christian s. gourieroux : Citation Profile


Are you christian s. gourieroux?

University of Toronto

28

H index

61

i10 index

3790

Citations

RESEARCH PRODUCTION:

137

Articles

166

Papers

12

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   39 years (1979 - 2018). See details.
   Cites by year: 97
   Journals where christian s. gourieroux has often published
   Relations with other researchers
   Recent citing documents: 339.    Total self citations: 65 (1.69 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo144
   Updated: 2019-05-18    RAS profile: 2018-09-12    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Monfort, Alain (28)

Jasiak, Joann (10)

Renne, Jean-Paul (10)

Zakoian, Jean-Michel (9)

darolles, serge (7)

Lu, Yang (5)

Gagliardini, Patrick (4)

Héam, Jean-Cyprien (3)

Auray, Stéphane (2)

Pegoraro, Fulvio (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with christian s. gourieroux.

Is cited by:

Dionne, Georges (60)

Monfort, Alain (60)

Minford, A. Patrick (52)

Renault, Eric (42)

Pegoraro, Fulvio (35)

Sentana, Enrique (34)

McAleer, Michael (33)

Fiorentini, Gabriele (33)

Veredas, David (31)

Meenagh, David (30)

Calzolari, Giorgio (29)

Cites to:

Jasiak, Joann (45)

Monfort, Alain (39)

Ghysels, Eric (25)

Engle, Robert (20)

darolles, serge (19)

Duffie, Darrell (17)

Hansen, Lars (16)

Singleton, Kenneth (16)

Renault, Eric (12)

Bollerslev, Tim (11)

Lanne, Markku (11)

Main data


Where christian s. gourieroux has published?


Journals with more than one article published# docs
Journal of Econometrics30
Annals of Economics and Statistics20
Econometrica12
Journal of Financial Econometrics8
Econometric Theory8
L'Actualit Economique7
Journal of Empirical Finance7
Journal of Time Series Analysis4
Insurance: Mathematics and Economics4
Journal of Banking & Finance4
Economics Letters3
Econometric Reviews3
Revue d'conomie Financire2
Journal of Economic Dynamics and Control2
International Economic Review2

Working Papers Series with more than one paper published# docs
Working Papers / Center for Research in Economics and Statistics88
Post-Print / HAL15
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles6
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
MPRA Paper / University Library of Munich, Germany4
Working Papers / York University, Department of Economics4
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise3
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

Recent works citing christian s. gourieroux (2018 and 2017)


YearTitle of citing document
2018Book Review: Directions of Development of Public Administration in Poland. (2018). Nieurawski, Lech ; Jakimowicz, Aleksander. In: Articles. RePEc:aae:journl:v:14:y:2018:i:3:p:159-168.

Full description at Econpapers || Download paper

2018Unified Inference for Nonlinear Factor Models from Panels with Fixed and Large Time Span. (2018). Andersen, Torben ; Varneskov, Rasmus T ; Todorov, Viktor ; Fusari, Nicola. In: CREATES Research Papers. RePEc:aah:create:2018-03.

Full description at Econpapers || Download paper

2018Exploration vs Exploitation, Impulse Balance Equilibrium and a specification test for the El Farol bar problem. (2018). Pezanis-Christou, Paul ; Laisney, Francois ; Kirman, Alan. In: School of Economics Working Papers. RePEc:adl:wpaper:2018-11.

Full description at Econpapers || Download paper

2017Aggregated Fractional Regression Estimation: Some Monte Carlo Evidence. (2017). Song, Jingyu ; Preckel, Paul ; Delgado, Michael. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258209.

Full description at Econpapers || Download paper

2017Water Availability, Land Allocation, and the Role of Irrigation Districts under Prior Appropriation Doctrine. (2017). Ji, Xinde ; Cobourn, Kelly M. In: 2017 Annual Meeting, July 30-August 1, Chicago, Illinois. RePEc:ags:aaea17:258377.

Full description at Econpapers || Download paper

2018Structural Gravity Model Estimates of Nested CES Import Demands for Soybeans. (2018). Hillberry, Russell ; Yao, Guolin . In: 2018 Annual Meeting, August 5-7, Washington, D.C.. RePEc:ags:aaea18:274281.

Full description at Econpapers || Download paper

2017Gender differentials in agricultural productivity: an empirical evidence from Uganda. (2017). Campus, Daniela. In: 2017 Sixth AIEAA Conference, June 15-16, Piacenza, Italy. RePEc:ags:aiea17:261259.

Full description at Econpapers || Download paper

2018Inequality of Opportunity in Earnings in Rural China. (2018). Shi, X. In: 2018 Conference, July 28-August 2, 2018, Vancouver, British Columbia. RePEc:ags:iaae18:277016.

Full description at Econpapers || Download paper

2018Do Regulations to Protect Endangered Species on Private Lands Affect Local Employment? Evidence from the Listing of the Lesser Prairie Chicken. (2018). Melstrom, Richard ; Lee, Kangil ; Byl, Jacob P. In: Journal of Agricultural and Resource Economics. RePEc:ags:jlaare:276499.

Full description at Econpapers || Download paper

2017The Economic Benefits of Irrigation Districts under Prior Appropriation Doctrine: An Econometric Analysis of Agricultural Land-allocation Decisions. (2017). Ji, Xinde ; Cobourn, Kelly M. In: 2017 Annual Meeting, February 4-7, 2017, Mobile, Alabama. RePEc:ags:saea17:252838.

Full description at Econpapers || Download paper

2017Nonparametric Stochastic Discount Factor Decomposition. (2017). Christensen, Timothy . In: Papers. RePEc:arx:papers:1412.4428.

Full description at Econpapers || Download paper

2017The ABC of Simulation Estimation with Auxiliary Statistics. (2017). Ng, Serena ; Forneron, Jean-Jacques. In: Papers. RePEc:arx:papers:1501.01265.

Full description at Econpapers || Download paper

2018Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2018). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

Full description at Econpapers || Download paper

2019Linear Credit Risk Models. (2018). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

Full description at Econpapers || Download paper

2018Pairs Trading under Drift Uncertainty and Risk Penalization. (2018). Altay, Suhan ; Eksi, Zehra ; Colaneri, Katia. In: Papers. RePEc:arx:papers:1704.06697.

Full description at Econpapers || Download paper

2017Polynomial processes in stochastic portfolio theory. (2017). Cuchiero, Christa . In: Papers. RePEc:arx:papers:1705.03647.

Full description at Econpapers || Download paper

2018Indirect Inference with a Non-Smooth Criterion Function. (2018). Oka, Tatsushi ; Zhu, Dan ; Frazier, David T. In: Papers. RePEc:arx:papers:1708.02365.

Full description at Econpapers || Download paper

2017Semiparametric GARCH via Bayesian model averaging. (2017). Ye, Wilson ; Gerlach, Richard H. In: Papers. RePEc:arx:papers:1708.07587.

Full description at Econpapers || Download paper

2017A sentiment-based model for the BitCoin: theory, estimation and option pricing. (2017). Cretarola, Alessandra ; Patacca, Marco ; Figa-Talamanca, Gianna. In: Papers. RePEc:arx:papers:1709.08621.

Full description at Econpapers || Download paper

2017Macroeconomics and FinTech: Uncovering Latent Macroeconomic Effects on Peer-to-Peer Lending. (2017). Foo, Jessica ; Wong, Ken Sze-Wai ; Lim, Lek-Heng . In: Papers. RePEc:arx:papers:1710.11283.

Full description at Econpapers || Download paper

2017Bank Panics and Fire Sales, Insolvency and Illiquidity. (2017). Hurd, T R. In: Papers. RePEc:arx:papers:1711.05289.

Full description at Econpapers || Download paper

2019Polynomial Jump-Diffusion Models. (2019). Filipovi, Damir ; Larsson, Martin. In: Papers. RePEc:arx:papers:1711.08043.

Full description at Econpapers || Download paper

2018Dynamic Clearing and Contagion in Financial Networks. (2018). Banerjee, Tathagata ; Feinstein, Zachary ; Bernstein, Alex. In: Papers. RePEc:arx:papers:1801.02091.

Full description at Econpapers || Download paper

2018Structural Estimation of Behavioral Heterogeneity. (2018). Shi, Zhentao ; Zheng, Huanhuan. In: Papers. RePEc:arx:papers:1802.03735.

Full description at Econpapers || Download paper

2019The Origin and the Resolution of Nonuniqueness in Linear Rational Expectations. (2018). Thistle, John G. In: Papers. RePEc:arx:papers:1806.06657.

Full description at Econpapers || Download paper

2018Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing. (2018). Alfonsi, Aur'elien ; Tankov, Peter ; Krief, David. In: Papers. RePEc:arx:papers:1806.06883.

Full description at Econpapers || Download paper

2018Incremental Sharpe and other performance ratios. (2018). Benhamou, Eric ; Guez, Beatrice. In: Papers. RePEc:arx:papers:1807.09864.

Full description at Econpapers || Download paper

2018The distortion principle for insurance pricing: properties, identification and robustness. (2018). Escobar, Daniela ; Pflug, Georg. In: Papers. RePEc:arx:papers:1809.06592.

Full description at Econpapers || Download paper

2018Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Banerjee, Tathagata ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:1810.01372.

Full description at Econpapers || Download paper

2018Evaluating regulatory reform of network industries: a survey of empirical models based on categorical proxies. (2018). Florio, Massimo ; Bastianin, Andrea ; Castelnovo, Paolo. In: Papers. RePEc:arx:papers:1810.03348.

Full description at Econpapers || Download paper

2018Using generalized estimating equations to estimate nonlinear models with spatial data. (2018). Lu, Cuicui ; Wooldridge, Jeffrey M ; Wang, Weining. In: Papers. RePEc:arx:papers:1810.05855.

Full description at Econpapers || Download paper

2018Reverse Quantum Annealing Approach to Portfolio Optimization Problems. (2018). Venturelli, Davide ; Kondratyev, Alexei . In: Papers. RePEc:arx:papers:1810.08584.

Full description at Econpapers || Download paper

2019Time series models for realized covariance matrices based on the matrix-F distribution. (2019). Zhu, Ke ; Li, Wai Keung ; Jiang, Feiyu ; Zhou, Jiayuan. In: Papers. RePEc:arx:papers:1903.12077.

Full description at Econpapers || Download paper

2019Identification of Noncausal Models by Quantile Autoregressions. (2019). Hecq, Alain ; Sun, LI. In: Papers. RePEc:arx:papers:1904.05952.

Full description at Econpapers || Download paper

2019Subgeometrically ergodic autoregressions. (2019). Meitz, Mika ; Saikkonen, Pentti. In: Papers. RePEc:arx:papers:1904.07089.

Full description at Econpapers || Download paper

2019Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2019). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Papers. RePEc:arx:papers:1905.01798.

Full description at Econpapers || Download paper

2017Correction Procedures for Appraisal-Based Real Estate Indices. (2017). Gohs, Andreas . In: ERES. RePEc:arz:wpaper:eres2017_274.

Full description at Econpapers || Download paper

2017Improving automobile insurance ratemaking using telematics: incorporating mileage and driver behaviour data. (2017). Ayuso, Mercedes ; Nielsen, Jens Perch ; Guillen, Montserrat. In: Working Papers. RePEc:bak:wpaper:201701.

Full description at Econpapers || Download paper

2017Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data. (2017). Fique, Jose. In: Staff Working Papers. RePEc:bca:bocawp:17-30.

Full description at Econpapers || Download paper

2017Optimal Estimation of Multi-Country Gaussian Dynamic Term Structure Models Using Linear Regressions. (2017). Diez de los Rios, Antonio. In: Staff Working Papers. RePEc:bca:bocawp:17-33.

Full description at Econpapers || Download paper

2017Good Volatility, Bad Volatility and Option Pricing. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-52.

Full description at Econpapers || Download paper

2017Risk-Neutral Moment-Based Estimation of Affine Option Pricing Models. (2017). Feunou, Bruno ; Okou, Cedric. In: Staff Working Papers. RePEc:bca:bocawp:17-55.

Full description at Econpapers || Download paper

2017Pairwise trading in the money market during the European sovereign debt crisis. (2017). Rainone, Edoardo . In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1160_17.

Full description at Econpapers || Download paper

2017Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks.. (2017). Idier, J ; Piquard, T. In: Working papers. RePEc:bfr:banfra:621.

Full description at Econpapers || Download paper

2017An analytical framework to calibrate macroprudential policy. (2017). Gabrieli, Silvia ; Scalone, V ; Piquard, T ; Lopez, P ; Idier, J ; Devulder, A ; Couaillier, C ; Bennani, T. In: Working papers. RePEc:bfr:banfra:648.

Full description at Econpapers || Download paper

2018Cross-stock market spillovers through variance risk premiums and equity flows. (2018). SHIM, ILHYOCK ; Sugihara, Yoshihiko ; Hattori, Masazumi. In: BIS Working Papers. RePEc:bis:biswps:702.

Full description at Econpapers || Download paper

2017Weighted pseudolikelihood for SNP set analysis with multiple secondary outcomes in case†control genetic association studies. (2017). Sofer, Tamar ; Lin, Xihong ; Christiani, David C ; Schifano, Elizabeth D. In: Biometrics. RePEc:bla:biomet:v:73:y:2017:i:4:p:1210-1220.

Full description at Econpapers || Download paper

2018INTERACTION TERMS IN POISSON AND LOG LINEAR REGRESSION MODELS. (2018). Shang, Shengwu ; Fan, Maoyong ; Nesson, Erik. In: Bulletin of Economic Research. RePEc:bla:buecrs:v:70:y:2018:i:1:p:e89-e96.

Full description at Econpapers || Download paper

2018DURATION MODELS FOR CREDIT RATING MIGRATION: EVIDENCE FROM THE FINANCIAL CRISIS. (2018). Prigent, Jean-Luc ; Karaa, Adel ; ben Ayed, Myriam. In: Economic Inquiry. RePEc:bla:ecinqu:v:56:y:2018:i:3:p:1870-1886.

Full description at Econpapers || Download paper

2017When a Door Closes, a Window Opens? Long-Term Labor Market Effects of Involuntary Separations. (2017). Backes-Gellner, Uschi ; Balestra, Simone. In: German Economic Review. RePEc:bla:germec:v:18:y:2017:i:1:p:1-21.

Full description at Econpapers || Download paper

2018Advantageous Selection in Crop Insurance: Theory and Evidence. (2018). Zheng, Xiaoyong ; Rejesus, Roderick ; Yorobe, Jose . In: Journal of Agricultural Economics. RePEc:bla:jageco:v:69:y:2018:i:3:p:646-668.

Full description at Econpapers || Download paper

2018Culturally clustered or in the cloud? How amenities drive firm location decision in Berlin. (2018). Moeller, Kristoffer. In: Journal of Regional Science. RePEc:bla:jregsc:v:58:y:2018:i:4:p:728-758.

Full description at Econpapers || Download paper

2017Asymmetric Information in the Home Insurance Market. (2017). Aarbu, Karl Ove. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:1:p:35-72.

Full description at Econpapers || Download paper

2017BETWEEN-GROUP ADVERSE SELECTION: EVIDENCE FROM GROUP CRITICAL ILLNESS INSURANCE. (2017). Eling, Martin ; Yao, YI ; Jia, Ruo. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:2:p:771-809.

Full description at Econpapers || Download paper

2017Two Tests for Ex Ante Moral Hazard in a Market for Automobile Insurance. (2017). Rowell, David ; Connelly, Luke B ; Nghiem, Son. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1103-1126.

Full description at Econpapers || Download paper

2017Decomposing Asymmetric Information in Chinas Automobile Insurance Market. (2017). Gao, Feng ; Wang, Jun ; Powers, Michael R. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:4:p:1269-1293.

Full description at Econpapers || Download paper

2017Time-Varying Transition Probabilities for Markov Regime Switching Models. (2017). Lucas, Andre ; Koopman, Siem Jan ; Blasques, Francisco ; Bazzi, Marco . In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:38:y:2017:i:3:p:458-478.

Full description at Econpapers || Download paper

2017Do Neighbours Influence Value-Added-Tax Introduction? A Spatial Duration Analysis. (2017). Iek, Pavel ; Ligthart, Jenny E ; Lei, Jinghua. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:79:y:2017:i:1:p:25-54.

Full description at Econpapers || Download paper

2017International Menu Costs and Price Dynamics. (2017). Schoenle, Raphael. In: Review of International Economics. RePEc:bla:reviec:v:25:y:2017:i:3:p:578-606.

Full description at Econpapers || Download paper

2018Threat of falling high status and corporate bribery: Evidence from the revealed accounting records of two South Korean presidents. (2018). Jeong, Yujin ; Siegel, Jordan I. In: Strategic Management Journal. RePEc:bla:stratm:v:39:y:2018:i:4:p:1083-1111.

Full description at Econpapers || Download paper

2018System dynamics at sixty: the path forward. (2018). Sterman, John. In: System Dynamics Review. RePEc:bla:sysdyn:v:34:y:2018:i:1-2:p:5-47.

Full description at Econpapers || Download paper

2017EU Trade Regulation for Baby Food: Protecting Health or Trade?. (2017). Drogué, Sophie ; Demaria, Federica ; Drogue, Sophie ; De Maria, Federica. In: The World Economy. RePEc:bla:worlde:v:40:y:2017:i:7:p:1430-1453.

Full description at Econpapers || Download paper

2018The Identification Zoo - Meanings of Identification in Econometrics. (2018). Lewbel, Arthur. In: Boston College Working Papers in Economics. RePEc:boc:bocoec:957.

Full description at Econpapers || Download paper

2017Persistent vs. Permanent Income Shocks in the Buffer-Stock Model. (2017). Jørgensen, Thomas ; Thomas, Jorgensen ; Jeppe, Druedahl . In: The B.E. Journal of Macroeconomics. RePEc:bpj:bejmac:v:17:y:2017:i:1:p:16:n:9.

Full description at Econpapers || Download paper

2019Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information. (2019). LINTON, OLIVER ; la Vecchia, D ; Koo, B. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1916.

Full description at Econpapers || Download paper

2017Resolving the Public Sector Wage Premium Puzzle by Indirect Inference. (2017). Zhou, Peng ; Minford, A. Patrick ; Wang, YI. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/13.

Full description at Econpapers || Download paper

2017Matrix Inequality Constraints for Vector (Asymmetric Power) GARCH/HEAVY Models and MEM with spillovers: some New (Mixture) Formulations. (2017). Xu, Yongdeng ; Karanasos, Menelaos. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2017/14.

Full description at Econpapers || Download paper

2017Firm-level Human Capital and Innovation: Evidence from China. (2017). Ghosal, Vivek ; Sun, Xiuli ; Li, Haizheng. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6370.

Full description at Econpapers || Download paper

2017The Diffusion of New Institutions: Evidence from Renaissance Venices Patent System. (2017). graziano, clara ; comino, stefano ; Galasso, Alberto. In: CESifo Working Paper Series. RePEc:ces:ceswps:_6612.

Full description at Econpapers || Download paper

2018Getting Life Expectancy Estimates Right for Pension Policy: Period versus Cohort Approach. (2018). Bravo, Jorge ; Ayuso, Mercedes ; Holzman, Robert. In: CESifo Working Paper Series. RePEc:ces:ceswps:_7349.

Full description at Econpapers || Download paper

2017More Giving of More Givers? The Effects of Tax Incentives on Charitable Donations in the UK. (2017). Scharf, Kimberley ; Lockwood, Ben ; Almunia, Miguel. In: CAGE Online Working Paper Series. RePEc:cge:wacage:335.

Full description at Econpapers || Download paper

2018Homeownership, Labour Market Transitions and Earnings. (2018). Lacroix, Guy ; Kamionka, Thierry. In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-35.

Full description at Econpapers || Download paper

2018Inference in Second-Order Identified Models. (2018). Dovonon, Prosper ; Hall, Alastair ; Kleibergen, Frank . In: CIRANO Working Papers. RePEc:cir:cirwor:2018s-36.

Full description at Econpapers || Download paper

2018Specification Tests for Non-Gaussian Maximum Likelihood Estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2018_1804.

Full description at Econpapers || Download paper

2017The Diffusion of New Institutions: Evidence from Renaissance Venices Patent System. (2017). graziano, clara ; comino, stefano ; Galasso, Alberto. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12102.

Full description at Econpapers || Download paper

2017The returns to entrepreneurship: Evidence from matched person-firm data. (2017). Praag, Mirjam ; van Praag, Mirjam ; Raknerud, Arvid. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12330.

Full description at Econpapers || Download paper

2017Consumer Demand for Credit Card Services. (2017). Alexandrov, Alexei ; Grodzicki, Daniel ; Bedre-Defolie, Izlem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12506.

Full description at Econpapers || Download paper

2018Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads. (2018). Song, Dongho ; Chernov, Mikhail ; Augustin, Patrick. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12857.

Full description at Econpapers || Download paper

2018A Practical Guide to Parallelization in Economics. (2018). Fernandez-Villaverde, Jesus ; Valencia, David Zarruk. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12890.

Full description at Econpapers || Download paper

2018Specification tests for non-Gaussian maximum likelihood estimators. (2018). Sentana, Enrique ; Fiorentini, Gabriele. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12934.

Full description at Econpapers || Download paper

2018Seasonal quasi-vector autoregressive models for macroeconomic data. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:26316.

Full description at Econpapers || Download paper

2018Seasonality Detection in Small Samples using Score-Driven Nonlinear Multivariate Dynamic Location Models. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27483.

Full description at Econpapers || Download paper

2018Seasonal Quasi-Vector Autoregressive Models with an Application to Crude Oil Production and Economic Activity in the United States and Canada. (2018). Escribano, Alvaro ; Blazsek, Szabolcs ; Saez, Alvaro Escribano ; Licht, Adrian. In: UC3M Working papers. Economics. RePEc:cte:werepe:27484.

Full description at Econpapers || Download paper

2019Exchange Rates, Foreign Currency Exposure and Sovereign Risk. (2019). Bernoth, Kerstin ; Herwartz, Helmut. In: Discussion Papers of DIW Berlin. RePEc:diw:diwwpp:dp1792.

Full description at Econpapers || Download paper

2018Walk on the wild side: Multiplicative sunspots and temporarily unstable paths. (2018). Bonomolo, Paolo ; Ascari, Guido ; Lopes, Hedibert. In: DNB Working Papers. RePEc:dnb:dnbwpp:597.

Full description at Econpapers || Download paper

2018Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios. (2018). Takata, YU. In: Economics Bulletin. RePEc:ebl:ecbull:eb-18-00874.

Full description at Econpapers || Download paper

2017A Simple R-Estimation Method for Semiparametric Duration Models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Working Papers ECARES. RePEc:eca:wpaper:2013/243446.

Full description at Econpapers || Download paper

2019Vector Autoregressive with Exogenous Variable Model and its Application in Modeling and Forecasting Energy Data: Case Study of PTBA and HRUM Energy. (2019). Usman, Mustofa ; Widiarti, Widiarti ; Wamiliana, Wamiliana ; Russels, Edwin ; Warsono, Warsono. In: International Journal of Energy Economics and Policy. RePEc:eco:journ2:2019-02-45.

Full description at Econpapers || Download paper

2018FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft. (2018). Camarero, Mariam ; Tamarit, Cecilio ; Sapena, Juan. In: Working Papers. RePEc:eec:wpaper:1813.

Full description at Econpapers || Download paper

2017Can the US keep the PACE? A natural experiment in accelerating the growth of solar electricity. (2017). Pisu, Mauro ; Kammen, Daniel M ; Ameli, Nadia . In: Applied Energy. RePEc:eee:appene:v:191:y:2017:i:c:p:163-169.

Full description at Econpapers || Download paper

2017A novel method for estimating the common signals for consensus across multiple ranked lists. (2017). Vendova, Vendula ; Schimek, Michael G. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:115:y:2017:i:c:p:122-135.

Full description at Econpapers || Download paper

2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

Full description at Econpapers || Download paper

2017Estimating the value of beach recreation for locals in the Great Barrier Reef Marine Park, Australia. (2017). Prayaga, Prabha . In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:53:y:2017:i:c:p:9-18.

Full description at Econpapers || Download paper

2017On estimating long-run effects in models with lagged dependent variables. (2017). Reed, W. ; Zhu, Min. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:302-311.

Full description at Econpapers || Download paper

2018A term structure model under cyclical fluctuations in interest rates. (2018). Novales, Alfonso ; Platania, Federico ; Moreno, Manuel . In: Economic Modelling. RePEc:eee:ecmode:v:72:y:2018:i:c:p:140-150.

Full description at Econpapers || Download paper

2018Moment-based tests for random effects in the two-way error component model with unbalanced panels. (2018). Wu, Jian Hong ; Xia, Qiang ; Li, Guodong. In: Economic Modelling. RePEc:eee:ecmode:v:74:y:2018:i:c:p:61-76.

Full description at Econpapers || Download paper

2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

Full description at Econpapers || Download paper

2017Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory. (2017). Rodríguez, Gabriel ; Rodriguez, Gabriel. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:393-420.

Full description at Econpapers || Download paper

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

christian s. gourieroux has edited the books:


YearTitleTypeCited

Works by christian s. gourieroux:


YearTitleTypeCited
1987Kullback Causality Measures In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article4
1987Une approche géométrique des processus ARMA In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
1988Agrégation de processus autorégressifs dordre 1 In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article1
1990Hétérogénéité - 1. Etude des biais destimation dans le cas linéaire In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article3
1990Hétérogénéité - 2. Etude des biais de représentativité (sous lhypothèse dexogénéité faible) In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
1990Hétérogénéité et hasard dans les modèles de durée In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
1991Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article4
1992Courbes de performances, de sélection et de discrimination In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
1993Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
1995Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
1996Diffusion et effet de vague In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article1
2000Causality between Returns and Traded Volumes In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article1
1998Causality Between Returns and Trated Volumes.(1998) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article7
1999Intraday Transaction Price Dynamics.(1999) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 7
paper
2005Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article2
2006Pricing with Splines In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
2002Pricing with Splines.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2006Migration Correlation: Estimation Method and Application to French Corporates Ratings In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
2007Diffusion Processes with Polynomial Eigenfunctions In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
2013Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article1
2017Consistent Pseudo-Maximum Likelihood Estimators In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
2016Consistent Pseudo-Maximum Likelihood Estimators.(2016) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2017Aversions to Impatience, Uncertainty and Illiquidity In: Annals of Economics and Statistics.
[Full Text][Citation analysis]
article0
2010Derivative Pricing With Wishart Multivariate Stochastic Volatility In: Journal of Business & Economic Statistics.
[Full Text][Citation analysis]
article32
2012A term structure model with level factor cannot be realistic and arbitrage free In: Working papers.
[Full Text][Citation analysis]
paper0
2012Shock on Variable or Shock on Distribution with Application to Stress-Tests In: Working papers.
[Full Text][Citation analysis]
paper1
2012Shock on Variable or Shock on Distribution with Application to Stress-Tests.(2012) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
[Full Text][Citation analysis]
paper28
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 28
article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
[Full Text][Citation analysis]
paper7
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
article
2013Regime Switching and Bond Pricing. In: Working papers.
[Full Text][Citation analysis]
paper4
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2017Local explosion modelling by non-causal process In: Journal of the Royal Statistical Society Series B.
[Full Text][Citation analysis]
article1
2016Local Explosion Modelling by Noncausal Process.(2016) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2009Control and Out-of-Sample Validation of Dependent Risks In: Journal of Risk & Insurance.
[Full Text][Citation analysis]
article0
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article19
2006Structural Laplace Transform and Compound Autoregressive Models.(2006) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 19
paper
2008Duration time-series models with proportional hazard In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article12
2002Duration Time Series Models with Proportional Hazard.(2002) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 12
paper
2015On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article1
2014On uniqueness of moving average representations of heavy-tailed stationary processes.(2014) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2016Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]
article5
1998Mean-Variance Hedging and Numéraire In: Mathematical Finance.
[Full Text][Citation analysis]
article21
2009Efficiency in Large Dynamic Panel Models with Common Factor In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper8
2010Efficiency in Large Dynamic Panel Models with Common Factor.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2014EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS.(2014) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2010Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper16
2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 16
article
2010Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper1
2010Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2014Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper0
1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper21
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
paper
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 21
paper
1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper13
1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper0
1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper4
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
1991Computation of multipliers in multivariate rational expectations models. In: CORE Discussion Papers.
[Citation analysis]
paper1
1993Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper0
1999Bartlett identities tests In: CORE Discussion Papers.
[Full Text][Citation analysis]
paper7
1999Bartlett Identities Tests.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1999Bartlett Identities Tests.(1999) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1995Solutions of multivariate rational expectations models In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
paper14
1995Solutions of multivariate Rational Expectations Models.(1995) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
article
1995Solutions of Multivariate Rational Expectations Models.(1995) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 14
paper
1998Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators In: CORE Discussion Papers RP.
[Full Text][Citation analysis]
paper0
1998Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators.(1998) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2000Sensitivity Analysis of Values at Risk In: Working Papers.
[Full Text][Citation analysis]
paper98
2000Sensitivity Analysis of Values at Risk.(2000) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 98
paper
2000Sensitivity Analysis of Values at Risk.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 98
paper
2000Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 98
article
2000Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 98
paper
2000Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers.
[Full Text][Citation analysis]
paper8
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
2000Factor ARMA Representation of a Markov Process In: Working Papers.
[Full Text][Citation analysis]
paper0
2001Factor ARMA representation of a Markov process.(2001) In: Economics Letters.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
2001Factor ARMA representation of a Markov process.(2001) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
2001Conditions for Optimality in Experimental Designs In: Working Papers.
[Full Text][Citation analysis]
paper5
2001Compound Autoregressive Models In: Working Papers.
[Full Text][Citation analysis]
paper8
2001Ajustement des prix bid et ask en présence dinformation privée In: Working Papers.
[Full Text][Citation analysis]
paper5
2001Tails and Extremal Behaviour of Stochastic Unit Root Models In: Working Papers.
[Full Text][Citation analysis]
paper1
2001Local Likelihood Density Estimation and Value at Risk In: Working Papers.
[Full Text][Citation analysis]
paper6
2002Constrained Nonparametric Copulas In: Working Papers.
[Full Text][Citation analysis]
paper2
2002Affine Term Structure Models In: Working Papers.
[Full Text][Citation analysis]
paper15
2002Equidependence in Qualitative and Duration Models with Application to Credit Risk In: Working Papers.
[Full Text][Citation analysis]
paper1
2003Whishart Quadratic Term Structure Models In: Working Papers.
[Full Text][Citation analysis]
paper8
2004Efficient Derivative Pricing by Extended Method of Moments In: Working Papers.
[Full Text][Citation analysis]
paper1
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
2004Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk In: Working Papers.
[Full Text][Citation analysis]
paper6
2004The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers.
[Full Text][Citation analysis]
paper0
2004Stochastic Migration Models with Application to Corporate Risk In: Working Papers.
[Full Text][Citation analysis]
paper12
2005International Money and Stock Market Contingent Claims In: Working Papers.
[Full Text][Citation analysis]
paper5
2010International money and stock market contingent claims.(2010) In: Journal of International Money and Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2005A Classification of Two Factor Affine Diffusion Term Structure Models In: Working Papers.
[Full Text][Citation analysis]
paper6
2006A Classification of Two-Factor Affine Diffusion Term Structure Models.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2005Wishart Autoregressive Model for Stochastic Risk In: Working Papers.
[Full Text][Citation analysis]
paper0
2005Affine Model for Credit Risk Analysis In: Working Papers.
[Full Text][Citation analysis]
paper20
2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 20
article
2006Efficient Portfolio Analysis Using Distortion Risk Measures In: Working Papers.
[Full Text][Citation analysis]
paper2
2006A Degeneracy in the Analysis of Volatility and Covolatility Effects In: Working Papers.
[Full Text][Citation analysis]
paper0
2006(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution In: Working Papers.
[Full Text][Citation analysis]
paper5
2006Sensitivity Analysis of Distortion Risk Measures In: Working Papers.
[Full Text][Citation analysis]
paper4
2007Quadratic Stochastic Intensity and Prospective Mortality Tables In: Working Papers.
[Full Text][Citation analysis]
paper5
2008Quadratic stochastic intensity and prospective mortality tables.(2008) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2010Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk In: Working Papers.
[Full Text][Citation analysis]
paper5
2011Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk.(2011) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
2010An Analysis of the Ultra Long-Term Yields In: Working Papers.
[Full Text][Citation analysis]
paper1
2011Allocating Systematic and Unsystematic Risks in a Regulatory Perspective In: Working Papers.
[Full Text][Citation analysis]
paper4
2011Granularity Theory with Application to Finance and Insurance In: Working Papers.
[Full Text][Citation analysis]
paper0
2014Granularity Theory with Applications to Finance and Insurance.(2014) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 0
book
2012Correlated Risks vs Contagion in Stochastic Transition Models In: Working Papers.
[Full Text][Citation analysis]
paper1
2013Correlated risks vs contagion in stochastic transition models.(2013) In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2012Estimation Adjusted VaR In: Working Papers.
[Full Text][Citation analysis]
paper3
2013ESTIMATION-ADJUSTED VAR.(2013) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 3
article
2012Robust Portfolio Allocation with Systematic Risk Contribution Restrictions In: Working Papers.
[Full Text][Citation analysis]
paper4
2012Survival of Hedge Funds : Frailty vs Contagion In: Working Papers.
[Full Text][Citation analysis]
paper0
2013Survival of Hedge Funds: Frailty vs Contagion.(2013) In: Post-Print.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2013Explosive Bubble Modelling by Noncausal Process In: Working Papers.
[Full Text][Citation analysis]
paper2
2013Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives In: Working Papers.
[Full Text][Citation analysis]
paper0
2013Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers.
[Full Text][Citation analysis]
paper10
2013Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 10
article
2013Love and Death : A Freund Model with Frailty In: Working Papers.
[Full Text][Citation analysis]
paper4
2015Love and death: A Freund model with frailty.(2015) In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
2013Long Term Care and Longevity In: Working Papers.
[Full Text][Citation analysis]
paper0
2013Funding Liquidity Risk from A Regulatory Perspective In: Working Papers.
[Full Text][Citation analysis]
paper0
2013The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme In: Working Papers.
[Full Text][Citation analysis]
paper0
2013The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme In: Working Papers.
[Full Text][Citation analysis]
paper0
2013Procyclité des Régulations des Marchés Financiers In: Working Papers.
[Full Text][Citation analysis]
paper0
2014Filtering and Prediction in Noncausal Processes In: Working Papers.
[Full Text][Citation analysis]
paper1
2014Misspecification of Causal and Noncausal Orders in Autoregressive Processes In: Working Papers.
[Full Text][Citation analysis]
paper1
2014Revisiting Identification and estimation in Structural VARMA Models In: Working Papers.
[Full Text][Citation analysis]
paper3
2015Semi-Parametric Estimation of Noncausal Vector Autoregression In: Working Papers.
[Full Text][Citation analysis]
paper2
2015Statistical Inference for Independent Component Analysis In: Working Papers.
[Full Text][Citation analysis]
paper0
2016Robust Analysis of the Martingale Hypothesis In: Working Papers.
[Full Text][Citation analysis]
paper0
2016Structural Dynamic Analysis of Systematic Risk In: Working Papers.
[Full Text][Citation analysis]
paper0
2016Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers.
[Full Text][Citation analysis]
paper9
2017Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
2017Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
[Full Text][Citation analysis]
paper1
2016Composite Indirect Inference with Application to Corporate Risks In: Working Papers.
[Full Text][Citation analysis]
paper0
2016A Flexible State-Space Model with Application to Stochastic Volatility In: Working Papers.
[Full Text][Citation analysis]
paper0
2017Composite Indirect Inference with Application In: Working Papers.
[Full Text][Citation analysis]
paper0
2017Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers.
[Full Text][Citation analysis]
paper0
2018Negative Binomial Autoregressive Process In: Working Papers.
[Full Text][Citation analysis]
paper0
2018Negative Binomial Autoregressive Process.(2018) In: CEPN Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Negative Binomial Autoregressive Process.(2018) In: CEPN Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers.
[Full Text][Citation analysis]
paper0
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1997The Informational Content of Household Decisions In: Working Papers.
[Full Text][Citation analysis]
paper12
1997Dynamiques tronquées et estimation de modèles de diffusion In: Working Papers.
[Full Text][Citation analysis]
paper0
1997The Portfolio Composition of Households : A Scoring Analysis from French Data In: Working Papers.
[Full Text][Citation analysis]
paper0
1997Econometric Specification of the Risk Neutral Valuation Model In: Working Papers.
[Full Text][Citation analysis]
paper4
2000Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
article
1997Modèles de comptage semi-paramétriques In: Working Papers.
[Full Text][Citation analysis]
paper0
1997Modèles de comptage semi-paramétriques.(1997) In: L'Actualité Economique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
1997Truncated Dynamics and Estimation of DiffusionEquations In: Working Papers.
[Full Text][Citation analysis]
paper8
2001Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
article
2000Truncated dynamics and estimation of diffusion equations.(2000) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
1997An Econometric Analysis of Household Portfolio Allocation In: Working Papers.
[Full Text][Citation analysis]
paper2
1997Stochastic Volatility Duration Models In: Working Papers.
[Full Text][Citation analysis]
paper65
2004Stochastic volatility duration models.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65
article
1997Multiregime Term Structure Models In: Working Papers.
[Full Text][Citation analysis]
paper0
1997Multiregime Term Structure Models.(1997) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1998Matching Procedures and Market Characteristics In: Working Papers.
[Full Text][Citation analysis]
paper0
1998Evidence of Adverse Selection in Automobile Insurance Markets In: Working Papers.
[Full Text][Citation analysis]
paper16
1998Evidence of Adverse Selection in Automobile Insurance Markets.(1998) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
1998Evidence of Adverse Selection in Automobile Insurance Markets.(1998) In: Ecole des Hautes Etudes Commerciales de Montreal-.
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
1998Evidence of adverse selection in automobile insurance markets.(1998) In: THEMA Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 16
paper
1998Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers.
[Full Text][Citation analysis]
paper3
1998The Econometrics of Efficient Frontiers In: Working Papers.
[Full Text][Citation analysis]
paper1
1998Nonlinear Autocorrelograms : An Application to Intra-Trade Durations In: Working Papers.
[Full Text][Citation analysis]
paper1
1998Nonlinear Panel Data Models with Dynamic Heterogeneity In: Working Papers.
[Full Text][Citation analysis]
paper1
1998Kernel Based Nonlinear Canonical Analysis In: Working Papers.
[Full Text][Citation analysis]
paper1
1999Kernel Based Nonlinear Canonical Analysis..(1999) In: Toulouse - GREMAQ.
[Citation analysis]
This paper has another version. Agregated cites: 1
paper
2001Kernel Based Nonlinear Canonical Analysis.(2001) In: IDEI Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
1999Dynamic Factor Models In: Working Papers.
[Full Text][Citation analysis]
paper5
2001DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
1999Nonlinear Innovations and Impulse Response In: Working Papers.
[Full Text][Citation analysis]
paper9
1999Nonlinear Persistence and Copersistence In: Working Papers.
[Full Text][Citation analysis]
paper0
1999Nonlinear Persistence and Copersistence.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1987vérfication empirique de la rationalité des anticipations de la demande par les entreprises In: Discussion Papers (REL - Recherches Economiques de Louvain).
[Full Text][Citation analysis]
paper0
2000Econometrics of Qualitative Dependent Variables In: Cambridge Books.
[Citation analysis]
book59
2000Econometrics of Qualitative Dependent Variables.(2000) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 59
book
1995Statistics and Econometric Models In: Cambridge Books.
[Citation analysis]
book120
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 120
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 120
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 120
book
1997Time Series and Dynamic Models In: Cambridge Books.
[Citation analysis]
book54
1997Time Series and Dynamic Models.(1997) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 54
book
1995Statistics and Econometric Models 2 volume set In: Cambridge Books.
[Citation analysis]
book44
1995Testing, Encompassing, and Simulating Dynamic Econometric Models In: Econometric Theory.
[Full Text][Citation analysis]
article16
1985A General Approach to Serial Correlation In: Econometric Theory.
[Full Text][Citation analysis]
article29
1985Solutions of Linear Rational Expectations Models In: Econometric Theory.
[Full Text][Citation analysis]
article13
2006STOCHASTIC UNIT ROOT MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article11
1989A General Framework for Testing a Null Hypothesis in a “Mixed” Form In: Econometric Theory.
[Full Text][Citation analysis]
article14
2006Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper39
2010Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
article
1980Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica.
[Full Text][Citation analysis]
article10
1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
[Full Text][Citation analysis]
article44
1979Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 44
paper
1980Sufficient Linear Structures: Econometric Applications. In: Econometrica.
[Full Text][Citation analysis]
article7
1982Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters. In: Econometrica.
[Full Text][Citation analysis]
article94
1982Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica.
[Full Text][Citation analysis]
article36
1984Pseudo Maximum Likelihood Methods: Theory. In: Econometrica.
[Full Text][Citation analysis]
article370
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models. In: Econometrica.
[Full Text][Citation analysis]
article460
1985Rational Expectations Models and Bounded Memory. In: Econometrica.
[Full Text][Citation analysis]
article0
1986Learning Procedures and Convergence to Rationality. In: Econometrica.
[Full Text][Citation analysis]
article31
1989Testing for Common Roots. In: Econometrica.
[Full Text][Citation analysis]
article1
1998Instrumental Models and Indirect Encompassing In: Econometrica.
[Citation analysis]
article5
2011Discrete time Wishart term structure models In: Journal of Economic Dynamics and Control.
[Full Text][Citation analysis]
article11
1986Testing non-nested hypotheses In: Handbook of Econometrics.
[Full Text][Citation analysis]
chapter7
1980On the backward-forward procedure In: Economics Letters.
[Full Text][Citation analysis]
article0
2001Memory and infrequent breaks In: Economics Letters.
[Full Text][Citation analysis]
article52
1979On the characterization of a joint probability distribution by conditional distributions In: Journal of Econometrics.
[Full Text][Citation analysis]
article4
2006Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics.
[Full Text][Citation analysis]
article22
2007Econometric specification of stochastic discount factor models In: Journal of Econometrics.
[Full Text][Citation analysis]
article31
2007An efficient nonparametric estimator for models with nonlinear dependence In: Journal of Econometrics.
[Full Text][Citation analysis]
article7
2008Dynamic quantile models In: Journal of Econometrics.
[Full Text][Citation analysis]
article30
2006DYNAMIC QUANTILE MODELS.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 30
paper
2009The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]
article107
2005The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 107
paper
1981Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
1981Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics.
[Full Text][Citation analysis]
article6
2015Pricing with finite dimensional dependence In: Journal of Econometrics.
[Full Text][Citation analysis]
article5
2017Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
2017Double instrumental variable estimation of interaction models with big data In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
2018Misspecification of noncausal order in autoregressive processes In: Journal of Econometrics.
[Full Text][Citation analysis]
article3
1983Testing nested or non-nested hypotheses In: Journal of Econometrics.
[Full Text][Citation analysis]
article18
1984Specification pre-test estimator In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
1984Some theoretical results for generalized ridge regression estimators In: Journal of Econometrics.
[Full Text][Citation analysis]
article0
1987Simulated residuals In: Journal of Econometrics.
[Full Text][Citation analysis]
article21
1987Generalised residuals In: Journal of Econometrics.
[Full Text][Citation analysis]
article173
1992Qualitative threshold ARCH models In: Journal of Econometrics.
[Full Text][Citation analysis]
article60
1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
[Full Text][Citation analysis]
article109
1997Duration, transition and count data models Introduction In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
1997A count data model with unobserved heterogeneity In: Journal of Econometrics.
[Full Text][Citation analysis]
article9
1997Rank tests for unit roots In: Journal of Econometrics.
[Full Text][Citation analysis]
article36
1996Rank tests for unit roots.(1996) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
paper
1986Direct test of the rational expectation hypothesis In: European Economic Review.
[Full Text][Citation analysis]
article11
2005The econometrics of efficient portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article14
2008The ordered qualitative model for credit rating transitions In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article19
2006The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
paper
2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article8
2009L-performance with an application to hedge funds.(2009) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
2013Linear-price term structure models In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article1
1995Prepayment analysis for securitization In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article1
1999Econometrics of efficient fitted portfolios In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article7
1999Intra-day market activity In: Journal of Financial Markets.
[Full Text][Citation analysis]
article46
1999Intra-day market activity.(1999) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 46
paper
1997Unemployment insurance and mortgages In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article0
2004Heterogeneous INAR(1) model with application to car insurance In: Insurance: Mathematics and Economics.
[Full Text][Citation analysis]
article12
2005Migration correlation: Definition and efficient estimation In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article9
2010Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article15
2010Conditionally fitted Sharpe performance with an application to hedge fund rating.(2010) In: Post-Print.
[Citation analysis]
This paper has another version. Agregated cites: 15
paper
2012Granularity adjustment for default risk factor model with cohorts In: Journal of Banking & Finance.
[Full Text][Citation analysis]
article2
2009Managing hedonic housing price indexes: The French experience In: Journal of Housing Economics.
[Full Text][Citation analysis]
article7
2001Local Power Properties of Kernel Based Goodness of Fit Tests In: Journal of Multivariate Analysis.
[Full Text][Citation analysis]
article6
1998The informational content of household decisions with applications to insurance under adverse selection In: THEMA Working Papers.
[Citation analysis]
paper4
1998The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection.(1998) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
[Citation analysis]
This paper has another version. Agregated cites: 4
paper
1992Indirect Inference. In: Toulouse - GREMAQ.
[Citation analysis]
paper517
1993Indirect Inference..(1993) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 517
article
1996Actifs Financiers et Theorie de la Consommation. In: Toulouse - GREMAQ.
[Citation analysis]
paper0
1996Actifs financiers et theorie de la consommation..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
1996Actifs financiers et theorie de la consommation..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1996Calibrarion By Simulation for Small Sample Bias Correction. In: Toulouse - GREMAQ.
[Citation analysis]
paper2
2016Introduction to the special issue on recent developments in Financial Econometrics In: Post-Print.
[Citation analysis]
paper0
2014Contagion Analysis In The Banking Sector In: Post-Print.
[Full Text][Citation analysis]
paper1
2015The Dynamics of Hedge Fund Performance In: Post-Print.
[Citation analysis]
paper0
2015Performance fees and hedge fund return dynamics In: Post-Print.
[Citation analysis]
paper0
1998Effet des Modes de Négociation sur les Echanges In: Post-Print.
[Citation analysis]
paper6
1998Effet des modes de négociation sur les échanges.(1998) In: Revue Économique.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
1997Volatilités et mesures de risque In: Post-Print.
[Full Text][Citation analysis]
paper0
1980Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment. In: International Economic Review.
[Full Text][Citation analysis]
article0
1985The Aggregation of Commodities in Quantity Rationing Models. In: International Economic Review.
[Full Text][Citation analysis]
article5
2006Autoregressive gamma processes In: Journal of Forecasting.
[Full Text][Citation analysis]
article46
2004Infrequent Extreme Risks In: The Geneva Papers on Risk and Insurance Theory.
[Full Text][Citation analysis]
article1
2004Infrequent Extreme Risks.(2004) In: The Geneva Risk and Insurance Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
2003Aversion Analysis In: Cahiers de recherche.
[Full Text][Citation analysis]
paper4
2003Aversion Analysis.(2003) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
2008Converting Tail-VaR to VaR: An Econometric Study In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article0
2016The Tradability Premium on the S&P 500 Index In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article1
2007Positivity Conditions for a Bivariate Autoregressive Volatility Specification In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
article5
1981On the Problem of Missing Data in Linear Models In: Review of Economic Studies.
[Full Text][Citation analysis]
article22
1997Simulation-based Econometric Methods In: OUP Catalogue.
[Citation analysis]
book41
2017Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper.
[Full Text][Citation analysis]
paper0
1993Les transitions en économie. ; Les changements de prix en Russie dans les années vingt In: Économie et Prévision.
[Full Text][Citation analysis]
article0
1995Des mathématiques financières à la finance quantitative : Évolution récente des modèles mathématiques utilisés par les financiers In: Revue d'Économie Financière.
[Full Text][Citation analysis]
article0
2008Bon ou mauvais usage des notations In: Revue d'Économie Financière.
[Full Text][Citation analysis]
article0
2007Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Introductory Chapters.
[Full Text][Citation analysis]
chapter4
2015Introduction In: Introductory Chapters.
[Full Text][Citation analysis]
chapter1
2015The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Economics Books.
[Citation analysis]
book0
2015Financial Regulations and Procyclicality In: Bankers, Markets & Investors.
[Full Text][Citation analysis]
article0
1986Bulles spéculatives et transmission d’information sur le marché d’un bien stockable In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
1986Bulles spéculatives et transmission dinformation sur le marché dun bien stockable.(1986) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 0
paper
1988Fonctions de production représentatives de fonctions à complémentarité stricte In: L'Actualité Economique.
[Full Text][Citation analysis]
article1
1992Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat In: L'Actualité Economique.
[Full Text][Citation analysis]
article12
1994Création d’actifs financiers et remboursements anticipés In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
1997D’une analyse de variabilités à un modèle d’investissement des firmes In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
2003Économétrie de la finance : l’exemple du risque de crédit In: L'Actualité Economique.
[Full Text][Citation analysis]
article0
2017Nonparametric estimation of a scalar diffusion model from discrete time data: a survey In: Annals of Operations Research.
[Full Text][Citation analysis]
article0
2006Continuous Time Wishart Process for Stochastic Risk In: Econometric Reviews.
[Full Text][Citation analysis]
article23
2013Granularity Adjustment for Efficient Portfolios In: Econometric Reviews.
[Full Text][Citation analysis]
article0
2001Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment In: Journal of Political Economy.
[Full Text][Citation analysis]
article86
1989Speculative Bubbles and Exchange of Information on the Market of a Storable Good In: ULB Institutional Repository.
[Citation analysis]
paper1
1990Reduced Forms of Rational Expectations Models In: ULB Institutional Repository.
[Citation analysis]
paper11
1997Econométrie de la Finance: approches historiques In: ULB Institutional Repository.
[Citation analysis]
paper4
1985Solutions of Dynamic Linear Rational Expectations Models In: ULB Institutional Repository.
[Citation analysis]
paper11
2013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article1
2008CAR AND AFFINE PROCESSES In: World Scientific Book Chapters.
[Full Text][Citation analysis]
chapter0
1998Truncated maximum likelihood, goodness of fit tests and tail analysis In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
paper1

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated March, 4 2019. Contact: CitEc Team