Refereed Articles in Journals and Handbooks

“Non-Parametric Tail Risk, Stock Returns and the Macroeconomy,” (2017), (with Caio Almeida, Kym Ardison, and Jose Vicente), Journal of Financial Econometrics, Halbert White Jr. Memorial JFEC Invited Lecture, 15-3, 333-376.

Economic Implications of Nonlinear Pricing Kernels,” (2017), with Caio Almeida, Management Science, 63-10, 3361–3380 .

Recent Advances in Old Fixed-Income Topics: Liquidity, Learning and the Lower Bound”, (2015) with Jean-Sébastien Fontaine, in Handbook of Fixed Income Securities, First Edition, edited by Pietro Veronesi, John Wiley Sons, Inc.

“The Long and the Short of the Risk-Return Trade-Off,” (2015) with Marco Bonomo, Nour Meddahi and Roméo Tédongap, Journal of Econometrics, 187, 580-592.

“A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Market Returns,” with Daniel Mantilla-Garcia and Lionel Martellini, Journal of Financial and Quantitative Analysis, Oct-Dec 2014, 49, 1133-1165.

“Alleviating Coordination Problems and Regulatory Constraints through Financial Risk Management,” with Marcel Boyer and Martin Boyer, Quarterly Journal of Finance, June 2013, 3, 135-174. Best Paper Award for the 2013 volume.

“Risk Aversion, Intertemporal Substitution and the Term Structure of Interest Rates,” with Richard Luger, Journal of Applied Econometrics, September/October 2012, 27-6, 1013-1036.

“Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators,”  with Caio Almeida,  Journal of Econometrics, October 2012, 170, 519-537.

“Bond Liquidity Premia,” with Jean-Sébastien Fontaine,  Review of Financial Studies, April 2012, 25, 1207-1254.

“Measuring Causality between Volatility and Returns with High-Frequency Data,” with Jean-Marie Dufour and Abderrahim Taamouti, Journal of Financial Econometrics, Winter 2012, 10, 124-163.

“Dependence Structure and Extreme Comovements in International Equity and Bond Markets,” with Georges Tsafack,  Journal of Banking and Finance, August 2011, 35, 1954-1970.

“The Option CAPM and The Performance of Hedge Funds,” with Antonio Diez de los Rios, Review of Derivatives Research, July 2011, 14, 2, 117-135.

“Estimation of Stable Distributions by Indirect Inference,” with Eric Renault and David Veredas,  Journal of Econometrics, April 2011, 161, 2, 325-337.

“Assessing and Valuing the Nonlinear Structure of Hedge Fund Returns,” with Antonio Diez de los Rios, Journal of Applied Econometrics, March 2011, 26, 193-212.

“Generalized Disappointment Aversion, Long-Run Volatility Risk and Asset Prices,” Review of Financial Studies, with Marco Bonomo, Nour Meddahi and Roméo Tédongap, January 2011, 24, 82-122.

“Estimation of Objective and Risk-Neutral Distributions based on Moments of Integrated Volatility,” with M. A. Lewis, Sergio Pastorello and E. Renault, Journal of Econometrics, January 2011, 160,  22-32.

“The Econometrics of Option Pricing”, with Eric Ghysels and Eric Renault, 2009, in Handbook of Financial Econometrics, Yacine Aït-Sahalia and Lars Peter Hansen eds, Elsevier-North Holland, Amsterdam.

State Dependence Can Explain the Risk Aversion Puzzle,Review of Financial Studies, with F. Chabi-Yo and E. Renault, April 2008, 21, 973-1011.

Proper Conditioning for Coherent VaR in Portfolio Management,” (2007), Management Science, with E. Renault and G. Tsafack, 53, 483 – 494.

The Canadian Macroeconomy and the Yield Curve: An Equilibrium-based Approach,” (2007), The Canadian Journal of Economics (with R. Luger), 40, 2, 561-583.

Disentangling Risk Aversion and Intertemporal Substitution through a Reference Level,” (2006), (with E. Renault and A. Semenov), Finance Research Letters, Volume 3, Issue 3, 181-193. Ross Best Paper Award 2006.

Comment on the 2005 JBES Invited Lecture “Realized Variance and Microstructure Noise” by Peter R. Hansen and Asger Lunde,  (2006), 20 pages, (with Nour Meddahi), Journal of Business and Economic Statistics, 24, 2, 184-192 .

Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes,” (2005), 65 pages, (with J. Detemple and M. Rindisbacher ), Journal of Econometrics, Volume 134, Issue 1, 1-68

Asymptotic Properties of Monte Carlo Estimators of Derivatives,” (2005), 31 pages, (with J. Detemple and M. Rindisbacher ), Management Science, 51, 11, 1657-1675.

Simulation Methods for Optimal Portfolios,’’ (2004) (with Detemple, J.B.and M. Rindisbacher) to appear in Handbooks in Operations Research and Management Science, Volume on Financial Engineering, J. Birge and V. Linetsky eds., Elsevier, Amsterdam.

Representation Formulas for Malliavin Derivatives of Diffusion Processes,” (2005) (with J. Detemple and M. Rindisbacher), Finance and Stochastics, 9, 3, 349-367.

Intertemporal Asset Allocation: A Comparison of Methods”, (2005) (with J. Detemple et M. Rindisbacher), The Journal of Banking and Finance, 29, 11, 2821-2848.

“Option Pricing, Preferences and State Variables”, (2005) (with R. Luger and E. Renault), The Canadian Journal of Economics, 38, 1, 1-27.

Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables,” (with R. Luger and E. Renault), Journal of Econometrics, 116 (2003), 49-83.

A Monte Carlo Method for Optimal Portfolios”,  (with J. Detemple and M. Rindisbacher), Journal of Finance, February 2003, 58:1, 401-446.

Are the Effects of Interest Rate Changes Asymmetric?”, (with Huntley Schaller), Economic Inquiry, 2002 40: 102-119.

“The Macroeconomic Effects of Infrequent Information with Adjustment Costs”, (with M. Bonomo), The Canadian Journal of Economics 34(1), February 2001,18-35.

“Latent Variable Models for Stochastic Discount Factors”, (with E. Renault), Handbooks in  Mathematical Finance: Topics in Option Pricing, Interest Rates and Risk Management, J. Cvitanic, E. Jouini and M. Musiela eds., Cambridge University Press, 2001.

“Tests of Conditional Asset Pricing Models in the Brazilian Stock Market”, (with M. Bonomo), Journal of International Money and Finance, 20 (2001), 71-90.

Pricing and Hedging Derivative Securities with Neural Networks and a Homogeneity Hint”, (with R. Gencay),  Journal of Econometrics, 94  (2000), 93-115.

Econometric Methods for Derivative Securities and Risk Management”, (with E. Ghysels and E. Renault),  Journal of Econometrics, 94 (1-2), Jan.-Feb. 2000, p.1-7

“Modèles d’évaluation des actifs financiers et changement structurel dans les marchés boursiers en émergence”,  L’Actualité Économique, 74(3), September 1998, 467-484.

“Structural Change and Asset Pricing in Emerging Markets”,  (with E. Ghysels), Journal of International Money and Finance, 17(3), June 1998, 455-473.

Asymptotic Null Distribution of the Likelihood Ratio Test in Markov Switching Models”, International Economic Review, 39(3), August 1998, 763-788.

“A Note on Hedging in ARCH-type Option Pricing Models”,  (with E. Renault), Mathematical Finance, 8/2, April 1998, 153-161.

Excess Sensitivity and Asymmetries in Consumption: An Empirical Investigation”, (with Annamaria Lusardi et Serena Ng), Journal of Money, Credit and Banking, 29, May 1997, 154-176.

Consumption and Equilibrium Asset Pricing: An Empirical Assessment”, (with M. Bonomo), Journal of Empirical Finance, 3 (1996), 239-265.

An Analysis of the Real Interest Rate Under Regime Shifts”(with P. Perron), 1996, Review of Economics and Statistics, 111-125.

“Information Asymétrique, contraintes de liquidité et investissement: une comparaison internationale, (with M. Bascunan and M. Poitevin), L’Actualité Économique, December 1995, 398-420.

Can a Well‑Fitted Equilibrium Asset Pricing Model Produce Mean Reversion?”, (with M. Bonomo), Journal of Applied Econometrics, 9, 19-29 (1994).

“Inflation, Staggering, and Disinflation” (with M. Bonomo), Journal of Development Economics, 43 (1994), 39-58.

“Théorie économique de l’information : exposé synthétique de la littérature”, L’Actualité Economique 62(1), March 1986.

“L’effet redistributif de l’inflation de 1969 à 1975 sur les ménages canadiens” (with M. Boyer), Canadian Public Policy IV(2), Spring 1978.

Disequilibrium Econometrics for Business Loans” (with J.‑J. Laffont), Econometrica, July 1977.