Concepedia

Éric Jacquier

ÉJ

21

Publications

4.1K

Citations

17

H-Index

1994

Active since

Affiliations

HEC Montréal(Current)

Center for Interuniversity Research and Analysis on Organizations

University of Chicago

Cornell University

Boston University

Éric Jacquier is an author at HEC Montréal specializing in business, finance, and statistics.

Top concepts

FinanceBusinessStatisticsAsset PricingEconomicsMultivariate Stochastic VolatilityEngineeringVolatility ModelingManagementEconometrics

Publications per year

1994–2013

21

Publications

21

Bayesian Analysis of Stochastic Volatility Models

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Business and Economic Statistics · 2002 · 1.4K citations

Markov Chain Coverage, Bayesian Statistic, Volatility Modeling +15

Bayesian analysis of stochastic volatility models with fat-tails and correlated errors

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Econometrics · 2003 · 652 citations

Volatility Modeling, Multivariate Stochastic Volatility, Bayesian Statistics +9

Bayesian Analysis of Stochastic Volatility Models

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Business and Economic Statistics · 1994 · 624 citations

Bayesian Statistic, Bayesian Statistics, Multivariate Stochastic Volatility +15

Bayesian Analysis of Stochastic Volatility Models

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Business and Economic Statistics · 1994 · 389 citations

Bayesian Statistic, Bayesian Statistics, Multivariate Stochastic Volatility +8

[Bayesian Analysis of Stochastic Volatility Models]: Reply

Éric Jacquier, Nicholas G. Polson, Peter E. Rossi · Journal of Business and Economic Statistics · 1994 · 196 citations

Bayesian Statistic, Volatility Modeling, Multivariate Stochastic Volatility +9

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