Publications & Papers
Research
Financial econometrics, commodity markets, monetary policy announcements, high-frequency finance, volatility modelling, textual analysis, and financialization.
Publication
Speculative Trading in Energy Markets: Evidence from Macroeconomic Surprises
Boucher, S.-P., Gagnon, M.-H., & Power, G. J. (2025)
PhD Thesis
Three Essays on High-Frequency Return and Volatility Dynamics in Commodities and Financial Futures Markets — doctoral thesis by articles, Université Laval (188 pages). Co-authors: Marie-Hélène Gagnon & Gabriel J. Power.
Speculative Trading in Energy Markets: Evidence from Macroeconomic Surprises
Seeing Through the ETF: Indicative NAV and Commodity Volatility Transmission
Returns and Volatility Around FOMC Announcements: A High-Frequency Analysis of Policy Tone and Novelty
UQO Working Paper Series
Applied econometrics research produced at the Département des sciences administratives, UQO — hedonic pricing, housing markets, and derivatives. Each paper is backed by a fully reproducible pipeline.
Decoding Real Estate Descriptions: Semantic Embeddings and Hedonic Pricing of Residential Properties in Quebec
Adds sentence-transformer embeddings of listing descriptions to hedonic models of 17,087 Quebec houses — lifting adjusted R² from 0.452 to 0.511 beyond structural attributes alone.
Hedonic Housing Price Models for the United States: A Multi-Method Comparison of Parametric, Quantile, and Machine Learning Approaches
OLS, quantile regression, and gradient-boosting (XGBoost + SHAP) approaches compared on 788,842 Zillow listings covering all 50 states and DC.
Airbnb, Residential Rents, and Housing Market Pressure: A Hedonic and Spatial Econometric Analysis
Hedonic, spatial, quantile, and machine-learning evidence from 8,303 Quebec rental listings and 3,456 Airbnb listings — each active Airbnb within 500 m is associated with roughly 0.4% higher asking rent.
The Options-Implied Information Content for Cross-Asset Return and Volatility Prediction: Evidence from 3.8 Billion Option Contracts
Options-implied moments forecast returns and volatility on a panel of 264,383 ticker-days (69 tickers, 2010–2025); a kurtosis long/short strategy delivers a Sharpe ratio of 2.33.
A Grand Hedonic Model of the Canadian Housing Market: Decomposing the Value of Structure and Location
140,931 MLS listings with 1,153 neighbourhood (FSA) fixed effects — location alone adds ~30 points of R² (46% → 77%), valuing held-out homes with a 15.8% median absolute error (OOS R² = 0.764).
Earlier Working Papers
Has Financialization Changed the Impact of Macro Announcements on U.S. Commodity Markets?
Modelling Volatility Dynamics Between Commodity ETFs and Their Net Asset Value using BVAR and HAR Models
Returns and Volatility Around FOMC Announcements: A High-Frequency Analysis of Policy Tone and Novelty
Conference Presentations
CRREP Research Day
2022, 2023
Canadian Economics Association — 61st & 62nd Annual Conferences
2022, 2023
7th Winter Workshop on Commodity Markets
Mont-Tremblant, 2024