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Dufour, Jean-Marie's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
227 |
Total
Citations
2 |
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1.
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Dufour, Jean-Marie
McGill University Garcia, René
EDHEC Business School Taamouti, Abderrahim
Universidad Carlos III de Madrid
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109
(127,204)
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1
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Volatility asymmetry, leverage effect, volatility feedback effect, risk premium, variance risk premium, multi-horizon causality, causality measure, high-frequency data, realized volatility, bipower variation, implied volatility
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2.
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Beaulieu, Marie-Claude
Laval University - Centre de recherche en économie et finance appliquée (CRÉFA) Dufour, Jean-Marie
McGill University Khalaf, Lynda
Laval University - Département d'Économique
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62
(180,781)
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capital asset pricing model, CAPM, Black, mean-variance efficiency, non-normality, weak identification, Fieller, multivariate linear regression, uniform linear hypothesis, exact test, Monte Carlo test, bootstrap, nuisance parameters, GARCH, portfolio repacking
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3.
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Beaulieu, Marie-Claude
Laval University - Centre de recherche en économie et finance appliquée (CRÉFA) Khalaf, Lynda
Carleton University Kichian, Maral
Government of Canada - Bank of Canada Dufour, Jean-Marie
McGill University
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21
(271,820)
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structural change, time-varying parameter, energy prices, coal, gas, crude oil, unidentified nuisance parameter, exact test, Monte Carlo test, Kalman filter, normality test
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4.
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Coudin, Elise
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) Dufour, Jean-Marie
McGill University
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17
(285,987)
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sign test, median regression, Hodges-Lehmann estimator, p-value, least absolute deviations, quantile regression, simultaneous inference, Monte Carlo tests, projection methods, nonnormality, heteroskedasticity, serial dependence, GARCH, stochastic volatility
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5.
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Dufour, Jean-Marie
McGill University Jouini, Tarek
affiliation not provided to SSRN
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11
(307,195)
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echelon form, linear estimation, generalized least squares, GLS, two-step linear estimation, three-step linear estimation, asymptotically efficient, maximum likelihood, ML, stationary process, invertible process, Kronecker indices, simulation
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6.
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Bouhaddioui, Chafik
affiliation not provided to SSRN Dufour, Jean-Marie
McGill University
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6
(322,614)
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Infinite-order cointegrated vector autoregressive process, independence, causality, residual cross-correlation, consistency, asymptotic power
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7.
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Dufour, Jean-Marie
McGill University Stevanovic, Dalibor
University of Quebec at Montreal (UQAM) - Faculty of Management (ESG)
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1
(343,363)
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factor analysis, VARMA process, forecasting, structural analysis
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Records 1 -
7
of 7 matches
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