christian s. gourieroux : Citation Profile


Are you christian s. gourieroux?

University of Toronto

30

H index

69

i10 index

4324

Citations

RESEARCH PRODUCTION:

137

Articles

203

Papers

12

Books

4

Chapters

EDITOR:

2

Books edited

RESEARCH ACTIVITY:

   39 years (1979 - 2018). See details.
   Cites by year: 110
   Journals where christian s. gourieroux has often published
   Relations with other researchers
   Recent citing documents: 167.    Total self citations: 80 (1.82 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo144
   Updated: 2021-02-20    RAS profile: 2018-09-12    
   Missing citations? Add them    Incorrect content? Let us know

Relations with other researchers


Works with:

Monfort, Alain (13)

Jasiak, Joann (6)

Zakoian, Jean-Michel (5)

Renne, Jean-Paul (4)

Lu, Yang (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:

Monfort, Alain (73)

Dionne, Georges (66)

Minford, A. Patrick (53)

Renault, Eric (43)

Pegoraro, Fulvio (38)

McAleer, Michael (35)

Sentana, Enrique (34)

Fiorentini, Gabriele (33)

Meenagh, David (31)

Veredas, David (31)

Calzolari, Giorgio (29)

Cites to:

Monfort, Alain (59)

Jasiak, Joann (47)

Engle, Robert (35)

Duffie, Darrell (28)

darolles, serge (25)

Scaillet, Olivier (24)

Ghysels, Eric (23)

Singleton, Kenneth (21)

Hansen, Lars (19)

Granger, Clive (19)

Jarrow, Robert (18)

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'Actualité Economique7
Journal of Empirical Finance7
Journal of Time Series Analysis4
Insurance: Mathematics and Economics4
Journal of Banking & Finance4
Econometric Reviews3
Economics Letters3
Revue d'Économie Financière2
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
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles6
Working Papers / York University, Department of Economics4
MPRA Paper / University Library of Munich, Germany4
Swiss Finance Institute Research Paper Series / Swiss Finance Institute4
THEMA Working Papers / THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise3
LIDAM Discussion Papers IRES / Université 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 (2021 and 2020)


YearTitle of citing document
2020Structural Estimation of a Gravity Model of Trade with the Constant-Difference-of-Elasticities Preferences. (2020). Yang, Anton C. In: 2020 Annual Meeting, July 26-28, Kansas City, Missouri. RePEc:ags:aaea20:304636.

Full description at Econpapers || Download paper

2020Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving. (2020). Lu, Yang ; Denuit, Michel. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020016.

Full description at Econpapers || Download paper

2020Dynamic score driven independent component analysis. (2020). Hafner, Christian ; Herwartz, Helmut. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2020031.

Full description at Econpapers || Download paper

2020Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091.

Full description at Econpapers || Download paper

2020Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372.

Full description at Econpapers || Download paper

2020Time 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

2020Subgeometrically ergodic autoregressions. (2019). Saikkonen, Pentti ; Meitz, Mika. In: Papers. RePEc:arx:papers:1904.07089.

Full description at Econpapers || Download paper

2020Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations. (2019). Hofert, Marius ; Koike, Takaaki. In: Papers. RePEc:arx:papers:1909.11794.

Full description at Econpapers || Download paper

2020Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model. (2019). Zhang, Yunbo ; Drapeau, Samuel . In: Papers. RePEc:arx:papers:1910.08344.

Full description at Econpapers || Download paper

2020The Laplace transform of the integrated Volterra Wishart process. (2019). Jaber, Eduardo Abi. In: Papers. RePEc:arx:papers:1911.07719.

Full description at Econpapers || Download paper

2021Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games. (2019). Blevins, Jason ; Dearing, Adam. In: Papers. RePEc:arx:papers:1912.10488.

Full description at Econpapers || Download paper

2020Frequentist Shrinkage under Inequality Constraints. (2020). Bakhitov, Edvard. In: Papers. RePEc:arx:papers:2001.10586.

Full description at Econpapers || Download paper

2020Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures. (2020). Li, Jonathan Yumeng ; Delage, Erick ; Marzban, Saeed . In: Papers. RePEc:arx:papers:2002.02876.

Full description at Econpapers || Download paper

2020Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346.

Full description at Econpapers || Download paper

2020The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04369.

Full description at Econpapers || Download paper

2020Forecasting Realized Volatility Matrix With Copula-Based Models. (2020). Tao, Minjing ; Wang, Wenjing. In: Papers. RePEc:arx:papers:2002.08849.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Rationalizing Rational Expectations? Tests and Deviations. (2020). Maurel, Arnaud ; D'Haultfoeuille, Xavier ; Gaillac, Christophe. In: Papers. RePEc:arx:papers:2003.11537.

Full description at Econpapers || Download paper

2020Microeconometrics with Partial Identification. (2020). Molinari, Francesca. In: Papers. RePEc:arx:papers:2004.11751.

Full description at Econpapers || Download paper

2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

Full description at Econpapers || Download paper

2021Contingent Convertible Obligations and Financial Stability. (2020). Hurd, T R ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2006.01037.

Full description at Econpapers || Download paper

2020Approximate Maximum Likelihood for Complex Structural Models. (2020). Frazier, David T ; Czellar, Veronika ; Renault, Eric. In: Papers. RePEc:arx:papers:2006.10245.

Full description at Econpapers || Download paper

2020Optimal Hedging in Incomplete Markets. (2020). Hughston, Lane P ; Bouzianis, George. In: Papers. RePEc:arx:papers:2006.12989.

Full description at Econpapers || Download paper

2020Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727.

Full description at Econpapers || Download paper

2020The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804.

Full description at Econpapers || Download paper

2020Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk. (2020). Kim, Young Shin. In: Papers. RePEc:arx:papers:2007.13972.

Full description at Econpapers || Download paper

2021Optimal Network Compression. (2020). Feinstein, Zachary ; Amini, Hamed. In: Papers. RePEc:arx:papers:2008.08733.

Full description at Econpapers || Download paper

2020The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146.

Full description at Econpapers || Download paper

2020Filtering the intensity of public concern from social media count data with jumps. (2020). , Carlo ; Iacopini, Matteo. In: Papers. RePEc:arx:papers:2012.13267.

Full description at Econpapers || Download paper

2021COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422.

Full description at Econpapers || Download paper

2020Energy costs and competitiveness in Europe. (2020). Mistretta, Alessandro ; FAIELLA, IVAN. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1259_20.

Full description at Econpapers || Download paper

2020Securities cross-holding in the Colombian financial system: A topological approach. (2020). León, Carlos ; Miguelez, Javier ; Leon, Carlos. In: Borradores de Economia. RePEc:bdr:borrec:1134.

Full description at Econpapers || Download paper

2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Working Papers. RePEc:bfi:wpaper:2020-69.

Full description at Econpapers || Download paper

2020A Markov‐switching analysis of Nigerias business cycles: Are election cycles important?. (2020). Olakojo, Solomon. In: African Development Review. RePEc:bla:afrdev:v:32:y:2020:i:1:p:67-79.

Full description at Econpapers || Download paper

2020SOCIAL INVESTMENT AND YOUTH LABOR MARKET PARTICIPATION. (2020). Giannetti, Caterina ; Ecchia, Giulio ; Gagliardi, Francesca. In: Contemporary Economic Policy. RePEc:bla:coecpo:v:38:y:2020:i:2:p:343-358.

Full description at Econpapers || Download paper

2020Market Power and Patent Strategies: Evidence from Renaissance Venice. (2020). graziano, clara ; Galasso, Alberto ; Comino, Stefano. In: Journal of Industrial Economics. RePEc:bla:jindec:v:68:y:2020:i:2:p:226-269.

Full description at Econpapers || Download paper

2020Estimating the probability of default for no‐default and low‐default portfolios. (2020). Blumke, Oliver. In: Journal of the Royal Statistical Society Series C. RePEc:bla:jorssc:v:69:y:2020:i:1:p:89-107.

Full description at Econpapers || Download paper

2020Asymmetric Information in Automobile Insurance: Evidence From Driving Behavior. (2020). Muermann, Alexander ; Kremslehner, Daniela ; Geyer, Alois . In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:87:y:2020:i:4:p:969-995.

Full description at Econpapers || Download paper

2020Robust estimation of stationary continuous‐time arma models via indirect inference. (2020). Kimmig, Sebastian ; Fasenhartmann, Vicky. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:41:y:2020:i:5:p:620-651.

Full description at Econpapers || Download paper

2020Overeducation and overskilling in the early careers of PhD graduates: Does international migration reduce labour market mismatch?. (2020). Grassi, Emanuele ; Ghosh, Sucharita. In: Papers in Regional Science. RePEc:bla:presci:v:99:y:2020:i:4:p:915-944.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System. (2020). Edenhofer, Ottmar ; Friedrich, Marina ; Pahle, Michael ; Fries, Sebastien . In: CESifo Working Paper Series. RePEc:ces:ceswps:_8637.

Full description at Econpapers || Download paper

2020Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions. (2020). Sentana, Enrique ; Fiorentini, Gabriele. In: Working Papers. RePEc:cmf:wpaper:wp2020_2023.

Full description at Econpapers || Download paper

2020Unbundling Polarization. (2020). Trebbi, Francesco ; Kendall, Chad ; Canen, Nathan. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14291.

Full description at Econpapers || Download paper

2020A simple unit root test consistent against any stationary alternative. (2020). Guay, Alain ; Bec, Frdric. In: Working Papers. RePEc:crs:wpaper:2020-28.

Full description at Econpapers || Download paper

2020Robust Identification of Investor Beliefs. (2020). Hansen, Peter G ; Chen, Xiaohong. In: Cowles Foundation Discussion Papers. RePEc:cwl:cwldpp:2236.

Full description at Econpapers || Download paper

2020Information and Communication Technology and Intra-Regional Trade in the Economic Community of West African States: Ambivalent or Complementary?. (2020). Nguenkwe, Ronie Bertrand ; Epo, Boniface Ngah. In: Economics Bulletin. RePEc:ebl:ecbull:eb-19-01114.

Full description at Econpapers || Download paper

2020An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators. (2020). Melard, Guy. In: Working Papers ECARES. RePEc:eca:wpaper:2013/304272.

Full description at Econpapers || Download paper

2020The construction of high-speed railway and urban innovation capacity: Based on the perspective of knowledge Spillover. (2020). Cai, Siyuan ; Wang, Jiating. In: China Economic Review. RePEc:eee:chieco:v:63:y:2020:i:c:s1043951x2030136x.

Full description at Econpapers || Download paper

2020Institutional investors and post-ICO performance: an empirical analysis of investor returns in initial coin offerings (ICOs). (2020). Momtaz, Paul P ; Fisch, Christian. In: Journal of Corporate Finance. RePEc:eee:corfin:v:64:y:2020:i:c:s0929119920301231.

Full description at Econpapers || Download paper

2020A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978.

Full description at Econpapers || Download paper

2020A consistent stochastic model of the term structure of interest rates for multiple tenors. (2020). Schlogl, Erik ; Grasselli, Martino ; Alfeus, Mesias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300312.

Full description at Econpapers || Download paper

2020CDS Returns. (2020). Xu, Haohua ; Saleh, Fahad ; Augustin, Patrick. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301457.

Full description at Econpapers || Download paper

2020Short-run risk, business cycle, and the value premium. (2020). Leippold, Markus ; He, Yunhao. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:120:y:2020:i:c:s0165188920301615.

Full description at Econpapers || Download paper

2020Implied risk aversion and pricing kernel in the FTSE 100 index. (2020). Sung, Hao-Chang ; Ju, Wen. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302092.

Full description at Econpapers || Download paper

2020Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness. (2020). Jang, Hyun Jin ; Choi, So Eun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940818302973.

Full description at Econpapers || Download paper

2020Water Resources as Determinants for Foreign Direct Investments in Land - A Gravity Analysis of Foreign Land Acquisitions. (2020). Hirsch, Cornelius ; See, Linda ; Krisztin, Tamas. In: Ecological Economics. RePEc:eee:ecolec:v:170:y:2020:i:c:s0921800919304252.

Full description at Econpapers || Download paper

2020Semiparametric quasi maximum likelihood estimation of the fractional response model. (2020). Montoya-Blandón, Santiago ; Jacho-Chávez, David ; Jacho-Chavez, David T ; Montoya-Blandon, Santiago. In: Economics Letters. RePEc:eee:ecolet:v:186:y:2020:i:c:s0165176519303866.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2020On the consistency of the logistic quasi-MLE under conditional symmetry. (2020). Wooldridge, Jeffrey M. In: Economics Letters. RePEc:eee:ecolet:v:194:y:2020:i:c:s0165176520302317.

Full description at Econpapers || Download paper

2020Non-standard inference for augmented double autoregressive models with null volatility coefficients. (2020). Zhu, Ke ; Li, Dong ; Jiang, Feiyu. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:165-183.

Full description at Econpapers || Download paper

2020Determining individual or time effects in panel data models. (2020). Su, Liangjun ; Lu, Xun. In: Journal of Econometrics. RePEc:eee:econom:v:215:y:2020:i:1:p:60-83.

Full description at Econpapers || Download paper

2020Noncausal vector AR processes with application to economic time series. (2020). Song, LI ; Davis, Richard A. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:246-267.

Full description at Econpapers || Download paper

2020Threshold factor models for high-dimensional time series. (2020). Chen, Rong ; Liu, Xialu. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:1:p:53-70.

Full description at Econpapers || Download paper

2020Option market trading activity and the estimation of the pricing kernel: A Bayesian approach. (2020). Fusari, Nicola ; Barone-Adesi, Giovanni ; Sala, Carlo ; Mira, Antonietta. In: Journal of Econometrics. RePEc:eee:econom:v:216:y:2020:i:2:p:430-449.

Full description at Econpapers || Download paper

2020The leverage effect puzzle revisited: Identification in discrete time. (2020). Khrapov, Stanislav ; Han, Hyojin ; Renault, Eric. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:230-258.

Full description at Econpapers || Download paper

2020Inference in second-order identified models. (2020). Kleibergen, Frank ; Hall, Alastair R ; Dovonon, Prosper. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:346-372.

Full description at Econpapers || Download paper

2020Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels. (2020). Saunders, Charles J ; Khalaf, Lynda. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:419-434.

Full description at Econpapers || Download paper

2020Inference of local regression in the presence of nuisance parameters. (2020). Xu, Ke-Li. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:532-560.

Full description at Econpapers || Download paper

2020Stationary bubble equilibria in rational expectation models. (2020). Monfort, Alain ; Jasiak, J ; Gourieroux, C. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:714-735.

Full description at Econpapers || Download paper

2020A Simple R-estimation method for semiparametric duration models. (2020). la Vecchia, Davide ; Hallin, Marc. In: Journal of Econometrics. RePEc:eee:econom:v:218:y:2020:i:2:p:736-749.

Full description at Econpapers || Download paper

2020Score tests in GMM: Why use implied probabilities?. (2020). Renault, Eric ; Chaudhuri, Saraswata. In: Journal of Econometrics. RePEc:eee:econom:v:219:y:2020:i:2:p:260-280.

Full description at Econpapers || Download paper

2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

Full description at Econpapers || Download paper

2020Identification of independent structural shocks in the presence of multiple Gaussian components. (2020). Maxand, Simone. In: Econometrics and Statistics. RePEc:eee:ecosta:v:16:y:2020:i:c:p:55-68.

Full description at Econpapers || Download paper

2020The effect of monetary policy on bank competition using the Boone index. (2020). Glass, Anthony J ; Weyman-Jones, Thomas ; Kenjegalieva, Karligash. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1070-1087.

Full description at Econpapers || Download paper

2020Uncovering spatial productivity centers using asymmetric bidirectional spillovers. (2020). Kenjegalieva, Karligash ; Glass, Anthony J ; Douch, Mustapha. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:2:p:767-788.

Full description at Econpapers || Download paper

2020Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default. (2020). Andreeva, Galina ; Crook, Jonathan ; Wang, Zheqi. In: European Journal of Operational Research. RePEc:eee:ejores:v:287:y:2020:i:2:p:725-738.

Full description at Econpapers || Download paper

2021A data-driven framework for consistent financial valuation and risk measurement. (2021). Kirkby, Lars J ; Cui, Zhenyu ; Nguyen, Duy. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:1:p:381-398.

Full description at Econpapers || Download paper

2021Probabilistic sensitivity measures as information value. (2021). Plischke, Elmar ; Richmond, Victor ; Hazen, Gordon B ; Borgonovo, Emanuele. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:595-610.

Full description at Econpapers || Download paper

2020Factor state–space models for high-dimensional realized covariance matrices of asset returns. (2020). Gribisch, Bastian ; Liesenfeld, Roman ; Hartkopf, Jan Patrick. In: Journal of Empirical Finance. RePEc:eee:empfin:v:55:y:2020:i:c:p:1-20.

Full description at Econpapers || Download paper

2020Public Procurement of Innovation: Evidence from a German Legislative Reform. (2020). Hünermund, Paul ; Czarnitzki, Dirk ; Moshgbar, Nima ; Hunermund, Paul. In: International Journal of Industrial Organization. RePEc:eee:indorg:v:71:y:2020:i:c:s0167718720300436.

Full description at Econpapers || Download paper

2020Ratings matter: Announcements in times of crisis and the dynamics of stock markets. (2020). Rosati, Nicoletta ; Bellia, Mario ; Oliveira, Vasco ; Matos, Pedro Verga. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:64:y:2020:i:c:s1042443119300460.

Full description at Econpapers || Download paper

2020Modelling extremal dependence for operational risk by a bipartite graph. (2020). Paterlini, Sandra ; Kluppelberg, Claudia ; Kley, Oliver. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:117:y:2020:i:c:s0378426620301217.

Full description at Econpapers || Download paper

2021International stochastic discount factors and covariance risk. (2021). Muck, Matthias ; Herold, Michael ; Branger, Nicole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s037842662030279x.

Full description at Econpapers || Download paper

2020Insurance as a lemons market: Coverage denials and pooling. (2020). Schlee, Edward ; Chade, Hector. In: Journal of Economic Theory. RePEc:eee:jetheo:v:189:y:2020:i:c:s0022053120300806.

Full description at Econpapers || Download paper

2020Changing attitudes to risk at older ages: The role of health and other life events. (2020). Mammi, Irene ; Bassoli, Elena ; Banks, James. In: Journal of Economic Psychology. RePEc:eee:joepsy:v:79:y:2020:i:c:s0167487018307311.

Full description at Econpapers || Download paper

2020Incorporating stochastic correlations into mining project evaluation using the Jacobi process. (2020). Kumral, Mustafa ; Ardian, Aldin. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719306191.

Full description at Econpapers || Download paper

2020The Matthew effect of a journals ranking. (2020). Drivas, Kyriakos ; Kremmydas, Dimitris. In: Research Policy. RePEc:eee:respol:v:49:y:2020:i:4:s0048733320300317.

Full description at Econpapers || Download paper

2020Firm ownership, quality of government and innovation: Evidence from patenting in the telecommunication industry. (2020). Florio, Massimo ; Clo, Stefano ; Rentocchini, Francesco. In: Research Policy. RePEc:eee:respol:v:49:y:2020:i:5:s0048733320300408.

Full description at Econpapers || Download paper

2021Neither at the cutting edge nor in a patent-friendly environment: Appropriating the returns from innovation in a less developed economy. (2021). Barros, Henrique M. In: Research Policy. RePEc:eee:respol:v:50:y:2021:i:1:s0048733320301724.

Full description at Econpapers || Download paper

2020Choking under pressure in archery. (2020). Castagnetti, Alessandro ; Bucciol, Alessandro. In: Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics). RePEc:eee:soceco:v:89:y:2020:i:c:s221480432030080x.

Full description at Econpapers || Download paper

2020Geometric ergodicity of affine processes on cones. (2020). Vestweber, Johanna ; Stelzer, Robert ; Mayerhofer, Eberhard. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4141-4173.

Full description at Econpapers || Download paper

2020Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire. (2020). Mostovyi, Oleksii. In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:130:y:2020:i:7:p:4444-4469.

Full description at Econpapers || Download paper

2020Nonperforming loans and competing rules of monetary policy: A statistical identification approach. (2020). Moneta, Alessio ; Lopreite, Milena ; Califano, Andrea ; Brancaccio, Emiliano. In: Structural Change and Economic Dynamics. RePEc:eee:streco:v:53:y:2020:i:c:p:127-136.

Full description at Econpapers || Download paper

2020Corporate financial leverage and M&As choices: Evidence from the shipping industry. (2020). Alexandridis, George ; Visvikis, Ilias ; Gulnur, Arman ; Antypas, Nikolaos. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519308804.

Full description at Econpapers || Download paper

2020A simple unit root test consistent against any stationary alternative. (2020). Bec, Frédérique ; Guay, Alain. In: THEMA Working Papers. RePEc:ema:worpap:2020-10.

Full description at Econpapers || Download paper

2020A Matter of Perspective: Mapping Linear Rational Expectations Models into Finite-Order VAR Form. (2020). Martínez García, Enrique ; Martinez-Garcia, Enrique. In: Globalization Institute Working Papers. RePEc:fip:feddgw:88096.

Full description at Econpapers || Download paper

2020Simultaneous Indirect Inference, Impulse Responses and ARMA Models. (2020). Lopez, Beatriz Peraza ; Khalaf, Lynda. In: Econometrics. RePEc:gam:jecnmx:v:8:y:2020:i:2:p:12-:d:340306.

Full description at Econpapers || Download paper

2020An Alternative Pricing System through Bayesian Estimates and Method of Moments in a Bonus-Malus Framework for the Ghanaian Auto Insurance Market. (2020). Wu, Zhao ; Jacob, Azaare. In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:7:p:143-:d:380011.

Full description at Econpapers || Download paper

2020Temporal Aggregation and Long Memory for Asset Price Volatility. (2020). Perron, Pierre ; Shi, Wendong . In: Journal of Risk and Financial Management. RePEc:gam:jjrfmx:v:13:y:2020:i:8:p:182-:d:399544.

Full description at Econpapers || Download paper

2020Stochastic Mortality Modelling for Dependent Coupled Lives. (2020). Pamen, Olivier Menoukeu ; Constantinescu, Corina ; Henshaw, Kira. In: Risks. RePEc:gam:jrisks:v:8:y:2020:i:1:p:17-:d:319039.

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
1987Agrégation de processus autoregressifs dordre 1.(1987) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
paper
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]
article2
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]
article10
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]
article37
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]
paper2
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: 2
paper
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
[Full Text][Citation analysis]
paper32
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 32
article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
[Full Text][Citation analysis]
paper8
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
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]
article6
2016Local Explosion Modelling by Noncausal Process.(2016) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
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]
article25
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]
article12
1998Mean‐Variance Hedging and Numéraire In: Mathematical Finance.
[Full Text][Citation analysis]
article31
1996Mean-variance hedging and numeraire.(1996) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31
paper
2009Efficiency in Large Dynamic Panel Models with Common Factor In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper11
2010Efficiency in Large Dynamic Panel Models with Common Factor.(2010) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
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: 11
article
2010Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]
paper29
2004Efficient Derivative Pricing by Extended Method of Moments.(2004) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 29
paper
2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
[Citation analysis]
This paper has another version. Agregated cites: 29
article
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: 29
paper
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]
paper22
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: 22
paper
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 22
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]
paper1
1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
[Full Text][Citation analysis]
paper8
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 8
paper
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
[Citation analysis]
This paper has another version. Agregated cites: 8
paper
1991Computation of multipliers in multivariate rational expectations models. In: LIDAM Discussion Papers CORE.
[Citation analysis]
paper2
1993Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method In: LIDAM Discussion Papers CORE.
[Full Text][Citation analysis]
paper0
1999Bartlett identities tests In: LIDAM Discussion Papers CORE.
[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: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7
paper
1995Solutions of multivariate rational expectations models In: LIDAM Reprints CORE.
[Full Text][Citation analysis]
paper19
1995Solutions of multivariate Rational Expectations Models.(1995) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19
article
1995Solutions of Multivariate Rational Expectations Models.(1995) In: ULB Institutional Repository.
[Citation analysis]
This paper has another version. Agregated cites: 19
paper
1998Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators In: LIDAM Reprints CORE.
[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
1981Pseudo maximum likelihood methods : theory In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper421
1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 421
article
1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper531
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 531
article
1982Some theoretical results for generalized ridge regression estimators In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper1
1984Some theoretical results for generalized ridge regression estimators.(1984) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 1
article
1982Asymptotic comparison of tests for non-nested hypotheses by bahadurs a.r.e In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1982Revision adaptative des anticipations et convergence vers les anticipations rationnelles In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1982Estimation and test in probit models with serial correlation In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper1
1983The agregation of commodities in quantity rationing models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper5
1985The Aggregation of Commodities in Quantity Rationing Models..(1985) In: International Economic Review.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 5
article
1983Rational expectations models and bounded memory In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1985Rational Expectations Models and Bounded Memory..(1985) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
article
1983Modèles a anticipations rationnelles apprentissage par regression In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1983Direct test of the rational expectations hypothesis (with special attention to qualitative variables) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1984Learning procedure and convergence to rationality In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper36
1986Learning Procedures and Convergence to Rationality..(1986) In: Econometrica.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 36
article
1984Solutions of dynamic linear rational expectations models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper14
1985Solutions of Dynamic Linear Rational Expectations Models.(1985) In: ULB Institutional Repository.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 14
paper
1984General approach of serial correlation (a). In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper33
1985A General Approach to Serial Correlation.(1985) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 33
article
1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper21
1987Simulated residuals.(1987) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 21
article
1985Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1985Vérification empirique de deux schémas danticipation adaptatif et rationnel In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1986Reduction and identification of simultaneous equations models with rational expectations In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1986Approche géométrique des processus arma (une) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1986Strong concentration ordering. In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1986Identification & consistent estimation of multi-variate linear models with rational expectations of current variables In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper1
1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1987Functional averages and statistical inference In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1987Contraintes linéaires mixtes In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1987Heterogeneity and hazard dominance in duration data models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper2
1987Court et long-terme dans les modèles de durée. In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1988Functional limit theorem for fractional processes (a). In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1988Hétérogénéité dans les modèles à représentation linéaire. In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper1
1988Hétérogénéité/i/cas linéaire (le) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1988Hétérogénéité/ii/etude de biais (sous lhypothèse dexogénéité faible) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1989Detecting a long run relationship (with an application to the p.p.p. hypothesis) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1990Sélection de clientèle et tarification de prêt bancaire In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1991Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper65
1992Qualitative threshold ARCH models.(1992) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 65
article
1991Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1991Transitions in economy : price changes in russia in the twenties In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1991Modèles de durée et effets de génération In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1992Quantité de monnaie (la) : russie, les années 1918-1927 In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1993Modèles linéaires à facteurs et structure à terme des taux dintérêt In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1993Prévision de mesures de prix contingents In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1993Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper1
1994Kernel m-estimators : non parametric diagnostics for structural models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1994Testing, encompassing and simulating dynamic econometric models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper18
1995Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 18
article
1994Multivariate distributions for limited dependent variable models In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1994Estimation of the term structure from bond data In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1994Modèles économétriques : utilisation et interprétation (les) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1995Comparison of Kernel estimator based goodness of fit tests (a) In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1997Econometric specification of the risk neutral valuation model In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper4
1997Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 4
paper
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
1997Modes de négociation et caractéristiques de marché In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1997Composition des portefeuilles des ménages: une analyse scores sur données françaises In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper0
1999Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]
paper9
1999Nonlinear Innovations and Impulse Response.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
paper
1999Nonlinear persistence and copersistence In: CEPREMAP Working Papers (Couverture Orange).
[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
1999Nonlinear Persistence and Copersistence.(1999) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 0
paper
2000Sensitivity Analysis of Values at Risk In: Working Papers.
[Full Text][Citation analysis]
paper108
2000Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108
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: 108
paper
2000Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 108
article
2000Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 108
paper
2000Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers.
[Full Text][Citation analysis]
paper9
2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 9
article
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
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]
paper16
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]
paper15
2004Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk In: Working Papers.
[Full Text][Citation analysis]
paper8
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]
paper15
2005International Money and Stock Market Contingent Claims In: Working Papers.
[Full Text][Citation analysis]
paper6
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: 6
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]
paper22
2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22
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]
paper5
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]
paper3
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: 3
article
2012Estimation Adjusted VaR In: Working Papers.
[Full Text][Citation analysis]
paper6
2013ESTIMATION-ADJUSTED VAR.(2013) In: Econometric Theory.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
2012Robust Portfolio Allocation with Systematic Risk Contribution Restrictions In: Working Papers.
[Full Text][Citation analysis]
paper6
2012Survival of Hedge Funds : Frailty vs Contagion In: Working Papers.
[Full Text][Citation analysis]
paper3
2013Explosive Bubble Modelling by Noncausal Process In: Working Papers.
[Full Text][Citation analysis]
paper3
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]
paper13
2013Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 13
article
2013Love and Death : A Freund Model with Frailty In: Working Papers.
[Full Text][Citation analysis]
paper5
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: 5
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]
paper1
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]
paper25
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: 25
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: 25
article
2016Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers.
[Full Text][Citation analysis]
paper2
2016Composite Indirect Inference with Application to Corporate Risks In: Working Papers.
[Full Text][Citation analysis]
paper1
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]
paper2
2018Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 2
paper
1997The Informational Content of Household Decisions In: Working Papers.
[Full Text][Citation analysis]
paper13
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
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]
paper11
2001Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 11
article
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]
paper72
2004Stochastic volatility duration models.(2004) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 72
article
1997Multiregime Term Structure Models In: Working Papers.
[Full Text][Citation analysis]
paper0
1997Multiregime Term Structure Models.(1997) In: LIDAM Discussion Papers IRES.
[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]
paper18
1998Evidence of adverse selection in automobile insurance markets.(1998) In: THEMA Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 18
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: 18
paper
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: 18
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]
paper4
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]
paper6
2001DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 6
article
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]
paper1
2000Econometrics of Qualitative Dependent Variables In: Cambridge Books.
[Citation analysis]
book65
2000Econometrics of Qualitative Dependent Variables.(2000) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 65
book
1995Statistics and Econometric Models In: Cambridge Books.
[Citation analysis]
book127
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 127
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 127
book
1995Statistics and Econometric Models.(1995) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 127
book
1997Time Series and Dynamic Models In: Cambridge Books.
[Citation analysis]
book60
1997Time Series and Dynamic Models.(1997) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 60
book
1995Statistics and Econometric Models 2 volume set In: Cambridge Books.
[Citation analysis]
book55
1985Solutions of Linear Rational Expectations Models In: Econometric Theory.
[Full Text][Citation analysis]
article14
2006STOCHASTIC UNIT ROOT MODELS In: Econometric Theory.
[Full Text][Citation analysis]
article12
1989A General Framework for Testing a Null Hypothesis in a “Mixed” Form In: Econometric Theory.
[Full Text][Citation analysis]
article15
2006Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers.
[Full Text][Citation analysis]
paper50
2010Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 50
article
1980Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica.
[Full Text][Citation analysis]
article13
1980Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica.
[Full Text][Citation analysis]
article54
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: 54
paper
1980Sufficient Linear Structures: Econometric Applications. In: Econometrica.
[Full Text][Citation analysis]
article8
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]
article101
1982Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica.
[Full Text][Citation analysis]
article40
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]
article58
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]
article25
2007Econometric specification of stochastic discount factor models In: Journal of Econometrics.
[Full Text][Citation analysis]
article33
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]
article39
2006DYNAMIC QUANTILE MODELS.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 39
paper
2009The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics.
[Full Text][Citation analysis]
article126
2005The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 126
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]
article7
1981Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics.
[Full Text][Citation analysis]
article8
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]
article4
2017Double instrumental variable estimation of interaction models with big data In: Journal of Econometrics.
[Full Text][Citation analysis]
article1
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]
article19
1984Specification pre-test estimator In: Journal of Econometrics.
[Full Text][Citation analysis]
article2
1987Generalised residuals In: Journal of Econometrics.
[Full Text][Citation analysis]
article189
1993Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics.
[Full Text][Citation analysis]
article124
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]
article10
1997Rank tests for unit roots In: Journal of Econometrics.
[Full Text][Citation analysis]
article40
1996Rank tests for unit roots.(1996) In: SFB 373 Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 40
paper
1986Direct test of the rational expectation hypothesis In: European Economic Review.
[Full Text][Citation analysis]
article13
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]
article25
2006The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 25
paper
2009L-performance with an application to hedge funds In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article12
2013Linear-price term structure models In: Journal of Empirical Finance.
[Full Text][Citation analysis]
article3
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]
article52
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]
article17
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
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]
article9
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]
paper522
1993Indirect Inference..(1993) In: Journal of Applied Econometrics.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 522
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
1980Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment. In: International Economic Review.
[Full Text][Citation analysis]
article0
2006Autoregressive gamma processes In: Journal of Forecasting.
[Full Text][Citation analysis]
article60
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]
book50
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
1998Effet des modes de négociation sur les échanges In: Revue Économique.
[Full Text][Citation analysis]
article6
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]
chapter0
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.
[Full Text][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]
article2
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]
article28
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]
article101
1989Speculative Bubbles and Exchange of Information on the Market of a Storable Good In: ULB Institutional Repository.
[Citation analysis]
paper2
1990Reduced Forms of Rational Expectations Models In: ULB Institutional Repository.
[Full Text][Citation analysis]
paper13
1997Econométrie de la Finance: approches historiques In: ULB Institutional Repository.
[Citation analysis]
paper5
2013ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF).
[Full Text][Citation analysis]
article5
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 November, 2 2021. Contact: CitEc Team