Bruno Remillard

Department of Decision Sciences, HEC Montreal

Professor

3000 Côte-Sainte-Catherine Road

Montreal, QC H2S1L4

Canada

SCHOLARLY PAPERS

31

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4,988

SSRN CITATIONS
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SSRN RANKINGS

Top 15,580

in Total Papers Citations

22

CROSSREF CITATIONS

47

Scholarly Papers (31)

1.

Goodness-of-Fit Tests for Copulas of Multivariate Time Series

Number of pages: 32 Posted: 24 Dec 2010 Last Revised: 21 Nov 2014
Bruno Remillard
Department of Decision Sciences, HEC Montreal
Downloads 711 (41,064)
Citation 33

Abstract:

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goodness-of-fit, time series, dynamic copulas, GARCH models

2.

Option Pricing and Hedging for Discrete Time Regime-Switching Models

Number of pages: 25 Posted: 16 Apr 2010 Last Revised: 21 Nov 2014
Department of Decision Sciences, HEC Montreal, Fiera Capital, HEC Montreal and HEC Montreal - Department of Finance
Downloads 413 (81,597)
Citation 2

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Option Pricing, Dynamic Hedging, Regime-Switching, Goodness-of-fit, Hidden Markov Models

3.

Forecasting Time Series with Multivariate Copulas

Number of pages: 30 Posted: 19 Jul 2013 Last Revised: 15 May 2015
Clarence Simard and Bruno Remillard
UQAM and Department of Decision Sciences, HEC Montreal
Downloads 343 (101,044)

Abstract:

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copulas, time series, forecasting, realized volatility

4.

Testing for Equality between Two Copulas

Swiss Finance Institute Research Paper No. 07-24
Number of pages: 24 Posted: 24 Sep 2007
Bruno Remillard and O. Scaillet
Department of Decision Sciences, HEC Montreal and University of Geneva GSEM and GFRI
Downloads 308 (113,763)
Citation 6

Abstract:

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Copula, Cramér-von Mises statistic, empiricalprocess, pseudo-observations, multipliercentrallimittheorem, p-value.

5.

Copula-Based Semiparametric Models for Multivariate Time Series

Number of pages: 43 Posted: 24 Mar 2010 Last Revised: 13 Dec 2011
Department of Decision Sciences, HEC Montreal, HEC Montreal - Department of Finance and BNP Paribas
Downloads 286 (123,064)
Citation 4

Abstract:

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Copulas, Markov processes, multivariate time series, serial dependence

6.

Optimal Hedging in Discrete and Continuous Time

Number of pages: 42 Posted: 14 Dec 2009 Last Revised: 25 Jun 2010
Bruno Remillard and Sylvain Rubenthaler
Department of Decision Sciences, HEC Montreal and Université de Nice Sophia Antipolis
Downloads 266 (133,347)
Citation 16

Abstract:

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hedging, option pricing, regime-switching, Levy processes

7.

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 237 (148,947)
Citation 1

Abstract:

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

8.

Optimal Hedging of American Options in Discrete Time

Number of pages: 27 Posted: 23 Dec 2010 Last Revised: 21 Sep 2011
Department of Decision Sciences, HEC Montreal, HEC Paris - Finance Department, Fiera Capital and HEC Montreal - Department of Finance
Downloads 232 (152,009)
Citation 2

Abstract:

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Hedging, European Option, American Option, Risk

9.

Validity of the Parametric Bootstrap for Goodness-of-Fit Testing in Dynamic Models

Number of pages: 43 Posted: 30 Nov 2011
Bruno Remillard
Department of Decision Sciences, HEC Montreal
Downloads 220 (159,937)
Citation 10

Abstract:

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Time series, Goodness-of-fit test, Monte Carlo simulation, Parametric bootstrap, HMM, GARCH, Copulas

10.

The Payoff Distribution Model: An Application to Dynamic Portfolio Insurance

Number of pages: 38 Posted: 23 Dec 2010
Fiera Capital, HEC Montreal - Department of Finance and Department of Decision Sciences, HEC Montreal
Downloads 189 (185,114)
Citation 2

Abstract:

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Portfolio Insurance, Dynamic Hedging, Constant Volatility, CPPI

11.

An Alternative Performance Measure

Number of pages: 53 Posted: 23 Dec 2010
Fiera Capital, HEC Montreal - Department of Finance and Department of Decision Sciences, HEC Montreal
Downloads 184 (188,704)

Abstract:

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Hedge Funds, Performance Measure, Bivariate Measure

12.

Monte Carlo Approximations of American Options that Preserve Monotonicity and Convexity

Number of pages: 28 Posted: 07 Nov 2010 Last Revised: 23 Jun 2011
Pierre Del Moral, Bruno Remillard and Sylvain Rubenthaler
INRIA Bordeaux-Sud Ouest, Department of Decision Sciences, HEC Montreal and Université de Nice Sophia Antipolis
Downloads 174 (198,056)
Citation 5

Abstract:

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American Option, Simulation, Exercise Region, Snell Envelope

13.

Option Pricing and Hedging for Regime-Switching Geometric Brownian Motion Models

Number of pages: 26 Posted: 27 Apr 2015 Last Revised: 24 Dec 2016
Bruno Remillard and Sylvain Rubenthaler
Department of Decision Sciences, HEC Montreal and Université de Nice Sophia Antipolis
Downloads 163 (209,482)
Citation 2

Abstract:

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Hedging error, option pricing, regime-switching

14.

Optimal Hedging Strategies with an Application to Hedge Fund Replication

Number of pages: 11 Posted: 23 Dec 2010
Fiera Capital, HEC Montreal - Department of Finance and Department of Decision Sciences, HEC Montreal
Downloads 134 (245,908)
Citation 2

Abstract:

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Hedge Funds, Hedging, Replication, Copula, Gaussian Mixtures

15.

On Testing for Independence between Several Time Series

Number of pages: 32 Posted: 27 Apr 2011
Pierre Duchesne, Kilani Ghoudi and Bruno Remillard
University of Montreal - Department of Mathematics and Statistics, United Arab Emirates University and Department of Decision Sciences, HEC Montreal
Downloads 129 (253,156)
Citation 2

Abstract:

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16.

A Simple Discretization Scheme for Nonnegative Diffusion Processes, with Applications to Option Pricing

Number of pages: 27 Posted: 08 Jun 2010 Last Revised: 16 Nov 2010
Chantal Labbé, Bruno Remillard and Jean-Francois Renaud
HEC Montreal, Department of Decision Sciences, HEC Montreal and University of Quebec at Montreal (UQAM)
Downloads 117 (272,184)
Citation 1

Abstract:

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Euler discretization schemes, nonnegativity preservation, diffusion processes, Markov chains, martingale problem, convergence in distribution, interest rate models, stochastic volatility models, path-dependent options

17.

Option Pricing in a Discrete Time Model for the Limit Order Book

Number of pages: 48 Posted: 06 Aug 2014
Clarence Simard and Bruno Remillard
UQAM and Department of Decision Sciences, HEC Montreal
Downloads 116 (273,784)
Citation 1

Abstract:

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limit order book; discrete time; option pricing; non arbitrage

18.

Non-Parametric Change Point Problems Using Multipliers

Number of pages: 18 Posted: 22 Apr 2012 Last Revised: 26 Oct 2018
Bruno Remillard
Department of Decision Sciences, HEC Montreal
Downloads 113 (278,943)

Abstract:

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Multipliers, change point, bootstrap, p-value, empirical process, pseudo-observations, time series, copula

19.

Option Pricing and Hedging for Discrete Time Autoregressive Hidden Markov Model

Number of pages: 40 Posted: 05 Jul 2017
Massimo Caccia and Bruno Remillard
HEC Montreal and Department of Decision Sciences, HEC Montreal
Downloads 106 (291,816)

Abstract:

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Option Pricing, Dynamic Hedging, Regime-Switching, Goodness-of-fit, Hidden Markov Models

20.

Specification Tests for Dynamic Models Using Multipliers

Number of pages: 24 Posted: 09 Apr 2012
Bruno Remillard
Department of Decision Sciences, HEC Montreal
Downloads 90 (324,550)
Citation 5

Abstract:

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Multipliers, bootstrap, p-value, empirical process, pseudo-observations, time series, copula

21.

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 85 (336,386)
Citation 3

Abstract:

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

22.

Compound Hawkes Processes in Limit Order Books

Number of pages: 20 Posted: 19 Jun 2017 Last Revised: 28 Jun 2017
University of Calgary, University of Calgary, University of South Australia - School of Commerce and Department of Decision Sciences, HEC Montreal
Downloads 84 (338,799)
Citation 2

Abstract:

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Hawkes Process; Compound Hawkes Process; Regime-Switching Compound Hawkes Processes; Limit Order Books; Diffusion Limits; Law of Large Numbers

23.

Diagnostic Tests for Innovations of ARMA Models Using Empirical Processes of Residuals

Number of pages: 51 Posted: 16 Apr 2010 Last Revised: 02 Jul 2011
Kilani Ghoudi and Bruno Remillard
United Arab Emirates University and Department of Decision Sciences, HEC Montreal
Downloads 73 (367,417)
Citation 4

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Diagnostic Tests, ARMA Models, Residuals, Squared Residuals, Empirical Processes, Coplas

24.

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 58 (413,961)

Abstract:

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

25.

Serial Independence Tests for Innovations of Conditional Mean and Variance Models

Number of pages: 29 Posted: 01 Apr 2014 Last Revised: 10 Nov 2016
Kilani Ghoudi and Bruno Remillard
United Arab Emirates University and Department of Decision Sciences, HEC Montreal
Downloads 51 (438,847)

Abstract:

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Independence tests, GARCH models, Residuals, Squared residuals, Empirical processes, Empirical copula, Multipliers, Bootstrap

26.

Combining Losing Games into a Winning Game

Number of pages: 21 Posted: 14 Apr 2017
Bruno Remillard and Jean Vaillancourt
Department of Decision Sciences, HEC Montreal and HEC Montreal - Department of Decision Sciences
Downloads 34 (511,933)

Abstract:

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Parrondo's paradox, random walks, random environments

27.

Comparison of Specification Tests for GARCH Models

Number of pages: 15 Posted: 28 Apr 2012
Kilani Ghoudi and Bruno Remillard
United Arab Emirates University and Department of Decision Sciences, HEC Montreal
Downloads 33 (517,034)
Citation 1

Abstract:

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Goodness of fit tests, GARCH models, Residuals. Squared residuals, Empirical processes, Pseudo-observations, Multipliers, Bootstrap

28.

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 25 (561,894)
Citation 1

Abstract:

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copula; covariates; non-stationarity; conditional distribution

29.

Multivariate General Compound Point Processes in Limit Order Books

Number of pages: 16 Posted: 10 Sep 2020
Qi Guo, Bruno Remillard and Anatoliy V. Swishchuk
University of Calgary - Department of Mathematics and Statistics, Department of Decision Sciences, HEC Montreal and University of Calgary
Downloads 10 (663,873)

Abstract:

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Point process (PP), multivariate point processes (MPP), multivariate general compound point processes (MGCPP), limit order books (LOB), Functional Central Limit Theorems (FCLT), Law of Large Numbers (LLN)

30.

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 (707,742)

Abstract:

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

31.

Replicating the Properties of Hedge Fund Returns

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper, UBC Winter Finance Conference 2008 Paper, https://doi.org/10.3905/jai.2008.712595
Posted: 22 May 2019
HEC Montreal - Department of Finance, Department of Decision Sciences, HEC Montreal and Fiera Capital

Abstract:

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Hedge Funds, Hedging, Replication, Copula, Gaussian mixtures