[62] Duchesne, P., Ghoudi, K. & Rémillard, B. (2012). On testing for independence between the innovations of several time series. Canadian Journal of Statistics (in press).
|
|
[61] Rémillard, B., Papageorgiou, N. & Soustra, F. (2012). Copula-based semiparametric models for multivariate time series. Journal of Multivariate
Analysis (in press).
|
|
[60] Hocquard, A., Papageorgiou, N. & Rémillard, B. (2012). The Payoff Distribution Model: An Application to Dynamic Portfolio Insurance. Quantitative Finance (in press).
|
|
[59] Rémillard, B., Hocquard, A., Langlois, H. & Papageorgiou, N. (2012). Optimal hedging of American Options in discrete time.
In Numerical Methods in Finance, Springer Proceeding in Mathematics, 12, R. Carmona, P. del Moral, P. Hu and N. Oudjane, Eds, Springer New York, 145-170.
|
|
[58] Del Moral, P., Rémillard, B. & Rubenthaler, S. (2012). Monte Carlo approximations of American options that preserve monotonicity and convexity.
In Numerical Methods in Finance, Springer Proceeding in Mathematics, 12, R. Carmona, P. del Moral, P. Hu and N. Oudjane, Eds, Springer New York, 115-143.
|
|
[57] Labbé, C., Rémillard, B. & Renaud, J.-F. (2012).
A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing.
Journal of Computational Finance, 15, 3-35.
|
|
[56] Rémillard, B. & J.-F. Renaud (2011). A martingale representation for the maximum of a Lévy process. Communications on Stochastic Analysis 5, 683-688.
|
|
[55] Del Moral, P. Hu, P., Oudjane, N. & Rémillard, B. (2011). On the Robustness of the Snell envelope. Siam Journal on Financial Mathematics 2, 587-626.
|
|
[54] Gagnon, M., Laroche, P. & Rémillard, B. (2011). The Value of Liquidity from the Hedge Fund Portfolio Manager's Perspective. Journal of Alternative Investments. 13, 30-39.
|
|
[53] Rémillard, B. (2011). Tests of independence. In International Encyclopedia of Statistical Science, M. Lovric, ed. Springer
|
|
[52] Rémillard, B. (2009). Discussion of: Brownian distance covariance.
Annals of Applied Statistics, 3, 1295-1298.
|
|
[51] Dupuis, D., Jacquier, E., Papageorgiou, N., & Rémillard, B. (2009).
Empirical study of dependence of credit default data and equity prices. Journal of Futures Markets,
29, 695-712.
|
|
[50] Genest, C., Rémillard, B. & Beaudoin, D. (2009)
Omnibus goodness-of-fit tests for copulas: A review and a power study.
Insurance: Mathematics and Economics, 44, 199-213.
|
[49] Rémillard, B. & Scaillet, O. (2009)
Testing for equality between two copulas.
Journal of Multivariate Analysis, 100, 377-386.
,
Matlab program and Mex files:
|
|
[48] Papageorgiou, N., Rémillard, B. & Hocquard, A. (2008)
Replicating the properties of hedge fund returns.
Journal of Alternative Investments, 11, 8-38.
|
|
[47] Papageorgiou, N., Rémillard, B. & Gardère, J.-L. (2008)
Copula-based credit rating model for evaluating credit basket derivatives. In
Handbook of Credit Portfolio Management,
G. Gregoriou and C. Hoppe, eds. McGraw-Hill, Finance & Investing Series, 163-180.
|
|
[46] Gentil, I. & Rémillard, B. (2008)
Using systematic sampling selection for Monte Carlo solutions of Feynman-Kac equations.
Advances in Applied Probability, 40, 454--472.
|
|
[45] Genest, C. & Rémillard, B. (2008)
Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models.
Annales de l'Institut Henri-Poincaré, 44 , 1096-1127.
|
|
[44] Hocquard, A., Papageorgiou, N. & Rémillard, B. (2008)
Optimal hedging strategies with an application to hedge fund replication.
Wilmott Magazine, Jan-Feb, 62--66.
|
|
[43] Laroche, P., Rémillard, B. (2007)
Hedge funds returnd weighted-symmetry and the Omega© performance measure.
AIMA Journal, No. 77, 20--22.
|
|
[42] Genest, C., Ghoudi, K. & Rémillard, B. (2007)
Rank-based extensions of the Brock, Dechert, and Scheinkman test.
Journal of the American Statistical Association, 102, 1363--1376.
|
|
[41] Renaud, J.-F. & Rémillard, B. (2007)
Explicit martingale representations for Brownian functionals and applications to option hedging.
Stochastic Analysis and Applications, 25, 810--820.
|
|
[40] Genest, C., Quessy, J.-F. & Rémillard, B. (2007)
Asymptotic Local Efficiency of Cramér-von Mises Tests for Multivariate Independence.
The Annals of Statistics, 35, 166--191.
|
|
[39] Genest, C. & Rémillard, B. (2006)
Comments on T. Mikosh's paper "Copulas: Tales and facts".
Extremes, 9, 27--36.
|
|
[38] Berrada, T., Dupuis, D., Jacquier, E. Papageorgiou, N., & Remillard, B. (2006)
Credit migration and derivatives pricing using copulas. Journal of Computational Finance, 10, 43--68.
|
| [37] Genest, C. , Quessy, J.-F. & Rémillard, B. (2006)
Goodness-of-fit procedures for copula models based on the integral probability transformation.
The Scandinavian Journal of Statistics, 33, 337--366.
|
| [36] Genest, C., Quessy, J.-F. & Rémillard, B. (2006)
On the joint asymptotic behavior of two rank-based
estimators of the association parameter in the gamma frailty model.
Statistics and Probability Letters, 76, 10--18.
|
| [35] Genest, C., Quessy, J.-F. & Rémillard, B. (2006)
Local efficiency of a Cramer-von Mises test of independence.
Journal of Multivariate Analysis, 97, 274--294.
|
|
[34] Gentil, I. , Rémillard, B. & Del Moral, P. (2005)
Filtering of images for detecting multiple targets trajectories. In
Statistical Modeling and Analysis for Complex Data Problem.
P. Duchesne and B. Rémillard eds., Springer New York Academic, 267-280.
|
| [33] Abdous, B., Genest, C. & Rémillard, B. (2005)
Dependence properties of meta-elliptical distributions. In
Statistical Modeling and Analysis for Complex Data Problem.
P. Duchesne and B. Rémillard eds., Springer New York Academic, 1-15.
|
|
[32] Genest, C. & Rémillard, B. (2004)
Tests of Independence or Randomness
Based on the Empirical Copula Process. Test, 13, 335--369.
|
|
[31] Ghoudi, K. & Rémillard, B. (2004)
Empirical processes based on pseudo-observations II: The multivariate case. In
Asymptotic Methods in Stochastics: Festschrift for Miklós Csörgö. L. Horváth and B. Szyszkowicz eds.
Fields Institute Communications Series, 44, American
Mathematical Society, 381-406.
|
|
[30] Abdous, B., Ghoudi, K. & Rémillard, B. (2003)
Nonparametric weighted-symmetry tests. The Canadian Journal of Statistics, 31, 357-381.
|
| [29] Genest, C., Quessy, J.-F. & Rémillard, B. (2002)
Testing for randomness against serial dependance using Kendall's process.
The Canadian Journal of Statistics, 30, 441-461.
|
| [28] Rémillard, B. & Theodorescu, R. (2002)
Linnik related distributions. Proceedings of the Romanian Academy, Series A, 3, No. 1-2, 3-6,
|
| [27] Ghoudi, K., Kulperger, R.J. & Rémillard,
B. (2001)
A nonparametric test of serial dependence for time series and residuals.
Journal of Multivariate Analysis, 79, 191-218.
|
| [26]
Kouritzin, M., Rémillard, B. & Chan, C. (2001) Parameter Estimation for
Filtering Problems with Stable Noise, Proceedings of 4th Annual Conference on
Information Fusion, Vol. I, WeB127-WeB130.
|
| [25] Rémillard, B. & Theodorescu, R. (2001)
Estimation based on the empirical characteristic function.
In Asymptotic Methods in Probability and Statistics with Applications,
Statistics for Industry and Technology Series, N.Balakrishnan, I.A. Ibragimov and
V.B. Nevzorov eds., Birkhäuser, Boston, 435-449.
|
| [24] Rémillard, B. & Theodorescu, R. (2000)
Inference based on the empirical probability generating function
for mixtures of Poisson distributions.
Statistics and Decisions, 18, 349-366.
|
| [23] Derbez, E., Jouan, A. & Rémillard, B.
(2000) A comparison of fixed gain IMM against two other filters, Fusion 2000, Paris, 7 pages.
|
| [22] Rémillard, B. (2000)
Large deviations estimates for occupation time
integrals of Brownian motion. In Stochastic Models, A Volume in Honour of
Donald A. Dawson, L. Gorostiza and G. Ivanoff Eds., Canadian Mathematical
Society Conference Proceedings, 26, 375-398.
|
| [21] Rémillard, B. & Beaudoin, C. (1999)
Statistical comparison of images using Gibbs random fields.
Vision Interface'99, 612-617.
|
| [20] Jacques, C., Rémillard, B. & Theodorescu, R. (1999)
Estimation of Linnik law parameters. Statistics & Decisions, 17, No. 3,
213-236.
|
| [19] Ghoudi, K & Rémillard, B. (1998) Empirical processes based
on pseudo-observations. Asymptotic Methods in Probability and Statistics,
A Volume in Honour of Miklos Csorgo, B. Szyskowicz
Ed., Elsevier, 171-197.
|
| [18] N'Zi, M., Rémillard, B. & Theodorescu, R. (1998) Between
Strassen and Chung renormalization for Lévy's area process. Bernoulli,
4, No. 1, 115-125.
|
| [17] Barbe, P., Genest, C., Ghoudi, K. & Rémillard, B. (1996)
On Kendall's process. The Journal of Multivariate Analysis, 58,
197-229.
|
| [16] Genest, C., Ghoudi, K. & Rémillard, B. (1996) A note on
tightness. Statistics and Probability Letters, 27, 331-339.
|
| [15]
Fabi, B., Beauchamp, S., Rémillard, B. et Cardinal, L. (1996).
Déterminants organisationnels du plafonnement de carrière.
Psychologie du Travail et des Organisations, 2, Nos 1-2, 7-25.
|
| [14] Lee, T.-Y. & Rémillard, B. (1995)
Large deviations for the three dimensional super-Brownian motion.
The Annals of Probability, 23, No. 4, 1755-1771.
|
| [13] Abdous, B. & Rémillard, B. (1995)
Relating quantiles and expectiles under weighted-symmetry. The Annals of
the Institute of Statistical Mathematics, 47, No. 2, 371-384.
|
| [12] Rémillard, B. (1994)
On Chung's law of the iterated logarithm for some stochastic integrals.
The Annals of Probability, 22, No 4., 1794-1802.
|
|
[11] Lee, T.-Y., & Rémillard, B. (1994)
Occupation Time Limit Theorems for Independent Random Walks. Measure-valued processes,
stochastic partial differential equations, and interacting systems, D.A. Dawson ed.,
CRM Proceedings and Lecture Notes, Amer. Math. Soc., Volume 5, 151-163.
|
|
[10] Desrochers, J. & Rémillard, B. (1994) Sur l'inaptitude des tests
d'indépendance à rejeter l'hypothèse d'efficience. FINÉCO, 4, No. 1, 63-79.
|
|
[9] Lee, T.-Y., & Rémillard, B.(1994) Occupation times in systems of null
recurrent Markov processes. Probability Theory and Related Fields, 98, 245-259.
|
| [8] Rémillard, B., Reischer, C. & Abdous, B. (1993) A note on Entropy. Mathematical
Reports of the Academy of Science of Canada, The Royal Society of Canada, XIV, No. 6, 279-285.
|
| [7] Reischer, C. & Rémillard, B. (1993) A remark on a variational problem in
probability. Information Sciences, 74, 213-221.
|
| [6] Lee, T.-Y., & Rémillard, B. (1992)
Occupation times in systems of null recurrent
Markov processes. Mathematical Reports of the Academy of Science of Canada,
The Royal Society of Canada, XIV, No. 1, 2-6. |
| [5] Rémillard, B. & Dawson, D.A. (1991) A limit theorem for Brownian motion in a
random scenery. The Canadian Math. Bull. Vol. 34, No. 3, 385-391.
|
| [4] Rémillard, B. (1991)
Asymptotic behaviour of the Laplace transform of weighted
occupation times of random walks and applications. Diffusion
Processes and Related Problems in Analysis,
Volume I, Mark A.Pinski ed. Progress in Probability, 22, Birkhäuser, Boston,497-519.
|
| [3] Rémillard, B. & Dawson, D.A. (1989)
Laws of the iterated logarithm and large
deviations for a class of diffusion processes. Canadian Journal of Statistics, 17, No. 4, 349-376.
|
| [2] Helmes, K., Rémillard, B. & Theodorescu, R. (1987)
The functional law of the
iterated logarithm for Lévy's area process. 5th Working Conference on Stochastic
Differential Systems of the
International Federation for Information Processing, Eisenach, RDA, H.S. Engelbert and W. Schmidts eds. Lecture Notes
in Control and Information Sciences, 96, Springer-Verlag, Berlin, 338-345.
|
| [1] Rémillard, B. & Theodorescu, R. (1986) Invariance properties of a class of Gaussian
diffusion processes by integral transforms. Bull. Sc. Math. 2e série, 110, 129-136.
|