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Information about:
Christian S. Gourieroux

Personal Details | Affiliation | Works
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Personal Details

First Name: Christian
Middle Name: S.
Last Name: Gourieroux
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RePEc Short-ID: pgo144

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This author is among the top 5% authors according to these criteria:
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Works

| Working papers | Articles | Chapters | Access and download statistics | Citations (if any)| NEP Fields |
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Working papers

  1. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation, Yale University. [Downloadable!]

  2. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics. [Downloadable!]
    Published as:

  3. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics. [Downloadable!]

  4. Patrick Gagliardini & C. Gourieroux & E. Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005 2005-05, Department of Economics, University of St. Gallen. [Downloadable!]

  5. Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers 2005_2, York University, Department of Economics. [Downloadable!]

  6. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
    • ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]

  7. Darolles, S. & Gourieroux, C. & Jasiak, J., 2001. "Compound Autoregressive Models," Working Papers 2001-20, Centre de Recherche en Economie et Statistique.

  8. Darolles, S. & Florens, J.-P. & Gourieroux, C., 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers 2000-18, Centre de Recherche en Economie et Statistique.
    Published as:

  9. Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society. [Downloadable!]
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  10. Darolles, S. & Florens, J.-P. & Gourieroux, C., 2000. "Factor ARMA Representation of a Markoc Process," Working Papers 2000-26, Centre de Recherche en Economie et Statistique.
    Published as:

  11. Chesher, A. & Dhaene, G. & Gourieroux, C. & Scaillet, O., 1999. "Bartlett Identities Tests," Papers 9939, Universite catholique de Louvain - Center for Operations Research and Economics (CORE).
    Other versions:

  12. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP. [Downloadable!]
    Other versions:

  13. Gourieroux, C. & Jasiak, J., 1999. "Dynamic Factor Models," Working Papers 9908, Centre de Recherche en Economie et Statistique.
    Published as:

  14. Darolles, S. & Florens, J.-P. & Gourieroux, C., 1999. "Kernel Based Nonlinear Canonical Analysis," Papers 99.514, Toulouse - GREMAQ.
    Other versions:

  15. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP. [Downloadable!]
    Other versions:

  16. Gourieroux, C. & Monfort, A., 1998. "The Econometrics of Efficient Frontiers," Working Papers 9834, Centre de Recherche en Economie et Statistique.

  17. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1998. "Causality Between Returns and Trated Volumes," Working Papers 9840, Centre de Recherche en Economie et Statistique.

  18. Dionne, G. & Gourieroux, C. & Vanasse, C., 1998. "The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection," Papers 9806, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    Other versions:

  19. Le Fol, G. & Gourieroux, C., 1998. "Matching Procedures and Market Characteristics," Working Papers 9815, Centre de Recherche en Economie et Statistique.

  20. Gourieroux, C. & Jasiak, J., 1998. "Nonlinear Autocorrelograms: an Application to Intra-Trade Durations," Working Papers 9841, Centre de Recherche en Economie et Statistique.

  21. Gourieroux, C. & Jasiak, J., 1998. "Truncated Maximum Likelihood, and Nonparametric Tail Analysis," Working Papers 9825, Centre de Recherche en Economie et Statistique.

  22. Gourieroux, C. & Jasiak, J., 1998. "Nonlinear Panel Data Models with Dynamic Heterogeneity," Working Papers 9850, Centre de Recherche en Economie et Statistique.

  23. Dionne, G. & Gourieroux, C. & Vanasse, C., 1998. "Evidence of Adverse Selection in Automobile Insurance Markets," Papers 9822, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    Other versions:

  24. Darolles, S. & Gourieroux, C., 1997. "Dynamiques tronquees et estimation de modeles de diffusion," Working Papers 9704, Centre de Recherche en Economie et Statistique.

  25. Gourieroux, C & Tiomo, A & Trognon, A, 1997. "The Portfolio Composition of Households : A Scoring Analysis from French Data," Working Papers 9706, Centre de Recherche en Economie et Statistique.

  26. Gourieroux, Christian & Tiomo, A. & Trognon, A., 1997. "Composition des portefeuilles des ménages: une analyse scores sur données françaises," CEPREMAP Working Papers (Couverture Orange) 9716, CEPREMAP.

  27. Dionne, G. & Gourieroux, C. & Vanasse, C., 1997. "The Informational Content of Household Decisions," Working Papers 9701, Centre de Recherche en Economie et Statistique.

  28. Gourieroux, C. & Monfort, A., 1997. "Modeles de comptage Semi-parametriques," Working Papers 9734, Centre de Recherche en Economie et Statistique.

  29. Clément, E. & Gourieroux, Christian & Monfort, Alain, 1997. "Econometric specification of the risk neutral valuation model," CEPREMAP Working Papers (Couverture Orange) 9706, CEPREMAP.
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  30. Darolles, S. & Gourieroux, C., 1997. "Truncated Dynamics and Estimation of Diffusion Equations," Working Papers 9736, Centre de Recherche en Economie et Statistique.
    Published as:

  31. GouriŽroux, C. & Scaillet, O., 1997. "Multiregime Term Structure Models," Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Discussion Paper 1998002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Dec 1997. [Downloadable!]

  32. Gourieroux, Christian & Le Fol, Gaëlle, 1997. "Modes de négociation et caractéristiques de marché," CEPREMAP Working Papers (Couverture Orange) 9714, CEPREMAP.

  33. Gourieroux, Christian & Laurent, Jean-Paul & Pham, Huyên, 1996. "Mean-variance hedging and numeraire," CEPREMAP Working Papers (Couverture Orange) 9611, CEPREMAP.

  34. Gourieroux, C. & Laurent, J-P., 1996. "Estimation of a Dynamic Hedge," Working Papers 9648, Centre de Recherche en Economie et Statistique.

  35. Gourieroux, C. & Le Fol, G. & Meyer, B., 1996. "Analysis of Order Queues," Working Papers 9653, Centre de Recherche en Economie et Statistique.

  36. Dhaene, G. & Gourieroux, C. & Scaillet, O., 1996. "Non-Nested Hypothesis and Instrumental Models," Working Papers 9605, Centre de Recherche en Economie et Statistique.

  37. Allard, M. & Bronsard, C. & Gourieroux, C., 1996. "Actifs financiers et theorie de la consommation," Cahiers de recherche 9617, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:

  38. Gourieroux, C. & Jasiak, J. & Le Fol, G., 1996. "Intra-Day Market Activity," Working Papers 9633, Centre de Recherche en Economie et Statistique.
    Published as:

  39. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO. [Downloadable!]

  40. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    Other versions:

  41. Gourieroux, C. & Renault, E. & Touzi, N., 1996. "Calibrarion By Simulation for Small Sample Bias Correction," Papers 96.428, Toulouse - GREMAQ.
    Other versions:

  42. Gourieroux, Christian & Tenreiro, C., 1995. "Comparison of Kernel estimator based goodness of fit tests (a)," CEPREMAP Working Papers (Couverture Orange) 9513, CEPREMAP.

  43. Broze, L. & Gourieroux, C., 1995. "Pseudo Maximum Likelihood Method, Adjusted Pseudo Maximum Likelihood Method and Covariance Estimators," Working Papers 9541, Centre de Recherche en Economie et Statistique.
    Published as:

  44. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:

  45. Gourieroux, C. & Laurent, J.P. & Pham, H., 1995. "Quadratic Hedging and Numeraire," Working Papers 9550, Centre de Recherche en Economie et Statistique.

  46. Monfort, A. & Gourieroux, C. & Tenreiro, C., 1995. "Kernel M-Estimators and Functional residual Plots," Working Papers 9546, Centre de Recherche en Economie et Statistique.

  47. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO. [Downloadable!]
    Other versions:

  48. Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.

  49. Gouriéroux, Christian, 1994. "Modèles économétriques : utilisation et interprétation (les)," CEPREMAP Working Papers (Couverture Orange) 9423, CEPREMAP.

  50. Gouriéroux, Christian & Scaillet, O., 1994. "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange) 9415, CEPREMAP.

  51. Gourieroux, C. & Jouneau, F., 1994. "Efficient Fitted Portfolios," Working Papers 9459, Centre de Recherche en Economie et Statistique.

  52. Gouriéroux, Christian & Jouneau, F., 1994. "Multivariate distributions for limited dependent variable models," CEPREMAP Working Papers (Couverture Orange) 9414, CEPREMAP.

  53. Gourieroux, C. & Peaucelle, I., 1994. "Diffusion et Effet de Vague," Working Papers 9455, Centre de Recherche en Economie et Statistique.

  54. Gouriéroux, Christian & Monfort, Alain, 1994. "Testing, encompassing and simulating dynamic econometric models," CEPREMAP Working Papers (Couverture Orange) 9406, CEPREMAP.
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  55. Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993. "Prévision de mesures de prix contingents," CEPREMAP Working Papers (Couverture Orange) 9310, CEPREMAP.

  56. Broze, L. & Gourieroux, C., 1993. "Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method," Papers 9313, Universite catholique de Louvain - Center for Operations Research and Economics (CORE).

  57. Clement, E. & Gourieroux, C. & Monfort, A., 1993. "Prediction of Contingent Price Measures," Working Papers 9329, Centre de Recherche en Economie et Statistique.

  58. Clement, E. & Gourieroux, C. & Monfort, A., 1993. "Modeles statistiques de valorisation par arbitrage," Working Papers 9314, Centre de Recherche en Economie et Statistique.

  59. Gourieroux, C., 1993. "Contrats d'assurance chomage sur prets immobiliers ; etude descriptive et valorisation du portefeuille," Working Papers 9323, Centre de Recherche en Economie et Statistique.

  60. Clement, E. & Gourieroux, C. & Monfort, A., 1993. "Linear Factor Models and the Term Structure of Interest Rates," Working Papers 9331, Centre de Recherche en Economie et Statistique.

  61. Gouriéroux, Christian & Peaucelle, Irina, 1993. "Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques," CEPREMAP Working Papers (Couverture Orange) 9326, CEPREMAP. [Downloadable!]

  62. Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993. "Modèles linéaires à facteurs et structure à terme des taux d'intérêt," CEPREMAP Working Papers (Couverture Orange) 9306, CEPREMAP.

  63. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
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  64. Gourieroux, C. & De Toldi, M. & Monfort, A., 1992. "On Seasonal Effects in Duration Models," Working Papers 9216, Centre de Recherche en Economie et Statistique.

  65. Gourieroux Christian & Peaucelle Irina, 1992. "Quantité de monnaie (la) : russie, les années 1918-1927," CEPREMAP Working Papers (Couverture Orange) 9201, CEPREMAP. [Downloadable!]

  66. Gourieroux, C., 1991. "M-estimateurs ponderes ou comment corriger des biais de sondage," Working Papers 9111, Centre de Recherche en Economie et Statistique.

  67. Gourieroux, C. & Monfort, A. & Renault, E., 1991. "A General Framework for Factor Models," Working Papers 9107, Centre de Recherche en Economie et Statistique.

  68. Broze, L. & Gourieroux, C. & Szafarz, A., 1991. "Computation of multipliers in multivariate rational expectations models," Papers 9116, Universite catholique de Louvain - Center for Operations Research and Economics (CORE).
    Other versions:

  69. Gourieroux Christian & Peaucelle Irina, 1991. "Transitions in economy : price changes in russia in the twenties," CEPREMAP Working Papers (Couverture Orange) 9127, CEPREMAP. [Downloadable!]

  70. Gourieroux, C. & Monfort, A., 1991. "Testing Non Nested Hypotheses," Working Papers 9207, Centre de Recherche en Economie et Statistique.
    Published as:

  71. Gourieroux Christian & Monfort Alain & Renault E, 1991. "Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form," CEPREMAP Working Papers (Couverture Orange) 9110, CEPREMAP.
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  72. Gourieroux, C. & Monfort, A., 1991. "Pseudo-likelihood methods," Working Papers 9120, Centre de Recherche en Economie et Statistique.

  73. Gourieroux Christian & Monfort Alain, 1991. "Qualitative threshold arch models," CEPREMAP Working Papers (Couverture Orange) 9109, CEPREMAP.
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  74. Gourieroux, C. & Peaucelle, I., 1991. "Les transitions en economie : les changements de prix en russie dans les annees vingt," Working Papers 9130, Centre de Recherche en Economie et Statistique.

  75. Gourieroux Christian & Monfort A, 1991. "Modèles de durée et effets de génération," CEPREMAP Working Papers (Couverture Orange) 9131, CEPREMAP.
    Other versions:

  76. Gourieroux, C. & Monfort, A., 1991. "Simulation Based Inference: A Survey with Special Reference to Panel Data Models," Working Papers 9106, Centre de Recherche en Economie et Statistique.
    Published as:

  77. Gourieroux, C., 1991. "Classification d'Actifs Financiers selon leurs Performances," Working Papers 9108, Centre de Recherche en Economie et Statistique.

  78. Gourieroux, C. & Monfort, A. & Renault, E., 1991. "tests sur le noyau, l'image et le rang de la matrice de coefficients d'un modele lineaire multivarie," Working Papers 9119, Centre de Recherche en Economie et Statistique.

  79. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1990. "Sélection de clientèle et tarification de prêt bancaire," CEPREMAP Working Papers (Couverture Orange) 9004, CEPREMAP.

  80. Gourieroux, C. & Peaucelle, I., 1990. "Series Codependantes Application a l'Hypothese de Parite du Pouvoir d'achat," Working Papers 9104, Centre de Recherche en Economie et Statistique.

  81. Gourieroux, C., 1990. "Courbes de performance et de discrimination," Working Papers 9013, Centre de Recherche en Economie et Statistique.

  82. Gourieroux, C. & Mauriel, F. & Monfort, A., 1989. "Least Squares And Fractionally Integrated Regressors," Working Papers 8913, Centre de Recherche en Economie et Statistique.

  83. Gourieroux, C. & Monfort, A., 1989. "Econometrics Of Count Data : The A.L.D.P. Model," Working Papers 9001, Centre de Recherche en Economie et Statistique.

  84. Gourieroux Christian & Peaucelle Irina, 1989. "Detecting a long run relationship (with an application to the p.p.p. hypothesis)," CEPREMAP Working Papers (Couverture Orange) 8902, CEPREMAP. [Downloadable!]

  85. Gourieroux, C. & Monfort, A., 1989. "Additive Log-Differenced Probability Models For Count Data," Working Papers 8902, Centre de Recherche en Economie et Statistique.

  86. Gourieroux, C. & Monfort, A., 1989. "Econometrics Based On Endogenous Samples," Working Papers 8903, Centre de Recherche en Economie et Statistique.

  87. Trognon, A. & Gourieroux, C., 1988. "Une Note Sur L'Efficacite Des Procedures D'Estimation En Deux Etapes," Working Papers 8808, Centre de Recherche en Economie et Statistique.

  88. Gourieroux Christian, 1988. "Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible)," CEPREMAP Working Papers (Couverture Orange) 8817, CEPREMAP.

  89. Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.

  90. Gourieroux Christian & Peaucelle Irina, 1988. "Hétérogénéité/i/cas linéaire (le)," CEPREMAP Working Papers (Couverture Orange) 8809, CEPREMAP. [Downloadable!]

  91. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1988. "Hétérogénéité dans les modèles à représentation linéaire," CEPREMAP Working Papers (Couverture Orange) 8805, CEPREMAP.

  92. Gourieroux Christian & Monfort Alain & Renault Eric, 1987. "Consistent m-estimators in a semi-parametric model," CEPREMAP Working Papers (Couverture Orange) 8720, CEPREMAP.

  93. Goncalves E & Gourieroux Christian, 1987. "Agrégation de processus autoregressifs d'ordre 1," CEPREMAP Working Papers (Couverture Orange) 8722, CEPREMAP.

  94. Fourgeaud C & Gourieroux Christian & Pradel J, 1987. "Heterogeneity and hazard dominance in duration data models," CEPREMAP Working Papers (Couverture Orange) 8736, CEPREMAP.

  95. Gourieroux Christian, 1987. "Contraintes linéaires mixtes," CEPREMAP Working Papers (Couverture Orange) 8730, CEPREMAP.

  96. Dujancourt M & Gourieroux Christian, 1987. "Functional averages and statistical inference," CEPREMAP Working Papers (Couverture Orange) 8724, CEPREMAP.

  97. Fourgeaud C & Gourieroux Christian & Pradel J, 1987. "Court et long-terme dans les modèles de durée," CEPREMAP Working Papers (Couverture Orange) 8737, CEPREMAP.

  98. Gourieroux Christian, 1986. "Approche géométrique des processus arma (une)," CEPREMAP Working Papers (Couverture Orange) 8611, CEPREMAP.

  99. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Identification & consistent estimation of multi-variate linear models with rational expectations of current variables," CEPREMAP Working Papers (Couverture Orange) 8617, CEPREMAP.

  100. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Reduction and identification of simultaneous equations models with rational expectations," CEPREMAP Working Papers (Couverture Orange) 8601, CEPREMAP.

  101. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1986. "Strong concentration ordering," CEPREMAP Working Papers (Couverture Orange) 8612, CEPREMAP.

  102. Gourieroux Christian & Monfort Alain & Renault E, 1985. "Testing unknown linear restrictions on parameter functions," CEPREMAP Working Papers (Couverture Orange) 8516, CEPREMAP.

  103. Gourieroux Christian & Monfort Alain & Renault E & Trognon A, 1985. "Simulated residuals," CEPREMAP Working Papers (Couverture Orange) 8502, CEPREMAP.
    Published as:

  104. Gourieroux Christian & Peaucelle Irina, 1985. "Vérification empirique de deux schémas d'anticipation adaptatif et rationnel," CEPREMAP Working Papers (Couverture Orange) 8517, CEPREMAP. [Downloadable!]

  105. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1984. "Learning procedure and convergence to rationality," CEPREMAP Working Papers (Couverture Orange) 8411, CEPREMAP.
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  106. Broze, Laurence & Gourieroux Christian & Szafarz A, 1984. "Solutions of dynamic linear rational expectations models," CEPREMAP Working Papers (Couverture Orange) 8421, CEPREMAP.

  107. Gourieroux Christian & Monfort Alain & Trognon A, 1984. "General approach of serial correlation (a)," CEPREMAP Working Papers (Couverture Orange) 8424, CEPREMAP.

  108. Gourieroux Christian & Pradel J, 1983. "Direct test of the rational expectations hypothesis (with special attention to qualitative variables)," CEPREMAP Working Papers (Couverture Orange) 8328, CEPREMAP.

  109. Gourieroux, Christian & Laroque, Guy, 1983. "The agregation of commodities in quantity rationing models," CEPREMAP Working Papers (Couverture Orange) 8305, CEPREMAP.
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  110. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983. "Modèles a anticipations rationnelles apprentissage par regression," CEPREMAP Working Papers (Couverture Orange) 8327, CEPREMAP.

  111. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983. "Rational expectations models and bounded memory," CEPREMAP Working Papers (Couverture Orange) 8310, CEPREMAP.
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  112. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Estimation and test in probit models with serial correlation," CEPREMAP Working Papers (Couverture Orange) 8220, CEPREMAP.

  113. Gourieroux Christian & Laffont Jean-jacques & Monfort Alain, 1982. "Revision adaptative des anticipations et convergence vers les anticipations rationnelles," CEPREMAP Working Papers (Couverture Orange) 8218, CEPREMAP.

  114. Gourieroux Christian, 1982. "Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e," CEPREMAP Working Papers (Couverture Orange) 8215, CEPREMAP.

  115. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1982. "Some theoretical results for generalized ridge regression estimators," CEPREMAP Working Papers (Couverture Orange) 8207, CEPREMAP.
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  116. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
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  117. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
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  118. C. Gourieroux & Jean-Jacques Laffont & A. Monfort, 1979. "Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes," NBER Working Papers 0343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  119. RePEc:fth:inseep:9104 is not listed on IDEAS

  120. RePEc:fth:inseep:9216 is not listed on IDEAS

  121. RePEc:fth:inseep:9459 is not listed on IDEAS

  122. RePEc:fth:inseep:9106 is not listed on IDEAS

  123. RePEc:fth:inseep:9329 is not listed on IDEAS

  124. RePEc:fth:inseep:9605 is not listed on IDEAS

  125. RePEc:fth:inseep:9130 is not listed on IDEAS

  126. RePEc:fth:inseep:9215 is not listed on IDEAS

  127. RePEc:fth:inseep:9850 is not listed on IDEAS

  128. RePEc:fth:inseep:9125 is not listed on IDEAS

  129. RePEc:fth:inseep:9314 is not listed on IDEAS

  130. RePEc:fth:inseep:2001-20 is not listed on IDEAS

  131. RePEc:fth:inseep:9120 is not listed on IDEAS

  132. J. Breitung & C. Gouriéroux, . "Rank Tests for Unit Roots," Sonderforschungsbereich 373 1996-9, Humboldt Universitaet Berlin.
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  133. RePEc:fth:inseep:9704 is not listed on IDEAS

  134. RePEc:fth:inseep:9655 is not listed on IDEAS

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  169. C. Gouriéroux & J. Jasiak, . "Truncated Maximum Likelihood, Goodness of Fit Tests and Tail Analysis," Sonderforschungsbereich 373 1998-36, Humboldt Universitaet Berlin.

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Articles

  1. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August. [Downloadable!] (restricted)

  2. P. Gagliardini & C. Gourieroux, 2008. "Duration time-series models with proportional hazard," Journal of Time Series Analysis, Blackwell Publishing, vol. 29(1), pages 74-124, 01. [Downloadable!] (restricted)

  3. Feng, D. & Gourieroux, C. & Jasiak, J., 2008. "The ordered qualitative model for credit rating transitions," Journal of Empirical Finance, Elsevier, vol. 15(1), pages 111-130, January. [Downloadable!] (restricted)
    Other versions:

  4. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February. [Downloadable!] (restricted)

  5. Gagliardini, Patrick & Gourieroux, Christian, 2007. "An efficient nonparametric estimator for models with nonlinear dependence," Journal of Econometrics, Elsevier, vol. 137(1), pages 189-229, March. [Downloadable!] (restricted)

  6. Christian Gourieroux & Razvan Sufana, 2006. "A Classification of Two-Factor Affine Diffusion Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 31-52. [Downloadable!] (restricted)

  7. Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152. [Downloadable!]

  8. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505. [Downloadable!] (restricted)

  9. C. Gourieroux & A. Monfort & V. Polimenis, 2006. "Affine Models for Credit Risk Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 494-530. [Downloadable!] (restricted)

  10. Gourieroux, Christian & Robert, Christian Y., 2006. "Stochastic Unit Root Models," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1052-1090, November. [Downloadable!]

  11. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(4), pages 477-503, 07. [Downloadable!] (restricted)

  12. Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April. [Downloadable!] (restricted)

  13. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January. [Downloadable!] (restricted)

  14. C. Gourieroux & A. Monfort, 2004. "Infrequent Extreme Risks," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 29(1), pages 5-22, 06. [Downloadable!]
    Published as:

  15. Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2004. "Kernel-based nonlinear canonical analysis and time reversibility," Journal of Econometrics, Elsevier, vol. 119(2), pages 323-353, April. [Downloadable!] (restricted)
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  16. Gourieroux, C. & Jasiak, J., 2004. "Heterogeneous INAR(1) model with application to car insurance," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 177-192, April. [Downloadable!] (restricted)

  17. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April. [Downloadable!] (restricted)

  18. Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2001. "Factor ARMA representation of a Markov process," Economics Letters, Elsevier, vol. 71(2), pages 165-171, May. [Downloadable!] (restricted)
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  19. Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor and Francis Journals, vol. 20(4), pages 385-424. [Downloadable!] (restricted)
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  20. Georges Dionne & Christian Gourieroux & Charles Vanasse, 2001. "Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment," Journal of Political Economy, University of Chicago Press, vol. 109(2), pages 444-473, April. [Downloadable!] (restricted)

  21. Darolles, Serge & Gourieroux, Christian, 2001. "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May. [Downloadable!] (restricted)
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  22. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January. [Downloadable!] (restricted)

  23. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143. [Downloadable!] (restricted)
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  24. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November. [Downloadable!] (restricted)
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  25. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January. [Downloadable!] (restricted)

  26. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August. [Downloadable!] (restricted)
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  27. Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998. "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, vol. 66(3), pages 673-688, May.

  28. Broze, Laurence & Gourieroux, Christian, 1998. "Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators," Journal of Econometrics, Elsevier, vol. 85(1), pages 75-98, July. [Downloadable!] (restricted)
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  29. Gourieroux, C. & Scaillet, O., 1997. "Unemployment insurance and mortgages," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 173-195, October. [Downloadable!] (restricted)

  30. Gourieroux, C. & Visser, M., 1997. "A count data model with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 79(2), pages 247-268, August. [Downloadable!] (restricted)

  31. Gourieroux, Christian & Magnac, Thierry, 1997. "Duration, transition and count data models Introduction," Journal of Econometrics, Elsevier, vol. 79(2), pages 195-199, August. [Downloadable!] (restricted)

  32. Breitung, Jorg & Gourieroux, Christian, 1997. "Rank tests for unit roots," Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November. [Downloadable!] (restricted)
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  33. De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March. [Downloadable!] (restricted)

  34. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September. [Downloadable!] (restricted)
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  35. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
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  36. Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199. [Downloadable!] (restricted)
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  37. Gourieroux, Christian & Monfort, Alan & Renault, Eric, 1989. "Testing for Common Roots," Econometrica, Econometric Society, vol. 57(1), pages 171-85, January. [Downloadable!] (restricted)

  38. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Simulated residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 201-252. [Downloadable!] (restricted)
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  39. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32. [Downloadable!] (restricted)

  40. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-68, July. [Downloadable!] (restricted)
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  41. Gourieroux, Christian & Pradel, Jacqueline, 1986. "Direct test of the rational expectation hypothesis," European Economic Review, Elsevier, vol. 30(2), pages 265-284, April. [Downloadable!] (restricted)

  42. Gourieroux, Christian & Laroque, Guy, 1985. "The Aggregation of Commodities in Quantity Rationing Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 681-99, October. [Downloadable!] (restricted)
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  43. Fourgeaud, C & Gourieroux, C & Pradel, J, 1985. "Rational Expectations Models and Bounded Memory," Econometrica, Econometric Society, vol. 53(4), pages 977-85, July. [Downloadable!] (restricted)
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  44. Gourieroux, C. & Trognon, A., 1984. "Specification pre-test estimator," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 15-27. [Downloadable!] (restricted)

  45. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May. [Downloadable!] (restricted)
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  46. Fourgeaud, C. & Gourieroux, C. & Pradel, J., 1984. "Some theoretical results for generalized ridge regression estimators," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 191-203. [Downloadable!] (restricted)
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  47. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-20, May. [Downloadable!] (restricted)
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  48. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January. [Downloadable!] (restricted)

  49. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982. "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters," Econometrica, Econometric Society, vol. 50(1), pages 63-80, January. [Downloadable!] (restricted)

  50. Gourieroux, C & Laffont, J J & Monfort, Alain, 1982. "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions," Econometrica, Econometric Society, vol. 50(2), pages 409-25, March. [Downloadable!] (restricted)

  51. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1981. "Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters," Journal of Econometrics, Elsevier, vol. 16(1), pages 166-166, May. [Downloadable!] (restricted)

  52. Gourieroux, Christian & Monfort, Alain, 1981. "Asymptotic properties of the maximum likelihood estimator in dichotomous logit models," Journal of Econometrics, Elsevier, vol. 17(1), pages 83-97, September. [Downloadable!] (restricted)

  53. Gourieroux, Christian & Monfort, Alain, 1981. "On the Problem of Missing Data in Linear Models," Review of Economic Studies, Blackwell Publishing, vol. 48(4), pages 579-86, October. [Downloadable!] (restricted)

  54. Gourieroux, C & Laffont, J-J & Monfort, A, 1980. "Disequilibrium Econometrics in Simultaneous Equations Systems," Econometrica, Econometric Society, vol. 48(1), pages 75-96, January. [Downloadable!] (restricted)

  55. Gourieroux, C. & Laffont, J. J. & Montfort, A., 1980. "On the backward-forward procedure," Economics Letters, Elsevier, vol. 5(3), pages 215-217. [Downloadable!] (restricted)

  56. Gourieroux, C & Laffont, J J & Monfort, A, 1980. "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, vol. 48(3), pages 675-95, April. [Downloadable!] (restricted)
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  57. Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-97, July. [Downloadable!] (restricted)

  58. Gourieroux, Christian & Laffont, Jean-Jacques & Monfort, Alain, 1980. "Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 245-47, February. [Downloadable!] (restricted)

  59. Gourieroux, Christian & Monfort, Alain, 1979. "On the characterization of a joint probability distribution by conditional distributions," Journal of Econometrics, Elsevier, vol. 10(1), pages 115-118, April. [Downloadable!] (restricted)

Chapters

  1. Christian Gourieroux & Joann Jasiak, 2007. "Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing," Introductory Chapters, in: The Econometrics of Individual Risk: Credit, Insurance, and Marketing Princeton University Press. [Downloadable!]

  2. Gourieroux, C. & Monfort, A., 1986. "Testing non-nested hypotheses," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 44, pages 2583-2637 Elsevier. [Downloadable!] (restricted)
    Other versions:

NEP Fields

12 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2005-05-29
  2. NEP-CBA: Central Banking (1) 2002-02-10
  3. NEP-DCM: Discrete Choice Models (1) 2006-11-18
  4. NEP-ECM: Econometrics (6) 1999-09-17 2000-06-29 2005-05-29 2006-01-24 2006-11-25 2006-11-25 Author is listed
  5. NEP-ETS: Econometric Time Series (4) 1999-09-17 2000-06-29 2006-01-24 2006-11-25 Author is listed
  6. NEP-FIN: Finance (1) 2005-05-29
  7. NEP-FMK: Financial Markets (1) 2002-02-10
  8. NEP-MIC: Microeconomics (1) 2003-08-31
  9. NEP-MST: Market Microstructure (1) 2006-11-25
  10. NEP-RMG: Risk Management (3) 2003-08-31 2003-12-14 2006-11-25 Author is listed
  11. NEP-TID: Technology & Industrial Dynamics (1) 1999-09-17
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