Alain Coen

Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)

P.O. Box 8888, Downtown Station

Succursale Centre Ville

Montreal, Quebec H3C 3P8

Canada

  • Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)

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    • Tel: 514-987-3000
    • Fax: 418-681-2501
SCHOLARLY PAPERS

10

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1,446

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3

CROSSREF CITATIONS

2

Scholarly Papers (10)

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1.

Integrated Volatility and Uhf-Garch Models: A Comparison Using High Frequency Financial Data

Number of pages: 19 Posted: 28 May 2004
Alain Coen and Francois-Eric Racicot
Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG) and Université du Quebec en Outaouais (UQO)
Downloads 724 (40,652)

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Integrated volatility, Ultra High Frequency GARCH, time deformation, financial markets

2.

Dynamic Hedge Fund Style Analysis with Errors-in-Variables

Number of pages: 36 Posted: 01 May 2008
Laurent Bodson, Alain Coen and Georges Hübner
HEC Management School - University of Liège, Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG) and HEC Liège
Downloads 450 (74,666)
Citation 4

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style analysis, Kalman filter, errors-in-variables, measurement errors, higher moment estimators, hedge funds

3.

The Relative Importance of Forecast Accuracy Determinants Revisited: European Evidence

21st Australasian Finance and Banking Conference 2008 Paper
Number of pages: 40 Posted: 10 Sep 2008
Alain Coen and Aurélie Desfleurs
Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG) and Département des sciences comptables et de fiscalité
Downloads 140 (240,224)
Citation 1

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Analysts' forecasts, Forecast accuracy, Industrial structure, Country factors, Firm-specific factors, European stock markets

4.

Selective Linear Segmentation For Detecting Relevant Parameter Changes

Number of pages: 68 Posted: 10 Oct 2019
Arnaud Dufays, Elysée Aristide Houndetoungan and Alain Coen
CeReFiM. Université de Namur., Université Laval, Department of Economics and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
Downloads 74 (368,721)

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change-point, structural change, time-varying parameter, model selection, Hedge funds

5.

The Informational Dimensions of the Amihud (2002) Illiquidity Measure

Number of pages: 21 Posted: 18 Nov 2019
Hubert de La Bruslerie and Alain Coen
Université Paris Dauphine and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
Downloads 32 (528,066)

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Price informativeness, Amihud illiquidity measure, Cumulative abnormal returns (CARs), Financial analysts, Forecast revisions, M&A

6.

Hyperbolic or Exponential Time Discounting Function? Empirical Evidence Using a Conditional Consumption Capital Asset Pricing Model

Number of pages: 44 Posted: 18 Nov 2019
Hubert de La Bruslerie and Alain Coen
Université Paris Dauphine and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
Downloads 15 (634,947)

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discount rate; Subjective time preference rates; Asset pricing; Consumption-based model; Interest term structure

7.

Consumption-Based Model and the Term Structure of Subjective Time Preference Rates: Empirical Evidence

Number of pages: 35 Posted: 26 May 2015
Hubert de La Bruslerie and Alain Coen
Université Paris Dauphine and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
Downloads 11 (663,834)

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Asset pricing, Consumption-based model, Term structure, Subjective time preference rate

8.

Securitized and Direct Real Estate Factors in the Pricing of Us Bank Stocks

International Review of Finance, Vol. 19, Issue 4, pp. 893-907, 2019
Number of pages: 15 Posted: 26 May 2020
Benoît Carmichael and Alain Coen
affiliation not provided to SSRN and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
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9.

Real Estate and Consumption Growth as Common Risk Factors in Asset Pricing Models

Real Estate Economics, Vol. 46, Issue 4, pp. 936-970, 2018
Number of pages: 35 Posted: 14 Nov 2018
Benoit Carmichael and Alain Coen
Université Laval and Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG)
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10.

The Impact of Illiquidity and Higher Moments of Hedge Fund Returns on Their Risk-Adjusted Performance and Diversification Potential

Journal of Alternative Investments, Forthcoming
Posted: 17 Nov 2009 Last Revised: 19 Feb 2011
Laurent Cavenaile, Alain Coen and Georges Hübner
University of Toronto at Scarborough, Université du Québec à Montréal (UQÀM) - Graduate School of Business (ESG) and HEC Liège

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Illiquidity, Non-Gaussian returns, Hedge fund performance, Modified Value-at-Risk, Portfolio diversification