Bouchra R. Nasri

Department of Mathematics and Statistics, McGill University

1001 Sherbrooke St. W

Montreal, Quebec H3A 1G5

Canada

SCHOLARLY PAPERS

5

DOWNLOADS

493

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (5)

1.

Replication Methods for Financial Indexes

Number of pages: 24 Posted: 18 Jul 2017
Bruno Remillard, Bouchra R. Nasri and Malek Ben-abdellatif
Department of Decision Sciences, HEC Montreal, Department of Mathematics and Statistics, McGill University and HEC Montreal - Department of Decision Sciences
Downloads 291 (130,904)
Citation 1

Abstract:

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ETF, Hedge Funds, Replication, Smart Beta, Copulas, B-Vines, HMM, Hedging

2.

Copula-Based Dynamic Models for Multivariate Time Series

Number of pages: 26 Posted: 30 May 2018
Bouchra R. Nasri and Bruno Remillard
Department of Mathematics and Statistics, McGill University and Department of Decision Sciences, HEC Montreal
Downloads 94 (339,044)
Citation 3

Abstract:

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Goodness-of-Fit, Time Series, Copulas, Dynamic Models, Generalized Error Models

3.

Estimation and Goodness-of-Fit for Regime-Switching Copula Models with Application to Option Pricing

Number of pages: 16 Posted: 15 Nov 2018 Last Revised: 13 Aug 2019
Bouchra R. Nasri, Bruno Remillard and Mamadou Yamar Thioub
Department of Mathematics and Statistics, McGill University, Department of Decision Sciences, HEC Montreal and HEC Montreal
Downloads 74 (391,145)

Abstract:

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Goodness-of-fit, Time Series, Copulas, Regime-Switching Models, Generalized Error Models

4.

Semi-Parametric Copula-Based Models Under Non-Stationarity

Number of pages: 38 Posted: 17 Oct 2018
Bouchra R. Nasri, Bruno Remillard and Taoufik Bouezmarni
Department of Mathematics and Statistics, McGill University, Department of Decision Sciences, HEC Montreal and HEC Montreal
Downloads 30 (570,509)
Citation 1

Abstract:

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copula; covariates; non-stationarity; conditional distribution

5.

Goodness-of-Fit for Regime-Switching Copula Models with Application to Option Pricing

Number of pages: 20 Posted: 17 Aug 2019
Bouchra R. Nasri, Bruno Remillard and Mamadou Yamar Thioub
Department of Mathematics and Statistics, McGill University, Department of Decision Sciences, HEC Montreal and HEC Montreal
Downloads 4 (757,853)
Citation 1

Abstract:

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Goodness-of-fit, time series, copulas, regime-switching models, generalized error models