christian s. gourieroux : Citation Profile


Are you christian s. gourieroux?

University of Toronto

24

H index

51

i10 index

3072

Citations

RESEARCH PRODUCTION:

116

Articles

189

Papers

2

Books

3

Chapters

RESEARCH ACTIVITY:

   38 years (1979 - 2017). See details.
   Cites by year: 80
   Journals where christian s. gourieroux has often published
   Relations with other researchers
   Recent citing documents: 202.    Total self citations: 49 (1.57 %)

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   Permalink: http://citec.repec.org/pgo144
   Updated: 2017-09-23    RAS profile: 2017-04-04    
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Relations with other researchers


Works with:

Monfort, Alain (19)

Renne, Jean-Paul (8)

Zakoian, Jean-Michel (5)

Jasiak, Joann (4)

Lu, Yang (3)

Héam, Jean-Cyprien (3)

Dubecq, Simon (3)

Gagliardini, Patrick (2)

Pegoraro, Fulvio (2)

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

Is cited by:

Dionne, Georges (58)

Monfort, Alain (56)

Minford, A. Patrick (52)

Renault, Eric (43)

Pegoraro, Fulvio (34)

Meenagh, David (31)

Veredas, David (29)

McAleer, Michael (28)

Calzolari, Giorgio (28)

Scaillet, Olivier (23)

Asai, Manabu (23)

Cites to:

Monfort, Alain (31)

Jasiak, Joann (25)

Engle, Robert (23)

Ghysels, Eric (21)

Duffie, Darrell (15)

Singleton, Kenneth (14)

Renault, Eric (12)

Tauchen, George (11)

Granger, Clive (11)

Gallant, A. (10)

Jarrow, Robert (10)

Main data


Where christian s. gourieroux has published?


Journals with more than one article published# docs
Journal of Econometrics27
Annals of Economics and Statistics12
Econometrica12
Journal of Empirical Finance7
L'Actualit Economique7
Econometric Theory6
Journal of Financial Econometrics6
Insurance: Mathematics and Economics4
Journal of Banking & Finance4
Journal of Time Series Analysis3
Econometric Reviews3
Economics Letters3
Revue d'conomie Financire2
International Economic Review2

Working Papers Series with more than one paper published# docs
Working Papers / Centre de Recherche en Economie et Statistique73
Post-Print / HAL6
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles6
Working Papers / York University, Department of Economics4
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
Swiss Finance Institute Research Paper Series / Swiss Finance Institute3
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2
MPRA Paper / University Library of Munich, Germany2

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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2017Nonparametric Stochastic Discount Factor Decomposition. (2017). 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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2017Pairs Trading under Drift Uncertainty and Risk Penalization. (2017). ALTAY, SuHAN ; Eksi, Zehra ; Colaneri, Katia . In: Papers. RePEc:arx:papers:1704.06697.

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

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2017Derivative-Based Optimization with a Non-Smooth Simulated Criterion. (2017). Frazier, David T ; Zhu, Dan . In: Papers. RePEc:arx:papers:1708.02365.

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

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

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

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

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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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2016THE PUZZLE OF JOB SEARCH AND HOUSING TENURE: A RECONCILIATION OF THEORY AND EMPIRICAL EVIDENCE. (2016). Morescalchi, Andrea. In: Journal of Regional Science. RePEc:bla:jregsc:v:56:y:2016:i:2:p:288-312.

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

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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). Ghosal, Vivek ; Sun, Xiuli ; Li, Haizheng . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6370.

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

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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). Vieira, Carlos ; Ramalho, Esmeralda ; Silva, Vania . In: CEFAGE-UE Working Papers. RePEc:cfe:wpcefa:2016_05.

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

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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 ; Bauwens, Luc ; Braione, Manuela . In: CORE Discussion Papers. RePEc:cor:louvco:2016041.

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

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

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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, Andre ; 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). Ou, Zhirong ; Minford, A. Patrick ; Fan, Jingwen. 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). Escribano, Alvaro ; Blazsek, Szabolcs. 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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2017Identification and estimation of non-Gaussian structural vector autoregressions. (2017). Saikkonen, Pentti ; Lanne, Markku ; Meitz, Mika . In: Journal of Econometrics. RePEc:eee:econom:v:196:y:2017:i:2:p:288-304.

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2017Learning can generate long memory. (2017). Chevillon, Guillaume ; Mavroeidis, Sophocles . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:1-9.

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2017Chasing volatility. (2017). Rossi, Eduardo ; Caporin, Massimiliano ; de Magistris, Paolo Santucci . In: Journal of Econometrics. RePEc:eee:econom:v:198:y:2017:i:1:p:122-145.

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2017Structural vector autoregressions with heteroskedasticity: A review of different volatility models. (2017). Netšunajev, Aleksei ; Lütkepohl, Helmut ; Lutkepohl, Helmut ; Netunajev, Aleksei . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:2-18.

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2017A dynamic component model for forecasting high-dimensional realized covariance matrices. (2017). Storti, Giuseppe ; Bauwens, Luc ; Braione, Manuela . In: Econometrics and Statistics. RePEc:eee:ecosta:v:1:y:2017:i:c:p:40-61.

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

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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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2017Crude oil price behaviour before and after military conflicts and geopolitical events. (2017). Pérez de Gracia, Fernando ; Monge, Manuel ; Gil-Alana, Luis. In: Energy. RePEc:eee:energy:v:120:y:2017:i:c:p:79-91.

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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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2017Revealed comparative advantage: What is it good for?. (2017). French, Scott. In: Journal of International Economics. RePEc:eee:inecon:v:106:y:2017:i:c:p:83-103.

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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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2016Evaluating the robustness of UK term structure decompositions using linear regression methods. (2016). Meldrum, Andrew ; Malik, Sheheryar . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:67:y:2016:i:c:p:85-102.

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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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2017Academic patent licenses: Roadblocks or signposts for nonlicensee cumulative innovation?. (2017). Drivas, Kyriakos ; Wright, Brian D ; Lei, Zhen . In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:137:y:2017:i:c:p:282-303.

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2017Diversification and cash dynamics. (2017). Bakke, Tor-Erik ; Gu, Tiantian . In: Journal of Financial Economics. RePEc:eee:jfinec:v:123:y:2017:i:3:p:580-601.

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2017Monetary policy and bank risk-taking: Evidence from the corporate loan market. (2017). santos, joao ; Paligorova, Teodora . In: Journal of Financial Intermediation. RePEc:eee:jfinin:v:30:y:2017:i:c:p:35-49.

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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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2016The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach. (2016). Plödt, Martin ; Herwartz, Helmut ; Plodt, Martin . In: Journal of International Money and Finance. RePEc:eee:jimfin:v:61:y:2016:i:c:p:30-44.

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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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2017On the conditional effects of IMF program participation on output growth. (2017). Binder, Michael ; Bluhm, Marcel . In: Journal of Macroeconomics. RePEc:eee:jmacro:v:51:y:2017:i:c:p:192-214.

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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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2017The impact of randomness on the distribution of wealth: Some economic aspects of the Wright–Fisher diffusion process. (2017). Bouleau, Nicolas ; Chorro, Christophe . In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:479:y:2017:i:c:p:379-395.

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

Works by christian s. gourieroux:


YearTitleTypeCited
1987Kullback Causality Measures In: Annals of Economics and Statistics.
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article4
1987Une approche géométrique des processus ARMA In: Annals of Economics and Statistics.
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article0
1990Hétérogénéité - 1. Etude des biais destimation dans le cas linéaire In: Annals of Economics and Statistics.
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article1
1990Hétérogénéité - 2. Etude des biais de représentativité (sous lhypothèse dexogénéité faible) In: Annals of Economics and Statistics.
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article0
1990Hétérogénéité et hasard dans les modèles de durée In: Annals of Economics and Statistics.
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article0
1991Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics.
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article3
1995Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics.
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article0
2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
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article7
1999Intraday Transaction Price Dynamics.(1999) In: Post-Print.
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This paper has another version. Agregated cites: 7
paper
2005Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics.
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article1
2006Pricing with Splines In: Annals of Economics and Statistics.
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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.
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article0
2013Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model In: Annals of Economics and Statistics.
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article0
2010Derivative Pricing With Wishart Multivariate Stochastic Volatility In: Journal of Business & Economic Statistics.
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article27
2012A term structure model with level factor cannot be realistic and arbitrage free In: Working papers.
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paper0
2012Shock on Variable or Shock on Distribution with Application to Stress-Tests In: Working papers.
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paper1
2012Shock on Variable or Shock on Distribution with Application to Stress-Tests.(2012) In: Working Papers.
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paper
2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
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paper20
2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
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article
2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
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paper2
2013Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers.
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paper
2014Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics.
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article
2013Regime Switching and Bond Pricing. In: Working papers.
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paper2
2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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paper
2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
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article
2009Control and Out-of-Sample Validation of Dependent Risks In: Journal of Risk & Insurance.
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article0
2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
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article14
2008Duration time-series models with proportional hazard In: Journal of Time Series Analysis.
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article11
2002Duration Time Series Models with Proportional Hazard.(2002) In: Working Papers.
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2015On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes In: Journal of Time Series Analysis.
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article0
2014On uniqueness of moving average representations of heavy-tailed stationary processes.(2014) In: MPRA Paper.
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paper
1998Mean-Variance Hedging and Numéraire In: Mathematical Finance.
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article17
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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paper5
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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paper14
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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paper0
2010Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics.
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article
1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
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paper15
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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paper
1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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This paper has another version. Agregated cites: 15
paper
1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
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paper8
1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
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paper0
1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
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paper4
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
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paper
1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
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paper
1991Computation of multipliers in multivariate rational expectations models. In: CORE Discussion Papers.
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paper1
1993Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method In: CORE Discussion Papers.
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paper0
1999Bartlett identities tests In: CORE Discussion Papers.
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paper7
1999Bartlett Identities Tests.(1999) In: Working Papers.
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paper
1999Bartlett Identities Tests.(1999) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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paper
Solutions of multivariate rational expectations models In: CORE Discussion Papers RP.
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paper12
1995Solutions of multivariate Rational Expectations Models.(1995) In: Econometric Theory.
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article
1995Solutions of Multivariate Rational Expectations Models.(1995) In: ULB Institutional Repository.
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paper
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators In: CORE Discussion Papers RP.
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paper0
1998Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators.(1998) In: Journal of Econometrics.
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article
1981Pseudo maximum likelihood methods : theory In: CEPREMAP Working Papers (Couverture Orange).
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paper326
1984Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica.
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article
1982Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange).
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paper370
1984Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica.
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article
1982Some theoretical results for generalized ridge regression estimators In: CEPREMAP Working Papers (Couverture Orange).
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paper1
1984Some theoretical results for generalized ridge regression estimators.(1984) In: Journal of Econometrics.
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article
1982Asymptotic comparison of tests for non-nested hypotheses by bahadurs a.r.e In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1982Revision adaptative des anticipations et convergence vers les anticipations rationnelles In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1982Estimation and test in probit models with serial correlation In: CEPREMAP Working Papers (Couverture Orange).
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paper5
1983The agregation of commodities in quantity rationing models In: CEPREMAP Working Papers (Couverture Orange).
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paper6
1985The Aggregation of Commodities in Quantity Rationing Models..(1985) In: International Economic Review.
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This paper has another version. Agregated cites: 6
article
1983Rational expectations models and bounded memory In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1985Rational Expectations Models and Bounded Memory..(1985) In: Econometrica.
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article
1983Modèles a anticipations rationnelles apprentissage par regression In: CEPREMAP Working Papers (Couverture Orange).
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paper1
1983Direct test of the rational expectations hypothesis (with special attention to qualitative variables) In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1984Learning procedure and convergence to rationality In: CEPREMAP Working Papers (Couverture Orange).
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paper30
1986Learning Procedures and Convergence to Rationality..(1986) In: Econometrica.
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article
1984Solutions of dynamic linear rational expectations models In: CEPREMAP Working Papers (Couverture Orange).
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paper15
1985Solutions of Dynamic Linear Rational Expectations Models.(1985) In: ULB Institutional Repository.
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paper
1984General approach of serial correlation (a). In: CEPREMAP Working Papers (Couverture Orange).
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paper11
1985Simulated residuals In: CEPREMAP Working Papers (Couverture Orange).
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paper24
1987Simulated residuals.(1987) In: Journal of Econometrics.
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article
1985Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1985Vérification empirique de deux schémas danticipation adaptatif et rationnel In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1986Reduction and identification of simultaneous equations models with rational expectations In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1986Approche géométrique des processus arma (une) In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1986Strong concentration ordering. In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1986Identification & consistent estimation of multi-variate linear models with rational expectations of current variables In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1987Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange).
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paper3
1987Agrégation de processus autoregressifs dordre 1 In: CEPREMAP Working Papers (Couverture Orange).
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paper1
1987Functional averages and statistical inference In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1987Contraintes linéaires mixtes In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1987Heterogeneity and hazard dominance in duration data models In: CEPREMAP Working Papers (Couverture Orange).
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paper2
1987Court et long-terme dans les modèles de durée. In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1988Functional limit theorem for fractional processes (a). In: CEPREMAP Working Papers (Couverture Orange).
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paper5
1988Hétérogénéité dans les modèles à représentation linéaire. In: CEPREMAP Working Papers (Couverture Orange).
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paper1
1988Hétérogénéité/i/cas linéaire (le) In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1988Hétérogénéité/ii/etude de biais (sous lhypothèse dexogénéité faible) In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1989Detecting a long run relationship (with an application to the p.p.p. hypothesis) In: CEPREMAP Working Papers (Couverture Orange).
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paper7
1990Sélection de clientèle et tarification de prêt bancaire In: CEPREMAP Working Papers (Couverture Orange).
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paper1
1991Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange).
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paper57
1992Qualitative threshold ARCH models.(1992) In: Journal of Econometrics.
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article
1991Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange).
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paper1
1991Transitions in economy : price changes in russia in the twenties In: CEPREMAP Working Papers (Couverture Orange).
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paper0
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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paper1
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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article
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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paper4
1997Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers.
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paper
2000Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics.
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article
1997Modes de négociation et caractéristiques de marché In: CEPREMAP Working Papers (Couverture Orange).
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paper0
1997Composition des portefeuilles des ménages: une analyse scores sur données françaises In: CEPREMAP Working Papers (Couverture Orange).
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paper0
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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2004Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Post-Print.
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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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2002“Equidependence 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.
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2004Efficient Derivative Pricing by Extended Method of Moments In: Working Papers.
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paper1
2005Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers.
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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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2004Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk In: Working Papers.
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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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2006A Degeneracy in the Analysis of Volatility and Covolatility Effects In: Working Papers.
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2006(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution In: Working Papers.
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2006Sensitivity Analysis of 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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2010Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk In: Working Papers.
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2011Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk.(2011) In: Journal of Financial Econometrics.
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2010An Analysis of the Ultra Long-Term Yields In: Working Papers.
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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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2014Granularity Theory with Applications to Finance and Insurance.(2014) In: Cambridge Books.
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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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2012Survival of Hedge Funds : Frailty vs 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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2013Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers.
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