- Project Leader:
- Dr. Jean-Marie Dufour
(McGill University), William Dow Professor of Economics and Econometrics
Jean-Marie
Dufour
Department: Department of Economics
University: McGill University
Leacock Building, Room 519
855 Sherbrooke Street West
Montréal, Québec H3A 2T7, Canada
Phone Number: (514) 398 8879
Fax Number: (514) 398 4938
E-mail Address: jean-marie.dufour@mcgill.ca
Web Page: http://www.jeanmariedufour.com
Areas of Expertise: Statistics, econometrics,
finance. Dufour currently holds the William Down Chair in
Economics at Mcgill University. His research covers a wide array of topics related to the
statistical methodology for analyzing time series data in econometrics,
especially in finance and macroeconomics. His current research include:
(1) simulation-based finite-sample as well as more reliable
large-sample inference methods in econometrics and finance; (2)
techniques for analyzing structural models; (3) causality analysis in
multivariate time series; (4) linear methods for estimating univariate
and multivariate GARCH models; (4) inference on capital asset pricing
models (CAPM) under non-normality; (4) finite-sample and robust
techniques for analyzing stable Paretian data.
Jean-Marie Dufour holds the William Dow Chair Chair in Economics at
McGill University. Between 2001 and 2007, he has held the Canada
Research Chair in Econometrics at the Université de
Montréal. He is a Fellow of the American Statistical Association
(2005) and of the Econometric Society (1999), an elected member of the
International Statistical Institute, Fellow of the Royal Society of
Canada, and Fellow of the Journal of Econometrics. During 1998-2000, he
held Killam Research Fellowship (Canada Council for the Arts) for
working on simulation-based statistical methods in Econometrics. He has
won the first edition of the Rae Prize (for outstanding research) of
the Canadian Economics Association in 1994, and twice the Prize of the
Société canadienne de science économiques (1988,
2000). He is a past President of the Canadian Economics Association
(2002-2003) and the Société canadienne de science
économique (1999-2000). He is Officer of the National Order of
Québec, and he has won the Killam Prize for Social Sciences. He
is Guggenheim Fellow, 2006-2007 and Bank of Canada Research Fellow,
2007-2012.
He also holds several editorial positions:
Associate Editor, Econometrica, 1996 – 2002.
Associate Editor, Journal of Econometrics, 1994 -
Associate Editor, Annales d’Économie et de Statistique, 1990 -
Currently supervised Ph. D. students and recent
postdoctoral students:
- Tarek Jouini: Ph.D. student (Economics,
Université de Montréal) – Finite-sample inference and
bootstrap methods in VAR and VARMA models, with macroeconomic
applications. Assistant Professor, Department of Economics, University
of Windsor, July 2006 -
- Mame Astou Diouf: Ph.D. student (Economics, Université de
Montréal) – Statistical analysis of poverty and inequality
measures. Economist, International Monetary Fund, Washington.
- Doko Tchatoka, Firmin: Ph.D. student (Economics, Université de
Montréal) – Exogeneity, weak identification and instrument
selection.
- Stevanovic, Dalibor: Ph.D. student (Economics, Université de
Montréal).
- Treyens, Pierre-Éric: Post-doctoral student, McGill University
and Université de Montréal [Ph.D., 2007, GREQAM,
Université de la Méditerranée, Marseille, France]
– Bootstrapping of quantile regressions.
Marine Carrasco
Department: Département de sciences
économiques
University: Université de Montréal
C.P. 6128, succursale centre-ville
Montréal (Québec) H3C 3J7
Phone Number: (514) 343-2394
Fax Number: (514) 343-5831
Email address: marine.carrasco@umontreal.ca
Web page: http://www.sceco.umontreal.ca/liste_personnel/carrasco.htm
Areas of Expertise: Carrasco has a PhD in applied
mathematics from the University of Toulouse and specializes in
developing statistical methods for financial applications. Carrasco’s
research interests are (i) the estimation of financial dynamic models
using the characteristic function, (ii) the method of moments with a
large number of moments, (iii) inverse problems in econometrics, (iv)
unit root tests against nonlinear alternatives, (v) optimal tests for
the stability of parameters and their applications in finance and
macroeconomics, (vi) the ergodicity and mixing properties of nonlinear
processes, (vii) nonparametric estimation of the density in
convolution. Carrasco has developed and maintains a webpage on “inverse
problems in econometrics” at the Université de Montréal.
Member of the program committee of the European
Econometric Society Meeting, Vienna, August 2006.
Member of the Econometric Society.
Co-organizer of the CIREQ Time Series conference, Montreal, December
2006.
Currently supervised graduate student:
PhD dissertation supervision:
- Co-advisor of Liang Hu (PhD completed in May 2006, University of
Rochester).
- Advisor of Rachidi Kotchoni (current PhD student, Université
de Montréal).
Master thesis supervision:
- Lonege Ogisma (completed September 2007)
- Su Tan (current)
René Garcia
Department: Accounting,Law and Finance Department
University: Edhec Business School
393, Promenade des Anglais,
BP 3116
06202 Nice Cedex 3
France
Phone Number: (0) 493187802
Fax Number: (0) 493187841
Email address: rene.garcia@edhec.edu
Web page: http://www.cirano.qc.ca/cv.php?coderelation=1115
Areas of Expertise: Garcia’s research focuses on:
(i) the econometrics of option pricing using parametric and
nonparametric approaches; (ii) the computation of optimal asset
allocations by Monte Carlo methods; (iii) intertemporal asset pricing
models involving estimation of preference parameters; (iv) integrated
risk management. In his current work, he evaluates the importance of
preference parameters for option pricing, develops practical multiasset
models for dynamic asset allocation, and builds an integrated risk
management framework in the context of stable Paretian
distributions.
Editor, Journal of Financial Econometrics, Oxford university Press,
November 2000-present.
Editor, Annals Issue of the Journal of Econometrics, 1998.
Associate Editor, L’Actualité Économique, May 1996-May
1999.
Associate Editor, Canadian Journal of Economics, June 1998-2001.
Associate Editor, Studies in Nonlinear Dynamics and Econometrics,
October 2000-present.
René Garcia was awarded the Hydro-Québec
Chair in Integrated Risk Management and Mathematical Finance on May 28,
2003.
Theses and research reports currently supervised:
Ph.D. Dissertations and post-doctoral students
Felx, Christian : “Dynamique des rendements et
gestion de la dette publique”, Ph.D. Dissertation (Economics,
Université de Montréal, in progress, co-directed with
Benoit Perron)
Tchana Tchana, Fulbert: “Essays in Economic Growth
and Financial Markets”, Ph.D. Dissertation (Economics,
Université de Montréal, in progress, co-directed with Rui
Castro).
Tsafack Kemassong, Georges : “Nonlinear Dependence
Modeling, Risk Management and Portfolio Choice” Ph.D. Dissertation
(Economics, Université de Montréal, in progress,
co-directed with Eric Renault).
Demers, Jean-Guy (HEC): la gestion de risque et les
prévisions de prix sur les marchés de
l'électricité et du gaz naturel.
Masters Students:
Assabane, Jaouad, “Risque des enterprises du secteur
éniergétique et utilisation des produits
dérivés”, in progress.
Benhamida, Said , “Modèle de risque de
crédit avec changement de régime, in progress.
Zhou, Yan, “Diversification limitée par
absence de vente à découvert : le cas chinois”, in
progress
Sílvia Gonçalves
Department: Département
de sciences économiques
University: Université de Montréal
C.P. 6128, succursale centre-ville
Montréal (Québec) H3C 3J7
Phone Number: (514) 343-6556
Fax Number: (514) 343-5831
Email address:
silvia.goncalves@umontreal.ca
Web page: http://www.sceco.umontreal.ca/liste_personnel/goncalves.htm
Areas of Expertise: Econometrics, Time Series
Analysis, Financial Econometrics.
Graduate students supervision
Ph.D. Students:
Prosper Dovonon, Ph.D.: "Les modèles à facteurs
hétéroscédastiques" (co-supervision
with Éric Renault).
Pierre-Eric Treyens, Post-doc, Ph.D. Universite de la Mediterranee,
Marseille.
Lynda Khalaf
Department: Economics Department
University: Carleton University,
Loeb Building 1125 Colonel By Drive,
Ottawa, Ontario, K1S 5B6 Canada.
Phone Number: (613) 520-2600-8697
Fax Number: (613)-520-3906
Email address: Lynda_Khalaf@carleton.ca
Web page: http://www.carleton.ca/economics/Faculty/KhalafL.htm
Areas of Expertise: Statistics and Econometrics.
Khalaf [Full Professor, Economics, Université Laval] specializes
in econometrics. Her current research focuses on: exact inference
methods, and re-sampling based tests. Her research work was published
in leading economics journals (Journal of Econometrics, American
Journal of Agriculture Economics, Econometrics Journal), and in
reference volumes written by international experts on re-sampling based
econometrics. She is presently on the board of the Societé
Canadienne de Science Économique whose responsibilities include
organizing the society’s annual scientific meetings.
Graduate students supervision
Masters Students:
Mark Blanchette (Committee Member, Carleton
University). Thesis: Robust Daily Exchange Rate Forecasting.
Ph.D. Student:
Yameogo, Nadège-Désirée
(Committee Member, Université Laval). Thesis: Analyse de la
demande résidentielle d'électricité à
partir d'enquêtes indépendantes: correction de biais de
sélection et d'endogénéité dans un contexte
de classes latentes.
Fallahi, Firouz (Committee Member, University of
Ottawa). Thesis: Three Essays on Applied Time Series Econometrics
Gagnon, Marie-Hélène (Co-director,
Université Laval), 01-2005, --. Thesis : Financial Market
Integration and Political Convergence in North America.
Amedah, Sid Ali (Co-director, Université
Laval). 09-2004, --.
Regular member, centre de recherche et
développement en économique [CRDE-CIREQ]
université de Montréal, summer 2001 to date.
Member of : Econometric Society, American Statistical
Association, Society for Computational Economics, Société
Canadienne de Science Économique, Canadian Economic Association.
Member of the « conseil exécutif de la
Société Canadienne de Science Économique »,
May 2000 to date.
Evaluator for the U.S. National Science Foundation,
Fall 1999, and for the Social Sciences and Humanities Research Council
of Canada, Fall 2000.
Member of Evaluation Committee, Social Sciences and
Humanities Research Council of Canada, Postdoctoral Grants, 2002-2003
competition.
Member of the Evaluation Committee of the Masters
Program, Institut National de la Recherche Scientifique, INRS-EAU,
Québec, Canada, 2002.
Referee for:
Actualité économique, 1997, 1999.
Canadian Journal of Agriculture Economics, 1999, 2000.
Companion to Theoretical Econometrics, Blackwell, 1999.
Computer-Aided Econometrics, 2000.
Computational Methods in Decision-Making, Economics and Finance, the
Kluwer Applied Optimization Series, 2001.
Econometric Reviews. 1996, 1999.
Econometrics Journal, 1999.
Journal of Econometrics, 1996, 1999, 2001, 2002.
Journal of Economic Dynamics and Control, 1999.
Mathematical Social Science, 2001.
Communications in Statistics and Data Analysis, 2001, 2002.
Energy Studies Review, 2002.
Benoit Perron
Department: Département de sciences
économiques
University: Université de Montréal
C.P. 6128, succursale centre-ville
Montréal (Québec) H3C 3J7
Phone Number: (514) 343-2126
Fax Number: (514) 343-5831
Email address: benoit.perron@umontreal.ca
Web page: http://www.sceco.umontreal.ca/liste_personnel/perron.htm
Areas of Expertise: Perron’s research area is the
econometric analysis of time series, in particular financial data. In
particular, he applies and extend nonparametric statistical techniques
to estimate risk premia as a function of the risk of the assets
considered and to detect the presence of jumps in the volatility of
assets. In addition, he develops estimation and inference methods
applicable to special particular financial problems such as testing for
purchasing power parity using panels of real exchange rates and the
relation between volatility implied in option prices and future
volatility.
Member of the Program Committee; Canadian Econometrics
Study Group, 1999
Associate Editor, Canadian Journal of Economics
Membre du comité scientifique de l'IFM2
Membre du comité éditorial de Empirical Economics
Currently supervised students:
Felx, Christian: (Ph.D. Econometrics and Finance,
Université de Montréal).
Marcel Rindisbacher
Department: Joseph L. Rotman School of
Management
University: University of Toronto
105 St. George Street
Toronto
Ontario M5S 3E6
Phone Number: (416) 946-5647
Fax Number: (416) 971-3048
Email address: rindisbm@rotman.utoronto.ca
Web page: http://mgmt.utoronto.ca/finance/faculty/rindisbacher.htm
Areas of Expertise: Rindisbacher research
interests are in financial economics, mathematical finance, financial
econometrics and computational finance. Recent theoretical research
projects in financial economics are on financial markets with
asymmetric information and the question of viability in such markets
using techniques from the theory of enlargement of filtration. Another
field of interest is optimal dynamic asset allocation using Monte Carlo
techniques and weak convergence theory for simulation based methods in
financial engineering and for simulation based inference methods.
Awarded seed / travel grant
Awarded the Connaught Automatic grant
Awarded Connaught Matching grant
Awarded SSHRC grant
Supervision of PhD Students
Vladimir Surkov, PhD Student Computer Science, PhD in
progress.
Bill Bobey, PhD Student at Rotman, PhD in progress.
Hakan Bal, PhD Student at Rotman, PhD in progress,
joint supervision.
Andras Fulop, PhD Student at Rotman, PhD in progress,
joint supervision.
Xiaofeng Ma, PhD Student Computer Science, PhD in
progress, joint supervision.
Supervision of MSc Students
Vinet Gupta, MBA 2005, sole supervision
Pradeep Sukumara, MBA 2005, sole supervision.
Anna Mitrenga, MBA 2005, sole supervision.
Christian Déry, MBA 2004, sole supervision.
Team members from a non-Canadian
university:
Jérôme Detemple
Department: School of Management
University: Boston University
595 Commonwealth Avenue
Boston, MA 02215, USA
Phone Number: (617) 353-4297
Fax Number: (617) 353-6667
Email address: detemple@bu.edu
Areas of Expertise: Detemple is a specialist of
mathematical finance. His research focuses on: (i) the valuation of
American-style derivative securities, (ii) the numerical implementation
of asset allocation rules, and (iii) the impact of frictions on asset
prices and consumption-portfolio decisions. In his current work, he
seeks to develop more general preference models incorporating habit
formation and to examine asset prices and consumption-portfolio choices
under these specifications.
Co-Editor, Mathematical Finance, 2006 -
Associate Editor, Management Science, 2001 -
Associate Editor, Review of Financial Studies, 1999 – 2002.
Associate Editor, Finance, 1999 - .
Associate Editor, Mathematical Finance, 1997 –
Support Board, Fineco, 1992 -
Member of selection committee, European Finance Association meeting.
Helsinki, 1999; London, Aug. 2000; Barcelona, Aug. 2001; Berlin, August
2002; Glasgow, August 2003; Maestrich, August 2004; Moskow, August
2005.
Member of selection committee, American Finance Association meeting.
Boston, January 2000; Atlanta, January 2002.
Nour Meddahi
Department: Toulouse School of Economics
University: Université de Toulouse
21 allée de Brienne
Manufacture des Tabacs
Toulouse
3100 France
Phone Number: 33 (0) 5 61 12 85 63
Fax Number: 33 (0) 5 61 12 86 37
Email address: meddahi@cict.fr
Web page: http://gremaq.univ-tlse1.fr/perso/meddahi/
Areas of Expertise: Meddahi’s main research
interest of my research consists in modeling, developing statistical
inference procedures and forecasting financial series, in particular
their volatility which is central in finance. The problems considered
include, in both discrete and continuous time: i) developing volatility
models that are robust with respect to temporal and cross-sectional
aggregations; ii) allowing for the presence of fat tails; iii)
nonlinear state space models; iv) estimation and inference procedures
for all the previous models; v) diagnostic tools which are robust to
autocorrelation, heteroskedasticity or preliminary estimation; vi)
computing explicit formulae for unconditional and conditional moments
of variables in continuous time models.
Currently supervised students:
Selma Chaker, Yahia Daoudi, Bruno Feunou-Kamkui,
Abderrahim Taamouti, Roméo Tedongap-Nguefack.
Éric Renault
Department: Department of Economics
University: University of North Carolina at Chapel
Hill
Gardner Hall
Chapel Hill
NC 27599-3305
Phone Number: (919) 966-5326
Fax Number: (919) 966-4986
Email address: renault@email.unc.edu
Web page: http://www.unc.edu/depts/econ/profiles/renault.htm
Areas of Expertise: Renault’s work deals with a
wide array of problems relating to inference on structural econometric
models and asset management. (A) Inference in structural econometric
models: Iterative and recursive inference in models with latent
variables; inference from option prices data; Semiparametric indirect
inference; Calibration and empirical assessment of misspecified
structural models; Nonparametric instrumental regression; Estimation of
probability distributions under conditional moment restrictions. (B)
Asset pricing and risk management: conditionally heteroskedastic factor
models; extreme values, value at risk and stable non gaussian
distributions; decentralized risk management; model risk in finance;
option pricing with latent variables and recursive preferences;
continuous time long memory stochastic volatility processes and option
pricing.
Editor, Journal of Financial Econometrics, Oxford
university Press, since 2003.
Member of the program committee of the meeting of the Economics
Society, World meeting, Seattle 2000
Fellow of the Econometric Society
Chairman of the Program (EC)2, Madrid, 1999
Associate Editor, Economics and Philosophy
Associate Editor Empirical Economics, since 2006
Associate Editor, Econometrica since 1997
Associate Editor, Journal of Econometrics since 1994
Associate Editor, Annales d'Économie et de Statistique since
1988.
Eric Renault was recently awarded a Canada Research
Chair in Financial Econometrics.
Currently supervised students:
Bonnal, Hélène: Empirical Likelihood
and Generalized Method of Moment (Ph. D., Statistics, Université
de Rennes, France).
Dovonon, Proper : “Multivariate Stochastic
Volatility Models with a Factor Structure”, Ph.D. Dissertation (in
progress)
Tsafack Kemassong, Georges : “Nonlinear Dependence
Modeling, Risk Management and Portfolio Choice” Ph.D. Dissertation
(Economics, Université de Montréal, in progress,
co-directed with René Garcia).
Veredas, David : “Estimation de lois stables”, Ph.D.
Dissertation (in progress, co-directed with René Garcia)
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