François-Éric Racicot

发表

Low-Frequency Components and the weekend Effect Revisited: Evidence from Spectral Analysis

François-Éric Racicot, 2011 .

Pricing discrete double barrier options with a numerical method

François-Éric Racicot, Pierre Rostan, Alexandra Rostan, 2015 .

A Probabilistic Monte Carlo model for pricing discrete barrier options

François-Éric Racicot, Pierre Rostan, Alexandra Rostan, 2014 .

Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly

François-Éric Racicot, Olivier Mesly, François‐Eric Racicot, 2018 .

The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks

G. Gregoriou, François-Éric Racicot, Raymond Théoret, 2021 .

Multi-moment risk, hedge fund short-selling & the business cycle

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2017 .

The Hedge Fund Alpha Puzzle with an Application to Asian Hedge Funds

G. Gregoriou, François-Éric Racicot, Raymond Théoret, 2014 .

A Probabilistic Monte Carlo model for pricing discrete barrier and compound real options

François-Éric Racicot, Pierre Rostan, Alexandra Rostan, 2014 .

A new empirical version of the Fama and French model based on the Hausman specification test: An application to hedge funds

A. Coën, François-Éric Racicot, Raymond Théoret, 2011 .

A Study of Dynamic Market Strategies of Hedge Funds Using the Kalman Filter

François-Éric Racicot, Raymond Théoret, 2007 .

Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables

Alfred L. Kahl, William F. Rentz, François-Éric Racicot, 2016, International Advances in Economic Research.

Accruals, Errors-in-variables, and Tobin’s q

François-Éric Racicot, D. Cormier, Raymond Théoret, 2013, Atlantic Economic Journal.

Cahier de recherche 2018-03 Estimating panel data fixed and random effects with application to the new Fama-French model using GMM robust instruments

François-Éric Racicot, François‐Eric Racicot, 2018 .

Testing the new Fama and French factors with illiquidity: A panel data investigation

William F. Rentz, François-Éric Racicot, Raymond Théoret, 2018 .

Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2016 .

The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach

G. Gregoriou, François-Éric Racicot, Raymond Théoret, 2021 .

Multi-moment risk, hedging strategies, & the business cycle

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2018, International Review of Economics & Finance.

A Reliance on Predatory Behavior in theContext of Financial Negotiation asSoon as Given a Chance? A Three Group Cross-Sectional and Longitudinal Study on the Concept of Perceived Predation

François-Éric Racicot, Jean Pierre Lévy Mangín, Olivier Mesly, 2012, The Journal of Wealth Management.

Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2022, Financial Innovation.

Hedge fund return higher moments over the business cycle

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2019, Economic Modelling.

Cumulant instrument estimators for hedge fund return models with errors in variables

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2014 .

Optimally weighting higher-moment instruments to deal with measurement errors in financial return models

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2012 .

Accruals, Cash-Flows and Tobin’s q: An Investment Perspective on Firm Accruals

François-Éric Racicot, D. Cormier, Raymond Théoret, 2010 .

Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Fund Returns

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2010, The Journal of Wealth Management.

Accruals, Investment and Errors-in-Variables

François-Éric Racicot, D. Cormier, Raymond Théoret, 2010 .

From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation

D. W. Shanafelt, François-Éric Racicot, Olivier Mesly, 2020 .

Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors

A. Coën, François-Éric Racicot, Raymond Théoret, 2006 .

Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?

François-Éric Racicot, Olivier Mesly, Imed Chkir, 2019, Economic Modelling.

Integrating volatility factors in the analysis of the hedge fund alpha puzzle

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2009 .

A stylized model of home buyers’ and bankers’ behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective

François-Éric Racicot, Olivier Mesly, 2017 .

Yield Curve Forecasting with the Burg Model

François-Éric Racicot, Pierre Rostan, Rachid Belhachemi, 2017 .

The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test

William F. Rentz, François-Éric Racicot, Raymond Théoret, 2019, PloS one.

Examining the dynamics of illiquidity risks within the phases of the business cycle

Alfred L. Kahl, William F. Rentz, François-Éric Racicot, 2019, Borsa Istanbul Review.

Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables

Alfred L. Kahl, William F. Rentz, François-Éric Racicot, 2017 .

The Pástor-Stambaugh empirical model revisited: Evidence from robust instruments

William F. Rentz, François-Éric Racicot, François‐Eric Racicot, 2015, Journal of Asset Management.

The Pástor-Stambaugh empirical model revisited: Evidence from robust instruments

William F. Rentz, François-Éric Racicot, François‐Eric Racicot, 2015 .

Capital asset pricing models revisited: Evidence from errors in variables

A. Coën, François-Éric Racicot, François‐Eric Racicot, 2007 .

Firms’ Accruals and Tobin’s q

François-Éric Racicot, D. Cormier, Raymond Théoret, 2012 .

A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model

William F. Rentz, François-Éric Racicot, François‐Eric Racicot, 2017 .

Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution

François-Éric Racicot, Pierre Rostan, Rachid Belhachemi, 2015 .

Does Illiquidity Matter? An Errors-in-Variables Perspective

William F. Rentz, François-Éric Racicot, François‐Eric Racicot, 2019, Estudios de Economía Aplicada.

The impact of macroeconomic and liquidity shocks on hedge fund tail risk

G. Gregoriou, François-Éric Racicot, Raymond Théoret, 2019 .

Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments

William F. Rentz, François-Éric Racicot, François-Eric Racicot, 2015 .

Improved Generalized Method of Moments (GMMd), Liquidity Risk, and the Pastor-Stambaugh Extension of the Fama-French Model

William F. Rentz, François-Éric Racicot, François‐Eric Racicot, 2014 .

Forecasting Stochastic Volatility Using the Kalman Filter: An Application to Canadian Interest Rates and Price-Earnings ratio

François-Éric Racicot, Raymond Théoret, François-Éric Racicot, 2010 .

A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited

A. Coën, François-Éric Racicot, François‐Eric Racicot, 2006 .

Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models

A. Coën, François-Éric Racicot, Raymond Théoret, 2008 .

Procyclicality and diversification in the hedge fund industry in the aftermath of the subprime crisis

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2014 .

Procyclicality and Diversification in the Hedge Fund Industry

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2013 .

The procyclicality of hedge fund alpha and beta

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2013 .

Risk Procyclicality and Dynamic Hedge Fund Strategies: An Application of Kalman Filter to Time-Varying Alpha and Beta

François-Éric Racicot, Raymond Théoret, 2012 .

Too Big to Fail or Too Deceitful to be Caught?

H. Mavoori, François-Éric Racicot, Olivier Mesly, 2021, Journal of Economic Issues.

On comparing hedge fund strategies using new Hausman-based estimators

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2008 .

The beta puzzle revisited: A panel study of hedge fund returns

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2007 .

Specification Errors in Financial Models of Returns

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2007 .

The Emotional Edge of Financial Predators: a Four Group Longitudinal Study

François-Éric Racicot, Jean Pierre Lévy Mangín, Olivier Mesly, 2013 .

The q-factor and the Fama and French asset pricing models: hedge fund evidence

G. Gregoriou, François-Éric Racicot, Raymond Théoret, 2016 .

The q-factor model and the redundancy of the value factor: An application to hedge funds

François-Éric Racicot, Raymond Théoret, 2016 .

The q-factor model and the redundancy of the value factor: An application to hedge funds

François-Éric Racicot, Raymond Théoret, 2016, Journal of Asset Management.

Pricing discrete double barrier options with a numerical method

François-Éric Racicot, Pierre Rostan, Alexandra Rostan, 2015, Journal of Asset Management.

The cost-effectiveness of HMG-CoA reductase inhibitors to prevent coronary heart disease. Estimating the benefits of increasing HDL-C.

L. Coupal, François-Éric Racicot, H. Zowall, 1995, JAMA.

Risk Procyclicality and Dynamic Hedge Fund Strategies

François-Éric Racicot, Raymond Théoret, 2011 .

Conditional Financial Models and the Alpha Puzzle

François-Éric Racicot, Raymond Théoret, François‐Eric Racicot, 2008 .