Peer-Reviewed Articles

1.     B. Rémillard and R. Theodorescu. Invariance properties of a class of Gaussian diffusion processes by integral transforms. Bull. Sc. math. 2e serie, 110:129–138, 1986

2.     B. Rémillard and D. A. Dawson. Laws of the iterated logarithm and large deviations for a class of diffusion processes. Canad. J. Statist., 17(4):349–376, 1989 url

3.     B. Rémillard and D. A. Dawson. A limit theorem for Brownian motion in a random scenery. Canad. Math. Bull., 34(3):385–391, 1991 url

4.     T.-Y. Lee and B. Rémillard. Occupation times in systems of null recurrent Markov processes. C. R. Math. Rep. Acad. Sci. Canada, 14(1):2–6, 1992

5.     C. Reischer and B. Rémillard. A remark on a variational problem in probability. Inform. Sci., 74(3): 213–221, 1993 url

6.     B. Rémillard, C. Reischer, and B. Abdous. A note on entropy. C. R. Math. Rep. Acad. Sci. Canada, 14 (6):279–284, 1992

7.     J. Desrochers and B. Rémillard. Sur l’inaptitude des tests d’indépendance à rejeter l’hypothèse d’efficience. FINÉCO, 4(1):63–79, 1994

8.     T.-Y. Lee and B. Rémillard. Occupation times in systems of null recurrent Markov processes. Probab. Theory Related Fields, 98(2):245–259, 1994 url

9.     B. Rémillard. On Chung’s law of the iterated logarithm for a class of stochastic integrals. Ann. Probab., 22(4):1794–1802, 1994 url

10.   B. Abdous and B. Rémillard. Relating quantiles and expectiles under weighted-symmetry. Ann. Inst. Statist. Math., 47(2):371–384, 1995 url

 

11.   T.-Y. Lee and B. Remillard. Large deviations for the three-dimensional super-Brownian motion. Ann. Probab., 23(4):1755–1771, 1995 url

12.   P. Barbe, C. Genest, K. Ghoudi, and B. Rémillard. On Kendall’s process. J. Multivariate Anal., 58(2): 197–229, 1996 url

13.   B. Fabi, S. Beauchamp, B. Rémillard, and L. Cardinal. Déterminants organisationnels du plafonnement de carrière. Psychologie du Travail et des Organisations, 2:7–25, 1996

14.   C. Genest, K. Ghoudi, and B. Rémillard. A note on tightness.    Statist. Probab. Lett., 27(4):331–339, 1996 url

15.   M. N’zi, B. Rémillard, and R. Theodorescu. Between Strassen and Chung normalizations for Lévy’s area process. Bernoulli, 4(1):115–125, 1998 url

16.   C. Jacques, B. Rémillard, and R. Theodorescu. Estimation of Linnik law parameters. Statistics & Decisions, 17(3):213–235, 1999 url

17.   B. Rémillard and R. Theodorescu. Inference based on the empirical probability generating function for mixtures of poisson distributions. Statistics & Decisions, 18(4):349–366, 2000 url

18.   K. Ghoudi, R. J. Kulperger, and B. Rémillard. A nonparametric test of serial independence for time series and residuals. J. Multivariate Anal., 79(2):191–218, 2001 url

19.   C. Genest, J.-F. Quessy, and B. Rémillard. Tests of serial independence based on Kendall’s process. Canad. J. Statist., 30(3):441–461, 2002 url

20.   B. Rémillard and R. Theodorescu. Linnik related distributions. Proc. Rom. Acad. Ser. A Math. Phys. Tech. Sci. Inf. Sci., 3(1-2):3–6, 2002

21.   B. Abdous, K. Ghoudi, and B. Rémillard. Nonparametric weighted symmetry tests. Canad. J. Statist., 31(4):357–381, 2003 [Winner of the 2003 CJS Best Paper Award] url

22.   C. Genest and B. Rémillard. Tests of independence and randomness based on the empirical copula process. Test, 13(2):335–370, 2004 url

23.   T. Berrada, D. J. Dupuis, E. Jacquier, N. Papageorgiou, and B. Rémillard. Credit migration and derivatives pricing using copulas. J. Comput. Finance, 10:43–68, 2006 url

24.   C. Genest, J.-F. Quessy, and B. Rémillard. Goodness-of-fit procedures for copula models based on the probability integral transformation. Scand. J. Statist., 33(2):337–366, 2006 url

25.   C. Genest, J.-F. Quessy, and B. Rémillard. Local efficiency of a Cramér-von Mises test of independence. J. Multivariate Anal., 97(1):274–294, 2006 url

 

26.   C. Genest, J.-F. Quessy, and B. Rémillard. On the joint asymptotic behavior of two rank-based estimators of the association parameter in the gamma frailty model. Statist. Probab. Lett., 76(1):10–18, 2006 url

27.   C. Genest, K. Ghoudi, and B. Rémillard. Rank-based extensions of the Brock Dechert Scheinkman test for serial dependence. J. Amer. Statist. Assoc., 102(480):1363–1376, 2007 url

28.   C. Genest, J.-F. Quessy, and B. Rémillard. Asymptotic local efficiency of Cramér-von Mises tests for multivariate independence. Ann. Statist., 35(1):166–191, 2007 url

29.   P. Laroche and B. Rémillard. Hedge funds returnd weighted-symmetry and the Omega© performance measure. AIMA Journal, Winter, 2007 url

30.   J.-F. Renaud and B. Rémillard. Explicit martingale representations for Brownian functionals and applications to option hedging. Stochastic Analysis and Applications, 25(4):801–820, 2007 url

31.   A. Hocquard, N. Papageorgiou, and B. Rémillard. Optimal hedging strategies with an application to hedge fund replication. Wilmott Magazine, (Jan-Feb):62–66, 2007 url

32.   C. Genest and B. Rémillard. Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models. Ann. Inst. Henri Poincaré Probab. Stat., 44(6):1096–1127, 2008 url

33.   I. Gentil and B. Rémillard. Using systematic sampling selection for Monte Carlo solutions of FeynmanKac equations. Advances in Applied Probability, 40(2):454–472, 2008  url

34.   N. Papageorgiou, B. Rémillard, and A. Hocquard. Replicating the properties of hedge fund returns. J. Altern. Invest., 11:8–38, 2008 url

35.   D. Dupuis, E. Jacquier, N. Papageorgiou, and B. Rémillard. Empirical evidence on the dependence of credit default swaps and equity prices. J. Futures Mark., 29(8):695–712, 2009 url

36.   C. Genest, B. Rémillard, and D. Beaudoin. Goodness-of-fit tests for copulas: a review and a power study. Insurance Math. Econom., 44(2):199–213, 2009 url

37.   B. Rémillard and O. Scaillet. Testing for equality between two copulas. J. Multivariate Anal., 100: 377–386, 2009 url

38.   P. Del Moral, P. Hu, N. Oudjane, and B. Rémillard. On the robustness of the Snell envelope. SIAM J. Financial Math., 2(1):587–626, 2011 url

39.   M. Gagnon, P. Laroche, and B. Rémillard. The value of liquidity from the hedge fund portfolio manager’s perspective. J. Altern. Invest., 13:30–39, 2011 url

40.   B. Rémillard and J.-F. Renaud. A martingale representation for the maximum of a Lévy process. Commun. Stoch. Anal., 5(4):683–688, 2011 url

41.   P. Duchesne, K. Ghoudi, and B. Rémillard. On testing for independence between the innovations of several time series. Canad. J. Statist., 40(3):447–479, 2012 url

42.   C. Labbé, B. Rémillard, and J.-F. Renaud. A simple discretization scheme for nonnegative diffusion processes, with applications to option pricing. J. Comput. Finance, 15:3–35, 2012 url

43.   B. Rémillard, N. Papageorgiou, and F. Soustra. Copula-based semiparametric models for multivariate time series. J. Multivariate Anal., 110:30–42, 2012 url

44.  C. Genest, J. G. Nešlehová, and B. Rémillard. On the estimation of Spearman’s rho and related tests of independence for possibly discontinuous multivariate data. J. Multivariate Anal., 117:214–228, 2013 url

45.   B. Rémillard and S. Rubenthaler. Optimal hedging in discrete time. Quantitative Finance, 13(6): 819–825, 2013 url

46.   C. Genest, J. G. Nešlehová, and B. Rémillard. On the empirical multilinear copula process for count data. Bernoulli, 20(3):1344–1371, 2014 url

47.   K. Ghoudi and B. Rémillard. Comparison of specification tests for GARCH models. Comput. Statist. Data Anal., 76:291–300, 2014 url

48.   B. Rémillard and J. Vaillancourt. On signed measure valued solutions of stochastic evolution equations. Stochastic Process. Appl., 124(1):101–122, 2014  url

49.   D. J. Dupuis, N. Papageorgiou, and B. Rémillard. Robust conditional variance and value-at-risk estimation. Journal of Financial Econometrics, 13(4):896–921, 2015 url

50.   A. Hocquard, N. Papageorgiou, and B. Rémillard. The payoff distribution model: An application to dynamic portfolio insurance. Quantitative Finance, pages 299–312, 2015  url

51.   C. Simard and B. Rémillard. Forecasting time series with multivariate copulas. Depend. Model., 3 (1):59–82, 2015. url

52.   H. Ben-Ameur, R. Chérif, and B. Rémillard. American-style options in jump-diffusion models: estimation and evaluation. Quantitative Finance, 16(8):1313–1324, 2016. url

53.   C. Genest, J. G. Nešlehová, and B. Rémillard. Asymptotic behavior of the empirical multilinear copula process under broad conditions. J. Multivariate Anal., 159:82–110, 2017. url

54.   B. Rémillard. Goodness-of-fit tests for copulas of multivariate time series. Econometrics, 5(1):13, 2017 [Winner of the 2018 Econometrics Best Paper Award] url

55.   B. Rémillard, A. Hocquard, H. Lamarre, and N. A. Papageorgiou. Option pricing and hedging for discrete time regime-switching model. Modern Economy, 8:1005–1032, September 2017 url

56.   B. Rémillard, B. Nasri, and T. Bouezmarni. On copula-based conditional quantile estimators. Statist. Probab. Lett., 128:14–20, 2017. September 2017 url

 

57.   K. Ghoudi and B. Rémillard. Serial independence tests for innovations of conditional mean and variance models. TEST, 27(1):3–26, 2018  url

58.   A. N. Bishop, P. Del Moral, K. Kamatani, and B. Rémillard. On one-dimensional Riccati diffusions. Ann. Appl. Probab., 29(2):1127–1187, 2019  url

59.   C. Genest, J. G. Nešlehová, B. Rémillard, and O. A. Murphy. Testing for independence in arbitrary distributions. Biometrika, 106(1):47–68, 2019 url

60.   M. A. Kouritzin and B. Rémillard. On explicit local solutions of itô diffusions. J. Math. Anal. Appl., 473(1):534–566, 2019 url

61.   B. Rémillard and J. Vaillancourt. Combining losing games into a winning game. Fluctuation and Noise Letters, 18(01):1950003, 2019 url

62.   C. Simard and B. Rémillard. Pricing European options in a discrete time model for the limit order book. Methodol. Comput. Appl. Probab., 21(3):985–1005, 2019 url

63.   B. R. Nasri and B. N. Rémillard. Copula-based dynamic models for multivariate time series. J. Multivariate Anal., 172:107–121, 2019 url

64.   B. R. Nasri, B. N. Rémillard, and T. Bouezmarni. Semi-parametric copula-based models under nonstationarity. J. Multivariate Anal., 173:347–365, 2019 url

65.   J. A. Chávez-Casillas, R. J. Elliott, B. Rémillard, and A. V. Swishchuk. A level-1 limit order book with time dependent arrival rates. Methodol. Comput. Appl. Probab., 21(3):699–719, 2019 url

66.   B. N. Rémillard and J. Vaillancourt. Detecting periodicity from the trajectory of a random walk in random environment. Statist. Probab. Lett., 155:108568, 2019 url

67.   B. R. Nasri, B. N. Rémillard, and M. Y. Thioub. Goodness-of-fit for regime-switching copula models with application to option pricing. Canad. J. Statist., 48(1):79–96, 2020 url

68.   B. R. Nasri, E. Boucher, L. Perreault, B. N. Rémillard, D. Huard, and A. Nicault. Modeling hydrological inflow persistence using paleoclimate reconstructions on the Québec-Labrador (Canada) Peninsula. Water Resour. Res., 56(5):e2019WR025122, 2020 url

69.   Q. Guo, B. Rémillard, A. Swishchuk. Multivariate general compound point processes in Limit Order Books. Risks, 8 (3), 98, 2020 url

70.   B. R. Nasri, B. N. Rémillard, B. Szyszkowicz, and J. Vaillancourt. A conversation with Don Dawson. Statist. Sci., 36(4):612–622, 2021 url

 

71.   B. R. Nasri, B. N. Rémillard, and T. Bahraoui. Change-point problems for multivariate time series using pseudo-observations. J. Multivariate Anal., 187:104857, 2022 url

72.   M. Csörgo, D. A. Dawson, B. R. Nasri, and B. N. Rémillard.       A random walk through Canadian contributions on empirical processes and their applications in probability and statistics. Canad. J. Statist., 50(4):1116–1142, 2022 url

73.   H. Ben-Ameur, R. Chérif, and B. N. Rémillard. A dynamic program under Lévy processes for valuing corporate securities. Journal of Risk, 61(4):61–81, 2023 url

74.   B. R. Nasri and B. N. Rémillard. Tests of independence and randomness for arbitrary data using copula-based covariances. J. Multivariate Anal., 2023. Accepted, August 31, 2023 url

75.   I. Sekkak, B. R. Nasri, B. N. Rémillard, J. D. Kong, and M. El Fatini. A stochastic analysis of a SIQR epidemic model with short and long-term prophylaxis. Communications in Nonlinear Science and Numerical Simulation, 127:107523, 2023 url

Refereed Papers Published in Books or Conference Proceedings

76.   K. Helmes, B. Rémillard, R. Theodorescu. The functional law of the iterated logarithm for Lévy’s area process. In 5th Working Conference on Stochastic Differential Systems of the International Federation for Information Processing, Eisenach, RDA, H.S. Engelbert, W. Schmidts (Eds). Lecture Notes in Control and Information Sciences, 96, Springer, New York,  328–345, 1987 url

77.   B. Rémillard. Asymptotic behaviour of the Laplace transform of weighted occupation times of random walks and applications. In Diffusion processes and related problems in analysis, Vol. I (Evanston, IL, 1989), volume 22 of Progr. Probab., pages 497–519. Birkhäuser Boston, Boston, MA, 1990 url

78.   T.-Y. Lee and B. Rémillard. Occupation time limit theorems for independent random walks. In Measure-valued processes, stochastic partial differential equations, and interacting systems (Montreal, PQ, 1992), volume 5 of CRM Proc. Lecture Notes, pages 151–163. Amer. Math. Soc., Providence, RI, 1994  url

79.   K. Ghoudi and B. Rémillard. Empirical processes based on pseudo-observations. In Asymptotic methods in probability and statistics (Ottawa, ON, 1997), pages 171–197. North-Holland, Amsterdam,

1998  url

80.   B. Rémillard, C. Beaudoin (1999). Statistical comparison of images using Gibbs random fields. Vision Interface’99, pp. 612–617.

81.   É. Derbez, A. Jouan, B. Rémillard (2000). A comparison of fixed gain IMM against two other filters. Proceedings of the 3rd Annual Conference on Information Fusion, ThB21–ThB27.

82.   B. Rémillard (2000). Large deviations estimates for occupation time integrals of Brownian motion. In Stochastic Models, A Volume in Honor of Donald A. Dawson, L. Gorostiza, G. Ivanoff (Eds). Canadian Mathematical Society Conference Proceedings, 26, 375–398.

83.   B. Rémillard and R. Theodorescu. Estimation based on the empirical characteristic function. In Asymptotic methods in probability and statistics with applications (St. Petersburg, 1998), Stat. Ind. Technol., pages 435–449. Birkhäuser Boston, Boston, MA, 2001

84.   M. A. Kouritzin, B. Rémillard, and C. P. Chan. Parameter estimation for filtering problems with stable noise. In Proceedings of 4th Annual Conference on Information Fusion, pages WeB127–WeB130, 2002

85.   K. Ghoudi and B. Rémillard. Empirical processes based on pseudo-observations. II. The multivariate case. In Asymptotic methods in stochastics, volume 44 of Fields Inst. Commun., pages 381–406. Amer. Math. Soc., Providence, RI, 2004

86.   B. Abdous, C. Genest, and B. Rémillard. Dependence properties of meta-elliptical distributions. In Statistical modeling and analysis for complex data problems, volume 1 of GERAD 25th Anniv. Ser., pages 1–15. Springer, New York, 2005 url

87.   I. Gentil, B. Rémillard, P. Del Moral. Filtering of images for detecting multiple targets trajectories. In Statistical Modeling and Analysis for Complex Data Problems, P. Duchesne, B. Rémillard (Eds). Springer, New York, pp. 267–280, 2005 url

88.   N. Papageorgiou, B. Rémillard, J.-L. Gardère. Copula-based credit rating model for evaluating credit basket derivatives. In Handbook of Credit Portfolio Management, G. Gregoriou, C. Hoppe (Eds). McGraw-Hill, Finance and Investing Series, 163–180, 2008

89.   B. Rémillard. Tests of independence. In M. Lovric, editor, International Encyclopedia of Statistical Science,  Springer Berlin Heidelberg, 1598–1601, 2011 url

90.   P. Del Moral, B. Rémillard, S. Rubenthaler. Monte Carlo approximations of American options that preserve monotonicity and convexity. In Numerical Methods in Finance, Springer Proceeding in Mathematics, vol. 12, R. Carmona, P. Del Moral, P. Hu, N. Oudjane (Eds). Springer, New York, pp. 115–143, 2012 url

91.   B. Rémillard, A. Hocquard, H. Langlois, N. Papageorgiou. Optimal hedging of American options in discrete time. In Numerical Methods in Finance, Springer Proceeding in Mathematics, vol. 12, R. Carmona, P. Del Moral, P. Hu, N. Oudjane (Eds). Springer, New York, 145–170, 2012 url

92.   K. Ghoudi and B. Rémillard. Diagnostic tests for innovations of ARMA models using empirical processes of residuals. In Asymptotic laws and methods in stochastics, volume 76 of Fields Inst. Commun., Fields Inst. Res. Math. Sci., Toronto, ON, 239–282, 2015 url

93.   M. Caccia and B. Rémillard. Option pricing and hedging for discrete time autoregressive hidden Markov model. In K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, and R. Zagst, editors, Innovations in Insurance, Risk- and Asset Management, pages 313–348. World Scientific, 2018 url

94.   B. Rémillard, B. Nasri, and M. Ben-Abdellatif. Replication methods for financial indexes. In K. Glau, D. Linders, A. Min, M. Scherer, L. Schneider, and R. Zagst, editors, Innovations in Insurance, Riskand Asset Management, World Scientific, 421–448, 2018 url

95.   A. V. Swishchuk, B. Rémillard, R. J. Elliott, and J. Chavez-Casillas. Compound Hawkes processes in limit order books. In J. Chevallier, S. Goutte, D. Guerreiro, S. Saglio, and B. Sanhaji, editors, Financial Mathematics, Volatility and Covariance Modelling, volume 2. Routledge, Abingdon, UK,  191–214, 2019  url

Books

96.   C. Reicher, R. Leblanc, B. Rémillard, D. Larocque (2002). Théorie des probabilités: Problèmes et solutions. Presses de l’Université du Québec, Montréal, Canada, xi + 460 pp. url

97.   P. Duchesne, B. Rémillard, Eds (2005). Statistical Modeling and Analysis for Complex Data Problems, Springer, New York, xiv + 324 pp. url

98.   P. Del Moral, B. Rémillard, S. Rubenthaler (2006). Une introduction aux probabilités. Ellipses, Paris, xi + 341 pp. url

99.   B. Rémillard (2013). Statistical Methods for Financial Engineering, Chapman & Hall/CRC, London, x + 496 pp. url  Matlab programs   R programs

Book Chapter

100. J.-P. Voyer, P. Valois, B. Rémillard (1999). La sélection des sujets. In Méthodes de recherche en psychologie, R. Vallerand, V. Hess (Eds). Gaëtan Morin Éditeur, Montréal, Canada, pp. 91–129.

Published Comments

101.   C. Genest, B. Rémillard (2006). Comment on “Copulas: Tales and facts,” by T. Mikosch. Extremes, 9, 27–36. url

102.   B. Rémillard (2009). Comment on “Brownian distance covariance,” by G.J. Székely and M.L. Rizzo. The Annals of Applied Statistics, 3, 1295–1298.

Other Professional Articles

103.   B. Rémillard. À l’assaut de l’aléatoire: Les prévisions en probabilités et statistique. Mathématiques de l’an 2000: Un aperçu de la recherche à l’occasion de l’année mathématique mondiale, Joint publication of the Institut des sciences mathématiques (ISM) and the Association mathématique du Québec (AMQ), 18–20, 2020 url

104.   B. Rémillard. La primera reunión conjunta del Mathematics Canadá-México fue un gran éxito. Notices of the Canadian Mathematical Society, 38 (8), 2006

105.   B. Rémillard. Éveiller l’intérêt pour les mathématiques: Une entrevue avec Jean-Marie de Koninck. Notices of the Canadian Mathematical Society, 38 (2), 2006

106.   B. Nasri, B, Rémillard. Miracles et coïncidences: évènements rares et théorie des valeurs extrêmes. Convergence, 22 (1), 2017.

Papers Under Review

107.   P. Krupskii, B. R. Nasri, and B. N. Rémillard. On factor copula-based mixed regression models. ArXiv e-prints, 2023. Submitted to EJS July 13, 2023 url

108.   B. Rémillard and J. Vaillancourt. Central limit theorems for martingales-I : continuous limits. ArXiv e-prints, 2023. Submitted to Electronic Journal of Probability (revision requested Jan 8, 2024) url

109.   B. Rémillard and J. Vaillancourt. Central limit theorems for martingales-II: convergence in the weak dual topology. ArXiv e-prints, 2023. Submitted to Stochastic Processes and their Applications url

 

110.   B. R. Nasri and B. N. Rémillard. Identifiability and inference for copula-based semiparametric models for random vectors with arbitrary marginal distributions. ArXiv e-prints, 2023. Submitted to JMVA May 9, 2023 url

111.   B. R. Nasri, B. N. Rémillard, and M. Y. Thioub. Are information criteria good enough to choose the right the number of regimes in Hidden Markov Models? ArXiv e-prints, 2023. Submitted to J. Stat. Comput. Simul. August 30, 2023 url