François-Éric Racicot : Citation Profile


Are you François-Éric Racicot?

Université d'Ottawa / University of Ottawa (62% share)
Université du Québec à Montréal (UQAM) (27% share)
Université de Sherbrooke (5% share)
Institut de Préparation à l'Administration et à la Gestion (IPAG) (4% share)

3

H index

0

i10 index

25

Citations

RESEARCH PRODUCTION:

21

Articles

23

Papers

RESEARCH ACTIVITY:

   18 years (2000 - 2018). See details.
   Cites by year: 1
   Journals where François-Éric Racicot has often published
   Relations with other researchers
   Recent citing documents: 4.    Total self citations: 11 (30.56 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra162
   Updated: 2018-10-13    RAS profile: 2018-04-29    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Calmès, Christian (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with François-Éric Racicot.

Is cited by:

Allegret, Jean-Pierre (3)

Caporale, Guglielmo Maria (3)

Plastun, Alex (3)

Gil-Alana, Luis (3)

Makarenko, Inna (2)

Guillaumin, Cyriac (2)

Ledenyov, Viktor (2)

Josifidis, Kosta (2)

Ledenyov, Dimitri (2)

Hu, Gang (1)

Bai, Jushan (1)

Cites to:

Fama, Eugene (21)

French, Kenneth (18)

Bollerslev, Tim (11)

pagan, adrian (8)

Teoh, Siew Hong (8)

Caglayan, Mustafa (7)

Stambaugh, Robert (6)

Baum, Christopher (6)

Hou, Kewei (6)

Andersen, Torben (6)

Hirshleifer, David (6)

Main data


Where François-Éric Racicot has published?


Journals with more than one article published# docs
International Advances in Economic Research5
Applied Economics4
Applied Economics Letters2
Atlantic Economic Journal2

Working Papers Series with more than one paper published# docs
RePAd Working Paper Series / Dpartement des sciences administratives, UQO22

Recent works citing François-Éric Racicot (2018 and 2017)


YearTitle of citing document
2018A cluster driven log-volatility factor model: a deepening on the source of the volatility clustering. (2018). Verma, Anshul ; di Matteo, Tiziana ; Buonocore, Riccardo Junior . In: Papers. RePEc:arx:papers:1712.02138.

Full description at Econpapers || Download paper

2018Hedge fund performance attribution under various market conditions. (2018). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith. In: International Review of Financial Analysis. RePEc:eee:finana:v:56:y:2018:i:c:p:221-237.

Full description at Econpapers || Download paper

2017Recent advances in explaining hedge fund returns: Implicit factors and exposures. (2017). Stafylas, Dimitrios ; Uddin, Moshfique ; Anderson, Keith. In: Global Finance Journal. RePEc:eee:glofin:v:33:y:2017:i:c:p:69-87.

Full description at Econpapers || Download paper

2018Contribution of the Austrian Governments Financial Market Interventions by HETA Asset Resolution AG to the Stabilisation of the Austrian Financial Market. (2018). Scheiblecker, Marcus ; Pekanov, Atanas ; Kaniovski, Serguei ; Glocker, Christian. In: WIFO Studies. RePEc:wfo:wstudy:60979.

Full description at Econpapers || Download paper

Works by François-Éric Racicot:


YearTitleTypeCited
2016The asymmetrical behavior of hedge funds across the state of the business cycle: The q -factor model revisited In: Finance.
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2007Capital asset pricing models revisited: Evidence from errors in variables In: Economics Letters.
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2016Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds In: Journal of Banking & Finance.
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2016The q-factor and the Fama and French asset pricing models: hedge fund evidence In: Managerial Finance.
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2010Hedge Fund Returns, Kalman Filter, and Errors-in-Variables In: Atlantic Economic Journal.
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article1
2013Accruals, Errors-in-variables, and Tobin’s q In: Atlantic Economic Journal.
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2007Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models In: International Advances in Economic Research.
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2008Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models In: International Advances in Economic Research.
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article4
2006Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models.(2006) In: RePAd Working Paper Series.
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paper
2008On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns In: International Advances in Economic Research.
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2009On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns In: International Advances in Economic Research.
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2017Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables In: International Advances in Economic Research.
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2018Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables In: Estudios de Economía Aplicada.
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2016The q-factor model and the redundancy of the value factor: An application to hedge funds In: Journal of Asset Management.
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2007Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab In: RePAd Working Paper Series.
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2008Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns In: RePAd Working Paper Series.
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2010Accruals, Investment and Errors-in-Variables In: RePAd Working Paper Series.
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2010Accruals, Cash-Flows and Tobin’s q : An Investment Perspective on Firm Accruals In: RePAd Working Paper Series.
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2006La Value-at-Risk: Modèles de la VaR, simulations en Visual Basic (Excel) et autres mesures récentes du risque de marché In: RePAd Working Paper Series.
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2007Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives In: RePAd Working Paper Series.
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2000Estimation et tests en présence derreurs de mesure sur les variables explicatives : vérification empirique par la méthode de simulation Monte Carlo In: RePAd Working Paper Series.
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2005Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes In: RePAd Working Paper Series.
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2005Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices In: RePAd Working Paper Series.
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paper3
2011Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio In: RePAd Working Paper Series.
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2010Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio.(2010) In: MPRA Paper.
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2012Firms Accruals and Tobin’s q In: RePAd Working Paper Series.
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2014La titrisation aux États-Unis et au Canada In: RePAd Working Paper Series.
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2005De lévaluation du risque de crédit In: RePAd Working Paper Series.
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2005Lassurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies doptions In: RePAd Working Paper Series.
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2006Les modèles HJM et LMM revisités In: RePAd Working Paper Series.
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2006La simulation de Monte Carlo: forces et faiblesses (avec applications Visual Basic et Matlab et présentation d’une nouvelle méthode QMC) In: RePAd Working Paper Series.
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2011Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis In: RePAd Working Paper Series.
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2011Risk Procyclicality and Dynamic Hedge Fund Strategies In: RePAd Working Paper Series.
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2006Simulations de la couverture delta et de la couverture delta-gamma d’un portefeuille dans le cadre du modèle de Black et Scholes In: RePAd Working Paper Series.
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2006Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors In: RePAd Working Paper Series.
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2006A New Approach Based on Cumulants for Estimating Financial Regression Models with Errors in the Variables: the Fama and French Model Revisited In: RePAd Working Paper Series.
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2016Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments In: Applied Economics Letters.
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2017A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model In: Applied Economics Letters.
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2012Optimally weighting higher-moment instruments to deal with measurement errors in financial return models In: Applied Financial Economics.
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2014Cumulant instrument estimators for hedge fund return models with errors in variables In: Applied Economics.
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2015Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note In: Applied Economics.
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2015Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution In: Applied Economics.
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2017A stylized model of home buyers’ and bankers’ behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective In: Applied Economics.
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2017Yield Curve Forecasting with the Burg Model In: Journal of Forecasting.
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CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 2th 2018. Contact: CitEc Team