Jean-Guy Simonato
Personal Details
First Name: | Jean-Guy |
Middle Name: | |
Last Name: | Simonato |
Suffix: | |
RePEc Short-ID: | psi36 |
| |
http://www.hec.ca/~p239/pageweb/ | |
Department of finance HEC Montréal 3000 Cote-Sainte-Catherine Montreal (Québec) Canada | |
514-340-6807 |
Affiliation
(in no particular order)
Centre de Recherche sur les Risques, les Enjeux Économiques et les Politiques Publiques (CRREP) (Research Center on Risk, Economic Stakes and Public Policy)
Montréal/Québec, Canadahttp://www.crrep.ca/
RePEc:edi:cirpeca (more details at EDIRC)
Service de l'Enseignement de la Finance (Finance Teaching Service)
HEC Montréal (École des Hautes Études Commerciales) (HEC Montreal Business School)
Montréal, Canadahttp://www.hec.ca/finance/
RePEc:edi:sfhecca (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2007.
"A Reduced Form Model of Default Spreads with Markov Switching Macroeconomic Factors,"
Cahiers de recherche
0741, CIRPEE.
- Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2011. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1984-2000, August.
- Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2007. "A reduced form model of default spreads with Markov switching macroeconomic factors," Working Papers 07-8, HEC Montreal, Canada Research Chair in Risk Management.
- Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2010. "A reduced form model of default spreads with Markov-switching macroeconomic factors," Working Papers 10-6, HEC Montreal, Canada Research Chair in Risk Management.
- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2010. "A Reduced Form Model of Default Spreads with Markov-Switching Macroeconomic Factors," Cahiers de recherche 1042, CIRPEE.
- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean-Guy Simonato, 2005.
"Default Risk in Corporate Yield Spreads,"
Cahiers de recherche
0532, CIRPEE.
- Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean‐Guy Simonato, 2010. "Default Risk in Corporate Yield Spreads," Financial Management, Financial Management Association International, vol. 39(2), pages 707-731, June.
- Dionne, Georges & Gauthier, Geneviève & Hammami, Khemais & Maurice, Mathieu & Simonato, Jean-Guy, 2009. "Default risk in corporate yield spreads," Working Papers 05-8, HEC Montreal, Canada Research Chair in Risk Management.
- Jin-Chuan Duan & Genevieve Gauthier & Caroline Sasseville & Jean-Guy Simonato, 2002. "Seize the Moments: Approximating American Option Prices in the GARCH Framework," Finance 0206005, University Library of Munich, Germany.
- Jin-Chuan Duan & Evan Dudley & Geneviève Gauthier & Jean-Guy Simonato, 1999. "Pricing Discretely Monitored Barrier Options by a Markov Chain," CIRANO Working Papers 99s-15, CIRANO.
- Duan, J.-C. & Simonato, J.-G., 1998. "The Estimation of Deposit Insurance with Interest Rate Risk," Ecole des Hautes Etudes Commerciales de Montreal- 98-07, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
- Jin-Chuan Duan & Jean-Guy Simonato, 1995.
"Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter,"
CIRANO Working Papers
95s-44, CIRANO.
- Duan, Jin-Chuan & Simonato, Jean-Guy, 1999. "Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter," Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 111-135, September.
- Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Empirical Martingale Simulation for Asset Prices," CIRANO Working Papers 95s-43, CIRANO.
- Jin-Chuan Duan & Technology & Jean-Guy Simonato, "undated". "American GARCH Option Pricing by a Markov Chain Approximation," Computing in Economics and Finance 1997 131, Society for Computational Economics.
Articles
- Duan, Jin-Chuan & Simonato, Jean-Guy, 2002. "Maximum likelihood estimation of deposit insurance value with interest rate risk," Journal of Empirical Finance, Elsevier, vol. 9(1), pages 109-132, January.
- Duan, Jin-Chuan & Simonato, Jean-Guy, 2001. "American option pricing under GARCH by a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 25(11), pages 1689-1718, November.
- Duan, Jin-Chuan & Simonato, Jean-Guy, 1999.
"Estimating and Testing Exponential-Affine Term Structure Models by Kalman Filter,"
Review of Quantitative Finance and Accounting, Springer, vol. 13(2), pages 111-135, September.
- Jin-Chuan Duan & Jean-Guy Simonato, 1995. "Estimating and Testing Exponential Affine Term Structure Models by Kalman Filter," CIRANO Working Papers 95s-44, CIRANO.
- Raynauld, Jacques & Simonato, Jean-Guy, 1993. "Seasonal BVAR models : A search along some time domain priors," Journal of Econometrics, Elsevier, vol. 55(1-2), pages 203-229.
- Simonato, Jean-Guy, 1992. "Estimation of GARCH process in the presence of structural change," Economics Letters, Elsevier, vol. 40(2), pages 155-158, October.
More information
Research fields, statistics, top rankings, if available.Statistics
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Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 3 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-FIN: Finance (3) 1999-05-17 2002-07-31 2005-12-09
- NEP-ETS: Econometric Time Series (1) 2002-07-31
- NEP-FMK: Financial Markets (1) 2005-12-09
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