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It is shown that parametric bootstrap can be used for computing P-values of goodness-of-fit tests of multivariate time series parametric models. These mo...

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The sophisticated and automated means of data collection used by an increasing number of institutions and companies leads to extremely large datasets. Sub...

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We explore the role of the discount on closed-end funds (CEFD) in asset pricing and weakly tests its validity as a proxy for sentiment in the Canadian stock ...

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This paper provides a general procedure for pricing American- and European-style interest rate derivatives within multifactor affine term structure models....

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The risk-adjusted selection and timing performance (alphas and gammas) of a comprehensive and survivorship-free sample of Canadian equity SRI funds after (be...

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This paper presents a framework where many existing structural credit risk models can be made hybrid by using a transformation of leverage to define the defa...

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This paper develops a dynamic model to determine a firm's optimal risk management strategy when it faces uncertainty about its future profitability and inves...

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Large datasets upon which classical statistical analysis cannot be performed because of the curse of dimensionality are more and more common in many research...

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In view of applications to diagnostic tests of ARMA models, the asymptotic behavior of multivariate empirical and copula processes based on residuals of ARM...

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In this paper, we introduce the notion of dynamic copulas to model serial dependence as well as interdependence between several time series. The proposed m...

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In this article we find the optimal solution of the hedging problem in discrete time by minimizing the mean square hedging error, when the underlying assets ...

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In this article, we construct a Malliavin derivative for functionals of a square-integrable Lévy process. The Malliavin derivative is defined via chaos expan...

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A discretization scheme for nonnegative diffusion processes is proposed and the convergence of the corresponding sequence of approximate processes is proved ...

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The paper provides a survey of the literature which utilizes dynamic state-space games to formulate and analyze intertemporal, many-decision maker problems i...

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We consider in this paper a duopoly competing in quantities and where firms can invest in R&D to control their emissions. We distinguish between effort carri...

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The aim of this paper is to investigate the pricing of the Chicago Board of Trade Treasury-Bond futures. The difficulty to price it arises from its multiple ...

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Discrete-time survival data with time-varying covariates are often encountered in practice. One such example is bankruptcy studies where the status of each f...

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This paper estimates a structural vector autoregression model to assess the dynamic effects of terrorism on output and prices in Israel over the post-1985 pe...

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The main purpose of this paper is to apply the True Notional Bond System (TNBS) proposed by Oviedo (2006) for the theoretical pricing of the Chicago Board ...

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Cet article dresse un portrait de l'état de la concurrence fiscale internationale par l'entremise i) de l'étude des taux d'impôt et autres caractéristiques...

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