|
2008
|
| |
|
Ref.no
|
CREF 08-05 |
Date
|
July 2008 |
Title
|
Organizational
Redesign, Information Technologies and Workplace Productivity |
Author(s)
|
Benoit Dostie, Rajshri Jayaraman
|
Pages
|
45 |
|
|
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(PDF)
|
 |
| |
|
Ref.no
|
CREF 08-04 |
Date
|
April 2008 |
Title
|
Credible
Privatization and Market Sentiment: Evidence from Emerging Bond Markets |
Author(s)
|
Narjess Boubakri, Jean-Claude Cosset, Houcem Smaoui
|
Pages
|
43 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 08-03 |
Date
|
April 2008 |
Title
|
Swap Rate
Movements via the Target Rate: a No-arbitrage Regime-Switch Approach |
Author(s)
|
René Ferland, Geneviève Gauthier, Simon Lalancette
|
Pages
|
25 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 08-02 |
Date
|
April 2008 |
Title
|
A Structural
Credit Risk Model with a Reduced-form Default Trigger |
Author(s)
|
Mathieu Boudreault, Geneviève Gauthier
|
Pages
|
40 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 08-01 |
Date
|
February 2008 |
Title
|
Mutual Fund
Competition in the Presence of Dynamic Flows |
Author(s)
|
Michèle Breton, Julien Hugonnier, Tarek Masmoudi
|
Pages
|
32 |
|
|
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(PDF)
|
|
| |
|
|
2007
|
| |
|
Ref.no
|
CREF 07-26 |
Date
|
December 2007 |
Title
|
Mixed
Exponential Power Asymmetric Conditional Heteroskedasticity |
Author(s)
|
Mohammed Bouaddi, Jeroen Rombouts
|
Pages
|
27 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-25 |
Date
|
December 2007 |
Title
|
Analyst
Following of Privatized Firms around the world: The Role of Policy Risk
and Institutions |
Author(s)
|
Narjess Boubakri, Lobna Bouslimi
|
Pages
|
45 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-24 |
Date
|
December 2007 |
Title
|
Dynamic
Strategies in a Limit Order Market |
Author(s)
|
Joshua Slive
|
Pages
|
31 |
|
|
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(PDF) |
|
| |
|
Ref.no
|
CREF 07-23 |
Date
|
October 2007 |
Title
|
A Reduced Form
Model of Default Spreads with Markov Switching Macroeconomic Factors |
Author(s)
|
Georges Dionne, Geneviève Gauthier, Khemais Hammami, Mathieu Maurice,
Jean-Guy Simonato
|
Pages
|
45 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-22 |
Date
|
September 2007 |
Title
|
On Debt
Service and Renegotiation when Debt-holders Are More Strategic |
Author(s)
|
Jean-Marc Bourgeon, Georges Dionne
|
Pages
|
35 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-21 |
Date
|
September 2007 |
Title
|
What about
Underevaluating Operational Value at Risk in the Banking Sector? |
Author(s)
|
Georges Dionne, Hela Dahen
|
Pages
|
47 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-20 |
Date
|
September 2007 |
Title
|
Upper and
Lower Bounds for Convex Value Functions of Derivative Contracts |
Author(s)
|
Hatem Ben Ameur, Javier de Frutos, Tarek Fakhfakh, Vacaba Diaby
|
Pages
|
21 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-19 |
Date
|
August 2007 |
Title
|
Theory and
Inference for a Markov-switching GARCH Model |
Author(s)
|
Luc Bauwens, Arie Preminger, Jeroen V.K. Rombouts
|
Pages
|
28 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-18 |
Date
|
August 2007 |
Title
|
Nonparametric
Density Estimation for Multivariate Bounded Data |
Author(s)
|
Taoufik Bouezmarni, Jeroen V.K. Rombouts
|
Pages
|
33 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-17 |
Date
|
August 2007 |
Title
|
An Analysis of
the True Notional Bond System Applied to the CBOT
T-Bond Futures |
Author(s)
|
Ramzi Ben-Abdallah, Hatem Ben Ameur, Michèle Breton
|
Pages
|
29 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-16 |
Date
|
August 2007 |
Title
|
The Optimality
of Uniform Pricing in IPOs: An Optimal Auction Approach |
Author(s)
|
Moez Bennouri, Sonia Falconieri
|
Pages
|
42 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-15 |
Date
|
August 2007 |
Title
|
Discrete-Time
Survival Trees |
Author(s)
|
Imad Bou-Hamad, Denis Larocque, Hatem Ben Ameur, Louise C. Mâsse, Frank
Vitaro, Richard E. Tremblay
|
Pages
|
31 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-14 |
Date
|
August 2007 |
Title
|
The Choice of
ADRs |
Author(s)
|
Jean-Claude Cosset, Narjess Boubakri, Anis Samet
|
Pages
|
49 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-13 |
Date
|
August 2007 |
Title
|
Semiparametric
Multivariate Density Estimation for Positive Data Using Copulas |
Author(s)
|
Taoufik Bouezmarni, Jeroen V.K. Rombouts
|
Pages
|
30 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-12 |
Date
|
July 2007 |
Title
|
American
Option Pricing Under GARCH by Adapting the Quantization Approach
According to the Different Options Classes |
Author(s)
|
Adel Achouri
|
Pages
|
19 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-11 |
Date
|
June 2007 |
Title
|
Dynamic
Quantile Models - Revised |
Author(s)
|
Christian Gouriéroux, Joann Jasiak
|
Pages
|
42 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-10 |
Date
|
June 2007 |
Title
|
Nonlinear
Causailty, with Applications to Liquidity and Stochastic Volatility |
Author(s)
|
Christian Gouriéroux, Joann Jasiak
|
Pages
|
41 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-09 |
Date
|
June 2007 |
Title
|
Modeling Data
Revisions: Measurement Error and Dynamics of "True" Values |
Author(s)
|
Jan P.A.M. Jacobs, Simon van Norden
|
Pages
|
38 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-08 |
Date
|
April 2007 |
Title
|
Determinants
of Insurers' Performance in Risk Pooling, Risk Management, and Financial
Intermediation Activities |
Author(s)
|
Georges Dionne, Robert Gagné, Abdelhakim Nouira
|
Pages
|
36 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-07 |
Date
|
April 2007 |
Title
|
A Degeneracy
in the Analysis of Volatility and Covolatility Effect |
Author(s)
|
Christian Gouriéroux, Joann Jasiak
|
Pages
|
35 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-06 |
Date
|
April 2007 |
Title
|
Environmental
Risks, the Judgment-Proof Problem and Financial Responsibility |
Author(s)
|
Bidénam Kambia-Chopin
|
Pages
|
21 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-05 |
Date
|
April 2007 |
Title
|
Risque de
crédit : Une approche avancée |
Author(s)
|
Christian Gouriéroux, André Tiomo
|
Pages
|
383 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-04 |
Date
|
February 2007 |
Title
|
Does
Privatization Foster Changes in The Quality of Legal Institutions? |
Author(s)
|
Narjess Boubakri, Jean-Claude Cosset, Houcem Smaoui
|
Pages
|
42 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-03 |
Date
|
February 2007 |
Title
|
The Impact of
Internal and External Governance on Debt Financing Costs and Ratings:
International Evidence |
Author(s)
|
Narjess Boubakri, Hatem Ghouma
|
Pages
|
46 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-02 |
Date
|
January 2007 |
Title
|
Political
Connections of Newly Privatized Firms |
Author(s)
|
Narjess Boubakri, Jean-Claude Cosset, Walid Saffar
|
Pages
|
50 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 07-01 |
Date
|
January 2007 |
Title
|
Scaling Models
for the Severity and Frequency of External Operational Loss Data |
Author(s)
|
Hela Dahen, Georges Dionne
|
Pages
|
47 |
|
|
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(PDF)
|
|
| |
|
|
2006
|
| |
|
Ref.no
|
CREF 06-38 |
Date
|
December 2006 |
Title
|
Pricing the
CBOT T-Bonds Futures |
Author(s)
|
Ramzi Ben Abdallah, Hatem Ben Ameur, Michèle Breton
|
Pages
|
34 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-37 |
Date
|
December 2006 |
Title
|
The Value of a
Statistical Life: A Meta-Analysis with a Mixed Effects Regression Model |
Author(s)
|
François Bellavance, Georges Dionne, Martin Lebeau
|
Pages
|
61 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-36 |
Date
|
November 2006 |
Title
|
Density and
Hazard Rate Estimation for Censored and
a-mixing
Data Using Gamma Kernels |
Author(s)
|
Taoufik Bouezmarni, Jeroen V.K. Rombouts
|
Pages
|
25 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-35 |
Date
|
November 2006 |
Title
|
Efficient
Portfolio Analysis Using Distortion Risk Measures |
Author(s)
|
Christian Gouriéroux, Wei Liu
|
Pages
|
34 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-34 |
Date
|
November 2006 |
Title
|
Incomplete
Information, The Term Structure of Interest Rates and Inflation
Forecasts |
Author(s)
|
Thierry Beaulieu-Ferland
|
Pages
|
24 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-33 |
Date
|
October 2006 |
Title
|
Empirical
Evaluation of Investor Rationality in the Asset Allocation Puzzle |
Author(s)
|
Oussama Chakroun, Georges Dionne, Amélie Dugas-Sampara
|
Pages
|
42 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-32 |
Date
|
September 2006 |
Title
|
Autoregressive
Conditional Duration (ACD) Models in Finance : A Survey of the
Theoretical and Empirical Literature |
Author(s)
|
Maria Pacurar
|
Pages
|
62 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-31 |
Date
|
September 2006 |
Title
|
Nonparametric
Density Estimation for Positive Time Series |
Author(s)
|
Taoufik Bouezmarni, Jeroen V.K. Rombouts
|
Pages
|
34 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-30 |
Date
|
September 2006 |
Title
|
The
correlation between FX rate volatility and stock exchange returns
volatility: An emerging markets overview |
Author(s)
|
Aymen Karoui
|
Pages
|
53 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-29 |
Date
|
August 2006 |
Title
|
Corporate
Control and Real Investment in Incomplete Markets |
Author(s)
|
Julien Hugonnier, Erwan Morellec
|
Pages
|
26 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-28 |
Date
|
June 2006 |
Title
|
Consolidation
and Value Creation in the Insurance Industry: The Role of Governance |
Author(s)
|
Narjess Boubakri, Georges Dionne, Thouraya Triki
|
Pages
|
38 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-27 |
Date
|
May 2006 |
Title
|
Do
Internationally Cross-Listed Non-U.S. Firms Obtain More Favorable
Syndicated Loan Terms? |
Author(s)
|
Claudia Champagne, Lawrence Kryzanowski
|
Pages
|
44 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-26 |
Date
|
May 2006 |
Title
|
Efficiency of
Insurance Firms with Endogenous Risk Management and Financial
Intermediation Activities |
Author(s)
|
J. David Cummins, Georges Dionne, Robert Gagné,
Abdelhakim Nouira
|
Pages
|
41 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-25 |
Date
|
May 2006 |
Title
|
Exchange Rates
and Order Flow in the Long Run |
Author(s)
|
Martin Boyer, Simon Van Norden
|
Pages
|
15 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-24 |
Date
|
April 2006 |
Title
|
Optional and
Conditional Components in Hedge Fund Returns |
Author(s)
|
Georges Hübner, Nicolas Papageorgiou
|
Pages
|
65 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-23 |
Date
|
April 2006 |
Title
|
The Returns to
Computer Use Revisited, Again |
Author(s)
|
Benoit Dostie, Rajshri Jayaraman, Mathieu Trépanier
|
Pages
|
28 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-22 |
Date
|
April 2006 |
Title
|
Estimation of
the Default Risk of Publicly Traded Canadian Companies |
Author(s)
|
Georges Dionne, Sadok Laajimi, Sofiane Mejri,
Madalina Petrescu
|
Pages
|
50 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-21 |
Date
|
March 2006 |
Title
|
Dynamic
Quantile Models |
Author(s)
|
Christian Gouriéroux, Joann Jasiak
|
Pages
|
49 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-20 |
Date
|
March 2006 |
Title
|
Association
Between Web-Based Socio-Economic Disclosure and Financial Analyst
Behaviour Under Different Governance Regimes |
Author(s)
|
Walter Aerts, Denis Cormier, Michel Magnan
|
Pages
|
51 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-19 |
Date
|
March 2006 |
Title
|
Improving
Lattice Schemes Through Bias Reduction |
Author(s)
|
Michel Denault, Geneviève Gauthier, Jean-Guy Simonato
|
Pages
|
36 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-18 |
Date
|
March 2006 |
Title
|
Bilinear Term
Structure Model |
Author(s)
|
Christian Gouriéroux, Alain Monfort
|
Pages
|
34 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-17 |
Date
|
March 2006 |
Title
|
Stock options,
managerial decisions and corporate governance: the case of French market |
Author(s)
|
Lilia Rekik
|
Pages
|
30 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-16 |
Date
|
March 2006 |
Title
|
A Dynamic
Programming Approach for Pricing CDS and CDS Options |
Author(s)
|
Hatem Ben Ameur, Damiano Brigo, Eymen Errais
|
Pages
|
24 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-15 |
Date
|
March 2006 |
Title
|
The early
explanatory power of a satellite-based measure in crop yield modeling |
Author(s)
|
Lenny Wall, Denis Larocque, Pierre-Majorique Léger
|
Pages
|
26 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-14 |
Date
|
March 2006 |
Title
|
Semiparametric
multivariate volatility models |
Author(s)
|
Christian M. Hafner, Jeroen Rombouts
|
Pages
|
34 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-13 |
Date
|
March 2006 |
Title
|
The Relative
Importance of Asset Allocation and Security Selection |
Author(s)
|
Kodjovi Assoé, Jean-François L'Her, Jean-François
Plante
|
Pages
|
27 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-12 |
Date
|
March 2006 |
Title
|
MCMC Maximum
Likelihood For Latent State Models |
Author(s)
|
Éric Jacquier, Michael Johannes, Nicholas Polson
|
Pages
|
40 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-11 |
Date
|
March 2006 |
Title
|
Market Beta
Dynamics and Portfolio Efficiency |
Author(s)
|
Eric Ghysels, Éric Jacquier
|
Pages
|
44 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-10 |
Date
|
March 2006 |
Title
|
Continuous
Time Wishart Process for Stochastic Risk |
Author(s)
|
Christian Gouriéroux
|
Pages
|
54 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-09 |
Date
|
March 2006 |
Title
|
Domain
Restrictions on Interest Rates Implied by No Arbitrage |
Author(s)
|
Christian Gouriéroux, Alain Montfort
|
Pages
|
39 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-08 |
Date
|
March 2006 |
Title
|
Political
Uncertainty and Stock Market Returns: Evidence From the 1995 Quebec
Referendum |
Author(s)
|
Marie-Claude Beaulieu, Jean-Claude Cosset, Naceur
Essaddam
|
Pages
|
29 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-07 |
Date
|
February 2006 |
Title
|
Risk Aversion
and Full Rent Extraction in Mechanism Design |
Author(s)
|
Moez Bennouri
|
Pages
|
27 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-06 |
Date
|
February 2006 |
Title
|
Les méthodes
de tarification des options paniers |
Author(s)
|
Nadia Ouertani
|
Pages
|
26 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-05 |
Date
|
February 2006 |
Title
|
Strategic
Conversion and the Risk Mitigating Effect of Convertible Debt |
Author(s)
|
Pascal François, Georges Hübner, Nicolas Papageorgiou
|
Pages
|
51 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-04 |
Date
|
February 2006 |
Title
|
The influence
of software portfolio characteristics on the financial performance of
software industry business combinations |
Author(s)
|
Pierre-Majorique Léger, Louis Quach
|
Pages
|
19 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-03 |
Date
|
February 2006 |
Title
|
Valuing the
intangible: Leveraging upstream relational capital with IT investments |
Author(s)
|
Pierre-Majorique Léger
|
Pages
|
56 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-02 |
Date
|
February 2006 |
Title
|
Multivariate
Mixed Normal Conditional Heteroskedasticity |
Author(s)
|
Luc Bauwens, Christian M. Hafner, Jeroen V.K.
Rombouts
|
Pages
|
26 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 06-01 |
Date
|
February 2006 |
Title
|
Heterogeneous
Basket Options Pricing Using Analytical approximations |
Author(s)
|
Georges Dionne, Geneviève Gauthier, Nadia Ouertani,
Nabil Tahani
|
Pages
|
26 |
|
|
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(PDF)
|
|
| |
|
|
2005
|
| |
|
Ref.no
|
CREF 05-10 |
Date
|
December 2005 |
Title
|
Intraday Value
at Risk (IVaR) Using Tick-by-Tick Data with Application to the Toronto
Stock Exchange |
Author(s)
|
Georges Dionne, Pierre Duchesne, Maria Pacurar
|
Pages
|
42 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-09 |
Date
|
November 2005 |
Title
|
Default Risk
in Corporate Yield Spreads |
Author(s)
|
Georges Dionne, Geneviève Gauthier, Khemaïs Hammami,
Mathieu Maurice, Jean-Guy Simonato
|
Pages
|
46 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-08 |
Date
|
November 2005 |
Title
|
Bayesian
inference for the mixed conditional heteroskedasticity model |
Author(s)
|
Luc Bauwens, Jeroen Rombouts
|
Pages
|
24 |
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-07
|
Date
|
August 2005
|
Title
|
Les rendements de la
formation en entreprise
|
Author(s)
|
Benoit Dostie, Marie-Pierre Pelletier
|
Pages
|
39
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-06
|
Date
|
June 2005
|
Title
|
Is There Any Life After Going
Public? Evidence From the Canadian Market
|
Author(s)
|
Narjess Boubakri, Maher Kooli, Jean-François L'Her
|
Pages
|
30
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-05
|
Date
|
June 2005
|
Title
|
The Dynamics of Privatization,
the Legal Environment and Stock Market Development
|
Author(s)
|
Narjess Boubakri, Olfa Hamza
|
Pages
|
46
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-04
|
Date
|
June 2005
|
Title
|
Risk Management and Corporate
Governance: The Importance of Independence and Financial Knowledge for
the Board and the Audit Committee
|
Author(s)
|
Georges Dionne, Thouraya Triki
|
Pages
|
56
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-03
|
Date
|
April 2005
|
Title
|
Autoregressive Gamma
Processes
|
Author(s)
|
Christian Gouriéroux, Joann Jasiak
|
Pages
|
38
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-02
|
Date
|
April 2005
|
Title
|
The Agency Structure of Loan
Syndicates
|
Author(s)
|
Pascal François, Franck Missonier-Piera
|
Pages
|
53
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 05-01
|
Date
|
March 2005
|
Title
|
Latent Variable Approach to
Modelling Dependence of Credit Risks: Application to French Firms and
Implications for Regulatory Capital
|
Author(s)
|
Sandra Foulcher, Christian Gouriéroux, André Tiomo
|
Pages
|
27
|
|
|
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(PDF)
|
|
| |
|
|
2004
|
| |
|
Ref.no
|
CREF 04-15
|
Date
|
November 2004
|
Title
|
Is There Really a Hierarchy
in Investment Choice?
|
Author(s)
|
Kodjovi Assoé, Jean-François L'Her, Jean-François Plante
|
Pages
|
14
|
|
|
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(PDF)
|
|
|
|
Ref.no
|
CREF 04-14
|
Date
|
August 2004
|
Title
|
Returns to Computer Use and
Organizational Practices of the Firm
|
Author(s)
|
Benoit Dostie,
Mathieu Trépanier
|
Pages
|
47
|
|
|
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(PDF)
|
|
Executive
Summary |
| |
|
Ref.no
|
CREF 04-13
|
Date
|
April 2004
|
Title
|
Migration Correlation: Definition and
Efficient Estimation
|
Author(s)
|
Patrick
Gagliardini, Christian Gouriéroux
|
Pages
|
49
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 04-12
|
Date
|
April 2004
|
Title
|
Profitability of the Short-Run Contrarian
Strategy in Canadian Stock Markets
|
Author(s)
|
Kodjovi Assoé,
Oumar Sy
|
Pages
|
28
|
|
|
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(PDF)
|
|
|
|
Ref.no
|
CREF 04-11
|
Date
|
May 2004
|
Title
|
Stochastic Migration Models with
Application to Corporate Risk
|
Author(s)
|
Patrick
Gagliardini, Christian Gouriéroux
|
Pages
|
73
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 04-10
|
Date
|
May 2004
|
Title
|
Network Effects and the Creation of
Shareholders' Wealth in the Context of Software Firm Mergers and Acquisitions
|
Author(s)
|
Pierre-Majorique
Léger, Sinkyu Yang
|
Pages
|
29
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 04-09
|
Date
|
May 2004
|
Title
|
Derivative Pricing with Multivariate
Stochastic Volatility:
Application to Credit Risk
|
Author(s)
|
Christian
Gouriéroux, Razvan Sufana
|
Pages
|
49
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 04-08
|
Date
|
May 2004
|
Title
|
Optimal Auctions with Asymmetrically
Informed Bidders
|
Author(s)
|
Moez Bennouri,
Sonia Falconieri
|
Pages
|
29
|
|
Executive
Summary |
| |
Accepted for
publication - Economic Theory |
| |
|
Ref.no
|
CREF 04-07
|
Date
|
April 2004
|
Title
|
La structure par termes des taux de
défauts et ratings
|
Author(s)
|
Sandra Foulcher,
Christian Gouriéroux, André Tiomo
|
Pages
|
49
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 04-06
|
Date
|
April 2004
|
Title
|
Conditions Ensuring the Separability of
Asset Demand for All Risk-Averse Investors
|
Author(s)
|
Kaïs Dachraoui,
Georges Dionne
|
Pages
|
35
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 04-05
|
Date
|
April 2004
|
Title
|
The Ordered Qualitative Model for Credit
Rating Transitions
|
Author(s)
|
Dingan Feng,
Christian Gouriéroux, Joann Jasiak
|
Pages
|
56
|
|
|
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(PDF)
|
|
| |
|
Ref.no
|
CREF 04-04
|
Date
|
April 2004
|
Title
|
Estimating the Gains from Trade in Limit
Order Markets
|
Author(s)
|
Burton
Hollifield, Robert A. Miller, Patrik Sandås, Joshua
Slive
|
Pages
|
49
|
|
|
Accepted for
publication - Journal of Finance
|
| |
|
Ref.no
|
CREF 04-03
|
Date
|
March 2004
|
Title
|
Liberalization, Corporate Governance and
the Performance of Privatized Firms in Developing Countries
|
Author(s)
|
Narjess Boubakri,
Jean-Claude Cosset, Omrane Guedhami
|
Pages
|
39
|
|
|
Accepted for
publication - Journal of Corporate Finance
|
| |
|
Ref.no
|
CREF 04-02
|
Date
|
February 2004
|
Title
|
Foreign Investor Participation in
Privatizations: Does the institutional Environment Matter?
|
Author(s)
|
Narjess Boubakri,
Jean-Claude Cosset, Omrane Guedhami, Mohammed Omran
|
Pages
|
32
|
|
|
Accepted for
publication - Journal of Financial Research |
|
|
|
| |
|
Ref.no
|
CREF 04-01
|
Date
|
January 2004
|
Title
|
Renegotiations on Sovereign Debt: Reduce
or Reschedule?
|
Author(s)
|
Pascal François
|
Pages
|
45
|
|
|
Download
(PDF)
|
|
Executive
Summary |
| |
|
|
2003
|
| |
|
Numéro
|
CREF 03-11 |
Date
|
December 2003 |
Titre
|
Incomplete Information,
Heterogeneity and Asset Pricing |
Auteur(s)
|
Tony Berrada |
Pages
|
72 |
|
Télécharger
(PDF) |
|
| |
|
Numéro
|
CREF 03-10 |
Date
|
December 2003 |
Titre
|
Wishart Quadratic Term
Structure Models |
Auteur(s)
|
Christian Gouriéroux,
Razvan Sufana |
Pages
|
35 |
|
Télécharger
(PDF) |
|
| |
|
Numéro
|
CREF 03-09 |
Date
|
December 2003 |
Titre
|
The Foundations of Banks'
Risk Regulation:
A Review of the Literature |
Auteur(s)
|
Georges Dionne |
Pages
|
47 |
|
Télécharger
(PDF) |
|
| |
|
Numéro
|
CREF 03-08 |
Date
|
November 2003 |
Titre
|
Nonlinear Innovations and
Impulse Responses with
Application to VaR Sensitivity |
Auteur(s)
|
Christian Gouriéroux, Joann
Jasiak |
Pages
|
35 |
|
Télécharger
(PDF) |
|
| |
|
Ref.no
|
CREF 03-07
|
Date
|
October 2003
|
Title
|
Auction versus Dealership Markets
|
Author(s)
|
Moez Bennouri
|
Pages
|
45
|
|
|
Download
(PDF)
|
|
| |
|
Ref.no
|
CREF 03-06
|
Date
|
Juillet 2003
|
Title
|
Économétrie de la finance : exemple du
risque de crédit
|
Author(s)
|
Christian Gouriéroux
|
Pages
|
29
|
|
|
Download
(PDF)
|
|
| |
|
Ref.no
|
CREF 03-05
|
Date
|
February 2003
|
Title
|
On testing for duration clustering and
diagnostic checking of models for irregularly spaced transaction
|
Author(s)
|
Pierre Duchesne, Maria Pacurar
|
Pages
|
30
|
|
|
Download
(PDF)
|
|
| |
|
Ref.no
|
CREF 03-04
|
Date
|
September 2003
|
Title
|
Risk Management and Corporate Governance
|
Author(s)
|
Danielle Blanchard, Georges Dionne
|
Pages
|
10
|
|
|
Download
(PDF)
|
|
Executive
Summary |
| |
|
Ref.no
|
CREF 03-03
|
Date
|
August 2003
|
Title
|
Optimal auditing for Insurance Fraud
|
Author(s)
|
Georges Dionne, Florence Giuliano, Pierre
Picard
|
Pages
|
45
|
|
|
Download
(PDF)
|
|
| |
|
Ref.no
|
CREF 03-02
|
Date
|
May 2003
|
Title
|
Spread Term Structure and Default Correlation
|
Author(s)
|
Patrick Gagliardini, Christian Gouriéroux
|
Pages
|
62
|
|
|
Download
(PDF)
|
|
| |
|
Ref.no
|
CREF 03-01
|
Date
|
May 2003
|
Title
|
Banks' Capital, Securitization and Credit Risk: An
Empirical
Evidence for Canada
|
Author(s)
|
Georges Dionne, Tarek M. Harchaoui
|
Pages
|
41
|
|
Download
(PDF) |
|
| |
|
