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Election outcomes and financial market returns in Canada

Chrétien, Stéphane; Coggins, Frank - In: The North American journal of economics and finance : a … 20 (2009) 1, pp. 1-23

Persistent link: https://www.econbiz.de/10003878084

The performance of market timing measures in a simulated environment

Chrétien, Stéphane; Coggins, Frank; Amours, Félix d' - In: Review of finance : journal of the European Finance … 20 (2016) 3, pp. 1153-1187

Persistent link: https://www.econbiz.de/10011590723

Mutual fund performance evaluation and best clienteles

Chrétien, Stéphane; Kammoun, Manel - In: Journal of financial and quantitative analysis : JFQA 52 (2017) 4, pp. 1577-1604

Persistent link: https://www.econbiz.de/10011928398

Mutual fund styles and clientele-specific performance evaluation

Chrétien, Stéphane; Kammoun, Manel - In: International journal of economics and finance 11 (2019) 12, pp. 89-116

Persistent link: https://www.econbiz.de/10012197505

Degeneracy in the maximum likelihood estimation of univariate Gaussian mixtures with EM

Biernacki, Christophe; Chrétien, Stéphane - In: Statistics & Probability Letters 61 (2003) 4, pp. 373-382

As is well known, the likelihood in the Gaussian mixture is unbounded for any parameters such that a Dirac is placed at any observed sample point. The behavior of the EM algorithm near a degenerated solution is studied. It is established that there exists a domain of attraction around degeneracy...

Persistent link: https://www.econbiz.de/10005254790

Space alternating penalized Kullback proximal point algorithms for maximizing likelihood with nondifferentiable penalty

Chrétien, Stéphane; Hero, Alfred; Perdry, Hervé - In: Annals of the Institute of Statistical Mathematics 64 (2012) 4, pp. 791-809

Persistent link: https://www.econbiz.de/10010558358

Portfolio Performance Measurement: a No Arbitrage Bounds Approach

Ahn, Dong-Hyun; Cao, H.Henry; Chrétien, Stéphane - In: European financial management : the journal of the … 15 (2009) 2, pp. 298-339

Persistent link: https://www.econbiz.de/10008211531

Performance and conservatism of monthly FHS VaR: An international investigation

Chrétien, Stéphane; Coggins, Frank - In: International review of financial analysis 19 (2010) 5, pp. 323-334

Persistent link: https://www.econbiz.de/10008734945

Bounds on the autocorrelation of admissible stochastic discount factors

Chrétien, Stéphane - In: Journal of banking & finance 36 (2012) 7, pp. 1943-1963

Persistent link: https://www.econbiz.de/10009972359

Space alternating penalized Kullback proximal point algorithms for maximizing likelihood with nondifferentiable penalty

Chrétien, Stéphane; Hero, Alfred; Perdry, Hervé - In: Annals of the Institute of Statistical Mathematics : AISM 64 (2012) 4, pp. 791-810

Persistent link: https://www.econbiz.de/10009977672