christian s. gourieroux : Citation Profile


Are you christian s. gourieroux?

University of Toronto

24

H index

49

i10 index

2943

Citations

RESEARCH PRODUCTION:

94

Articles

167

Papers

1

Books

2

Chapters

RESEARCH ACTIVITY:

   34 years (1979 - 2013). See details.
   Cites by year: 86
   Journals where christian s. gourieroux has often published
   Relations with other researchers
   Recent citing documents: 139.    Total self citations: 37 (1.24 %)

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   Permalink: http://citec.repec.org/pgo144
   Updated: 2017-03-25    RAS profile: 2013-06-04    
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Relations with other researchers


Works with:

Monfort, Alain (5)

Dubecq, Simon (3)

Gagliardini, Patrick (2)

Jasiak, Joann (2)

Héam, Jean-Cyprien (2)

Zakoian, Jean-Michel (2)

darolles, serge (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 (64)

Dionne, Georges (55)

Minford, A. Patrick (52)

Renault, Eric (37)

Pegoraro, Fulvio (34)

Meenagh, David (31)

Veredas, David (29)

Calzolari, Giorgio (28)

Santos Silva, João (23)

McAleer, Michael (23)

Asai, Manabu (23)

Cites to:

Monfort, Alain (25)

Engle, Robert (21)

Jasiak, Joann (21)

Ghysels, Eric (20)

Renault, Eric (12)

Singleton, Kenneth (11)

Granger, Clive (11)

Duffie, Darrell (10)

Tauchen, George (10)

Diebold, Francis (10)

Hansen, Lars (9)

Main data


Where christian s. gourieroux has published?


Journals with more than one article published# docs
Journal of Econometrics24
Econometrica12
L'Actualit Economique7
Journal of Empirical Finance6
Econometric Theory6
Journal of Financial Econometrics4
Econometric Reviews3
Economics Letters3
Insurance: Mathematics and Economics3
Journal of Banking & Finance3
Revue d'conomie Financire2
International Economic Review2
Journal of Time Series Analysis2

Working Papers Series with more than one paper published# docs
Working Papers / Centre de Recherche en Economie et Statistique64
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles6
Working Papers / York University, Department of Economics4
Swiss Finance Institute Research Paper Series / Swiss Finance Institute3
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise3
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

Recent works citing christian s. gourieroux (2017 and 2016)


YearTitle of citing document
2016Contagion in Financial Networks. (2016). Glasserman, Paul ; Young, Peyton H. In: Journal of Economic Literature. RePEc:aea:jeclit:v:54:y:2016:i:3:p:779-831.

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2016Pixel Level Cropland Allocation and Marginal Impacts of Biophysical Factors. (2016). Villoria, Nelson ; Song, Jingyu ; Preckel, Paul ; Delgado, Michael . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:235327.

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2016Two-Stage Estimation to Control for Unobservables in a Recreation Demand Model with Unvisited Sites. (2016). Melstrom, Richard. In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:236252.

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2016The effect of endangered species regulations on local employment: Evidence from the listing of the lesser prairie chicken. (2016). Melstrom, Richard ; Byl, Jacob P ; Lee, Kangil . In: 2016 Annual Meeting, July 31-August 2, 2016, Boston, Massachusetts. RePEc:ags:aaea16:236254.

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2016Fitting the Gravity Model when Zero Trade Flows are Frequent: a Comparison of Estimation Techniques using Africas Trade Data. (2016). Martínez-Zarzoso, Inmaculada ; Kareem, Fatima ; Martinez-Zarzoso, Inmaculada ; Brummer, Bernhard . In: Discussion Papers. RePEc:ags:gagfdp:230588.

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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.

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2016Option Pricing in an Imperfect World. (2016). Cassese, Gianluca. In: Papers. RePEc:arx:papers:1406.0412.

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2016Nonparametric Stochastic Discount Factor Decomposition. (2016). Christensen, Timothy . In: Papers. RePEc:arx:papers:1412.4428.

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2017Model-Free Approaches to Discern Non-Stationary Microstructure Noise and Time-Varying Liquidity in High-Frequency Data. (2017). Mykland, Per A ; Chen, Richard Y. In: Papers. RePEc:arx:papers:1512.06159.

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2016Linear Credit Risk Models. (2016). Ackerer, Damien ; Filipovi, Damir . In: Papers. RePEc:arx:papers:1605.07419.

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2016Rating models: emerging market distinctions. (2016). Karminsky, Alexandr. In: Papers. RePEc:arx:papers:1607.02422.

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2016Indirect Inference With(Out) Constraints. (2016). Renault, Eric ; Frazier, David T. In: Papers. RePEc:arx:papers:1607.06163.

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2016Neural Nets for Indirect Inference. (2016). . In: UFAE and IAE Working Papers. RePEc:aub:autbar:960.16.

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2016Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos. (2016). Melo-Velandia, Luis ; Ustacara, Daniel Mario . In: Borradores de Economia. RePEc:bdr:borrec:939.

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2016The Linear Systems Approach to Linear Rational Expectations Models. (2016). Al-Sadoon, Majid. In: Working Papers. RePEc:bge:wpaper:875.

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2016Neural Nets for Indirect Inference. (2016). Creel, Michael. In: Working Papers. RePEc:bge:wpaper:942.

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2016Information in the Term Structure of Yield Curve Volatility. (2016). Cieslak, Anna ; Povala, Pavol . In: Journal of Finance. RePEc:bla:jfinan:v:71:y:2016:i:3:p:1393-1436.

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2016Does Income Inequality Lead to Terrorism?. (2016). Meierrieks, Daniel ; Krieger, Tim. In: CESifo Working Paper Series. RePEc:ces:ceswps:_5821.

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

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2016The use of cheques in the European Union: a cross-country analysis. (2016). Vieira, Carlos ; Ramalho, Esmeralda ; Silva, Vania . In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2016_03.

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2016Is EMV adoption changing card payments? Evidence from the European Union. (2016). Ramalho, Esmeralda ; Silva, Vania ; Vieira, Carlos . In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2016_05.

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2016Indirect Inference with Endogenously Missing Exogenous Variables. (2016). Renault, Eric ; Chaudhuriy, Saraswata ; Frazierz, David T. In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-15.

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2016Efficient Two-Step Estimation via Targeting. (2016). Renault, Eric ; Frazierz, David T. In: CIRANO Working Papers. RePEc:cir:cirwor:2016s-16.

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2016Multiplicative Conditional Correlation Models for Realized Covariance Matrices. (2016). Storti, Giuseppe ; Braione, Manuela ; Bauwens, Luc . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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2016Understanding Gender Differences in Leadership. (2016). Loranth, Gyongyi ; Kubilay, Elif ; Ertac, Seda ; Alan, Sule . In: CEPR Discussion Papers. RePEc:cpr:ceprdp:11596.

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2016EXISTENCE AND CHARACTERIZATION OF CONDITIONAL DENSITY PROJECTIONS. (2016). Ragusa, Giuseppe ; Komunjer, Ivana . In: Econometric Theory. RePEc:cup:etheor:v:32:y:2016:i:04:p:947-987_00.

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2016Do markets learn to rationally expect US interest rates? evidence from survey data. (2016). Uctum, Remzi ; Prat, Georges. In: EconomiX Working Papers. RePEc:drm:wpaper:2016-19.

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2016The optimality of non-optimal GMM estimation of parameters of interest and the partial asymptotic efficiency of 2SLS estimation. (2016). Qian, Hailong ; Bednarek, Heather L. In: Economics Bulletin. RePEc:ebl:ecbull:eb-15-00727.

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

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2016Child labour and academic achievement: Evidence from Gansu Province in China. (2016). He, Huajing . In: China Economic Review. RePEc:eee:chieco:v:38:y:2016:i:c:p:130-150.

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2016Managing risk with a realized copula parameter. (2016). Fengler, Matthias ; Okhrin, Ostap . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:131-152.

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2016Matrix exponential stochastic volatility with cross leverage. (2016). Omori, Yasuhiro ; Asai, Manabu ; Ishihara, Tsunehiro . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:331-350.

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2016Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects. (2016). Li, Rui ; You, Jinhong ; Alan, . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:401-423.

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2016Semiparametric score driven volatility models. (2016). Lucas, André ; Blasques, Francisco ; Ji, Jiangyu . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:58-69.

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2016Interval-valued time series models: Estimation based on order statistics exploring the Agriculture Marketing Service data. (2016). Gonzalez-Rivera, Gloria ; Lin, Wei . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:694-711.

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2016On selection of statistics for approximate Bayesian computing (or the method of simulated moments). (2016). Kristensen, Dennis ; Creel, Michael. In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:100:y:2016:i:c:p:99-114.

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2016Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk. (2016). Kellner, Ralf ; Rosch, Daniel . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:68:y:2016:i:c:p:45-63.

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2016Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis. (2016). CHARFEDDINE, Lanouar. In: Economic Modelling. RePEc:eee:ecmode:v:53:y:2016:i:c:p:354-374.

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2016The role of fiscal policy in Britains Great Inflation. (2016). Minford, A. Patrick ; Fan, Jingwen ; Ou, Zhirong . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:203-218.

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2016Solvency capital requirement for a temporal dependent losses in insurance. (2016). Belkacem, Lotfi ; de Peretti, Christian ; Araichi, Sawssen . In: Economic Modelling. RePEc:eee:ecmode:v:58:y:2016:i:c:p:588-598.

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2016Market perception of sovereign credit risk in the euro area during the financial crisis. (2016). Serwa, Dobromił ; Camba-Mendez, Gonzalo . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:37:y:2016:i:c:p:168-189.

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2016Efficient water-using technologies and habits: A disaggregated analysis in the water sector. (2016). Pérez-Urdiales, María ; Perez-Urdiales, Maria ; Garcia-Valias, Maria Angeles. In: Ecological Economics. RePEc:eee:ecolec:v:128:y:2016:i:c:p:117-129.

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2016Monetary and fiscal policy switching with time-varying volatilities. (2016). Serletis, Apostolos ; Xu, Libo . In: Economics Letters. RePEc:eee:ecolet:v:145:y:2016:i:c:p:202-205.

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2016On the estimation of zero-inefficiency stochastic frontier models with endogenous regressors. (2016). Tsionas, Mike ; Tran, Kien. In: Economics Letters. RePEc:eee:ecolet:v:147:y:2016:i:c:p:19-22.

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2016Score-driven dynamic patent count panel data models. (2016). Blazsek, Szabolcs ; Escribano, Alvaro . In: Economics Letters. RePEc:eee:ecolet:v:149:y:2016:i:c:p:116-119.

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2016Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank. (2016). Hallin, Marc ; van den Akker, Ramon . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:1:p:46-61.

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2016Endogeneity in stochastic frontier models. (2016). Prokhorov, Artem ; Amsler, Christine ; Schmidt, Peter . In: Journal of Econometrics. RePEc:eee:econom:v:190:y:2016:i:2:p:280-288.

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2016Bayesian semiparametric modeling of realized covariance matrices. (2016). Maheu, John ; Jin, Xin . In: Journal of Econometrics. RePEc:eee:econom:v:192:y:2016:i:1:p:19-39.

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2016Efficient estimation of integrated volatility incorporating trading information. (2016). Li, Yingying ; Zheng, Xinghua ; Xie, Shangyu . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:33-50.

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2016Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao . In: Journal of Econometrics. RePEc:eee:econom:v:195:y:2016:i:1:p:86-103.

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2017R-estimation in semiparametric dynamic location-scale models. (2017). Hallin, Marc ; la Vecchia, Davide . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:233-247.

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2016The employment effect of reforming a public employment agency. (2016). Wälde, Klaus ; Launov, Andrey ; Walde, Klaus . In: European Economic Review. RePEc:eee:eecrev:v:84:y:2016:i:c:p:140-164.

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2016Knowledge Creates Markets: The influence of entrepreneurial support and patent rights on academic entrepreneurship. (2016). Hussinger, Katrin ; Czarnitzki, Dirk ; Toole, Andrew A ; Schliessler, Paula ; Doherr, Thorsten . In: European Economic Review. RePEc:eee:eecrev:v:86:y:2016:i:c:p:131-146.

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2016Mixed logit with a flexible mixing distribution. (2016). Train, Kenneth . In: Journal of choice modelling. RePEc:eee:eejocm:v:19:y:2016:i:c:p:40-53.

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2016On moment non-explosions for Wishart-based stochastic volatility models. (2016). DA FONSECA, José. In: European Journal of Operational Research. RePEc:eee:ejores:v:254:y:2016:i:3:p:889-894.

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2016Modelling credit grade migration in large portfolios using cumulative t-link transition models. (2016). Nagao, Risa ; Forster, Jonathan J ; Sudjianto, Agus ; Buzzacchi, Matteo . In: European Journal of Operational Research. RePEc:eee:ejores:v:254:y:2016:i:3:p:977-984.

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2016Dynamic conditional correlation multiplicative error processes. (2016). Hautsch, Nikolaus ; Bodnar, Taras . In: Journal of Empirical Finance. RePEc:eee:empfin:v:36:y:2016:i:c:p:41-67.

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2016Stochastic correlation and risk premia in term structure models. (2016). Chiarella, Carl ; To, Thuy-Duong . In: Journal of Empirical Finance. RePEc:eee:empfin:v:37:y:2016:i:c:p:59-78.

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2016Modeling corporate defaults: Poisson autoregressions with exogenous covariates (PARX). (2016). Kristensen, Dennis ; Cavaliere, Giuseppe ; Rahbek, Anders ; Agosto, Arianna . In: Journal of Empirical Finance. RePEc:eee:empfin:v:38:y:2016:i:pb:p:640-663.

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2016A note on why doesnt the choice of performance measure matter?. (2016). guo, biao ; Xiao, Yugu . In: Finance Research Letters. RePEc:eee:finlet:v:16:y:2016:i:c:p:248-254.

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2016The composition of trade flows and the aggregate effects of trade barriers. (2016). French, Scott. In: Journal of International Economics. RePEc:eee:inecon:v:98:y:2016:i:c:p:114-137.

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2016Sarmanov family of multivariate distributions for bivariate dynamic claim counts model. (2016). Cossette, Helene ; Abdallah, Anas ; Boucher, Jean-Philippe . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:68:y:2016:i:c:p:120-133.

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2016The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options. (2016). Deelstra, Griselda ; van Weverberg, Christopher ; Grasselli, Martino . In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:71:y:2016:i:c:p:205-219.

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2016Monetarism rides again? US monetary policy in a world of Quantitative Easing. (2016). Minford, A. Patrick ; Meenagh, David ; Phuong, VO. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:44:y:2016:i:c:p:85-102.

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2016Frontiers in VaR forecasting and backtesting. (2016). Ruiz, Esther ; Nieto, Maria Rosa . In: International Journal of Forecasting. RePEc:eee:intfor:v:32:y:2016:i:2:p:475-501.

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2017Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity. (2017). Chen, Langnan ; Tian, Fengping ; Yang, KE. In: International Journal of Forecasting. RePEc:eee:intfor:v:33:y:2017:i:1:p:132-152.

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2016Credit and liquidity in interbank rates: A quadratic approach. (2016). Roussellet, Guillaume ; Renne, Jean-Paul ; Monfort, Alain ; Dubecq, Simon. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:68:y:2016:i:c:p:29-46.

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2016The economic value of controlling for large losses in portfolio selection. (2016). Dias, Alexandra . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:72:y:2016:i:s:p:s81-s91.

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2016Trading book and credit risk: How fundamental is the Basel review?. (2016). Laurent, Jean-Paul ; Thomas, Stephane ; Sestier, Michael . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:73:y:2016:i:c:p:211-223.

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2016Testing for changes in the SES-mortality gradient when the distribution of education changes too. (2016). Richards-Shubik, Seth ; Lange, Fabian ; Goldring, Thomas . In: Journal of Health Economics. RePEc:eee:jhecon:v:46:y:2016:i:c:p:120-130.

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2016Does the extension of primary care practice opening hours reduce the use of emergency services?. (2016). Mammi, Irene ; Lippi Bruni, Matteo ; Ugolini, Cristina . In: Journal of Health Economics. RePEc:eee:jhecon:v:50:y:2016:i:c:p:144-155.

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2016Can monetary policy surprises affect the term structure?. (2016). Dungey, Mardi ; Claus, Edda. In: Journal of Macroeconomics. RePEc:eee:jmacro:v:47:y:2016:i:pa:p:68-83.

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2016Payment choice and currency use: Insights from two billion retail transactions. (2016). Wolman, Alexander ; Wang, Zhu . In: Journal of Monetary Economics. RePEc:eee:moneco:v:84:y:2016:i:c:p:94-115.

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2016Knowledge creation in collaboration networks: Effects of tie configuration. (2016). Wang, Jian . In: Research Policy. RePEc:eee:respol:v:45:y:2016:i:1:p:68-80.

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2016The impact of R&D subsidies on firm innovation. (2016). Piselli, Paolo ; Bronzini, Raffaello. In: Research Policy. RePEc:eee:respol:v:45:y:2016:i:2:p:442-457.

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2016Portfolio choice with stochastic interest rates and learning about stock return predictability. (2016). Escobar Anel, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian . In: International Review of Economics & Finance. RePEc:eee:reveco:v:41:y:2016:i:c:p:347-370.

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2016Human capital, political capital, and off-farm occupational choices in rural China. (2016). Wang, Wen ; Lien, Donald . In: International Review of Economics & Finance. RePEc:eee:reveco:v:42:y:2016:i:c:p:412-422.

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2016In search of the determinants of European asset market comovements. (2016). Taamouti, Abderrahim ; Gomes, Pedro . In: International Review of Economics & Finance. RePEc:eee:reveco:v:44:y:2016:i:c:p:103-117.

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2016Credit rating model development: An ordered analysis based on accounting data. (2016). Tsipouri, Lena ; Balios, Dimitris ; Thomadakis, Stavros . In: Research in International Business and Finance. RePEc:eee:riibaf:v:38:y:2016:i:c:p:122-136.

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2016Maximum likelihood estimation for Wishart processes. (2016). Rey, Clement ; Alfonsi, Aurelien ; Kebaier, Ahmed . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:126:y:2016:i:11:p:3243-3282.

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2017Polynomial diffusions on compact quadric sets. (2017). Larsson, Martin ; Pulido, Sergio . In: Stochastic Processes and their Applications. RePEc:eee:spapps:v:127:y:2017:i:3:p:901-926.

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2016Probabilistic speed–density relationship for pedestrian traffic. (2016). Nikoli, Marija ; de Lapparent, Matthieu ; Bierlaire, Michel . In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:89:y:2016:i:c:p:58-81.

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2017A dynamic network loading model for anisotropic and congested pedestrian flows. (2017). Hanseler, Flurin S ; Lederrey, Gael ; Bierlaire, Michel ; Nikoli, Marija . In: Transportation Research Part B: Methodological. RePEc:eee:transb:v:95:y:2017:i:c:p:149-168.

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2016Is Co-Invention Expediting Technological Catch Up? A Study of Collaboration between Emerging Country Firms and EU Inventors. (2016). Rabellotti, Roberta ; Giuliani, Elisa ; Martinelli, Arianna . In: World Development. RePEc:eee:wdevel:v:77:y:2016:i:c:p:192-205.

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2017Subjective Wellbeing and Institutions: The Case of Rural Ethiopia. (2017). Tekleselassie, Tsegay. In: Working Papers. RePEc:etd:wpaper:016.

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2016Daily Gravity. (2016). Kazutaka, TAKECHI . In: Discussion papers. RePEc:eti:dpaper:16095.

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2016System reduction and finite-order VAR solution methods for linear rational expectations models. (2016). Martínez García, Enrique ; Martinez-Garcia, Enrique . In: Globalization and Monetary Policy Institute Working Paper. RePEc:fip:feddgw:285.

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2016Patterns and determinants of inventors’ mobility across European urban areas. (2016). Gorin, Clement . In: Working Papers. RePEc:gat:wpaper:1615.

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2016Stochastic invariance of closed sets with non-Lipschitz coefficients. (2016). Jaber, Eduardo Abi ; Illand, Camille ; Bouchard, Bruno . In: Working Papers. RePEc:hal:wpaper:hal-01349639.

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2016Revisiting the transitional dynamics of business-cycle phases with mixed frequency data. (2016). Bessec, Marie. In: Working Papers. RePEc:hal:wpaper:hal-01358595.

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2016A comparative study on the estimation of factor migration models. (2016). Cousin, Areski ; Kheliouen, Mohamed Reda . In: Working Papers. RePEc:hal:wpaper:halshs-01351926.

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2016A Comparison of Techniques to Evaluate Policies in Public Procurement. (2016). Sundstrom, David . In: Umeå Economic Studies. RePEc:hhs:umnees:0928.

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2016Understanding Gender Differences in Leadership. (2016). Alan, Sule ; Kubilay, Elif ; Ertac, Seda ; Loranth, Gyongyi . In: Working Papers. RePEc:hka:wpaper:2016-024.

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2016Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?. (2016). Arambur, Andrs Herrera ; Rodrguez, Gabriel . In: International Journal of Monetary Economics and Finance. RePEc:ids:ijmefi:v:9:y:2016:i:1:p:45-66.

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2016Risk-based capital requirements and optimal liquidation in a stress scenario. (2016). Braouezec, Yann ; Wagalath, Lakshithe . In: Working Papers. RePEc:ies:wpaper:f201601.

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2016Poverty Accounting. A fractional response approach to poverty decomposition. (2016). Szirmai, Adam ; Bluhm, Richard ; de Crombrugghe, Denis . In: Working Papers. RePEc:inq:inqwps:ecineq2016-413.

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2017Persistent Occupational Hierarchies among Immigrant Worker Groups in the United States Labor Market. (2017). Vella, Francis ; Postepska, Agnieszka . In: IZA Discussion Papers. RePEc:iza:izadps:dp10514.

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2016Estimation of a Roy/Search/Compensating Differential Model of the Labor Market. (2016). Taber, Christopher . In: IZA Discussion Papers. RePEc:iza:izadps:dp9975.

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2016Stationarity and Long Range Dependence of Carbon Dioxide Emissions: Evidence for Disaggregated Data. (2016). Gil-Alana, Luis ; de Gracia, Fernando Perez ; Barros, Carlos Pestana . In: Environmental & Resource Economics. RePEc:kap:enreec:v:63:y:2016:i:1:d:10.1007_s10640-014-9835-3.

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2016The Impact of Parenting Style on Children’s Educational Outcomes in the United States. (2016). Alauddin, MD. In: Journal of Family and Economic Issues. RePEc:kap:jfamec:v:37:y:2016:i:1:d:10.1007_s10834-015-9444-5.

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2017“No sale” items in auctions: do they really matter?. (2017). Wood, Charles M ; Gilley, Otis W ; Alford, Bruce L ; Obilo, Obinna . In: Marketing Letters. RePEc:kap:mktlet:v:28:y:2017:i:1:d:10.1007_s11002-015-9398-2.

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

Works by christian s. gourieroux:


YearTitleTypeCited
2010Derivative Pricing With Wishart Multivariate Stochastic Volatility In: Journal of Business & Economic Statistics.
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2012A term structure model with level factor cannot be realistic and arbitrage free In: Working papers.
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2012Shock on Variable or Shock on Distribution with Application to Stress-Tests In: Working papers.
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2012Shock on Variable or Shock on Distribution with Application to Stress-Tests.(2012) In: Working Papers.
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2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
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2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
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2009Control and Out-of-Sample Validation of Dependent Risks In: Journal of Risk & Insurance.
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2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
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2008Duration time-series models with proportional hazard In: Journal of Time Series Analysis.
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2002Duration Time Series Models with Proportional Hazard.(2002) In: Working Papers.
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1998Mean-Variance Hedging and Numéraire In: Mathematical Finance.
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1996Mean-variance hedging and numeraire.(1996) In: CEPREMAP Working Papers (Couverture Orange).
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2009Efficiency in Large Dynamic Panel Models with Common Factor In: Swiss Finance Institute Research Paper Series.
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2010Efficiency in Large Dynamic Panel Models with Common Factor.(2010) In: Working Papers.
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2009Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
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2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
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2010Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series.
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1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
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1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
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1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
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1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
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1991Computation of multipliers in multivariate rational expectations models. In: CORE Discussion Papers.
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1993Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method In: CORE Discussion Papers.
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1999Bartlett identities tests In: CORE Discussion Papers.
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1999Bartlett Identities Tests.(1999) In: Working Papers.
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1999Bartlett Identities Tests.(1999) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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1981Pseudo maximum likelihood methods : theory In: CEPREMAP Working Papers (Couverture Orange).
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1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
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1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
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1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
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1982Some theoretical results for generalized ridge regression estimators In: CEPREMAP Working Papers (Couverture Orange).
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1984Some theoretical results for generalized ridge regression estimators.(1984) In: Journal of Econometrics.
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1982Asymptotic comparison of tests for non-nested hypotheses by bahadurs a.r.e In: CEPREMAP Working Papers (Couverture Orange).
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1982Revision adaptative des anticipations et convergence vers les anticipations rationnelles In: CEPREMAP Working Papers (Couverture Orange).
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1982Estimation and test in probit models with serial correlation In: CEPREMAP Working Papers (Couverture Orange).
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1983The agregation of commodities in quantity rationing models In: CEPREMAP Working Papers (Couverture Orange).
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1985The Aggregation of Commodities in Quantity Rationing Models..(1985) In: International Economic Review.
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1983Rational expectations models and bounded memory In: CEPREMAP Working Papers (Couverture Orange).
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1985Rational Expectations Models and Bounded Memory..(1985) In: Econometrica.
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1983Modèles a anticipations rationnelles apprentissage par regression In: CEPREMAP Working Papers (Couverture Orange).
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1983Direct test of the rational expectations hypothesis (with special attention to qualitative variables) In: CEPREMAP Working Papers (Couverture Orange).
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1984Learning procedure and convergence to rationality In: CEPREMAP Working Papers (Couverture Orange).
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1986Learning Procedures and Convergence to Rationality..(1986) In: Econometrica.
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1984Solutions of dynamic linear rational expectations models In: CEPREMAP Working Papers (Couverture Orange).
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1985Solutions of Dynamic Linear Rational Expectations Models.(1985) In: ULB Institutional Repository.
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1984General approach of serial correlation (a). In: CEPREMAP Working Papers (Couverture Orange).
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1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
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1987Simulated residuals.(1987) In: Journal of Econometrics.
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1985Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange).
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1985Vérification empirique de deux schémas danticipation adaptatif et rationnel In: CEPREMAP Working Papers (Couverture Orange).
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1986Reduction and identification of simultaneous equations models with rational expectations In: CEPREMAP Working Papers (Couverture Orange).
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1986Approche géométrique des processus arma (une) In: CEPREMAP Working Papers (Couverture Orange).
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1986Strong concentration ordering. In: CEPREMAP Working Papers (Couverture Orange).
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1986Identification & consistent estimation of multi-variate linear models with rational expectations of current variables In: CEPREMAP Working Papers (Couverture Orange).
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1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
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1987Agrégation de processus autoregressifs dordre 1 In: CEPREMAP Working Papers (Couverture Orange).
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1987Functional averages and statistical inference In: CEPREMAP Working Papers (Couverture Orange).
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1987Contraintes linéaires mixtes In: CEPREMAP Working Papers (Couverture Orange).
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1987Heterogeneity and hazard dominance in duration data models In: CEPREMAP Working Papers (Couverture Orange).
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1987Court et long-terme dans les modèles de durée. In: CEPREMAP Working Papers (Couverture Orange).
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1988Functional limit theorem for fractional processes (a). In: CEPREMAP Working Papers (Couverture Orange).
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1988Hétérogénéité dans les modèles à représentation linéaire. In: CEPREMAP Working Papers (Couverture Orange).
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1988Hétérogénéité/i/cas linéaire (le) In: CEPREMAP Working Papers (Couverture Orange).
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1988Hétérogénéité/ii/etude de biais (sous lhypothèse dexogénéité faible) In: CEPREMAP Working Papers (Couverture Orange).
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1989Detecting a long run relationship (with an application to the p.p.p. hypothesis) In: CEPREMAP Working Papers (Couverture Orange).
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1990Sélection de clientèle et tarification de prêt bancaire In: CEPREMAP Working Papers (Couverture Orange).
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1991Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange).
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paper55
1992Qualitative threshold ARCH models.(1992) In: Journal of Econometrics.
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1991Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange).
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1991Transitions in economy : price changes in russia in the twenties In: CEPREMAP Working Papers (Couverture Orange).
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1991Modèles de durée et effets de génération In: CEPREMAP Working Papers (Couverture Orange).
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1992Quantité de monnaie (la) : russie, les années 1918-1927 In: CEPREMAP Working Papers (Couverture Orange).
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1993Modèles linéaires à facteurs et structure à terme des taux dintérêt In: CEPREMAP Working Papers (Couverture Orange).
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1993Prévision de mesures de prix contingents In: CEPREMAP Working Papers (Couverture Orange).
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1993Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques In: CEPREMAP Working Papers (Couverture Orange).
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1994Kernel m-estimators : non parametric diagnostics for structural models In: CEPREMAP Working Papers (Couverture Orange).
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1994Testing, encompassing and simulating dynamic econometric models In: CEPREMAP Working Papers (Couverture Orange).
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1995Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory.
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1994Multivariate distributions for limited dependent variable models In: CEPREMAP Working Papers (Couverture Orange).
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paper1
1994Estimation of the term structure from bond data In: CEPREMAP Working Papers (Couverture Orange).
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1994Modèles économétriques : utilisation et interprétation (les) In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1995Comparison of Kernel estimator based goodness of fit tests (a) In: CEPREMAP Working Papers (Couverture Orange).
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1997Econometric specification of the risk neutral valuation model In: CEPREMAP Working Papers (Couverture Orange).
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1997Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers.
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2000Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics.
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1997Modes de négociation et caractéristiques de marché In: CEPREMAP Working Papers (Couverture Orange).
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1997Composition des portefeuilles des ménages: une analyse scores sur données françaises In: CEPREMAP Working Papers (Couverture Orange).
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1999Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange).
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1999Nonlinear Innovations and Impulse Response.(1999) In: Working Papers.
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1999Nonlinear persistence and copersistence In: CEPREMAP Working Papers (Couverture Orange).
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1999Nonlinear Persistence and Copersistence.(1999) In: Working Papers.
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1999Nonlinear Persistence and Copersistence.(1999) In: Working Papers.
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2000Sensitivity Analysis of Values at Risk In: Working Papers.
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2000Sensitivity Analysis of Values at Risk.(2000) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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2000Sensitivity Analysis of Values at Risk.(2000) In: Econometric Society World Congress 2000 Contributed Papers.
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2000Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance.
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2000Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers.
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2000Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers.
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2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics.
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2000Factor ARMA Representation of a Markov Process In: Working Papers.
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2001Conditions for Optimality in Experimental Designs In: Working Papers.
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2001Compound Autoregressive Models In: Working Papers.
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2001Ajustement des prix bid et ask en présence dinformation privée In: Working Papers.
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2001Tails and Extremal Behaviour of Stochastic Unit Root Models In: Working Papers.
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2001Local Likelihood Density Estimation and Value at Risk In: Working Papers.
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2006A Classification of Two-Factor Affine Diffusion Term Structure Models.(2006) In: Journal of Financial Econometrics.
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2006Efficient Portfolio Analysis Using Distortion Risk Measures In: Working Papers.
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2007Quadratic Stochastic Intensity and Prospective Mortality Tables In: Working Papers.
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2008Quadratic stochastic intensity and prospective mortality tables.(2008) In: Insurance: Mathematics and Economics.
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2011Allocating Systematic and Unsystematic Risks in a Regulatory Perspective In: Working Papers.
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2011Granularity Theory with Application to Finance and Insurance In: Working Papers.
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2012Correlated Risks vs Contagion in Stochastic Transition Models In: Working Papers.
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2012Estimation Adjusted VaR In: Working Papers.
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2012Robust Portfolio Allocation with Systematic Risk Contribution Restrictions In: Working Papers.
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2013Pricing Default Events : Surprise, Exogeneity and Contagion In: Working Papers.
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2013Explosive Bubble Modelling by Noncausal Process In: Working Papers.
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2013Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives In: Working Papers.
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