François-Éric Racicot : Citation Profile


Are you François-Éric Racicot?

Université d'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)

6

H index

4

i10 index

131

Citations

RESEARCH PRODUCTION:

33

Articles

26

Papers

RESEARCH ACTIVITY:

   22 years (2000 - 2022). See details.
   Cites by year: 5
   Journals where François-Éric Racicot has often published
   Relations with other researchers
   Recent citing documents: 12.    Total self citations: 20 (13.25 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pra162
   Updated: 2024-04-18    RAS profile: 2022-05-23    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Mesly, Olivier (4)

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

Is cited by:

Mesly, Olivier (7)

Sutcliffe, Charles (4)

Gil-Alana, Luis (3)

Caporale, Guglielmo Maria (3)

Drakos, Konstantinos (3)

Plastun, Alex (3)

Lambert, Marie (3)

Kerstens, Kristiaan (2)

Jareño, Francisco (2)

Allegret, Jean-Pierre (2)

Ledenyov, Viktor (2)

Cites to:

Caglayan, Mustafa (33)

French, Kenneth (31)

Fama, Eugene (29)

pagan, adrian (25)

Baum, Christopher (22)

Shleifer, Andrei (17)

Bollerslev, Tim (17)

Kose, Ayhan (15)

Stambaugh, Robert (15)

Claessens, Stijn (15)

Ozkan, Neslihan (14)

Main data


Where François-Éric Racicot has published?


Journals with more than one article published# docs
Applied Economics5
International Advances in Economic Research5
Economic Modelling3
Journal of Asset Management2
Finance2
Atlantic Economic Journal2
Applied Economics Letters2
International Review of Economics & Finance2

Working Papers Series with more than one paper published# docs
RePAd Working Paper Series / Dpartement des sciences administratives, UQO22
Post-Print / HAL3

Recent works citing François-Éric Racicot (2024 and 2023)


YearTitle of citing document
2023Risk 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

2023The 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

2023Hedge 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

2023Dissecting 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

2023A 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

2023Corporate 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

2023Have 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

2023On 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

2023Bank 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

2023The 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

2023.

Full description at Econpapers || Download paper

Works by François-Éric Racicot:


YearTitleTypeCited
2020From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation In: Journal of Consumer Affairs.
[Full Text][Citation analysis]
article1
2020From 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
2016The asymmetrical behavior of hedge funds across the state of the business cycle: The q -factor model revisited In: Finance.
[Full Text][Citation analysis]
article1
2018Testing the new Fama and French factors with illiquidity: A panel data investigation In: Finance.
[Full Text][Citation analysis]
article5
2019Predatory cells and puzzling financial crises: Are toxic products good for the financial markets? In: Economic Modelling.
[Full Text][Citation analysis]
article3
2018Predatory 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
2019Hedge fund return higher moments over the business cycle In: Economic Modelling.
[Full Text][Citation analysis]
article13
2021The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach In: Economic Modelling.
[Full Text][Citation analysis]
article4
2007Capital asset pricing models revisited: Evidence from errors in variables In: Economics Letters.
[Full Text][Citation analysis]
article3
2016Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article16
2018Multi-moment risk, hedging strategies, & the business cycle In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article11
2021The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks In: International Review of Economics & Finance.
[Full Text][Citation analysis]
article5
2018Examining the dynamics of illiquidity risks within the phases of the business cycle In: Post-Print.
[Citation analysis]
paper3
2010Hedge Fund Returns, Kalman Filter, and Errors-in-Variables In: Atlantic Economic Journal.
[Full Text][Citation analysis]
article3
2013Accruals, Errors-in-variables, and Tobin’s q In: Atlantic Economic Journal.
[Full Text][Citation analysis]
article0
2020Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives In: Computational Economics.
[Full Text][Citation analysis]
article0
2007Forecasting UHF Financial Data: Realized Volatility versus UHF-GARCH Models In: International Advances in Economic Research.
[Full Text][Citation analysis]
article0
2008Forecasting Irregularly Spaced UHF Financial Data: Realized Volatility vs UHF-GARCH Models In: International Advances in Economic Research.
[Full Text][Citation analysis]
article3
2006Forecasting 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: 3
paper
2008On Optimal Instrumental Variables Generators: An Application to Hedge Funds Returns In: International Advances in Economic Research.
[Full Text][Citation analysis]
article1
2009On Optimal Instrumental Variables Generators, with an Application to Hedge Fund Returns In: International Advances in Economic Research.
[Full Text][Citation analysis]
article0
2017Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables In: International Advances in Economic Research.
[Full Text][Citation analysis]
article0
2018Does 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]
article0
2021Too Big to Fail or Too Deceitful to be Caught? In: Journal of Economic Issues.
[Full Text][Citation analysis]
article0
2009Integrating volatility factors in the analysis of the hedge fund alpha puzzle In: Journal of Asset Management.
[Full Text][Citation analysis]
article2
2016The q-factor model and the redundancy of the value factor: An application to hedge funds In: Journal of Asset Management.
[Full Text][Citation analysis]
article0
2019The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test In: PLOS ONE.
[Full Text][Citation analysis]
article7
2007Programmes de volatilité stochastique et de volatilité implicite : applications Visual Basic (Excel) et Matlab In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
2008Optimal Instrumental Variables Generators Based on Improved Hausman Regression, with an Application to Hedge Funds Returns In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper1
2010Accruals, Investment and Errors-in-Variables In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
2010Accruals, Cash-Flows and Tobin’s q : An Investment Perspective on Firm Accruals In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
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.
[Full Text][Citation analysis]
paper0
2007Techniques alternatives d’estimation et tests en présence d’erreurs de mesure sur les variables explicatives In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper1
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.
[Full Text][Citation analysis]
paper0
2005Calibrage économétrique de processus stochastiques avec applications aux données boursières, bancaires et cambiales canadiennes In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
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.
[Full Text][Citation analysis]
paper3
2011Forecasting 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]
paper5
2010Forecasting 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
2012Firms Accruals and Tobin’s q In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
2014La titrisation aux États-Unis et au Canada In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
2005De lévaluation du risque de crédit In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
2005Lassurance de portefeuille: Simulations en Visual Basic de portefeuilles visant à reproduire les flux monétaires de stratégies doptions In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
2006Les modèles HJM et LMM revisités In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
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.
[Full Text][Citation analysis]
paper0
2011Low-frequency components and the Weekend effect revisited: Evidence from Spectral Analysis In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper4
2011Risk Procyclicality and Dynamic Hedge Fund Strategies In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
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.
[Full Text][Citation analysis]
paper0
2006Towards New Empirical Versions of Financial and Accounting Models Corrected for Measurement Errors In: RePAd Working Paper Series.
[Full Text][Citation analysis]
paper0
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.
[Full Text][Citation analysis]
paper0
2022Tracking 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]
article5
2016Testing Fama–French’s new five-factor asset pricing model: evidence from robust instruments In: Applied Economics Letters.
[Full Text][Citation analysis]
article10
2017A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model In: Applied Economics Letters.
[Full Text][Citation analysis]
article4
2012Optimally weighting higher-moment instruments to deal with measurement errors in financial return models In: Applied Financial Economics.
[Full Text][Citation analysis]
article3
2014Cumulant instrument estimators for hedge fund return models with errors in variables In: Applied Economics.
[Full Text][Citation analysis]
article4
2015Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note In: Applied Economics.
[Full Text][Citation analysis]
article6
2015Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution In: Applied Economics.
[Full Text][Citation analysis]
article0
2017A 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]
article1
2018Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly In: Applied Economics.
[Full Text][Citation analysis]
article2
2017Yield Curve Forecasting with the Burg Model In: Journal of Forecasting.
[Full Text][Citation analysis]
article1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2024. Contact: CitEc Team