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Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust IV

International journal of finance and economics, 2023-11

2023

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Testing Fama-French's new five-factor asset pricing model: evidence from robust instruments

Applied economics letters, 2016-04, Vol.23 (6), p.444-448

2016

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Yield Curve Forecasting with the Burg Model

Journal of forecasting, 2017-01, Vol.36 (1), p.91-99

2017

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A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model

Applied economics letters, 2017-03, Vol.24 (6), p.410-416

2017

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Examining the dynamics of illiquidity risks within the phases of the business cycle

Borsa Istanbul Review, 2019-06, Vol.19 (2), p.117-131

2019

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The Pástor-Stambaugh empirical model revisited: Evidence from robust instruments

Journal of asset management, 2015-09, Vol.16 (5), p.329-341

2015

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The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test

PloS one, 2019-09, Vol.14 (9), p.e0221599-e0221599

2019

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From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation

The Journal of consumer affairs, 2020-12, Vol.54 (4), p.1195-1212

2020

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Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note

Applied economics, 2015-02, Vol.47 (10), p.981-989

Racicot, François-Éric

2015

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Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds

Journal of banking & finance, 2016-01, Vol.62, p.41-61

2016

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Hedge fund return higher moments over the business cycle

Economic modelling, 2019-05, Vol.78, p.73-97

2019

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Multi-moment risk, hedging strategies, & the business cycle

International review of economics & finance, 2018-11, Vol.58, p.637-675

2018

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The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach

Economic modelling, 2021-01, Vol.94, p.843-872

2021

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Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach

Financial innovation (Heidelberg), 2022-03, Vol.8 (1), p.24-24, Article 24

2022

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Too Big to Fail or Too Deceitful to be Caught?

Journal of economic issues, 2021-07, Vol.55 (3), p.736-759

2021

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The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks

International review of economics & finance, 2021-03, Vol.72, p.289-318

2021

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Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives

Computational economics, 2020, Vol.55 (1), p.1-35

2020

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Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?

Economic modelling, 2019-05, Vol.78, p.11-31

2019

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Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly

Applied economics, 2018-07, Vol.50 (32), p.3441-3463

2018

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A stylized model of home buyers' and bankers' behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective

Applied economics, 2017-02, Vol.49 (9), p.915-928

2017

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Cumulant instrument estimators for hedge fund return models with errors in variables

Applied economics, 2014-04, Vol.46 (10), p.1134-1149

2014

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Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution

Applied economics, 2015-11, Vol.47 (51), p.5461-5475

2015

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The q-factor model and the redundancy of the value factor: An application to hedge funds

Journal of asset management, 2016-12, Vol.17 (7), p.526-539

2016

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Assessing the impact of taxation on the effective tax rate and operational risk of capital investment projects under optimal capital structures

International review of economics & finance, 2024-11, Vol.96, p.103589, Article 103589

2024

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Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables

International advances in economic research, 2017-02, Vol.23 (1), p.75-90

2017

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Is illiquidity priced in an international factor pricing model? A dynamic panel data application with robust IV

Testing Fama-French's new five-factor asset pricing model: evidence from robust instruments

Yield Curve Forecasting with the Burg Model

A panel data robust instrumental variable approach: a test of the new Fama-French five-factor model

Examining the dynamics of illiquidity risks within the phases of the business cycle

The Pástor-Stambaugh empirical model revisited: Evidence from robust instruments

The conditional Fama-French model and endogenous illiquidity: A robust instrumental variables test

From wheel of fortune to wheel of misfortune: Financial crises, cycles, and consumer predation

Engineering robust instruments for GMM estimation of panel data regression models with errors in variables: a note

Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds

Hedge fund return higher moments over the business cycle

Multi-moment risk, hedging strategies, & the business cycle

The response of hedge fund tail risk to macroeconomic shocks: A nonlinear VAR approach

Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach

Too Big to Fail or Too Deceitful to be Caught?

The response of hedge fund higher moment risk to macroeconomic and illiquidity shocks

Increment Variance Reduction Techniques with an Application to Multi-name Credit Derivatives

Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?

Heteroscedasticity of deviations in market bubble moments – how the goods and bads lead to the ugly

A stylized model of home buyers' and bankers' behaviours during the 2007-2009 US subprime mortgage crisis: a predatory perspective

Cumulant instrument estimators for hedge fund return models with errors in variables

Modelling conditional moments and correlation with the continuous hidden-threshold-skew-normal distribution

The q-factor model and the redundancy of the value factor: An application to hedge funds

Assessing the impact of taxation on the effective tax rate and operational risk of capital investment projects under optimal capital structures

Rolling Regression Analysis of the Pástor-Stambaugh Model: Evidence from Robust Instrumental Variables

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