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christian s. gourieroux : Citation Profile


Are you christian s. gourieroux?

University of Toronto

24

H index

50

i10 index

3113

Citations

RESEARCH PRODUCTION:

116

Articles

136

Papers

2

Books

3

Chapters

RESEARCH ACTIVITY:

   38 years (1979 - 2017). See details.
   Cites by year: 81
   Journals where christian s. gourieroux has often published
   Relations with other researchers
   Recent citing documents: 136.    Total self citations: 47 (1.49 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pgo144
   Updated: 2018-02-17    RAS profile: 2017-04-04    
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Relations with other researchers


Works with:

Monfort, Alain (16)

Renne, Jean-Paul (8)

Zakoian, Jean-Michel (4)

Lu, Yang (3)

Jasiak, Joann (3)

Héam, Jean-Cyprien (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:

Monfort, Alain (59)

Dionne, Georges (58)

Minford, A. Patrick (53)

Renault, Eric (37)

Pegoraro, Fulvio (34)

Meenagh, David (31)

Veredas, David (28)

Calzolari, Giorgio (28)

McAleer, Michael (28)

Santos Silva, João (23)

Asai, Manabu (23)

Cites to:

Jasiak, Joann (32)

Monfort, Alain (29)

Ghysels, Eric (24)

Engle, Robert (17)

Duffie, Darrell (15)

Singleton, Kenneth (14)

Renault, Eric (11)

darolles, serge (11)

Bollerslev, Tim (10)

Jarrow, Robert (10)

Tauchen, George (10)

Main data


Where christian s. gourieroux has published?


Journals with more than one article published# docs
Journal of Econometrics27
Econometrica12
Annals of Economics and Statistics12
Journal of Empirical Finance7
L'Actualit Economique7
Journal of Financial Econometrics6
Econometric Theory6
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 / Center for Research in Economics and Statistics72
Post-Print / HAL6
ULB Institutional Repository / ULB -- Universite Libre de Bruxelles6
Working Papers / York University, Department of Economics4
Swiss Finance Institute Research Paper Series / Swiss Finance Institute3
THEMA Working Papers / THEMA (THorie Economique, Modlisation et Applications), Universit de Cergy-Pontoise3
Discussion Papers (IRES - Institut de Recherches Economiques et Sociales) / Universit catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)3
MPRA Paper / University Library of Munich, Germany2
SFB 373 Discussion Papers / Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes2

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


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

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

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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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2018Linear Credit Risk Models. (2016). Ackerer, Damien ; Filipovi, Damir. In: Papers. RePEc:arx:papers:1605.07419.

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

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

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

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2017Polynomial Jump-Diffusion Models. (2017). Filipovi, Damir ; Larsson, Martin. In: Papers. RePEc:arx:papers:1711.08043.

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

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

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

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

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

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

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

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

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

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

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

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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). graziano, clara ; comino, stefano ; Galasso, Alberto . In: CESifo Working Paper Series. RePEc:ces:ceswps:_6612.

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

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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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2017Composite Indirect Inference with Application. (2017). Gourieroux, Christian ; Monfort, Alain. In: Working Papers. RePEc:crs:wpaper:2017-07.

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2017Consistent Pseudo-Maximum Likelihood Estimators. (2017). Gourieroux, Christian ; Renault, Eric ; Monfort, Alain. In: Working Papers. RePEc:crs:wpaper:2017-10.

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

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

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

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

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

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

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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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2017Model-free approaches to discern non-stationary microstructure noise and time-varying liquidity in high-frequency data. (2017). Chen, Richard Y ; Mykland, Per A. In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:1:p:79-103.

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2017Simulated minimum distance estimation of dynamic models with errors-in-variables. (2017). Ng, Serena ; Gospodinov, Nikolay ; Komunjer, Ivana . In: Journal of Econometrics. RePEc:eee:econom:v:200:y:2017:i:2:p:181-193.

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2017Double instrumental variable estimation of interaction models with big data. (2017). Gourieroux, Christian ; Gagliardini, Patrick. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:176-197.

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2017Efficient two-step estimation via targeting. (2017). Renault, Eric ; Frazier, David T. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:212-227.

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2017Staying at zero with affine processes: An application to term structure modelling. (2017). Monfort, Alain ; Roussellet, Guillaume ; Pegoraro, Fulvio ; Renne, Jean-Paul. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:348-366.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Xiu, Dacheng ; Ait-Sahalia, Yacine. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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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 ; Braione, Manuela ; Bauwens, Luc. 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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2017Estimating the competitive storage model: A simulated likelihood approach. (2017). Kleppe, Tore Selland ; Oglend, Atle. In: Econometrics and Statistics. RePEc:eee:ecosta:v:4:y:2017:i:c:p:39-56.

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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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2017Fast fractional differencing in modeling long memory of conditional variance for high-frequency data. (2017). Walther, Thomas ; Klein, Tony . In: Finance Research Letters. RePEc:eee:finlet:v:22:y:2017:i:c:p:274-279.

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2017Incorporating the effect of successfully bagging big game into recreational hunting: An examination of deer, moose and elk hunting. (2017). Pang, Arwin . In: Journal of Forest Economics. RePEc:eee:foreco:v:28:y:2017:i:c:p:12-17.

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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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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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2018MGARCH models: Trade-off between feasibility and flexibility. (2018). Hotta, Luiz ; Ruiz, Esther ; de Almeida, Daniel . In: International Journal of Forecasting. RePEc:eee:intfor:v:34:y:2018:i:1:p:45-63.

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2017An approximate multi-period Vasicek credit risk model. (2017). Moreno, Manuel ; Garcia-Cespedes, Ruben . In: Journal of Banking & Finance. RePEc:eee:jbfina:v:81:y:2017:i:c:p:105-113.

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2017Unfolded risk-return trade-offs and links to Macroeconomic Dynamics. (2017). Liu, Xiaochun. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:82:y:2017:i:c:p:1-19.

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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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2017U.S. multinationals and cash holdings. (2017). Gu, Tiantian . In: Journal of Financial Economics. RePEc:eee:jfinec:v:125:y:2017:i:2:p:344-368.

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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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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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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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2017Residential green power demand in the United States. (2017). Dagher, Leila ; Heeter, Jenny ; Bird, Lori. In: Renewable Energy. RePEc:eee:renene:v:114:y:2017:i:pb:p:1062-1068.

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2017The importance of pro-social behaviour for the breadth and depth of knowledge transfer activities: An analysis of Italian academic scientists. (2017). Iorio, Roberto ; Rentocchini, Francesco ; Labory, Sandrine . In: Research Policy. RePEc:eee:respol:v:46:y:2017:i:2:p:497-509.

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2017The career effects of scandal: Evidence from scientific retractions. (2017). Azoulay, Pierre ; Krieger, Joshua L ; Bonatti, Alessandro. In: Research Policy. RePEc:eee:respol:v:46:y:2017:i:9:p:1552-1569.

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

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2017Patents as proxy for measuring innovations: A case of changing patent filing behavior in Indian public funded research organizations. (2017). Jain, Sudhir K ; Burhan, Muqbil ; Singh, Anil K. In: Technological Forecasting and Social Change. RePEc:eee:tefoso:v:123:y:2017:i:c:p:181-190.

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

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

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2017Conditional generosity and uncertain income: Evidence from five experiments. (2017). Reinstein, David ; Riener, Gerhard ; Kellner, Christian . In: Discussion Papers. RePEc:exe:wpaper:1707.

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2017The Janus-faced nature of debt : result from a data-driven cointegrated SVAR approach. (2017). Roventini, Andrea ; Napoletano, Mauro ; Moneta, Alessio ; Guerini, Mattia. In: Documents de Travail de l'OFCE. RePEc:fce:doctra:1702.

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2017The Empirics of Regulatory Reforms Proxied by Categorical Variables: Recent Findings and Methodological Issues. (2017). Florio, Massimo ; Bastianin, Andrea ; Castelnovo, Paolo. In: Working Papers. RePEc:fem:femwpa:2017.22.

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2017Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models. (2017). Kiviet, Jan ; Poldermans, Rutger ; Pleus, Milan . In: Econometrics. RePEc:gam:jecnmx:v:5:y:2017:i:1:p:14-:d:93537.

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2017A Robust Approach to Hedging and Pricing in Imperfect Markets. (2017). Assa, Hirbod ; Gospodinov, Nikolay . In: Risks. RePEc:gam:jrisks:v:5:y:2017:i:3:p:36-:d:105112.

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2017Why test the theory of incentives in a dynamic framework?. (2017). Chaudey, Magali. In: Working Papers. RePEc:gat:wpaper:1733.

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2017Stochastic Evolution of Distributions - Applications to CDS indices. (2017). Bernis, Guillaume ; Scotti, Simone ; Kornprobst, Antoine ; Brunel, Nicolas . In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers). RePEc:hal:cesptp:halshs-01467736.

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2017Effort or Circumstances: Does the Correlation Matter for Inequality of Opportunity in Health?. (2017). Tubeuf, Sandy ; Trannoy, Alain ; Jusot, Florence . In: Working Papers. RePEc:hal:wpaper:hal-01619887.

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2017Loss functions for LGD model comparison. (2017). Leymarie, Jérémy ; Hurlin, Christophe ; Patin, Antoine . In: Working Papers. RePEc:hal:wpaper:halshs-01516147.

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2017Origins of Spurious Long Memory. (2017). Sibbertsen, Philipp ; Leschinski, Christian. In: Hannover Economic Papers (HEP). RePEc:han:dpaper:dp-595.

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2017Parameterising a detailed dynamic programming model of savings and labour supply using cross-sectional data. (2017). van De, Justin W. In: International Journal of Microsimulation. RePEc:ijm:journl:v109:y:2017:i:1:p:135-166.

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2017Parameterising a detailed dynamic programming model of savings and labour supply using cross-sectional data. (2017). van de Ven, Justin. In: International Journal of Microsimulation. RePEc:ijm:journl:v10:y:2017:i:1:p:135-166.

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2017The Inversion of the Spatial Lag Operator in Binary Choice Models: Fast Computation and a Closed Formula Approximation. (2017). Santos, Luis Silveira ; Proena, Isabel . In: Working Papers REM. RePEc:ise:remwps:wp0112017.

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

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2017Indirect Inference with Importance Sampling: An Application to Womens Wage Growth. (2017). Sauer, Robert ; Taber, Christopher . In: IZA Discussion Papers. RePEc:iza:izadps:dp11004.

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2017Understanding the Effects of Income and Child Care Subsidies on Childrens Academic Achievement. (2017). Rodriguez, Jorge. In: 2017 Papers. RePEc:jmp:jm2017:pro1077.

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2017Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps. (2017). Hata, Hiroaki ; Sekine, Jun. In: Asia-Pacific Financial Markets. RePEc:kap:apfinm:v:24:y:2017:i:3:d:10.1007_s10690-017-9231-4.

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2017An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems. (2017). Sugawara, Shinya ; Omori, Yasuhiro. In: Computational Economics. RePEc:kap:compec:v:50:y:2017:i:3:d:10.1007_s10614-016-9594-z.

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2017Transition accounting for India in a multi-sector dynamic general equilibrium model. (2017). Jones, John ; Sahu, Sohini. In: Economic Change and Restructuring. RePEc:kap:ecopln:v:50:y:2017:i:4:d:10.1007_s10644-016-9190-1.

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

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2017The Estimation of Network Formation Games with Positive Spillovers. (2017). Boucher, Vincent. In: Cahiers de recherche. RePEc:lvl:crrecr:1710.

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2017Non-parameteric news impact curve: a variational approach. (2017). Garcin, Matthieu ; Goulet, Clement . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:15086rr.

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2017Stochastic Evolution of Distributions - Applications to CDS indices. (2017). Bernis, Guillaume ; Scotti, Simone ; Kornprobst, Antoine ; Brunel, Nicolas . In: Documents de travail du Centre d'Economie de la Sorbonne. RePEc:mse:cesdoc:17007.

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2017Stimulus Effects of Investment Tax Incentives: Production versus Purchases. (2017). Shapiro, Matthew ; House, Christopher ; Mocanu, Ana-Maria . In: NBER Working Papers. RePEc:nbr:nberwo:23391.

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2017The Impact of Student Debt on Education, Career, and Marriage Choices of Female Lawyers. (2017). Sieg, Holger ; Wang, YU. In: NBER Working Papers. RePEc:nbr:nberwo:23453.

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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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1987Une approche géométrique des processus ARMA In: Annals of Economics and Statistics.
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1990Hétérogénéité - 1. Etude des biais destimation dans le cas linéaire In: Annals of Economics and Statistics.
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1990Hétérogénéité - 2. Etude des biais de représentativité (sous lhypothèse dexogénéité faible) In: Annals of Economics and Statistics.
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1990Hétérogénéité et hasard dans les modèles de durée In: Annals of Economics and Statistics.
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1991Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics.
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1995Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics.
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2000Intraday Transaction Price Dynamics In: Annals of Economics and Statistics.
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1999Intraday Transaction Price Dynamics.(1999) In: Post-Print.
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2005Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics.
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2006Pricing with Splines In: Annals of Economics and Statistics.
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2002Pricing with Splines.(2002) In: Working Papers.
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2006Migration Correlation: Estimation Method and Application to French Corporates Ratings In: Annals of Economics and Statistics.
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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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2010Derivative Pricing With Wishart Multivariate Stochastic Volatility In: Journal of Business & Economic Statistics.
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2012A term structure model with level factor cannot be realistic and arbitrage free In: Working papers.
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2012Shock on Variable or Shock on Distribution with Application to Stress-Tests In: Working papers.
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2012Shock on Variable or Shock on Distribution with Application to Stress-Tests.(2012) In: Working Papers.
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2012Bilateral Exposures and Systemic Solvency Risk. In: Working papers.
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2012Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics.
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2013Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers.
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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.
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2013Regime Switching and Bond Pricing.(2013) In: Working Papers.
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2014Regime Switching and Bond Pricing.(2014) In: Journal of Financial Econometrics.
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2009Control and Out-of-Sample Validation of Dependent Risks In: Journal of Risk & Insurance.
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2006Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis.
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2008Duration time-series models with proportional hazard In: Journal of Time Series Analysis.
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2002Duration Time Series Models with Proportional Hazard.(2002) In: Working Papers.
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1998Mean-Variance Hedging and Numéraire In: Mathematical Finance.
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2009Efficiency in Large Dynamic Panel Models with Common Factor In: Swiss Finance Institute Research Paper Series.
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2010Efficiency in Large Dynamic Panel Models with Common Factor.(2010) In: Working Papers.
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2009Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series.
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2011Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica.
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2010Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series.
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2010Microinformation, Nonlinear Filtering, and Granularity.(2010) In: Journal of Financial Econometrics.
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1995Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche.
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1995Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers.
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1996Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers.
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1996Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers.
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1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
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1996Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche.
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1991Computation of multipliers in multivariate rational expectations models. In: CORE Discussion Papers.
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1993Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method In: CORE Discussion Papers.
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1999Bartlett identities tests In: CORE Discussion Papers.
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1999Bartlett Identities Tests.(1999) In: Working Papers.
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1999Bartlett Identities Tests.(1999) In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
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1995Solutions of multivariate rational expectations models In: CORE Discussion Papers RP.
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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.
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1998Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators In: CORE Discussion Papers RP.
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1998Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators.(1998) In: Journal of Econometrics.
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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: THEMA Working Papers.
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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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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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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.
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2004Efficient Derivative Pricing by Extended Method of Moments In: Working Papers.
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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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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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1997An Econometric Analysis of Household Portfolio Allocation In: Working Papers.
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