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~person:"Théoret, Raymond"
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State space model
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Théoret, Raymond
Koopman, Siem Jan
133
Tiwari, Aviral Kumar
50
Chan, Joshua
29
Koop, Gary
29
Proietti, Tommaso
24
Harvey, Andrew C.
23
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Hyndman, Rob J.
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Ooms, Marius
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Strachan, Rodney W.
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Aloui, Chaker
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Dar, Arif Billah
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ECONIS (ZBW)
RePEc
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1
The Procyclicality of Basel III Leverage : Elasticity-Based Indicators and the
Kalman
Filter
Calmès, Christian Pierre Alain
-
2014
to capture the dynamics of aggregate leverage. In this paper, we introduce a
Kalman
filter
procedure to study such …
Persistent link: https://www.econbiz.de/10013058473
Saved in:
2
Time-varying leverage and Basel III : a look at Canadian evidence
Bergevin, Philippe
;
Calmès, Christian
;
Théoret, Raymond
- In:
International advances in economic research : IAER ; an …
19
(
2013
)
3
,
pp. 233-247
Persistent link: https://www.econbiz.de/10010188276
Saved in:
3
Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds
Racicot, François-Éric
;
Théoret, Raymond
- In:
Journal of banking & finance
62
(
2016
),
pp. 41-61
Persistent link: https://www.econbiz.de/10011634052
Saved in:
4
Procyclicality and diversification in the hedge fund industry in the aftermath of the subprime crisis
Racicot, François-Éric
;
Théoret, Raymond
- In:
Journal of derivatives & hedge funds
20
(
2014
)
4
,
pp. 207-240
Persistent link: https://www.econbiz.de/10010462900
Saved in:
5
Market-oriented banking, financial stability and macro-prudential indicators of leverage
Calmès, Christian
;
Théoret, Raymond
- In:
Journal of international financial markets, …
27
(
2013
),
pp. 13-34
Persistent link: https://www.econbiz.de/10010411755
Saved in:
6
Hedge fund returns,
Kalman
filter
, and errors-in-variables
Racicot, François-Éric
;
Théoret, Raymond
- In:
Atlantic economic journal : AEJ
38
(
2010
)
3
,
pp. 377-378
Persistent link: https://www.econbiz.de/10009259586
Saved in:
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