Raymond Théoret

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An Essay on Stochastic Volatility and the Yield Curve

Raymond Théoret, Pierre Rostan, Abdeljalil El-Moussadek, 2007 .

Forecasting the Interest-Rate Term Structure: Using the Model of Fong & Vasicek, the Extended Kalman Filter and the Bollinger Bands

Raymond Théoret, Pierre Rostan, Abdeljalil El Moussadek, 2005 .

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

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

Monitoring portfolio tail risk over the business cycle: Evidence from hedge fund strategies

G. Gregoriou, Raymond Théoret, 2018 .

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 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 .

The rise of shadow banking and the hidden benefits of diversification

Raymond Théoret, Christian Calmès, 2011 .

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

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

THE IMPACT OF BANKING DEREGULATION ON CANADIAN BANKS RETURNS

Raymond Théoret, Christian Calmès, 2009 .

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 .

Time-Varying Leverage and Basel III: A Look at Canadian Evidence

Raymond Théoret, Christian Calmès, Philippe Bergevin, 2013 .

Off-Balance-Sheet Activities and the Shadow Banking System: An Application of the Hausman Test with Higher Moments Instruments

Raymond Théoret, Christian Calmès, 2010 .

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

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

The impact of universal banking on macroeconomic dynamics: A nonlinear local projection approach

Raymond Théoret, Christian Calmès, 2020 .

Bank fee-based shocks and the U.S. business cycle

Raymond Théoret, Christian Calmès, 2020 .

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

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

Bank performance before and after the subprime crisis: Evidence from pooled data on big US banks

Raymond Théoret, Christian Calmès, 2023, Journal of Economics and Finance.

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.

Product-mix and bank performance: new U.S. and Canadian evidence

Raymond Théoret, Christian Calmès, 2015 .

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 .

The asymmetric impact of bank shocks: U.S. and Canadian evidence

Raymond Théoret, Christian Calmès, 2016 .

Bank systemic risk and macroeconomic shocks: Canadian and U.S. evidence

Raymond Théoret, Christian Calmès, 2014 .

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

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

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

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

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

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

The Impact of Off-Balance-Sheet Activities on Banks Returns: An Application of the ARCH-M to Canadian Data

Raymond Théoret, Christian Calmès, 2010 .

Firms’ Accruals and Tobin’s q

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

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

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

Bank systemic risk and the business cycle: Canadian and U.S. evidence

Raymond Théoret, Christian Calmès, 2012 .

Bank systemic risk and the business cycle: An empirical investigation using Canadian data

Raymond Théoret, Christian Calmès, 2011 .

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 .

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

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

The universal banking feedback effet: U.S. and Canada evidence

Raymond Théoret, Christian Calmès, 2016 .

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 .

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 .

Market-oriented banking, financial stability and macro-prudential indicators of leverage☆

Raymond Théoret, Christian Calmès, 2013 .

The Procyclicality of Basel III Leverage: Elasticity-Based Indicators and the Kalman Filter

Raymond Théoret, Christian Calmès, 2012 .

Noninterest Income Generating Activities and the Future of Banking

Raymond Théoret, Christian Calmès, 2014 .

Is the Canadian Banking System Really 'Stronger' than the U.S. One?

Raymond Théoret, Christian Calmès, 2014 .

Time-Varying Leverage and Basel III: A Look at Canadian Evidence

Raymond Théoret, Christian Calmès, Philippe Bergevin, 2013, International Advances in Economic Research.

The Change in Banks' Product Mix, Diversification and Performance: An Application of Multivariate GARCH to Canadian Data

Raymond Théoret, Christian Calmès, 2012 .

Lifting the Veil: Regulation and Shadow Banking

Raymond Théoret, Christian Calmès, 2011 .

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.

Portfolio analysis of big US banks’ performance: the fee business lines factor

Raymond Théoret, Christian Calmès, 2020, Journal of Banking Regulation.

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 .

Banking Deregulation and Financial Stability : is it Time to re-regulate in Canada ?

Raymond Théoret, Christian Calmès, 2008 .

The Non-Convexity Issues in a Limited-Commitment Economy

Raymond Théoret, Christian Calmès, 2009 .

Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust IV

William F. Rentz, Raymond Théoret, François‐Eric Racicot, 2023, International Journal of Finance & Economics.

On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns

Raymond Théoret, François‐Eric Racicot, 2008 .

Cahier de recherche 2008-05 Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Fund Returns

Raymond Théoret, François‐Eric Racicot, 2008 .