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A unified approach to the theory of default risk and credit derivatives

Racicot, François-Éric; Théoret, Raymond - In: The credit derivatives handbook : global perspectives, …, (pp. 143-181). 2008

Persistent link: https://www.econbiz.de/10003748415

Conditional financial models and the alpha puzzle : a panel study of hedge fund returns

Racicot, François-Éric; Théoret, Raymond - In: The journal of wealth management 11 (2008/09) 2, pp. 59-77

Persistent link: https://www.econbiz.de/10003816000

Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios : a nonlinear VAR approach

Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56

The subprime crisis was quite damaging for hedge funds. Using the local projection method (Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...

Persistent link: https://www.econbiz.de/10013169857

The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks

Racicot, François-Éric; Théoret, Raymond; Gregoriou, … - In: International review of economics & finance : IREF 72 (2021), pp. 289-318

Persistent link: https://www.econbiz.de/10012671925

The response of hedge fund tail risk to macroeconomic shocks : a nonlinear VAR approach

Gregoriou, Greg N.; Racicot, François-Éric; Théoret, … - In: Economic modelling 94 (2021), pp. 843-872

Persistent link: https://www.econbiz.de/10012695357

The procyclicality of hedge fund alpha and beta

Racicot, François-Éric; Théoret, Raymond - In: Journal of derivatives & hedge funds 19 (2013) 2, pp. 109-128

Persistent link: https://www.econbiz.de/10010209488

The q-factor and the Fama and French asset pricing models : hedge fund evidence

Gregoriou, Greg N.; Racicot, François-Éric; Théoret, … - In: Managerial finance 42 (2016) 12, pp. 1180-1207

Persistent link: https://www.econbiz.de/10011572944

Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds

Racicot, François-Éric; Théoret, Raymond - In: Journal of banking & finance 62 (2016), pp. 41-61

Persistent link: https://www.econbiz.de/10011634052

The q-factor model and the redundancy of the value factor : an application to hedge funds

Racicot, François-Éric; Théoret, Raymond - In: The journal of asset management 17 (2016) 7, pp. 526-539

Persistent link: https://www.econbiz.de/10011648215

The asymmetrical behavior of hedge funds across the state of the business cycle : the q-factor model revisited

Racicot, François-Éric; Théoret, Raymond - In: Finance : revue de l'Association Française de Finance 37 (2016) 1, pp. 51-95

Persistent link: https://www.econbiz.de/10011687874