9
H index
8
i10 index
336
Citations
Jean-Guy Simonato : Citation Profile
Centre de Recherche sur les Risques, les Enjeux Économiques et les Politiques Publiques (CRREP) | RESEARCH PRODUCTION: 5 Articles 8 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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15 years (1992 - 2007). 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:
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Main data
Where Jean-Guy Simonato has published?
Recent works citing Jean-Guy Simonato (2022 and 2021)
| Year | Title of citing document |
|---|---|
| 2021 | Market 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. Full description at Econpapers || Download paper |
| 2022 | Market 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. Full description at Econpapers || Download paper |
| 2022 | Pricing 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. Full description at Econpapers || Download paper |
| 2021 | Forecasting 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. Full description at Econpapers || Download paper |
| 2022 | Dissecting 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. Full description at Econpapers || Download paper |
| 2021 | Pricing 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. Full description at Econpapers || Download paper |
| 2021 | A 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. Full description at Econpapers || Download paper |
| 2022 | Evaluation 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. Full description at Econpapers || Download paper |
| 2021 | . Full description at Econpapers || Download paper |
| 2021 | The 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.. Full description at Econpapers || Download paper |
Works by Jean-Guy Simonato:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1995 | Empirical Martingale Simulation for Asset Prices In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 60 |
| 1995 | Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 118 |
| 1999 | Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter..(1999) In: Review of Quantitative Finance and Accounting. [Full Text][Citation analysis] This paper has another version. Agregated cites: 118 | article | |
| 1999 | Pricing Discretely Monitored Barrier Options by a Markov Chain In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2001 | American option pricing under GARCH by a Markov chain approximation In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 39 |
| 1992 | Estimation of GARCH process in the presence of structural change In: Economics Letters. [Full Text][Citation analysis] | article | 9 |
| 1993 | Seasonal BVAR models : A search along some time domain priors In: Journal of Econometrics. [Full Text][Citation analysis] | article | 4 |
| 2002 | Maximum likelihood estimation of deposit insurance value with interest rate risk In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 23 |
| 1998 | The Estimation of Deposit Insurance with Interest Rate Risk In: Ecole des Hautes Etudes Commerciales de Montreal-. [Citation analysis] | paper | 2 |
| 2005 | Default Risk in Corporate Yield Spreads In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 14 |
| 2007 | A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 23 |
| American GARCH Option Pricing by a Markov Chain Approximation In: Computing in Economics and Finance 1997. [Full Text][Citation analysis] | paper | 31 | |
| 2002 | Seize the Moments: Approximating American Option Prices in the GARCH Framework In: Finance. [Full Text][Citation analysis] | paper | 0 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated August, 1st 2022. Contact: CitEc Team