Université du Québec à Montréal

Lecturer

Pierre worked at Université du Québec à Montréal as a Lecturer

University of Waterloo

Associate Professor

Pierre worked at University of Waterloo as a Associate Professor

University of Waterloo

Assistant Professor

Pierre worked at University of Waterloo as a Assistant Professor

HEC Montréal

Lecturer

Pierre worked at HEC Montréal as a Lecturer

GMM estimation of a realized stochastic volatility model: A Monte Carlo study

Econometric Review

GMM estimation of a realized stochastic volatility model: A Monte Carlo study

Econometric Review

A Simulation-Based Comparison of Covariate Adjustment Methods for the Analysis of Randomized Controlled Trials

International Journal of Environmental Research and Public Health

GMM estimation of a realized stochastic volatility model: A Monte Carlo study

Econometric Review

A Simulation-Based Comparison of Covariate Adjustment Methods for the Analysis of Randomized Controlled Trials

International Journal of Environmental Research and Public Health

Computing Generalized Method of Moments and Generalized Empirical Likelihood with R

Journal of Statistical Software

This paper shows how to estimate models by the generalized method of moments and the generalized empirical likelihood using the R package gmm. A brief discussion is offered on the theoretical aspects of both methods and the functionality of the package is presented through several examples in economics and finance.