Jean-Guy Simonato at IDEAS
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Personal Details
First Name: Jean-Guy
RePEc Short-ID: psi36
Email: http://www.hec.ca/~p239/pageweb/ Affiliation (in no particular order)
Centre Interuniversitaire sur le Risque, les Politiques Économiques et l'Emploi (CIRPÉE) (Interuniversity Center on Risk, Economic Policy and Employment)
Location: Montréal/Québec, Canadahttp://www.cirpee.org/ registered authors at this institution )
Service de l'Enseignement de la Finance (Finance Teaching Service)
Location: Montréal, Canadahttp://www.hec.ca/finance/ registered authors at this institution )
Works | Working papers | Articles | Access
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Working papers
Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005.
"Default Risk in Corporate Yield Spreads Cahiers de recherche
0532, CIRPEE.
[Downloadable!]
Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato, 2002.
"Seize the Moments: Approximating American Option Prices in the GARCH Framework Finance
0206005, EconWPA.
[Downloadable!]
Jin-Chuan Duan & Evan Dudley & Geneviève Gauthier & Jean-Guy Simonato, 1999.
"Pricing Discretely Monitored Barrier Options by a Markov Chain CIRANO Working Papers
99s-15, CIRANO.
[Downloadable!]
Jin-Chuan Duan & Jean-Guy Simonato, 1995.
"Empirical Martingale Simulation for Asset Prices CIRANO Working Papers
95s-43, CIRANO.
[Downloadable!]
Jin-Chuan Duan & Jean-Guy Simonato, 1995.
"Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter CIRANO Working Papers
95s-44, CIRANO.
[Downloadable!]
Articles
Duan, Jin-Chuan & Simonato, Jean-Guy, 2002.
"Maximum likelihood estimation of deposit insurance value with interest rate risk Journal of Empirical Finance ,
Elsevier, vol. 9(1), pages 109-132, January.
[Downloadable!] (restricted)
Duan, Jin-Chuan & Simonato, Jean-Guy, 2001.
"American option pricing under GARCH by a Markov chain approximation Journal of Economic Dynamics and Control ,
Elsevier, vol. 25(11), pages 1689-1718, November.
[Downloadable!] (restricted)
Duan, Jin-Chuan & Simonato, Jean-Guy, 1999.
" Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter Review of Quantitative Finance and Accounting ,
Springer, vol. 13(2), pages 111-35, September.
[Downloadable!] (restricted)
Raynauld, Jacques & Simonato, Jean-Guy, 1993.
"Seasonal BVAR models : A search along some time domain priors Journal of Econometrics ,
Elsevier, vol. 55(1-2), pages 203-229.
[Downloadable!] (restricted)
Simonato, Jean-Guy, 1992.
"Estimation of GARCH process in the presence of structural change Economics Letters ,
Elsevier, vol. 40(2), pages 155-158, October.
[Downloadable!] (restricted)
NEP Fields 2 papers by this author were announced in NEP , and specifically in the following field reports (number of papers):
NEP-ETS : Econometric Time Series (1) 2002-07-31 Author is listed
NEP-FIN : Finance (2) 2002-07-31 2005-12-09 Author is listed
NEP-FMK : Financial Markets (1) 2005-12-09 Author is listed
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This page was last updated on 2008-7-13.
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