Honorary Professor, Department of Decision Sciences, HEC Montréal
On July 29, 2019, Professor Bruno Rémillard from HEC Montréal was awarded the title of IMS Fellow.
This year’s recipient of the Gold Medal of the Statistical Society of Canada is Bruno N. Rémillard. This prestigious award is bestowed upon a person who has made outstanding contributions to statistics, or to probability, either to mathematical developments or in applied work. It is intended to honour current leaders in their field.
Title: On time-varying volatility and financial derivatives
Anatoliy Swishchuk – University of Calgary
Kilani Ghoudi – United Arab Emirates University
Bouchra Nasri – HEC Montréal
Cahiers du GERAD
For nearest neighbor univariate random walks in a periodic environment, where the probability of moving depends on a periodic function, we show how to estim...BibTeX reference
We consider several time series and for each of them, we fit an appropriate dynamic parametric model. This produces serially independent error terms for each...BibTeX reference
In this paper, we propose an intuitive way to couple several dynamic time series models even when there are no innovations. This extends previous work for m...BibTeX reference