie Dufour, Tarek Jouini, “Finite-sample simulation-based inference in VAR models with applications to Granger causality testing”, Journal of Econometrics, 135 (2006), 1-2, 229-254. WP

Jean-Marie Dufour, Lynda Khalaf, Maral Kichian, “Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis”, Journal of Economic Dynamic and Control, 30, 1707-1728. WP

Abdelkhalek, T. and Jean-Marie Dufour, “Confidence regions for calibrated parameters in computable general equilibrium models”, Annales d’économie et de statistique, 81 (2006), 1-32. [Leading article]. WP_UDM.

Jean-Marie Dufour, "Heavy tails and stable Paretian distributions in finance and macroeconomics" (Editor, with Franz Palm and Jeong Kurz-Kim), special issue of Journal of Empitical Finance, forthcoming. wp

Jean-Marie Dufour and M. Taamouti, 2007, “Further results on projection-based inference in IV regressions with weak, collinear or missing instruments”, Journal of Econometrics, 139 (2007), 1, 133-153. WP.

René Garcia and R. Luger, 2006, “The Canadian Macroeconomy and the Yield Curve: An Equilibrium-based Approach,”, forthcoming in The Canadian Journal of Economics.

René Garcia., Eric Renault and A. Semenov, 2006, “Disentangling Risk Aversion and Intertemporal Substitution through a Reference Level”, Finance Research Letters, 3:3, 181-193.

René Garcia and Nour Meddahi, 2006, Comment on the 2005 JBES Invited Lecture “Realized Variance and Microstructure Noise” by Peter R. Hansen and
Asger Lunde, Journal of Business and Economic Statistics, 24, 2, 184-192 .

Silvia Gonçalves, Massimo Guidolin, 2006, "Predictable Dynamics in the S&P 500 Index Options Volatility Surface", Journal of Business, Vol. 79, May 2006, 1591-1635.

Bernard J.-T., Idoudi N., Lynda Khalaf and C. Yélou (2007) “Finite Sample Inference Methods for Dynamic Energy Demand Models”, Journal of Applied Econometrics, 22, 1211-1226. WP_GREEN.

Hyungsik Roger Moon, Benoit Perron et Peter C.B. Phillips, «Incidental Trends and the Power of Panel Unit Root Tests», forthcoming in Journal of Econometrics.

Moon, Hyungsik Roger and Benoit Perron, “An Empirical Analysis of Nonstationarity in a Panel of Interest Rates with Factors”, in press, Journal of Applied Econometrics.

C. Doz and Eric Renault, 2006, “Factor Stochastic Volatility in Mean Models: a GMM approach”, Econometric Reviews, 25:2, 275-309.

Éric Renault, Nour Meddahi and B. Werker, 2006, “GARCH and Irregularly Spaced Data”, Economics Letters, 90, 200-2004.

Éric Renault, R. Dridi and A. Guay, “Indirect Inference and Calibration of Dynamic Stochastic General Equilibrium Models”, Journal of Econometrics, forthcoming.

Éric Renault, C. Gourieroux, P. Valery, “Diffusion processes with polynomial eigenfunctions”, Annales d’Economie et de Statistique, forthcoming.

Éric Renault, René Garcia and Andrei Semenov,“Disentangling Risk Aversion and Intertemporal Substitution through a Reference Level”, Finance Research Letters, Volume 3, Issue 3, 181-193.

Bonnal, H. and Éric Renault, “On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood”, Journal of Econometrics, forthcoming. WP_CIRANO.

Éric Renault, “Factor Stochastic Volatility in Mean Models: a GMM approach”, Econometric Reviews, forthcoming.

René Garcia, Éric Renault and G. Tsafack, “Proper Conditioning for Coherent VaR in Portfolio Management”, Management Science, forthcoming. WP

Nour Meddahi, Éric Renault and B. Werker, 2006, “GARCH and Irregularly Spaced Data”, submitted to Economics Letters 90, February 2006, p 200-204. WP.

Hyungsik Roger Moon et Benoit Perron, «An Empirical Analysis of Nonstationarity in Panels of Exchange Rates and Interest Rates with Factors », août 2005 (révisé et resoumis au Journal of Applied Econometrics).

Hyungsik Roger Moon, Benoit Perron et Peter C.B. Phillips, «On the Breitung Test for Panel Unit Roots and Local Asymptotic Power » in press, Econometric Theory, Notes and Problems.

Bandi, Federico et Benoit Perron, «Long Memory and the Relation between Implied and Realized Volatility», Journal of Financial Econometrics, 4:4, 636-670.

Bouhaddioui, C. and Roch Roy, 2006, “On the distribution of the residual cross-correlations between two uncorrelated infinite order vector autoregressive series”, Statistics and Probability Letters 76 , 58-68. WP_CIRANO.

Bouhaddioui, C. and Roch Roy, 2006, “A Generalized Portmanteau Test for Independence Between Two Multivariate Infinite Order Autoregressive Series”, Journal of Time Series Analysis 27, 505-544. WP_CIRANO.

Mélard, G., Roch Roy and A. Saidi, 2006, “Exact maximum likelihood estimation of structured or unit root multivariate time series models”, Computational Statistics and Data Analysis 50, 2958-2986. WP_IAP.

Berrada, T., Hugonnier, J., and Marcel Rindisbacher, "Heterogenous Preferences and Equilibrium Trading Volume", forthcoming Journal of Financial Economics.

Jérôme Detemple, René Garcia and Marcel Rindisbacher, “Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes”, Journal of Econometrics, Volume 134, Issue 1, 1-68. WP_CIRANO.

Jérôme Detemple, René Garcia and Marcel Rindisbacher, “Simulation for Optimal Portfolios”, forthcoming in Handbooks in Operations Research and Management Science, Volume on Financial Engineering, J. Birge and V. Linetsky eds., Elsevier, Amsterdam.

Jérôme Detemple and Marcel Rindisbacher, "Monte Carlo Methods for Derivatives of Options with Discontinuous Payoffs", forthcoming Computational Statistics and Data Analysis.

2005

Jean-Marie Dufour, Mohamed Taamouti, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments” , Econometrica, 73 (2005), 4, 1351-1365. WP WP2

Silvia Gonçalves and H. White, 2005, "Bootstrap Standard Error Estimates for Linear Regression", Journal of the American Statistical Association Vol. 100, No. 471, September 2005, 970-979.

Silvia Gonçalves and Peter Christoffersen, 2005 "Estimation Risk in Conditional Value-at-Risk", Journal of Risk, Spring 2005, 1-29.

Lynda Khalaf and M. Kichian, 2005, “Exact tests of the stability of the Phillips Curve: The Canadian Case”, Computational Statistics and Data Analysis, 49, 445-460.

Jérôme Detemple and Marcel Rindisbacher, 2005, “Closed Form Solutions for Optimal Portfolio Selection with Stochastic Interest Rate and Investment Constraints” Mathematical Finance, Vol. 15, No. 4, October 2005: 539-568.

Jean-Marie Dufour, Farhat A. and Lynda Khalaf, 2005, “Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression”, L’Actualité économique, 80 (2005), 593-618. WP.

Nour Meddahi, Torben Andersen and Tim Bollerslev, "Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities", Econometrica, 2005, 73, 279-296.

Nour Meddahi, Christian Bontemps, "Testing Normality: A GMM Approach" , Journal of Econometrics, 2005, 124, 149-186.

Éric Renault, R. Luger and René Garcia, "Viewpoint: Option Prices, Preferences and State Variables”, Canadian Journal of Economics, 38, February 2005, pp.1-27.

Jérôme Detemple, René Garcia and Marcel Rindisbacher, "Asymptotic Properties of Monte Carlo Estimators of Derivatives", Management Science, 51, 11, (2005), 1657-1675, with online supplement.

Jérôme Detemple and Marcel Rindisbacher, 2005, “Explicit Solutions for a Portfolio Problem with Incomplete markets and Investment Constraints”, Mathematical Finance, 15, (2005), 539-568.

Jérôme Detemple, René Garcia and Marcel Rindisbacher, 2005, “Representation Formulas for Malliavin Derivatives of Diffusion Processes”, Finance and Stochastics, 9 , 349-367.

Jérôme Detemple, René Garcia and Marcel Rindisbacher, 2005, “Intertemporal Asset Allocation: a Comparison of Methods”, Journal of Banking and Finance, 29, 2821-2848. Special Issue on Thirty Years of Continuous-Time Finance, G. Barone-Adesi, ed.

2004

Marine Carrasco “Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression”, 2004, Econometric Theory, Problems and Solutions section, Vol 20, 228-229.

Frédérique Bec, Mélika Ben Salem and Marine Carrasco “Tests for unit-root versus Threshold specification with an application to the PPP”, 2004, Journal of Business & Economic Statistics, Vol. 22, No. 4, 382-395.

Bodie, Z., Jérôme Detemple, Otruba S. and S. Walter, 2004, “Optimal Consumption-Portfolio Choices and Retirement Planning”, Journal of Economic Dynamics and Control, Vol. 28, No. 6, 1115-1148. JEDC.

Croux, C., Éric Renault and B. Werker, 2004, “Dynamic Factor Models”, guest editorial in the Journal of Econometrics, 119, 223-230. JoE.

Duchesne, P. and Roch Roy, 2004, “On consistent testing for serial correlation of unknown form in vector time series models”, Journal of Multivariate Analysis, 89, 148-180. JoMA.

Jean-Marie Dufour, Lynda Khalaf, Bernard, J.-T., Genest, I., “Simulation-Based Finite-Sample Tests for Heteroskedasticity and ARCH Effects”, Journal of Econometrics, 122, 2 (October 2004), 317-347.

Broadie, M. and Jérôme Detemple, "Option Pricing: Valuation Models and Applications", Management Science, Vol. 50, No. 9, September 2004: 1145-1177.

Jean-Marie Dufour, Neifar M., “Méthodes d’inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes”, L’Actualité économique, 80 (2004), 501-522.

René Garcia, Luger, R. and Éric Renault, 2004, “Option Pricing, Preferences and State Variables”, forthcoming in The Canadian Journal of Economics.

Lynda Khalaf and M. Kichian, 2004b, “Pricing-to-Market Tests in Instrumental Regressions: Case of the Transportation Equipment Industry”, Empirical Economics, 29, 293-309. EE.

Nour Meddahi and Éric Renault, 2004, “Temporal Aggregation of Volatility Models”, in the Journal of Econometrics 119, 355-379. JoE.

Nour Meddahi, Torben Andersen and Tim Bollerslev, "Analytic Evaluation of Volatility Forecasts", International Economic Review, 2004, 45, 1079-1110.

Hyungsik Roger Moon et Benoit Perron, 2004a, “Testing for a Unit Root in Panels with Dynamic Factors”, Journal of Econometrics, 122 (1), 81-126. JoE.

Hyungsik Roger Moon et Benoit Perron, «Efficient Estimation of the SUR Cointegration Regression Model and Testing for Purchasing Power Parity», Econometric Reviews, 23:4, février 2005, 293-323.

Hyungsik Roger Moon et Benoit Perron, 2004, “Relation entre le taux de change et les exportations nettes : test de la condition Marshall-Lerner pour le Canada”, forthcoming in L'Actualité économique.

Benoit Perron, «Détection non paramétrique des sauts de la volatilité», L’Actualité économique (numéro en l’honneur de Marcel Dagenais), 80 :2-3, juin-septembre 2004, 229-251.

Silvia Gonçalves, Lutz Kilian, "Bootstrapping Autoregressions with Conditional Heteroskedasticity of Unknown Form" Journal of Econometrics, 2004, 123, 89-120.

Silvia Gonçalves, Halbert White, "Maximum Likelihood and the Bootstrap for Nonlinear Dynamic Models," Journal of Econometrics, 2004, 119, 199-219.

2003

Andersen, T., Bollerslev, T. and Nour Meddahi, 2003a, “Analytic Evaluation of Volatility Forecasts”, forthcoming in the International Economic Review. WP_CIRANO.

Andersen, T., Bollerslev, T. and Nour Meddahi, 2003b, “Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities”, forthcoming in Econometrica. WP_Meddahi.

Bontemps, C. and Nour Meddahi, 2003, “Testing Normality: A GMM Approach”, forthcoming in Journal of Econometrics. WP_UDEM.

Boudjellaba, H., Jean-Marie Dufour and Roy, R., 2003, “Testing Causality Between Two Vectors in Multivariate ARMA Models”, forthcoming in Recent Developments in Time Series, edited by Paul Newbold and Stephen J. Leybourne, The International Library of Critical Writings in Econometrics, Edward Elgar, Cheltenham, England.

Carrasco, M., Florens, J.P. and Éric Renault, 2003, “Linear Inverse Problems in Structural Econometrics: Estimation based on spectral decomposition and regularization” forthcoming in Handbook of Econometrics, Vol. 6, J. Heckman (ed.), North Holland. HDK_ECM.

Jérôme Detemple, S. Feng and W. Tian, 2003, “The Valuation of American Options on the Minimum of Two Dividend-paying Assets”, Annals of Applied Probability, Vol. 13, No. 3, 953-983. AAP.

Jérôme Detemple, "Asset Pricing with Asymmetric Information: the Case of Conditionally Gaussian Information Structures", Finance, Vol. 24, 2003: 15-44.

Jérôme Detemple and I. Karatzas, 2003, “Non-Addictive Habits: Optimal Consumption-Portfolio Policies”, Journal of Economic Theory, Vol. 113, No. 2, December 2003: 265-285.

Jérôme Detemple, S. Feng and W. Tian, "The Valuation of American Call Options on the Minimum of Two Dividend-paying Assets", Annals of Applied Probability, Vol. 13, No. 3, 2003: 953-983.

Jérôme Detemple and A. Serrat, “Dynamic Equilibrium with Liquidity Constraints”, Review of Financial Studies, Vol. 16, No. 2, Summer 2003: 597-629.

Jérôme Detemple, René Garcia and Marcel Rindisbacher, 2003a, “A Monte-Carlo Method for Optimal Portfolio”, Journal of Finance, vol. 58, No. 1, 401-446. WP_CIRANO.

Jérôme Detemple, René Garcia and Marcel Rindisbacher, 2003c, “Strategic Asset Allocation”, Encyclopedia of Financial Engineering and Risk Management, Fitzroy Dearborn, forthcoming.

Duchesne, P., and Roch Roy, 2003, “Robust tests for independence between two time series”, Statistica Sinica, 13, 827-852. StSi.

Jean-Marie Dufour, 2003, “Identification, Weak Instruments and Statistical Inference in Econometrics”, Canadian Journal of Economics, 36, 767-808. CJE WP_CIRANO.

Jean-Marie Dufour, Lynda Khalaf, and M.-C. Beaulieu, 2003, “Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models”, Oxford Bulletin of Economics and Statistics, 65, 891-906. WP_UDM.

Jean-Marie Dufour and Lynda Khalaf, 2003, “Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions”, Computer-Aided Econometrics, edited by David Giles, Marcel Dekker, New York, 11-35. WP_ULAVAL.

Jean-Marie Dufour and M. Taamouti, 2003a, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, forthcoming in Econometrica. WP.

El Himdi, K., Roch Roy and P. Duchesne, 2003, “Tests for non-correlation of two multivariate time series: a nonparametric approach” Mathematical Statistics and Applications : Festschrift for Constance van Eeden, Ed. Moore, M., S. Froda & C. Léger. IMS Lecture Notes, vol. 42, pp. 397-146, Institute of Mathematical Statistics, Hayward, CA.

Francq, C., Roch Roy and J.-M. Zakoïan, 2003, “Diagnostic checking in ARMA models with uncorrelated errors”, forthcoming in Journal of the America Statistical Association.

René Garcia, E. Ghysels and Éric Renault, 2003, “The Econometrics of Option Pricing”, forthcoming in Handbook of Financial Econometrics, Y. Aït-Sahalia and L.P. Hansen (eds), North Holland, Amsterdam.

René Garcia, Luger, R. and Éric Renault, 2003, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, Journal of Econometrics, 116, 49-83. JoE.

Ghysels. E., Lynda Khalaf and C. Vodounou, 2003, “Simulation-Based Inference in Moving Average Models”, Annales d’économie et de statistiques, 69, 86-99. AES.

Lynda Khalaf, Saphores, J.-D. and J.-F. Bilodeau, 2003, “Simulation-Based Exact Tests for Jump Diffusions with Unidentified Nuisance Parameters: An Application to Commodities Spot Prices”, Journal of Economic Dynamics and Control, 28, 531-553. JoEDC.

Nour Meddahi, 2003, “ARMA Representation of Integrated and Realized Variances”, Econometrics Journal 6, 334-355. EJ.

Morel, Louis et Benoit Perron, « Relation entre le taux de change et les exportations nettes: test de la condition Marshall-Lerner pour le Canada », L’Actualité économique, 79 :4, décembre 2003, 481-502.

Pastorello, S., Patilea, V. and Éric Renault, 2003, “Iterative and recursive Estimation in Structural Non-Adaptive Models”, invited lecture, Journal of Business, Economics and Statistics, 21 (4), 449-509. JoBES.

Benoit Perron, 2004, “Détection non paramétrique des sauts de la volatilité” forthcoming in L'Actualité économique.

Benoit Perron, 2003, “Semi-parametric Weak Instrument Regressions with an Application to the Risk-return Tradeoff”, Review of Economics and Statistics, 85 (2), 424-443. RoES.

Benoit Perron, Linton, Oliver, «The Shape of the Risk Premium: Evidence from a Semiparametric GARCH Model», Journal of Business and Economic Statistics, 21-3, juillet 2003, 354-367.

Pham, D.T., Roch Roy & L. Cédras, 2003, “Test for non-correlation of two cointegrated ARMA time series”, Journal of Time Series Analysis, 24, 553-577. JoTSA.

Silvia Gonçalves, Robert De Jong, "Consistency of the Stationary Bootstrap under Weak Moment Conditions," Economics Letters, 2003, 81, 273-278.

2002

Marine Carrasco and Xiaohong Chen “Mixing and Moment Properties of Various GARCH and Stochastic Volatility Models”, 2002, Econometric Theory, Vol. 18, No. 1, 17-39.

Marine Carrasco “Misspecified Structural Change, Threshold, and Markov-Switching Models”, 2002, Journal of Econometrics, Vol. 109, No. 2, 239-273.

Marine Carrasco and Jean-Pierre Florens “Simulation Based Method of Moments and Efficiency”, 2002, Journal of Business & Economic Statistics, Vol. 20, No. 4, 482-492.

Marine Carrasco and Stéphane Grégoir “Policy Evaluation in Macroeconometric Doubly Stochastic Models”, 2002, Annales d’Economie et de Statistiques, 67-68, 73-109.

Jérôme Detemple, 2002, “Asset Pricing in an Intertemporal Partially-Revealing Rational Expectations Equilibrium”, Journal of Mathematical Economics, 38, No. 1/2, 219-248.

Jérôme Detemple and W. Tian, 2001, “Analytic Valuation of American Options with Diffusion Processes”, Management Science, 2002, Vol. 48, No. 7, 917-937.

Jean-Marie Dufour and Lynda Khalaf, “Exact tests for contemporaneous correlation of disturbances in seemingly unrelated regressions”, Journal of Econometrics, 2002, 106, 143-170.

Jean-Marie Dufour and Lynda Khalaf, “Simulation Based Finite and Large Sample Tests in Multivariate Regressions”, Journal of Econometrics, 2002, 111, 303-322.

René Garcia and H. Schaller, “Are the Effects of Interest Rate Changes Asymmetric?”, Economic Enquiry, 2002, Vol. 40, 102-119.

Lynda Khalaf, Denis Pelletier and J.-D. Saphores, “On Jumps and ARCH Effects in Natural Resource Prices: An Application to Stumpage Prices from Pacific Northwest National Forests”. American Journal of Agriculture Economics, 2002, 84(2), 387-400.

Eric Renault, “Symposium on Marshall's Tendencies: 4 Comments on J. Sutton's Book”, Economics and Philosophy, 2002, 18, 1-16.

Silvia Gonçalves, Halbert White, "The Bootstrap of the Mean for Dependent Heterogeneous Arrays," Econometric Theory, 2002, 18, 1367-1384.

2001

Jean-Marie Dufour, “Allocution présidentielle : Économétrie et logique : réflexions sur les problèmes mal posés en économétrie”, L'Actualité économique, 2001, vol.77, 171-190.

Jean-Marie Dufour and Joanna Jasiak, “Finite Sample Limited Information Inference Methods for Structural Equations and Models with Generated Regressors”, International Economic Review, 2001, 42, 815-843.

René Garcia and M. Bonomo, “The Macroeconomic Effects of Infrequent Information with Adjustment Cost”, The Canadian Journal of Economics, 2001, 34(1), 18-35.

René Garcia and M. Bonomo, “Test of conditional Asset Pricing Models in the Brazilian Stock Market”, Journal of International Money and Finance, 2001, 20, 71-91.

2000

Blais, M., B. MacGibbon and Roch Roy, 2000, “Limit theorems for models of time series of counts”, Statistics and Probability Letters, Vol. 46, 161-168.

Broadie, M., Jérôme Detemple, Ghysels, E. and O. Torrès, 2000a “American Options with Stochastic Dividends and Volatility: a Nonparametric Investigation”, Journal of Econometrics, Vol. 94, 53-92.

Broadie, M., Jérôme Detemple, Ghysels, E. and O. Torrès, 2000b, “Nonparametric Estimation of American Option Exercise Boundaries and Call Prices”, Journal of Economic Dynamics and Control, Vol. 24, No. 11-12, 1829-1857.

Jérôme Detemple and C. Osakwe, 2000, “The Valuation of Volatility Options”, European Finance Review, Vol.4, No. 1, 21-50.

Jean-Marie Dufour and Olivier Torrès, “Markovian Processes, Two-Sided Autoregressions and Exact Inference for Stationary and Nonstationary Autoregressive Processes”, Journal of Econometrics, 2000, vol. 99, 255-289.

René Garcia and R. Gençay, “Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint”, Journal of Econometrics, 2000, 94, 93-115.

René Garcia, E. Ghysels and Eric Renault, “Econometric Methods for Derivative Securities and Risk Management”, Journal of Econometrics, 2000, 94 (1-2), 1-7.

Eric Renault and A. Alami, “Risque de modèle de volatilité”, Journal de la Société Française de Statistique, 2000, 141 (1.2), 103-136.

Eric Renault, S. Pastorello and N. Touzi, “Statistical Inference for Random-Variance Option Pricing”, Journal of Business and Economic Statistics, 2000, 18, no 3, 358-367.

Submitted

2010

Marine Carrasco, "A regularization approach to the many instruments problem", submitted to Journal of Econometrics

Marine Carrasco and Rachidi Kotchoni, "Assessing the Nature of Pricing Inefficiencies via Realized Measures" , 2009, submitted to Journal of Econometrics.

Marine Carrasco, L. Hu and W. Ploberger, " Optimal Test for Markov Switching" , 2009, submitted to Econometrica.

Marine Carrasco, Frédérique Bec and Mélika Ben Salem, "Detecting Mean Reversion in Real Exchange Rates: Evidence from a Multiple Regime STAR Specification", submitted to Econometrics Journal.

Marine Carrasco and Jean-Pierre Florens, “On the asymptotic efficiency of GMM” (with Jean-Pierre Florens), revised and resubmitted for Econometric Theory.

   Bernard J.-T., Khalaf L., M. Kichian and MacMahon, S. “Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield”, Revision Requested: Energy Journal.

Jean-Marie Dufour, Lynda Khalaf and Marie-Claude Beaulieu, "Testing portfolio efficiency with an unobservable zero-beta rate and possibly non-Gaussian distributions: a finite-sample identification-robust approach", Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2004 (revised 2009), 35 pages. Submitted to Review of Economic Studies (revision requested).

Jean-Marie Dufour, Lynda Khalaf and Marie-Claude beaulieu, "Exact confidence set estimation and goodness-of-fit test methods for asymmetric heavy tailed stable distributions", Discussion Paper, CIRANO and CIREQ, 2006, 23 pages. Submitted to Journal of Econometrics.

Jean-Marie Dufour, Lynda Khalaf and Maral Kichian, "Structural Multi-Equation Macroeconomic Models: A System-Based Estimation and Evaluation Approach", Discussion Paper, Bank of Canada, McGill University (Department of Economics), CIREQ and CIRANO, 2007 (revised 2009), 22 pages. Submitted to Journal of Monetary Economics (revision requested).

Jean-Marie Dufour, René Garcia and Abderrahim Taamouti, "Measuring causality between volatility and returns with high-frequency data", Discussion Paper, McGill University (Department of Economics), CIREQ and CIRANO, 2008 (revised 2009), 66 pages. Submitted to Journal of Financial Econometrics.

Jean-Marie Dufour and Tarek Jouini "Asymptotic distributions for some quasi-efficient estimators in echelon VARMA models", McGill University (Department of Economics), CIREQ and CIRANO, 2008 (revised 2010), 39 pages. Submitted to Econometric Theory.

Jean-Marie Dufour and Chafik Bouhzaddioui "Semiparametric innovation-based tests of orthogonality and causality between two infinite-order cointegrated series with application to Canada/US monetary interactions", McGill University (Department of Economics), CIREQ and CIRANO, 2010, 38 pages. Submitted to Journal of Business and Economic Statistics.

Bernard J.-T., Khalaf L., M. Kichian and MacMahon, S. “Oil Prices: Heavy Tails, Mean Reversion and the Convenience Yield”, Submitted to Energy Journal.

René Garcia with Marco Bonomo and Nour Meddahi, Disappointment Aversion, Long-Run Risks and Aggregate Asset Prices,. 52 pages,revised 2009, revise and resubmit to Review of Financial Studies, second round.

2. Other refereed contributions

Review articles

2003

Jérôme Detemple, "Optimal Asset Allocation", Issue on Risk Management, Research Highlights @ Boston University School of Management, Spring 2003.

2002

Jérôme Detemple, Book review of "Imperfect Information and Investor Heterogeneity in the Bond Market" by Frank Riedel, Journal of Economics/Zeitschrift fur Nationalökonomie, Vol. 75, No. 2, 2002: 189-194.

2001

Nour Meddahi, Comment on "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," by Ole E. Barndorff-Nielsen and Neil Shephard, Journal of the Royal Statistical Society, B, 2001.

Papers in refereed conference proceedings

2006

Jean-Marie Dufour “Exact Nonparametric Inference for the Mean of a Bounded Random Variable” (with Mame Astou Diouf), 2006 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington, D.C., forthcoming.

Jean-Marie Dufour “Nonparametric Short and Long Run Causality Measures” (with Abderahim Taamouti), 2006 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington, D.C., forthcoming.

2005

Beaulieu, M.-C., Jean-Marie Dufour and Lynda Khalaf“Three Moment Asset Pricing Model: an Exact Simulation Based Approach”, Proceedings of the 2005 Northern Finance Association Conference.

2004

Beaulieu, M.-C., Jean-Marie Dufour and Lynda Khalaf“Testing Black's CAPM with Possibly non Gaussian Error Distributions : an Exact Simulation Based Approach”. Proceedings of the 2005 Northern Finance Association Conference.

2003

Jean-Marie Dufour “Finite Sample Simulation-Based Inference in Vector Autoregressive Models” (with Tarek Jouini), 2003 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington, D.C., 2032-2037.

Jean-Marie Dufour“Multivariate Residual-Based Finite-Sample Misspecification Tests with Evidence from Asset Pricing Models” (with Lynda Khalaf and Marie-Claude Beaulieu), 2003 Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington, D.C., 1298-1305.

Monographs, books, and book chapters

2009

Jean-Marie Dufour The Phillips Curve as a Macroeconometric Relation: Evolution and Recent Econometric Developments (with Rolf Scheufele), in Empirische Makroöomik fütschland: Analysen, Prognosen, Politikberatung. Festschrift zum 65.Geburtstag von Udo Ludwig, edited by Ulrich Blum, Axel Lindner and Diemo Dietrich, Schriften des Instituts fütschaftsforschung Halle, Vol. 27. Nomos Verlagsgesellschaft, Baden-Baden, 2009, 27-48.

2008

Jean-Marie Dufour, “Model Selection”, in The New Palgrave Dictionary of Economics, 2nd Edition, edited by Lawrence E. Blume and Steven N. Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, 2008. Online: http://www.dictionaryofeconomics.com/article?id=pde2008_M000379.

Jean-Marie Dufour, “"Identification" (with Cheng Hsiao), in The New Palgrave Dictionary of Economics, 2nd Edition, edited by Lawrence E. Blume and Steven N. Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, 2008.
Online: http://www.dictionaryofeconomics.com/article?id=pde2008_I000004.

Hyungsik Roger Moon and Benoit Perron, «Seemingly Unrelated Regressions», in The New Palgrave Dictionary of Economics, 2nd Edition, edited by Lawrence E. Blume and Steven N. Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, 2008.

Eric Renault, “Simulation-based estimation”, in The New Palgrave Dictionary of Economics, 2nd Edition, edited by Lawrence E. Blume and Steven N. Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, 2008.

2006

Jean-Marie Dufour, Heavy tails and stable Paretian distributions in finance and macroeconomics (Editor, with Franz Palm and Jeong Kurz-Kim), special issue of Journal of Empitical Finance, forthcoming.

Jean-Marie Dufour, Heavy tails and stable Paretian distributions in econometrics (Editor, with Jeong Kurz-Kim), special issue of Journal of Econometrics, forthcoming.

Jean-Marie Dufour, “Identification” (with Cheng Hsiao), in The New Palgrave Dictionary of Economics, edited by Larry Blume and Steven Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, forthcoming.

Jean-Marie Dufour, “Model Selection”, in The New Palgrave Dictionary of Economics, edited by Larry Blume and Steven Durlauf, Palgrave Macmillan, Basingstoke, Hampshire, England, forthcoming.

Jean-Marie Dufour, “On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression” (with Pascale Valéry), Advances in Econometrics, in Volume 20 of Advances in Econometrics, Econometric Analysis of Economic and Financial Time Series, in honor of Clive Granger and Robert Engle, edited by Thomas B. Fomby and Dek Terrell, Elsevier Science, Oxford (U.K.), 2006, 259-288.

Jean-Marie Dufour and Benoit Perron "Editor's introduction: Resampling Methods in Econometrics", Special Issue Journal of Econometrics, 133 (2006), 2, 411-419.

Marine Carrasco, Jean-Pierre Florens and Eric Renault “Linear Inverse Problems in Structural Econometrics”, forthcoming in the Handbook of Econometrics, Vol. 6, edited by J.J. Heckman and E.E. Leamer.

2005

Jérôme Detemple, American-Style Derivatives: Valuation and Computation, Chapman & Hall/CRC, Financial Mathematics Series, Vol. 4, 2005, 248 pages.

Jean-Marie Dufour, “Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form” (with Tarek Jouini), Statistical Modeling and Analysis for Complex Data Problems, edited by Pierre Duchesne and Bruno Rémillard, Kluwer/Springer-Verlag, New York, 2005, Chapter 11, 209-240. WP.

Jean-Marie Dufour, “Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions” (with Marie-Claude Beaulieu et Lynda Khalaf), Numerical Methods in Finance, edited by M. Breton et H. Ben Ameur, Kluwer/Springer-Verlag, New York, 2005, Chapter 9, 173-191.

2004

Éric Renault, René Garcia and E. Ghysels, “Econometrics of Option Pricing Models”, Handbook of Financial Econometrics, Y. Aït-Sahalia and L.P. Hansen (eds.), North Holland, forthcoming.

Jean-Marie Dufour, “Exact simulation-based inference for autoregressive processes based on induced tests” (with Malika Neifar), in COMPSTAT 2004 - Proceedings in Computational Statistics, 16th Symposium Held in Prague, Czech Republic, 2004, edited by Jaromir Antoch, Springer, New York, 2004, 943-950.

2003

Jean-Marie Dufour, “Testing Causality Between Two Vectors in Multivariate ARMA Models” (with Hafida Boudjellaba and Roch Roy), in Recent Developments in Time Series, edited by Paul Newbold and Stephen J. Leybourne, The International Library of Critical Writings in Econometrics, Edward Elgar, Cheltenham, England, 2003, Chapter 21. Reprint of article published in Journal of the American Statistical Association 87, 1992, 1082-1090.

Jean-Marie Dufour, “Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions” (with Lynda Khalaf), in Computer-Aided Econometrics, edited by David Giles, Marcel Dekker, New York, 2003, Chapter 2, 11-35.

2002

Jean-Marie Dufour, “Exact Nonparametric Two-Sample Homogeneity Tests” (with Abdeljelil Farhat), in Goodness-of- Fit Tests and Model Validity, edited by C. Huber-Carol, N. Balakhrishnan, M. Nikulin and M. Mesbah, Birkhaüser, Boston, 2002, Chapter 33, 435-448.

2001

Jean-Marie Dufour, “Monte Carlo Test Methods in Econometrics” (with Lynda Khalaf), in Companion to Theoretical Econometrics, edited by Badi Baltagi, Blackwell, Oxford, U.K., 2001, Chapter 23, 494-519. Also available in Paperback edition.

Jean-Marie Dufour, “L’incertitude sur le comportement des exportateurs et des importateurs marocains ou l’inférence statistique dans l’équilibre général calculable” (with Touhami Abdelkhalek), in La politique économique du développement et les modèles d’équilibre général calculable, edited by Bernard Decaluwe and André Martens, Presses de l’Université de Montréal, 2001, Chapter 17, 437-469.

Jérôme Detemple, 2001a “American Options: Symmetry Properties”, Handbooks in Mathematical Finance: Topics in Option Pricing, Interest Rates and Risk Management, J. Cvitanic, E. Jouini and M. Musiela, eds: 67-104.

René Garcia and Eric Renault, 2001, “Latent Variable Models for Stochastic Discount Factors”, Handbook of Mathematical Finance, Cambridge University Press.

Letter, notes, communications

2000

Jean-Marie Dufour, “Économétrie, théorie des tests et philosophie des sciences”, Présentations de l’Académie des lettres et des sciences humaines, Volume 53 (2000), Société royale du Canada/The Royal Society of Canada, Ottawa, 166-182.

Government communications

2005

Bernard J.-T., Lynda Khalaf, Kichian M. and S. McMahon. “Conditional Heteroskedasticity, Jumps, and Mean Reversion in Commodity Prices”. Revision Requested, Bank of Canada Working Papers.

Jean-Marie Dufour, Lynda Khalaf, Maral Kichian, “Structural Estimation and Evaluation of Calvo-Style Models for Inflation Dynamics”, Discussion Paper, Bank of Canada and CIRANO, 2005, 25 pages. Submitted to Journal of Economic Dynamics and Control.

B) Non-refereed contributions

1. Papers in non-refereed conference proceedings

2005

Éric Renault, F. Chabi-Yo and D. Leisen, “Implications of Asymmetry Risk for Portfolio Analysis and Asset Pricing”, Presented at Winter Meeting of the Econometric Society, Philadelphia, 2005.

Éric Renault, C. Gourieroux, P. Gagliardini, “Efficient Derivative Pricing by Extended Method of Moments”, Accepted for presentation at the World Congress of the Econometric Society, London, 2005.

2. Theses

In progress

Director: René Garcia. Tsafack Kemassong, Georges: “Nonlinear Dependence Modeling, Risk Management and Portfolio Choice”, PhD Dissertation (Economics, Université de Montréal, in progress, co-directed with Eric Renault).

Director: René Garcia. Felx, Christian, “Dynamique des rendements et gestion de la dette publique”, PhD Dissertation (Economics, Université de Montréal, in progress, co-directed with Benoît Perron).

Director: René Garcia. Tchana Tchana, Fulbert, “Essays in Economic Growth and Financial Markets ”, PhD Dissertation (Economics, Université de Montréal, in progress, co-directed with Rui Castro).

Director: René Garcia. Akaffou, Isabelle, “Liquidité, Stratégies des acteurs et Contagion sur les marchés financiers”, PhD Dissertation (Economics, Université de Montréal, in progress, co-directed with Michel Poitevin).

Director: René Garcia. Blais, Sébastien, “Analyse Bayésienne des modèles de structure à terme”, PhD Dissertation (Economics, Université de Montréal, in progress, co-directed with William McCausland).

Director: René Garcia. Tedongap Nguefack, Roméo Raymond, “Time-Varying Consumption Volatility, Long Run Risk and Cross-sectional Expected Returns,” (Economics, Université de Montréal, in progress, co-directed with Nour Meddahi).

Director: René Garcia. Chaker, Selma, “Econometric methods for asset pricing bounds,” (Economics, Université de Montréal, in progress, co-directed with Nour Meddahi).

Director: René Garcia. Fontaine, Jean-Sébastien, “Term Structure of Interest Rates, Risk Premia and the Macroeconomy,” (Economics, Université de Montréal, in progress).

Director: Jean-Marie Dufour. Doko Tchatoka, Firmin: Ph.D. student (Economics, Université deMontréal) – Exogeneity,weak identification and instrument selection.

Director: Jean-Marie Dufour. Stevanovic, Dalibor: Ph.D. student (Economics, Université de Montréal) – Factor models and VARMA modellling in economics and finance.

Director: Jean-Marie Dufour. Scheufele; Rolf: Ph.D. student (Economics, Institut für Wirtschaftsforschung Halle, Germany) – New Keynenian Phillips curves in Europe.

Director: Jean-Marie Dufour. Tymkiv, Roman: Ph.D. student (Economics, Université de Montréal). Joint supervision with William Mc- Causland.

Director: Jean-Marie Dufour. Liang, Xin: Ph.D. student (Economics,McGill University).

Director: Jean-Marie Dufour. Zhang, Hui Jun: Ph.D. student (Economics,McGill University).

Director: Jean-Marie Dufour. Zhu, Jingmei: Ph.D. student (Economics,McGill University).

Director: Jean-Marie Dufour. Tarek Jouini, Ph.D. student (Economics, Université de Montréal) _ Finite-sample inference and bootstrap methods in VAR and VARMA models, with macroeconomic applications.

Director: Jean-Marie Dufour. Mame Astou Diouf, Ph.D. student (Economics, Université de Montréal) _ Statistical analysis of poverty and inequality measures.

Director: Jean-Marie Dufour. Bouhaddioui, Chafik: Post-doctoral fellow from the Department of Mathematics and Statistics (Université de Montréal, 2001). Research on “Tests for cross-autocorrelation and causality in weak VARMA models”, 2002-2003

Director: Silvia Gonçalves. Prosper Dovonon: "Les modèles à facteurs hétéroscédastiques", in preparation (co-supervision with Éric Renault).

Director: Éric Renault. B. Antoine Ph. D., Economics, University of Montreal, Current employment: Simon Fraser University, Vancouver, Canada.

Director: Marine Carrasco. Rachidi Kotchoni (current PhD student, Université de Montréal) “Efficient estimation using the characteristic function”.

Director: Marine Carrasco. Lonege Ogisma (finished in June 2007) “Politique monétaires, crises politiques et inflation en Haiti”.

Director: Marine Carrasco. Su Tan (finished in December 2007) “Investigating the law of one price by using a threshold model”.

Director: Marine Carrasco. Damien Chambre (current) “Fonctions de perte et modèles d’évaluation d’options” Farah Hadj Ali (current)

2009

Director: Jean-Marie Dufour. Abderrahim Taamouti, Ph.D. student (Economics, Université de Montréal) _ Econometric problems in macroeconomicsd and finance: causality measures, volatility asymmetry and financial risk. September 2007.

2007

Director: Jean-Marie Dufour. Élise Coudin, Ph.D. student (Economics, Université de Montréal). Finite-sample distribution-free inference in regression and structural models under heteroskedasticity of unknown form. June 2007.

2004

Director: Jean-Marie Dufour. Emma Iglesias, Postdoctoral fellow (Ph.D. Economics, University of Wales, U.K.) "Finite-sample and optimal inference in possibly nonstationary volatility models with gaussian and heavy-tailed disturbances".

Director: René Garcia. Semenov, Andrei: “Incomplete Markets, Habit Formation and Asset Pricing”, PhD Dissertation (co-directed with Eric Renault).

Director: René Garcia. Chabi-Yo, Fousseni Damien: “Variables d’état, facteurs d’actualisation stochastique et évaluation dans des modèles d’arbres” ( co-directed with Eric Renault).

Director: Nour Meddahi. Pelletier, Denis: “Multivariate GARCH Models” (co-director with Jean-Marie Dufour).

2001

Director: René Garcia. Luger, Richard: “Asymmetries in Macroeconomic and Financial Relationships, PhD Dissertation (Economics, Université de Montréal, June 2001, co-directed with Jean-Marie Dufour).

2000

Director: René Garcia. Marcel Rindisbacher: “Essays on Differential Information in Financial Markets”, PhD Dissertation (Economics, Université de Montréal, June 2000).

3. Technical and internal reports

2007

Jean-Marie Dufour, “Measuring Causality between Volatility and Returns with High-Frequency Data” (with René Garcia and Abderrahim Taamouti), Discussion Paper, CIRANO and CIREQ, Université de Montréal, 57 pages.

Jean-Marie Dufour, “Short and Long Run Causality Measures: Theory and Inference” (with Abderrahim Taamouti), Discussion Paper, CIRANO and CIREQ, Université de Montréal, 49 pages.

Jean-Marie Dufour, “Finite sample distribution-free inference in linear median regressions under heteroskedasticity and nonlinear dependence of unknown form” (with Élise Coudin), Discussion Paper, CIRANO and CIREQ, Université de Montréal, 61 pages.

Jean-Marie Dufour, “Robust sign-based estimators in median regressions under heteroskedasticity and nonlinear dependence of unknown form” (with Élise Coudin), Discussion Paper, CIRANO and CIREQ, Université de Montréal, 60 pages.

Jean-Marie Dufour, “A semiparametric test for independence of two infinite order cointegrated autoregressive series” (with Chafik Bouhaddioui), Discussion Paper, CIRANO and CIREQ, Université de Montréal, 33 pages.

Jean-Marie Dufour, “Practical Methods for Modelling Weak VARMA Processes: Identification, Estimation and Specification with a Macroeconomic Application” (with Denis Pelletier), Discussion Paper, CIRANO and CIREQ, Université de Montréal, 49 pages.

Jean-Marie Dufour, “Finite Sample and Optimal Inference in Possibly Nonstationary General Volatility Models with Gaussian and Heavy-Tailed Errors” (with Emma Iglesias), Discussion Paper, CIRANO et CIREQ, Université de Montréal, 41 pages.

T. Andersen and T. Bollerslev and Nour Meddahi, "Market Microstructure Noise and Realized Volatility Forecasting".

S. Goncalves and Nour Meddahi, "Box-Cox Transforms for Realized Volatility"

C. Bontemps and Nour Meddahi, "Testing Distributional Assumptions: A GMM Approach",.

2006

Jean-Marie Dufour, David Tessier, “Short-run and long-run causality between money and stock prices”, Discussion Paper, Bank of Canada and CIRANO, 2006, 31 pages

René Garcia and Antonio DIEZ DE LOS RIOS"Assessing and Valuing the Nonlinear Structure of Hedge Fund Returns" (2006), 56 pages, working paper.

René Garcia, Nour MEDDAHI and Romeo TEDONGAP, "An Analytical Framework for Assessing Asset Pricing Models and Predictability" (2006), 69 pages, working paper.

René Garcia, Richard LUGER, "The Canadian Macroeconomy and the Yield Curve: An Equilibrium-Based Approach" (2006), 51 pages, working paper.

René Garcia, Marcel BOYER and M. Martin BOYER, "The Value of Real and Financial Risk Management" (2006), 35 pages, working paper.

René Garcia, Susan CHRISTOFFERSEN, Richard EVANS and David MUSTO, "What Determines the Value of Assets Under Management?" (2006), 37 pages, working paper.

René Garcia, Éric Renault and D. Veredas, (2003, revision 2006), “Estimation of Stable Distributions by Indirect Inference”, manuscript, CIRANO, CIREQ and Université de Montréal, 42 pages. WP revision.

René Garcia, Lewis, M.A. and Éric Renault, 2001, “Estimation of Objective and Risk-neutral Distributions based on Moments of Integrated Volatility”, Discussion Paper, CIRANO. WP.

Jérôme Detemple, W. Tian and J. Xiong, "Optimal Stopping with Reward Constraints", working paper, Boston University, June 2006.

Bernard J.-T., Lynda Khalaf, Kichian M. and S. McMahon “Forecasting Commodity Prices: Jumps, GARCH and Mean Reversion”. Bank of Canada Working Paper 2006-14.

Jérôme Detemple and Marcel Rindisbacher, “Asset Allocation with Borrowing Constraints”.

nd Marcel Rindisbacher, “Optimal Portfolios, Term Structure and Wealth Effects”.

Jérôme Detemple and Marcel Rindisbacher, “A Filtered Clark-Ocone Formula and Applications”.

R. Garcia, Nour Meddahi and R. Tedongap) "An Analytical Framework for Assessing Asset Pricing Models and Predictability", May 2006.

Marcel Rindisbacher, “Insider Information and Equilibrium in Financial Markets”.

Marcel Rindisbacher and Christian Dery, “Active Bond Portfolio Management Strategies”.

Marcel Rindisbacher, Jérôme Detemple, René Garcia and P. Zerilli, “The Volatility and Jump Sensitivity of Stock Prices in Markovian Economies with Event Risk”.

Marcel Rindisbacher, Jérôme Detemple and René Garcia “Portfolio choice in Markovian Markets with Jumps”.

Marcel Rindisbacher and G. Kursteiner, “Simulation Based Inference for Jump Diffusions”.

2005

Jean-Marie Dufour, Mame Astou Diouf, “Improved Nonparametric Inference for the Mean of a Bounded Random Variable with Application to Poverty Measures”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2005, 38 pages.

Jean-Marie Dufour, Tarek Jouini, “Finite-sample simulation-based tests in VAR models with applications to order selection and causality testing”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2005, 28 pages. Shorter version published in the Journal of Econometrics.

Lynda Khalaf and M. Kichian “Structural Change and the Pass-through: The case of Canada”, Bank of Canada Working Paper 2006-2.

Jean-Marie Dufour, Jeong-Ryeol Kim, “Exact tests and confidence sets for the tail coefficient of symmetric ®-stable distributions”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, and Research Department, Deutsche Bundesbank, 2004, 18 pages.

Nour Meddahi, Farid Gasmi and Quang Vuong, "The Applied Side of Jean-Jacques Laffont's Economics", Revue d'Economie Politique, 2005, 115, 309-336.

2004

Bernard, J.T., Jean-Marie Dufour, Lynda Khalaf and M. Kichian, 2004, “Structural Change and Forecasting Long-Run Energy prices”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, 18 pages. WP_BoC.

Chabi-Yo, F., René Garcia and Éric Renault, 2004, “State dependence in Fundamentals and Preferences Explains Risk Aversion Puzzle”, manuscript, CIRANO, CIREQ and Université de Montréal, 25 pages.

Comte, F., Coutin, L. and Éric Renault, 2004, “Fractional Stochastic Volatility Models”, manuscript, CIREQ, Université de Montréal.

Jean-Marie Dufour and J.-R. Kim, 2004, “Exact tests and confidence sets for the tail coefficient of symmetric ?-stable distributions”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, and Research Department, Deutsche Bundesbank, 18 pages.

Lynda Khalaf and M. Kichian, 2004, “Estimating New Keynesian Phillips Curves Using Exact Methods”, Bank of Canada Working Paper 2004-11. WP_BoC.

Éric Renault and B. Werker, 2004, “Stochastic Volatility Models with Transaction Time Risk”, manuscript, CIREQ, Université de Montréal. WP_TILBURG.

2003

* Beaulieu, M.-C. Jean-Marie Dufour and Lynda Khalaf, 2003, “Testing the CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, Discussion paper, Université de Montréal. WP_UDM.

Beaulieu, M.-C. Jean-Marie Dufour and Lynda Khalaf, 2003a, “Finite Sample Diagnostics in Multivariate Regressions with Applications to Asset Pricing Models”, Discussion paper, CIRANO and CIREQ, Université de Montréal, 34 pages. WP_UDM.

* Bouhaddioui, C. and Roch Roy, 2003a, “On the distribution of the residual cross-correlations between two uncorrelated infinite order vector autoregressive series”, Technical Report CRM-2924, Université de Montréal. Submitted to Statistics and Probability Letters. WP_CIRANO.

* Bouhaddioui, C. and Roch Roy, 2003b, “A Generalized Portmanteau Test for Independence Between Two Multivariate Infinite Order Autoregressive Series”, Technical Report CRM-2936, Université de Montréal. WP_CIRANO.

* Jean-Marie Dufour, Farhat, A. and Lynda Khalaf, 2003, “Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression”, CIRANO and CIREQ, Université de Montréal, 2003, 20 pages. WP.

* Jean-Marie Dufour and Tarek Jouini, 2003a, “Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2003, 34 pages. WP.

* Jean-Marie Dufour and M. Taamouti (2003), “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, Discussion Paper, C.R.D.E., Université de Montréal, 42 pages. WP.

* Jean-Marie Dufour and M. Taamouti (2003b), “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models” Discussion Paper, C.R.D.E., Université de Montréal, 43 pages. WP.

Jean-Marie Dufour, Farhat, A. and Lynda Khalaf, 2003, “Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression”, CIRANO and CIREQ, Université de Montréal, 2003, 20 pages. WP.

Jean-Marie Dufour and Lynda Khalaf, 2003, “Simulation-Based Finite-Sample Inference in Simultaneous Equations”, Technical Report, CIREQ, Université de Montréal. WP.

Jean-Marie Dufour, Lynda Khalaf and M.-C. Beaulieu, 2003, “Finite Sample Diagnostics in Multivariate Regressions with Applications to Asset Pricing Models”, Discussion Paper, CIRANO and CIREQ, Université de Montréal. WP_UDM.

Jean-Marie Dufour and M. Neifar, 2003, “Exact simulation-based inference for autoregressive processes based on induced tests”, discussion paper, CIRANO and CIREQ, Université de Montréal, 8 pages. WP.

Jean-Marie Dufour and M. Taamouti, 2003c, “On Methods for Selecting Instruments”, Technical Report, CIREQ, Université de Montréal.

* Francq. C., Roch Roy and J.-M. Zakoïan, 2003, “Goodness-of-fit tests for ARMA models with uncorrelated errors”, Technical Report CRM-2925, Université de Montréal,. Submitted to The Journal of the American Statistical Association, revision requested.

René Garcia, Luger, R. and Éric Renault, 2003, “Pricing and Hedging Options with Implied Asset Prices and Volatilities”, manuscript, CIRANO, CIREQ and Université de Montréal, 29 pages. WP_CIREQ.

* Marcel Rindisbacher, 2002, “Insider Information, Arbitrage and Optimal Portfolio and Consumption Policies”, submitted to Journal of Economic Theory. WP.

2002

* Andersen, T., Bollerslev, T. and Nour Meddahi, 2002b, “Correcting the Errors: A Note on Volatility Forecast Evaluation based on High-Frequency Data and Realized Volatilities”, revised for Econometrica. WP_UDM.

* Beaulieu, M.-C. Jean-Marie Dufour and Lynda Khalaf, 2002b, “Testing Black’s CAPM with Possibly Non-Gaussian Error Distributions: An Exact Simulation-Based Approach”, Discussion Paper, Université de Montréal, 41 pages. WP.

* Bontemps, C. and Nour Meddahi, 2002, “Testing Distributional Assumptions: A GMM Approach’’ submitted. WP.

* Bontemps, C. and Nour Meddahi, 2002, “Testing Person's Distributions”, Discussion Paper.

* Campbell B., Nour Meddahi and E. Sentana, 2002, “Understanding Long-Horizon Predictability of Asset Returns”, Discussion Paper.

* Jean-Marie Dufour, Lynda Khalaf, J.-T. Bernard and I. Genest, 2002, “Finite Sample Tests for ARCH Effects and Variance Chage-Points in Linear Regression”, Proceedings of the Business and Economic Statistics Section of the America Statistical Association, Washington, DC , 851-856.

* Jean-Marie Dufour, and M. Neifar, 2002, “Méthodes d'inférence exactes pour un modèle de régression avec erreurs AR(2) gaussiennes.”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2003, 28 pages. WP.

* Jean-Marie Dufour, D. Pelletier, 2002, “Linear Methods for Estimating VARMA Models with a Macroeconomic Application”, Proceedings of the Business and Economic Statistics Section of the American Statistical Association, Washington, DC, 2659-2664.

* Jean-Marie Dufour and A. Trognon, 2002, “Invariant Tests Based on M-estimators, Estimating Functions, and the Generalized Method of Moments”, Discussion Paper, Université de Montréal, 27 pages. WP.

* René Garcia, Éric Renault and A. Semenov, 2002, “A Consumption Capital Asset Pricing Model with a Reference Level” manuscript, CIRANO, 33 pages.

* Nour Meddahi, 2002a, “Moments of Continuous Time Stochastic Volatility Models’’, Discussion Paper. WP.

* Nour Meddahi, 2002b, “Moving-Average Roots of a Two-Factor Models”, Discussion Paper.

* Nour Meddahi, 2002c, “ARMA Representation of Two-Factor Models”, submitted to the Journal of Time Series Analysis. WP.

* Nour Meddahi, 2002d, “ARMA Representation of Integrated and Realized Variances”, submitted. WP.

Hyungsik Roger Moon and Benoit Perron, 2002, “The Seemingly Unrelated Dynamic Cointegration Regression Model and Testing for Purchasing Power Parity”, Discussion paper, Université de Montréal, submitted to Journal of Applied Econometrics (revisions requested). WP_UDM.

Hyungsik Roger Moon and Benoit Perron, 2002, “Testing for a Unit Root in panels with Dynamic Factors”, Discussion paper, 56 pages, submitted to Journal of Econometrics. WP_UDM.

Lynda Khalaf and M. Kichian, 2002 “Simulation-Based Tests of Pricing-to-Market”, in: Kontoghiorghes E., Rustem B. and Siokos S. (Eds). Computational Methods in Decision-Making, Economics and Finance, the Kluwer Applied Optimization Series, forthcoming.

2001

* Bandi, F. and Benoit Perron, 2001, “Long Memory and the Relation Between Implied and Realized Volatility”, Discussion paper, 33 pages. WP.

* Bonnal H. and Éric Renault, 2001, “Minimum chi-square and Conditional Moment Restrictions”, Discussion Paper presented at the CESG, Waterloo.

* Jean-Marie Dufour, and A. Farhat, 2001a, “Goodness-of-Fit Tests for Known Distributions Other the Normal Based on Monte Carlo Methods”, Discussion Paper, CIRANO and C.R.D.E., Université de Montréal, 25 pages.

* Jean-Marie Dufour and A. Farhat, 2001b, “Simulation Tests and Diagnostics for Outliers in Linear Regressions”, Discussion Paper, CIRANO and C.R.D.E., Université de Montréal, 37 pages.

* Jean-Marie Dufour and A. Farhat, 2001c, “Test of Independence Based on Simulations”, Discussion Paper, CIRANO and C.R.D.E., Université de Montréal, 33 pages.

* Jean-Marie Dufour and Lynda Khalaf, 2001, “Simulation-Based Finite and Large Sample Inference Methods in Simultaneous Equations”, Discussion Paper, Université de Montréal, 32 pages.

* Jean-Marie Dufour and P. Valéry, 2001, “Exact Monte Carlo Tests Applied to Models Estimated by Indirect Inference and Efficient Method of Moments”, Discussion Paper, CIRANO and C.R.D.E., Université de Montréal, 46 pages.

* René Garcia, Luger, R. and Éric Renault, 2001, “Asymmetric Smiles, Leverage Effects and Structural parameters”, Discussion Paper, CIRANO 2001s-01, 48 pages. WP.

* Nour Meddahi, 2001a, “Aggregation of Long Memory Processes”, Discussion Paper, 20 pages.

* Nour Meddahi, 2001b, “An Eigenfunction Approach for Volatility Modeling”, submitted. WP.

Benoit Perron, 2001a, “Jumps in the Volatility of Financial Markets”, Discussion Paper, Université de Montréal. WP.

Benoit Perron, 2001b, “Jumps in the Conditional Variance of Financial Markets”, submitted to Journal of Business and Economics Statistics (revisions requested).

Éric Renault, René Garcia and É. Ghysels, 2001, “Option Pricing Models”, Handbook of Financial Econometrics (revisions requested).

Doz, C., and Éric Renault, « Conditionally Heteroskedastic Factor Models: Identification and Instrumental Variables Estimation" , Discussion paper (2001), CIRANO.

2000

* Darolles S., J.P. Florens and Éric Renault, 2000, “Nonparametric Instrumental Variables”, Working Paper CREST 2000.17, submitted to Econometrica (revision requested).

* Jérôme Detemple, S. Govindaraj and M. Loewenstein, 2000, “Optimal Contracts and Intertemporal Incentives”.

Lynda Khalaf and M. Kichian 2000. “Testing the Pricing-to-Market Hypothesis: Case of the Transportation Equipment Industry”, Bank of Canada Working Paper 2000-8.

4. Industrial reports

n.a.