6
H index
4
i10 index
137
Citations
François-Éric Racicot : Citation Profile
Université d'Ottawa (62% share) | RESEARCH PRODUCTION: 33 Articles 26 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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22 years (2000 - 2022). Relations with other researchers
Works with:
Authors registered in RePEc who have co-authored more than one work in the last five years with François-Éric Racicot. | Is cited by:
| Cites to:
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Main data
Where François-Éric Racicot has published?
| Journals with more than one article published | # docs |
|---|---|
| Applied Economics | 5 |
| International Advances in Economic Research | 5 |
| Economic Modelling | 3 |
| Applied Economics Letters | 2 |
| International Review of Economics & Finance | 2 |
| Journal of Asset Management | 2 |
| Atlantic Economic Journal | 2 |
| Finance | 2 |
| Working Papers Series with more than one paper published | # docs |
|---|---|
| RePAd Working Paper Series / Département des sciences administratives, UQO | 22 |
| Post-Print / HAL | 3 |
Recent works citing François-Éric Racicot (2024 and 2023)
| Year | Title of citing document |
|---|---|
| 2023 | Risk assessment of shock periods and investment attractiveness of agroholdings of Ukraine. (2023). Rogoza, Nataliy ; Nehrey, Maryna ; Voronenko, Iryna ; Klymenko, Nataliia. In: Agricultural and Resource Economics: International Scientific E-Journal. RePEc:ags:areint:337439. Full description at Econpapers || Download paper |
| 2023 | The Fama-French Five-Factor Asset Pricing Model: A Research on Borsa Istanbul. (2023). Alshiqi, Sevdie ; Demirel, Bilge Leyli ; Dogan, Mesut ; Altinay, Aysenur Tarakcioglu. In: Economic Studies journal. RePEc:bas:econst:y:2023:i:4:p:3-21. Full description at Econpapers || Download paper |
| 2023 | Hedge funds trading strategies and leverage. (2023). Mu, Congming ; Lu, Lei ; Liu, Wenqiong ; Huang, Wenli. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:149:y:2023:i:c:s016518892300043x. Full description at Econpapers || Download paper |
| 2023 | Dissecting hedge funds strategies. (2023). Noori, Mohammad ; Hitaj, Asmerilda. In: International Review of Financial Analysis. RePEc:eee:finana:v:85:y:2023:i:c:s1057521922004033. Full description at Econpapers || Download paper |
| 2023 | A tale of idiosyncratic volatility and illiquidity shocks: Their correlation and effects on stock returns. (2023). Huang, Zhaodan ; Han, Yufeng. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000339. Full description at Econpapers || Download paper |
| 2023 | Corporate strategy aggressiveness and bond credit spreads. (2023). Hou, Qiqi ; Wang, Shuguang. In: Finance Research Letters. RePEc:eee:finlet:v:56:y:2023:i:c:s1544612323005317. Full description at Econpapers || Download paper |
| 2023 | Have cryptocurrencies become an inflation hedge after the reopening of the U.S. economy?. (2023). Kurosaki, Tetsuo ; Sakurai, Yuji. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000417. Full description at Econpapers || Download paper |
| 2024 | Natural disasters, stock price volatility in the property-liability insurance market and sustainability: An unexplored link. (2024). Farraj, Nermeen Abi ; Naimy, Viviane ; Montero, Jose-Maria ; el Khoury, Rim. In: Socio-Economic Planning Sciences. RePEc:eee:soceps:v:91:y:2024:i:c:s0038012123003038. Full description at Econpapers || Download paper |
| 2023 | On the relationship between Jorda?s IRF local projection and Dufour et al.?s robust (p,h)-autoregression multihorizon causality: a note. (2023). Tessierc, David ; Racicota, Franois-Eric. In: Working Papers. RePEc:ipg:wpaper:2023-001. Full description at Econpapers || Download paper |
| 2024 | Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: MetaArXiv. RePEc:osf:metaar:ps2yn. Full description at Econpapers || Download paper |
| 2023 | Bank performance before and after the subprime crisis: Evidence from pooled data on big US banks. (2023). Theoret, Raymond ; Calmes, Christian. In: Journal of Economics and Finance. RePEc:spr:jecfin:v:47:y:2023:i:2:d:10.1007_s12197-023-09618-x. Full description at Econpapers || Download paper |
| 2023 | The Role of Financial Spinning, Learning, and Predation in Market Failure. (2023). Huck, Nicolas ; Mavoori, Hareesh ; Mesly, Olivier. In: Journal of the Knowledge Economy. RePEc:spr:jknowl:v:14:y:2023:i:1:d:10.1007_s13132-021-00862-2. Full description at Econpapers || Download paper |
| 2024 | Where Have All the Alphas Gone? A Meta-Analysis of Hedge Fund Performance. (2024). Irsova, Zuzana ; Havranek, Tomas ; Novak, Jiri ; Yang, Fan. In: EconStor Preprints. RePEc:zbw:esprep:289497. Full description at Econpapers || Download paper |
Works by François-Éric Racicot:
| Year | Title | Type | Cited |
|---|---|---|---|
| 2020 | From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation In: Journal of Consumer Affairs. [Full Text][Citation analysis] | article | 1 |
| 2020 | From wheel of fortune to wheel of misfortune : Financial crises, cycles, and consumer predation.(2020) In: Post-Print. [Citation analysis] This paper has nother version. Agregated cites: 1 | paper | |
| 2016 | The asymmetrical behavior of hedge funds across the state of the business cycle: The q -factor model revisited In: Finance. [Full Text][Citation analysis] | article | 1 |
| 2018 | Testing the new Fama and French factors with illiquidity: A panel data investigation In: Finance. [Full Text][Citation analysis] | article | 5 |
| 2019 | Predatory cells and puzzling financial crises: Are toxic products good for the financial markets? In: Economic Modelling. [Full Text][Citation analysis] | article | 3 |
| 2018 | Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?.(2018) In: Post-Print. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 3 | paper | |
| 2019 | Hedge fund return higher moments over the business cycle In: Economic Modelling. [Full Text][Citation analysis] | article | 14 |
| 2021 | The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach In: Economic Modelling. [Full Text][Citation analysis] | article | 4 |
| 2007 | Capital asset pricing models revisited: Evidence from errors in variables In: Economics Letters. [Full Text][Citation analysis] | article | 3 |
| 2016 | Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 17 |
| 2018 | Multi-moment risk, hedging strategies, & the business cycle In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 11 |
| 2021 | The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks In: International Review of Economics & Finance. [Full Text][Citation analysis] | article | 5 |
| 2018 | Examining the dynamics of illiquidity risks within the phases of the business cycle In: Post-Print. [Citation analysis] | paper | 3 |
| 2010 | Hedge Fund Returns, Kalman Filter, and Errors-in-Variables In: Atlantic Economic Journal. [Full Text][Citation analysis] | article | 3 |
| 2013 | Accruals, Errors-in-variables, and Tobin’s q In: Atlantic Economic Journal. [Full Text][Citation analysis] | article | 0 |
| 2020 | Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives In: Computational Economics. [Full Text][Citation analysis] | article | 0 |
| 2007 | Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models In: International Advances in Economic Research. [Full Text][Citation analysis] | article | 0 |
| 2008 | Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models In: International Advances in Economic Research. [Full Text][Citation analysis] | article | 4 |
| 2006 | Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models.(2006) In: RePAd Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 4 | paper | |
| 2008 | On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns In: International Advances in Economic Research. [Full Text][Citation analysis] | article | 1 |
| 2009 | On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns In: International Advances in Economic Research. [Full Text][Citation analysis] | article | 0 |
| 2017 | Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables In: International Advances in Economic Research. [Full Text][Citation analysis] | article | 0 |
| 2018 | Does Illiquidity Matter? An Errors-in-Variables Perspective/¿Es importante la iliquidez? Un análisis desde el enfoque de errores en variables In: Estudios de Economia Aplicada. [Full Text][Citation analysis] | article | 0 |
| 2021 | Too Big to Fail or Too Deceitful to be Caught? In: Journal of Economic Issues. [Full Text][Citation analysis] | article | 0 |
| 2009 | Integrating volatility factors in the analysis of the hedge fund alpha puzzle In: Journal of Asset Management. [Full Text][Citation analysis] | article | 4 |
| 2016 | The q-factor model and the redundancy of the value factor: An application to hedge funds In: Journal of Asset Management. [Full Text][Citation analysis] | article | 0 |
| 2019 | The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test In: PLOS ONE. [Full Text][Citation analysis] | article | 7 |
| 2007 | Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2008 | Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Accruals, Investment and Errors-in-Variables In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2010 | Accruals, Cash-Flows and Tobin’s q : An Investment Perspective on Firm Accruals In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2006 | La 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. [Full Text][Citation analysis] | paper | 0 |
| 2007 | Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2000 | Estimation 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. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Quelques applications du filtre de Kalman en finance: estimation et prévision de la volatilité stochastique et du rapport cours-bénéfices In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 3 |
| 2011 | Forecasting stochastic Volatility using the Kalman filter: An Application to Canadian Interest Rates and Price-Earnings Ratio In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 5 |
| 2010 | Forecasting stochastic Volatility using the Kalman filter: an application to Canadian Interest Rates and Price-Earnings Ratio.(2010) In: MPRA Paper. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 5 | paper | |
| 2012 | Firms Accruals and Tobin’s q In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2014 | La titrisation aux États-Unis et au Canada In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2005 | De lévaluation du risque de crédit In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Lassurance de portefeuille: Simulations en Visual Basic de portefeuilles visant àreproduire les flux monétaires de stratégies doptions In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Les modèles HJM et LMM revisités In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2006 | La 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. [Full Text][Citation analysis] | paper | 0 |
| 2011 | Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Risk Procyclicality and Dynamic Hedge Fund Strategies In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Simulations 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. [Full Text][Citation analysis] | paper | 0 |
| 2006 | Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors In: RePAd Working Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 2006 | A 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. [Full Text][Citation analysis] | paper | 0 |
| 2022 | Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach In: Financial Innovation. [Full Text][Citation analysis] | article | 5 |
| 2016 | Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments In: Applied Economics Letters. [Full Text][Citation analysis] | article | 10 |
| 2017 | A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model In: Applied Economics Letters. [Full Text][Citation analysis] | article | 4 |
| 2012 | Optimally weighting higher-moment instruments to deal with measurement errors in financial return models In: Applied Financial Economics. [Full Text][Citation analysis] | article | 3 |
| 2014 | Cumulant instrument estimators for hedge fund return models with errors in variables In: Applied Economics. [Full Text][Citation analysis] | article | 4 |
| 2015 | Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note In: Applied Economics. [Full Text][Citation analysis] | article | 6 |
| 2015 | Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution In: Applied Economics. [Full Text][Citation analysis] | article | 0 |
| 2017 | A stylized model of home buyers’ and bankers’ behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective In: Applied Economics. [Full Text][Citation analysis] | article | 1 |
| 2018 | Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly In: Applied Economics. [Full Text][Citation analysis] | article | 2 |
| 2017 | Yield Curve Forecasting with the Burg Model In: Journal of Forecasting. [Full Text][Citation analysis] | article | 2 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Last updated November, 3 2024. Contact: CitEc Team