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 %)

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   Permalink: http://citec.repec.org/pgo144
   Updated: 2021-02-20    RAS profile: 2018-09-12    
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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.

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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.

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

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

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

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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.

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

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

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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.

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

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

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

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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.

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

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

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

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

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

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

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

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

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

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

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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.

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

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

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

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

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

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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.

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

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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.

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

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2020A Markovâ€Âswitching 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.

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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.

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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.

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2020Estimating the probability of default for noâ€Âdefault and lowâ€Âdefault 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.

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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.

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2020Robust estimation of stationary continuousâ€Âtime 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.

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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.

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

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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.

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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.

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

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

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

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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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.

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

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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.

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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.

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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.

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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.

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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.

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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).
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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.
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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.
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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.
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2017Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers.
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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.
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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.
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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.
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2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
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2013Regime Switching and Bond Pricing. In: Working papers.
[Full Text][Citation analysis]		paper4
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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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.
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2009Control and Outâ€Âofâ€ÂSample 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 timeâ€Âseries 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]
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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.
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2016Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis.
[Full Text][Citation analysis]		article12
1998Meanâ€ÂVariance 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]
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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.
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2014EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS.(2014) In: Econometric Theory.
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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.
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2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
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2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
[Citation analysis]
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2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: University of St. Gallen Department of Economics working paper series 2005.
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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]
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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]
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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]
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1999Bartlett Identities Tests.(1999) In: LIDAM Discussion Papers IRES.
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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.
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1995Solutions of Multivariate Rational Expectations Models.(1995) In: ULB Institutional Repository.
[Citation analysis]
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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.
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1981Pseudo maximum likelihood methods : theory In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper421
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).
[Full Text][Citation analysis]		paper531
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).
[Full Text][Citation analysis]		paper1
1984Some theoretical results for generalized ridge regression estimators.(1984) In: Journal of Econometrics.
[Full Text][Citation analysis]
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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.
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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.
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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.
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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.
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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.
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1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
[Full Text][Citation analysis]		paper21
1987Simulated residuals.(1987) In: Journal of Econometrics.
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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).
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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).
[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).
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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).
[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.
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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).
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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).
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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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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).
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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.
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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.
[Full Text][Citation analysis]		paper108
2000Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES.
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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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2001Factor ARMA representation of a Markov process.(2001) In: Economics Letters.
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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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2002Constrained Nonparametric Copulas In: Working Papers.
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2002Affine Term Structure Models In: Working Papers.
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2002Equidependence in Qualitative and Duration Models with Application to Credit Risk In: Working Papers.
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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.
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2004Stochastic Migration Models with Application to Corporate Risk In: Working Papers.
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2005International Money and Stock Market Contingent Claims In: Working Papers.
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2010International money and stock market contingent claims.(2010) In: Journal of International Money and Finance.
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2005A Classification of Two Factor Affine Diffusion Term Structure Models 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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2005Wishart Autoregressive Model for Stochastic Risk In: Working Papers.
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2005Affine Model for Credit Risk Analysis In: Working Papers.
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2006Affine Models for Credit Risk Analysis.(2006) In: Journal of Financial Econometrics.
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2006Efficient Portfolio Analysis Using Distortion Risk Measures In: Working Papers.
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