MITACS RESEARCH PROJECT ANNUAL PROGRESS REPORT
Please submit in either Microsoft Word or as Pplain Ttext format
MITACS Project CV and Business Plan
1 Due: NovemberOctober 2 1930, 20043
Sections 8b, 14, 16 due on December 15, 2003
1. Title of Project: Mathematical and Statistical Methods for Financial Modelling and Risk Management
Acronym: (please provide an acronym for your project which will be used for NCE reporting)
Project Website:
1A. Keywords.
Please provide up to 10 keywords describing this research.
1BA. Environmental Impact Certification.
2. Project Description (for public release).
Please provide a 3-42-3 paragraph description of your project, understandable to a layperson, for use by MITACS in publicizing your work to media, government and industry.
This research project studies mathematical and statistical methods for analyzing financial data and helping practitioners of risk modeling and resource management. An important objective is to develop and implement new mathematical and statistical tools for pricing derivatives, hedging risk exposures and managing portfolios. Two general themes are covered: (A) portfolio management and pricing of derivatives, (B) statistical modelling and inference for financial time series.
The first theme covers three topics: (1) optimal portfolio design when state variables follow mixed jump-diffusion processes; (2) option valuation based on generalized models involving latent variables with jump processes; (3) nonlinear analysis for hedge funds hedge fund strategies and portfolio allocation.
The second theme considers several problems related to the statistical analysis of financial time series: (1) volatility modelling: realized volatility methods, stochastic volatility with transaction time risk, robust statistical inference in the presence of random volatility of unknown form; (2) long memory models in finance: long memory in volatility, long memory in continuous time arbitrage based asset pricing; (3) structural modelling in finance: statistical inference on overidentified models, inverse problems, weak instruments in finance; (4) linear methods for for nonlinear time series models; (5) statistical assessment of asset pricing models; (6) mathematical statistical modelling of energy markets.
Both research themes will lead to the development of software for financial modelling and analysis in association with our industrial partners.
Participants to the project include several well-known researchers in mathematical finance, statistics and econometrics: R. Garcia, E. Renault, N. Meddahi, B. Perron, R. Roy (Un. de Montréal), J. Detemple (Boston University), L. Khalaf (Un. Laval) and M. Rindisbacher (Un. of Toronto). The project will be pursued in association with the Finance branch of CIRANO and its partners [AXA, Laurentian Bank of Canada, Bank of Montreal, Caisse de dépôt et de placement du Québec, National Bank of Canada, RBC, Bell Canada, Hydro-Québec, Desjardins, Montreal Stock Exchange, the Ministère des Finances (Québec), Raymond, Chabot, Grant, Thornton, and the Institut de finance mathématique de Montréal].
3. Project Leader.
Name: Jean-Marie Dufour
Department: Département de sciences économiques
University: Université de Montréal
C.P. 6128, succursale centre-ville
Montréal (Québec) H3C 3J7
Phone Number: 1 (514) 343-2400
Fax Number: 1 (514) 343-5831
E-mail Address: jean.marie.dufour@umontreal.ca
Web Page:
Areas of Expertise: Statistics, econometrics, finance. Dufour currently holds the Canada Research Chair in Econometrics. His research covers a wide array of topics related to the statistical methodology for analyzing time series data in econometrics, especially in finance and macroeconomics. His current research include: (1) simulation-based finite-sample as well as more reliable large-sample inference methods in econometrics and finance; (2) techniques for analyzing structural models; (3) causality analysis in multivariate time series; (4) linear methods for estimating univariate and multivariate GARCH models; (4) inference on capital asset pricing models (CAPM) under non-normality; (4) finite-sample and robust techniques for analyzing stable Paretian data.
Name:
Department:
University:
Phone Number:
Fax Number:
E-mail Address:
Web Page:
Areas of Expertise:
4. Other Team MembersProject Network Investigators.
Please create/update the list of Project Network Investigators . – , including partner representatives that are active participants in the research. Identify each Investigator as either:
• a “core investigator”: spending at least 10% of their total time on MITACS-related research;
• a “collaborator”: spending less than 10% of their total time on MITACS-related research.Include complete mailing addresses.
•
•
Indicate with an asterisk (*) any investigators that are new additions to the project since last year's project CV. For each Investigator, provide the following information:
Name: Jérôme Detemple
Core investigator
Department: School of Management
University: Boston University
595 Commonwealth Avenue
Boston, MA 02215, USA
Phone Number: (617) 353-4297
Fax Number: (617) 353-6667
Email address: detemple@bu.edu
Name:
Core investigator / Collaborator?
Department:
University:
Mailing address:
Phone Number:
Fax Number:
E-mail Address:
Web Page:
Identify, by means of an asterisk, up to four (4) team members whose CV’s could be submitted as part of the NCE Renewal application. Please note that their CVs will need to be entered on the “Canadian Common CV”.
Name: René Garcia
Core investigator
Department: Département de sciences économiques
University: Université de Montréal
C.P. 6128, succursale centre-ville
Montréal (Québec) H3C 3J7
Phone Number: (514) 343-5960
Fax Number: (514) 343-5831
Email address: garciar@cirano.qc.ca
Web page:
Name: Lynda Khalaf
Core investigator
Department: Département d’économique
University: Université Laval
Pavillon J.-A. De Sève
Ste-Foy, Québec G1K 7P4
Phone Number: (418) 656-2131-2409
Fax Number: (418) 656-7412
Email address: lynda.khalaf@ecn.ulaval.ca
Web page:
Name: Nour Meddahi
Core investigator
Department: Département de sciences économiques
University: Université de Montréal
C.P. 6128, succursale centre-ville
Montréal (Québec) H3C 3J7
Phone Number: (514) 343-2399
Fax Number: (514) 343-5831
Email address: meddahin@sceco.umontreal.ca
Web page:
Name: Benoîit Perron
Core investigator
Department: Département de sciences économiques
University: Université de Montréal
C.P. 6128, succursale centre-ville
Montréal (Québec) H3C 3J7
Phone Number: (514) 343-2126
Fax Number: (514) 343-5831
Email address: benoit.perron@umontreal.ca
Web page:
Name: Éric Renault (currently on leave at University of North Carolina, Chapel Hill)
Core investigator
Department: Département de sciences économiques
University: Université de Montréal
C.P. 6128, succursale Centre-ville
Montréal (Québec) H3C 3J7
Phone Number: (514) 343-2398
Fax Number: (514) 343-7221
Email address: Eric.Renault@Umontreal.CA
Web page:
Name: Marcel Rindisbacher
Core investigator
Department: Joseph L. Rotman School of Management
University: University of Toronto
105 St. George Street
Toronto
Ontario M5S 3E6
Phone Number: (416) 946-5647
Fax Number: (416) 971-3048
Email address: rindisbm@rotman.utoronto.ca
Web page:
1 Name: Roch Roy
Core investigator
Department: Département de mathématiques et de statistique
University: Université de Montréal
C.P. 6128, succursale centre-ville
Montréal (Québec) H3C 3J7
Phone Number: (514) 343-7977
Fax Number: (514) 343-5700
Email address: royr@dms.umontreal.ca
Web page: ˜royr/
5. Non-Academic Participantsners.
Please create/update the list of non-academic participantsners involved in the Pproject and indicate with an asterisk (*) any partners that are new additions to the project since last year's project CV. For each partner organization, include the following information:
Organization Name:
Name of Primary Contact:
Mailing Address:
Phone Number:
Fax Number:
E-mail Address:
Web Page:
. Separate partners under the following four headings:
Include complete mailing addresses.
a) a) Industrial Ppartners
Patrick Agin
Hydro-Québec
75, boulevard René-Lévesque Ouest, 6e étage
Montréal (Québec) H2Z 1A4
Phone Number: (514) 289 5161
Fax Number: (514) 289 3732
Email address: agin.patrick@hydro.qc.ca
Louis Vachon
Premier vice-président, trésorerie et marchés financiers
Banque Nationale du Canada
1155, rue Metcalfe, 1er étage
Montréal (Québec) H3B 5G2
Phone Number: (514) 397 5819
Fax Number: (514) 394 8218
Email address: louis.vachon@tres.bnc.ca
Philippe Zaugg
Directeur, quantification et modélisation
Intégration des risques et gestion du risque opérationnel
Banque Laurentienne du Canada
1981, avenue McGill College
Montréal (Québec) H3A 3K3
Phone Number: (514) 284-4500 #5926
Fax Number: (514) 284-4006
Email address: philippe.zaugg@banquelaurentienne.ca
Robert Normand
Directeur principal
Recherche et analyses économétriques
Desjardins Gestion internationale d'actifs
1, complexe Desjardins, Tour Sud, 21e étage
Montréal (Québec) H5B 1E2
Phone Number : (514) 285-3144
Fax Number : (514) 285-1529
Email address : rnormand@
b) Federal departments and agencies
c) Provincial departments and agencies
d) Others and A
affiliates
Company Name:
List of ParticipantsName of Contact Mailing Address/ Phone Number/ Fax Number/ E-mail Address/ Web Page
b) Federal departments/agencies
Federal agency:
List of Participants Name of Contact Mailing Address/ Phone Number/ Fax Number/ E-mail Address/ Web Page
c) Provincial departments/agencies
Provincial agency:
List of ParticipantsName of Contact Mailing Address/ Phone Number/ Fax Number/ E-mail Address/ Web Page
d) Others (specify)
Name of organization:
List of ParticipantsName of Contact Mailing Address/ Phone Number/ Fax Number/ E-mail Address/ Web Page
6. Science (maximum 10 pages).
a) Brief summary of the state of knowledge in the field
and ,
b) Project objectives,
This research project deals with the mathematics of risk modeling and resource management, and the statistical analysis of financial data. The objective is to develop and implement new mathematical and statistical tools for pricing derivatives, hedging risk exposures and managing portfolios. The project studies two general themes: (AI) portfolio management and pricing of derivatives; (BII) statistical modelling and inference for financial time series.
The first theme covers three topics: (1) optimal portfolio design when state variables follow mixed jump-diffusion processes; (2) option valuation based on generalized models involving latent variables with jump processes; (3) nonlinear analysis for hedge fund strategies and portfolio aloocations.
The second theme considers several problems related to the statistical analysis of financial time series: (1) volatility modelling: realized volatility methods, stochastic volatility with transaction time risk, robust statistical inference in the presence of random volatility of unknown form; (2) long memory models in finance: long memory in volatility, Llong memory in continuous time arbitrage based asset pricing; (3) structural modelling in finance: statistical inference on over identified models, inverse problems, weak instruments in finance; (4) linear methods for for nonlinear time series models; (5) statistical assessment of asset pricing models; (6) mathematical statistical modelling of energy markets.
This project is a direct extension of our earlier program within MITACS, which was highly successful, but will consider a considerably renewed set of research projects. The team will also includes at least two new researchers from other Canadian universities, Lynda Khalaf (Université Laval) and Marcel Rindisbacher (University of Toronto), who have been collaborating with our team for several years already.
The team now includes eight well-known researchers, from four different universities, in the fields of mathematical finance, statistics and econometrics: R. Garcia, E. Renault, N. Meddahi, B. Perron, R. Roy (Un. de Montréal), J. Detemple (Boston University), L. Khalaf (Un. Laval) and M. Rindisbacher (Un. of Toronto). The project will be pursued in association with the Finance branch of CIRANO and its partners [AXA, Laurentian Bank of Canada, Bank of Montreal, Caisse de dépôt et de placement du Québec, National Bank of Canada, RBC, Bell Canada, Hydro-Québec, Desjardins, Montreal Stock Exchange, the Ministère des Finances (Québec), Raymond, Chabot, Grant, Thornton, and the Institut de finance mathématique de Montréal].
c) Methodology
and,
d) Sub-projects
A. Mathematical methods for portfolio management and option pricing
We will pursue the two wide themes developed in our previous MITACS research project, on strategic portfolio allocation and the equilibrium valuation of options, and add the analysis of hedge funds by nonlinear methods.
A.1. Optimal portfolio allocation In the first line of research, we have developed a Monte Carlo method for computing the shares of an optimal portfolio which include hedging terms accounting for the stochastic evolution of state variables affecting the investment environment. The optimal shares are expressed as expectations of Malliavin derivatives of the state variables that also satisfy diffusion processes. As a result, they can be simulated and the expectations can be computed by standard Monte Carlo averaging. This approach is very flexible. It can be used to deal with large systems involving nonlinear state variable dynamics, large number of assets and state variables and arbitrary utility functions in the von Neumann-Morgenstern class. This research program has led to a publication in the Journal of Finance (Detemple, Garcia and Rindisbacher 2003a) and to several papers accepted for publication in journals (Detemple, Garcia and Rindisbacher 2004a, 2004b) or in the review process (Detemple and Rindisbacher 2004).
An extension of this work, which was proposed in the December 2003 Project CV, deals with the comparative performance of the method based on Malliavin derivatives (called MCMD - Monte Carlo Malliavin Derivative) relative to other approaches that have been developed recently for portfolio computation or risk management. One alternative that has been advocated for dynamic consumption-portfolio choice is based on a discrete-time formulation of the problem and uses various approximations to solve for the optimal policy (Brandt, Goyal, Santa-Clara and Stroudt 2003). Their method combines regressions with simulation to calculate the optimal policies. The comparative study that we performed analyzes the error behavior associated with this approach and shows that MCMD dominates. This paper is forthcoming in the Journal of Banking and Finance (Detemple, Garcia and Rindisbacher 2003b). Another comparative study performed evaluates the MCMD method relative to two other simulation-based approaches, the Monte Carlo Covariation method (Cvitanic, Goukasian and Zapatero 2003) and Monte Carlo Finite Difference methods (forward, central and backward). The results obtained illustrate the dominance of MCMD. A paper documenting these results is in the review process (Detemple, Garcia and Rindisbacher 2004d). Another paper collecting all these results and surveying simulation methods for optimal portfolios will appear in a book (Detemple, Garcia and Rindisbacher 2004c).
We now propose to extend this research by allowing for a broader class of stochastic processes for the underlying state variables and returns. While diffusion processes have been used extensively in finance, there is considerable evidence showing that the actual behavior of asset returns necessitates the introduction of jump processes together with diffusive noise. We will therefore characterize Monte Carlo estimators of optimal portfolio shares when state variables follow mixed jump-diffusion processes. These processes have been used extensively in the valuation of options but much less so in the computation of dynamic portfolio shares. This project will be supervised by R. Garcia, J. Detemple and M. Rindisbacher.
A.2 Option pricing with jump processes On the equilibrium valuation of options with latent variables, we have developed an option pricing formula which generalizes several existing formulas: Black and Scholes (1973), Hull and White (1987) and Heston (1993). The presence of variables which are unobserved by investors introduces preferences in the valuation formula, as opposed to the so-called preference free formulas usually obtained in the literature. We have exploited this feature to show that option prices are informative about preference parameters and to extract preference parameters from option prices. This is done in a paper to be published in the Journal of Econometrics by Garcia, Luger and Renault (2002). The same option pricing model is used in Garcia, Luger and Renault (2001) to characterize the asymmetric volatility curves obtained when plotting the implied volatilities from the Black and Scholes formula against the moneyness of the options. We also explain the changing skewness observed through the dynamics of these volatility curves. This research has also led to the publication of two chapters in handbooks, one in mathematical finance, one in financial econometrics.
We will extend this research into two directions. First, we will use the same state-dependent model to rationalize a puzzle put forward by Jackwerth (2000). Based on the prices of stocks and options, Jackwerth (2000) estimates the objective and risk neutral distributions of stock returns with nonparametric methods and recovers the absolute risk aversion function of the representative investor. The extracted risk aversion function is not consistent with economic theory, since it is negative in some regions, implying a negative marginal utility of wealth. We will show how state-dependent fundamentals or preferences can explain this result. Second, we will build a tree model with latent variables to price American options. This model will offer a parsimonious alternative to multinomial tree models that have been used in the option pricing literature. This project will be supervised by R. Garcia and E. Renault.
A.3 Hedge Funds Strategies and Portfolio Allocation : Pension funds have recently looked at alternative asset classes such as hedge funds, private equity, emerging markets and real estate to improve the sagging performance of their portfolios of traditional asset classes. To what extent the various strategies pursued by hedge funds provide an increase in returns without increasing the risk of the portfolios of pension funds? How large an exposure should pension funds have in such strategies? An important consideration in answering these questions is the long-term perspective that should prevail in managing pension funds. We therefore propose to study these portfolio allocation questions in a strategic long-term framework developed in Detemple, Garcia and Rindisbacher (2003). The optimal shares of the various portfolios considered will be computed by a Monte Carlo method which can accommodate a large number of asset classes and nonlinear dynamics for the processes driving the market prices of risk and the short-term interest rate. A crucial element in this method is that the optimal portfolio shares respond to the changes occurring in the investment opportunities of the investors.
.
B. Volatility modelling
The modelling of return volatilities plays a central in theoretical and applied finance. We shall pursue research on this topic in several directions.
B.1 Realized volatility methods Asset pricing and risk management are central to financial theory and practice. Financial researchers are building models to explain better the prices of assets traded in the financial markets such as bonds, equities or derivative securities. A key variable in the modeling and pricing procedures is the volatility of asset returns. Unfortunately, volatility is not observable and therefore some proxies or measures must be introduced. During recent years, the literature has emphasized a new measure of volatility, called ‘daily realized volatility’. This measure is computed by using intra-daily returns.
We intend to pursue research in this area with three main three main objectives: (a) to introduce a better measure of volatility by using realized volatility; (c) to use realized volatility to estimate continuous time stochastic volatility models; (c) to provide measures and forecasts of variance-covariance matrices of vector returns with very large dimension, an important issue in the determination of the price of a large portfolio. Successful completion of this research program will provide new models for pricing options and new tools for risk management. The results will be of relevance both to financial economists and to practitioners in the financial markets.
(a) To improve volatility measures, we propose to extend Meddahi (2002) in three directions. First, we want to study the property of the noise in the multivariate case. This extension is important for portfolio choice purposes. Second, we propose to study in detail the impact of the presence of leverage effect and jumps on asset prices, two cases ruled out by Barndorff-Nielsen and Shephard (2002). It is important to study the characteristics of the noise, for a given frequency, for empirical purposes as well as theoretical aspects, in order to have a better understanding of the asymptotic distribution of the (scaled) noise. Finally, in the third extension, we intend to study, for a given frequency of observations, the difference between the realized power variation and the integrated power volatility. These measures of volatility are interesting because their characteristics (and precision) change when one modifies the power function and are particularly sensitive to the presence or absence of jumps.
(b) A major limitation of the approach of Barndorff-Nielsen and Shephard (2002) and Bollerslev and Zhou (2002) is that it works only when the spot variance depends on a finite number of independent and autoregressive factors. Therefore, the approach does not work for non-linear volatility models like the log-normal model which are very popular. The use of the eigenfunctions approach of Meddahi (2001) allows one to transform a non-linear volatility model into a linear one (with infinite dimension or number of eigenfunctions). In particular, we propose to use the GMM applied to the auto-covariance structure of realized volatility. Note that the auto-covariance function is already computed in Andersen, Bollerslev and Meddahi (2003) when one rules out the drift, the leverage, and the jumps. We propose to extend the characterization of the auto-covariance function to these three cases.
(c) A major unsolved problem is modeling multivariate volatility. There are two important issues involved. On the one hand, traditional approaches lead to models with an unmanageably large number of parameters to estimate. Diebold and Nerlove (1989) consider a factor approach to deal with this problem. On the other hand, using high frequency data leads to matrices that are non invertible (Andersen, Bollerslev, Diebold and Labys, 2003), which is problematic because the optimal weights in a portfolio choice problem depend on the inverse of the variance-covariance matrix. In our research, we propose to provide invertible measures of the variance-covariance matrices based on high-frequency data. Our approach is inspired by Diebold and Nerlove (1989); that is, we want impose restrictions on the parameterisation of the model in order to reduce the number of parameters. As well, we want to make restrictions on the model itself in order to ensure that the variance-covariance matrices are invertible. This project will be supervised by N. Meddahi.
B.2 Stochastic volatility with transaction time risk Another important issue related to volatility is the relationship between transaction durations and prices. We want to provide a structural approach to disentangle Granger versus instantaneous causality effects from transaction durations to transaction prices. So far, in the discrete time GARCH-ACD literature, instantaneous causality effects have either been excluded or cannot be identified separately from Granger type causality effects. We argue that this identification matters for both inference on transaction data and for structural interpretations. We want to do this through discrete time moment conditions deduced from an underlying continuous time model of asset prices and durations. E. Renault and N. Meddahi will supervise this project.
B.3 Robust statistical inference in the presence of random volatility of unknown form The pervasiveness of random conditional variances and other forms of nonlinear serial dependence in financial and economic data raises the problem of making statistical inference on regression functions (e.g., trend functions) when such such effects are present and difficult to identify. So we wish to study the problem of developing statistical procedures which are fully robust (distribution-free) to the presence of such effects. In view of our earlier work in this area [Dufour (1981, 2003), Campbell and Dufour (1995, 1997)], we think that such procedures can and must be based on sign statistics jointly with projection techniques [Dufour (1990, 1997)] and Monte Carlo test techniques [Dufour and Khalaf (2001), Dufour (2002)]. In particular, we intend to develop sign-based methods for inference on linear and nonlinear regressions. The procedures obtained in this way will also have the important feature of being fully robust to parametric distributional assumptions (e.g., normality), which is also an important concern with financial data. This project will be under the supervision of J.-M. Dufour.
C. Long memory in finance
C.1 Long memory in volatility A large body of evidence has suggested that various measures of volatility are well characterized as long memory processes. Long-memory processes are characterized by a spectrum that is unbounded at the origin or, equivalently, by an autocorrelation function that decays hyperbolically as the number of lags increases. The body of evidence in favour of long memory is large and covers both the GARCH and discrete-time stochastic volatility classes of models; see Harvey (1994), Bollerslev and Mikkelsen (1996, 1999), Breidt, Crato, de Lima (1998), Andersen, Bollerslev, Diebold, and Labys (2001). We wish to assess the extent to which accounting for long memory in volatility helps in valuing options. We will focus on the Comte and Renault (1998) and Comte, Coutin, and Renault (2003) long memory stochastic volatility models, and develop improved methods for estimating long memory models. Methods that will be considered include an Efficient Method of Moments [EMM, Gallant and Tauchen (1996)] method based on a FIEGARCH auxiliary model [Bollerslev and Mikkelsen (1999)], a procedure based on which long-term options [Bollerslev and Mikkelsen (1999)]. B. Perron will be responsible of this project.
C.2 Long memory in continuous time arbitrage based asset pricing Another topic we wish to consider is how fractional integration in continuous time asset pricing models can be exploited to capture long range dependence as often observed for instance in stock volatility processes or in the long term part of the term structure of interest rates. While, in a previous project, we had shown that long range dependence in the volatility process can help to capture the maturity structure of observed volatility smiles, we want now to, first extend the approach to the case of jump-diffusion processes, and second, to focus more on the application to the term structure of interest rates. This project will under the responsibility of E. Renault and F. Comte (Dept. Mathematics, Un. Paris 5).
D. Structural modelling in financeStatistical issues in the analysis of structural financial models
D.1 Statistical inference on overidentified GMM models Conditional moment restrictions are used in finance to compute and forecast asset prices. These involve some unknown parameters which are estimated from orthogonality conditions associated with a choice of instrumental variables. Nonparametric estimation of optimal instruments is a difficult issue for both finite sample performance and asymptotic efficiency. We wish to examine to what extent some additional information can be used to help to compute optimal instruments. The practical relevance of the proposed methodology will be assessed through both Monte Carlo experiments and estimation on real data for revisiting some empirical puzzles in finance like asset returns predictability and various kind of expectation hypotheses. This project will be under the supervision of E. Renault and E. Sentana (CEMFI, Madrid).
D.2 Inverse problems: inference on functional parameters In the line of a chapter of Handbook of Econometrics (Vol. 6) recently jointly written with M. Carrasco and J.P. Florens (2003), we want to address the inference issues in the case of functional parameters defined through integral equations. One important goal is to extend the available results to time series contexts as considered in finance. Examples are GMM with an infinite number of moment restrictions and functional indirect inference. The proposed methodologies should shed some useful light on difficult financial econometrics issues like weak instruments, estimation of diffusion processes with discrete time data, nonparametric stochastic volatility models. E. Renault will work on this project in collaboration with F. Comte (Un. Paris 5).
D.3 Weak instrument problems in finance This project concerns the development of identification-robust asset pricing tests which correct for error-in-variable problems; these include pre-estimated betas, factors observed with error and conditional CAPM and models with stochastic discount factors. Several such models in finance typically yield Euler equations which lead to orthogonality conditions, amenable to estimation via IV or generalized methods of moments (GMM) [see Ferson and Foertster (1994)]. IV methods have recently attracted renewed attention, due to weak instrument problems [see Dufour (1997, 2003)) and Stock, Wright and Yogo (2002)]. These studies and the references cited therein, demonstrate that procedures which fail to correct for the possibility of weak-instruments (including even e.g. bootstraps) are fundamentally flawed and lead to serious spurious rejections. Unfortunately, the availability of large data sets in finance has, to some extent, delayed awareness of these very serious problems. However, it is now solidly established that weak-instruments are not a small sample problem: because of asymptotic irregularities, spurious rejections may occur even with large data sets such as those available in finance. Our earlier work in this area [Dufour (1997, 2003), Dufour and Jasiak (2001), Dufour and Taamouti (2003a, 2003-b, 2003-c, 2004)), Dufour and Jasiak (2001), Dufour and Khalaf (2003)] suggests that valid statistical inference in such contexts must be based on generalized Anderson and Rubin (1949) procedures, which involve searching for appropriate pivots, in association with projection techniques. We intend to apply such methods to inference on financial structural models, including e.g. the conditional CAPM and stochastic discount factors based models [MacKinlay and Richardson (1991), Jagannathan and Wang (1996), Ferson and Harvey (1999), Ferson and Foertster (1994)]. Unfortunately, most available exact weak-instruments-robust procedures require normality. In addition, such methods (exact or asymptotic) still focus on one single structural equation, which limits their direct applicability in finance. We propose to extend Anderson-Rubin tests to non-Gaussian and multi-equation frameworks [using Dufour and Khalaf (2002b, 2003)]. Sign-based distribution-free procedures will also be exploited to deal with non-normality and conditional heteroskedasticity of unknown form. J.-M. Dufour will supervise this project.
DE. Linear methods for nonlinear time series models
Over the last decade, the time series literature has been characterized by a growing interest in nonlinear models. These models provide useful characterizations of nonlinearities that are present in the mean or the variance of economic and financial time series, but they remain difficult to handle. Many practitioners still use linear (ARMA) models, even when there is evidence of nonlinearities. Actually, this practice is not meaningless: many important classes of nonlinear processes often used to model financial time series (bilinear, GARCH, switching-regime, threshold, autoregressive conditional duration (ACD) processes) admit ARMA representations. The representations are called weak because the innovations are dependent, though uncorrelated. We wish to pursue research in this area along three avenues.
First, in view of the fact that the time series packages currently available for linear ARMA building rely on strong assumptions on the noise process (such as innovation independence) that are typically not satisfied for linear representations of nonlinear processes -- hence leading to invalid test procedures -- we wish to pursue work aimed at correcting these deficiencies. In particular, we will focus on diagnostic tests based on residual autocorrelations, such as Box-Pierce-type goodness-of-fit statistics [Francq, Roy and Zakoïan (2003)] and on spectral test statistics [Hong (1996), Chen and Deo (2003), Duchesne and Roy (2001), Hong and Lee (2003)]. The spectral tests should be consistent for serial correlation of unknown form under general conditional heteroskedasticity.
Second, we wish to study the general problem of analyzing nonlinear causality relationships, in particular causality that shows up in higher order conditional moments (such as volatilities, skewness, kurtosis, etc) as well as conditional quantiles. This may be important for pricing derivatives and evaluating values-at-risk (VaR). We intend to pursue work on the characterization and statistical analysis of such causality structures as well as developing appropriate statistical techniques. This is, of course, a natural sequel to our earlier work in this area [Boudjellaba, Dufour and Roy (1992, 1994, 2003), Dufour and Renault (1998), Dufour, Renault and Pelletier (2002)].
Thirdly, we wish to pursue work on estimating and testing vector ARMA models (VARMA). Such models can be considerably more parsimonious than usual vector autoregressive models (VAR), but they are difficult to specify and estimate. So we intend to work on developing linear methods for estimating such models based on extending univariate methods originally proposed by Hannan and Rissanen (1982) to multivariate time series involving weak white noise innovations
J.-M. Dufour, N. Meddahi, E. Renault and R. Roy will be conducting research in this area. This project will also involve C. Francq, J.-M. Zakoïan (Univ. de Lille I), and D. Pelletier (North Carolina State University).
EF. Statistical assessment of asset pricing models
The capital asset pricing model (CAPM), which supposes that asset returns move proportionally to the market, is one of the main models used to relate asset returns in financial markets and eventually evaluate them. This model, however, has not fared well in empirical tests [see Campbell (2003)]. CAPM failures have spurred studies on possible nonlinearities and asymmetries in the dependence between asset and market returns. In particular, the Quadratic Market Model (QMM) was proposed to extend the standard CAPM framework to incorporate the effect of asymmetry of return distribution on asset valuation; see Kraus and Litzenberger (1976). A number of well known empirical studies [e.g., Harvey and- Siddique (2000), Barone-Adesi (1985)] have attempted to assess this version of the CAPM. Yet these studies are only asymptotically justified so there is no guarantee that results are non-spurious; on problems with asymptotic tests in this context, see Shanken (1996), Campbell, Lo and MacKinlay(1997)].
In our previous work, we developed statistical procedures for assessing traditional models which are based on a sound finite-sample statistical theory [Beaulieu, Dufour and Khalaf (20014a, 2004b)), Beaulieu, Dufour and Khalaf (2001b) and Dufour and Khalaf (2002b)]. We intend to extend this work in order to be able to assess alternative CAPM-type models. In particular, we shall focus on the empirical models of Barone-Adesi (1985) and Barone-Adesi, Gagliardini, and Urga (2000) where the procedure to assess the significance of co-skewness effect is based on likelihood ratio (LR) criteria. We intend to develop provably exact inference procedures that allow for the presence of non-gGaussian distributions. In particular, we shall apply Monte Carlo test methods [developed in our earlier work] that will allow us to test theoretical restrictions on these models (including nonlinear restrictions), build confidence intervals for model parameters (including the non-observable market return), determine the appropriate distributional assumptions, etc.
An alternative perspective to account for asymmetries in financial models involves adjusting statistical analysis to allow for asymmetric possibly heavy-tailed distributions, such as stable distributions. Besides being consistent with optimization arguments underlying fundamental financial models including the CAPM [see [see Samuelson (1967)], the family of stable distributions is entailed by various central limit arguments in probability theory (as an alternative to the Gaussian distribution) and has often been suggested as a useful model for return and price distributions in finance; see, for example, Mandelbrot (1963) and our survey in Beaulieu, Dufour and Khalaf (2004c). One should note, however, that tests and confidence sets which have been proposed for inference on such models are almost always based on asymptotic approximations that can easily be unreliable. Further, standard regularity conditions and asymptotic distributional theory may easily not apply to such distributions (for example, because of heavy tails). Our previous related work [Dufour, Khalaf and Beaulieu (2003), Beaulieu, Dufour and Khalaf (2004c) and Dufour, Khalaf and Beaulieu (2003a)] suggests that: (i) the precision of the estimation of skewness parameters still raises serious challenges, and (ii) most importantly the difficulty in estimating the skewness parameter has crucial implications for asset pricing tests. These results provide motivation to pursue research on exact approaches to the estimation of stable laws. Stable distributions, despite their analytical complexities, can easily be simulatedare easily simulatable. Analysis with these distributions via the technique of Monte Carlo tests thus seems a very promising approach. This research will be supervised by J.-M. Dufour and L. Khalaf.
FG. Mathematical and statistical modelling of energy markets
FG.1 Modelling of extreme price volatility in electricity markets Energy markets are very different from financial markets. Daily spot prices of electricity for immediate delivery show extreme variations. The same is true for short-term forward prices. These large movements are due to extreme variations in demand but also to supply shortages caused by weather conditions or congestion on transmission networks. One important feature might be the fact that one does not always observe an equilibrium condition on the market leading to some disequilibrium analysis to study the resulting price process. We will therefore build a model accounting for these features. We will look at the pricing of options on such markets in the context of such models to study the resulting price process. This project will be under the responsibility of J. Detemple and R. Garcia.
FG.2 Jumps and breaks in energy prices In the recent literature on dynamic time series models for energy prices, parameter constancy has come to be viewed as an important aspect of data analysis [see Pindyck (1999)]. While the consequences of ignoring breaks in means and variances are well understood, data snooping problems can be very real when searching for change points in practice [see Campbell-Lo-MacKinlay (1997) Pindyck (1999)]. These concerns have led to the development of statistical models which capture continuous and unpredictable shifts; examples include jump-diffusion models [see Khalaf-Saphores-Bilodeau (2003 and the references cited therein], threshold models, Markov-Switching models or models with time-varying parameters [see Campbell, Lo and MacKinlay (1997), Kim and Nelson (1999)]. In such models, despite the fact that likelihoods can easily be evaluated (e.g. via the Kalman filters) so that LR-type test statistics are tractable, likelihood functions are typically ill-behaved for non-negligible --_ empirically relevant -- _ parameter sub-spaces. Testing for the significance of random breaks is particularly challenging because of the existence of nuisance parameters under the alternative but not under the null hypothesis; usual χ²chi-square critical points may lead to spurious rejections even with fairly large data sets [see Andrews and Ploberger (1995), Andrews (2001), Khalaf, Saphores and Bilodeau (2003) and Saphores, Khalaf and Pelletier (2002)].
We intend to address such problem formally, in univariate and multivariate settings. Multivariate approaches aim to model the joint co-movements of energy prices, yet are aobviously more challenging, because cross-correlations in data-generating-processes inteverne as extra nuisance parameters. Specifically, we will study quasi LR-type test criteria based on estimators obtained at any step of the process by which the likelihood is maximized iteratively. In other words, we propose to formally integrate the number of MLE iterations into the definition of the test statistic, which allows for imperfect maximization. To obtain valid p-values for such non-regular statistics, we apply the maximized Monte Carlo [MMC] test technique [Dufour (2002], which consists in referring the test's maximal p-value (obtained by simulation, over relevant nuisance parameters) to the hypothesized significance level; in this way, level control is ensured by construction. This test procedure demands some computational costs, yet is tractable. However, since no other reliable test procedure is available, one objective of this project is to emphasize that computational requirements, particularly with the present computer facilities, should not deter practitioners from applying a method which provably lead non-spurious rejections. This project will be under the responsibility of L. Khalaf and J.-M. Dufour.
References
Several references given in the project description are available in section 98.
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Beaulieu M.-C., Dufour J.-M. and L. Khalaf (2003). “Multifactor models, spanning and heavy tailed distributions: a multivariate finite sample”, [revision requested, Journal of Empirical Finance].
Beaulieu M.-C., Dufour J.-M and L. Khalaf, 2004, “Exact multivariate tests of asset pricing models with stable asymmetric distributions”, in M. Breton and H. Ben Hameur (Eds), Numerical Methods in Finance, Kluwer Academic Publishers, forthcoming.
Beaulieu M.-C., Dufour J.-M. and L. Khalaf (2004a). “Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors: an exact simulation-based approach”, submitted to the Journal of Business and Economic Statistics.
Beaulieu M.-C., Dufour J.-M. and L. Khalaf (2004b). “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, submitted to the Journal of Financial Economics.
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Boudjellaba, H., J.-M. Dufour and R. Roy, 1994, “Simplified Conditions for Non-Causality Between Two Vectors in Multivariate ARMA Models”, Journal of Econometrics 63, 1994, 271-287.
Brandt M.W., A. Goyal, P. Santa-Clara and J.R. Stroud, 2003, “A simulation approach to dynamic portfolio choice with an application to learning about return predictability”, working paper, Wharton School, forthcoming in the Review of Financial Studies.
Campbell, J. Y., 2003, “Asset Pricing at the Millennium”, Journal of Finance, 55, 1515-1567.
Campbell, B., and J.-M. Dufour, 1995, “Exact Nonparametric Orthogonality and Random Walk Tests”, Review of Economics and Statistics 77, 1995, 1-16.
Campbell, B. and J.-M. Dufour, 1997, “Exact Nonparametric Tests of Orthogonality and Random Walk in the Presence of a Drift Parameter”, International Economic Review 38, 1997, 151-173.
Campbell, Y. Y., Lo, A. W., and MacKinlay, A. C., 1997, “The Econometrics of Financial Markets”, Princeton University Press, New Jersey.
Carrasco, M., Florens, J.P. and E. Renault, 2003, “Linear Inverse Problems in Structural Econometrics: Estimation based on spectral decomposition and regularizarion” forthcoming in Handbook of Econometrics, Vol. 6, J. Heckman (ed.), North Holland.
Chen, W.W. and Deo, R.S., 2003, “A generalized portmanteau goodness-of-fit test for time series models”, Econometric Theory, forthcoming
Comte, F. and E. Renault, 1998, “Long-Memory in Continuous-Time Stochastic Volatility Models”, Mathematical Finance, 8, 291-323.
Comte, F., L. Coutin and E. Renault, 2003, “Affine Fractional Stochastic Volatility Models”, mimeo, Université de Montréal.
Cvitanic, J., L. Goukasian and F. Zapatero, 2003, “Monte Carlo Computation of Optimal Portfolios in Complete Markets”, Journal of Economic Dynamics and Control, 27, 971-986.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2003a, “A Monte-Carlo Method for Optimal Portfolios”, Journal of Finance, 58, 401-446.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2003b, “Intertemporal Asset Allocation: a Comparison of Methods”, to appear in forthcoming in the Journal of Banking and Finance.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2004a, “Representation Formulas for Malliavin Derivatives of Diffusion Processes”, to appear in forthcoming in Finance and Stochastics.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2004b, “Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes”, to appear in forthcoming in the Journal of Econometrics.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2004c, “Simulation for Optimal Portfolios”, to appear in forthcoming in Handbooks in Operations Research and Management Science, Volume on Financial Engineering, J. Birge and V. Linetsky eds., Elsevier, Amsterdam.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2004d, “Asymptotic Properties of Monte Carlo Estimators of Derivatives of Diffusion Processes”, first revision submitted to Management Science.
Detemple, J.B. and M. Rindisbacher, 2004, “Closed Form Solutions for Optimal Portfolio Selection with Stochastic Interest Rate and Investment Constraints”, first revision submitted to Mathematical Finance.
Diebold, F.X. and M. Nerlove (1989), “The Dynamics of Exchange Rate Volatility : A Multivariate Latent ARCH Model”, Journal of Applied Econometrics 4, 1-21.
Dufour, J.-M., 1981, “Rank Tests for Serial Dependence”, Journal of Time Series Analysis 2, 1981, 117-128.
Dufour, J.-M., 1990, “Exact Tests and Confidence Sets in Linear Regressions with Autocorrelated Errors”, Econometrica 58, 1990, 475-494.
Dufour, J.-M., 1997, “Some impossibility theorems in econometrics, with applications to structural and dynamic models”, Econometrica, 65, 1365-1389.
Dufour, J.-M., 2002, “Monte Carlo tests with nuisance parameters: A general approach to finite-sample inference and nonstandard asymptotics in econometrics”, Journal of Econometrics, forthcoming.
Dufour, J.-M., 2003, “Identification, Weak Instruments and Statistical Inference in Econometrics. Presidential Address to the Canadian Economics Association”, Canadian Journal of Economics, 36, 767-808.
Dufour, J.-M., and Jasiak, J., 2001, “Finite sample limited information inference methods for structural equations and models with generated regressors”, International Economic Review 42, 815-843.
Dufour, J.-M., Khalaf, L., 2001, “Companion to Theoretical Econometrics”, Monte Carlo test methods in econometrics, in B.Baltagi, ed., Blackwell Companions to Contemporary Economics, Basil Blackwell, Oxford, U.K., chapter23, pp.494-519.
Dufour, J.-M., and Khalaf, L., 2002, “Simulation based finite and large sample tests in multivariate regressions”, Journal of Econometrics 111, 303-322.
Dufour J.-M. and L. Khalaf (2003). “Simulation-Based Finite-Sample Inference in Simultaneous Equations”, Technical Report, CIREQ, Université de Montréal.
Dufour, J.-M., L. Khalaf, and M.-C. Beaulieu, 2003, “Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models”, Oxford Bulletin of Economics and Statistics, 65, 891-906.
Dufour, J.-M., D. Pelletier and E. Renault, 2002, “Short run and long run causality in time series: inference”, Discussion Paper, CIRANO and C.R.D.E., Université de Montréal, 26 pages. Forthcoming in Journal of Econometrics.
Dufour, J.-M., and E. Renault, 1998, “Short-Run and Long-Run Causality in Time Series: Theory”, Econometrica 66, 1998, 1099-1125.
Dufour, J.-M. and M. Taamouti, 2003a, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, forthcoming in Econometrica.Discussion Paper, C.R.D.E., Université de Montréal, 42 pages.
Dufour J.-M. and M. Taamouti, 2003b, “On Methods for Selecting Instruments”, Technical Report, CIREQ, Université de Montréal.
Dufour, J.-M. and M. Taamouti, 2003bc, “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models”, Discussion Paper, C.R.D.E., Université de Montréal, 43 pages.
Dufour, J.-M. and M. Taamouti (2004). “Further results on projection-based inference in IV regressions with weak, collinear or missing instruments”, Paper, C.R.D.E., Université de Montréal, 45 pages.
Ferson W. E. and S. Foerster (1994). “Finite Sample Properties of the Generalized Method of Moments in Tests of Conditional Asset Pricing Models”, The Journal of Financial Economics, 36, 29-55.
Ferson W. E. and C. R. Harvey (1999). “Conditioning Variables and Cross-section of Stock Returns,
Journal of Finance 54, 1325-1360.
Francq, C., R. Roy and J.-M. Zakoïan, 2003, “Diagnostic checking in ARMA models with uncorrelated errors”, forthcoming in Journal of the America Statistical Association.
Francq, C. and J.-M. Zakoïan, 2000, “Covariance Matrix Estimation for Estimators of Mixing Weak ARMA Models”, JSPI 83, 369-394.
Gallant, A. R. and G. Tauchen, 1996, “Which Moments to Match?”, Econometric Theory, 12, 657-681.
Harvey, A.C., 1998, “Long-Memory in Stochastic Volatility”, in Knight, J. and Satchell, S. (eds). Forecasting Volatility in Financial Markets Butterworth-Heineman, London, 307-320.
Harvey, C. R. and Siddique, A., 2000, “Conditional Skewness in Asset Pricing Tests”, The Journal of Finance, 55, 1263-1295.
Garcia R., R. Luger and E. Renault, 2002, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables,” forthcoming in Journal of Econometrics.
Garcia R., R. Luger and E. Renault, 2002, “Asymmetric Smiles, Leverage Effects and Structural parameters”, CIRANO working paper 2001s-01, in revision for the Review of Financial Studies.
Harvey, C. R. and Siddique, A., 2000, “Conditional Skewness in Asset Pricing Tests”, The Journal of Finance, 55, 1263-1295.
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Khalaf, L., Saphores, J.-D. and J.-F. Bilodeau, 2003, “Simulation-Based Exact Tests for Jump Diffusions with Unidentified Nuisance Parameters: An Application to Commodities Spot Prices”, Journal of Economic Dynamics and Control, 28, 531-553.
Kim, C.-J. and C. R. Nelson, C. R., 1999, “State-Space Models with Regime-Switching”, The MIT Press, Cambridge, MA.
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Meddahi, N., 2001, “An Eigenfunction Approach for Volatility Modeling”, working paper, CRDE, 29-2001.
Meddahi N., 2002, “A Theoretical Comparison Between Integrated and Realized Volatility”, Journal of Applied Econometrics, 17, 479-508.
Ohanissian, A., J. R. Russell, and R. S. Tsay, 2003, “True or Spurious Long Memory in Volatility: Does it Matter for Pricing Options?”, mimeo, University of Chicago.
Pindyck, R. S., 1999, “The Long Run Evolution of Energy Prices”, The Energy Journal, 20, 1-27.
Saphores, J.-D., L. Khalaf and D. Pelletier, 2002, “On Jumps and ARCH Effects in Natural Resource Prices: An Application to Stumpage Prices from Pacific Northwest National Forests”, American Journal of Agriculture Economics, 84(2), 387-400.
Samuelson, P. (1967), “On multivariate tests of the Capital Asset Pricing”, Journal of Financial and Quantitative Analysis 2, 107-122.
.
6. Science (maximum 5 pages).
7.
a) Brief summary of state of the knowledge in the field.
b) Project Objectives:
c) c) Methodology:
d) Sub-projects:
d)
e)
f)
7. Progress Made and Results Obtained (maximum 5 pages).
a) Please summarize the Project's main achievements from i November 1, 2003nception to OctoberNovember 30129, 20034.
Work on our research program (up to 2003) has already lead to many articles and working papers. [Detailed references appear in our earlier project CV].
1. Asset Pricing and Portfolio Models
1a. Derivative Pricing _ The project on derivative pricing has lead to the publication of 8 articles [Broadie, Detemple, Ghysels and Torrès (2000a, 2000b), Detemple (2001), Detemple, Feng and Tian (2003), Detemple and Osakwe (2000), Detemple and Serrat (2003), Detemple and Tian (2002), Garcia and Gençay (2000)] and 1 discussion papers [Garcia, Luger and Renault (2001)].
1b. Dynamic Asset Allocation _ The project on dynamic asset allocation resulted in [Detemple, Garcia and Rindisbacher (2003a), Detemple and Karatzas (2003), Bodie, Detemple, Otruba and Walter (2004)] and 9 discussion papers [Detemple, Garcia and Rindisbacher (2003b, 2004a, 2004b, 2004c, 2004d, 2004) Detemple and Rindisbacher (2004), Garcia, Luger and Renault (2001 Garcia, Luger and Semenov (2002) Rindisbacher (2002)].
2. Statistical Models for Financial Time Series
Our work on statistical models for financial time series [such as dynamic factor models, GARCH-type and stochastic volatility models, duration models has led to the publication of 12 articles [Garcia and Bonomo (2001a, 2001b), Garcia, Ghysels and Renault (2003), Garcia and Renault (2001), Garcia and Schaller (2002), Meddahi (2002, 2003), Meddahi and Renault (2002), Patilea and Renault (2002), Renault (2000, 2002), Renault and Alami (2000), Renault, Pastorello and Touzi (2000)] and 18 discussion papers [Andersen, Bollerslev and Meddahi (2002a, 2002b), Bandi And Perron (2001), Campbell, Meddahi and Sentana (2002), Garcia, Lewis and Renault (2001), Garcia, Luger and Renault (2001a, 2001b), Meddahi (2001a, 2001b, 2002a, 2002b, 2002c, 2002d), Linton and Perron (2001), Moon and Perron (2002a), Perron (2001a, 2001b), Renault, Garcia and Ghysels (2001)].
3. Inference in Financial Time Series
3a Weak Linear ARMA Representations and Non-Linear Models _ Our work on nonlinear time series models for financial analysis and weak ARMA representations has produced 6 articles [Blais, MacGibbon and Roy (2000), Duchesne and Roy (2001, 2003), Dufour and Torrès (1999), ), El Himdi, Roy and Duchesne (2003), Pham, Roy and Cédras (2001)] and 7 discussion papers [Bonnal and Renault (2001), Bontemps and Meddahi (2002a, 2002b), Bouhaddioui and Roy (2002a, 2002b), Dufour and Pelletier (2002), Dufour and Trognon (2002)].
3b. Statistical inference with weak identification _ Our work on inference under conditions of weak identification (or with weak instruments) has lead to the publication of 6 articles [Carrasco, Florens and Renault (2003), Dufour (2000, 2001,2003), Dufour and Jasiak (2001), Perron (2002)] and 7 discussion papers [Abdelkhalek and Dufour (2002), Darolles, Florens and Renault (2000), Dufour and Khalaf (1999a), Perron (2000), Khalaf and Kichian (2002), Khalaf, Saphores and Bilodeau (2002). Moon and Perron (2002b)].
3c. Monte Carlo Inference _ Our work on Monte Carlo test methods has lead up to now to the publication of 11 articles [Dufour and Farhat (2002), Dufour and Khalaf (2001a, 2001b, 2001c, 2002), Dufour, Khalaf, Bernard and Genest (2002), Dufour and Neifar (2002), Dufour, Pelletier and Renault (2002), Ghysels, Khalaf and Vodounou (2002), Khalaf and Kichian (2002), Khalaf, Pellletier and Saphores (2002)] and 7 discussion papers [Beaulieu, Dufour and Khalaf, (2002a, 2002b), Dufour (2001), Dufour and Farhat (2001a, 2001b, 2001c), Dufour and Valéry (2002)].
Concerning the various projects described in the present proposals, we can already mention the following outputs (since 2003). [Detailed references are available in Section 8]
1. Asset Pricing and Portfolio Models
A. Mathematical methods for portfolio management and option pricing
1a. Derivative Pricing _ The project on derivative pricing has lead to the publication of 8 articles [Broadie, Detemple, Ghysels and Torrès (2000a, 2000b), Detemple (2001), Detemple, Feng and Tian (2003), Detemple and Osakwe (2000), Detemple and Serrat (2003), Detemple and Tian (2002), Garcia and Gençay (2000)] and 1 discussion papers [Garcia, Luger and Renault (2001)].
1b. Dynamic Asset Allocation _ The project on dynamic asset allocation resulted in [Detemple, Garcia and Rindisbacher (2003a), Detemple and Karatzas (2003), Bodie, Detemple, Otruba and Walter (2004)] and 9 discussion papers [Detemple, Garcia and Rindisbacher (2003b, 2004a, 2004b, 2004c, 2004d, 2004) Detemple and Rindisbacher (2004), Garcia, Luger and Renault (2001 Garcia, Luger and Semenov (2002) Rindisbacher (2002)].
9 articles [Bodie, Detemple, Otruba and Walter (2004), Detemple, Feng and Tian, (2003), Detemple, Garcia and Rindisbacher (2003a, 2003b, 2004a, 2004b, 2004c), Garcia, Ghysels and Renault (2003), Garcia, Luger and Renault (2003)] and 5 discussion papers [Chabi-Yo, Garcia and Renault (2004), Detemple, Garcia and Rindisbacher (2004d), Detemple and Rindisbacher (2004), Garcia, Luger and Renault (2003), Garcia, Renault and Tsafack (2003)]
Statistical Models for Financial Time Series
Our work on statistical models for financial time series [such as dynamic factor models, GARCH-type and stochastic volatility models, duration models has led to the publication of 12 articles [Garcia and Bonomo (2001a, 2001b), Garcia, Ghysels and Renault (2003), Garcia and Renault (2001), Garcia and Schaller (2002), Meddahi (2002, 2003), Meddahi and Renault (2002), Patilea and Renault (2002), Renault (2000, 2002), Renault and Alami (2000), Renault, Pastorello and Touzi (2000)] and 18 discussion papers [Andersen, Bollerslev and Meddahi (2002a, 2002b), Bandi And Perron (2001), Campbell, Meddahi and Sentana (2002), Garcia, Lewis and Renault (2001), Garcia, Luger and Renault (2001a, 2001b), Meddahi (2001a, 2001b, 2002a, 2002b, 2002c, 2002d), Linton and Perron (2001), Moon and Perron (2002a), Perron (2001a, 2001b), Renault, Garcia and Ghysels (2001)].B. Volatility modelling
7 articles [Andersen, Bollerslev and Meddahi (2003a, 2003b), Meddahi (2003), Meddahi and Renault (2004), Meddahi, Renault and Werker (2004), Pastorello, Patilea and Renault (2003), Perron (2004)] and 2 discussion papers [Comte, Coutin and Renault (2004), Renault and Werker (2004)]
C. Long memory in finance
2 articles
[Moon and Perron (2004a, 2004b)]
3. Inference in Financial Time Series
3a Weak Linear ARMA Representations and Non-Linear Models _ Our work on nonlinear time series models for financial analysis and weak ARMA representations has produced 6 articles [Blais, MacGibbon and Roy (2000), Duchesne and Roy (2001, 2003), Dufour and Torrès (1999), ), El Himdi, Roy and Duchesne (2003), Pham, Roy and Cédras (2001)] and 7 discussion papers [Bonnal and Renault (2001), Bontemps and Meddahi (2002a, 2002b), Bouhaddioui and Roy (2002a, 2002b), Dufour and Pelletier (2002), Dufour and Trognon (2002)].
3b. Statistical inference with weak identification _ Our work on inference under conditions of weak identification (or with weak instruments) has lead to the publication of 6 articles [Carrasco, Florens and Renault (2003), Dufour (2000, 2001,2003), Dufour and Jasiak (2001), Perron (2002)] and 7 discussion papers [Abdelkhalek and Dufour (2002), Darolles, Florens and Renault (2000), Dufour and Khalaf (1999a), Perron (2000), Khalaf and Kichian (2002), Khalaf, Saphores and Bilodeau (2002). Moon and Perron (2002b)].
3c. Monte Carlo Inference _ Our work on Monte Carlo test methods has lead up to now to the publication of 11 articles [Dufour and Farhat (2002), Dufour and Khalaf (2001a, 2001b, 2001c, 2002), Dufour, Khalaf, Bernard and Genest (2002), Dufour and Neifar (2002), Dufour, Pelletier and Renault (2002), Ghysels, Khalaf and Vodounou (2002), Khalaf and Kichian (2002), Khalaf, Pellletier and Saphores (2002)] and 7 discussion papers [Beaulieu, Dufour and Khalaf, (2002a, 2002b), Dufour (2001), Dufour and Farhat (2001a, 2001b, 2001c), Dufour and Valéry (2002)].D. Structural modelling in finance
7 articles [Bontemps and Meddahi (2003), Carrasco, Florens Renault (2003), Croux, Renault, Werker (2004), Dufour (2003), Dufour and Taamouti (2003a), Khalaf and Kichian (2004a, 2004b)] and 8 discussion papers [Bolduc, Khalaf and Moyneur (2004), Bonnal and Renault (2004), Dufour, Khalaf and Kichian (2004), Dufour and Khalaf (2003), Dufour and Taamouti (2003b, 2003c, 2004), Khalaf and Kichian (2004)]
E. Linear methods for nonlinear time series models
7 articles [Duchesne and Roy (2003, 2004), Dufour, Pelletier and Renault (2004), El Himdi, Roy and Duchesne (2003), Francq, Roy and Zakoïan (2003), Ghysels, Khalaf and Vodoumou (2003), Pham, Roy and Cédras (2003)] and 6 discussion papers [Bouhaddioui and Roy (2003a, 2003b), Mélard, Roy and Saidi (2004), Moon and Perron (2004a, 2004c), Moon, Perron and Phillips (2003)]
F. Statistical assessment of asset pricing models
5 articles [Beaulieu, Dufour and Khalaf (2004), Dufour, Farhat and Khalaf (2004), Dufour and Jouini (2004a), Dufour, Khalaf and Beaulieu (2003), Dufour, Khalaf, Bernard and Genest (2004)] and 10 discussion papers [Beaulieu, Dufour and Khalaf (2003a, 2003b, 2003c, 2004a, 2004b), Dufour and Jouini (2003), Dufour, Khalaf and Beaulieu (2003), Dufour and Kim (2004), Dufour and Neifar (2003), Garcia, Renault and Veredas (2003)]
G. Mathematical and statistical modelling of energy markets
1 article [Khalaf, Saphores and Bilodeau (2003)] and 2 discussion papers [Bernard, Dufour, Khalaf and Kichian (2004), Bernard, Idoudi, Khalaf and Yélou (2004) ]
b) Describe the Project's progress towards the PProject Oobjectives (identified in 6b), making direct reference to the objectives identified in last year's Project CV (if applicable). . Explain any impediments to progress or changes in direction.
c) Explain the significance of the results obtained in terms of their industrial relevance.
This project falls under the mathematics of risk modeling and resource management and contains both core research and technology transfer components. It aims ultimately at providing risk management offices with new financial models and econometric tools for better trading strategies. The team's objective is to develop and implement new mathematical and statistical tools for pricing derivatives, hedging risk exposures and managing portfolios. This involves, in particular, the development of models for derivative security pricing and hedging with time-series and cross-sectional restrictions (panel structure), as well as the implementation of intertemporal portfolio allocation rules based on continuous time diffusion models and simulations.
This research program is pursued in the context the Centre for Interuniversity Research and Analysis on Organizations (CIRANO; ). This research center is a highly successful and original venture whose specific purpose is to foster close cooperation between university researchers and non-academic institutions (private and public). CIRANO is a multidisciplinary, multiuniversity and intersectorial network of researchers who study economic and managerial problems, using state-of-the-art mathematical and statistical techniques, especially in the field of Finance. The CIRANO model consists in working on a research program of interest to a number of non-academic partners. The partners supply financing to the Center. In return, they are kept informed of the results of the research and invited to various transfer activities (seminars, conferences, individual meetings with researchers). In some cases, the exchange takes the form of a direct collaboration with CIRANO researchers.
CIRANO partners with a special interest for research in Finance include: AXA (Insurance), the Bank of Canada, Caisse de depot et placement du Québec, the Laurentian Bank of Canada, the National Bank of Canada, the Royal Bank of Canada, Bank of Montreal, Bell Canada, Hydro-Québec, Desjardins, the Montreal Stock Exchange, the Ministère des Finances (Québec), and Raymond, Chabot, Grant, Thornton. In addition, CIRANO was entrusted in 1998 with the research facet of Montreal’s mathematical finance institute, the Institut de finance mathématique de Montréal (IFM2).
In the case of this MITACS project, the partnership with non-university organizations has taken several forms. Let us mention the following.
(A) The team has developed various pieces of software, including a general-purpose program able to implement and simulate a wide array of option-pricing formulas based on different. Besides the well known Black-Scholes model, the software deals with European or American options whose payoff can be vanilla, barrier, look-back or Asian. The pricing functions are based on closed-formed, Monte-Carlo simulation and finite-difference. Others models such as stochastic volatility and stochastic volatility with jump are taken into consideration. In addition to pricing methods, components which intend to estimate models parameters were implemented according to the indirect inference method and the efficient method of moments.
(B) The team runs a very active seminar series on topics in mathematical finance econometrics which is well attended by the Montreal financial community. Seven Four major conferences for researchers and practitioners have also been organized: (1) Intertemporal Asset Pricing Conference (October 1999); (2) Econometric Methods and Financial Markets (September 1999); (3) Conference-Workshop on Financial Mathematics and Econometrics (June 2001); (4) Resampling Methods in Econometrics (October 2001); (5) Simulation Based and Finite Sample Inference in Finance (May 2003); (6) 2003 Financial Econometrics Conference (May 2003); (7) 2004 Financial Econometrics Conference (May 2004)..
(C) Students that worked on the project have found employment in various financial and related institutions, in particular CIRANO business partners such as: the National Bank of Canada, the Royal Bank of Canada, Gaz Métro, and the Caisse de dépôt et Placement du Québec. Students have also made internships with the Laurentian Bank of Canada and Hydro-Québec.
(D) The project has helped to set up a new graduate program (Master Degree in Mathematical and Computational Mathematics) at the Université de Montréal, which is specifically designed for the financial community in the area of financial mathematics.
dd) Explain how the research of the Project team members has benefited by being part of the MITACS Network.
8. Revised Milestones
a) Please provide an updated plan of research for the period November 1, 2003 – March 31, 2005. Include updated milestones.
b) Provide a further list of milestones for the succeeding four year period, April 1, 2005 – April 1, 2009. These milestones will be used for the NCE Renewal application.
98. Results of the Research.
a) Please update the list of publications directly arising from network-funded research in the period November 1, 20023 to November 1, 20034 . Include bibliographic details, such as authors(s), year of publication, title, volumebook or journal/issue number, pages, and publisher. Add additional pages as required. her. Group in three sections:
1) Peer-reviewed publications
2) Refereed/invitedd conference proceedings
3) Other publications (includes: popular articles, books, monographs, special papers, review articles, non-refereed conference proceedings, government publications, industry reports, etc.)
1. Refereed Contributions
a) a) Articles in refereed publications
Andersen, T., Bollerslev, T. and N. Meddahi, 2003a, “Analytic Evaluation of Volatility Forecasts”, forthcoming in the International Economic Review.
Andersen, T., Bollerslev, T. and N. Meddahi, 2003b, “Correcting the Errors: Volatility Forecast Evaluation Using High-Frequency Data and Realized Volatilities”, forthcoming in the Econometrica.
Beaulieu M.-C., Dufour J.-M and L. Khalaf, 2004, “Exact multivariate tests of asset pricing models with stable asymmetric distributions”, in M. Breton and H. Ben Hameur (Eds), Numerical Methods in Finance, Kluwer Academic Publishers, forthcoming.
* Bernard, F.-T., Dufour, J.-M., Genest, I. and L. Khalaf, 2003, “Simulation-Based Exact Tests for Heteroskedasticity and ARCH Effects”, Journal of Econometrics, forthcoming.
* Bodie, Z., Detemple, J. B., Otruba S. and S. Walter, 2004, “Optimal Consumption-Portfolio Choices and Retirement Planning”, in the Journal of Economic Dynamics and Control, Vol. 28, No. 6, 1115-1148.
Bontemps, C. and N. Meddahi, 2003, “Testing Normality: A GMM Approach”, forthcoming in the Journal of Econometrics.
*Boudjellaba, H., Dufour, J.-M. and Roy, R., 2003, “Testing Causality Between Two Vectors in Multivariate ARMA Models”, forthcoming in Recent Developments in Time Series, edited by Paul Newbold and Stephen J. Leybourne, The International Library of Critical Writings in Econometrics, Edward Elgar, Cheltenham, England.
Carrasco, M., Florens, J.P. and E. Renault, 2003, “Linear Inverse Problems in Structural Econometrics: Estimation based on spectral decomposition and regularization” forthcoming in Handbook of Econometrics, Vol. 6, J. Heckman (ed.), North Holland.
Croux, C., Renault, E. and B. Werker, 2004, “Dynamic Factor Models”, guest editorial in the Journal of Econometrics, 119, 223-230.
Detemple, J. B., S. Feng and W. Tian, 2003, “The Valuation of American Options on the Minimum of Two Dividend-paying Assets”, in Annals of Applied Probability, Vol. 13, No. 3, 953-983.
* Detemple, J. B., R. Garcia and M. Rindisbacher, 2003a, “A Monte-Carlo Method for Optimal Portfolio”, Journal of Finance, vol. 58, No. 1, 401-446.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2003b, “Intertemporal Asset Allocation: a Comparison of Methods”, to appear in forthcoming in the Journal of Banking and Finance.
* Detemple, J. B., R. Garcia and M. Rindisbacher, 2003c, “Strategic Asset Allocation”, Encyclopedia of Financial Engineering and Risk Management, Fitzroy Dearborn, forthcoming.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2004a, “Representation Formulas for Malliavin Derivatives of Diffusion Processes”, to appear in forthcoming in Finance and Stochastics.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2004b, “Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes”, to appear in forthcoming in Journal of Econometrics.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2004c, “Simulation for Optimal Portfolios”, to appear in forthcoming in Handbooks in Operations Research and Management Science, Volume on Financial Engineering, J. Birge and V. Linetsky eds., Elsevier, Amsterdam.
Duchesne, P. and R. Roy, 2004, “On consistent testing for serial correlation of unknown form in vector time series models”, in the Journal of Multivariate Analysis, 89, 148-180.
Duchesne, P., and R. Roy, 2003, “Robust tests for independence between two time series”, Statistica Sinica, 13, 827-852.
• Duchesne, P. and R. Roy, 2004, “On consistent testing for serial correlation of unknown form in vector time series models”, Journal of Multivariate Analysis, 89, 148-180.
* Dufour, J.-M., 2003, “Identification, Weak Instruments and Statistical Inference in Econometrics”, Canadian Journal of Economics, 36, 767-808.
Dufour. J.-M, Farhat A. and L. Khalaf, 2004, “Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression”, , forthcoming in lL'Actualité Économique, forthcoming.
Dufour. J.-M, and T. Jouini, 2004a, “Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form" (with Tarek Jouini), forthcoming in Statistical Modeling and Analysis for Complex Data Problems, edited by Pierre Duchesne and Bruno Rémillard, Kluwer, Kluwer/Springer-Verlag, New York, Chapter 11, 209-240
* Dufour, J.-M., L. Khalaf, and M.-C. Beaulieu, 2003, “Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models”, Oxford Bulletin of Economics and Statistics, 65, 891-906.
Dufour. J.-M., Khalaf, L., Bernard, J.-T. and I. Genest, 2004, “Simulation-Based Exact Tests for Heteroskedasticity and ARCH effects”, Journal of Econometrics, 122, 317-347.
* Dufour, J.-M. and L. Khalaf, 2003, “Finite-Sample Simulation-Based Tests in Seemingly Unrelated Regressions”, Computer-Aided Econometrics, edited by David Giles, Marcel Dekker, New York, 11-35.
Dufour, J.-M., Pelletier, D. and E. Renault, 2004, “Short Run and Long Run Causality in Time Series: Inference”, forthcoming in the Journal of Econometrics.
Dufour, J.-M. and M. Taamouti, 2003a, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, forthcoming in Econometrica.
* El Himdi, K., Roy, R. and P. Duchesne, 2003, “Tests for non-correlation of two multivariate time series: a nonparametric approach” Mathematical Statistics and Applications : Festschrift for Constance van Eeden, Ed. Moore, M., S. Froda & C. Léger. IMS Lecture Notes, vol. 42, pp. 397-146, Institute of Mathematical Statistics, Hayward, CA.
Francq, C., R. Roy and J.-M. Zakoïan, 2003, “Diagnostic checking in ARMA models with uncorrelated errors”, forthcoming in the Journal of the America Statistical Association.
Garcia, R., E. Ghysels and E. Renault, 2003, “The Econometrics of Option Pricing”, forthcoming in Handbook of Financial Econometrics, Y. Aït-Sahalia and L.P. Hansen (eds), North Holland, Amsterdam.
Garcia, R., Luger, R. and E. Renault, 2004, “Option Pricing, Preferences and State Variables”, forthcoming in TThe Canadian Journal of Economics.
* Garcia, R., Luger, R. and E. Renault, 2003, “Empirical Assessment of an Intertemporal Option Pricing Model with Latent Variables”, in Journal of Econometrics, 116, 49-83.
* Ghysels. E., L. Khalaf and C. Vodounou, 2003, “Simulation-Based Inference in Moving Average Models”, Annales d’économie et de statistiques, (69), 86-99.
Khalaf L. and M. Kichian, 2004a, “Exact tests of the stability of the Phillips Curve: The Canadian Case”, forthcoming in Computational Statistics and Data Analysis, forthcoming.
Khalaf, L. and M. Kichian, 2004b, “Pricing-to-Market Tests in Instrumental Regressions: Case of the Transportation Equipment Industry”, Empirical Economics, 29, 293-309.
Khalaf, L., Saphores, J.-D. and J.-F. Bilodeau, 2003, “Simulation-Based Exact Tests for Jump Diffusions with Unidentified Nuisance Parameters: An Application to Commodities Spot Prices”, Journal of Economic Dynamics and Control, 28, 531-553.
* Meddahi, N., 2003, “ARMA Representation of Integrated and Realized Variances”, in the Econometrics Journal 6, 334-355.
Meddahi, N. and E. Renault, 2004, “Temporal Aggregation of Volatility Models”, in the Journal of Econometrics 119, 355-379.
Meddahi, N., Renault, E. and B. Werker, 2004, “GARCH and Irregularly Spaced Data”, forthcoming in the Economics Letters.
Moon, H. R. and B. Perron, 2004a, “Testing for a Unit Root in Panels with Dynamic Factors”, Journal of Econometrics, 122 (:1), 81-126.
Moon, H. R. and B. Perron, 2004b, “Efficient Estimation of the SUR Cointegation Regression Model and Testing for Purchasing Power Parity”, forthcoming in Econometric Reviews.
Morel, L. and B. Perron, 2004, “Relation entre le taux de change et les exportations nettes : test de la condition Marshall-Lerner pour le Canada”, forthcoming in L'Actualité économique.
Pastorello, S., Patilea, V. and E. Renault, 2003, “Iterative and recursive Estimation in Structural Non-Adaptive Models”, invited lecture, Journal of Business, Economics and Statistics, vol. 21 (, no 4), 449-509.
Perron, B., 2004, “Détection non paramétrique des sauts de la volatilité” forthcoming in a special issue of L'Actualité économique in honor of Marcel Dagenais.
Perron, B., 2003, “Semi-parametric Weak Instrument Regressions with an Application to the Risk-return Tradeoff”, Review of Economics and Statistics, 85 :(2), 424-443.
Pham, D.T., R. Roy & L. Cédras, 2003, “Test for non-correlation of two cointegrated ARMA time series”, in the Journal of Time Series Analysis, 24, 553-577.
b) Other refereed contributions (Letters, Notes, Communications, Review Articles, Papers in refereed conference proceedings, Monographs, Books, Book Chapters, Government Publications)
Insert Papers in other refereed contributions after this line
Dufour, J.-M. and B. Perron eds. Resampling Methods in Econometrics, forthcoming special issue of the Journal of Econometrics.
2. Non-refereed contributions ( Papers, Letters, Papers in Conference Proceedings, Review Articles)
Insert Non-refereed Contributions after this line
3. Specialized publications (Industrial Reports, Thesis, Technical Reports, Internal Reports, Discussions or Abstracts, Symposium Records)
Insert Specialized publications after this line
* Beaulieu, M.-C. Dufour, J.-M. and L. Khalaf, 2003a, “Finite Sample Diagnostics in Multivariate Regressions with Applications to Asset Pricing Models”, Discussion paper, CIRANO and CIREQ, Université de Montréal, 34 pages. Submitted to Journal of Financial Econometrics (revision requested).
Beaulieu, M.-C., Dufour. J.-M. and L. Khalaf, 2003b, “Multifactor Models, Spanning and Heavy-Tailed Distributions: a multi-factor finite sample analysis”, Discussion paper, CIRANO and CIREQ, Université de Montréal . revision requested,Submittted to Journal of Empirical Finance. (revision requested).
* Beaulieu, M.-C. Dufour, J.-M. and L. Khalaf, 2003c, “Testing the CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, Discussion paper, Université de Montréal.
Beaulieu, M.-C., Dufour. J.-M. and L. Khalaf, 2004a, “Multivariate tests of mean-variance efficiency with possibly non-Gaussian errors: an exact simulation-based approach”. Discussion paper, CIRANO and CIREQ, Université de Montréal . Submittted to , submitted to the Journal of Business and Economic Statistics.
Beaulieu, M.-C., Dufour, J.-M. and L. Khalaf, 2004b, “Testing Black's CAPM with possibly non-Gaussian errors distributions: an exact simulation-based approach”, submitted to the Journal of Financial Economics.
Bernard, J.T., J.-M. Dufour, L. Khalaf L., J.-M. Dufour and M. Kichian, 2004, “Structural Change and Forecasting Long-Run Energy prices”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, 18 pages. Submitted to Journal of Economic Dynamic and Control.
Bernard J.-T., Idoudi N., Khalaf L. and C. Yélou, 2004, “Finite Sample Multivariate Structural Change Tests with Application to Energy Demand Models”, submitted to Journal of Econometrics.
Bolduc D., Khalaf L. and E. Moyneur, 2004, “Identification-Robust Simulation-Based Inference in Joint Discrete/Continuous Models”, submitted to Review of Economics and Statistics.
Bonnal, H. and E. Renault, 2004, “On the Efficient Use of the Informational Content of Estimating Equations: Implied Probabilities and Euclidean Empirical Likelihood”, working paper, CIRANO, 2004s-18.
* Bouhaddioui, C. and R. Roy, 2003a, “On the distribution of the residual cross-correlations between two uncorrelated infinite order vector autoregressive series”, Technical Report CRM-2924, Université de Montréal, submitted to the Statistics and Probability Letters.
* Bouhaddioui, C. and R. Roy, 2003b, “A Generalized Portmanteau Test for Independence Between Two Multivariate Infinite Order Autoregressive Series”, Technical Report CRM-2936, Université de Montréal. Submitted to the Journal of Time Series Analysis (revision requested).
Chabi-Yo, F., Garcia, R. and E. Renault, 2004, “State dependence in Fundamentals and preferences Explains risk aversion Puzzle”, manuscript, CIRANO, CIREQ and Université de Montréal, 25 pages.
Comte, F., Coutin, L. and E. Renault, 2004, “Fractional Stochastic Volatility Models”, manuscript, CIREQ, Université de Montréal.
Detemple, J.B., R. Garcia and M. Rindisbacher, 2004dd, “Asymptotic Properties of Monte Carlo Estimators of Derivatives of Diffusion Processes”, first revision submitted to Management Science.
Detemple, J.B. and M. Rindisbacher, 2004, “Closed Form Solutions for Optimal Portfolio Selection with Stochastic Interest Rate and Investment Constraints”, first revision submitted to Mathematical Finance.
Dufour J.-M, Bernard J.-T., Khalaf L. and M. Kichian, “Structural Change and the Dynamics of Energy prices”, submitted to the Journal of Applied Econometrics.
Dufour J.-M, Bernard J.-T., Khalaf L. and M. Kichian, “Inflation dynamics and the New Keynesian Phillips Curve: an identification robust econometric analysis” submitted to the Journal of Economic Dynamic and Control.
Dufour J.-M, Bernard J.-T., Khalaf L. and M. Kichian, “Structural Change and the Dynamics of Energy prices”, submitted to the Journal of Applied Econometrics.
* Dufour, J.-M., Farhat, A. and L. Khalaf, 2003, “Tests multiples simulés et tests de normalité basés sur plusieurs moments dans les modèles de régression”, CIRANO and CIREQ, Université de Montréal, 2003, 20 pages.
Dufour, J.-M. and T. Jouini, 2003, “Finite-sample simulation-based tests in VAR models with applications to order selection and causality testing”, discussion paper, CIRANO, CIREQ, Université de Montréal, 28 pages. Submitted to Journal of Econometrics (revision requested).
.
Dufour, J.-M. and L. Khalaf, 2003, “Simulation-Based Finite-Sample Inference in Simultaneous Equations”, Technical Report, CIREQ, Université de Montréal.
Dufour, J.-M., Khalaf, L. and M. Kichian, 2004, “Inflation dynamics and the New Keynesian Phillips Curve: and identification robust econometric analysis”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, 32 pages. Submitted to Journal of Economic Dynamics and Control.
Dufour. J.-M, Khalaf, L. and M.-C. Beaulieu, 2003, . “Finite Sample Diagnostics in Multivariate Regressions with Applications to Asset Pricing Models”, under revision, Journal of Financial Econometrics Discussion Paper, CIRANO and CIREQ, Université de Montréal..
Dufour, J.-M. and J.-R. Kim, 2004, “Exact tests and confidence sets for the tail coefficient of symmetric (-stable distributions”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, and Research Department, Deutsche Bundesbank, 18 pages.
*Dufour, J.-M. and T. Jouini, 2003a, “Asymptotic Distribution of a Simple Linear Estimator for VARMA Models in Echelon Form”, Discussion Paper, CIRANO and CIREQ, Université de Montréal, 2003, 34 pages.
Dufour, J.-M. Dufour and T. Jouini, 2003, “Finite-sample simulation-based tests in VAR models with applications to order selection and causality testing”, discussion paper, CIRANO, CIREQ, Université de Montréal, 28 pages. Submitted to Journal of Econometrics (revision requested).
Dufour, J.-M. and M. Neifar, 2003, “Exact simulation-based inference for autoregressive processes based on induced tests”, discussion paper, CIRANO and CIREQ, Université de Montréal, 8 pages. Submitted to COMPSTAT 2004.
* Dufour, J.-M. and M. Taamouti, 2003, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, Discussion Paper, C.R.D.E., Université de Montréal, 42 pages.
Dufour, J.-M. and M. Taamouti, 2003a, “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, revision requested and resubmitted to Econometrica.
* Dufour, J.-M. and M. Taamouti, 2003b, “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models” Discussion Paper, C.R.D.E., Université de Montréal, 43 pages.
Dufour, J.-M. and M. Taamouti, 2003c, “On Methods for Selecting Instruments”, Technical Report, CIREQ, Université de Montréal.
Dufour, J.-M. and M. Taamouti, 2004, “Further results on projection-based inference in IV regressions with weak, collinear or missing instruments”, Discussion paper, CIRANO, CIREQ, Université de Montréal, 41 pages. Submitted to the Journal of Econometrics (revision requested).
Garcia, R., Luger, R. and E. Renault, 2003, “Pricing and Hedging Options with Implied Asset Prices and Volatilities”, manuscript, CIRANO, CIREQ and Université de Montréal, 29 pages.
Garcia, R., Renault, E. and G. Tsafack, 2003, “Proper Conditioning for Coherent VaR in Portfolio Management”, manuscript, CIRANO, CIREQ and Université de Montréal, 29 pages.
Garcia, R., Renault, E. and D. Veredas, 2003, “Estimation of Stable Distributions by Indirect Inference”, manuscript, CIRANO, CIREQ and Université de Montréal, 42 pages.
Khalaf, L. and M. Kichian, 2004, “Estimating New Keynesian Phillips Curves Using Exact Methods”, Bank of Canada Working Paper 2004-11.
* Meddahi, N., Renault, E. and B. Werker, 2003, “GARCH and Irregularly Spaced Data”, submitted to the Economics Letters.
Mélard, G., R. Roy and A. Saidi, 2004, “Exact maximum likelihood estimation of structured or unit root multivariate time series models”, technical Report CRM-3129, Université de Montréal. Submitted to Computational Statistics and Data Analysis.
Moon, H. R. and B. Perron, 2004b, “Asymptotic Local Power of a Test for Unit Roots in Panels with Fixed Effects”, revised and resubmitted at Econometrics Journal.
Moon, H. R. and B. Perron, 2004c, “An Analysis of Nonstatonarity in Panels of Exchange Rates and Interest Rates with Factors”, submitted in the Journal of Applied Econometrics.
Moon, H. R., Perron, B. and P. C. B. Phillips, 2003, “Incidental Trends and the Power of Panel Unit Root Tests”, revisions requested for Journal of Econometrics.
Renault, E. and B. Werker, 2004, “Stochastic Volatility Models with Transaction Time Risk”, manuscript, CIREQ, Université de Montréal.
In each section divide into the categories: published, accepted, submitted, and in progress. Note that MITACS must be acknowledged on all research arising out of network funds. Please underline the names of all students orand postdoctoral fellowsstudents appearing as authors or co-authors of publications.
b) Describe the Intellectual Property (IP), including software, developed as a result of this research within November 1, 2003024 to November 1, 20034. Describe the state of this IP and its readiness for use by other institutions or industry, if applicable. Indicate whether the IP has or will be licensed. Are patents or other protection being sought? Please use the following categories to list the your project’s research results.
Patent applications filed:
Patents issued:
Copyrights:
Licenses under negotiation:
Licenses granted to industry:
Software packages released under a public domain license:
Proprietary software packages:
Recommendations for public policy changes:
Other knowledge and technology exchange and exploitation activities (describe)
c) List presentations (lectures, workshops, conferences, poster sessions) of Network supported research for the period November 1, 20023 to November 1, 20034. Please underline the names of all students and postdoctoral fellows making presentations.
c) List presentations (lectures, workshops, conferences, poster sessions) of Network supported research for the period November 1, 2003 to November 1, 2004. Please underline the names of all students and postdoctoral fellows making presentations.
03/01 Dufour, J.-M., “Testing Black's CAPM with possibly non-Gaussian error distributions: and exact simulation-based approach” (with M.-C. Beaulieu and L. Khalaf), North American Winter Meeting of the Econometric Society, University of Pennsylvania.
03/01 Dufour, J.-M., “Testing Black's CAPM with possibly non-Gaussian error distributions: and exact simulation-based approach”, (with M.-C. Beaulieu and L. Khalaf), North American Winter Meeting of the Econometric Society, University of Pennsylvania.
03/01 Garcia, R., “A Consumption Capital Asset Princing Model with a Reference Level, Econometrics Siciety Winter Meeting, Washington, D.C..
03/01 Meddahi, N., “Moments of Continuous Time Stochastic Volatility Models, North American Winter Meeting of the Econometric Society, Washington.
03/02 Dufour, J.-M., “Projection techniques for statistical inference on structural models with possibly weak instruments” (with M. Taamouti), Brown University.
03/03 Khalaf, L., “Exact Skewness and Kurtosis Tests for Multivariate Normality and Goodness of Fit in Multivariate Regressions with Application to Asset Pricing Models” (with M.-C. Beaulieu and J.-M. Dufour), Montreal Econometrics Seminar / Atelier d'économétrie de Montréal, Montréal.
03/03 Khalaf, L., “Exact Skewness and Kurtosis Tests for Multivariate Normality and Goodness of Fit in Multivariate Regressions with Application to Asset Pricing Models”, Montreal Econometrics Seminar / Atelier d'économétrie de Montréal, Montréal.
03/03 Meddahi, N., “An Eigenfunction Approach for Volatility Modeling” Harvard-MIT Econometrics seminar.
03/03 Rindisbacher, M., “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, CIRANO Workshop on Monte Carlo methods in Finance, Montréal.
03/05 Dufour, J.-M., “Finite sample Multivariate Diagnostic Tests of Asset Pricing Models” (with M.-C. Beaulieu and L. Khalaf), Séminaire d'économétrie de Montréal/Montreal Econometrics Seminar, Université de Montréal (paper présented by L. Khalaf).
03/05 Dufour, J.-M., “Finite sample Multivariate Diagnostic Tests of Asset Pricing Models” (with M.-C. Beaulieu and L. Khalaf), Séminaire d'économétrie de Montréal/Montreal Econometrics Seminar, Université de Montréal, (paper présented by L. Khalaf).
03/05 Dufour, J.-M., “Finite sample simulations-based inference in vector autoregressive models”, MITACS 2003 Annual General Meeting, Ottawa. (Presented by T. Jouini).
03/05 Dufour, J.-M., “Short run and long run causality in time series: inference”, (with D. Pelletier and E. Renault), MITACS 2003 Annual General Meeting, Ottawa. (Presented by D. Pelletier).
03/05 Dufour, J.-M., “Testing Black's CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach” (with M.-C. Beaulieu and L. Khalaf), Conference on Simulation Based and Finite Sample Inference in Finance, Château Frontenac, Québec.
03/05 Garcia, R., “Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level”, Société Canadienne de Science Économique, Montréal.
03/05 Garcia, R., “Pricing and Hedging Options with Implied Asset Prices and Volatilities”, Optimization Days, Montréal.
03/05 Khalaf, L. "Residual-Based Finite-Sample Misspecification Tests in Multivariate Regressions with Applications to Asset Pricing Models", (with M.-C. Beaulieu and J.-M. Dufour) 37th Annual Meetings of the Canadian Economics Association, Carleton University (Ottawa; May 31, 2003).
03/05 Perron, B., “Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence”, Congrès de la Société canadienne de science économique.
03/06 Dufour, J.-M., “Exact k-sample goodness-of-fit tests for continuous and discrete distributions”, Statistical Society of Canada, Dalhousie Univeristy, Halifax. (Presented by Abdeljelil Farhat).
03/06 Dufour, J.-M., “Projection-Based Statistical Inference in Linear Structural Models with possibly Weak Instruments”, Conference on Weak and/o Many Instruments, MIT, Cambridge.
03/06 Garcia, R., “A Consumption Capital Asset Pricing Model with a Reference Level”, Conference on Macroeconomics and Finance, Montréal.
03/06 Roy, R., “Test d'adéquation de modèles ARMA avec erreurs non indépendantes”, 35e Journées de statistique, Lyon.
03/07 Garcia, R., “A Consumption Capital Asset Pricing Model with a Reference Level”, Federal Reserve Bank of Atlanta, Atlanta.
03/08 Garcia, R., “A Consumption Capital Asset Pricing Model with a Reference Level” Econometric Society European Meeting, Stockholm.
03/08 Roy, R., “A generalized portmanteau test for independence of two infinite order vector autoregressive series”, Joint Statistical Meetings, San Francisco.
03/08 Roy, R., “Goodness-of-fit tests for ARMA models with uncorrelated errors”, 54e session of the International Statistical Institute, Berlin.
03/08 Khalaf, L. "Residual-Based Finite-Sample Misspecification Tests in Multivariate Regressions with Applications to Asset Pricing Models" (with J.-M. Dufour and Marie-Claude Beaulieu), Annual Meeting of the American Statistical Association (San Francisco; August 8, 2003).
03/08 Dufour, J.-M., "The Dependence of Test Size and Power on Nuisance Parameters in Autoregressive Models" (with Jan Kiviet), 58th European meeting of the Econometric Society, Stockholm University (Stockholm; August 22, 2003).
03/08 Khalaf, L., "Residual-Based Finite-Sample Misspecification Tests in Multivariate Regressions with Applications to Asset Pricing Models" (with J.-M. Dufour and Marie-Claude Beaulieu), 58th European meeting of the Econometric Society, Stockholm University (Stockholm; August 20, 2003). Paper presented by Lynda Khalaf and Marie-Claude Beaulieu.
03/09 Garcia, R., “A Consumption Capital Asset Pricing Model with a Reference Level”, Econometric Society European Meeting, Stockholm.
03/10 Dufour, J.-M., "Testing Black's CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach " (with M.-C. Beaulieu and L. Khalaf), Séminaire d'Économie, Finance et Ingénierie Financière, École des Hautes Études Commerciales de Montréal.
03/10 Perron, B., “Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence”, Rice University, Texas.
03/11 Dufour, J.-M., “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, Vanderbilt University, Nashville, Tennessee.
03/11 Garcia, R., “Proper Conditioning for Coherent VaR in Portfolio Management”, Conference on New Directions in Financial Risk Management, Frankfurt.
03/12 Dufour, J.-M., “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, EC2 Conference on Endogeneity, Instruments and Identification in Econometrics, London
03/12 Khalaf, L., “Simulation-Based Finite Sample inference in Simultaneous Equations”, with Jean-Marie Dufour, EC2 Conference on Endogeneity, Instruments and Identification in Econometrics, London.
03/12 Dufour, J.-M., “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for nonlinear Models”, EC2 Conference on Endogeneity, Instruments and Identification in Econometrics, London (presented by M. Taamouti).
03/12 Khalaf, L., “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu and J.-M. Dufour), Queen Mary University of London.
03/12 Perron, B., “Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence”, University of Rochester, Rochester.
03/12 Rindisbacher, M., “A Monte Carlo Method for Optimal Portfolios”, Workshop on Monte Carlo Methods, Los Alamos.
04/01 Dufour, J.-M., “Finite-Sample Simulation-Based Tests in VAR Models with applications to Order Selection and Causality Testing”, Conference in Honor of Clive W.J. Granger on Predictive methodology and Application in Economics and Finance, University of California, San Diego.
04/01 Garcia, R., “Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes”, Econometric Society Winter Meetings, San Diego, CA.
04/01 Rindisbacher, M., “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, ES Meetings, San Diego, California.
04/02 Dufour, J.-M., “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, University of Southampton.
04/02 Dufour, J.-M., “Projection-Based Statistical Inference in Linear Structural Models with Possibly Weak Instruments”, University of Alicate, Spain.
04/02 Dufour, J.-M., “Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for nonlinear Models”, Tinbergen Institute, University of Amsterdam.
04/03 Perron, B., “Long Memory and the Relation Between Implied and Realized Volatility”, University of Southern California, South California.
04/03 Rindisbacher, M., “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, Financial Econometrics Workshop, University of Waterloo.
04/04 Khalaf, L., “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, University of Rochester.
04/05 Dufour, J.-M., “Tests exacts d'indépendance sérielle dans les cas de distributions continues et discrètes”, XXXVIe Journées de Statistique de Montpellier, France. (Presented by Abdeljelil Farhat).
04/05 Garcia, R., “Estimation of Stable Distributions by Indirect Inference”, CIRANO-CIREQ Conference in Financial Econometrics, Montréal,
04/05 Khalaf, L., “Estimating New Keynesian Phillips Curves with Optimal Instruments”, (with J.-M. Dufour and M. Kichian), Société canadienne de science économique, Québec.
04/05 Khalaf, L., “Exact Multivariate Structural Change Tests with Application to Energy Demand Models”, Société canadienne de science économique, Québec. (Presented by Clément Yelou).
04/05 Khalaf, L., “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu et J.-M. Dufour), CIREQ-CIRANO Financial Econometrics Conference, Montréal.
04/05 Perron, B., “Incidental Trends and the Power of Unit Root Tests”, Congrès de la Société canadienne de science économique, Québec.
04/05 Rindisbacher, M., “Explicit Solutions ofr a Portfolio Problem with Incomplete Markets and Investment Constraints”, Microstructure Conference, HEC Montréal, Montréal.
04/05 Roy, R., “Goodness-of-fit tests for ARMA models with uncorrelated errors”, Probability and Statistics Seminar, Institut de Statistique et de Recherche Opérationnelle, Université Libre de Bruxelles.
04/05 Roy, R., “Goodness-of-fit tests for ARMA models with uncorrelated errors”, Financial Econometrics Conference, CIRANO, Montréal.
04/05 Roy, R., “Exact maximum likelihood estimation of structured or unit root multivariate time series models”, Annual Meeting of the Statistical Society of Canada, Montréal.
04/06 Dufour, J.-M., “A simple estimation method and finite-sample inference for a stochastic volatility model”, 2004, North American Summer Meeting of the Econometric Society, Brown University, Providence, Rhode Island. (Presented by Pascale Valéry)
04/06 Dufour, J.-M., “Finite Sample and Optimal inference in Possibly Nonsationary ARCH Models with Gaussian and Heavy-tailed Errors”, North American Summer Meeting of the Econometric Society, Brown University, Providence, Rhode Island. (Presented by Emma Iglesias).
04/06 Dufour, J.-M., “Structural Change and dynamics of Energy Prices”, (with J.-T. Bernard, L. Khalaf and M. Kichian), MITACS 5th Annual Conference, Dalhousie, Halifax.
04/06 Khalaf, L., “Are the New Keynesian Phillips Curves identified”, ( with J.-M. Dufour and M. Kichian), North American Meeting of the Econometric Society, Providence. (Presented by Maral Kichian).
04/06 Khalaf, L., “Simulation-Based Finite Sample inference in Simultaneous Equations”, (with J.-M. Dufour), North American Meeting of the Econometric Society, Providence.
04/06 Khalaf, L., “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu and J.-M. Dufour), MITACS Risk and Insurance Theme Meeting, Dalhousie University, Halifax.
04/06 Perron, B., “Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence”, 11th International Conference on Panel Data, College Station, Texas.
04/06 Perron, B., “Long Memory and the Relation Between Implied and Realized Volatility”, MITACS Annual Conference, Halifax.
04/06 Rindisbacher, M., “Asymptotic Properties of Monte Carlo Estimators of Diffusions”, Canadian Statistical Society, Montréal.
04/07 Khalaf, L., “Are the New Keynesian Phillips Curves identified”, (with J.-M. Dufour and M. Kichian) Society for Economic Dynamics, Florence. (Presented by Maral Kichian).
04/07 Khalaf, L., “Are the New Keynesian Phillips Curves identified?”, (with Jean-Marie Dufour and Maral Kichian), Society for Computational Economics, Amsterdam. (Presented by Maral Kichian).
04/07 Khalaf, L., “Estimating New Keynesian Phillips Curves with Optimal Instruments”, Banque de France. (Presented by Maral Kichian).
04/07 Khalaf, L., “Estimating New Keynesian Phillips Curves with Optimal Instruments”, Bank of England. (Presented by Maral Kichian).
04/08 Dufour, J.-M., “A simple estimation method and finite-sample inference for a stochastic volatility model”, 59th European Meeting of the Econometric Society, Universitad Carlos III de Madrid. (Presented by Pascale Valéry).
04/08 Dufour, J.-M., “Finite-Sample inference methods for autoregressive processes: an approach based on truncated pivotal autoregression”, 59th European Meeting of the Econometric Society, Universitad Carlos III de Madrid. (Presented by Malika Neifar).
04/08 Dufour, J.-M., “Point-Opptimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models”, 59th European Meeting of the Econometric Society, Universitad Carlos III de Madrid.
04/08 Dufour, J.-M., “Testability and non-testability in semiparametric regression models”, 59th European Meeting of the Econometric Society, Universitad Carlos III de Madrid. (Presented by Olivier Torrès).
04/08 Garcia, R., “Estimation of Stable Distributions by Indirect Inference,” Econometric Society European Meeting, Madrid.
04/08 Roy, R., “Goodness-of-fit tests for ARMA models with uncorrelated errors”, EEA-ESEM 2004, Madrid.
04/09 Dufour, J.-M., “Finite-Sample Simulation-Based Tests in VAR Models with applications to Order Selection and Causality Testing”, Canadian Econometric Study Group, Toronto. (Presented by Tarek Jouini).
04/09 Dufour, J.-M., “Testability and non-testability in semiparametric regression models”, Maastricht Research Institute/School of Economics and Organizations. (Presented by Olivier Torrès).
04/09 Garcia, R., “Estimation of Stable Distributions by Indirect Inference,” Canadian Econometric Study Group, York University, Toronto.
04/09 Khalaf, L., “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu and J.-M. Dufour), Canadian Econometric Study Group mMeetings, Toronto.
04/09 Khalaf, L., “Testing Black’s CAPM with possibly non-Gaussian error distributions: an exact simulation-based approach”, (with M.-C. Beaulieu and J.-M. Dufour) Northern Finance Association Meetings, St John, New Finfoundland. (Presented by Marie-Claude Beaulieu).
04/09 Khalaf, L., “Exact Multivariate Structural Change Tests with Application to Energy Demand Models”, Journée des Chercheurs, Colloque Monder, Québec.
04/09 Perron, B., “An Analysis of Nonstatonarity in Panels of Exchange Rates and Interest Rates and Interest Rates with Factors”, Canadian Econometric Study Group, Toronto.
04/10 Garcia, R., “A Consumption Capital Asset Pricing Model with a Reference Level” Seminar, University of Amsterdam.
04/10 Garcia, R., “A Consumption Capital Asset Pricing Model with a Reference Level”, Seminar, University of Tilburg.
04/10 Dufour, J.-M.., "Point-Optimal Instruments and Generalized Anderson-Rubin Procedures for Nonlinear Models" (with Mohamed Taamouti), Harvard-MIT Econometrics Seminar, Massacgusetts Institute of Technology (Cambridge, MA).
04/10 Dufour, J.-M.., "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Tests" (with Tarek Jouini), Department of Economics, Boston University (Boston, MA; October 29, 2004).
109. Networking.
As stated above, this project deals with the mathematical theory of risk modelling and resource management, and it includes both some research and technology transfer activities in relation with our industrial partners. The transfer activities take place in the context of the Centre interuniversitaire de recherche en analyse des organisations (CIRANO), where fundamental purpose consists precisely in establishing links and collaboration between non-academia institution and university researchers. In the case of MITACS, this collaboration is done in the context of Finance group of CIRANO.
The project partners are CIRANO (and its industrial affiliates in Finance, Banque Nationale du Canada, Hydro-Québec, Laurentian Bank of Canada, Desjardins Global Asset Management) and CIREQ-CRDE. The majority of the members of the team belong to CIRANO, an organization whose mission is to transfer knowledge to the industry.
In the current project, the interaction with industry has taken various forms. First, regular working sessions are held with the CIRANO partners. Robert Normand, from Desjardins Globas Asset Management, is managing hedge funds and was recently presenting to several members of the team a project for a global macro fund that he would like to launch. The researchers provided a critical assessment of the procedures and several recommendations for improving the statistical soundness of the strategies. These exchanges occur quite frequently also with the other partners. Recently also, a portfolio management software was presented to Patrick Agin form Hydro-Québec and his team. The transfer of knowledge also takes the form of workshops and conferences, which are open to our industrial partners, researchers in the area and other MITACS groups [mainly in the Montréal area or working in Trading/Finance area (Haussmann)]. Several representatives from the industry (partners and other corporations) were present at the various workshops and conferences organized by the team members through CIRANO and the CRDE.
In this area, it is worthwhile to stress that we have organized up to now fourseven conferences we organized dealt withon two major themes of our research program, namely Asset Pricing and Portfolio Models and Statistical Models for Financial Time Series. The first one was entitled “Intertemporal Asset Pricing Conference” (CIRANO, Montréal; October 22-23, 1999) and gathered some of the best experts of the field of mathematical asset pricing models in the world. The second one was a thematic meeting of the Canadian Econometric Study Group on “Econometric Methods and Financial Markets” (Université de Montréal; September 25-26, 1999) which also gathered some of the best experts of the field. Both were of interest to academic researchers and our industrial partners and were well attended. Besides we have organized two sessions on finance in the context of the last annual Meeting of the Société canadienne de science économique, which was held jointly with the meeting of the Association des économistes québécois (ASDEQ), a society of business economists, and we are running a highly successful series of Finance seminars at CIRANO which is also of interest to our industrial partners. The third one was a Conference-Workshop on Financial Mathematics and Econometrics (organized by J. Detemple, R. Garcia, E. Renault and N. Touzi) with many leading researchers in the fields, which was held in Montreal (26-30 June 2001). Members of other MITACS were present. The fourth one was a conference on Resampling Methods in Econometrics (Université de Montréal, October 13-14, 2001, organized by J.-M. Dufour and B. Perron), a theme which is central to the statistical part of our MITACS project. The conference attracted both econometricians, statisticians and practitioners interested by applications and extensions of Monte Carlo tests and bootstrap techniques in econometrics and finance. We will edit a special issue of the Journal of Econometrics based on the papers presented at this conference. The fifth conference dealt with Simulation Based and Finite Sample Inference in Finance, (Québec, May 2-3, 2003; organized by M.-C. Beaulieu, J.-M. Dufour, L. Khalaf and A. C. MacKinlay), which is a major focus of our research project.. The sixth and seventh conferences consider were entitled Financial Econometrics Conferences (Montréal, May 9-10, 2003 and May 7-8, 2004; organized by N. Meddahi) and now becoming one of the major events of this field in the world. New editions of the conference Simulation Based and Finite Sample Inference in Finance and the Financial Econometrics Conference are in preparation for April and May 2005 respectively. Another conference on this general theme is in preparation for April 2005. We also organize regularly short courses on advanced topics in mathematical and statistical finance (4 of them during the last two years), mini-conferences (Finance Days) of interest to both academic researchers and financial institution professionals (19 during the last 23 years). In particular, during the last year, we organized one-day conferences on Portfolio Management (Montréal, December 5, 2003) and Macroeconomics and Finance: The Term Structure of Interest Rates (Montréal, April 4, 2004).
In 2001, we are starting an Advanced Executive Training in Finance aimed at non-academic professionals.
Contacts with new potential partners have been established since the beginning of the MITACS project. The Institut de Finance Mathématique de Montréal (IFM2) is very interested in the current research agenda and is ready to fund (see section 7a) our project if matching funds are provided by MITACS. Contacts are taking place with two new partners of CIRANO, the Caisse de dépôt et de placement du Québec and Bank of Montréal. Several meetings are taking place to define research areas of common interest. We expect them to joint the MITACS program in the year to come. One student (Chamakhi, Slim) who is still in the MITACS project is currently workinged at Caisse Desjardins for a 6-month internship.
Thomas McCurdy a finance specialist from the University of Toronto (Rotman School of Management) and Ramazan Gençay (Carleton University), an econometrician specialized in nonlinear dynamics problems, are collaborating with our group in the context of CIRANO.
Cooperation between the members of the team takes the form of numerous joint papers as well as conferences, workshops and seminars which are jointly organized (see Section VI). It has been effective and highly successful.
Cooperation with other groups inside MITACS has mainly taken the forms of conferences and seminars. In the Montréal area, the group closest to us is the one working on Inference from High-Dimensional Data, whose leader (Y. Bengio) is also a member of the Finance group at CIRANO. Given the common interest in statistical problems, members of the two groups regularly participate to seminars and workshops organized by the other. We have also regular contacts with another team working on financial mathematics problems (Modeling, Trading and Risk in the Market, lead by U. Haussmann), especially through seminars and conferences. During the Winter of 2002, members of each team will give seminars in the seminars series of the other.
Finally, we organized two sessions of Financial Mathematics at the MITACS general meetings of June 2000 (Toronto) and June 2001 (Montréal).
Special workshops (Short courses)
CIRANO-MITACS-RCM2 Portofolio Choice Conference (CIRANO, Montréal)
03/03/07 Raman Uppal (London Business School) Systemic Risk and International Portfolio Choice”.
03/03/07 Ali Lazrak (University of British Columbia) “Revisiting Treynor and Black (1973): an Intertemporal model of Active Portfolio Management”
03/03/07 Costis Skiadas (Northwestern University) “Optimal Lifetime Consumption-Portfolio Strategies under Trading Constraints and Generalized Recursive Preferences”
03/03/07 Hong Liu (Washington University) “Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets”
03/03/07 Peter Bossaerts (Caltech and CEPR) “Equilibrium Asset Pricing Under Heterogeneous”
03/03/07 Tan Wang (University of British Columbia) “Model Misspecification and Under-Diversification”
03/03/07 Michael Brandt (University of Pennsylvania and NBER) “Portfolio and Consumption Choice with Option Implied State Prices”
03/03/07 Jessica Wachter (New York University) “Does the Failure of the Expectations Hypothesis Matter for Long-Term Investors?”
CIRANO-CREFÉ-CIREQ-MITACS Montreal Econometrics Seminar
03/03/21 William McCausland (Université de Montréal) “Time Reversibility or Irreversibility of Asset Return Volatility”
03/03/21 Douglas Hodgson (Université du Québec à Montréal) “Asset Pricing Theory and the Valuation of Canadian Paintings”
03/03/21 Lynda Khalaf (Université Laval) “Finite Sample Multivariate Diagnostic Tests of Asset Pricing Models”
03/06/19 Aman Ullah (University of California at Riverside) “Combined Estimator of Time Series Conditional Heteroscedasticity”
03/09/12 James Heckman (University of Chicago) “Structural Equations, Treatment Effects and Econometric Polity Evaluation”
03/10/10 Ariel Pakes (Harvard University) “Simple Estimators for the Parameters of Discrete Dynamic Games”
03/10/24 Timothy J. Vogelsang (Cornell University) “A New Asymptotic Theory for Heteroskedasticity-Autocorrelation Robust Tests”
03/10/31 Alastair Hall (North Carolina State University) “Information in Empirical Likelihood and Generalized Method of Moments Estimation”
03/11/21 Charles Manski (Northwestern University) “Statistical Treatment Rules for Heterogeneous Populations”
03/11/28 James Mackinnon (Queen's University) “Finite-Sample Properties of Tests Based on a Single Structural Equation”
04/02/27 Mark Watson (Princeton University) “Optimal Tests for Reduced Rank Time Variation in Regression Coefficients and Level Variation in the Multivariate Local Level Model”
04/03/19 Werner Ploberger (University of Rochester) “Admissible and Nonadmissible Tests in Unit-Root-Like Situations”
04/03/26 Ken West (University of Wisconsin, Madison) “Using Out-of-Sample Mean Squared Prediction Errors to Test the Martingale Difference Hypothesis”
04/04/30 John Geweke (Iowa University) “Getting it Right: Joint Distribution Tests of Posterior Simulators”
04/10/08 Jerry Hausman (MIT) “Difference in Difference Meets Generalized Least Squares: Higher Order Properties of Hypotheses Tests”
04/10/22 Roger Koenker (University of Illinois at Urbana-Champaign) “Pessimistic Portfolio Allocation and Choquet Expected Utility”
Major cConferences (since November 2003)
CIRANO-CIREQ-MITACS Conference on Monte Carlo and Numerical Methods in Finance (CIRANO, Montréal)
03/04/04 Mark Broadie (Columbia University) “Pricing American Options by Simulation: The Primal-Dual Method and Efficiency Enhancements”
03/04/04 Jin-Chuan Duan (University of Toronto) “An Enhancement Path-Derivative Monte Carlo Method for Computing Option Greeks”
03/04/04 Nizar Touzi (CREST) “Discrete-time Approximation and Simulation of Backward Stochastic Differential Equation”
03/04/04 Marcel Rindisbacher (University of Toronto) “Asymptotic Efficiency of Monte Carlo Estimators for Diffusions”
03/04/04 A. Ronald Gallant (Duke University) “A Bayesian Approach to EMM”
03/04/04 Michael S. Johannes (Columbia University) “Nonlinear Filtering of Stochastic Differential Equiations with Jumps”
CIRANO-CIREQ-CIRPÉE-GREEN-IFM2-MITACS Simulation Based and Finite Sample Inference in Finance (Château Frontenac, Québec)
03/05/02 Raymond Kan (University of Toronto) “Hansen-Jagannathan Distance: Geometry and exact districution”
03/05/02 Jean-Marie Dufour (Université de Montréal) “Testing Black's CAPM with possibly non-Gaussian errors: an exact simulation-based approach”
03/05/02 Joseph Chen (University of Southern California) “CAPM over the long run: 1926-2001”
03/05/02 Bruce Lehmann (University of California at San Diego) “Diversification and the optimal construction of basis portfolios”
03/05/02 Yangru Wu (Rutgers University) “Technical trading-rule profitability, data snooping, and reality check: evidence from the foreign exchange market”
03/05/02 Peter Reinhard Hansen (Brown University) “Regression analysis with many specifications: a bootstrp method for robust Inference”
03/05/02 Adlai Fisher (University of British Columbia) “Corporate investment and asset price dynamics: implications for the cross section of returns”
03/05/03 John Geweke (University of Iowa) “Compound markov-mixtures models with applications in finance”
03/05/03 Jay Shanken (Emory University) “Mutual fund performance with learning across funds”
03/05/03 Robert Stambaugh (University of Pennsylvania) “Inference about survivors”
03/05/03 Denis Pelletier (North Carolina State University and Université de Montréal) “Backtesting portfolio risk measures”
03/05/03 Giovanni Barone-Adesi (University of Southern Switzerland) “A multivariate FGD technique for powerful VaR computation in equity markets”
CIRANO-CIREQ-MITACS Financial Econometrics Conference (Delta Hotel, Montréal)
03/05/09 Ronald Gallant (Duke University and University of North Carolina at Chapel Hill) “Rational Pessimism and Exuberance”
03/05/09 Christian Gourieroux (University of Toronto, CREST, CIRANO and CIREQ) “Extended Methodof Moments”
03/05/09 Qiang Dai (New York University) “Are Regime Shifts Priced in the U.S. Treasury Markets?”
03/05/09 Luca Benzoni (University of Minnesota) “Stochastic Volatility, Mean Drift and Jumps in the Short Rate Diffusion: Sources of Steepness, Level and Curvatre in the Yield Curve”
03/05/09 Benoit Perron (Université de Montréal, CIRANO and CIREQ) “Panel Evidence on Unit Roots in Exchange Rates and Interest Rates with Cross-sectional Dependence”
03/05/09 Yacine Ait-Sahalia (Princeton University and NBER) “Why Distinguishing Jumps from Volatility is Difficult (But Not Impossible)?”
03/05/09 Siddhartha Chib (Washington University) “Analysis of Partially Observed Diffusions”
03/05/09 Michael Johannes (Columbia University) “MCMC Maximum Likelihood”
03/05/09 Graham Elliott (University of California at San Diego) “Biases in Macroeconomic Forecasts: Irrationality or Asymmetric Loss?”
03/05/09 Sean Campbell (Brown University) “Weather Forecasting for Weather Derivatives”
03/05/09 Nikolay Gospodinov (Concordia University and CIREQ) “Asymptotic Confidence Intervals for Impulse Responses of Near-Integrated Processes”
03/05/10 Yongmiao Hong (Cornell University) “Are the Directions of Stock Price Changes Predictable? A Generalized Cross-Spectral Approach”
03/05/10 Federico Bandi (University of Chicago) “Robust Stock Return Predictability”
03/05/10 Torben G. Andersen (Northwestern University and NBER) “Correcting the Errors: A Note on Volatility Forecast Evaluation based on high-Frequency Data and Realized Volatilities.
03/05/10 Lars Peter Hansen (University of Chicago and NBER) “Semigroup Pricing”
03/05/10 Jérôme Detemple (Boston University and CIRANO) “Asset Prices with General Processes”
03/05/10 Oliver Linton (London School of Economics) “Estimating Semiparametric ARCH () Models by Kernel Smoothing Methods”
03/05/10 Eric Ghysels (University of North Carolina at Chapel Hill and CIRANO) “The MIDAS Touch: Mixed Data Sampling Regression Models”
03/05/10 Yanqin Fan (Vanderbilt University) “Estimation of Copula-Based Semiparametric Time Series Models”
03/05/10 William McCausland (Université de Montréal, CIRANO and CIREQ) “Time Reversibilityor Irreversibility of Asset Return Volatility”
03/05/10 Jin-Chuan Duan (University of Toronto and CIRANO) “A Specification Test for Time Series Models by a Normality Transformation”
03/05/10 Nour Meddahi (Université de Montréal, CIRANO and CIREQ) “Aymptotic tests based on estimators with a partially unknown distribution”
CIRANO-CIREQ-MITACS Conference on Macroeconomics and Finance
03/06/06 Angelo Melino (University of Toronto) “State Dependent Preferences Can Exploain the Equity Premium Puzzle”
03/06/06 Pascal St-Amour (HEC Montréal) “Total Wealth, Consumption and Portfolio Shares: Evidence and Theory”
03/06/06 Ravi Bansal (Duke University) Interpreting Risk Premia Across Size, Value and Industry Portfolios”
03/06/06 Kris Jacobs (McGill University) “Idiosyncratic Consumption Risk and the Cross-Section of Asset Returns”
03/06/06 Urban Jermann (University of Pennsylvania) “Using Asset Prices to Measure the Persistence of the Marginal Utility of Wealth”
03/06/06 René Garcia (Université de Montréal) “A Consumption CAPM with a Reference Level”
03/06/06 Martin Lettau (New York University) “The Declining Equity Premium: What Role Does Macroeconomic Risk Play?”
03/06/06 Jesus Santos (University of Chicago) “Understanding Predictability”
CIRANO-MITACS Conference on Portfolio Management / Conférence sur la gestion de fonds
03/12/05 Lisa Kramer (University of Toronto) and Mark Kamstra (Federal Reserve Bank of Atlanta) “SAD Investors: Implications of Seasonal Variations in Risk Aversion”
03/12/05 Anthony Lynch (New York University) “Does Mutual Fund Performance Vary over the Business Cycle?”
03/12/05 Ravi Jagannathan (Northwestern University) “Assessing the Risk in Mean-Variance Efficient Portfolios”
03/12/05 Russell Wermers (University of Maryland at College Park) “ Mutual Fund "Stars: The Performance and Behavior of US Fund Managers"”
03/12/05 Simon Gervais (Duke University) “Fund Families as Delegated Monitors of Money Mangers”
03/12/05 Massimo Massa (INSEAD) “Mutual Fund Competition and Stock Market Liquidity”
03/12/05 Jeffrey Busse (Emory University) “Bayesian Alphas and Mutual fund Persistence”
03/12/05 Susan Christoffersen (McGill University) “What are the Value of Assets Under Management”
CIRANO-CIREQ-MITACS Macroeconomics and Finance: The Term Structure of Interest Rates
04/04/02 Monika Piazzesi (University of Chicago) “What Does the Yield Curve Tell us about GDP Growth?”
04/04/02 Frandcis X. Diebold (University of Pennsylvania) “The Macroeconomy and the Yield Curve”
04/04/02 Glenn Rudebusch (Federal Reserve Bank of San Francisco) “A Macro-Finance Model of the Term Structure Monetary Policy, and the Economy”
04/04/02 George Tauchen (Duke University) “Regime-Shifts in Term Structure, Expectations Hypothesis Puzzle, and the Real Business Cycle”
04/04/02 Andrew Ang (Columbia University) “The Term Structure of Real Rates and Expected Returns”
04/04/02 Wayne Ferson (Boston College) “Evaluating Bond Government Fund Performance with Stochastic Discount Factors”
04/04/02 Christian Gourieroux (University of Toronto) “Affine versus Quadratic Term Structure Models”
CIRANO-CIREQ-MITACS Financial Econometrics Conference
Provide details on all networking activities during the period November 1, 20023 to November 1, 20034 including those with industry partners (involving diffusion of results, technology transfer, collaborative research or industry linkage), within the project, and within themes. Please list workshops or seminars oriented specifically towards partners, and also include any planned future networking activities.
Make sure to indicate the team’s involvement in MITACS activities.
List any future networking activities that you are planning.
04/05/07 Peter Brockwell (Colorado State University) “Lévy-Driven and Fractionally Integrated Arma Processes with Continuous time Parameter”
04/05/07 Jianqing Fan (Princeton University) “Higher-Order Difference and GLR Tests for Diffusion Models”
04/05/07 John Heaton (University of Chicago) “Consumption Strikes Back?”
04/05/07 Sydney Ludvigson (New York University) “Lank of Addicts? An Empirical Investigation of Habit-Based Asset Pricing Models”
04/05/07 Lynda Khalaf (Université Laval) “Testing Black's CAPM with Possibly Non-Gaussain Errors: An Exact Identification-Robust Simulation-Based Approach”
04/05/07 Rohit Deo (New York Univeristy) “The Variance Ratio Statistic at Large Horizons”
04/05/07 Samuel Thompson (Harvard University) “Cross-Sectional Forecasts of the Equity Premium”
04/05/07 Motohiro Yogo (Harvard University) “Efficient Tests of Stock Return Predictability”
04/05/08 Ivana Komunjer (California Institute of Technology) “Asymmetric Power Distribution: Theory and Applications to Risk Measurement”
04/05/08 René Garcia (Université de Montréal ) “ Estimation of Stable Distributions by Indirect Inference”
04/05/08 Werner Ploberger (University of Rochester) “Optimal Test for Markov Switching”
04/05/08 Roch Roy (Université de Montréal ) “Goodness-of-Fit Tests for ARMA Models with Uncorrelated Errors”
04/05/08 Robert McCulloch (University of Chicago) “On the Determination of General Scientific Models”
04/05/08 Haitao Li (Cornell University) “A MCMC Analysis of Time-Changed Levy Processes of Stock Return Dynamics”
04/05/08 Bjørn Eraker (Duke University) “The Performance of Model Based Option Trading Strategies”
110. Students working on Network Research: Nov 1, 2003 – Nov. 1, 2004. November 1, 2002 –November 1, 2003
|Graduate |Number |Number of theses |
|Students |of Students |completed* |
|PhDs | | |
|Male | | |
|1. Canadian** | | |
|2. Foreign | | |
|Female | | |
|1. Canadian** | | |
|2. Foreign | | |
|TotalTOTAL | | |
|Masters | | |
|Male | | |
|1. Canadian** | | |
|2. Foreign | | |
|Female | | |
|1. Canadian** | | |
|2. Foreign | | |
|TotalOTAL | | |
* Theses directly related to the network's research program (whether funded or not by the network).
** Includes Canadian landed immigrants.
a. Summary (current)
|Graduate Students |Number of Students |Number of theses |
| | |completed* |
|PhDs | | |
|Male | | |
|1. Canadian** |7 |1 |
|2. Foreign |5 |1 |
|Female | | |
|1. Canadian** |0 | |
|2. Foreign |3 | |
|Total |15 | |
|Masters | | |
|Male | | |
|1. Canadian** |8 |1 |
|2. Foreign |8 | |
|Female | | |
|1. Canadian** |2 |1 |
|2. Foreign |0 | |
|Total |18 |7 |
* Theses directly related to the network's research program (whether funded or not by the network).
** Includes Canadian landed immigrants
* Theses directly related to the network's research program (whether funded or not by the network).
** Includes Canadian landed immigrants
b. List of current and past students associated with teams’s research
Aït-Ouyahia, Meriem M.Sc., Econometrics & Finance
Antoine, Bertille Ph.D., Econometrics & Finance
Assabane, Jaouad M.Sc., Econometrics & Finance
Bonnal, Hélène Ph.D., Statistics
Berhili, Saad Elah M.Sc., Mathematics & Statistics
Bondard, Eugène M.Sc., Econometrics & Finance
Bouïssa, Mohsen M.Sc., Econometrics & Finance
Boucher, Marc M.Sc., Mathematical Finance and computationnelle
Boudarbat, Brahim Ph.D., Econometrics & Finance
Boudiaf, Miloud M.Sc. Mathematical Finance
Bouhaddioui, Chafik Ph.D., Mathematics & Statistics, completed 01/02
Boulanger, Pascal M.Sc., Econometrics & Finance
Boulanger, Pascal Ph.D., Econometrics & Finance
Chabi-Yo, Fousseni Ph.D., Econometrics & Finance
Chacker, Selma M.Sc., Econometrics & Finance
Chamakhi, Slim M.Sc., Econometrics & Finance
Chung, Christopher M.Sc., Finance Appliquée
Coudin, Élise Ph.D., Econometrics
Diallo, Thierno Ph.D., Econometrics & Finance
Diouf, Astou Mame Ph.D., Econometrics
Djoumbissi, David M.Sc., Econometrics & Finance
Dovonon, Prosper Ph.D., Econometrics & Finance
Felx, Christia Ph.D., Econometrics & Finance
Gerbeau, Alexis M.Sc., Mathematics & Statistics, completed 12/01
Guisle, Manuel M.Sc., Econometrics & Finance
Hamid, Eric M.Sc., Econometrics & Finance
Iglesias, Emma Post.Doc.., Econometrics
Jouini, Tarek Ph.D., Econometrics
Jurca, Anca M.Sc., Econometrics & Finance
Kozlowski, John M.Sc., Econometrics & Finance
Lamontagne, François Ph.D., Econometrics & Finance
Lemay, Dominique M.Sc., Econometrics and Finance
Luger, Richard Ph.D., Econometrics & Finance, completed 07/01
Meloche, Julie M.Sc., Mathematics & Statistics, completed 02/01
Moise, Marie-Stéphane M.Sc., Econometrics & Finance
Monter, Rosario Ph.D., Econometrics & Finance
Moussa, Hannae M.Sc., Econometrics and Finance
Nedjar, Hacene M.Sc., Mathematics & Statistics
Ouhib, Lyes M.Sc., Mathematics & Statistics
Pelletier, Denis Ph.D., Econometrics
Powo-Fosso, Bruno Ph.D., Econometrics & Finance
Perucic, Anne-Marie M.Sc., Econometrics & Finance
Rasata, Hasina Ph.D., Econometrics & Finance
Semenov, Andrei Ph.D., Econometrics & Finance
Salmi, Zahia M.Sc., Mathematics & Statistics, completed 04/03
Sepke, Alain Ph.D., Econometrics & Finance
Souktani, Lamya M.Sc., Mathematics & Statistics
Taamouti, Abderahim M.Sc., Econometrics and Finance, now in Ph.D.
Taamouti, Mohamed Ph.D., Econometrics, completed 09/01.
Tchana, Fulbert Ph.D., Econometrics & Finance
Tsafack, Georges Ph.D., Economics
Vainberg, Gregory M.Sc., Econometrics & Finance
Valéry, Pascale Ph.D., Econometrics & Finance
Veredas, David Ph.DPost.Doc.., Econometrics & Finance
Yélou, Clément M.Sc., Econometrics
Zahia, Salmi M.Sc., Mathematics & Statistics
Zernov, Sergei M.Sc., Econometrics & Finance
Zhang, Zheng M.Sc., Econometrics & Finance
121. Development of Highly Qualified Personnel.
a) Describe HQP involvement with partner organizations.
HQP is involved with our partner organizations through our transfer activities, and their participation in the seminars and meetings that we organize (see section 10).
The transfer activities take place in the context of the Centre interuniversitaire de recherche en analyse des organisations (CIRANO), where fundamental purpose consists precisely in establishing links and collaboration between non-academia institution and university researchers. In the case of MITACS, this collaboration is done in the context of Finance group of CIRANO.
The project partners are CIRANO (and its industtrial affiliates in Finance, Bank of Montreal, Banque Nationale du Canada, Caisse de depot et de placement du Québec, Hydro-Québec, Laurentian Bank of Canada, Desjardins Global Asset Management) and CIREQ-CRDE. The majority of the members of the team belong to CIRANO, an organization whose mission is to transfer knowledge to the industry.
b) Please describe training activities initiated (summer schools, tutorials, university programs, etc).
132. Proposed Annual Budget: April 1, 20045 – March 31, 20056.
Please provide details of your proposed annual budget in the tables below. Any notes pertaining to particular line items should be placed below the tables. If there is any change to your budget request from the previous year, then that change must be justified below.
INCOME (All numbers are annual amounts):
|Source: |Cash |In-Kind |
|Carry forward (NCE funds) | | |
|Carry forward (Nnon-NCE funds) | | |
|MITACS | | |
|Non-NCE funding sources: | | |
| Source 1: name | | |
| Source 2: name | | |
| Source 3: name | | |
| | | |
|TOTAL: | | |
| | | |
EXPENSES (All numbers are annual amounts):
|Category |NCE Funds |Non-NCE Funds |
|Salaries (including benefits): | | |
| Graduate students | | |
| PDFs | | |
| Other Salaries | | |
|Materials and Supplies | | |
|Travel | | |
|Equipment | | |
| | | |
|TOTAL | | |
| | | |
|SURPLUS (DEFICIT) | | |
NOTES AND BUDGET JUSTIFICATION:
INCOME (All numbers are annual amounts)
|Source: |Amount |In-Kind |
|Carry forward (NCE funds) |0$ | |
|Carry forward (Non-NCE funds) |0$ | |
|MITACS |200 000$ | |
|Non-NCE source (1) |45 000$ | |
|Non-NCE source (2) |30 000$ | |
|Non-NCE source (3) |13 000$ | |
|Non-NCE source (4) |12 000$ | |
|TOTAL: |300 000$ |0$ |
EXPENSES (All numbers are annual amounts)
|Category |NCE Funds |Non-NCE Funds |
|Salaries (including benefits): |150 000$ |60 000$ |
| Graduate students | | |
| PDFs | | |
| Other Salaries | | |
|Materials and Supplies | |10 000$ |
|Travel |40 000$ |20 000$ |
|Equipment |10 000$ |10 000$ |
|TOTAL |200 000$ |100 000$ |
| | | |
|SURPLUS(DEFICIT) |0$ |0$ |
NOTES:
1) National Bank of Canada
2) Hydro Quebec
3) Laurentian Bank of Canada
4) La Bourse de Montréal
14. Proposed Annual Budget: April 1, 2005 – March 31, 2009
Complete this section if you are requesting funding for the period April 1, 2005 to March 31, 2009.
Please provide details of your proposed annual budget in the tables below. Any notes pertaining to particular line items should be placed below the tables.
INCOME (All numbers are annual amounts)
EXPENSES (All numbers are annual amounts)
NOTES:
153. Additional iInformation. about your project that would be helpful to the Research Management Committee.
1) René Garcia was awarded the newly created Hydro-Québec Chair in Integrated Risk Management and Mathematical Finance on May 28, 2003 at the uUniversité de Montréal.
2) During the year 2002-2003, Jean-Marie Dufour was President of the Canadian Economics Association. On May 31, 2003, in Ottawa, he gave his Presidential address on statistical methods for economic and financial analysis. The title of his talk was: “Identification, weak instruments and statistical inference in econometrics”.
3) Éric Renault was awarded on May 14, 2003, the Marcel Dagenais Prize for excellence in research by the Société canadiene de science économique. The previous recipent of this prize (which is awarded only once every three years) was also awarded to a member of our team (Jean-Marie Dufour).
4) Éric Renault was awarded the Canada Research Chair in Financial Econometrics at the Université of Montreal. The new chair’s objective is to advance the study of financial econometrics and develop innovative applications for risk management, asset pricing and the economics of uncertainty associated with a number of technological issues. This research will greatly benefit banking regulators and researchers of financial institutions and markets who are challenged by increasingly complex issues related to risk management and financial markets or derivative assets.
5) As holder of the Canada Resarch Chair in Econometrics (since 2001), Jean-Marie Dufour has obtained a geant from the Canada Research Foundation for starting a “Mathematical Methods and Financial Econometrics Laboratory” based at CIRANO, which will be used for research in mathematical finance and financial econometrics.
6) René Garcia was nominated Scientific Director of CIRANO.
7) The new Journal of Financial Econometrics just came out! This new journal focuses on financial econometrics, a field that has become one of the most active areas of research in econometrics and is a speciality shared by many CIRANO researchers. It aims at reflecting and advancing the relationship between econometrics and finance, both at the methodological and at the empirical levels. More precisely, the statistical issues linked to the various aspects of asset pricing and risk management represent its core focus. René Garcia and Éric Renault are the editors-in-chief of the Journal. The Journal itself is actively managed from CIRANO’s offices. In the spirit of active transfer and liaison, both key CIRANO goals, the Journal also features a Practitioners' Corner. This section emphasizes the practical side of each issue's content and places the articles within a broader perspective. The Journal of Financial Econometrics's electronic version now has its own Web site with the Oxford University Press at .
8) The Finance group of CIRANO is proud to announce its partnership with the Professional Risk Manager’s International Association (PRMIA) which has launched its new regional Montreal Chapter a few months ago. PRMIA is a non-profit global association with the mission to provide a free and open forum for the promotion of sound risk management standards and practices globally. Its objectives include: connecting practitioners, researchers, students and others interested in the field of risk management; driving the integration of practice and theory and certifying the credentials of risk managers with the globally recognized PRMIA Professional Risk Manager certification. CIRANO and PRMIA make excellent partners as they both promote a better communication and a more efficient transfer of knowledge between researchers and companies. As David Stréliski, regional director of PRMIA Montreal, puts it: “This association is an important step towards establishing a common and accessible forum to bring together academics and professionals, theoreticians and practitioners, around today’s key questions in finance, financial engineering and risk management. By working together efficiently, we will be able to establish Montreal as an excellence center for the development and application of innovative ideas in these fields.” Among its activities, PRMIA will be organizing a Career Day focused Career Perspectives in Finance, Risk Management and Financial Engineering. This event will allow professionals in these fields to give students a description of their typical activities in their respective professions. More information on PRMIA’s activities is available on their website:
rd_pages/rd_pages.php?Section=rd_pages&Page=index&Chapter=Montreal
(9) In 2004, Lynda Khalaf was awarded a Canada Research Chair in Economics (Junior).
Detemple, Jérôme
Associate Editor, Review of Derivatives Research, 2004-
Associate Editor, Management Science, 2001 -
Associate Editor, Review of Financial Studies, 1999 – 2002.
Associate Editor, Finance, 1999 - .
Associate Editor, Mathematical Finance, 1997 –
Associate Editor, Fineco, 1992 -
Member of selection committee, European Finance Association meeting, Helsinki, Aug. 1999.
Member of selection committee, European Finance Association meeting, London, Aug. 2000.
Member of selection committee, European Finance Association meeting, Barcelona, Aug. 2001.
Member of selection committee, European Finance Association meeting, Berlin, August 2002.
Member of selection committee, European Finance Association meeting, Glasgow, August 2003.
Member of selection committee, European Finance Association meeting, Maestricht, August 2004
Member of selection committee, American Finance Association meeting, Boston, January 2000.
Member of selection committee, American Finance Association meeting, Atlanta, January 2002.
Dufour, Jean-Marie
Jean-Marie Dufour holds the Canada Research Chair in Econometrics since January 2001. He is a Fellow of the Econometric Society (1999), an elected member of the International Statistical Institute, Fellow of the Royal Society of Canada, and Fellow of the Journal of Econometrics. During 1998-2000, he held Killam Research Fellowship (Canada Council for the Arts) for working on simulation-based statistical methods in Econometrics. He has won the first edition of the Rae Prize (for outstanding research) of the Canadian Economics Association in 1994, and twice the Prize of the Société canadienne de science économiques (1988, 2000). He is a past President of the Canadian Economics Association (2002-2003) and the Société canadienne de science économique (1999-2000).
He also holds several editorial positions:
Associate Editor, Econometrica, 1996 – 2002.
Associate Editor, Journal of Econometrics, 1994 -
Member of Editorial Board, Empirical Economics, 1994 -– 2003.
Associate Editor, Annales d’Économie et de Statistique, 1990 -
Associate Editor, Cahiers du Centre d’Études de Recherche Opérationnelle, 1989 - .
Associate Editor, Econometric Reviews, 1991-1996, 1998 - 2003.
Currnetly supervised Ph. D. students and recent postdoctoral students:
Coudin, Élise : Distribution-free statistical inference with heteroskedasticity and nonlinear dependence of unknown form (Ph.D. Econometrics, Université de Montréal).
Diouf, Mame Astou: Statisticial problems in inequality measurement (Ph.D. Econometrics, Université de Montréal).
Jouini, Tarek: Finite-sample simulation-based inference in multivariate time series models (Ph.D., Econometrics, Université de Montréal)
Taamouti, Abderrahim: Causality measures and characteristic function methods in time series, Ph.D. student (Economics, Université de Montréal).
Valéry, Pascale: Finite-sample inference in models estimated by indirect inference with applications in finance (Ph.D., Econometrics and Finance, Université de Montréal, codirected with Christian Gouriéroux).
Garcia, René
Editor, Journal of Financial Econometrics, Oxford university Press, November 2000-present.
Editor, Annals Issue of the Journal of Econometrics, 1998.
Associate Editor, L’Actualité Économique, May 1996-May 1999.
Associate Editor, Canadian Journal of Economics, June 1998-2001.
Associate Editor, Studies in Nonlinear Dynamics and Econometrics, October 2000-present.
René Garcia was awarded the Hydro-Québec Chair in Integrated Risk Management and Mathematical Finance on May 28, 2003.
Theses and research reports currently supervised: Ph.D. Dissertations and post-doctoral students
Akaffou, Isabelle, “Liquidité, Stratégies des acteurs et Contagion sur les marchés financiers”, Ph.D. Dissertation ( Economics, Université de Montréal, in progress, co-directeur with Michel Poitevin).
Chabi-Yo, Fousseni: “Variables d'état, facteurs d'actualisation stochastique et évaluation dans des modèles d'arbres” Ph.D. Dissertation (Economics, Université de Montréal, in progress, co-directed with Eric Renault).
Felx, Christian : “Dynamique des rendements et gestion de la dette publique”, Ph.D. Dissertation (Economics, Université de Montréal, in progress, co-directed with Benoit Perron)
Tchana Tchana, Fulbert: “Essays in Economic Growth and Financial Markets”, Ph.D. Dissertation (Economics, Université de Montréal, in progress, co-directed with Rui Castro).
Tsafack Kemassong, Georges : “Nonlinear Dependence Modeling, Risk Management and Portfolio Choice” Ph.D. Dissertation (Economics, Université de Montréal, in progress, co-directed with Eric Renault).
Masters Students:
Assabane, Jaouad, “Risque des entreprises du secteur énergétique et utilisation des produits dérivés”, in progress.
Benhamida, Said , “Modèle de risque de crédit avec changement de régime”, in progress.
Khalaf, Lynda
In 2004, Lynda Khalaf was awarded a Canada Research Chair in Economics (Junior).
Graduate students supervision
Masters Students:
Johanne Boivin : Les changements de l'intensité énergétique des industries manufacturières canadiennes, 1976-1996, 03-2002;--. Johanne is an economist at Agriculture Canada, Ottawa.
Marie-Hélène Gagnon : Tester l'intégration des marchés financiers Canada-US. 09-2003;--.
Sébastien McMahon : Prix de l'Aluminium, prévision et stabilité. 01-2003;--. Sébastien is an economist à Hydro-Québec.
Idoudi Nadhem: La demande d'électricité du secteur industriel québécois : analyse du changement structurel dans une perspective de prévision; 01-2000;10-2003.
Ph.D. Student:
Yélou, Clément: Demande d'électricité : méthodes économétriques pour évaluer la stabilité structurelle et construire des intervalles de confiance pour les élasticités, 09-2002;--.
Regular member, groupe de recherche en économie de l’énergie, de l’environnement et des ressources naturelles [GREEN], Université Laval, summer 1996 to date.
Regular member, centre de recherche et développement en économique [CRDE-CIREQ] université de Montréal, summer 2001 to date.
Member of : Econometric Society, American Statistical Association, Society for Computational Economics, Société Canadienne de Science Économique, Canadian Economic Association. Member of the « conseil exécutif de la Société Canadienne de Science Économique », May 2000 to date.
Evaluator for the U.S. National Science Foundation, Fall 1999, and for the Social Sciences and Humanities Research Council of Canada, Fall 2000.
Member of Evaluation Committee, Social Sciences and Humanities Research Council of Canada, Postdoctoral Grants, 2002-2003 competition.
Member of the Evaluation Committee of the Masters Program, Institut National de la Recherche Scientifique, INRS-EAU, Québec, Canada, 2002.
Referee for:
Actualité économique, 1997, 1999.
Canadian Journal of Agriculture Economics, 1999, 2000.
Companion to Theoretical Econometrics, Blackwell, 1999.
Computer-Aided Econometrics, 2000.
Computational Methods in Decision-Making, Economics and Finance, the Kluwer Applied Optimization Series, 2001.
Econometric Reviews. 1996, 1999.
Econometrics Journal, 1999.
Journal of Econometrics, 1996, 1999, 2001, 2002.
Journal of Economic Dynamics and Control, 1999.
Mathematical Social Science, 2001.
Communications in Statistics and Data Analysis, 2001, 2002.
Energy Studies Review, 2002.
Meddahi, Nour
Currently supervised students:
Lemay, Dominique: Comparison of Empirical Pricing Kernels (M.Sc., Econometrics and Finance, Montréal University)
Pelletier, Denis: Multivariate GARCH Models (Ph.D, Econometrics and Finance, Montreal University, co-director with Jean-Marie Dufour).
Taamouti, Abderahim: Power Prediction of Implied Volatilities (M.Sc, Econometrics and Finance; master thesis under review, now Ph.D student, Nontreal University).
Perron, Benoit
Member of the Program Committee; Canadian Econometrics Study Group, 1999
Associate Editor, Canadian Journal of Economics
Currently supervised students:
Moise, Marie Stéphane: Using consumption-wealth ratios to forecast bond prices (M.Sc., Econometrics and Finance, Université de Montréal
Felx, Christian: (Ph.D. Econometrics and Finance, Université de Montréal).
Renault, Eric
Editor, Journal of Financial Econometrics, Oxford university Press, November 2000-present.
Member of the program committee of the meeting of the Economics Society, World meeting, Seattle 2000
Fellow of the Econometric Society
Chairman of the Program (EC)2, Madrid, 1999
Associate Editor, Economics and Philosophy since 1998
Associate Editor, Econometrica since 1997
Associate Editor, Journal of Econometrics since 1994
Associate Editor, Annales d'Économie et de Statistique since 1988.
Eric Renault was recently awarded a Canada Research Chair in Financial Econometrics.
Currently supervised students:
Bonnal, Hélène: Empirical Likelihood and Generalized Method of Moment (Ph. D., Statistics, Université de Rennes, France).
Dovonon, Prosper : “Multivariate Stochastic Volatility Models with a Factor Structure”, Ph.D. Dissertation (in progress)
Tsafack Kemassong, Georges : “Nonlinear Dependence Modeling, Risk Management and Portfolio Choice” Ph.D. Dissertation (Economics, Université de Montréal, in progress, co-directed with René Garcia).
Veredas, David : “Estimation de lois stables”, Ph.D. Dissertation (in progress, co-directed with René Garcia)
Rindisbacher, Marcel
- Referee for Journal of Finance, Mathematical Finance, Canadian Journal of Economics, and Actualité Économique, Canadian Journal of Administrative Science, Journal of Economic Dynamics and Control, Management Science, The Energy Journal, Operations Research, Journal of Financial Econometrics.
- Interview for the Report on Business in The Globe and Mail.
- One-day practitioners seminar on “Malliavin Calculus in Finance”, CIBC, Toronto.
- Developed with J. Detemple and R. Garcia the “DGR-Asset-Liability Management Model” for State Street Bank Global Services, Boston.
Awarded seed / travel grant
Awarded the Connaught Automatic grant
Awarded Connaught Matching grant
Awarded SSHRC grant
Awarded MITACS group grant.
Currently supervised students:
Hakan Bal, Ph.D. student at Rotman, Ph.D. in progress.
Yun Li, Ph.D. student at Rotman, Ph.D. in progress
Pradeep Sukumara, MBA candidate Torman, MBA in progress.
Roy, Roch
Elected member of the International Statistical Institute
Responsible for Time Series at the Journées de statistique (Annual Meeting of the Société française de statistique, Fes, Morocco, May 2000)
Organizer of a Topic Contributed Papers Session on Time Series at the Joint Statistical Meetings, Atlanta, August 2001.
Organizer of an Invited Papers Session on Time Series at Statistics 2001, Concordia University, Montréal, July 2001.
Currently supervised students:
Ouhib, Lyes : Sur la modélisation des apports des réservoirs de Hydro-Québec (MSc. Math. & Stat., Université de Montréal).
Nadon, Jonathan : Sur l'agrégation et l'échantillonnage systématique des séries ARMA fortes (MSc. Math. & Stat., Université de Montréal.
Saidi, Abdessamad: Analyse statistique et modélisation des séries chronologiques (postdoctoral fellow, Math. & Stat., Université de Montréal)
Include here any additional information about your project that would be helpful to the Research Management Committee. Examples of additional information you may want to include are: awards won by members of the team, students, or
industrial partners; spin-off companies; short courses; workshops supported in part by MITACS; demonstrationss;
talks at schools; etc.
164. Additional information that could be useful for the renewal application (optional).
Examples of additional information include novel programs for HQP development (for your projects or for MITACS more generally), networking, and knowledge exchange, technology exploitation, and business development (entrepreneurship, starting a business, IP, etc). Names of HQP or industry representatives who we could invite to the site visit would also be appreciated.
1754. Suggested rReferees:.
Please include the names and contact information for of 3 6six (6) potential referees who are familiar with the subject area.
Professor Phelim Boyle
Centre for Advanced Studies in Finance
School of Accountancy
University of Waterloo
200 University Avenue West
Waterloo, Ontario, Canada
N2L 3G1
Tel: (519)-888-4567
Fax: 519-888-7562
email: pboyle@uwaterloo.ca
Area : Financial Mathematics
Professor Jean-Pierre Fouque
Department of Mathematics
North Carolina State University, Box 8205
Raleigh, NC 27695-8205
U.S.A.
Phone: (919) 515-7720
Fax: (919) 515-3798
e-mail: fouque@math.ncsu.edu
Area : Financial Mathematics
Professor A. Craig MacKinlay
Department of Finance, Wharton School
University of Pennsylvania, Steinberg-Dietrich Hal
3620 Locust Walk
Philadelphia, PA 19104-6367
U.S.A.
Tel: 1 (215) 898-5309
Fax: 1 (215) 898-6200
e-mail: mackinlay@wharton.upenn.edu
Area : Finance, Financial Econometrics
Professeur Alain Monfort
CREST
Timbre : J320
15 Boulevard Gabriel Peri
92245 Malakoff Cedex
France
Tel.: 33 1 41 17 77 28
Fax : 3 01 41 17 60 29
e-mail: monfort@ensae.fr
Area : Statistics, Econometrics. Finance
2
3
4 Professor N. Eugene Savin
W384 Henry Tippie College of Business
University of Iowa
Department of Economics
Iowa City, Iowa, 52242-1000
USA
Tel.: 1 (319)335-0855
Fax: 1 (319)335-1956
e-mail gene-savin@uiowa.edu
Area : Econometrics. Statistics
Professeur Nizar Touzi
CREST
Laboratoire de Finance et Assurance
15 Boulevard Gabriel Peri
92245 Malakoff Cedex
France
Tel.: 33 1 41 17 77 25
Fax: 33 1 41 17 76 66
e-mail: touziATensaeDOTfr
Area: Applied Mathematics, Finance
-----------------------
Does any phase of the research described in this proposal
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