Ce manuel propose un exposé rigoureux de la gestion des risques en finance. Les aspects
théoriques de la question sont abordés par des démonstrations claires et des rappels …

Fama and French (FF, 2015) propose a five-factor asset pricing model that captures size,
value, profitability and investment patterns. The primary purpose here is to further investigate …

We investigate how hedge funds’ strategies react, as a group, to macroeconomic risk and
uncertainty. Adopting the methodology of Beaudry et al. (2001), we track the behavior of the …

We investigate conditional specifications of the five-factor Fama-French (FF) model, augmented
with traditional illiquidity measures. The motivation for this time-varying methodology is …

The subprime crisis was quite damaging for hedge funds. Using the local projection method
(Jordà 2004, 2005, 2009), we forecast the dynamic responses of the betas of hedge fund …

Un exposé pédagogique à la fine pointe des fondements et des applications de l'économétrie
financière. De nombreux cas financiers résolus ainsi que plusieurs applications inédites …

This article uses a parsimonious and robust instrumental variables technique to minimize the
specification errors in the Pástor-Stambaugh (PS) empirical model. In particular, we use an …

Le filtre de Kalman est de plus en plus utilisé en finance, notamment pour estimer les processus
de diffusion. Dans cet article, nous montrons comment on peut l’utiliser pour prévoir, d’…

We test the new Fama and French five-factor model on a sample of hedge fund strategies.
This model embeds the q-factor asset pricing model which lies on the CMA and RMW factors. …

Financial reporting in Canada is undergoing remarkable change as publicly accountable
enterprises transition from GAAP to IFRS. Although the conceptual basis and many of the …