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François-Éric Racicot

Personal Details

First Name:François-Éric
Middle Name:
Last Name:Racicot
Suffix:
RePEc Short-ID:pra162
http://www.telfer.uottawa.ca/fr/repertoire/professeurs-par-domaine-denseignement/finance/
613-562-5800 ext. 4757

Affiliation

(62%) École de Gestion Telfer / Telfer School of Management
Université d'Ottawa / University of Ottawa

Ottawa, Canada
http://www.telfer.uottawa.ca/

: 613-562-5800 ext. 4757

55 Laurier Street East, Ottawa, Ontario, K1N 6N5
RePEc:edi:smottca (more details at EDIRC)

(27%) Chaire d'Information Financière et Organisationnelle (CIFO)
École des Sciences de la Gestion (ESG)
Université du Québec à Montréal (UQAM)

Montréal, Canada
http://www.cifo.uqam.ca/

:


RePEc:edi:ciuqmca (more details at EDIRC)

(5%) Groupe de Recherche en Finance Appliquée (GREFA)
Faculté d'administration
Université de Sherbrooke

Sherbrooke, Canada
http://www.grefa.usherbrooke.ca/

:


RePEc:edi:grefaca (more details at EDIRC)

(4%) Institut de Préparation à l'Administration et à la Gestion (IPAG)

Paris, France
http://www.ipag.fr/

: 33 1 53 63 36 00

184 Boulevard Saint-Germain, 75006 Paris
RePEc:edi:ipagpfr (more details at EDIRC)

(2%) Centre de recherche en comptabilité et en gouvernance CPA-Canada / CPA-Canada Accounting and Governance Research Centre
École de Gestion Telfer / Telfer School of Management
Université d'Ottawa / University of Ottawa

Ottawa, Canada
http://sites.telfer.uottawa.ca/cpa-agrc/

: 613-562-5800 ext. 4757

613-562-5800 ext. 4757
RePEc:edi:cpaotca (more details at EDIRC)

Research output

as
Jump to: Working papers Articles

Working papers

  1. Christian Calmès & Raymond Théoret & François-Éric Racicot, 2014. "La titrisation aux États-Unis et au Canada," RePAd Working Paper Series UQO-DSA-wp032014, Département des sciences administratives, UQO.
  2. Christian Calmès & Denis Cormier & Francois Éric Racicot & Raymond Théoret, 2012. "Firms' Accruals and Tobin’s q," RePAd Working Paper Series UQO-DSA-wp032012, Département des sciences administratives, UQO.
  3. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.
  4. Francois-Éric Racicot & Raymond Théoret, 2011. "Risk Procyclicality and Dynamic Hedge Fund Strategies," RePAd Working Paper Series UQO-DSA-wp062011, Département des sciences administratives, UQO.
  5. Francois-Éric Racicot & Raymond Théoret, 2011. "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series UQO-DSA-wp032011, Département des sciences administratives, UQO.
  6. Christian Calmès & Denis Cormier & Francois Racicot & Raymond Théoret, 2010. "Accruals, Cash-Flows and Tobin’s q : An Investment Perspective on Firm Accruals," RePAd Working Paper Series UQO-DSA-wp012011, Département des sciences administratives, UQO.
  7. Christian Calmès & Denis Cormier & Francois Racicot & Raymond Théoret, 2010. "Accruals, Investment and Errors-in-Variables," RePAd Working Paper Series UQO-DSA-wp012010, Département des sciences administratives, UQO.
  8. Francois-Éric Racicot & Raymond Théoret, 2008. "Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns," RePAd Working Paper Series UQO-DSA-wp012008, Département des sciences administratives, UQO.
  9. Francois-Éric Racicot & Raymond Théoret, 2007. "Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab," RePAd Working Paper Series UQO-DSA-wp012007, Département des sciences administratives, UQO.
  10. Francois-Éric Racicot, 2007. "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series UQO-DSA-wp022007, Département des sciences administratives, UQO.
  11. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series UQO-DSA-wp132006, Département des sciences administratives, UQO.
  12. Francois-Éric Racicot & Raymond Théoret, 2006. "La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC)," RePAd Working Paper Series UQO-DSA-wp052006, Département des sciences administratives, UQO.
  13. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," RePAd Working Paper Series UQO-DSA-wp152006, Département des sciences administratives, UQO.
  14. Francois-Éric Racicot & Raymond Théoret, 2006. "Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes," RePAd Working Paper Series UQO-DSA-wp122006, Département des sciences administratives, UQO.
  15. Alain Coen & Francois-Éric Racicot, 2006. "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series UQO-DSA-wp142006, Département des sciences administratives, UQO.
  16. Francois-Éric Racicot & Raymond Théoret, 2006. "La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché," RePAd Working Paper Series UQO-DSA-wp022006, Département des sciences administratives, UQO.
  17. Francois-Éric Racicot & Raymond Théoret, 2006. "Les modèles HJM et LMM revisités," RePAd Working Paper Series UQO-DSA-wp042006, Département des sciences administratives, UQO.
  18. Francois-Éric Racicot & Raymond Théoret, 2005. "L'assurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies d'options," RePAd Working Paper Series UQO-DSA-wp0332005, Département des sciences administratives, UQO.
  19. Francois-Éric Racicot & Raymond Théoret, 2005. "De l'évaluation du risque de crédit," RePAd Working Paper Series UQO-DSA-wp0322005, Département des sciences administratives, UQO.
  20. Francois-Éric Racicot & Raymond Théoret, 2005. "Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes," RePAd Working Paper Series UQO-DSA-wp0292005, Département des sciences administratives, UQO.
  21. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.
  22. Francois-Éric Racicot, 2000. "Estimation et tests en présence d'erreurs de mesure sur les variables explicatives : vérification empirique par la méthode de simulation Monte Carlo," RePAd Working Paper Series UQO-DSA-wp022008, Département des sciences administratives, UQO.

Articles

  1. Racicot, François-Éric & Rentz, William F., 2018. "Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 36, pages 251-262, Enero.
  2. Olivier Mesly & François-Éric Racicot, 2017. "A stylized model of home buyers’ and bankers’ behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective," Applied Economics, Taylor & Francis Journals, vol. 49(9), pages 915-928, February.
  3. François-Eric Racicot & William F. Rentz, 2017. "A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model," Applied Economics Letters, Taylor & Francis Journals, vol. 24(6), pages 410-416, March.
  4. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.
  5. Pierre Rostan & Rachid Belhachemi & François‐Eric Racicot, 2017. "Yield Curve Forecasting with the Burg Model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(1), pages 91-99, January.
  6. François-Éric Racicot & Raymond Théoret, 2016. "The q-factor model and the redundancy of the value factor: An application to hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 526-539, December.
  7. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.
  8. Greg Gregoriou & François-Éric Racicot & Raymond Théoret, 2016. "The q-factor and the Fama and French asset pricing models: hedge fund evidence," Managerial Finance, Emerald Group Publishing, vol. 42(12), pages 1180-1207, December.
  9. François-Eric Racicot & William F. Rentz, 2016. "Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments," Applied Economics Letters, Taylor & Francis Journals, vol. 23(6), pages 444-448, April.
  10. François-Éric Racicot & Raymond Théoret, 2016. "The asymmetrical behavior of hedge funds across the state of the business cycle: The q -factor model revisited," Finance, Presses universitaires de Grenoble, vol. 37(1), pages 51-95.
  11. Rachid Belhachemi & Pierre Rostan & Fran çois-Éric Racicot, 2015. "Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution," Applied Economics, Taylor & Francis Journals, vol. 47(51), pages 5461-5475, November.
  12. François-Éric Racicot, 2015. "Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note," Applied Economics, Taylor & Francis Journals, vol. 47(10), pages 981-989, February.
  13. François-Éric Racicot & Raymond Théoret, 2014. "Cumulant instrument estimators for hedge fund return models with errors in variables," Applied Economics, Taylor & Francis Journals, vol. 46(10), pages 1134-1149, April.
  14. Christian Calmès & Denis Cormier & François-Éric Racicot & Raymond Théoret, 2013. "Accruals, Errors-in-variables, and Tobin’s q," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 41(2), pages 193-195, June.
  15. François-Éric Racicot & Raymond Théoret, 2012. "Optimally weighting higher-moment instruments to deal with measurement errors in financial return models," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1135-1146, July.
  16. François-Éric Racicot & Raymond Théoret, 2010. "Hedge Fund Returns, Kalman Filter, and Errors-in-Variables," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 38(3), pages 377-378, September.
  17. François-Éric Racicot & Raymond Théoret, 2009. "On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 30-43, February.
  18. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
  19. François-Éric Racicot & Raymond Théoret, 2008. "On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(4), pages 473-474, November.
  20. Coen, Alain & Racicot, Francois-Eric, 2007. "Capital asset pricing models revisited: Evidence from errors in variables," Economics Letters, Elsevier, vol. 95(3), pages 443-450, June.
  21. François-Éric Racicot & Raymond Théoret & Alain Coën, 2007. "Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 13(2), pages 243-244, May.

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Christian Calmès & Denis Cormier & Francois Éric Racicot & Raymond Théoret, 2012. "Firms' Accruals and Tobin’s q," RePAd Working Paper Series UQO-DSA-wp032012, Département des sciences administratives, UQO.

    Cited by:

    1. Christian Calmès & Denis Cormier & François-Éric Racicot & Raymond Théoret, 2013. "Accruals, Errors-in-variables, and Tobin’s q," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 41(2), pages 193-195, June.

  2. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

    Cited by:

    1. Guglielmo Maria Caporale & Luis Gil-Alana & Alex Plastun, 2015. "The Weekend Effect: An Exploitable Anomaly in the Ukrainian Stock Market?," Discussion Papers of DIW Berlin 1458, DIW Berlin, German Institute for Economic Research.
    2. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.
    3. Guglielmo Maria Caporale & Luis A. Gil-Alana & Alex Plastun & Inna Makarenko, 2014. "The Weekend Effect: A Trading Robot and Fractional Integration Analysis," CESifo Working Paper Series 4849, CESifo Group Munich.

  3. Francois-Éric Racicot & Raymond Théoret, 2011. "Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio," RePAd Working Paper Series UQO-DSA-wp032011, Département des sciences administratives, UQO.

    Cited by:

    1. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2013. "On the Stratonovich – Kalman - Bucy filtering algorithm application for accurate characterization of financial time series with use of state-space model by central banks," MPRA Paper 50235, University Library of Munich, Germany.
    2. Ledenyov, Dimitri O. & Ledenyov, Viktor O., 2015. "Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets," MPRA Paper 67470, University Library of Munich, Germany.
    3. Marcus Scheiblecker & Christian Glocker & Serguei Kaniovski & Atanas Pekanov, 2018. "Contribution of the Austrian Government's Financial Market Interventions by HETA Asset Resolution AG to the Stabilisation of the Austrian Financial Market," WIFO Studies, WIFO, number 60979, August.

  4. Francois-Éric Racicot & Raymond Théoret, 2008. "Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns," RePAd Working Paper Series UQO-DSA-wp012008, Département des sciences administratives, UQO.

    Cited by:

    1. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

  5. Francois-Éric Racicot, 2007. "Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives," RePAd Working Paper Series UQO-DSA-wp022007, Département des sciences administratives, UQO.

    Cited by:

    1. Racicot, François-Éric & Rentz, William F., 2018. "Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 36, pages 251-262, Enero.
    2. François-Éric Racicot, 2015. "Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note," Applied Economics, Taylor & Francis Journals, vol. 47(10), pages 981-989, February.
    3. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

  6. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors," RePAd Working Paper Series UQO-DSA-wp132006, Département des sciences administratives, UQO.

    Cited by:

    1. Alain Coen & Francois-Éric Racicot, 2006. "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series UQO-DSA-wp142006, Département des sciences administratives, UQO.

  7. Francois-Éric Racicot & Raymond Théoret & Alain Coen, 2006. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," RePAd Working Paper Series UQO-DSA-wp152006, Département des sciences administratives, UQO.

    Cited by:

    1. Kosta Josifidis & Jean-Pierre Allegret & Céline Gimet & Emilija Beker Pucar, 2014. "Macroeconomic policy responses to financial crises in emerging European economies," Post-Print halshs-00976661, HAL.
    2. Jean-Pierre Allegret & Cécile Couharde & Cyriac Guillaumin, 2012. "The Impact of External Shocks in East Asia: Lessons from a Structural VAR Model with Block Exogeneity," Post-Print hal-01385863, HAL.
    3. Haugom, Erik & Westgaard, Sjur & Solibakke, Per Bjarte & Lien, Gudbrand, 2011. "Realized volatility and the influence of market measures on predictability: Analysis of Nord Pool forward electricity data," Energy Economics, Elsevier, vol. 33(6), pages 1206-1215.

  8. Francois-Éric Racicot & Raymond Théoret, 2005. "Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices," RePAd Working Paper Series UQO-DSA-wp0312005, Département des sciences administratives, UQO.

    Cited by:

    1. Bationo, Rakissiwinde & Hounkpodote, Hilaire, 2009. "Estimation des changements des cours du café et du cacao: Filtre de Kalman, filtre de Hodrick-Prescott et modélisation à partir de processus markovien
      [Estimated Changes in Prices of Coffee and Coc
      ," MPRA Paper 26980, University Library of Munich, Germany, revised Nov 2010.
    2. Nathaniel Gbenro & Aka Jerôme Koffi, 2011. "Estimation du changement des cours du café et du cacao : Filtre HPMV, filtre de Kalman et MS-VAR," Working Papers hal-01510780, HAL.
    3. Cyriac Guillaumin, 2008. "(A)symetrie et convergence des chocs macroeconomiques en Asie de l'Est : une analyse dynamique," Economie Internationale, CEPII research center, issue 114, pages 29-68.

  9. Francois-Éric Racicot, 2000. "Estimation et tests en présence d'erreurs de mesure sur les variables explicatives : vérification empirique par la méthode de simulation Monte Carlo," RePAd Working Paper Series UQO-DSA-wp022008, Département des sciences administratives, UQO.

    Cited by:

    1. Alain Coen & Francois-Éric Racicot, 2006. "A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited," RePAd Working Paper Series UQO-DSA-wp142006, Département des sciences administratives, UQO.
    2. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.

Articles

  1. François-Eric Racicot & William F. Rentz, 2017. "A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model," Applied Economics Letters, Taylor & Francis Journals, vol. 24(6), pages 410-416, March.

    Cited by:

    1. Racicot, François-Éric & Rentz, William F., 2018. "Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 36, pages 251-262, Enero.

  2. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.

    Cited by:

    1. Racicot, François-Éric & Rentz, William F., 2018. "Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 36, pages 251-262, Enero.

  3. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

    Cited by:

    1. Racicot, François-Éric & Rentz, William F., 2018. "Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 36, pages 251-262, Enero.
    2. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2018. "Hedge fund performance attribution under various market conditions," International Review of Financial Analysis, Elsevier, vol. 56(C), pages 221-237.
    3. Peter Nystrup & Bo William Hansen & Henrik Madsen & Erik Lindström, 2016. "Detecting change points in VIX and S&P 500: A new approach to dynamic asset allocation," Journal of Asset Management, Palgrave Macmillan, vol. 17(5), pages 361-374, September.
    4. François-Éric Racicot & Raymond Théoret, 2016. "The q-factor model and the redundancy of the value factor: An application to hedge funds," Journal of Asset Management, Palgrave Macmillan, vol. 17(7), pages 526-539, December.
    5. Stafylas, Dimitrios & Anderson, Keith & Uddin, Moshfique, 2017. "Recent advances in explaining hedge fund returns: Implicit factors and exposures," Global Finance Journal, Elsevier, vol. 33(C), pages 69-87.

  4. François-Eric Racicot & William F. Rentz, 2016. "Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments," Applied Economics Letters, Taylor & Francis Journals, vol. 23(6), pages 444-448, April.

    Cited by:

    1. Racicot, François-Éric & Rentz, William F., 2018. "Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 36, pages 251-262, Enero.
    2. Anshul Verma & Riccardo Junior Buonocore & Tiziana di Matteo, 2017. "A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering," Papers 1712.02138, arXiv.org, revised May 2018.

  5. François-Éric Racicot, 2015. "Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note," Applied Economics, Taylor & Francis Journals, vol. 47(10), pages 981-989, February.

    Cited by:

    1. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.
    2. Racicot, François-Éric & Rentz, William F., 2018. "Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables," Estudios de Economía Aplicada, Estudios de Economía Aplicada, vol. 36, pages 251-262, Enero.

  6. François-Éric Racicot & Raymond Théoret, 2014. "Cumulant instrument estimators for hedge fund return models with errors in variables," Applied Economics, Taylor & Francis Journals, vol. 46(10), pages 1134-1149, April.

    Cited by:

    1. Christian Calm¨¨s & Raymond Th¨¦oret, 2016. "The Asymmetric Impact of Portfolio Mix on Bank Performance over the Business Cycle: U.S. and Canadian Evidence," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 57-74, February.
    2. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

  7. François-Éric Racicot & Raymond Théoret, 2012. "Optimally weighting higher-moment instruments to deal with measurement errors in financial return models," Applied Financial Economics, Taylor & Francis Journals, vol. 22(14), pages 1135-1146, July.

    Cited by:

    1. Christian Calmès & Raymond Théoret, 2013. "The change in banks' product mix, diversification and performance: An application of multivariate GARCH to Canadian data," RePAd Working Paper Series UQO-DSA-wp012013, Département des sciences administratives, UQO.
    2. Christian Calm¨¨s & Raymond Th¨¦oret, 2016. "The Asymmetric Impact of Portfolio Mix on Bank Performance over the Business Cycle: U.S. and Canadian Evidence," Review of Economics & Finance, Better Advances Press, Canada, vol. 6, pages 57-74, February.
    3. Felicia Omowunmi Olokoyo, 2013. "Capital Structure and Corporate Performance of Nigerian Quoted Firms: A Panel Data Approach," African Development Review, African Development Bank, vol. 25(3), pages 358-369, September.
    4. Christian Calmès & Denis Cormier & Francois Éric Racicot & Raymond Théoret, 2012. "Firms' Accruals and Tobin’s q," RePAd Working Paper Series UQO-DSA-wp032012, Département des sciences administratives, UQO.

  8. François-Éric Racicot & Raymond Théoret, 2010. "Hedge Fund Returns, Kalman Filter, and Errors-in-Variables," Atlantic Economic Journal, Springer;International Atlantic Economic Society, vol. 38(3), pages 377-378, September.

    Cited by:

    1. Théoret, Raymond & Racicot, François-Éric, 2010. "Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio," MPRA Paper 35911, University Library of Munich, Germany.
    2. Slavutskaya, Anna, 2013. "Short-term hedge fund performance," Journal of Banking & Finance, Elsevier, vol. 37(11), pages 4404-4431.
    3. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.

  9. François-Éric Racicot & Raymond Théoret, 2009. "On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 15(1), pages 30-43, February.

    Cited by:

    1. François-Éric Racicot & William F. Rentz & Alfred L. Kahl, 2017. "Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 23(1), pages 75-90, February.

  10. François-Éric Racicot & Raymond Théoret & Alain Coën, 2008. "Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 14(1), pages 112-124, February.
    See citations under working paper version above.
  11. Coen, Alain & Racicot, Francois-Eric, 2007. "Capital asset pricing models revisited: Evidence from errors in variables," Economics Letters, Elsevier, vol. 95(3), pages 443-450, June.

    Cited by:

    1. Meng, Ginger & Hu, Gang & Bai, Jushan, 2007. "Olive: a simple method for estimating betas when factors are measured with error," MPRA Paper 33183, University Library of Munich, Germany.
    2. James Schmidt & Hoa Tran, 2014. "The SHAC estimator in panel data with group-specific spatial lags," Letters in Spatial and Resource Sciences, Springer, vol. 7(2), pages 61-71, July.
    3. Francois-Éric Racicot, 2011. "Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis," RePAd Working Paper Series UQO-DSA-wp052011, Département des sciences administratives, UQO.
    4. Christian Calmès & Denis Cormier & Francois Éric Racicot & Raymond Théoret, 2012. "Firms' Accruals and Tobin’s q," RePAd Working Paper Series UQO-DSA-wp032012, Département des sciences administratives, UQO.

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Statistics

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NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 21 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-BEC: Business Economics (15) 2005-07-18 2005-10-15 2005-12-09 2006-01-24 2006-03-11 2006-04-22 2006-06-17 2006-06-24 2006-07-15 2007-01-28 2007-09-09 2008-06-27 2010-04-11 2011-04-09 2011-07-21. Author is listed
  2. NEP-FIN: Finance (10) 2005-07-18 2005-10-15 2005-12-09 2006-01-24 2006-03-11 2006-04-22 2006-06-17 2006-06-24 2006-06-24 2006-07-15. Author is listed
  3. NEP-FMK: Financial Markets (10) 2005-07-18 2005-10-15 2005-12-09 2006-01-24 2006-03-11 2006-04-22 2006-06-17 2006-06-24 2006-06-24 2006-07-15. Author is listed
  4. NEP-ECM: Econometrics (6) 2006-04-22 2006-06-24 2006-06-24 2006-07-15 2008-06-27 2010-04-11. Author is listed
  5. NEP-ACC: Accounting & Auditing (4) 2006-06-24 2010-04-11 2011-04-09 2014-04-11
  6. NEP-CMP: Computational Economics (4) 2005-12-09 2006-03-11 2006-04-22 2007-01-28
  7. NEP-RMG: Risk Management (4) 2006-01-24 2006-07-15 2011-04-30 2011-07-21
  8. NEP-CFN: Corporate Finance (3) 2006-01-24 2006-06-24 2006-06-24
  9. NEP-ETS: Econometric Time Series (3) 2006-06-24 2006-07-15 2011-04-30
  10. NEP-FOR: Forecasting (3) 2006-07-15 2007-01-28 2011-04-30
  11. NEP-BAN: Banking (2) 2011-07-21 2014-04-11
  12. NEP-ORE: Operations Research (2) 2011-04-30 2011-07-21
  13. NEP-GER: German Papers (1) 2014-04-11
  14. NEP-IAS: Insurance Economics (1) 2005-12-09
  15. NEP-MST: Market Microstructure (1) 2006-07-15

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