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Estimation of physical intensity models for default risk
Denault, Michel; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of futures markets 29 (2009) 2, pp. 95-113
Persistent link: https://www.econbiz.de/10003831056
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A reduced form model of default spreads with Markov-switching macroeconomic factors
Dionne, Georges; Gauthier, Geneviève; Hammami, Khemais; … - In: Journal of banking & finance 35 (2011) 8, pp. 1984-2000
Persistent link: https://www.econbiz.de/10009247365
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A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
Denault, Michel; Simonato, Jean-Guy; Stentoft, Lars - In: Computers & operations research : and their … 40 (2013) 11, pp. 2760-2769
Persistent link: https://www.econbiz.de/10009785342
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Linearized Nelson-Siegel and Svensson models for the estimation of spot interest rates
Gauthier, Geneviève; Simonato, Jean-Guy - In: European journal of operational research : EJOR 219 (2012) 2, pp. 442-451
Persistent link: https://www.econbiz.de/10009514314
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Improving lattice schemes through bias reduction
Denault, Michel; Gauthier, Geneviève; Simonato, Jean-Guy - In: The journal of futures markets 26 (2006) 8, pp. 733-757
Persistent link: https://www.econbiz.de/10003353575
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Asymptotic Distribution of the EMS Option Price Estimator
Duan, Jin-Chuan; Gauthier, Geneviève; Simonato, Jean-Guy - In: Management science : journal of the Institute for … 47 (2001) 8, pp. 1122-1132
Persistent link: https://www.econbiz.de/10006089952
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Pricing Discretely Monitored Barrier Options by a Markov Chain
Duan, Jin-Chuan; Dudley, Evan; Gauthier, Geneviève; … - In: The journal of derivatives : the official publication … 10 (2003) 4, pp. 9-32
Persistent link: https://www.econbiz.de/10005934305
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Forecasting expected shortfall : should we use a multivariate model for stock market factors?
Fortin, Alain-Philippe; Simonato, Jean-Guy; Dionne, Georges - In: International journal of forecasting 39 (2023) 1, pp. 314-331
Persistent link: https://www.econbiz.de/10014462782
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A simulation-and-regression approach for stochastic dynamic programs with endogenous state variables
Denault, Michel; Simonato, Jean-Guy; Stentoft, Lars - In: Computers & operations research : and their … 40 (2013) 11, pp. 2760-2769
Persistent link: https://www.econbiz.de/10010149039
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Seasonal BVAR models: A search along some time domain priors
Raynauld, Jacques; Simonato, Jean-Guy - In: Journal of econometrics 55 (1993) 1-2, pp. 203-230
Persistent link: https://www.econbiz.de/10006805331