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Surging OBS activities and bank revenue volatility : how to explain the declining appeal of bank stocks in Canada

Calmès, Christian; Théoret, Raymond - In: Stock market volatility, (pp. 323-341). 2009

Persistent link: https://www.econbiz.de/10003830487

The asymmetric impact of portfolio mix on bank performance over the business cycle : U.S. and Canadian evidence

Calmès, Christian; Théoret, Raymond - In: Review of economics & finance 6 (2016) 2, pp. 57-74

Persistent link: https://www.econbiz.de/10011492625

An essay on stochastic volatility and the yield curve

Théoret, Raymond; Rostan, Pierre; El-Moussadek, Abdeljalil - In: Advances in risk management, (pp. 86-106). 2007

Persistent link: https://www.econbiz.de/10003401591

Integrating volatility factors in the analysis of the hedge fund alpha puzzle

Racicot, François-Éric; Théoret, Raymond - In: The journal of asset management 10 (2009/10) 1, pp. 37-62

Persistent link: https://www.econbiz.de/10003853609

Hedge fund return higher moments over the business cycle

Racicot, François-Éric; Théoret, Raymond - In: Economic modelling 78 (2019), pp. 73-97

Persistent link: https://www.econbiz.de/10012198849

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

Racicot, François-Éric; Théoret, Raymond - In: Financial innovation : FIN 8 (2022), pp. 1-56

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 strategies to macroeconomic and financial shocks-especially volatility and illiquidity shocks-over the subprime crisis...

Persistent link: https://www.econbiz.de/10013169857