Geneviève Gauthier

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The objective of this paper is to investigate the use of tick-by-tick data for market risk measurement. We propose an Intraday Value at Risk (IVaR) at different horizons based on irregularly time-spaced high-frequency data by using an intraday Monte Carlo simulation. An UHF-GARCH model extending the framework of Engle (2000) is used to specify the joint(More)
Learning in technology mediated learning environments is a complex process that varies across individual and group contexts. Complex learning environments that are mediated by technology require distinct concurrent methodologies that reveal when and where learning may occur. This paper describes the analysis of two technology-mediated problem-solving(More)
Teaching analytics can provide a useful framework to conceptual-ise the visual methods used in previous work on teachers' assessment practices. I describe two examples of visual methods and discuss their assumptions and potential usefulness beyond the original context in which they were designed. Rethinking visual data analysis around the teaching process(More)
Society depends on knowledge workers (KWs) to identify, characterize and propose solutions to the many significant challenges it faces. KWs contend with ever changing information technology (IT) and bemoan " information overload. " They commonly consult literature (e.g., Allen, 2001) and use productivity software that, regrettably, fail to leverage key(More)
Earlier versions of this paper were presented at the IFM2 Mathematical Finance Days 2012, and CORS Annual Conference 2012. We thank the conference participants for their helpful feedback. Financial support from SSHRC (François), NSERC (Gauthier, Godin) and the Montreal Exchange (Godin) is gratefuly acknowledged. Abstract: We develop a flexible discrete-time(More)
Linearized versions of the Nelson-Siegel (1987) and Svensson (1994) models for estimating zero-coupon yield curves from cross-section samples of coupon-bearing bonds are developed and analyzed. It is shown how these models can be made linear in the level, slope and curvature parameters and how prior information about these parameters can be conveniently(More)
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