32
H index
81
i10 index
5288
Citations
christian s. gourieroux : Citation Profile
University of Toronto | RESEARCH PRODUCTION: 137 Articles 203 Papers 11 Books 4 Chapters EDITOR: Books edited RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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39 years (1979 - 2018). Relations with other researchers
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Authors registered in RePEc who have co-authored more than one work in the last five years with christian s. gourieroux. | Is cited by:
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Main data
Where christian s. gourieroux has published?
Recent works citing christian s. gourieroux (2022 and 2021)
| Year | Title of citing document | |
|---|---|---|
| 2021 | Economic vulnerability is state dependent. (2021). Vallarino, Pierluigi ; Luati, Alessandra ; Catania, Leopoldo. In: CREATES Research Papers. RePEc:aah:create:2021-09. Full description at Econpapers || Download paper | |
| 2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Haulde, Javier. In: CREATES Research Papers. RePEc:aah:create:2022-02. Full description at Econpapers || Download paper | |
| 2022 | . Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2023 | . Full description at Econpapers || Download paper | |
| 2022 | Global Shipping Container Disruptions and U.S. Agricultural Exports. (2022). Zhuang, Xiting ; Steinbach, Sandro ; Carter, Colin A. In: Working Papers. RePEc:ags:iatrwp:320397. Full description at Econpapers || Download paper | |
| 2021 | COVID-19 Trade Actions in the Agricultural and Food Sector. (2021). Steinbach, Sandro ; Ahn, Soojung. In: Journal of Food Distribution Research. RePEc:ags:jlofdr:317780. Full description at Econpapers || Download paper | |
| 2022 | . Full description at Econpapers || Download paper | |
| 2022 | Dynamic Clearing and Contagion in Financial Networks. (2018). Feinstein, Zachary ; Bernstein, Alex ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1801.02091. Full description at Econpapers || Download paper | |
| 2021 | Pricing of debt and equity in a financial network with comonotonic endowments. (2018). Feinstein, Zachary ; Banerjee, Tathagata. In: Papers. RePEc:arx:papers:1810.01372. Full description at Econpapers || Download paper | |
| 2022 | Informational Content of Factor Structures in Simultaneous Binary Response Models. (2019). Maurel, Arnaud ; Zhang, Yichong ; Khan, Shakeeb. In: Papers. RePEc:arx:papers:1910.01318. Full description at Econpapers || Download paper | |
| 2022 | Predicting bubble bursts in oil prices using mixed causal-noncausal models. (2019). Hecq, Alain ; Voisin, Elisa. In: Papers. RePEc:arx:papers:1911.10916. Full description at Econpapers || Download paper | |
| 2023 | Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games. (2019). Blevins, Jason ; Dearing, Adam. In: Papers. RePEc:arx:papers:1912.10488. Full description at Econpapers || Download paper | |
| 2021 | Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation. (2020). Funovits, Bernd. In: Papers. RePEc:arx:papers:2002.04346. Full description at Econpapers || Download paper | |
| 2021 | Unit-root test within a threshold ARMA framework. (2020). Tong, Howell ; Goracci, Greta ; Giannerini, Simone ; Chan, Kung-Sik. In: Papers. RePEc:arx:papers:2002.09968. Full description at Econpapers || Download paper | |
| 2022 | Contingent Convertible Obligations and Financial Stability. (2020). Hurd, T R ; Feinstein, Zachary. In: Papers. RePEc:arx:papers:2006.01037. Full description at Econpapers || Download paper | |
| 2021 | Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics. (2020). Garcin, Matthieu ; Ammy-Driss, Ayoub. In: Papers. RePEc:arx:papers:2007.10727. Full description at Econpapers || Download paper | |
| 2023 | The Spectral Approach to Linear Rational Expectations Models. (2020). Al-Sadoon, Majid. In: Papers. RePEc:arx:papers:2007.13804. Full description at Econpapers || Download paper | |
| 2022 | Optimal Network Compression. (2020). Feinstein, Zachary ; Amini, Hamed. In: Papers. RePEc:arx:papers:2008.08733. Full description at Econpapers || Download paper | |
| 2022 | The Efficiency Gap. (2020). Fissler, Tobias ; Dimitriadis, Timo ; Ziegel, Johanna F. In: Papers. RePEc:arx:papers:2010.14146. Full description at Econpapers || Download paper | |
| 2021 | COVID-19 spreading in financial networks: A semiparametric matrix regression model. (2021). Billio, Monica ; Matteo, Iacopini ; Michele, Costola ; Roberto, Casarin ; Monica, Billio. In: Papers. RePEc:arx:papers:2101.00422. Full description at Econpapers || Download paper | |
| 2021 | Identification at the Zero Lower Bound. (2021). Mavroeidis, Sophocles. In: Papers. RePEc:arx:papers:2103.12779. Full description at Econpapers || Download paper | |
| 2022 | Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif. In: Papers. RePEc:arx:papers:2106.14824. Full description at Econpapers || Download paper | |
| 2022 | A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters. (2021). Corsi, Fulvio ; Bormetti, Giacomo. In: Papers. RePEc:arx:papers:2107.05263. Full description at Econpapers || Download paper | |
| 2021 | MinP Score Tests with an Inequality Constrained Parameter Space. (2021). Yang, Yuhong ; Rahbek, Anders ; Lu, Zeng-Hua ; Cavaliere, Giuseppe. In: Papers. RePEc:arx:papers:2107.06089. Full description at Econpapers || Download paper | |
| 2021 | Arbitrage-free pricing of CVA for cross-currency swap with wrong-way risk under stochastic correlation modeling framework. (2021). Hari, Norbert ; Markus, Laszlo ; Kumar, Ashish. In: Papers. RePEc:arx:papers:2107.06349. Full description at Econpapers || Download paper | |
| 2022 | Time Series Estimation of the Dynamic Effects of Disaster-Type Shock. (2021). Ng, Serena ; Davis, Richard. In: Papers. RePEc:arx:papers:2107.06663. Full description at Econpapers || Download paper | |
| 2021 | Generalized Covariance Estimator. (2021). Jasiak, Joann ; Gourieroux, Christian. In: Papers. RePEc:arx:papers:2107.06979. Full description at Econpapers || Download paper | |
| 2023 | Nested Pseudo Likelihood Estimation of Continuous-Time Dynamic Discrete Games. (2021). Blevins, Jason ; Kim, Minhae. In: Papers. RePEc:arx:papers:2108.02182. Full description at Econpapers || Download paper | |
| 2021 | Composite Likelihood for Stochastic Migration Model with Unobserved Factor. (2021). Djogbenou, Antoine ; Gouri, Christian ; Bandehali, Maygol ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2109.09043. Full description at Econpapers || Download paper | |
| 2023 | Rating transitions forecasting: a filtering approach. (2021). Lelong, J'Erome ; Cousin, Areski ; Picard, Tom ; Norberg, Ragnar. In: Papers. RePEc:arx:papers:2109.10567. Full description at Econpapers || Download paper | |
| 2021 | Open Markets and Hybrid Jacobi Processes. (2021). Larsson, Martin ; Itkin, David. In: Papers. RePEc:arx:papers:2110.14046. Full description at Econpapers || Download paper | |
| 2023 | How Does Risk Hedging Impact Operations? Insights from a Price-Setting Newsvendor Model. (2022). Zhang, Xiao Wei ; Yao, Jin ; Wang, Liao. In: Papers. RePEc:arx:papers:2201.01026. Full description at Econpapers || Download paper | |
| 2022 | Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models. (2022). Li, Junye ; Heng, Jeremy ; Fulop, Andras. In: Papers. RePEc:arx:papers:2201.01094. Full description at Econpapers || Download paper | |
| 2022 | High-Dimensional Sparse Multivariate Stochastic Volatility Models. (2022). Asai, Manabu ; Poignard, Benjamin. In: Papers. RePEc:arx:papers:2201.08584. Full description at Econpapers || Download paper | |
| 2022 | When do you Stop Supporting your Bankrupt Subsidiary?. (2022). Detering, Nils ; Bichuch, Maxim. In: Papers. RePEc:arx:papers:2201.12731. Full description at Econpapers || Download paper | |
| 2022 | Long Run Risk in Stationary Structural Vector Autoregressive Models. (2022). Gourieroux, Christian ; Jasiak, Joann. In: Papers. RePEc:arx:papers:2202.09473. Full description at Econpapers || Download paper | |
| 2022 | Can LSTM outperform volatility-econometric models?. (2022). Rodikov, German ; Antulov-Fantulin, Nino. In: Papers. RePEc:arx:papers:2202.11581. Full description at Econpapers || Download paper | |
| 2023 | Encompassing Tests for Nonparametric Regressions. (2022). Lapenta, Elia ; Lavergne, Pascal. In: Papers. RePEc:arx:papers:2203.06685. Full description at Econpapers || Download paper | |
| 2022 | Indirect Inference for Nonlinear Panel Models with Fixed Effects. (2022). Chen, Shuowen. In: Papers. RePEc:arx:papers:2203.10683. Full description at Econpapers || Download paper | |
| 2022 | Evaluation of the credibility of the Brazilian inflation targeting system using mixed causal-noncausal models. (2022). Hecq, Alain ; Voisin, Elisa ; Issler, Joao. In: Papers. RePEc:arx:papers:2205.00924. Full description at Econpapers || Download paper | |
| 2022 | Is climate change time reversible?. (2022). Morana, Claudio ; Hecq, Alain ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2205.07579. Full description at Econpapers || Download paper | |
| 2022 | Modeling Multivariate Positive-Valued Time Series Using R-INLA. (2022). Basu, Sumanta ; Ravishanker, Nalini ; Dutta, Chiranjit. In: Papers. RePEc:arx:papers:2206.05374. Full description at Econpapers || Download paper | |
| 2022 | Time-Varying Poisson Autoregression. (2022). Cavaliere, Giuseppe ; de Angelis, Luca ; D'Innocenzo, Enzo ; Angelini, Giovanni. In: Papers. RePEc:arx:papers:2207.11003. Full description at Econpapers || Download paper | |
| 2022 | Detecting common bubbles in multivariate mixed causal-noncausal models. (2022). Hecq, Alain ; Cubadda, Gianluca ; Voisin, Elisa. In: Papers. RePEc:arx:papers:2207.11557. Full description at Econpapers || Download paper | |
| 2022 | Eigenvalue tests for the number of latent factors in short panels. (2022). Scaillet, Olivier ; Gagliardini, Patrick ; Fortin, Alain-Philippe. In: Papers. RePEc:arx:papers:2210.16042. Full description at Econpapers || Download paper | |
| 2022 | Whats in a Bill? A Model of Imperfect Moral Hazard in Healthcare. (2022). Zhu, ED ; Anderson, David M ; Hoagland, Alex. In: Papers. RePEc:arx:papers:2211.01116. Full description at Econpapers || Download paper | |
| 2023 | Cointegration with Occasionally Binding Constraints. (2022). Mavroeidis, Sophocles ; Wycherley, Sam ; Duffy, James A. In: Papers. RePEc:arx:papers:2211.09604. Full description at Econpapers || Download paper | |
| 2022 | Fractional integration and cointegration. (2022). Nielsen, Morten ; Hualde, Javier. In: Papers. RePEc:arx:papers:2211.10235. Full description at Econpapers || Download paper | |
| 2022 | Spectral estimation for mixed causal-noncausal autoregressive models. (2022). Hecq, Alain ; Velasquez-Gaviria, Daniel. In: Papers. RePEc:arx:papers:2211.13830. Full description at Econpapers || Download paper | |
| 2022 | Estimating the non-Gaussian Dimension in Structural Linear Systems. (2022). Cabello, Miguel. In: Papers. RePEc:arx:papers:2212.07263. Full description at Econpapers || Download paper | |
| 2023 | Factor Model of Mixtures. (2023). Uryasev, Stanislav ; Peng, Cheng. In: Papers. RePEc:arx:papers:2301.13843. Full description at Econpapers || Download paper | |
| 2023 | Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin. In: Papers. RePEc:arx:papers:2303.12209. Full description at Econpapers || Download paper | |
| 2023 | Uncertain Prior Economic Knowledge and Statistically Identified Structural Vector Autoregressions. (2023). Keweloh, Sascha A. In: Papers. RePEc:arx:papers:2303.13281. Full description at Econpapers || Download paper | |
| 2023 | Credit Valuation Adjustment in Financial Networks. (2023). Zlati, Vinko ; Battiston, Stefano ; Barjavsi, Irena. In: Papers. RePEc:arx:papers:2305.16434. Full description at Econpapers || Download paper | |
| 2023 | Inference in Predictive Quantile Regressions. (2023). Kuriyama, Nina ; Shimotsu, Katsumi ; Maynard, Alex. In: Papers. RePEc:arx:papers:2306.00296. Full description at Econpapers || Download paper | |
| 2023 | Optimization of the Generalized Covariance Estimator in Noncausal Processes. (2023). Jasiak, Joann ; Hecq, Alain ; Cubadda, Gianluca ; Giancaterini, Francesco. In: Papers. RePEc:arx:papers:2306.14653. Full description at Econpapers || Download paper | |
| 2021 | Volatility Bursts: A discrete-time option model with multiple volatility components. (2021). Lilla, Francesca. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1336_21. Full description at Econpapers || Download paper | |
| 2023 | Firms innovation and university cooperation. New evidence from a survey of Italian firms.. (2023). Rigon, Massimiliano ; Cortelezzi, Flavia ; Bragoli, Daniela. In: Temi di discussione (Economic working papers). RePEc:bdi:wptemi:td_1400_23. Full description at Econpapers || Download paper | |
| 2021 | The Cognitive Load of Financing Constraints: Evidence from Large-Scale Wage Surveys. (2021). Lelarge, Claire ; Berson, Clémence ; Lardeux, Raphael. In: Working papers. RePEc:bfr:banfra:836. Full description at Econpapers || Download paper | |
| 2022 | Robust Inference for Non-Gaussian SVAR Models. (2022). Mesters, Geert ; Lee, Adam ; Hoesch, Lukas. In: Working Papers. RePEc:bge:wpaper:1367. Full description at Econpapers || Download paper | |
| 2022 | A transformation?free linear regression for compositional outcomes and predictors. (2022). Datta, Abhirup ; Zeger, Scott ; Fiksel, Jacob. In: Biometrics. RePEc:bla:biomet:v:78:y:2022:i:3:p:974-987. Full description at Econpapers || Download paper | |
| 2022 | Data?driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?. (2022). Maxand, Simone ; Lange, Alexander ; Herwartz, Helmut. In: Economic Inquiry. RePEc:bla:ecinqu:v:60:y:2022:i:2:p:668-693. Full description at Econpapers || Download paper | |
| 2021 | Housing prices, volatility, and fundamental value. (2021). Tomat, Gian Maria. In: Economic Notes. RePEc:bla:ecnote:v:50:y:2021:i:3:n:e12191. Full description at Econpapers || Download paper | |
| 2022 | Firm responsiveness to consumers reviews: The effect on online reputation. (2022). Rojas, Christian ; Rezvani, Erfan. In: Journal of Economics & Management Strategy. RePEc:bla:jemstr:v:31:y:2022:i:4:p:898-922. Full description at Econpapers || Download paper | |
| 2021 | Learning From Disagreement in the U.S. Treasury Bond Market. (2021). Singleton, Kenneth J ; Laursen, Kristoffer T ; Giacoletti, Marco. In: Journal of Finance. RePEc:bla:jfinan:v:76:y:2021:i:1:p:395-441. Full description at Econpapers || Download paper | |
| 2021 | A dynamic factor model approach to incorporate Big Data in state space models for official statistics. (2021). Smeekes, Stephan ; Palm, Franz ; Schiavoni, Caterina ; van den Brakel, Jan. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:1:p:324-353. Full description at Econpapers || Download paper | |
| 2021 | Filtering the intensity of public concern from social media count data with jumps. (2021). Santagiustina, Carlo ; Iacopini, Matteo. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:184:y:2021:i:4:p:1283-1302. Full description at Econpapers || Download paper | |
| 2022 | Assessing hail risk for property insurers with a dependent marked point process. (2022). Dickinson, Daniel ; Fung, Glenn M ; Shi, Peng. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:1:p:302-328. Full description at Econpapers || Download paper | |
| 2022 | A unique bond: Twin bereavement and lifespan associations of identical and fraternal twins. (2022). Drepper, Bettina ; van den Berg, Gerard J. In: Journal of the Royal Statistical Society Series A. RePEc:bla:jorssa:v:185:y:2022:i:2:p:677-698. Full description at Econpapers || Download paper | |
| 2021 | Wishart?gamma random effects models with applications to nonlife insurance. (2021). Lu, Yang ; Denuit, Michel. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:88:y:2021:i:2:p:443-481. Full description at Econpapers || Download paper | |
| 2022 | Information asymmetry, ex ante moral hazard, and uninsurable risk in liability coverage: Evidence from Chinas automobile insurance market. (2022). Gao, Feng ; Deng, Yinglu ; Yao, YI ; Zheng, Hao. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:89:y:2022:i:1:p:131-160. Full description at Econpapers || Download paper | |
| 2021 | Quasi?maximum likelihood estimation of conditional autoregressive Wishart models. (2021). Asai, Manabu. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:3:p:271-294. Full description at Econpapers || Download paper | |
| 2021 | Indirect inference for time series using the empirical characteristic function and control variates. (2021). Kluppelberg, Claudia ; Do, Thiago ; Davis, Richard A. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:42:y:2021:i:5-6:p:653-684. Full description at Econpapers || Download paper | |
| 2022 | Periodic autoregressive conditional duration. (2022). Dimitrakopoulos, Stefanos ; Almohaimeed, Bader ; Aknouche, Abdelhakim. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:1:p:5-29. Full description at Econpapers || Download paper | |
| 2022 | On causal and non?causal cointegrated vector autoregressive time series. (2022). Swensen, Anders Rygh ; RyghSwensen, Anders. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:2:p:178-196. Full description at Econpapers || Download paper | |
| 2022 | Estimation and inference in adaptive learning models with slowly decreasing gains. (2022). Mayer, Alexander. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:5:p:720-749. Full description at Econpapers || Download paper | |
| 2022 | Autoregressive mixture models for clustering time series. (2022). Barnett, Ian ; Ren, Benny. In: Journal of Time Series Analysis. RePEc:bla:jtsera:v:43:y:2022:i:6:p:918-937. Full description at Econpapers || Download paper | |
| 2022 | The Laplace transform of the integrated Volterra Wishart process. (2022). Jaber, Eduardo Abi. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:1:p:309-348. Full description at Econpapers || Download paper | |
| 2022 | An infinite?dimensional affine stochastic volatility model. (2022). Khedher, Asma ; Karbach, Sven ; Cox, Sonja. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:3:p:878-906. Full description at Econpapers || Download paper | |
| 2023 | Noncausal affine processes with applications to derivative pricing. (2023). Lu, Yang ; Gourieroux, Christian. In: Mathematical Finance. RePEc:bla:mathfi:v:33:y:2023:i:3:p:766-796. Full description at Econpapers || Download paper | |
| 2023 | Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots. (2023). Li, Qiyuan ; Chen, YE. In: Oxford Bulletin of Economics and Statistics. RePEc:bla:obuest:v:85:y:2023:i:4:p:910-937. Full description at Econpapers || Download paper | |
| 2022 | The beaten paths effect on patient inter?regional mobility: An application to the Italian NHS. (2022). Martini, Gianmaria ; Berta, Paolo ; Vittadini, Giorgio ; Spinelli, Daniele. In: Papers in Regional Science. RePEc:bla:presci:v:101:y:2022:i:4:p:945-977. Full description at Econpapers || Download paper | |
| 2021 | Conspicuous consumption and household indebtedness. (2021). Mori, Masaki ; Ok, Kwan. In: Real Estate Economics. RePEc:bla:reesec:v:49:y:2021:i:s2:p:557-586. Full description at Econpapers || Download paper | |
| 2021 | The distribution of city sizes in Turkey: A failure of Zipf’s law due to concavity. (2021). Cieślik, Andrzej ; Cielik, Andrzej ; Duran, Hasan Engin. In: Regional Science Policy & Practice. RePEc:bla:rgscpp:v:13:y:2021:i:5:p:1702-1719. Full description at Econpapers || Download paper | |
| 2022 | Mapping poverty rates in Chile with night lights and fractional multinomial models. (2022). Cecchini, Simone ; Tromben, Varinia ; Savio, Giovanni. In: Regional Science Policy & Practice. RePEc:bla:rgscpp:v:14:y:2022:i:4:p:850-876. Full description at Econpapers || Download paper | |
| 2021 | Effects of Insurance Incentives on Road Safety: Evidence from a Natural Experiment in China. (2021). Dionne, Georges ; Liu, Ying. In: Scandinavian Journal of Economics. RePEc:bla:scandj:v:123:y:2021:i:2:p:453-477. Full description at Econpapers || Download paper | |
| 2021 | Non?Gaussian geostatistical modeling using (skew) t processes. (2021). Morales-Oñate, VÃÂctor ; Morales-Onate, Victor ; Moralesoate, Victor ; Arellanovalle, Reinaldo B ; Caamaocarrillo, Christian ; Bevilacqua, Moreno. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:212-245. Full description at Econpapers || Download paper | |
| 2021 | The predictive distributions of thinning?based count processes. (2021). Lu, Yang. In: Scandinavian Journal of Statistics. RePEc:bla:scjsta:v:48:y:2021:i:1:p:42-67. Full description at Econpapers || Download paper | |
| 2023 | When stronger patent law reduces patenting: Empirical evidence. (2023). Xiong, XI ; I. P. L. Png, ; Hou, Yun. In: Strategic Management Journal. RePEc:bla:stratm:v:44:y:2023:i:4:p:977-1012. Full description at Econpapers || Download paper | |
| 2021 | Determinants of foreign direct investment from Europe to Asia. (2021). Cieślik, Andrzej ; Cielik, Andrzej. In: The World Economy. RePEc:bla:worlde:v:44:y:2021:i:6:p:1842-1858. Full description at Econpapers || Download paper | |
| 2023 | How did Brexit impact EU trade? Evidence from real data. (2023). Kapar, Burcu ; Buigut, Steven. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:6:p:1566-1581. Full description at Econpapers || Download paper | |
| 2023 | Service trade restrictiveness and foreign direct investment—Evidence from greenfield FDI in business services. (2023). Marschinski, Robert ; Jungmittag, Andre. In: The World Economy. RePEc:bla:worlde:v:46:y:2023:i:6:p:1711-1758. Full description at Econpapers || Download paper | |
| 2021 | The importance of supply and demand for oil prices: evidence from non-Gaussianity. (2021). Braun, Robin. In: Bank of England working papers. RePEc:boe:boeewp:0957. Full description at Econpapers || Download paper | |
| 2022 | Locally- but not Globally-identified SVARs. (2022). Kitagawa, Toru ; Bacchiocchi, Emanuele. In: Working Papers. RePEc:bol:bodewp:wp1171. Full description at Econpapers || Download paper | |
| 2021 | Identification of Seasonal Effects in Impulse Responses Using Score-Driven Multivariate Location Models. (2021). Blazsek, Szabolcs ; Alvaro, Escribano ; Adrian, Licht ; Szabolcs, Blazsek. In: Journal of Econometric Methods. RePEc:bpj:jecome:v:10:y:2021:i:1:p:53-66:n:3. Full description at Econpapers || Download paper | |
| 2023 | Realized BEKK-CAW Models. (2023). Mike, SO ; Manabu, Asai. In: Journal of Time Series Econometrics. RePEc:bpj:jtsmet:v:15:y:2023:i:1:p:49-77:n:1. Full description at Econpapers || Download paper | |
| 2021 | Selecting between causal and noncausal models with quantile autoregressions. (2021). Hecq, Alain ; Li, Sun. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:25:y:2021:i:5:p:393-416:n:3. Full description at Econpapers || Download paper | |
| 2023 | UK monetary and fiscal policy since the Great Recession- an evaluation. (2023). Minford, A. Patrick ; Wang, Ziqing ; Meenagh, David ; Mai, Vo Phuong. In: Cardiff Economics Working Papers. RePEc:cdf:wpaper:2023/9. Full description at Econpapers || Download paper | |
| 2021 | Machine learning in international trade research - evaluating the impact of trade agreements. (2021). Zylkin, Thomas ; Santos Silva, João ; Rocha, Nadia ; Corradi, Valentina ; Breinlich, Holger ; J. M. C. Santos Silva, ; J. M. C. Santos Silva, ; Ruta, Michele. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1776. Full description at Econpapers || Download paper | |
| 2021 | Trade, gravity and aggregation. (2021). Santos Silva, João ; Novy, Dennis ; J. M. C. Santos Silva, ; J. M. C. Santos Silva, ; Breinlich, Holger. In: CEP Discussion Papers. RePEc:cep:cepdps:dp1802. Full description at Econpapers || Download paper | |
| More than 100 citations found, this list is not complete... |
christian s. gourieroux has edited the books:
| Year | Title | Type | Cited |
|---|
Works by christian s. gourieroux:
| Year | Title | Type | Cited |
|---|---|---|---|
| 1987 | Kullback Causality Measures In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 18 |
| 1987 | Une approche géométrique des processus ARMA In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 1988 | Agrégation de processus autorégressifs dordre 1 In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 1987 | Agrégation de processus autoregressifs dordre 1.(1987) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 1990 | Hétérogénéité - 1. Etude des biais destimation dans le cas linéaire In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 1990 | Hétérogénéité - 2. Etude des biais de représentativité (sous lhypothèse dexogénéité faible) In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 1990 | Hétérogénéité et hasard dans les modèles de durée In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 1991 | Simulation Based Inference in Models with Heterogeneity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 23 |
| 1992 | Courbes de performances, de sélection et de discrimination In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 2 |
| 1993 | Tests sur le noyau, limage et le rang de la matrice des coefficients dun modéle linéaire multivarié In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 4 |
| 1995 | Linear Factor Models and the Term Structure of Interest Rates In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 1996 | Diffusion et effet de vague In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2000 | Causality between Returns and Traded Volumes In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 3 |
| 1998 | Causality Between Returns and Trated Volumes.(1998) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2000 | Intraday Transaction Price Dynamics In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 10 |
| 2005 | Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 12 |
| 2006 | Pricing with Splines In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 5 |
| 2002 | Pricing with Splines.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2006 | Migration Correlation: Estimation Method and Application to French Corporates Ratings In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2007 | Diffusion Processes with Polynomial Eigenfunctions In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2013 | Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2017 | Consistent Pseudo-Maximum Likelihood Estimators In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 1 |
| 2016 | Consistent Pseudo-Maximum Likelihood Estimators.(2016) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2017 | Consistent Pseudo-Maximum Likelihood Estimators.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | paper | |
| 2017 | Aversions to Impatience, Uncertainty and Illiquidity In: Annals of Economics and Statistics. [Full Text][Citation analysis] | article | 0 |
| 2010 | Derivative Pricing With Wishart Multivariate Stochastic Volatility In: Journal of Business & Economic Statistics. [Full Text][Citation analysis] | article | 42 |
| 2012 | A term structure model with level factor cannot be realistic and arbitrage free In: Working papers. [Full Text][Citation analysis] | paper | 0 |
| 2012 | Shock on Variable or Shock on Distribution with Application to Stress-Tests In: Working papers. [Full Text][Citation analysis] | paper | 2 |
| 2012 | Shock on Variable or Shock on Distribution with Application to Stress-Tests.(2012) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2012 | Bilateral Exposures and Systemic Solvency Risk. In: Working papers. [Full Text][Citation analysis] | paper | 44 |
| 2012 | Bilateral exposures and systemic solvency risk.(2012) In: Canadian Journal of Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | article | |
| 2013 | Pricing Default Events: Surprise, Exogeneity and Contagion. In: Working papers. [Full Text][Citation analysis] | paper | 9 |
| 2013 | Pricing Default Events : Surprise, Exogeneity and Contagion.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 2014 | Pricing default events: Surprise, exogeneity and contagion.(2014) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2013 | Regime Switching and Bond Pricing. In: Working papers. [Full Text][Citation analysis] | paper | 5 |
| 2013 | Regime Switching and Bond Pricing.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2014 | Regime Switching and Bond Pricing.(2014) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 2017 | Local explosion modelling by non-causal process In: Journal of the Royal Statistical Society Series B. [Full Text][Citation analysis] | article | 10 |
| 2016 | Local Explosion Modelling by Noncausal Process.(2016) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
| 2009 | Control and Out?of?Sample Validation of Dependent Risks In: Journal of Risk & Insurance. [Full Text][Citation analysis] | article | 0 |
| 2006 | Structural Laplace Transform and Compound Autoregressive Models In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 31 |
| 2008 | Duration time?series models with proportional hazard In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 12 |
| 2002 | Duration Time Series Models with Proportional Hazard.(2002) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | paper | |
| 2015 | On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 3 |
| 2014 | On uniqueness of moving average representations of heavy-tailed stationary processes.(2014) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 2016 | Filtering, Prediction and Simulation Methods for Noncausal Processes In: Journal of Time Series Analysis. [Full Text][Citation analysis] | article | 23 |
| 1998 | Mean?Variance Hedging and Numéraire In: Mathematical Finance. [Full Text][Citation analysis] | article | 32 |
| 1996 | Mean-variance hedging and numeraire.(1996) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] This paper has another version. Agregated cites: 32 | paper | |
| 2009 | Efficiency in Large Dynamic Panel Models with Common Factor In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 19 |
| 2010 | Efficiency in Large Dynamic Panel Models with Common Factor.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 2014 | EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS.(2014) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | article | |
| 2010 | Efficient Derivative Pricing By The Extended Method of Moments In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 34 |
| 2004 | Efficient Derivative Pricing by Extended Method of Moments.(2004) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2005 | Efficient Derivative Pricing by Extended Method of Moments.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2011 | Efficient Derivative Pricing by the Extended Method of Moments.(2011) In: Econometrica. [Citation analysis] This paper has another version. Agregated cites: 34 | article | |
| 2005 | Efficient Derivative Pricing by Extended Method of Moments.(2005) In: University of St. Gallen Department of Economics working paper series 2005. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
| 2010 | Microinformation, Nonlinear Filtering and Granularity In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 1 |
| 2010 | Microinformation, Nonlinear Filtering, and Granularity.(2010) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 2014 | Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 0 |
| 1995 | Market Time and Asset Price Movements Theory and Estimation In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 22 |
| 1995 | Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 1995 | Market Time and Asset Price Movements: Theory and Estimation..(1995) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
| 1995 | Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 1996 | Kernel Autocorrelogram for Time Deformed Processes In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1996 | Arbitrage Based Pricing When Volatility Is Stochastic In: CIRANO Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 1996 | Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 1996 | Arbitrage-Based Pricing when Volatility is Stochastic..(1996) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 1991 | Computation of multipliers in multivariate rational expectations models. In: LIDAM Discussion Papers CORE. [Citation analysis] | paper | 2 |
| 1993 | Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 0 |
| 1999 | Bartlett identities tests In: LIDAM Discussion Papers CORE. [Full Text][Citation analysis] | paper | 8 |
| 1999 | Bartlett Identities Tests.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1999 | Bartlett Identities Tests.(1999) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 8 | paper | |
| 1995 | Solutions of multivariate rational expectations models In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 20 |
| 1995 | Solutions of multivariate Rational Expectations Models.(1995) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
| 1995 | Solutions of Multivariate Rational Expectations Models.(1995) In: ULB Institutional Repository. [Citation analysis] This paper has another version. Agregated cites: 20 | paper | |
| 1998 | Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators In: LIDAM Reprints CORE. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators.(1998) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 1981 | Pseudo maximum likelihood methods : theory In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 536 |
| 1984 | Pseudo Maximum Likelihood Methods: Theory..(1984) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 536 | article | |
| 1982 | Pseudo maximum lilelihood methods : applications to poisson models In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 705 |
| 1984 | Pseudo Maximum Likelihood Methods: Applications to Poisson Models..(1984) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 705 | article | |
| 1982 | Some theoretical results for generalized ridge regression estimators In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 1 |
| 1984 | Some theoretical results for generalized ridge regression estimators.(1984) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
| 1982 | Asymptotic comparison of tests for non-nested hypotheses by bahadurs a.r.e In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1982 | Revision adaptative des anticipations et convergence vers les anticipations rationnelles In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1982 | Estimation and test in probit models with serial correlation In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 3 |
| 1983 | The agregation of commodities in quantity rationing models In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 6 |
| 1985 | The Aggregation of Commodities in Quantity Rationing Models..(1985) In: International Economic Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 1983 | Rational expectations models and bounded memory In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1985 | Rational Expectations Models and Bounded Memory..(1985) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 1983 | Modèles a anticipations rationnelles apprentissage par regression In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1983 | Direct test of the rational expectations hypothesis (with special attention to qualitative variables) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1984 | Learning procedure and convergence to rationality In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 38 |
| 1986 | Learning Procedures and Convergence to Rationality..(1986) In: Econometrica. [Full Text][Citation analysis] This paper has another version. Agregated cites: 38 | article | |
| 1984 | Solutions of dynamic linear rational expectations models In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 14 |
| 1985 | Solutions of Dynamic Linear Rational Expectations Models.(1985) In: ULB Institutional Repository. [Full Text][Citation analysis] This paper has another version. Agregated cites: 14 | paper | |
| 1984 | General approach of serial correlation (a). In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 41 |
| 1985 | A General Approach to Serial Correlation.(1985) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 41 | article | |
| 1985 | Simulated residuals In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 21 |
| 1987 | Simulated residuals.(1987) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 21 | article | |
| 1985 | Testing unknown linear restrictions on parameter functions In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1985 | Vérification empirique de deux schémas danticipation adaptatif et rationnel In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1986 | Reduction and identification of simultaneous equations models with rational expectations In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1986 | Approche géométrique des processus arma (une) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1986 | Strong concentration ordering. In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1986 | Identification & consistent estimation of multi-variate linear models with rational expectations of current variables In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 1 |
| 1987 | Consistent m-estimators in a semi-parametric model In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 2 |
| 1987 | Functional averages and statistical inference In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1987 | Contraintes linéaires mixtes In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1987 | Heterogeneity and hazard dominance in duration data models In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 2 |
| 1987 | Court et long-terme dans les modèles de durée. In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1988 | Functional limit theorem for fractional processes (a). In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 4 |
| 1988 | Hétérogénéité dans les modèles à représentation linéaire. In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 1 |
| 1988 | Hétérogénéité/i/cas linéaire (le) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1988 | Hétérogénéité/ii/etude de biais (sous lhypothèse dexogénéité faible) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1989 | Detecting a long run relationship (with an application to the p.p.p. hypothesis) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 5 |
| 1990 | Sélection de clientèle et tarification de prêt bancaire In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1991 | Qualitative threshold arch models In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 69 |
| 1992 | Qualitative threshold ARCH models.(1992) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 69 | article | |
| 1991 | Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1991 | Transitions in economy : price changes in russia in the twenties In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1991 | Modèles de durée et effets de génération In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1992 | Quantité de monnaie (la) : russie, les années 1918-1927 In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1993 | Modèles linéaires à facteurs et structure à terme des taux dintérêt In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1993 | Prévision de mesures de prix contingents In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1993 | Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 1 |
| 1994 | Kernel m-estimators : non parametric diagnostics for structural models In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1994 | Testing, encompassing and simulating dynamic econometric models In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 24 |
| 1995 | Testing, Encompassing, and Simulating Dynamic Econometric Models.(1995) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 24 | article | |
| 1994 | Multivariate distributions for limited dependent variable models In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 1 |
| 1994 | Estimation of the term structure from bond data In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 7 |
| 1994 | Modèles économétriques : utilisation et interprétation (les) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1995 | Comparison of Kernel estimator based goodness of fit tests (a) In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1997 | Econometric specification of the risk neutral valuation model In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 5 |
| 1997 | Econometric Specification of the Risk Neutral Valuation Model.(1997) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | paper | |
| 2000 | Econometric specification of the risk neutral valuation model.(2000) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 5 | article | |
| 1997 | Modes de négociation et caractéristiques de marché In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1997 | Composition des portefeuilles des ménages: une analyse scores sur données françaises In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 0 |
| 1999 | Nonlinear innovations and impulse responses In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 9 |
| 1999 | Nonlinear Innovations and Impulse Response.(1999) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
| 1999 | Nonlinear persistence and copersistence In: CEPREMAP Working Papers (Couverture Orange). [Full Text][Citation analysis] | paper | 1 |
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| 2000 | Sensitivity Analysis of Values at Risk In: Working Papers. [Full Text][Citation analysis] | paper | 132 |
| 2000 | Sensitivity Analysis of Values at Risk.(2000) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
| 2000 | Sensitivity Analysis of Values at Risk.(2000) In: Econometric Society World Congress 2000 Contributed Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
| 2000 | Sensitivity analysis of Values at Risk.(2000) In: Journal of Empirical Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 132 | article | |
| 2000 | Sensitivity analysis of values at risk.(2000) In: THEMA Working Papers. [Citation analysis] This paper has another version. Agregated cites: 132 | paper | |
| 2000 | Kernel Based Nonlinear Canonical Analysis and Time Reversibility In: Working Papers. [Full Text][Citation analysis] | paper | 12 |
| 2004 | Kernel-based nonlinear canonical analysis and time reversibility.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
| 2000 | Factor ARMA Representation of a Markov Process In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
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| 2001 | Conditions for Optimality in Experimental Designs In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2001 | Compound Autoregressive Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2001 | Ajustement des prix bid et ask en présence dinformation privée In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
| 2001 | Tails and Extremal Behaviour of Stochastic Unit Root Models In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2001 | Local Likelihood Density Estimation and Value at Risk In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2002 | Constrained Nonparametric Copulas In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2002 | Affine Term Structure Models In: Working Papers. [Full Text][Citation analysis] | paper | 18 |
| 2002 | Equidependence in Qualitative and Duration Models with Application to Credit Risk In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2003 | Whishart Quadratic Term Structure Models In: Working Papers. [Full Text][Citation analysis] | paper | 17 |
| 2004 | Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2004 | The Wishart Autoregressive of Multivariate Stochastic Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2004 | Stochastic Migration Models with Application to Corporate Risk In: Working Papers. [Full Text][Citation analysis] | paper | 22 |
| 2005 | International Money and Stock Market Contingent Claims In: Working Papers. [Full Text][Citation analysis] | paper | 9 |
| 2010 | International money and stock market contingent claims.(2010) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | article | |
| 2005 | A Classification of Two Factor Affine Diffusion Term Structure Models In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2006 | A Classification of Two-Factor Affine Diffusion Term Structure Models.(2006) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2005 | Wishart Autoregressive Model for Stochastic Risk In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2005 | Affine Model for Credit Risk Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 25 |
| 2006 | Affine Models for Credit Risk Analysis.(2006) In: The Journal of Financial Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 25 | article | |
| 2006 | Efficient Portfolio Analysis Using Distortion Risk Measures In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2006 | A Degeneracy in the Analysis of Volatility and Covolatility Effects In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2006 | (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
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| 2007 | Quadratic Stochastic Intensity and Prospective Mortality Tables In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2008 | Quadratic stochastic intensity and prospective mortality tables.(2008) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2010 | Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk In: Working Papers. [Full Text][Citation analysis] | paper | 5 |
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| 2010 | An Analysis of the Ultra Long-Term Yields In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2011 | Allocating Systematic and Unsystematic Risks in a Regulatory Perspective In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 2011 | Granularity Theory with Application to Finance and Insurance In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
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| 2012 | Correlated Risks vs Contagion in Stochastic Transition Models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
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| 2012 | Estimation Adjusted VaR In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2013 | ESTIMATION-ADJUSTED VAR.(2013) In: Econometric Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
| 2012 | Robust Portfolio Allocation with Systematic Risk Contribution Restrictions In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2012 | Survival of Hedge Funds : Frailty vs Contagion In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2013 | Explosive Bubble Modelling by Noncausal Process In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2013 | Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Liquidation Equilibrium with Seniority and Hidden CDO In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
| 2013 | Liquidation equilibrium with seniority and hidden CDO.(2013) In: Journal of Banking & Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
| 2013 | Love and Death : A Freund Model with Frailty In: Working Papers. [Full Text][Citation analysis] | paper | 10 |
| 2015 | Love and death: A Freund model with frailty.(2015) In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
| 2013 | Long Term Care and Longevity In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Funding Liquidity Risk from A Regulatory Perspective In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2013 | Procyclité des Régulations des Marchés Financiers In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2014 | Filtering and Prediction in Noncausal Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Misspecification of Causal and Noncausal Orders in Autoregressive Processes In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 2014 | Revisiting Identification and estimation in Structural VARMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Semi-Parametric Estimation of Noncausal Vector Autoregression In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2015 | Statistical Inference for Independent Component Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Robust Analysis of the Martingale Hypothesis In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2016 | Structural Dynamic Analysis of Systematic Risk In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2016 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models In: Working Papers. [Full Text][Citation analysis] | paper | 74 |
| 2017 | Statistical Inference for Independent Component Analysis: Application to Structural VAR Models.(2017) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | paper | |
| 2017 | Statistical inference for independent component analysis: Application to structural VAR models.(2017) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 74 | article | |
| 2016 | Stationary Bubble Equilibria in Rational Expectation Models In: Working Papers. [Full Text][Citation analysis] | paper | 8 |
| 2016 | Composite Indirect Inference with Application to Corporate Risks In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2016 | A Flexible State-Space Model with Application to Stochastic Volatility In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2017 | Composite Indirect Inference with Application In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 2017 | Identification and Estimation in Non-Fundamental Structural VARMA Models In: Working Papers. [Full Text][Citation analysis] | paper | 6 |
| 2018 | Negative Binomial Autoregressive Process In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 2018 | Negative Binomial Autoregressive Process.(2018) In: CEPN Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Negative Binomial Autoregressive Process.(2018) In: CEPN Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 2018 | Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 2018 | Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations.(2018) In: MPRA Paper. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
| 1997 | The Informational Content of Household Decisions In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
| 1997 | Dynamiques tronquées et estimation de modèles de diffusion In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | The Portfolio Composition of Households : A Scoring Analysis from French Data In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1997 | Modèles de comptage semi-paramétriques In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Modèles de comptage semi-paramétriques.(1997) In: L'Actualité Economique. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
| 1997 | Truncated Dynamics and Estimation of DiffusionEquations In: Working Papers. [Full Text][Citation analysis] | paper | 11 |
| 2001 | Truncated dynamics and estimation of diffusion equations.(2001) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 11 | article | |
| 1997 | An Econometric Analysis of Household Portfolio Allocation In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 1997 | Stochastic Volatility Duration Models In: Working Papers. [Full Text][Citation analysis] | paper | 75 |
| 2004 | Stochastic volatility duration models.(2004) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 75 | article | |
| 1997 | Multiregime Term Structure Models In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1997 | Multiregime Term Structure Models.(1997) In: LIDAM Discussion Papers IRES. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1998 | Matching Procedures and Market Characteristics In: Working Papers. [Full Text][Citation analysis] | paper | 0 |
| 1998 | Evidence of Adverse Selection in Automobile Insurance Markets In: Working Papers. [Full Text][Citation analysis] | paper | 19 |
| 1998 | Evidence of adverse selection in automobile insurance markets.(1998) In: THEMA Working Papers. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 1998 | Evidence of Adverse Selection in Automobile Insurance Markets.(1998) In: Ecole des Hautes Etudes Commerciales de Montreal-. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 1998 | Evidence of Adverse Selection in Automobile Insurance Markets.(1998) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
| 1998 | Truncated Maximum Likelihood and Nonparametric Tail Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 3 |
| 1998 | The Econometrics of Efficient Frontiers In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1998 | Nonlinear Autocorrelograms : An Application to Intra-Trade Durations In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
| 1998 | Nonlinear Panel Data Models with Dynamic Heterogeneity In: Working Papers. [Full Text][Citation analysis] | paper | 1 |
| 1998 | Kernel Based Nonlinear Canonical Analysis In: Working Papers. [Full Text][Citation analysis] | paper | 2 |
| 1999 | Kernel Based Nonlinear Canonical Analysis..(1999) In: Toulouse - GREMAQ. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 2001 | Kernel Based Nonlinear Canonical Analysis.(2001) In: IDEI Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
| 1999 | Dynamic Factor Models In: Working Papers. [Full Text][Citation analysis] | paper | 7 |
| 2001 | DYNAMIC FACTOR MODELS.(2001) In: Econometric Reviews. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
| 1987 | vérfication empirique de la rationalité des anticipations de la demande par les entreprises In: Discussion Papers (REL - Recherches Economiques de Louvain). [Full Text][Citation analysis] | paper | 1 |
| 2000 | Econometrics of Qualitative Dependent Variables In: Cambridge Books. [Citation analysis] | book | 73 |
| 2000 | Econometrics of Qualitative Dependent Variables.(2000) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 73 | book | |
| 1995 | Statistics and Econometric Models In: Cambridge Books. [Citation analysis] | book | 191 |
| 1995 | Statistics and Econometric Models.(1995) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 191 | book | |
| 1995 | Statistics and Econometric Models.(1995) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 191 | book | |
| 1995 | Statistics and Econometric Models.(1995) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 191 | book | |
| 1997 | Time Series and Dynamic Models In: Cambridge Books. [Citation analysis] | book | 72 |
| 1997 | Time Series and Dynamic Models.(1997) In: Cambridge Books. [Citation analysis] This paper has another version. Agregated cites: 72 | book | |
| 1985 | Solutions of Linear Rational Expectations Models In: Econometric Theory. [Full Text][Citation analysis] | article | 16 |
| 2006 | STOCHASTIC UNIT ROOT MODELS In: Econometric Theory. [Full Text][Citation analysis] | article | 14 |
| 1989 | A General Framework for Testing a Null Hypothesis in a “Mixed†Form In: Econometric Theory. [Full Text][Citation analysis] | article | 19 |
| 2006 | Indirect Inference for Dynamic Panel Models In: Cowles Foundation Discussion Papers. [Full Text][Citation analysis] | paper | 72 |
| 2010 | Indirect inference for dynamic panel models.(2010) In: Journal of Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 72 | article | |
| 1980 | Disequilibrium Econometrics in Simultaneous Equations Systems. In: Econometrica. [Full Text][Citation analysis] | article | 16 |
| 1980 | Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes. In: Econometrica. [Full Text][Citation analysis] | article | 79 |
| 1979 | Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes.(1979) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 79 | paper | |
| 1980 | Sufficient Linear Structures: Econometric Applications. In: Econometrica. [Full Text][Citation analysis] | article | 10 |
| 1982 | Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters. In: Econometrica. [Full Text][Citation analysis] | article | 152 |
| 1982 | Rational Expectations in Dynamic Linear Models: Analysis of the Solutions. In: Econometrica. [Full Text][Citation analysis] | article | 47 |
| 1989 | Testing for Common Roots. In: Econometrica. [Full Text][Citation analysis] | article | 1 |
| 1998 | Instrumental Models and Indirect Encompassing In: Econometrica. [Citation analysis] | article | 9 |
| 2011 | Discrete time Wishart term structure models In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 11 |
| 1986 | Testing non-nested hypotheses In: Handbook of Econometrics. [Full Text][Citation analysis] | chapter | 7 |
| 1980 | On the backward-forward procedure In: Economics Letters. [Full Text][Citation analysis] | article | 0 |
| 2001 | Memory and infrequent breaks In: Economics Letters. [Full Text][Citation analysis] | article | 62 |
| 1979 | On the characterization of a joint probability distribution by conditional distributions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2006 | Multivariate Jacobi process with application to smooth transitions In: Journal of Econometrics. [Full Text][Citation analysis] | article | 30 |
| 2007 | Econometric specification of stochastic discount factor models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 36 |
| 2007 | An efficient nonparametric estimator for models with nonlinear dependence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 6 |
| 2008 | Dynamic quantile models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 50 |
| 2006 | DYNAMIC QUANTILE MODELS.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 50 | paper | |
| 2009 | The Wishart Autoregressive process of multivariate stochastic volatility In: Journal of Econometrics. [Full Text][Citation analysis] | article | 144 |
| 2005 | The Wishart Autoregressive Process of Multivariate Stochastic Volatility.(2005) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 144 | paper | |
| 1981 | Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
| 1981 | Asymptotic properties of the maximum likelihood estimator in dichotomous logit models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 9 |
| 2015 | Pricing with finite dimensional dependence In: Journal of Econometrics. [Full Text][Citation analysis] | article | 5 |
| 2017 | Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation In: Journal of Econometrics. [Full Text][Citation analysis] | article | 13 |
| 2017 | Double instrumental variable estimation of interaction models with big data In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 2018 | Misspecification of noncausal order in autoregressive processes In: Journal of Econometrics. [Full Text][Citation analysis] | article | 7 |
| 1983 | Testing nested or non-nested hypotheses In: Journal of Econometrics. [Full Text][Citation analysis] | article | 25 |
| 1984 | Specification pre-test estimator In: Journal of Econometrics. [Full Text][Citation analysis] | article | 2 |
| 1987 | Generalised residuals In: Journal of Econometrics. [Full Text][Citation analysis] | article | 207 |
| 1993 | Simulation-based inference : A survey with special reference to panel data models In: Journal of Econometrics. [Full Text][Citation analysis] | article | 150 |
| 1997 | Duration, transition and count data models Introduction In: Journal of Econometrics. [Full Text][Citation analysis] | article | 1 |
| 1997 | A count data model with unobserved heterogeneity In: Journal of Econometrics. [Full Text][Citation analysis] | article | 10 |
| 1997 | Rank tests for unit roots In: Journal of Econometrics. [Full Text][Citation analysis] | article | 44 |
| 1996 | Rank tests for unit roots.(1996) In: SFB 373 Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
| 1986 | Direct test of the rational expectation hypothesis In: European Economic Review. [Full Text][Citation analysis] | article | 15 |
| 2005 | The econometrics of efficient portfolios In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 15 |
| 2008 | The ordered qualitative model for credit rating transitions In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 33 |
| 2006 | The Ordered Qualitative Model For Credit Rating Transitions.(2006) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 33 | paper | |
| 2009 | L-performance with an application to hedge funds In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 13 |
| 2013 | Linear-price term structure models In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
| 1995 | Prepayment analysis for securitization In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 2 |
| 1999 | Econometrics of efficient fitted portfolios In: Journal of Empirical Finance. [Full Text][Citation analysis] | article | 8 |
| 1999 | Intra-day market activity In: Journal of Financial Markets. [Full Text][Citation analysis] | article | 57 |
| 1997 | Unemployment insurance and mortgages In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 0 |
| 2004 | Heterogeneous INAR(1) model with application to car insurance In: Insurance: Mathematics and Economics. [Full Text][Citation analysis] | article | 21 |
| 2005 | Migration correlation: Definition and efficient estimation In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
| 2010 | Conditionally fitted Sharpe performance with an application to hedge fund rating In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 18 |
| 2012 | Granularity adjustment for default risk factor model with cohorts In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 2 |
| 2009 | Managing hedonic housing price indexes: The French experience In: Journal of Housing Economics. [Full Text][Citation analysis] | article | 10 |
| 2001 | Local Power Properties of Kernel Based Goodness of Fit Tests In: Journal of Multivariate Analysis. [Full Text][Citation analysis] | article | 7 |
| 1998 | The informational content of household decisions with applications to insurance under adverse selection In: THEMA Working Papers. [Citation analysis] | paper | 4 |
| 1998 | The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection.(1998) In: Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor.. [Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 1992 | Indirect Inference. In: Toulouse - GREMAQ. [Citation analysis] | paper | 527 |
| 1993 | Indirect Inference..(1993) In: Journal of Applied Econometrics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 527 | article | |
| 1996 | Actifs Financiers et Theorie de la Consommation. In: Toulouse - GREMAQ. [Citation analysis] | paper | 0 |
| 1996 | Actifs financiers et theorie de la consommation..(1996) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1996 | Actifs financiers et theorie de la consommation..(1996) In: Cahiers de recherche. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1996 | Calibrarion By Simulation for Small Sample Bias Correction. In: Toulouse - GREMAQ. [Citation analysis] | paper | 2 |
| 1980 | Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment. In: International Economic Review. [Full Text][Citation analysis] | article | 0 |
| 2006 | Autoregressive gamma processes In: Journal of Forecasting. [Full Text][Citation analysis] | article | 76 |
| 2004 | Infrequent Extreme Risks In: The Geneva Papers on Risk and Insurance Theory. [Full Text][Citation analysis] | article | 3 |
| 2004 | Infrequent Extreme Risks.(2004) In: The Geneva Risk and Insurance Review. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
| 2003 | Aversion Analysis In: Cahiers de recherche. [Full Text][Citation analysis] | paper | 4 |
| 2003 | Aversion Analysis.(2003) In: Cahiers de recherche. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
| 2008 | Converting Tail-VaR to VaR: An Econometric Study In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 0 |
| 2016 | The Tradability Premium on the S&P 500 Index In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 1 |
| 2007 | Positivity Conditions for a Bivariate Autoregressive Volatility Specification In: The Journal of Financial Econometrics. [Full Text][Citation analysis] | article | 5 |
| 1981 | On the Problem of Missing Data in Linear Models In: Review of Economic Studies. [Full Text][Citation analysis] | article | 27 |
| 1997 | Simulation-based Econometric Methods In: OUP Catalogue. [Citation analysis] | book | 66 |
| 2017 | Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations In: MPRA Paper. [Full Text][Citation analysis] | paper | 0 |
| 1993 | Les transitions en économie. ; Les changements de prix en Russie dans les années vingt In: Économie et Prévision. [Full Text][Citation analysis] | article | 0 |
| 1995 | Des mathématiques financières àla finance quantitative : Évolution récente des modèles mathématiques utilisés par les financiers In: Revue d'Économie Financière. [Full Text][Citation analysis] | article | 0 |
| 2008 | Bon ou mauvais usage des notations In: Revue d'Économie Financière. [Full Text][Citation analysis] | article | 0 |
| 1998 | Effet des modes de négociation sur les échanges In: Revue Économique. [Full Text][Citation analysis] | article | 7 |
| 2007 | Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 8 |
| 2015 | Introduction In: Introductory Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 2015 | The Econometrics of Individual Risk: Credit, Insurance, and Marketing In: Economics Books. [Citation analysis] | book | 1 |
| 2015 | Financial Regulations and Procyclicality In: Bankers, Markets & Investors. [Full Text][Citation analysis] | article | 0 |
| 1986 | Bulles spéculatives et transmission d’information sur le marché d’un bien stockable In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 1986 | Bulles spéculatives et transmission dinformation sur le marché dun bien stockable.(1986) In: ULB Institutional Repository. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
| 1988 | Fonctions de production représentatives de fonctions à complémentarité stricte In: L'Actualité Economique. [Full Text][Citation analysis] | article | 2 |
| 1992 | Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat In: L'Actualité Economique. [Full Text][Citation analysis] | article | 11 |
| 1994 | Création d’actifs financiers et remboursements anticipés In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 1997 | D’une analyse de variabilités à un modèle d’investissement des firmes In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 2003 | Économétrie de la finance : l’exemple du risque de crédit In: L'Actualité Economique. [Full Text][Citation analysis] | article | 0 |
| 2017 | Nonparametric estimation of a scalar diffusion model from discrete time data: a survey In: Annals of Operations Research. [Full Text][Citation analysis] | article | 0 |
| 2006 | Continuous Time Wishart Process for Stochastic Risk In: Econometric Reviews. [Full Text][Citation analysis] | article | 30 |
| 2013 | Granularity Adjustment for Efficient Portfolios In: Econometric Reviews. [Full Text][Citation analysis] | article | 0 |
| 2001 | Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment In: Journal of Political Economy. [Full Text][Citation analysis] | article | 114 |
| 1989 | Speculative Bubbles and Exchange of Information on the Market of a Storable Good In: ULB Institutional Repository. [Citation analysis] | paper | 2 |
| 1990 | Reduced Forms of Rational Expectations Models In: ULB Institutional Repository. [Full Text][Citation analysis] | paper | 13 |
| 1997 | Econométrie de la Finance: approches historiques In: ULB Institutional Repository. [Citation analysis] | paper | 7 |
| 2013 | ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE In: International Journal of Theoretical and Applied Finance (IJTAF). [Full Text][Citation analysis] | article | 6 |
| 2008 | CAR AND AFFINE PROCESSES In: World Scientific Book Chapters. [Full Text][Citation analysis] | chapter | 0 |
| 1998 | Truncated maximum likelihood, goodness of fit tests and tail analysis In: SFB 373 Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
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