Marine Carrasco : Citation Profile


Are you Marine Carrasco?

Centre Interuniversitaire de Recherche en Économie Quantitative (CIREQ) (49% share)
Centre Interuniversitaire de Recherche en Analyse des Organisations (CIRANO) (1% share)

13

H index

14

i10 index

804

Citations

RESEARCH PRODUCTION:

13

Articles

29

Papers

1

Chapters

RESEARCH ACTIVITY:

   16 years (1999 - 2015). See details.
   Cites by year: 50
   Journals where Marine Carrasco has often published
   Relations with other researchers
   Recent citing documents: 138.    Total self citations: 15 (1.83 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pca65
   Updated: 2020-08-09    RAS profile: 2015-10-20    
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Relations with other researchers


Works with:

Tchuente, Guy (5)

Kotchoni, Rachidi (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Marine Carrasco.

Is cited by:

LINTON, OLIVER (23)

Chen, Xiaohong (16)

GUEGAN, Dominique (11)

Kristensen, Dennis (10)

Hernandez, Manuel (10)

Simoni, Anna (10)

Simar, Leopold (10)

Chausse, Pierre (9)

Horvath, Lajos (9)

Francq, Christian (8)

McAleer, Michael (8)

Cites to:

Newey, Whitney (11)

Andrews, Donald (11)

Florens, Jean-Pierre (9)

Hansen, Lars (9)

Obstfeld, Maurice (7)

Hansen, Bruce (7)

Gallant, A. (6)

Ploberger, Werner (6)

Ghysels, Eric (6)

Renault, Eric (6)

Singleton, Kenneth (5)

Main data


Where Marine Carrasco has published?


Journals with more than one article published# docs
Econometric Theory5
Journal of Econometrics5
Journal of Business & Economic Statistics2

Working Papers Series with more than one paper published# docs
IDEI Working Papers / Institut d'conomie Industrielle (IDEI), Toulouse4
Working Papers / Center for Research in Economics and Statistics3
Working Papers / HAL2
Cowles Foundation Discussion Papers / Cowles Foundation for Research in Economics, Yale University2

Recent works citing Marine Carrasco (2018 and 2017)


YearTitle of citing document
2017Nonlinear models in macroeconometrics. (2017). Teräsvirta, Timo ; Terasvirta, Timo. In: CREATES Research Papers. RePEc:aah:create:2017-32.

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2018Diffusion Copulas: Identification and Estimation. (2018). Kristensen, Dennis ; Hadri, Kaddour ; Bu, Ruijun. In: CREATES Research Papers. RePEc:aah:create:2018-20.

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2018Spatial Price Transmission, Transaction Costs, and Econometric Modelling: How Inference Can Be Improved When Transaction Costs Are Observed?. (2018). Chung, Chanjin ; Machado, Pedro Celso. In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274841.

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2018A mollifier approach to the deconvolution of probability densities. (2018). Simar, Leopold ; Vanhems, Anne ; Marechal, Pierre. In: IBSA Discussion Papers (ISBA - Institute of Statistics, Biostatistics and Actuarial Sciences). RePEc:aiz:louvad:2018028.

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2018Quantile Coherency: A General Measure for Dependence between Cyclical Economic Variables. (2018). Baruník, Jozef ; Kley, Tobias. In: Papers. RePEc:arx:papers:1510.06946.

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2019Honest confidence sets in nonparametric IV regression and other ill-posed models. (2019). Babii, Andrii. In: Papers. RePEc:arx:papers:1611.03015.

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2019Continuous Record Asymptotics for Structural Change Models. (2019). Perron, Pierre ; Casini, Alessandro. In: Papers. RePEc:arx:papers:1803.10881.

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2018Statistical inference for autoregressive models under heteroscedasticity of unknown form. (2018). Zhu, Ke. In: Papers. RePEc:arx:papers:1804.02348.

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2018High-Dimensional Econometrics and Regularized GMM. (2018). Chernozhukov, Victor ; Kato, Kengo ; Hansen, Christian ; Chetverikov, Denis ; Belloni, Alexandre. In: Papers. RePEc:arx:papers:1806.01888.

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2020Minimizing Sensitivity to Model Misspecification. (2018). Weidner, Martin ; Bonhomme, Stéphane. In: Papers. RePEc:arx:papers:1807.02161.

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2019lassopack: Model selection and prediction with regularized regression in Stata. (2019). Schaffer, Mark ; Ahrens, Achim ; Hansen, Christian B. In: Papers. RePEc:arx:papers:1901.05397.

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2019A Sieve-SMM Estimator for Dynamic Models. (2019). Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1902.01456.

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2019A General Framework for Prediction in Time Series Models. (2019). Smeekes, Stephan ; Heinemann, Alexander ; Beutner, Eric. In: Papers. RePEc:arx:papers:1902.01622.

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2019Weak Identification and Estimation of Social Interaction Models. (2019). Tchuente, Guy. In: Papers. RePEc:arx:papers:1902.06143.

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2019Penalized Sieve GEL for Weighted Average Derivatives of Nonparametric Quantile IV Regressions. (2019). Chen, Xiaohong ; Powell, James L ; Pouzo, Demian. In: Papers. RePEc:arx:papers:1902.10100.

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2019Synthetic learner: model-free inference on treatments over time. (2019). Bradic, Jelena ; Viviano, Davide. In: Papers. RePEc:arx:papers:1904.01490.

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2020Adaptive inference for a semiparametric generalized autoregressive conditional heteroscedastic model. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1907.04147.

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2019Multiple Subordinated Modeling of Asset Returns. (2019). Fabozzi, Frank ; Rachev, Svetlozar T ; Shirvani, Abootaleb. In: Papers. RePEc:arx:papers:1907.12600.

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2019The Ridge Path Estimator for Linear Instrumental Variables. (2019). Sowell, Fallaw ; Sengupta, Nandana. In: Papers. RePEc:arx:papers:1908.09237.

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2019Structural stability of infinite-order regression. (2019). SEO, MYUNG HWAN ; Gupta, Abhimanyu. In: Papers. RePEc:arx:papers:1911.08637.

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2020The Impact of the Choice of Risk and Dispersion Measure on Procyclicality. (2020). Kratz, Marie ; Brautigam, Marcel. In: Papers. RePEc:arx:papers:2001.00529.

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2020Markov Switching. (2020). Wo, Tomasz ; Song, Yong. In: Papers. RePEc:arx:papers:2002.03598.

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2020Efficient Policy Learning from Surrogate-Loss Classification Reductions. (2020). Kallus, Nathan ; Bennett, Andrew . In: Papers. RePEc:arx:papers:2002.05153.

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2020Kernel Conditional Moment Test via Maximum Moment Restriction. (2020). Kubler, Jonas ; Jitkrittum, Wittawat ; Muandet, Krikamol. In: Papers. RePEc:arx:papers:2002.09225.

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2020Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968.

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2020High-dimensional mixed-frequency IV regression. (2020). Babii, Andrii. In: Papers. RePEc:arx:papers:2003.13478.

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2020Diffusion Copulas: Identification and Estimation. (2020). Hadri, Kaddour ; Kristensen, Dennis ; Bu, Ruijun. In: Papers. RePEc:arx:papers:2005.03513.

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2018Asymmetric Effects of Terms of Trade Shocks on Tradable and Non-tradable Investment Rates: The Colombian Case. (2018). Toro-Córdoba, Jorge Hernán ; Garavito, Aaron ; Cárdenas Hurtado, Camilo ; Toro-Cordoba, Jorge Hernan ; Garavito-Acosta, Aaron Levi ; Cardenas-Hurtado, Camilo Alberto. In: Borradores de Economia. RePEc:bdr:borrec:1043.

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2018Mildly Explosive Autoregression Under Stationary Conditional Heteroskedasticity. (2018). Arvanitis, Stelios ; Magdalinos, Tassos. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:892-908.

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2018Unit Root Testing in Multiple Smooth Break Models with Nonlinear Dynamics. (2018). Sandberg, Rickard. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:39:y:2018:i:6:p:942-952.

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2017Continuous Record Asymptotics for Structural Change Models. (2017). Perron, Pierre ; Casini, Alessandro. In: Boston University - Department of Economics - Working Papers Series. RePEc:bos:wpaper:wp2018-010.

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2020Nonparametric Euler Equation Identi?cation and Estimation. (2020). Srisuma, S ; Linton, O ; Lewbel, A ; Hoderlein, S ; Escanciano, J C. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2064.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Amengual, Dante ; Carrasco, Marine. In: Working Papers. RePEc:cmf:wpaper:wp2017_1709.

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2017Testing Distributional Assumptions Using a Continuum of Moments. (2017). Sentana, Enrique ; Carrasco, Marine ; Amengual, Dante . In: Working Papers. RePEc:cmf:wpaper:wp2018_1709.

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2017Regression Discontinuity Design with Continuous Measurement Error in the Running Variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11775.

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2019Efficient Estimation of Multivariate Semi-nonparametric GARCH Filtered Copula Models. (2019). Yi, Yanping ; Huang, Zhuo ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2215.

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2017An extreme value analysis of the last century crises across industries in the U.S. economy. (2017). Trapin, Luca ; Riccaboni, Massimo ; Bee, Marco. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:81:y:2017:i:c:p:65-78.

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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018The impact of setting negative policy rates on banking flows and exchange rates. (2018). Khayat, Guillaume A. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:1-10.

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2019The January effect in the foreign exchange market: Evidence for seasonal equity carry trades. (2019). Salimi Namin, Fatemeh ; girardin, eric. In: Economic Modelling. RePEc:eee:ecmode:v:81:y:2019:i:c:p:422-439.

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2020On the identification of models with conditional characteristic functions. (2020). Han, Hyojin. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519304343.

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2017Efficient estimation in models with independence restrictions. (2017). Poirier, Alexandre. In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:1:p:1-22.

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2017Estimation of average treatment effects with panel data: Asymptotic theory and implementation. (2017). Bell, David R ; Li, Kathleen T. In: Journal of Econometrics. RePEc:eee:econom:v:197:y:2017:i:1:p:65-75.

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2017Minimum distance from independence estimation of nonseparable instrumental variables models. (2017). Torgovitsky, Alexander . In: Journal of Econometrics. RePEc:eee:econom:v:199:y:2017:i:1:p:35-48.

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2017Tests of additional conditional moment restrictions. (2017). Parente, Paulo ; Smith, Richard J. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:1-16.

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2017Regression discontinuity design with continuous measurement error in the running variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:260-281.

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2018Threshold regression with endogeneity. (2018). Phillips, Peter ; PEter, ; Yu, Ping . In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:1:p:50-68.

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2018Consistent estimation of linear regression models using matched data. (2018). Prokhorov, Artem ; Hirukawa, Masayuki. In: Journal of Econometrics. RePEc:eee:econom:v:203:y:2018:i:2:p:344-358.

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2018Minimum distance approach to inference with many instruments. (2018). Kolesar, Michal. In: Journal of Econometrics. RePEc:eee:econom:v:204:y:2018:i:1:p:86-100.

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2018The ABC of simulation estimation with auxiliary statistics. (2018). Ng, Serena ; Forneron, Jean-Jacques. In: Journal of Econometrics. RePEc:eee:econom:v:205:y:2018:i:1:p:112-139.

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2018Confidence regions for entries of a large precision matrix. (2018). Chang, Jinyuan ; Zou, Tao ; Yao, Qiwei ; Qiu, Yumou . In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:57-82.

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2018Additive nonparametric models with time variable and both stationary and nonstationary regressors. (2018). LINTON, OLIVER ; Dong, Chaohua. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:212-236.

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2019Semiparametric estimation of the bid–ask spread in extended roll models. (2019). LINTON, OLIVER ; Chen, Xiaohong ; Yi, Yanping ; Schneeberger, Stefan . In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:1:p:160-178.

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2019Asymptotic properties of the maximum likelihood estimator in regime switching econometric models. (2019). Kasahara, Hiroyuki ; Shimotsu, Katsumi. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:442-467.

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2019Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects. (2019). Gagliardini, Patrick ; Gourieroux, Christian. In: Journal of Econometrics. RePEc:eee:econom:v:208:y:2019:i:2:p:613-637.

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2019Priors about observables in vector autoregressions. (2019). Jarociński, Marek ; Marcet, Albert ; Jarociski, Marek. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:238-255.

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2019Testing for randomness in a random coefficient autoregression model. (2019). Horvath, Lajos ; Trapani, Lorenzo. In: Journal of Econometrics. RePEc:eee:econom:v:209:y:2019:i:2:p:338-352.

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2019Estimation of longrun variance of continuous time stochastic process using discrete sample. (2019). Park, Joon Y ; Lu, YE. In: Journal of Econometrics. RePEc:eee:econom:v:210:y:2019:i:2:p:236-267.

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2019Convolution without independence. (2019). Schennach, Susanne. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:1:p:308-318.

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2019Dynamic semiparametric models for expected shortfall (and Value-at-Risk). (2019). Ziegel, Johanna F ; Patton, Andrew J ; Chen, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:211:y:2019:i:2:p:388-413.

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2019Predictive quantile regressions under persistence and conditional heteroskedasticity. (2019). Lee, Ji Hyung ; Fan, Rui. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:261-280.

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2019Penalized sieve GEL for weighted average derivatives of nonparametric quantile IV regressions. (2019). Powell, James L ; Pouzo, Demian ; Chen, Xiaohong. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:1:p:30-53.

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2019Simulated likelihood estimators for discretely observed jump–diffusions. (2019). Schwenkler, G ; Giesecke, K. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:297-320.

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2019Efficient estimation and computation of parameters and nonparametric functions in generalized semi/non-parametric regression models. (2019). Liang, Hua ; Chen, Kani ; Lin, Huazhen ; Zhou, Ling. In: Journal of Econometrics. RePEc:eee:econom:v:213:y:2019:i:2:p:593-607.

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2020Nonparametric filtering of conditional state-price densities. (2020). Dalderop, Jeroen. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:295-325.

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2020Identification and estimation of time-varying nonseparable panel data models without stayers. (2020). Ishihara, Takuya. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:184-208.

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2020Estimating permanent price impact via machine learning. (2020). Philip, R. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:414-449.

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2020Time-invariant restrictions of volatility functionals: Efficient estimation and specification tests. (2020). Yang, Xiye. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:2:p:486-516.

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2020A coupled component DCS-EGARCH model for intraday and overnight volatility. (2020). Wu, Jianbin ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:1:p:176-201.

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2020Robust frontier estimation from noisy data: A Tikhonov regularization approach. (2020). Simar, Leopold ; FLORENS, Jean-Pierre ; Daouia, Abdelaati. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:1-23.

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2017Neural nets for indirect inference. (2017). Creel, Michael . In: Econometrics and Statistics. RePEc:eee:ecosta:v:2:y:2017:i:c:p:36-49.

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2017An improved method for forecasting spare parts demand using extreme value theory. (2017). Dekker, Rommert ; Koning, Alex J ; Renjie, Rex Wang ; van Jaarsveld, Willem ; Zhu, Sha. In: European Journal of Operational Research. RePEc:eee:ejores:v:261:y:2017:i:1:p:169-181.

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2017Consistent nonparametric specification tests for stochastic volatility models based on the return distribution. (2017). Zu, Yang ; Boswijk, H. Peter. In: Journal of Empirical Finance. RePEc:eee:empfin:v:41:y:2017:i:c:p:53-75.

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2017The impact of energy consumption and economic development on Ecological Footprint and CO2 emissions: Evidence from a Markov Switching Equilibrium Correction Model. (2017). Charfeddine, Lanouar. In: Energy Economics. RePEc:eee:eneeco:v:65:y:2017:i:c:p:355-374.

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2019An investigation of oil prices impact on sovereign credit default swaps in Russia and Venezuela. (2019). Chuffart, Thomas ; Hooper, Emma. In: Energy Economics. RePEc:eee:eneeco:v:80:y:2019:i:c:p:904-916.

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2017Optimal multivariate quota-share reinsurance: A nonparametric mean-CVaR framework. (2017). Sun, Haoze ; Zhang, YI ; Weng, Chengguo. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:72:y:2017:i:c:p:197-214.

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2018Forecasting crude oil price volatility. (2018). Herrera, Ana Maria ; Pastor, Daniel ; Hu, Liang. In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:4:p:622-635.

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2018Interest rate volatility, the yield curve, and the macroeconomy. (2018). Joslin, Scott ; Konchitchki, Yaniv. In: Journal of Financial Economics. RePEc:eee:jfinec:v:128:y:2018:i:2:p:344-362.

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2017Dynamics of crude oil and gold price post 2008 global financial crisis – New evidence from threshold vector error-correction model. (2017). Kanjilal, Kakali ; Ghosh, Sajal . In: Resources Policy. RePEc:eee:jrpoli:v:52:y:2017:i:c:p:358-365.

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2019The invariant distribution of wealth and employment status in a small open economy with precautionary savings. (2019). Walde, Klaus ; Rendall, Alan D ; Bayer, Christian. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:85:y:2019:i:c:p:17-37.

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2019Econometric model of non-performing loans determinants. (2019). Pavlovic, Dejana ; Sekulic, Dejan ; Cvijanovi, Drago ; Radivojevi, Nikola ; Maksimovi, Goran ; Jovic, Srdjan. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:520:y:2019:i:c:p:481-488.

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2017Energy consumption synchronization between Europe, United States and Japan: A spectral analysis assessment. (2017). Dima, Bogdan. In: Renewable and Sustainable Energy Reviews. RePEc:eee:rensus:v:77:y:2017:i:c:p:1261-1271.

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2017Nonlinear adjustment effects in the purchasing power parity. (2017). Phiri, Andrew. In: EERI Research Paper Series. RePEc:eei:rpaper:eeri_rp_2017_08.

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2020Specification testing for errors-in-variables models. (2019). Taylor, Luke ; Otsu, Taisuke. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:102690.

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2017Testing for high-dimensional white noise using maximum cross correlations. (2017). Zhou, Wen ; Yao, Qiwei ; Chang, Jinyuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:68531.

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2018Confidence regions for entries of a large precision matrix. (2018). Zou, Tao ; Yao, Qiwei ; Qiu, Yumou ; Chang, Jinyuan. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:87513.

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2017Regular Variation of Popular GARCH Processes Allowing for Distributional Asymmetry. (2017). Prono, Todd. In: Finance and Economics Discussion Series. RePEc:fip:fedgfe:2017-95.

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2017Multivariate Reflection Symmetry of Copula Functions. (2017). Billio, Monica ; Guegan, Dominique ; Frattarolo, Lorenzo. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01592147.

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2019Risk Measurement. (2019). Hassani, Bertrand K ; Guegan, Dominique. In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-02119256.

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2020Inconsistency transmission and variance reduction in two-stage quantile regression. (2020). MULLER, Christophe ; Kim, Tae-Hwan. In: Post-Print. RePEc:hal:journl:hal-02084505.

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2020Robust frontier estimation from noisy data: a Tikhonov regularization approach. (2020). Simar, Leopold ; FLORENS, Jean-Pierre ; Daouia, Abdelaati. In: Post-Print. RePEc:hal:journl:hal-02573853.

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2017Multivariate Reflection Symmetry of Copula Functions. (2017). Guegan, Dominique ; Frattarolo, Lorenzo ; Billio, Monica. In: Post-Print. RePEc:hal:journl:halshs-01592147.

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2019Bivariate FCLT for the Sample Quantile and Measures of Dispersion for Augmented GARCH(p, q) processes. (2019). Kratz, Marie ; Brautigam, Marcel. In: Working Papers. RePEc:hal:wpaper:hal-02176276.

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2018High-dimensional econometrics and regularized GMM. (2018). Chernozhukov, Victor ; Kato, Kengo ; Hansen, Christian ; Chetverikov, Denis ; Belloni, Alexandre. In: CeMMAP working papers. RePEc:ifs:cemmap:35/18.

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2018Long memory via networking. (2018). Schennach, Susanne. In: CeMMAP working papers. RePEc:ifs:cemmap:49/18.

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2019Modeling and Projection of the Mexican Exchange Rate (Peso/Dollar): a Bayesian Approach for Model Selection. (2019). Gonzalez, Gustavo Cabrera. In: Remef - The Mexican Journal of Economics and Finance. RePEc:imx:journl:v:14:y:2019:i:2:p:203-219.

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2017Regression Discontinuity Design with Continuous Measurement Error in the Running Variable. (2017). Le Barbanchon, Thomas ; Davezies, Laurent. In: IZA Discussion Papers. RePEc:iza:izadps:dp10801.

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2019Iassopack: Model Selection and Prediction with Regularized Regression in Stata. (2019). Schaffer, Mark ; Ahrens, Achim ; Hansen, Christian B. In: IZA Discussion Papers. RePEc:iza:izadps:dp12081.

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2018Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments. (2018). Purwono, Yogo ; Husodo, Zaafri Ananto ; Ekaputra, Irwan Adi . In: Computational Economics. RePEc:kap:compec:v:51:y:2018:i:2:d:10.1007_s10614-017-9692-6.

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2018Estimation of Sentiment Effects in Financial Markets: A Simulated Method of Moments Approach. (2018). Chen, Zhenxi ; Lux, Thomas. In: Computational Economics. RePEc:kap:compec:v:52:y:2018:i:3:d:10.1007_s10614-016-9638-4.

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2019Quantile-Based Inference for Tempered Stable Distributions. (2019). Fallahgoul, Hasan A ; Fabozzi, Frank J ; Veredas, David. In: Computational Economics. RePEc:kap:compec:v:53:y:2019:i:1:d:10.1007_s10614-017-9718-0.

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More than 100 citations found, this list is not complete...

Works by Marine Carrasco:


YearTitleTypeCited
2002Simulation-Based Method of Moments and Efficiency. In: Journal of Business & Economic Statistics.
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2004Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship In: Journal of Business & Economic Statistics.
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2003Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions In: CIRANO Working Papers.
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2002Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions.(2002) In: IDEI Working Papers.
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2009Nonlinearity and Temporal Dependence In: CIRANO Working Papers.
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2008Nonlinearity and Temporal Dependence.(2008) In: Cowles Foundation Discussion Papers.
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2009Nonlinearity and Temporal Dependence.(2009) In: Cowles Foundation Discussion Papers.
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2008Nonlinearity and Temporal Dependence.(2008) In: Working Papers.
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2010Nonlinearity and temporal dependence.(2010) In: Journal of Econometrics.
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2009Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model In: CIRANO Working Papers.
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2010Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model.(2010) In: Post-Print.
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2004Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model.(2004) In: RCER Working Papers.
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2011Adaptive Realized Kernels In: CIRANO Working Papers.
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2013Adaptive Realized Kernels.(2013) In: Working Papers.
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2013Regularized LIML for many instruments In: CIRANO Working Papers.
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2015Regularized LIML for many instruments.(2015) In: Journal of Econometrics.
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2015Regularized LIML for many instruments.(2015) In: Studies in Economics.
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2013Efficient estimation with many weak instruments using regularization techniques In: CIRANO Working Papers.
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2015Efficient estimation with many weak instruments using regularization techniques.(2015) In: Studies in Economics.
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2013Efficient estimation using the Characteristic Function In: CIRANO Working Papers.
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2013Efficient Estimation Using the Characteristic Function.(2013) In: Working Papers.
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2000Efficient GMM Estimation Using the Empirical Characteristic Function In: Working Papers.
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2002Efficient GMM Estimation Using the Empirical Characteristic Function.(2002) In: IDEI Working Papers.
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2000Chi-square Tests when a Nuisance Parameter is Present only under the Alternative In: Working Papers.
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1999b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models In: Working Papers.
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2000GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS In: Econometric Theory.
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2002MIXING AND MOMENT PROPERTIES OF VARIOUS GARCH AND STOCHASTIC VOLATILITY MODELS In: Econometric Theory.
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200403.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression—Solution In: Econometric Theory.
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2011A SPECTRAL METHOD FOR DECONVOLVING A DENSITY In: Econometric Theory.
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2009Spectral Method for Deconvolving a Density.(2009) In: IDEI Working Papers.
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2014ON THE ASYMPTOTIC EFFICIENCY OF GMM In: Econometric Theory.
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2004On the Asymptotic Efficiency of GMM.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2003On the Asymptotic Efficiency of GMM.(2003) In: IDEI Working Papers.
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2004Optimal test for Markov switching In: Econometric Society 2004 North American Summer Meetings.
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2004Optimal test for Markov switching.(2004) In: 2004 Meeting Papers.
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2000Estimation of a Mixture via the Empirical Characteristic Function In: Econometric Society World Congress 2000 Contributed Papers.
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2007Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization In: Handbook of Econometrics.
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2002Misspecified Structural Change, Threshold, and Markov-switching models In: Journal of Econometrics.
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2007Efficient estimation of general dynamic models with a continuum of moment conditions In: Journal of Econometrics.
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2012A regularization approach to the many instruments problem In: Journal of Econometrics.
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2004Chi-square Tests for Parameter Stability In: RCER Working Papers.
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Kernel Estimation of the Density of a Change-Point in the Mean In: Computing in Economics and Finance 1997.
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2014Optimal Test for Markov Switching Parameters In: Econometrica.
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