Professeure adjointe :
• Économétrie de la finance


Adresse : HEC Montréal
3000, Chemin de la Côte-Sainte-Catherine
Montréal, Québec, CANADA H3T 2A7


Tel : (514) 340 7004
Fax : (514) 340 5632
e-mail : pascale.valery@hec.ca
Curriculum vitae
    Publications:
  • Exact and asymptotic tests for possibly non-regular hypotheses on stochastic volatility models, with Jean-Marie Dufour. Journal of Econometrics, (2009), vol 150, p193-206.
  • The Dynamics of Foreign Direct Investment and Privatization: An Empirical Analysis, with Narjess Boubakri, Jean-Claude Cosset and Nassima Debab, Management International, (2009), vol 13, n° 2, p.81-92.
  • Diffusion Processes with Polynomial Eigenfunctions, with Christian Gouriéroux and Eric Renault, Les Annales d'Économie et de Statistique, (2007), vol 85, p115-130.
  • On a simple two-stage closed-form estimator for a stochastic volatility in a general linear regression, with Jean-Marie Dufour. Advances in Econometrics, (2006), vol 20, Part A, p 259-288.

 

 
   
   Working Papers :

 
   
    Conferences :
  •  Wald and GMM-based score tests when rank conditions fail: a regularization approach, Invited speaker seminar, Marcel Dagenais Econometric seminar, Economics Department, Université de Montréal, October, 30th 2008.
  • Simulation-based regularized tests in the presence of singular covariance matrices, NBER-NSF time series conference, University of Aarhus, September, 12-13 2008.
  • Exact tests for testing short- and long-memory features for stochastic volatility models, MCQMC08 conference, Montréal, July 6-11  2008.
  • Regularized inference in a GMM framework, CIREQ Conference on GMM, Montréal,  November 16-17 2007.
  • A Quasi-likelihood Approach based on Eigenfunctions for a bounded-valued Jacobi process  with an application to bond default probability estimation, International workshop on Computational and Financial Econometrics, Genève,  April, 20-22 2007.
  • First Symposium in Econometrics Theory ans Applications, SETA meeting in Taipei,  May 2005.
  • Financial Econometrics Conference, 16-17 May 2005, CIRANO
  •  Quantitative methods in finance, Sydney  December, 15-18 2004
  •  3rd Annual Advances in Econometrics Conference, November, 5-7 2004, LSU, Baton Rouge
  •  EEA-ESEM 2004, European Meeting of the Econometric Society,  August , 20-242004, Universidad Carlos III de Madrid
  •  Econometric Society, 2004 North American Meeting, June, 17-20  2004, Brown University, Providence, Rhode Island
  •  Financial Econometrics Conference, May, 7-8 2004, CIRANO
   
   Course Materials :