Bruno Rémillard

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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...

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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...

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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...

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In this paper, we consider non-stationary response variables and covariates, where the marginal distributions and the associated copula may be time-dependent...

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Parrondo's paradox is extended to regime switching random walks in random environments. The paradoxical behavior of the resulting random walk is explained...

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In this paper we solve the discrete time mean-variance hedging problem when asset returns follow a multivariate autoregressive hidden Markov model. Time dep...

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In this paper, we first present a review of statistical tools that can be used in asset management either to track financial indexes or to create synthetic o...

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An exchangeable bond is a debt that is convertible into shares of a firm's equity other than the bond's issuer. We evaluate an exchangeable bond within a two...

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Most structural models for valuing corporate securities assume a geometric-Brownian motion to describe the firm's assets value. However, this does not reflec...

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Recently, two different copula-based approaches have been proposed to estimate the conditional quantile function of a variable \(Y\) with respect to a vect...

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We develop a general structural model for valuing risky corporate debts that takes into account both default and interest rate risk. We propose a two-dimensi...

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Lévy processes provide a solution to overcome the shortcomings of the lognormal hypothesis. A growing literature proposes the use of pure-jump Lévy processe...

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We propose a dynamic program coupled with finite elements for valuing two-dimensional American-style options. To speed-up our procedure, we use parallel comp...

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We propose a quasi-analytical approach for valuing American-style options under Gaussian and double exponential jumps à la Merton (1976) and Kou (2002). Our ...

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In this paper we present a forecasting method for time series using copula-based models for multivariate time series. We study how the performance of the p...

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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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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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