Jean-Guy Simonato : Citation Profile


Are you Jean-Guy Simonato?

Centre de Recherche sur les Risques, les Enjeux Économiques et les Politiques Publiques (CRREP)
HEC Montréal (École des Hautes Études Commerciales)

9

H index

8

i10 index

336

Citations

RESEARCH PRODUCTION:

5

Articles

8

Papers

RESEARCH ACTIVITY:

   15 years (1992 - 2007). See details.
   Cites by year: 22
   Journals where Jean-Guy Simonato has often published
   Relations with other researchers
   Recent citing documents: 10.    Total self citations: 3 (0.88 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/psi36
   Updated: 2022-08-06    RAS profile: 2008-10-20    
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Relations with other researchers


Works with:

Authors registered in RePEc who have co-authored more than one work in the last five years with Jean-Guy Simonato.

Is cited by:

Dionne, Georges (13)

Christoffersen, Peter (12)

Bernales, Alejandro (8)

Guidolin, Massimo (8)

Lehnert, Thorsten (7)

Yu, Min-Teh (7)

Stentoft, Lars (6)

Ielpo, Florian (5)

zhang, hua (4)

Chevallier, Julien (4)

GUEGAN, Dominique (4)

Cites to:

Bollerslev, Tim (5)

Scholes, Myron (4)

Lando, David (4)

Duffie, Darrell (3)

merton, robert (3)

Schuermann, Til (3)

Singleton, Kenneth (3)

Pennacchi, George (3)

Jarrow, Robert (2)

Engle, Robert (2)

Christensen, Jens (2)

Main data


Where Jean-Guy Simonato has published?


Recent works citing Jean-Guy Simonato (2022 and 2021)


YearTitle of citing document
2021Market Complete Option Valuation using a Jarrow-Rudd Pricing Tree with Skewness and Kurtosis. (2021). Rachev, Svetlozar T ; Fabozzi, Frank J ; Lindquist, Brent W ; Shirvani, Abootaleb ; Hu, Yuan. In: Papers. RePEc:arx:papers:2106.09128.

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2022Market complete option valuation using a Jarrow-Rudd pricing tree with skewness and kurtosis. (2022). Fabozzi, Frank J ; Shirvani, Abootaleb ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000501.

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2022Pricing defaultable bonds under Hawkes jump-diffusion processes. (2022). Xiao, Weilin ; Ma, Yong ; Chen, LI. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322000587.

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2021Forecasting the volatility of asset returns: The informational gains from option prices. (2021). Yao, Wenying ; Tang, Chrismin ; Martin, Vance L. In: International Journal of Forecasting. RePEc:eee:intfor:v:37:y:2021:i:2:p:862-880.

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2022Dissecting the yield curve: The international evidence. (2022). Plazzi, Alberto ; Berardi, Andrea. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002429.

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2021Pricing catastrophe swaps with default risk and stochastic interest rates. (2021). Yu, Min-Teh ; Lee, Jin-Ping ; Chang, Carolyn W ; Lo, Chien-Ling. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:68:y:2021:i:c:s0927538x19305165.

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2021A spatial analysis of borrowers’ mortgage termination decision – A nonparametric approach. (2021). Munneke, Henry J ; Fang, LU. In: Regional Science and Urban Economics. RePEc:eee:regeco:v:86:y:2021:i:c:s0166046220302805.

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2022Evaluation of European Deposit Insurance Scheme funding based on risk analysis. (2022). Urea, Antonio Partal ; Ruiz, Rafael Moreno ; Martinez, Eduardo Trigo ; Fernandez-Aguado, Pilar Gomez. In: International Review of Economics & Finance. RePEc:eee:reveco:v:78:y:2022:i:c:p:234-247.

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2021.

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2021The TIPS Liquidity Premium*. (2021). Riddell, Simon ; Andreasen, Martin M. In: Review of Finance. RePEc:oup:revfin:v:25:y:2021:i:6:p:1639-1675..

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Works by Jean-Guy Simonato:


YearTitleTypeCited
1995Empirical Martingale Simulation for Asset Prices In: CIRANO Working Papers.
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paper60
1995Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter In: CIRANO Working Papers.
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paper118
1999Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter..(1999) In: Review of Quantitative Finance and Accounting.
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This paper has another version. Agregated cites: 118
article
1999Pricing Discretely Monitored Barrier Options by a Markov Chain In: CIRANO Working Papers.
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paper13
2001American option pricing under GARCH by a Markov chain approximation In: Journal of Economic Dynamics and Control.
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article39
1992Estimation of GARCH process in the presence of structural change In: Economics Letters.
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article9
1993Seasonal BVAR models : A search along some time domain priors In: Journal of Econometrics.
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article4
2002Maximum likelihood estimation of deposit insurance value with interest rate risk In: Journal of Empirical Finance.
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article23
1998The Estimation of Deposit Insurance with Interest Rate Risk In: Ecole des Hautes Etudes Commerciales de Montreal-.
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paper2
2005Default Risk in Corporate Yield Spreads In: Cahiers de recherche.
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paper14
2007A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors In: Cahiers de recherche.
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paper23
American GARCH Option Pricing by a Markov Chain Approximation In: Computing in Economics and Finance 1997.
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paper31
2002Seize the Moments: Approximating American Option Prices in the GARCH Framework In: Finance.
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paper0

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