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Christian S. Gourieroux

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Blog mentions

As found by EconAcademics.org, the blog aggregator for Economics research:
  1. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.

    Mentioned in:

    1. Non-linear Functions of Non-Stationary Data Can be Stationary
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2013-02-27 03:17:00
  2. Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Center for Research in Economics and Statistics.

    Mentioned in:

    1. What I Learned Last Week
      by Dave Giles in Econometrics Beat: Dave Giles' Blog on 2012-10-13 09:19:00
  3. Author Profile
    1. REPEC December 2018 Academic Economic Report Cards
      by Matthew Kahn in Environmental and Urban Economics on 2019-01-04 01:16:00

Wikipedia or ReplicationWiki mentions

(Only mentions on Wikipedia that link back to a page on a RePEc service)
  1. 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.

    Mentioned in:

    1. Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment (JPE 2001) in ReplicationWiki ()
  2. Author Profile
    1. Christian Gourieroux in Wikipedia (German)

Working papers

  1. Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers 2018-08, Center for Research in Economics and Statistics.

    Cited by:

    1. Gourieroux, Christian & Lu, Yang, 2019. "Least impulse response estimator for stress test exercises," Journal of Banking & Finance, Elsevier, vol. 103(C), pages 62-77.
    2. Blasques, Francisco & van Brummelen, Janneke & Koopman, Siem Jan & Lucas, André, 2022. "Maximum likelihood estimation for score-driven models," Journal of Econometrics, Elsevier, vol. 227(2), pages 325-346.

  2. Christian Gouriéroux & Alain Monfort, 2017. "Composite Indirect Inference with Application," Working Papers 2017-07, Center for Research in Economics and Statistics.

    Cited by:

    1. Blasques, F. & Gorgi, P. & Koopman, S.J., 2021. "Missing observations in observation-driven time series models," Journal of Econometrics, Elsevier, vol. 221(2), pages 542-568.

  3. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017. "Identification and Estimation in Non-Fundamental Structural VARMA Models," Working Papers 2017-08, Center for Research in Economics and Statistics.

    Cited by:

    1. Mélard, Guy, 2022. "An indirect proof for the asymptotic properties of VARMA model estimators," Econometrics and Statistics, Elsevier, vol. 21(C), pages 96-111.
    2. Moneta, Alessio & Pallante, Gianluca, 2022. "Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    3. Sebastiano Michele Zema & Francesco Cordoni, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    4. Marie-Christine Duker & David S. Matteson & Ruey S. Tsay & Ines Wilms, 2024. "Vector AutoRegressive Moving Average Models: A Review," Papers 2406.19702, arXiv.org.
    5. Christis Katsouris, 2023. "Structural Analysis of Vector Autoregressive Models," Papers 2312.06402, arXiv.org, revised Feb 2024.
    6. Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
    7. Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
    8. Sascha A. Keweloh, 2023. "Structural Vector Autoregressions and Higher Moments: Challenges and Solutions in Small Samples," Papers 2310.08173, arXiv.org.
    9. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    10. Guay, Alain & Pelgrin, Florian, 2023. "Structural VAR models in the Frequency Domain," Journal of Econometrics, Elsevier, vol. 236(1).
    11. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    12. Paul Levine & Joseph Pearlman & Stephen Wright & Bo Yang, 2023. "Imperfect Information and Hidden Dynamics," School of Economics Discussion Papers 1223, School of Economics, University of Surrey.
    13. Miguel Cabello, 2022. "Robust Estimation of the non-Gaussian Dimension in Structural Linear Models," Papers 2212.07263, arXiv.org, revised Sep 2023.

  4. Christian Gouriéroux & Alain Monfort & Eric Renault, 2016. "Consistent Pseudo-Maximum Likelihood Estimators," Working Papers 2016-33, Center for Research in Economics and Statistics.

    Cited by:

    1. Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2017. "Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations," MPRA Paper 79623, University Library of Munich, Germany.
    2. Moreno Bevilacqua & Christian Caamaño‐Carrillo & Reinaldo B. Arellano‐Valle & Víctor Morales‐Oñate, 2021. "Non‐Gaussian geostatistical modeling using (skew) t processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 212-245, March.

  5. Christian Gouriéroux & Alain Monfort, 2016. "Composite Indirect Inference with Application to Corporate Risks," Working Papers 2016-32, Center for Research in Economics and Statistics.

    Cited by:

    1. Christian Gouriéroux & Alain Monfort & Eric Renault, 2017. "Consistent Pseudo-Maximum Likelihood Estimators," Annals of Economics and Statistics, GENES, issue 125-126, pages 187-218.
    2. Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
    3. Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
    4. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.

  6. Gouriéroux, Christian & Zakoian, Jean-Michel, 2016. "Local Explosion Modelling by Noncausal Process," MPRA Paper 71105, University Library of Munich, Germany.

    Cited by:

    1. Frédérique Bec & Alain Guay, 2020. "A simple unit root test consistent against any stationary alternative," Working Papers halshs-03010256, HAL.
    2. Gourieroux, Christian & Jasiak, Joann, 2019. "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
    3. Davis, Richard A. & Song, Li, 2020. "Noncausal vector AR processes with application to economic time series," Journal of Econometrics, Elsevier, vol. 216(1), pages 246-267.
    4. Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
    5. Antonio Aguirre & Ignacio N. Lobato, 2024. "Evidence of non-fundamentalness in OECD capital stocks," Empirical Economics, Springer, vol. 67(2), pages 761-772, August.
    6. Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
    7. Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
    8. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
    9. Funovits, Bernd, 2024. "Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation," Journal of Econometrics, Elsevier, vol. 241(2).
    10. Frederique Bec & Alain Guay, 2020. "A Simple Unit Root Test Consistent Against Any Stationary Alternative," Working Papers 20-20, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    11. Hall, Mauri K. & Jasiak, Joann, 2024. "Modelling common bubbles in cryptocurrency prices," Economic Modelling, Elsevier, vol. 139(C).
    12. Kramkov, Viacheslav & Maksimov, Andrey, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.

  7. Christian Gouriéroux & Joann Jasiak, 2016. "Robust Analysis of the Martingale Hypothesis," Working Papers 2016-18, Center for Research in Economics and Statistics.

    Cited by:

    1. Djogbenou, Antoine & Inan, Emre & Jasiak, Joann, 2023. "Time-varying coefficient DAR model and stability measures for stablecoin prices: An application to Tether," Journal of International Money and Finance, Elsevier, vol. 139(C).
    2. Maynard, Alex & Ren, Dongmeng, 2019. "The finite sample power of long-horizon predictive tests in models with financial bubbles," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 418-430.
    3. Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
    4. Cerruti, Gianluca & Lombardini, Simone, 2022. "Financial bubbles as a recursive process lead by short-term strategies," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 555-568.

  8. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.

    Cited by:

    1. Hecq, Alain & Voisin, Elisa, 2021. "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
    2. Dave, Chetan & Sorge, Marco, 2023. "Fat Tailed DSGE Models: A Survey and New Results," Working Papers 2023-3, University of Alberta, Department of Economics.
    3. Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
    4. Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
    5. Marina Friedrich & Sébastien Fries & Michael Pahle & Ottmar Edenhofer, 2020. "Rules vs. Discretion in Cap-and-Trade Programs: Evidence from the EU Emission Trading System," CESifo Working Paper Series 8637, CESifo.
    6. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.
    7. Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.

  9. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2016. "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers 2016-20, Center for Research in Economics and Statistics.

    Cited by:

    1. Hafner, Christian M. & Herwartz, Helmut, 2022. "Dynamic score driven independent component analysis," LIDAM Reprints ISBA 2022010, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Stephan B. Bruns & Alessio Moneta & David I. Stern, 2019. "Estimating the Economy-Wide Rebound Effect Using Empirically Identified Structural Vector Autoregressions," LEM Papers Series 2019/27, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    3. Sascha A. Keweloh, 2023. "Uncertain Short-Run Restrictions and Statistically Identified Structural Vector Autoregressions," Papers 2303.13281, arXiv.org, revised Apr 2024.
    4. Mélard, Guy, 2022. "An indirect proof for the asymptotic properties of VARMA model estimators," Econometrics and Statistics, Elsevier, vol. 21(C), pages 96-111.
    5. Keweloh, Sascha A. & Hetzenecker, Stephan & Seepe, Andre, 2023. "Monetary policy and information shocks in a block-recursive SVAR," Journal of International Money and Finance, Elsevier, vol. 137(C).
    6. Mario Martinoli & Alessio Moneta & Gianluca Pallante, 2022. "Calibration and Validation of Macroeconomic Simulation Models by Statistical Causal Search," LEM Papers Series 2022/33, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    7. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Specification tests for non-Gaussian structural vector autoregressions," Working Papers wp2022_2212, CEMFI.
    8. Mattia Guerini & Alessio Moneta & Mauro Napoletano & Andrea Roventini, 2018. "The janus-faced nature of debt: results from a data-driven cointegrated svar approach," Post-Print hal-03471585, HAL.
    9. Giacomo Bormetti & Fulvio Corsi, 2021. "A Lucas Critique Compliant SVAR model with Observation-driven Time-varying Parameters," Papers 2107.05263, arXiv.org, revised Feb 2022.
    10. Moneta, Alessio & Pallante, Gianluca, 2022. "Identification of Structural VAR Models via Independent Component Analysis: A Performance Evaluation Study," Journal of Economic Dynamics and Control, Elsevier, vol. 144(C).
    11. Khan, Shakeeb & Maurel, Arnaud & Zhang, Yichong, 2020. "Informational Content of Factor Structures in Simultaneous Binary Response Models," IZA Discussion Papers 14008, Institute of Labor Economics (IZA).
    12. Jordi Brandts & Sabrine El Baroudi & Stefanie Huber & Christina Rott, 2022. "Gender Differences in Private and Public Goal Setting," Tinbergen Institute Discussion Papers 22-008/II, Tinbergen Institute.
    13. Adam Lee & Geert Mesters, 2021. "Locally Robust Inference for Non-Gaussian Linear Simultaneous Equations Models," Working Papers 1278, Barcelona School of Economics.
    14. Kerstin Bernoth & Helmut Herwartz, 2019. "Exchange Rates, Foreign Currency Exposure and Sovereign Risk," Discussion Papers of DIW Berlin 1792, DIW Berlin, German Institute for Economic Research.
    15. Sebastiano Michele Zema & Francesco Cordoni, 2023. "A non-Normal framework for price discovery: The independent component based information shares measure," LEM Papers Series 2023/03, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    16. Giulio Ecchia & Francesca Gagliardi & Caterina Giannetti, 2020. "Social Investment And Youth Labor Market Participation," Contemporary Economic Policy, Western Economic Association International, vol. 38(2), pages 343-358, April.
    17. Alain Guay, 2020. "Identification of Structural Vector Autoregressions Through Higher Unconditional Moments," Working Papers 20-19, Chair in macroeconomics and forecasting, University of Quebec in Montreal's School of Management.
    18. Andrea Gazzani & Fabrizio Venditti & Giovanni Veronese, 2024. "Oil price shocks in real time," Temi di discussione (Economic working papers) 1448, Bank of Italy, Economic Research and International Relations Area.
    19. Herwartz, Helmut & Lange, Alexander & Maxand, Simone, 2019. "Statistical identification in SVARs - Monte Carlo experiments and a comparative assessment of the role of economic uncertainties for the US business cycle," University of Göttingen Working Papers in Economics 375, University of Goettingen, Department of Economics.
    20. Guay, Alain, 2021. "Identification of structural vector autoregressions through higher unconditional moments," Journal of Econometrics, Elsevier, vol. 225(1), pages 27-46.
    21. Hong, Y. & Linton, O. B. & McCabe, B. & Sun, J. & Wang, S., 2023. "Kolmogorov-Smirnov Type Testing for Structural Breaks: A New Adjusted-Range Based Self-Normalization Approach," Janeway Institute Working Papers 2316, Faculty of Economics, University of Cambridge.
    22. Ishaya Tambari & Pierre Failler, 2020. "Determining If Oil Prices Significantly Affect Renewable Energy Investment in African Countries with Energy Security Concerns," Energies, MDPI, vol. 13(24), pages 1-21, December.
    23. Christian Gouriéroux & Alain Monfort & Eric Renault, 2017. "Consistent Pseudo-Maximum Likelihood Estimators," Annals of Economics and Statistics, GENES, issue 125-126, pages 187-218.
    24. Bernd Funovits, 2020. "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers 2002.04346, arXiv.org, revised Feb 2021.
    25. Dominik Bertsche & Robin Braun, 2018. "Identification of Structural Vector Autoregressions by Stochastic Volatility," Working Paper Series of the Department of Economics, University of Konstanz 2018-03, Department of Economics, University of Konstanz.
    26. Ciarli, Tommaso & Coad, Alex & Moneta, Alessio, 2023. "Does exporting cause productivity growth? Evidence from Chilean firms," Structural Change and Economic Dynamics, Elsevier, vol. 66(C), pages 228-239.
    27. Herwartz, Helmut & Theilen, Bernd & Wang, Shu, 2024. "Unraveling the structural sources of oil production and their impact on CO2 emissions," Energy Economics, Elsevier, vol. 132(C).
    28. Petrova, Katerina, 2022. "Asymptotically valid Bayesian inference in the presence of distributional misspecification in VAR models," Journal of Econometrics, Elsevier, vol. 230(1), pages 154-182.
    29. Hafner, Christian & Herwartz, Helmut & Maxand, Simone, 2020. "Identification of structural multivariate GARCH models," LIDAM Reprints ISBA 2020032, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    30. Richard Davis & Serena Ng, 2021. "Time Series Estimation of the Dynamic Effects of Disaster-Type Shock," Papers 2107.06663, arXiv.org, revised Mar 2022.
    31. Jarociński, Marek, 2021. "Estimating the Fed’s Unconventional Policy Shocks," Working Paper Series 20210, European Central Bank.
    32. Thorsten Drautzburg & Jonathan H. Wright, 2021. "Refining Set-Identification in VARs through Independence," Working Papers 21-31, Federal Reserve Bank of Philadelphia.
    33. Puonti, Päivi, 2019. "Data-driven structural BVAR analysis of unconventional monetary policy," Journal of Macroeconomics, Elsevier, vol. 61(C), pages 1-1.
    34. Philippe Andrade & Filippo Ferroni & Leonardo Melosi, 2023. "Identification Using Higher-Order Moments Restrictions," Working Paper Series WP 2023-28, Federal Reserve Bank of Chicago.
    35. Guy Melard, 2020. "An Indirect Proof for the Asymptotic Properties of VARMA Model Estimators," Working Papers ECARES 2020-10, ULB -- Universite Libre de Bruxelles.
    36. Helmut Herwartz & Alexander Lange & Simone Maxand, 2022. "Data‐driven identification in SVARs—When and how can statistical characteristics be used to unravel causal relationships?," Economic Inquiry, Western Economic Association International, vol. 60(2), pages 668-693, April.
    37. Daniel Lewis, 2024. "Identification based on higher moments," CeMMAP working papers 03/24, Institute for Fiscal Studies.
    38. Emanuele Bacchiocchi & Toru Kitagawa, 2020. "Locally- but not globally-identified SVARs," CeMMAP working papers CWP40/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    39. Herwartz, Helmut & Maxand, Simone & Rohloff, Hannes, 2018. "Lean against the wind or float with the storm? Revisiting the monetary policy asset price nexus by means of a novel statistical identification approach," University of Göttingen Working Papers in Economics 354, University of Goettingen, Department of Economics.
    40. Berner, Anne & Bruns, Stephan B. & Moneta, Alessio & Stern, David I., 2021. "Do energy efficiency improvements reduce energy use? Empirical evidence on the economy-wide rebound effect in Europe and the United States," University of Göttingen Working Papers in Economics 422, University of Goettingen, Department of Economics.
    41. Magnus, Jan R. & Pijls, Henk G.J. & Sentana, Enrique, 2021. "The Jacobian of the exponential function," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
    42. Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers 2018-08, Center for Research in Economics and Statistics.
    43. Kerstin Bernoth & Helmut Herwartz & Lasse Trienens, 2024. "Interest Rates, Convenience Yields, and Inflation Expectations: Drivers of US Dollar Exchange Rates," Discussion Papers of DIW Berlin 2100, DIW Berlin, German Institute for Economic Research.
    44. Bernd Funovits, 2019. "Identification and Estimation of SVARMA models with Independent and Non-Gaussian Inputs," Papers 1910.04087, arXiv.org.
    45. Dante Amengual & Gabriele Fiorentini & Enrique Sentana, 2022. "Moment tests of independent components," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 13(1), pages 429-474, May.
    46. Kerstin Bernoth & Helmut Herwartz & Lasse Trienens, 2023. "The Impacts of Global Risk and US Monetary Policy on US Dollar Exchange Rates and Excess Currency Returns," Discussion Papers of DIW Berlin 2037, DIW Berlin, German Institute for Economic Research.
    47. Gabriele Fiorentini & Enrique Sentana, 2020. "Discrete Mixtures of Normals Pseudo Maximum Likelihood Estimators of Structural Vector Autoregressions," Working Papers wp2020_2023, CEMFI.
    48. Tommaso Ciarli & Alex Coad & Alessio Moneta, 2019. "Exporting and productivity as part of the growth process: Causal evidence from a data-driven structural VAR," LEM Papers Series 2019/39, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    49. Cordoni, Francesco & Dorémus, Nicolas & Moneta, Alessio, 2024. "Identification of vector autoregressive models with nonlinear contemporaneous structure," Journal of Economic Dynamics and Control, Elsevier, vol. 162(C).
    50. Adam Lee & Geert Mesters, 2021. "Robust non-Gaussian inference for linear simultaneous equations models," Economics Working Papers 1792, Department of Economics and Business, Universitat Pompeu Fabra.
    51. Karamysheva, Madina & Skrobotov, Anton, 2022. "Do we reject restrictions identifying fiscal shocks? identification based on non-Gaussian innovations," Journal of Economic Dynamics and Control, Elsevier, vol. 138(C).
    52. Shoukun Jiao & Wuyi Ye, 2022. "Dependence and Systemic Risk Analysis Between S&P 500 Index and Sector Indexes: A Conditional Value-at-Risk Approach," Computational Economics, Springer;Society for Computational Economics, vol. 59(3), pages 1203-1229, March.
    53. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2020. "Proxy SVAR identification of monetary policy shocks: MonteCarlo evidence and insights for the US," University of Göttingen Working Papers in Economics 404, University of Goettingen, Department of Economics.
    54. Brancaccio, Emiliano & Califano, Andrea & Lopreite, Milena & Moneta, Alessio, 2020. "Nonperforming loans and competing rules of monetary policy: A statistical identification approach," Structural Change and Economic Dynamics, Elsevier, vol. 53(C), pages 127-136.
    55. Marc Hallin & Simos Meintanis & Klaus Nordhausen, 2024. "Consistent Distribution–Free Affine–Invariant Tests for the Validity of Independent Component Models," Working Papers ECARES 2024-04, ULB -- Universite Libre de Bruxelles.
    56. Herwartz, Helmut & Rohloff, Hannes & Wang, Shu, 2022. "Proxy SVAR identification of monetary policy shocks - Monte Carlo evidence and insights for the US," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    57. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.
    58. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Robust inference for non-Gaussian SVAR models," Economics Working Papers 1847, Department of Economics and Business, Universitat Pompeu Fabra.
    59. Davis, Richard & Ng, Serena, 2023. "Time series estimation of the dynamic effects of disaster-type shocks," Journal of Econometrics, Elsevier, vol. 235(1), pages 180-201.
    60. Andrea Giovanni Gazzani & Alejandro Vicondoa, 2019. "Proxy-SVAR as a Bridge for Identification with Higher Frequency Data," 2019 Meeting Papers 855, Society for Economic Dynamics.
    61. Lukas Hoesch & Adam Lee & Geert Mesters, 2022. "Locally Robust Inference for Non-Gaussian SVAR Models," Working Papers 1367, Barcelona School of Economics.
    62. Gabriele Fiorentini & Alessio Moneta & Francesca Papagni, 2024. "Identification of one independent shock in structural VARs," LEM Papers Series 2024/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    63. Maxand, Simone, 2020. "Identification of independent structural shocks in the presence of multiple Gaussian components," Econometrics and Statistics, Elsevier, vol. 16(C), pages 55-68.
    64. Zema, Sebastiano Michele, 2022. "Directed acyclic graph based information shares for price discovery," Journal of Economic Dynamics and Control, Elsevier, vol. 139(C).
    65. Braun, Robin, 2021. "The importance of supply and demand for oil prices: evidence from non-Gaussianity," Bank of England working papers 957, Bank of England.
    66. Daniel J Lewis, 2021. "Identifying Shocks via Time-Varying Volatility [First Order Autoregressive Processes and Strong Mixing]," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 88(6), pages 3086-3124.
    67. Funovits, Bernd, 2024. "Identifiability and estimation of possibly non-invertible SVARMA Models: The normalised canonical WHF parametrisation," Journal of Econometrics, Elsevier, vol. 241(2).
    68. Helmut Herwartz, 2022. "Modelling interaction patterns in a predator-prey system of two freshwater organisms in discrete time: an identified structural VAR approach," Statistical Methods & Applications, Springer;Società Italiana di Statistica, vol. 31(1), pages 63-85, March.
    69. Giulio Ecchia & Francesca Gagliardi & Caterina Giannetti, 2018. "Social Investment and youth labour market participation: a EU regional analysis," Discussion Papers 2018/236, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    70. Helmut Herwartz & Simone Maxand & Hannes Rohloff, 2022. "The Link between Monetary Policy, Stock Prices, and House Prices—Evidence from a Statistical Identification Approach," International Journal of Central Banking, International Journal of Central Banking, vol. 18(5), pages 1-53, December.
    71. Sebastiano Michele Zema, 2020. "Directed Acyclic Graph based Information Shares for Price Discovery," LEM Papers Series 2020/28, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    72. Jetro Anttonen & Markku Lanne & Jani Luoto, 2024. "Statistically identified structural VAR model with potentially skewed and fat‐tailed errors," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 422-437, April.
    73. Martin Bruns & Sascha A. Keweloh, 2023. "Testing for Strong Exogeneity in Proxy-VARS," University of East Anglia School of Economics Working Paper Series 2023-07, School of Economics, University of East Anglia, Norwich, UK..
    74. Miguel Cabello, 2022. "Robust Estimation of the non-Gaussian Dimension in Structural Linear Models," Papers 2212.07263, arXiv.org, revised Sep 2023.
    75. Helmut Herwartz & Shu Wang, 2024. "Statistical identification in panel structural vector autoregressive models based on independence criteria," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(4), pages 620-639, June.
    76. Herwartz, Helmut & Wang, Shu, 2023. "Point estimation in sign-restricted SVARs based on independence criteria with an application to rational bubbles," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).

  10. Christian Gouriéroux & Joann Jasiak, 2015. "Semi-Parametric Estimation of Noncausal Vector Autoregression," Working Papers 2015-02, Center for Research in Economics and Statistics.

    Cited by:

    1. Gianluca Cubadda & Alain Hecq & Sean Telg, 2018. "Detecting Co-Movements in Noncausal Time Series," CEIS Research Paper 430, Tor Vergata University, CEIS, revised 23 Apr 2018.
    2. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2016. "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers 2016-20, Center for Research in Economics and Statistics.
    3. Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2017. "Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations," MPRA Paper 79623, University Library of Munich, Germany.
    4. Hecq Alain & Sun Li, 2021. "Selecting between causal and noncausal models with quantile autoregressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.
    5. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.

  11. Christian Gouriéroux & Alain Monfort, 2014. "Revisiting Identification and estimation in Structural VARMA Models," Working Papers 2014-30, Center for Research in Economics and Statistics.

    Cited by:

    1. Lütkepohl, Helmut & Netšunajev, Aleksei, 2017. "Structural vector autoregressions with heteroskedasticity: A review of different volatility models," Econometrics and Statistics, Elsevier, vol. 1(C), pages 2-18.
    2. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2016. "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers 2016-20, Center for Research in Economics and Statistics.
    3. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
    4. Markku Lanne & Mika Meitz & Pentti Saikkonen, 2015. "Identification and estimation of non-Gaussian structural vector autoregressions," CREATES Research Papers 2015-16, Department of Economics and Business Economics, Aarhus University.
    5. Herwartz, Helmut & Plödt, Martin, 2016. "The macroeconomic effects of oil price shocks: Evidence from a statistical identification approach," Journal of International Money and Finance, Elsevier, vol. 61(C), pages 30-44.

  12. Christian Gouriéroux & Joann Jasiak, 2014. "Filtering and Prediction in Noncausal Processes," Working Papers 2014-15, Center for Research in Economics and Statistics.

    Cited by:

    1. Markku Lanne & Henri Nyberg, 2015. "Nonlinear dynamic interrelationships between real activity and stock returns," CREATES Research Papers 2015-36, Department of Economics and Business Economics, Aarhus University.

  13. Gouriéroux, Christian & Zakoian, Jean-Michel, 2014. "On uniqueness of moving average representations of heavy-tailed stationary processes," MPRA Paper 54907, University Library of Munich, Germany.

    Cited by:

    1. Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
    2. Christian Gourieroux & Andrew Hencic & Joann Jasiak, 2021. "Forecast performance and bubble analysis in noncausal MAR(1, 1) processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 301-326, March.
    3. Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
    4. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.

  14. Christian Gouriéroux & Joann Jasiak, 2014. "Misspecification of Causal and Noncausal Orders in Autoregressive Processes," Working Papers 2014-25, Center for Research in Economics and Statistics.

    Cited by:

    1. Hecq, A.W. & Lieb, L.M. & Telg, J.M.A., 2015. "Identification of Mixed Causal-Noncausal Models : How Fat Should We Go?," Research Memorandum 035, Maastricht University, Graduate School of Business and Economics (GSBE).

  15. Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2013. "Regime Switching and Bond Pricing," Working Papers 2013-48, Center for Research in Economics and Statistics.

    Cited by:

    1. Malik, Sheheryar & Meldrum, Andrew, 2016. "Evaluating the robustness of UK term structure decompositions using linear regression methods," Journal of Banking & Finance, Elsevier, vol. 67(C), pages 85-102.
    2. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    3. Detemple, Jérôme & Kitapbayev, Yerkin & Reppen, A. Max, 2024. "Renewable energy investment under stochastic interest rate with regime-switching volatility," Energy Economics, Elsevier, vol. 136(C).
    4. Chiara Sabelli & Michele Pioppi & Luca Sitzia & Giacomo Bormetti, 2014. "Multi-curve HJM modelling for risk management," Papers 1411.3977, arXiv.org, revised Oct 2015.
    5. Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li, 2016. "Dynamic asset–liability management in a Markov market with stochastic cash flows," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1575-1597, October.
    6. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  16. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.

    Cited by:

    1. Christian Gouriéroux & Yang Lu, 2013. "Love and Death : A Freund Model with Frailty," Working Papers 2013-09, Center for Research in Economics and Statistics.
    2. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2015. "Specification Testing in Hawkes Models," Tinbergen Institute Discussion Papers 15-086/III, Tinbergen Institute.
    3. Francine Gresnigt & Erik Kole & Philip Hans Franses, 2017. "Exploiting Spillovers to Forecast Crashes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 36(8), pages 936-955, December.
    4. Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
    5. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
    6. Azizpour, S & Giesecke, K. & Schwenkler, G., 2018. "Exploring the sources of default clustering," Journal of Financial Economics, Elsevier, vol. 129(1), pages 154-183.
    7. Dumitru, Ana-Maria & Holden, Thomas, 2019. "Quantifying the transmission of European sovereign default risk," EconStor Preprints 193632, ZBW - Leibniz Information Centre for Economics.
    8. Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.

  17. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers 2013-23, Center for Research in Economics and Statistics.

    Cited by:

    1. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.

  18. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.

    Cited by:

    1. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers 2013-23, Center for Research in Economics and Statistics.
    2. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.

  19. Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013. "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers 2013-06, Center for Research in Economics and Statistics.

    Cited by:

    1. Nicolas Houy & Frédéric Jouneau & François Le Grand, 2020. "Defaulting firms and systemic risks in financial networks: a normative approach," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 70(2), pages 503-526, September.
    2. Fourel, V. & Héam, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
    3. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
    4. Roukny, Tarik & Battiston, Stefano & Stiglitz, Joseph E., 2018. "Interconnectedness as a source of uncertainty in systemic risk," Journal of Financial Stability, Elsevier, vol. 35(C), pages 93-106.
    5. Tathagata Banerjee & Zachary Feinstein, 2018. "Pricing of debt and equity in a financial network with comonotonic endowments," Papers 1810.01372, arXiv.org, revised Sep 2021.
    6. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
    7. Paul Glasserman & Peyton Young, 2015. "Contagion in Financial Networks," Economics Series Working Papers 764, University of Oxford, Department of Economics.
    8. Jean-Cyprien H'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
    9. Paul Glasserman & H. Peyton Young, 2015. "Contagion in Financial Markets," Working Papers 15-21, Office of Financial Research, US Department of the Treasury.
    10. Johannes Hain & Tom Fischer, 2015. "Valuation Algorithms for Structural Models of Financial Interconnectedness," Papers 1501.07402, arXiv.org.
    11. Hitoshi Hayakawa, 2020. "Liquidity in Financial Networks," Computational Economics, Springer;Society for Computational Economics, vol. 55(1), pages 253-301, January.
    12. Paul Glasserman & H. Peyton Young, 2016. "Contagion in Financial Networks," Journal of Economic Literature, American Economic Association, vol. 54(3), pages 779-831, September.
    13. Jose Fique, 2017. "Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data," Staff Working Papers 17-30, Bank of Canada.

  20. Christian Gouriéroux & Jean-Michel Zakoian, 2013. "Explosive Bubble Modelling by Noncausal Process," Working Papers 2013-04, Center for Research in Economics and Statistics.

    Cited by:

    1. Saikkonen, Pentti & Sandberg, Rickard, 2013. "Testing for a unit root in noncausal autoregressive models," Bank of Finland Research Discussion Papers 26/2013, Bank of Finland.
    2. Christian Gourieroux & Joann Jasiak, 2016. "Filtering, Prediction and Simulation Methods for Noncausal Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 405-430, May.
    3. Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Working Paper series 22-08, Rimini Centre for Economic Analysis, revised Dec 2022.
    4. Maynard, Alex & Ren, Dongmeng, 2019. "The finite sample power of long-horizon predictive tests in models with financial bubbles," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 418-430.
    5. Nelimarkka, Jaakko, 2017. "Evidence on News Shocks under Information Deficiency," MPRA Paper 80850, University Library of Munich, Germany.
    6. Andras Fulop & Jun Yu, 2014. "Bayesian Analysis of Bubbles in Asset Prices," Working Papers 04-2014, Singapore Management University, School of Economics.
    7. Cerruti, Gianluca & Lombardini, Simone, 2022. "Financial bubbles as a recursive process lead by short-term strategies," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 555-568.
    8. Alain Hecq & Daniel Velasquez-Gaviria, 2023. "Spectral identification and estimation of mixed causal-noncausal invertible-noninvertible models," Papers 2310.19543, arXiv.org.
    9. Christian Gouriéroux & Jean-Michel Zakoïan, 2015. "On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 876-887, November.

  21. Christian Gouriéroux & Yang Lu, 2013. "Love and Death : A Freund Model with Frailty," Working Papers 2013-09, Center for Research in Economics and Statistics.

    Cited by:

    1. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    2. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    3. Ayuso, Mercedes & Bravo, Jorge M. & Holzmann, Robert, 2021. "Getting life expectancy estimates right for pension policy: period versus cohort approach," Journal of Pension Economics and Finance, Cambridge University Press, vol. 20(2), pages 212-231, April.
    4. Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers 2013-16, Center for Research in Economics and Statistics.
    5. Kira Henshaw & Corina Constantinescu & Olivier Menoukeu Pamen, 2020. "Stochastic Mortality Modelling for Dependent Coupled Lives," Risks, MDPI, vol. 8(1), pages 1-28, February.
    6. Gerard J. van den Berg & Bettina Drepper, 2022. "A unique bond: Twin bereavement and lifespan associations of identical and fraternal twins," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(2), pages 677-698, April.
    7. Ying Jiao & Yahia Salhi & Shihua Wang, 2021. "Dynamic Bivariate Mortality Modelling," Working Papers hal-03244324, HAL.
    8. Joanna Dębicka & Stanisław Heilpern & Agnieszka Marciniuk, 2023. "Pricing Marriage Insurance with Mortality Dependence," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 15(1), pages 31-64, March.
    9. van den Berg, Gerard J. & Drepper, Bettina, 2018. "A Unique Bond: Twin Bereavement and Lifespan Associations of Identical and Fraternal Twins," IZA Discussion Papers 11448, Institute of Labor Economics (IZA).
    10. Ying Jiao & Yahia Salhi & Shihua Wang, 2022. "Dynamic Bivariate Mortality Modelling," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 917-938, June.

  22. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.

    Cited by:

    1. Eric Benhamou & Beatrice Guez, 2018. "Incremental Sharpe and other performance ratios," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 7(4), pages 1-2.
    2. Simon Trimborn & Mingyang Li & Wolfgang Karl Härdle, 2020. "Investing with Cryptocurrencies—a Liquidity Constrained Investment Approach," Journal of Financial Econometrics, Oxford University Press, vol. 18(2), pages 280-306.
    3. Eric Benhamou & Beatrice Guez, 2021. "Computation of the marginal contribution of Sharpe ratio and other performance ratios," Working Papers hal-03189299, HAL.
    4. Marius ACATRINEI, 2015. "Individual contributions to portfolio risk: risk decomposition for the BET-FI index," Computational Methods in Social Sciences (CMSS), "Nicolae Titulescu" University of Bucharest, Faculty of Economic Sciences, vol. 3(1), pages 75-80, June.
    5. Emmanuelle Jay & Thibault Soler & Eugénie Terreaux & Jean-Philippe Ovarlez & Frédéric Pascal & Philippe De Peretti & Christophe Chorro, 2019. "Improving portfolios global performance using a cleaned and robust covariance matrix estimate," Documents de travail du Centre d'Economie de la Sorbonne 19022, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.

  23. Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Center for Research in Economics and Statistics.

    Cited by:

    1. Farkas, Walter & Fringuellotti, Fulvia & Tunaru, Radu, 2020. "A cost-benefit analysis of capital requirements adjusted for model risk," Journal of Corporate Finance, Elsevier, vol. 65(C).
    2. Christophe Hurlin & Sébastien Laurent & Rogier Quaedvlieg & Stephan Smeekes, 2017. "Risk Measure Inference," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 35(4), pages 499-512, October.
    3. Ophélie Couperier & Jérémy Leymarie, 2020. "Backtesting Expected Shortfall via Multi-Quantile Regression," Working Papers halshs-01909375, HAL.
    4. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    5. Wang, Zheqi & Crook, Jonathan & Andreeva, Galina, 2020. "Reducing estimation risk using a Bayesian posterior distribution approach: Application to stress testing mortgage loan default," European Journal of Operational Research, Elsevier, vol. 287(2), pages 725-738.
    6. Gourieroux, Christian & Tiomo, Andre, 2019. "The Evaluation of Model Risk for Probability of Default and Expected Loss," MPRA Paper 95795, University Library of Munich, Germany.

  24. Dubecq, S. & Gourieroux, C., 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers 368, Banque de France.

    Cited by:

    1. Darne, O. & Levy-Rueff, O. & Pop, A., 2013. "Calibrating Initial Shocks in Bank Stress Test Scenarios: An Outlier Detection Based Approach," Working papers 426, Banque de France.
    2. Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.

  25. Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.

    Cited by:

    1. Yann Braouezec & Lakshithe Wagalath, 2018. "Risk-Based Capital Requirements and Optimal Liquidation in a Stress Scenario [Testing macroprudential stress tests: the risk of regulatory risk weights]," Review of Finance, European Finance Association, vol. 22(2), pages 747-782.
    2. Gabrielle Demange, 2015. "Contagion in Financial Networks: A Threat Index," CESifo Working Paper Series 5307, CESifo.
    3. Jean-Cyprien Héam, 2014. "How to Measure Interconnectedness," EIOPA Financial Stability Report - Thematic Articles 3, EIOPA, Risks and Financial Stability Department.
    4. Tathagata Banerjee & Alex Bernstein & Zachary Feinstein, 2018. "Dynamic Clearing and Contagion in Financial Networks," Papers 1801.02091, arXiv.org, revised Jun 2024.
    5. G. Hauton & J.-C. Héam, 2014. "How to Measure Interconnectedness between Banks, Insurers and Financial Conglomerates?," Débats économiques et financiers 15, Banque de France.
    6. International Monetary Fund, 2013. "France: Financial Sector Assessment Program—Technical Note on Stress Testing the Banking Sector," IMF Staff Country Reports 2013/185, International Monetary Fund.
    7. Fourel, V. & Héam, J-C. & Salakhova, D. & Tavolaro, S., 2013. "Domino Effects when Banks Hoard Liquidity: The French network," Working papers 432, Banque de France.
    8. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: regulations, research, open issues, proposals," Working Papers 2/2014, IMT School for Advanced Studies Lucca, revised Mar 2014.
    9. Ivan Alves & Stijn Ferrari & Pietro Franchini & Jean-Cyprien Heam & Pavol Jurca & Sam Langfield & Sebastiano Laviola & Franka Liedorp & Antonio Sánchez & Santiago Tavolaro & Guillaume Vuillemey, 2013. "The structure and resilience of the European interbank market," ESRB Occasional Paper Series 03, European Systemic Risk Board.
    10. Irena Barjav{s}i'c & Stefano Battiston & Vinko Zlati'c, 2023. "Credit Valuation Adjustment in Financial Networks," Papers 2305.16434, arXiv.org.
    11. Banulescu, Georgiana-Denisa & Dumitrescu, Elena-Ivona, 2015. "Which are the SIFIs? A Component Expected Shortfall approach to systemic risk," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 575-588.
    12. Gagliardini, Patrick & Gouriéroux, Christian, 2017. "Double instrumental variable estimation of interaction models with big data," Journal of Econometrics, Elsevier, vol. 201(2), pages 176-197.
    13. Sylvain Benoît & Gilbert Colletaz & Christophe Hurlin & Christophe Pérignon, 2019. "A Theoretical and Empirical Comparison of Systemic Risk Measures," Working Papers hal-02292323, HAL.
    14. Carlos León & Javier Miguélez, 2021. "Securities cross-holding in the Colombian financial system: a topological approach," Studies in Economics and Finance, Emerald Group Publishing Limited, vol. 38(4), pages 786-806, February.
    15. Zachary Feinstein & T. R. Hurd, 2020. "Contingent Convertible Obligations and Financial Stability," Papers 2006.01037, arXiv.org, revised Oct 2022.
    16. Tathagata Banerjee & Zachary Feinstein, 2018. "Pricing of debt and equity in a financial network with comonotonic endowments," Papers 1810.01372, arXiv.org, revised Sep 2021.
    17. Susanne M. Schennach, 2013. "Long memory via networking," CeMMAP working papers CWP13/13, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    18. Olivier de Bandt & Jean-Cyprien Héam & Claire Labonne & Santiago Tavolaro, 2015. "La mesure du risque systémique après la crise financière," Revue économique, Presses de Sciences-Po, vol. 66(3), pages 481-500.
    19. Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013. "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers 2013-06, Center for Research in Economics and Statistics.
    20. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
    21. Hamed Amini & Zachary Feinstein, 2020. "Optimal Network Compression," Papers 2008.08733, arXiv.org, revised Jul 2022.
    22. Bakoush, Mohamed & Gerding, Enrico & Mishra, Tapas & Wolfe, Simon, 2022. "An integrated macroprudential stress test of bank liquidity and solvency," Journal of Financial Stability, Elsevier, vol. 60(C).
    23. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2021. "Leverage and systemic risk pro-cyclicality in the Chinese financial system," International Review of Financial Analysis, Elsevier, vol. 78(C).
    24. Yann Braouezec & Lakshithe Wagalath, 2016. "Risk-based capital requirements and optimal liquidation in a stress scenario," Working Papers 2016-ACF-01, IESEG School of Management.
    25. Jean-Cyprien H'eam & Erwan Koch, 2014. "Diversification and Endogenous Financial Networks," Papers 1408.4618, arXiv.org, revised Feb 2015.
    26. Jiajia, Liu & Kun, Guo & Fangcheng, Tang & Yahan, Wang & Shouyang, Wang, 2023. "The effect of the disposal of non-performing loans on interbank liquidity risk in China: A cash flow network-based analysis," The Quarterly Review of Economics and Finance, Elsevier, vol. 89(C), pages 105-119.
    27. Ivan Alves & Jeroen Brinkhoff & Stanislav Georgiev & Jean-Cyprien Héam & Iulia Moldovan & Marco Scotto di Carlo, 2015. "Network analysis of the EU insurance sector," ESRB Occasional Paper Series 07, European Systemic Risk Board.
    28. Cincinelli, Peter & Pellini, Elisabetta & Urga, Giovanni, 2022. "Systemic risk in the Chinese financial system: A panel Granger causality analysis," International Review of Financial Analysis, Elsevier, vol. 82(C).
    29. Maxim Bichuch & Nils Detering, 2022. "Optimal Support for Distressed Subsidiaries -- a Systemic Risk Perspective," Papers 2201.12731, arXiv.org, revised Mar 2024.
    30. T. Bennani & C. Couaillier & A. Devulder & S. Gabrieli & J. Idier & P. Lopez & T. Piquard & V. Scalone, 2017. "An analytical framework to calibrate macroprudential policy," Working papers 648, Banque de France.
    31. T. R. Hurd, 2018. "Bank Panics And Fire Sales, Insolvency And Illiquidity," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(06), pages 1-30, September.
    32. Lei Li & Kun Qin & Desheng Wu, 2023. "A Hybrid Approach for the Assessment of Risk Spillover to ESG Investment in Financial Networks," Sustainability, MDPI, vol. 15(7), pages 1-16, April.
    33. Damiano Sandri, 2018. "Dealing with Systemic Sovereign Debt Crises: Fiscal Consolidation, Bail-Ins, or Bail-Outs?," IMF Economic Review, Palgrave Macmillan;International Monetary Fund, vol. 66(4), pages 665-693, December.
    34. Michele Leonardo Bianchi & Alberto Maria Sorrentino, 2020. "Measuring CoVaR: An Empirical Comparison," Computational Economics, Springer;Society for Computational Economics, vol. 55(2), pages 511-528, February.
    35. Constantin ANGHELACHE & Andreea – Ioana MARINESCU & Maria MIREA, 2017. "Models of Insolvency Risk Analysis in Financial and Banking Institutions," Romanian Statistical Review Supplement, Romanian Statistical Review, vol. 65(11), pages 72-78, November.
    36. Michele Bonollo & Irene Crimaldi & Andrea Flori & Fabio Pammolli & Massimo Riccaboni, 2014. "Systemic importance of financial institutions: from a global to a local perspective? A network theory approach," Working Papers 9/2014, IMT School for Advanced Studies Lucca, revised Sep 2014.
    37. Chen, Yu & Jin, Shuyue & Wang, Xiasi, 2021. "Solvency contagion risk in the Chinese commercial banks’ network," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 580(C).
    38. Matthew Elliott & Benjamin Golub & Matthew O. Jackson, 2014. "Financial Networks and Contagion," American Economic Review, American Economic Association, vol. 104(10), pages 3115-3153, October.
    39. Amini, Hamed & Feinstein, Zachary, 2023. "Optimal network compression," European Journal of Operational Research, Elsevier, vol. 306(3), pages 1439-1455.
    40. T. R. Hurd, 2017. "Bank Panics and Fire Sales, Insolvency and Illiquidity," Papers 1711.05289, arXiv.org.
    41. Weidong Lin & Jose Olmo & Abderrahim Taamouti, 2022. "Portfolio Selection Under Systemic Risk," Working Papers 202208, University of Liverpool, Department of Economics.
    42. Hauton, G. & Héam, J.-C., 2015. "How to measure interconnectedness between banks, insurers and financial conglomerates?," Rue de la Banque, Banque de France, issue 04, March..
    43. Gaël Hauton & Jean-Cyprien Héam, 2015. "Interconnectedness of Financial Conglomerates," Risks, MDPI, vol. 3(2), pages 1-25, May.
    44. Ahn, Dohyun & Kim, Kyoung-Kuk & Kwon, Eunji, 2023. "Multivariate stress scenario selection in interbank networks," Journal of Economic Dynamics and Control, Elsevier, vol. 154(C).
    45. J. Idier & T. Piquard, 2017. "Pandemic crises in financial systems: a simulation-model to complement stress-testing frameworks," Working papers 621, Banque de France.
    46. Barauskaite, Kristina & Nguyen, Anh D.M., 2021. "Global intersectoral production network and aggregate fluctuations," Economic Modelling, Elsevier, vol. 102(C).
    47. Feinstein, Zachary & Hałaj, Grzegorz, 2023. "Interbank asset-liability networks with fire sale management," Working Paper Series 2806, European Central Bank.

  26. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.

    Cited by:

    1. Choe, Geon Ho & Choi, So Eun & Jang, Hyun Jin, 2020. "Assessment of time-varying systemic risk in credit default swap indices: Simultaneity and contagiousness," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    2. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
    3. Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.
    4. Das, Bikramjit & Fasen-Hartmann, Vicky, 2018. "Risk contagion under regular variation and asymptotic tail independence," Journal of Multivariate Analysis, Elsevier, vol. 165(C), pages 194-215.
    5. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.

  27. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.

    Cited by:

    1. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
    2. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
    3. Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.
    4. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    5. Mardi Dungey & Eric Renault, 2018. "Identifying contagion," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 227-250, March.

  28. Christian Gouriéroux & University of Lugano, 2011. "Granularity Theory with Application to Finance and Insurance," Working Papers 2011-22, Center for Research in Economics and Statistics.

    Cited by:

    1. Gagliardini, Patrick & Gouriéroux, Christian, 2017. "Double instrumental variable estimation of interaction models with big data," Journal of Econometrics, Elsevier, vol. 201(2), pages 176-197.
    2. Laurent Barras & Patrick Gagliardini & Olivier Scaillet, 2022. "Skill, Scale, and Value Creation in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 77(1), pages 601-638, February.

  29. Christian GOURIEROUX & Alain MONFORT, 2011. "Allocating Systematic and Unsystematic Risks in a Regulatory Perspective," Working Papers 2011-04, Center for Research in Economics and Statistics.

    Cited by:

    1. Idier, J. & Lamé, G. & Mésonnier, J S., 2011. "How useful is the Marginal Expected Shortfall for the measurement of systemic exposure? A practical assessment," Working papers 348, Banque de France.
    2. O. de Bandt & J.-C. Héam & C. Labonne & S. Tavolaro, 2013. "Measuring Systemic Risk in a Post-Crisis World," Débats économiques et financiers 6, Banque de France.
    3. Genest, Benoit & Cao, Zhili, 2014. "Value-at-Risk in turbulence time," MPRA Paper 62906, University Library of Munich, Germany.

  30. Simon Dubecq & Christian Gourieroux, 2010. "An Analysis of the Ultra Long-Term Yields," Working Papers 2010-49, Center for Research in Economics and Statistics.

    Cited by:

    1. Renne Jean-Paul, 2017. "A model of the euro-area yield curve with discrete policy rates," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 21(1), pages 99-116, February.
    2. Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.

  31. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.

    Cited by:

    1. M. B. Gordy & E. Lutkebohmert, 2013. "Granularity Adjustment for Regulatory Capital Assessment," International Journal of Central Banking, International Journal of Central Banking, vol. 9(3), pages 38-77, September.
    2. Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series 2010-37, Board of Governors of the Federal Reserve System (U.S.).
    3. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
    4. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
    5. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Center for Research in Economics and Statistics.

  32. Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT, 2010. "Microinformation, Nonlinear Filtering and Granularity," Swiss Finance Institute Research Paper Series 10-23, Swiss Finance Institute.

    Cited by:

    1. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    2. Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012. "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Post-Print hal-01386007, HAL.
    3. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.

  33. Patrick GAGLIARDINI & Christian GOURIEROUX, 2009. "Efficiency in Large Dynamic Panel Models with Common Factor," Swiss Finance Institute Research Paper Series 09-12, Swiss Finance Institute.

    Cited by:

    1. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    2. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    3. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
    4. Geert Dhaene & Koen Jochmans, 2016. "Likelihood Inference in an Autoregression with Fixed Effects," Post-Print hal-03391995, HAL.
    5. Carlos Perez Montes, 2015. "Estimation of Regulatory Credit Risk Models," Journal of Financial Services Research, Springer;Western Finance Association, vol. 48(2), pages 161-191, October.
    6. Gregory Connor & Robert A. Korajczyk, 2019. "Semi-strong factors in asset returns," Economics Department Working Paper Series n294-19.pdf, Department of Economics, National University of Ireland - Maynooth.
    7. Francesco Audrino & Fulvio Corsi & Kameliya Filipova, 2010. "Bond Risk Premia Forecasting: A Simple Approach for Extracting¨Macroeconomic Information from a Panel of Indicators," University of St. Gallen Department of Economics working paper series 2010 2010-09, Department of Economics, University of St. Gallen.
    8. Barigozzi, Matteo & Brownlees, Christian & Gallo, Giampiero M. & Veredas, David, 2014. "Disentangling systematic and idiosyncratic dynamics in panels of volatility measures," Journal of Econometrics, Elsevier, vol. 182(2), pages 364-384.
    9. Elena Andreou & Patrick Gagliardini & Eric Ghysels & Mirco Rubin, 2016. "Is Industrial Production Still the Dominant Factor for the US Economy?," Swiss Finance Institute Research Paper Series 16-11, Swiss Finance Institute.
    10. Gagliardini, Patrick & Gouriéroux, Christian, 2017. "Double instrumental variable estimation of interaction models with big data," Journal of Econometrics, Elsevier, vol. 201(2), pages 176-197.
    11. Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
    12. Chen, Liang, 2011. "Detecting big structural breaks in large factor models," UC3M Working papers. Economics we1141, Universidad Carlos III de Madrid. Departamento de Economía.
    13. Carlos Pérez Montes, 2013. "Estimation of Regulatory Credit Risk Models," Working Papers 1305, Banco de España.
    14. Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
    15. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    16. Christian Gourieroux & Joann Jasiak, 2022. "Long Run Risk in Stationary Structural Vector Autoregressive Models," Papers 2202.09473, arXiv.org.

  34. Christian Gourieroux & Alain Monfort, 2007. "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers 2007-30, Center for Research in Economics and Statistics.

    Cited by:

    1. Biffis, Enrico & Blake, David, 2010. "Securitizing and tranching longevity exposures," Insurance: Mathematics and Economics, Elsevier, vol. 46(1), pages 186-197, February.
    2. Blake, David & Cairns, Andrew J.G., 2021. "Longevity risk and capital markets: The 2019-20 update," Insurance: Mathematics and Economics, Elsevier, vol. 99(C), pages 395-439.
    3. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    4. Blake, David & El Karoui, Nicole & Loisel, Stéphane & MacMinn, Richard, 2018. "Longevity risk and capital markets: The 2015–16 update," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 157-173.
    5. Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers 2013-16, Center for Research in Economics and Statistics.
    6. Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.
    7. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.
    8. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.

  35. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.

    Cited by:

    1. Rosati, Nicoletta & Bellia, Mario & Matos, Pedro Verga & Oliviera, Vasco, 2019. "Ratings matter: announcements in times of crisis and the dynamics of stock markets," JRC Working Papers in Economics and Finance 2019-08, Joint Research Centre, European Commission.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Chateau, Jean-Pierre D., 2011. "Contribution à la réglementation de Bâle-3 : de la consistance interne du continuum du crédit commercial en marquant à la « valeur de modèle » le risque de crédit des engagements de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 87(4), pages 445-479, décembre.
    4. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    5. Helene Bouscasse Newinger & Iragaël Joly & Jean Peyhardi, 2019. "A new family of qualitative choice models: An application of reference models to travel mode choice," Post-Print hal-01984289, HAL.
    6. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2010. "EU Banks Rating Assignments: Is there Heterogeneity between New and Old Member Countries?," CESifo Working Paper Series 3074, CESifo.
    7. Forster, Jonathan J. & Buzzacchi, Matteo & Sudjianto, Agus & Nagao, Risa, 2016. "Modelling credit grade migration in large portfolios using cumulative t-link transition models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 977-984.
    8. Irina Peaucelle, 2005. "Dynamic analysis of bankruptcy and economic waves," PSE Working Papers halshs-00590851, HAL.
    9. Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
    10. Areski Cousin & J'er^ome Lelong & Tom Picard, 2021. "Rating transitions forecasting: a filtering approach," Papers 2109.10567, arXiv.org, revised Jun 2023.
    11. Guglielmo Maria Caporale & Roman Matousek & Chris Stewart, 2009. "Rating Assignments: Lessons from International Banks," CESifo Working Paper Series 2618, CESifo.
    12. Areski Cousin & Mohamed Reda Kheliouen, 2016. "A comparative study on the estimation of factor migration models," Working Papers halshs-01351926, HAL.
    13. Patrick GAGLIARDINI & Christian GOURIEROUX, 2009. "Efficiency in Large Dynamic Panel Models with Common Factor," Swiss Finance Institute Research Paper Series 09-12, Swiss Finance Institute.
    14. Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2019. "Measuring expected time to default under stress conditions for corporate loans," Empirical Economics, Springer, vol. 57(1), pages 31-52, July.
    15. Chan, Ngai Hang & Wong, Hoi Ying & Zhao, Jing, 2012. "Structural model of credit migration," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3477-3490.
    16. Silvia Centanni & Immacolata Oliva & Paola Tardelli, 2017. "Credit Risk in an Economy with New Firms Arrivals," Methodology and Computing in Applied Probability, Springer, vol. 19(3), pages 891-912, September.
    17. Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
    18. Helmut Wasserbacher & Martin Spindler, 2024. "Credit Ratings: Heterogeneous Effect on Capital Structure," Papers 2406.18936, arXiv.org.
    19. Matthies, Alexander B., 2013. "Empirical research on corporate credit-ratings: A literature review," SFB 649 Discussion Papers 2013-003, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    20. Alexander Karminsky, 2016. "Rating models: emerging market distinctions," Papers 1607.02422, arXiv.org.
    21. Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
    22. Chateau, John-Peter D., 2009. "Marking-to-model credit and operational risks of loan commitments: A Basel-2 advanced internal ratings-based approach," International Review of Financial Analysis, Elsevier, vol. 18(5), pages 260-270, December.
    23. Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Rating transitions forecasting: a filtering approach," Post-Print hal-03347521, HAL.
    24. Myriam Ben Ayed & Adel Karaa & Jean-Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Post-Print hal-03679407, HAL.
    25. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle," IJFS, MDPI, vol. 2(1), pages 1-22, March.
    26. Balios, Dimitris & Thomadakis, Stavros & Tsipouri, Lena, 2016. "Credit rating model development: An ordered analysis based on accounting data," Research in International Business and Finance, Elsevier, vol. 38(C), pages 122-136.
    27. Cuadros-Solas, Pedro Jesús & Salvador Muñoz, Carlos, 2022. "Disentangling the sources of sovereign rating adjustments: An examination of changes in rating policies following the GFC," Research in International Business and Finance, Elsevier, vol. 59(C).
    28. Oliver Blümke, 2020. "Estimating the probability of default for no‐default and low‐default portfolios," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 69(1), pages 89-107, January.
    29. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    30. Anisa Caja & Quentin Guibert & Frédéric Planchet, 2015. "Influence of Economic Factors on the Credit Rating Transitions and Defaults of Credit Insurance Business," Working Papers hal-01178812, HAL.
    31. Gourieroux, C. & Jasiak, J., 2012. "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1464-1477.
    32. Hwang, Ruey-Ching & Chung, Huimin & Chu, C.K., 2010. "Predicting issuer credit ratings using a semiparametric method," Journal of Empirical Finance, Elsevier, vol. 17(1), pages 120-137, January.
    33. Adrian Gepp & Kuldeep Kumar & Sukanto Bhattacharya, 2010. "Business failure prediction using decision trees," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 29(6), pages 536-555.

  36. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation for Research in Economics, Yale University.

    Cited by:

    1. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    2. Peter Fuleky & Eric Zivot, 2010. "Indirect Inference Based on the Score," Working Papers UWEC-2010-08, University of Washington, Department of Economics.
    3. In Choi & Sanghyun Jung, 2020. "Cross-sectional quasi maximum likelihood and bias-corrected pooled least squares estimators for short dynamic panels," Working Papers 2007, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    4. Pavel K. Koval & Andrey V. Polbin, 2023. "Estimation of Heterogenous Consumption and Income Parameters," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 6, pages 76-92, December.
    5. Liu, Yanbo & Phillips, Peter C. B. & Yu, Jun, 2022. "A Panel Clustering Approach to Analyzing Bubble Behavior," Economics and Statistics Working Papers 1-2022, Singapore Management University, School of Economics.
    6. Gonçalves, Sílvia & Kaffo, Maximilien, 2015. "Bootstrap inference for linear dynamic panel data models with individual fixed effects," Journal of Econometrics, Elsevier, vol. 186(2), pages 407-426.
    7. Batarce, Marco & Basso, Franco & Basso, Leonardo J., 2023. "The elasticity of demand on urban highways: The case of Santiago," Transport Policy, Elsevier, vol. 133(C), pages 234-241.
    8. Zhang, Xiaoge & Chen, Maolong, 2023. "Indirect inference approach to estimating dynamic panel data models with irregular spacing," Economics Letters, Elsevier, vol. 226(C).
    9. Peter C.B. Phillips, 2011. "Folklore Theorems, Implicit Maps and New Unit Root Limit Theory," Cowles Foundation Discussion Papers 1781, Cowles Foundation for Research in Economics, Yale University.
    10. Chau, Tak Wai, 2014. "On the equivalence of indirect inference and bootstrap bias correction for linear IV estimators," Economics Letters, Elsevier, vol. 123(3), pages 333-335.
    11. Peter C.B. Phillips & Yangru Wu & Jun Yu, 2009. "Explosive Behavior in the 1990s Nasdaq: When Did Exuberance Escalate Asset Values?," Cowles Foundation Discussion Papers 1699, Cowles Foundation for Research in Economics, Yale University.
    12. Devdatta Ray & Mikael Linden, 2020. "Health expenditure, longevity, and child mortality: dynamic panel data approach with global data," International Journal of Health Economics and Management, Springer, vol. 20(1), pages 99-119, March.
    13. Norkutė, Milda & Westerlund, Joakim, 2019. "The factor analytical method for interactive effects dynamic panel models with moving average errors," Econometrics and Statistics, Elsevier, vol. 11(C), pages 83-104.
    14. Kruse, Yves Robinson & Kaufmann, Hendrik, 2015. "Bias-corrected estimation in mildly explosive autoregressions," VfS Annual Conference 2015 (Muenster): Economic Development - Theory and Policy 112897, Verein für Socialpolitik / German Economic Association.
    15. Rubio-Ramírez, Juan Francisco & Schorfheide, Frank & Fernández-Villaverde, Jesús, 2015. "Solution and Estimation Methods for DSGE Models," CEPR Discussion Papers 11032, C.E.P.R. Discussion Papers.
    16. Carneiro, Anabela & Portugal, Pedro & Raposo, Pedro & Rodrigues, Paulo M.M., 2023. "The persistence of wages," Journal of Econometrics, Elsevier, vol. 233(2), pages 596-611.
    17. Sundström, David, 2016. "A Comparison of Techniques to Evaluate Policies in Public Procurement," Umeå Economic Studies 928, Umeå University, Department of Economics, revised 17 Jun 2016.
    18. Sule Alan & Seda Ertac & Elif Kubilay & Gyongyi Loranth, 2020. "Understanding Gender Differences in Leadership," The Economic Journal, Royal Economic Society, vol. 130(626), pages 263-289.
    19. Calvet, Laurent E. & Czellar, Veronika, 2015. "Through the looking glass: Indirect inference via simple equilibria," Journal of Econometrics, Elsevier, vol. 185(2), pages 343-358.
    20. Alvarez, Luis Antonio, 2023. "Approximate Bayesian Computation for Partially Identified Models," MPRA Paper 117339, University Library of Munich, Germany.
    21. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
    22. Prosper Dovonon & Alastair R. Hall, 2017. "The Asymptotic Properties of GMM and Indirect Inference Under Second-Order Identification," Economics Discussion Paper Series 1705, Economics, The University of Manchester.
    23. Huang, Naqun & Yang, Zhenlin, 2021. "Spatial dynamic models with short panels: Evaluating the impact of purchase restrictions on housing prices," Economic Modelling, Elsevier, vol. 103(C).
    24. Dovonon, Prosper & Hall, Alastair R., 2018. "The asymptotic properties of GMM and indirect inference under second-order identification," Journal of Econometrics, Elsevier, vol. 205(1), pages 76-111.
    25. Smith, Simon C. & Timmermann, Allan & Zhu, Yinchu, 2019. "Variable selection in panel models with breaks," Journal of Econometrics, Elsevier, vol. 212(1), pages 323-344.
    26. Lynda Khalaf & Beatriz Peraza López, 2020. "Simultaneous Indirect Inference, Impulse Responses and ARMA Models," Econometrics, MDPI, vol. 8(2), pages 1-26, April.
    27. Jan Kiviet & Milan Pleus & Rutger Poldermans, 2017. "Accuracy and Efficiency of Various GMM Inference Techniques in Dynamic Micro Panel Data Models," Econometrics, MDPI, vol. 5(1), pages 1-54, March.
    28. Chen, Weihao & Cizek, Pavel, 2023. "Bias-Corrected Instrumental Variable Estimation in Linear Dynamic Panel Data Models," Discussion Paper 2023-028, Tilburg University, Center for Economic Research.
    29. Sadikoglu, Serhan, 2019. "Essays in econometric theory," Other publications TiSEM 99d83644-f9dc-49e3-a4e1-5, Tilburg University, School of Economics and Management.
    30. Dennis Kristensen & Bernard Salanié, 2010. "Higher Order Improvements for Approximate Estimators," CAM Working Papers 2010-04, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    31. Mehrabani, Ali, 2023. "Estimation and identification of latent group structures in panel data," Journal of Econometrics, Elsevier, vol. 235(2), pages 1464-1482.
    32. Yu, Jun, 2014. "Econometric Analysis Of Continuous Time Models: A Survey Of Peter Phillips’S Work And Some New Results," Econometric Theory, Cambridge University Press, vol. 30(4), pages 737-774, August.
    33. Zhenlin Yang, 2014. "Initial-Condition Free Estimation of Fixed Effects Dynamic Panel Data Models," Working Papers 16-2014, Singapore Management University, School of Economics.
    34. Arel-Bundock, Vincent, 2013. "A solution to the weak instrument bias in 2SLS estimation: Indirect inference with stochastic approximation," Economics Letters, Elsevier, vol. 120(3), pages 495-498.
    35. Michael Creel & Dennis Kristensen, "undated". "Indirect Likelihood Inference," Working Papers 558, Barcelona School of Economics.
    36. Shuowen Chen, 2022. "Indirect Inference for Nonlinear Panel Models with Fixed Effects," Papers 2203.10683, arXiv.org, revised Apr 2022.
    37. Richard A. Davis & Thiago do Rêgo Sousa & Claudia Klüppelberg, 2021. "Indirect inference for time series using the empirical characteristic function and control variates," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(5-6), pages 653-684, September.
    38. Bao, Yong & Yu, Xuewen, 2023. "Indirect inference estimation of dynamic panel data models," Journal of Econometrics, Elsevier, vol. 235(2), pages 1027-1053.
    39. Jean-Jacques Forneron & Serena Ng, 2015. "The ABC of Simulation Estimation with Auxiliary Statistics," Papers 1501.01265, arXiv.org, revised Oct 2017.
    40. Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
    41. Chengwang Liao & Ziwei Mei & Zhentao Shi, 2024. "Nickell Meets Stambaugh: A Tale of Two Biases in Panel Predictive Regressions," Papers 2410.09825, arXiv.org.
    42. W. Robert Reed & Min Zhu, 2015. "On Estimating Long-Run Effects in Models with Lagged Dependent Variables," Working Papers in Economics 15/18, University of Canterbury, Department of Economics and Finance.
    43. Aushev, Alexander & Pesonen, Henri & Heinonen, Markus & Corander, Jukka & Kaski, Samuel, 2022. "Likelihood-free inference with deep Gaussian processes," Computational Statistics & Data Analysis, Elsevier, vol. 174(C).
    44. Jun Yu, 2009. "Econometric Analysis of Continuous Time Models : A Survey of Peter Phillips’ Work and Some New Results," Microeconomics Working Papers 23046, East Asian Bureau of Economic Research.
    45. Stelios Arvanitis & Antonis Demos, 2014. "A Class of Indirect Inference Estimators: Higher Order Asymptotics and Approximate Bias Correction (Revised)," DEOS Working Papers 1411, Athens University of Economics and Business, revised 23 Sep 2014.
    46. Li, Rui & Wan, Alan T.K. & You, Jinhong, 2016. "Semiparametric GMM estimation and variable selection in dynamic panel data models with fixed effects," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 401-423.
    47. Stelios Arvanitis, 2013. "On the Existence of Strongly Consistent Indirect Estimators When the Binding Function Is Compact Valued," Journal of Mathematics, Hindawi, vol. 2013, pages 1-14, November.
    48. Cizek, P. & Sadikoglu, S., 2014. "Bias-Corrected Quantile Regression Estimation of Censored Regression Models," Other publications TiSEM b351916f-03f7-4763-b47c-4, Tilburg University, School of Economics and Management.
    49. Hendrik Kaufmannz & Robinson Kruse, 2013. "Bias-corrected estimation in potentially mildly explosive autoregressive models," CREATES Research Papers 2013-10, Department of Economics and Business Economics, Aarhus University.
    50. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
    51. Michael Creel, 2021. "Inference Using Simulated Neural Moments," Econometrics, MDPI, vol. 9(4), pages 1-15, September.
    52. Matteo Barigozzi & Roxana Halbleib & David Veredas, 2012. "Which model to match?," Working Papers 1229, Banco de España.
    53. Nikolay Gospodinov & Ivana Komunjer & Serena Ng, 2014. "Minimum Distance Estimation of Dynamic Models with Errors-In-Variables," FRB Atlanta Working Paper 2014-11, Federal Reserve Bank of Atlanta.
    54. Jean-Jacques Forneron & Serena Ng, 2020. "Inference by Stochastic Optimization: A Free-Lunch Bootstrap," Papers 2004.09627, arXiv.org, revised Sep 2020.
    55. Jan F. Kiviet & Milan Pleus & Rutger Poldermans, 2014. "Accuracy and efficiency of various GMM inference techniques in dynamic micro panel data models," UvA-Econometrics Working Papers 14-09, Universiteit van Amsterdam, Dept. of Econometrics.
    56. Dang, Viet Anh & Kim, Minjoo & Shin, Yongcheol, 2015. "In search of robust methods for dynamic panel data models in empirical corporate finance," Journal of Banking & Finance, Elsevier, vol. 53(C), pages 84-98.
    57. Lealand Morin & Ying Shang, 2021. "Federal Reserve policy after the zero lower bound: an indirect inference approach," Empirical Economics, Springer, vol. 60(4), pages 2105-2124, April.
    58. Alperovych, Yan & Cumming, Douglas & Czellar, Veronika & Groh, Alexander, 2021. "M&A rumors about unlisted firms," Journal of Financial Economics, Elsevier, vol. 142(3), pages 1324-1339.
    59. Khalaf, Lynda & Saunders, Charles J., 2020. "Monte Carlo two-stage indirect inference (2SIF) for autoregressive panels," Journal of Econometrics, Elsevier, vol. 218(2), pages 419-434.
    60. Martin Browning & Lars Gårn Hansen & Sinne Smed, 2019. "Heterogeneous Consumer Reactions to Health News," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(2), pages 579-599.
    61. P Čížek & S Sadıkoğlu, 2022. "Misclassification-robust semiparametric estimation of single-index binary-choice models [Local NLLS estimation of semi-parametric binary choice models]," The Econometrics Journal, Royal Economic Society, vol. 25(2), pages 433-454.
    62. Giorgio Calzolari & Laura Magazzini, 2013. "A powerful test of mean stationarity in dynamic models for panel data: Monte Carlo evidence," Working Papers 14/2013, University of Verona, Department of Economics.
    63. Michael Creel & Dennis Kristensen, 2013. "Indirect Likelihood Inference (revised)," UFAE and IAE Working Papers 931.13, Unitat de Fonaments de l'Anàlisi Econòmica (UAB) and Institut d'Anàlisi Econòmica (CSIC).
    64. Yong Bao, 2021. "Indirect Inference Estimation of a First-Order Dynamic Panel Data Model," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 19(1), pages 79-98, December.
    65. Martin Browning & Lars Gårn Hansen & Sinne Smed, 2013. "Rational inattention or rational overreaction? Consumer reactions to health news," IFRO Working Paper 2013/14, University of Copenhagen, Department of Food and Resource Economics.

  37. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.

    Cited by:

    1. Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
    2. Wozabal, Nancy, 2009. "Uniform limit theorems for functions of order statistics," Statistics & Probability Letters, Elsevier, vol. 79(12), pages 1450-1455, June.
    3. john cotter & kevin dowd, 2011. "Estimating financial risk measures for futures positions: a non-parametric approach," Papers 1103.5666, arXiv.org.
    4. Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany.
    5. Debora Daniela Escobar & Georg Ch. Pflug, 2020. "The distortion principle for insurance pricing: properties, identification and robustness," Annals of Operations Research, Springer, vol. 292(2), pages 771-794, September.
    6. Daniela Escobar & Georg Pflug, 2018. "The distortion principle for insurance pricing: properties, identification and robustness," Papers 1809.06592, arXiv.org.
    7. Peter W. Glynn & Yijie Peng & Michael C. Fu & Jian-Qiang Hu, 2021. "Computing Sensitivities for Distortion Risk Measures," INFORMS Journal on Computing, INFORMS, vol. 33(4), pages 1520-1532, October.

  38. Christian Gourieroux & Alain Monfort, 2006. "(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution," Working Papers 2006-31, Center for Research in Economics and Statistics.

    Cited by:

    1. Bessa, Ricardo J. & Miranda, V. & Botterud, A. & Zhou, Z. & Wang, J., 2012. "Time-adaptive quantile-copula for wind power probabilistic forecasting," Renewable Energy, Elsevier, vol. 40(1), pages 29-39.
    2. Hirukawa, Masayuki, 2010. "Nonparametric multiplicative bias correction for kernel-type density estimation on the unit interval," Computational Statistics & Data Analysis, Elsevier, vol. 54(2), pages 473-495, February.
    3. Ouimet, Frédéric & Tolosana-Delgado, Raimon, 2022. "Asymptotic properties of Dirichlet kernel density estimators," Journal of Multivariate Analysis, Elsevier, vol. 187(C).
    4. Gospodinov, Nikolay & Hirukawa, Masayuki, 2012. "Nonparametric estimation of scalar diffusion models of interest rates using asymmetric kernels," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 595-609.
    5. Song Li & Mervyn J. Silvapulle & Param Silvapulle & Xibin Zhang, 2015. "Bayesian Approaches to Nonparametric Estimation of Densities on the Unit Interval," Econometric Reviews, Taylor & Francis Journals, vol. 34(3), pages 394-412, March.
    6. Salvatore D. Tomarchio & Antonio Punzo, 2019. "Modelling the loss given default distribution via a family of zero‐and‐one inflated mixture models," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 182(4), pages 1247-1266, October.
    7. Calabrese, Raffaella & Zenga, Michele, 2010. "Bank loan recovery rates: Measuring and nonparametric density estimation," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 903-911, May.
    8. J. Samuel Baixauli & Susana Alvarez, 2010. "The Role of Market-Implied Severity Modeling for Credit VaR," Annals of Economics and Finance, Society for AEF, vol. 11(2), pages 337-353, November.
    9. J. Baixauli & Susana Alvarez, 2012. "Implied Severity Density Estimation: An Extended Semiparametric Method to Compute Credit Value at Risk," Computational Economics, Springer;Society for Computational Economics, vol. 40(2), pages 115-129, August.
    10. Han, Chulwoo & Jang, Youngmin, 2013. "Effects of debt collection practices on loss given default," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 21-31.

  39. Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.

    Cited by:

    1. Alfred Galichon, 2009. "The var at risk," Working Papers hal-00401793, HAL.
    2. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.

  40. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.

    Cited by:

    1. Charle Augusto Londoño, 2011. "Regresión del cuantil aplicada al modelo de redes neuronales artificiales," Revista ESPE - Ensayos sobre Política Económica, Banco de la Republica de Colombia, vol. 29(64), pages 62-109, July.
    2. Hamidi, Benjamin & Maillet, Bertrand & Prigent, Jean-Luc, 2014. "A dynamic autoregressive expectile for time-invariant portfolio protection strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 46(C), pages 1-29.
    3. Fuertes, Ana-Maria & Olmo, Jose, 2013. "Optimally harnessing inter-day and intra-day information for daily value-at-risk prediction," International Journal of Forecasting, Elsevier, vol. 29(1), pages 28-42.
    4. Christian Gourieroux & Wei Liu, 2009. "Control and Out‐of‐Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 683-707, September.
    5. Julio Galvez & Javier Mencía, 2014. "Distributional Linkages between European Sovereign Bond and Bank Asset Returns," Working Papers wp2014_1407, CEMFI.
    6. Ayoub Ammy-Driss & Matthieu Garcin, 2021. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Working Papers hal-02903655, HAL.
    7. Li, Jingyu & Yao, Yanzhen & Li, Jianping & Zhu, Xiaoqian, 2019. "Network-based estimation of systematic and idiosyncratic contagion: The case of Chinese financial institutions," Emerging Markets Review, Elsevier, vol. 40(C), pages 1-1.
    8. Francq, Christian & Zakoian, Jean-Michel, 2015. "Looking for efficient qml estimation of conditional value-at-risk at multiple risk levels," MPRA Paper 67195, University Library of Munich, Germany.
    9. Ayoub Ammy-Driss & Matthieu Garcin, 2020. "Efficiency of the financial markets during the COVID-19 crisis: time-varying parameters of fractional stable dynamics," Papers 2007.10727, arXiv.org, revised Nov 2021.
    10. Escanciano, J. Carlos & Olmo, Jose, 2010. "Backtesting Parametric Value-at-Risk With Estimation Risk," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(1), pages 36-51.
    11. Benjamin Hamidi & Bertrand Maillet & Jean-Luc Prigent, 2009. "A Risk Management Approach for Portfolio Insurance Strategies," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00389789, HAL.
    12. Bonaccolto, Giovanni & Caporin, Massimiliano & Maillet, Bertrand B., 2022. "Dynamic large financial networks via conditional expected shortfalls," European Journal of Operational Research, Elsevier, vol. 298(1), pages 322-336.
    13. Leopoldo Catania & Alessandra Luati & Pierluigi Vallarino, 2021. "Economic vulnerability is state dependent," CREATES Research Papers 2021-09, Department of Economics and Business Economics, Aarhus University.
    14. Zongwu Cai & Xiyuan Liu, 2020. "A Functional-Coefficient VAR Model for Dynamic Quantiles with Constructing Financial Network," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202017, University of Kansas, Department of Economics, revised Oct 2020.
    15. Juan Carlos Escanciano & Pei Pei, 2012. "Pitfalls in Backtesting Historical Simulation VaR Models," CAEPR Working Papers 2012-003, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    16. Manuel Arellano & Stéphane Bonhomme, 2015. "Nonlinear panel data estimation via quantile regressions," CeMMAP working papers 40/15, Institute for Fiscal Studies.
    17. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2009. "L-performance with an application to hedge funds," Post-Print halshs-00677730, HAL.
    18. Guillaume Bernis & Nicolas Brunel & Antoine Kornprobst & Simone Scotti, 2017. "Stochastic Evolution of Distributions - Applications to CDS indices," Post-Print halshs-01467736, HAL.
    19. Huang, Dashan & Yu, Baimin & Fabozzi, Frank J. & Fukushima, Masao, 2009. "CAViaR-based forecast for oil price risk," Energy Economics, Elsevier, vol. 31(4), pages 511-518, July.
    20. Maynard, Alex & Shimotsu, Katsumi & Kuriyama, Nina, 2024. "Inference in predictive quantile regressions," Journal of Econometrics, Elsevier, vol. 245(1).
    21. Timo Dimitriadis & Tobias Fissler & Johanna Ziegel, 2020. "The Efficiency Gap," Papers 2010.14146, arXiv.org, revised Sep 2022.
    22. Chen, Cathy W.S. & Gerlach, Richard & Wei, D.C.M., 2009. "Bayesian causal effects in quantiles: Accounting for heteroscedasticity," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 1993-2007, April.
    23. Nieto, Maria Rosa & Ruiz, Esther, 2016. "Frontiers in VaR forecasting and backtesting," International Journal of Forecasting, Elsevier, vol. 32(2), pages 475-501.
    24. Bernard, Carole & Czado, Claudia, 2015. "Conditional quantiles and tail dependence," Journal of Multivariate Analysis, Elsevier, vol. 138(C), pages 104-126.
    25. CORONEO, Laura & VEREDAS, David, 2006. "Intradaily seasonality of returns distribution. A quantile regression approach and intradaily VaR estimation," LIDAM Discussion Papers CORE 2006077, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    26. Harvey,Andrew C., 2013. "Dynamic Models for Volatility and Heavy Tails," Cambridge Books, Cambridge University Press, number 9781107630024, January.
    27. Yuta Kurose & Yasuhiro Omori, 2012. "Bayesian Analysis of Time-Varying Quantiles Using a Smoothing Spline," CIRJE F-Series CIRJE-F-845, CIRJE, Faculty of Economics, University of Tokyo.
    28. Daniel Mariño Ustacara & Luis Fernando Melo Velandia, 2016. "Regresión Cuantílica Dinámica para la Medición del Valor en Riesgo: una Aplicación a Datos Colombianos," Borradores de Economia 939, Banco de la Republica de Colombia.
    29. Escanciano, J. C. & Olmo, J., 2007. "Estimation risk effects on backtesting for parametric value-at-risk models," Working Papers 07/11, Department of Economics, City University London.
    30. Cathy Chen & Richard Gerlach, 2013. "Semi-parametric quantile estimation for double threshold autoregressive models with heteroskedasticity," Computational Statistics, Springer, vol. 28(3), pages 1103-1131, June.
    31. Mauro Bernardi & Ghislaine Gayraud & Lea Petrella, 2013. "Bayesian inference for CoVaR," Papers 1306.2834, arXiv.org, revised Nov 2013.
    32. Nieto, María Rosa, 2008. "Measuring financial risk : comparison of alternative procedures to estimate VaR and ES," DES - Working Papers. Statistics and Econometrics. WS ws087326, Universidad Carlos III de Madrid. Departamento de Estadística.
    33. Christian Francq & Jean-Michel Zakoian, 2014. "Multi-level Conditional VaR Estimation in Dynamic Models," Working Papers 2014-01, Center for Research in Economics and Statistics.
    34. Ammy-Driss, Ayoub & Garcin, Matthieu, 2023. "Efficiency of the financial markets during the COVID-19 crisis: Time-varying parameters of fractional stable dynamics," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 609(C).
    35. Cheng Peng & Stanislav Uryasev, 2023. "Factor Model of Mixtures," Papers 2301.13843, arXiv.org, revised Mar 2023.
    36. Georges Tsafack & James Cataldo, 2021. "Backtesting and estimation error: value-at-risk overviolation rate," Empirical Economics, Springer, vol. 61(3), pages 1351-1396, September.
    37. Guodong Li & Yang Li & Chih-Ling Tsai, 2015. "Quantile Correlations and Quantile Autoregressive Modeling," Journal of the American Statistical Association, Taylor & Francis Journals, vol. 110(509), pages 246-261, March.
    38. Guillaume Bernis & Nicolas Brunel & Antoine Kornprobst & Simone Scotti, 2017. "Stochastic Evolution of Distributions - Applications to CDS indices," Documents de travail du Centre d'Economie de la Sorbonne 17007, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    39. Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.
    40. Guillaume Bernis & Nicolas Brunel & Antoine Kornprobst & Simone Scotti, 2017. "Stochastic Evolution of Distributions - Applications to CDS indices," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-01467736, HAL.
    41. Harvey, Andrew & Oryshchenko, Vitaliy, 2012. "Kernel density estimation for time series data," International Journal of Forecasting, Elsevier, vol. 28(1), pages 3-14.
    42. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
    43. Emmanuel Jurczenko & Bertrand Maillet & Paul Merlin, 2008. "Efficient Frontier for Robust Higher-order Moment Portfolio Selection," Post-Print halshs-00336475, HAL.
    44. Komunjer, Ivana, 2013. "Quantile Prediction," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 961-994, Elsevier.
    45. Semeyutin, Artur & O’Neill, Robert, 2019. "A brief survey on the choice of parameters for: “Kernel density estimation for time series data”," The North American Journal of Economics and Finance, Elsevier, vol. 50(C).

  41. 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.

    Cited by:

    1. Cui, Liyuan & Hong, Yongmiao & Li, Yingxing, 2021. "Solving Euler equations via two-stage nonparametric penalized splines," Journal of Econometrics, Elsevier, vol. 222(2), pages 1024-1056.
    2. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
    3. Francesco Audrino & Dominik Colangelo, 2009. "Option trading strategies based on semi-parametric implied volatility surface prediction," University of St. Gallen Department of Economics working paper series 2009 2009-24, Department of Economics, University of St. Gallen.
    4. Xiaohong Chen & Lars P. Hansen & Peter G. Hansen, 2020. "Robust Identification of Investor Beliefs," Cowles Foundation Discussion Papers 2236, Cowles Foundation for Research in Economics, Yale University.
    5. Gianluca Cassese, 2014. "Option pricing in an imperfect world," Working Papers 277, University of Milano-Bicocca, Department of Economics, revised Jun 2014.
    6. Andersen, Torben G. & Fusari, Nicola & Todorov, Viktor & Varneskov, Rasmus T., 2019. "Unified inference for nonlinear factor models from panels with fixed and large time span," Journal of Econometrics, Elsevier, vol. 212(1), pages 4-25.
    7. Yuichi Kitamura, 2006. "Empirical Likelihood Methods in Econometrics: Theory and Practice," CIRJE F-Series CIRJE-F-430, CIRJE, Faculty of Economics, University of Tokyo.
    8. Torben G. Andersen & Nicola Fusari & Viktor Todorov, 2012. "Parametric Inference and Dynamic State Recovery from Option Panels," Global COE Hi-Stat Discussion Paper Series gd12-266, Institute of Economic Research, Hitotsubashi University.
    9. Cui, Zhenyu & Kirkby, J. Lars & Nguyen, Duy, 2021. "A data-driven framework for consistent financial valuation and risk measurement," European Journal of Operational Research, Elsevier, vol. 289(1), pages 381-398.
    10. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
    11. Xu, Ke-Li, 2020. "Inference of local regression in the presence of nuisance parameters," Journal of Econometrics, Elsevier, vol. 218(2), pages 532-560.
    12. Bertille Antoine & Eric Renault, 2012. "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers dp12-03, Department of Economics, Simon Fraser University.
    13. Jaroslav Borovička & Lars P. Hansen & José A. Scheinkman, 2014. "Misspecified Recovery," NBER Working Papers 20209, National Bureau of Economic Research, Inc.
      • Jaroslav Borovička & Lars Peter Hansen & José A. Scheinkman, 2016. "Misspecified Recovery," Journal of Finance, American Finance Association, vol. 71(6), pages 2493-2544, December.
      • Jaroslav Borovicka & Lars Peter Hansen & Jose A. Scheinkman, 2015. "Misspecified Recovery," Working Papers 063_2014, Princeton University, Department of Economics, Econometric Research Program..
      • Jaroslav Boroviv{c}ka & Lars Peter Hansen & Jos'e A. Scheinkman, 2014. "Misspecified Recovery," Papers 1412.0042, arXiv.org, revised Oct 2015.
    14. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
    15. Raymond Kan & Cesare Robotti, 0. "Comment on: Pseudo-True SDFs in Conditional Asset Pricing Models," Journal of Financial Econometrics, Oxford University Press, vol. 18(4), pages 729-735.
    16. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    17. Gianluca Cassese, 2015. "Nonparametric Estimates of Option Prices Using Superhedging," Working Papers 293, University of Milano-Bicocca, Department of Economics, revised Feb 2015.
    18. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
    19. Liyuan Cui & Guanhao Feng & Yongmiao Hong, 2024. "Regularized Gmm For Time‐Varying Models With Applications To Asset Pricing," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 65(2), pages 851-883, May.
    20. Jarrow, Robert & Kwok, Simon, 2013. "Specification Tests of Calibrated Option Pricing Models," Working Papers 2013-08, University of Sydney, School of Economics, revised Dec 2014.
    21. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
    22. Jia Li & Dacheng Xiu, 2016. "Generalized Method of Integrated Moments for High‐Frequency Data," Econometrica, Econometric Society, vol. 84, pages 1613-1633, July.
    23. Julia Jiang & Weidong Tian, 2019. "Semi-nonparametric approximation and index options," Annals of Finance, Springer, vol. 15(4), pages 563-600, December.
    24. Zhentao Shi & Huanhuan Zheng, 2018. "Structural estimation of behavioral heterogeneity," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(5), pages 690-707, August.
    25. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.
    26. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    27. Francesca Lilla, 2021. "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers) 1336, Bank of Italy, Economic Research and International Relations Area.
    28. Chaudhuri, Saraswata & Renault, Eric, 2020. "Score tests in GMM: Why use implied probabilities?," Journal of Econometrics, Elsevier, vol. 219(2), pages 260-280.

  42. Christian Gourieroux & Razvan Sufana, 2005. "A Classification of Two Factor Affine Diffusion Term Structure Models," Working Papers 2005-42, Center for Research in Economics and Statistics.

    Cited by:

    1. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    2. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    3. Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To, 2011. "Stochastic Correlation and Risk Premia in Term Structure Models," Research Paper Series 298, Quantitative Finance Research Centre, University of Technology, Sydney.
    4. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    5. Eduardo Abi Jaber & Bruno Bouchard & Camille Illand & Eduardo Abi Jaber, 2018. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Post-Print hal-01349639, HAL.
    6. Cheridito, Patrick & Filipovic, Damir & Kimmel, Robert L., 2006. "Affine Term Structure Models," Working Paper Series 2007-2, Ohio State University, Charles A. Dice Center for Research in Financial Economics.
    7. Abi Jaber, Eduardo & Bouchard, Bruno & Illand, Camille, 2019. "Stochastic invariance of closed sets with non-Lipschitz coefficients," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1726-1748.

  43. Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005. "Affine Model for Credit Risk Analysis," Working Papers 2005-44, Center for Research in Economics and Statistics.

    Cited by:

    1. Masakazu Miura & Kenichiro Tamaki & Takayuki Shiohama, 2013. "Asymptotic Expansion for Term Structures of Defaultable Bonds with Non-Gaussian Dependent Innovations," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 20(4), pages 311-344, November.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Jérémy Leymarie & Christophe Hurlin & Antoine Patin, 2018. "Loss Functions for LGD Models Comparison," Post-Print hal-01923050, HAL.
    4. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    5. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
    6. Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
    7. Alain Monfort & Olivier Féron, 2011. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers 2011-12, Center for Research in Economics and Statistics.
    8. Bogdan Constantin VORONEANU, 2013. "Current Trends In The Approach Of The Credit Relationships Between Banks And Companies," Journal of Public Administration, Finance and Law, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, vol. 3(3), pages 91-97, June.
    9. Hao Wang & Anthony Bellotti & Rong Qu & Ruibin Bai, 2024. "Discrete-Time Survival Models with Neural Networks for Age–Period–Cohort Analysis of Credit Risk," Risks, MDPI, vol. 12(2), pages 1-26, February.
    10. Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
    11. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    12. Patrick Gagliardini, 2005. "Stochastic Migration Models with Application to Corporate Risk," Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 188-226.
    13. Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.
    14. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
    15. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    16. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    17. Alain Monfort & Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Center for Research in Economics and Statistics.
    18. Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
    19. Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
    20. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    21. Hurlin, Christophe & Leymarie, Jérémy & Patin, Antoine, 2018. "Loss functions for Loss Given Default model comparison," European Journal of Operational Research, Elsevier, vol. 268(1), pages 348-360.
    22. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    23. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    24. Gonzalo Camba-Méndez & Dobromił Serwa, 2014. "Market perception of sovereign credit risk in the euro area during the financial crisis," NBP Working Papers 185, Narodowy Bank Polski.
    25. Gouriéroux, Christian, 2003. "Économétrie de la finance : l’exemple du risque de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 79(4), pages 399-418, Décembre.
    26. Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
    27. Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.

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

    Cited by:

    1. Audrino, Francesco & Fengler, Matthias, 2013. "Are classical option pricing models consistent with observed option second-order moments? Evidence from high-frequency data," Economics Working Paper Series 1311, University of St. Gallen, School of Economics and Political Science.
    2. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
    3. Bauwens, Luc & Xu, Yongdeng, 2023. "DCC- and DECO-HEAVY: Multivariate GARCH models based on realized variances and correlations," International Journal of Forecasting, Elsevier, vol. 39(2), pages 938-955.
    4. Rama Cont & Lakshithe Wagalath, 2012. "Fire Sales Forensics: Measuring Endogenous Risk," Working Papers hal-00697224, HAL.
    5. Bauwens, Luc & Braione, Manuela & Storti, Giuseppe, 2017. "A dynamic component model for forecasting high-dimensional realized covariance matrices," Econometrics and Statistics, Elsevier, vol. 1(C), pages 40-61.
    6. Fengler, Matthias R. & Okhrin, Ostap, 2012. "Realized copula," SFB 649 Discussion Papers 2012-034, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    8. Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
    9. Monica Billio & Roberto Casarin & Michele Costola & Matteo Iacopini, 2021. "COVID-19 spreading in financial networks: A semiparametric matrix regression model," Working Papers 2021:05, Department of Economics, University of Venice "Ca' Foscari".
    10. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
    11. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
    12. Matteo Luciani & David Veredas, 2012. "A model for vast panels of volatilities," Working Papers 1230, Banco de España.
    13. Rama Cont & Lakshithe Wagalath, 2014. "Institutional Investors and the Dependence Structure of Asset Returns," Working Papers 2014-ACF-01, IESEG School of Management.
    14. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    15. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
    16. BAUWENS, Luc & BEN OMRANE, Walid & RENGIFO, Erick, 2006. "Intra-daily FX optimal portfolio allocation," LIDAM Discussion Papers CORE 2006010, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    17. Bonato, Mateo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Risk Spillovers in International Equity Portfolios," Working Papers on Finance 1214, University of St. Gallen, School of Finance.
    18. Fengler, Matthias R. & Okhrin, Ostap, 2016. "Managing risk with a realized copula parameter," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 131-152.
    19. K. Triantafyllopoulos, 2012. "Multi‐variate stochastic volatility modelling using Wishart autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 48-60, January.
    20. Bastian Gribisch, 2018. "A latent dynamic factor approach to forecasting multivariate stock market volatility," Empirical Economics, Springer, vol. 55(2), pages 621-651, September.
    21. Alexander Philipov & Mark Glickman, 2006. "Factor Multivariate Stochastic Volatility via Wishart Processes," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 311-334.
    22. Jiayuan Zhou & Feiyu Jiang & Ke Zhu & Wai Keung Li, 2019. "Time series models for realized covariance matrices based on the matrix-F distribution," Papers 1903.12077, arXiv.org, revised Jul 2020.
    23. Stanislav Anatolyev & Nikita Kobotaev, 2018. "Modeling and forecasting realized covariance matrices with accounting for leverage," Econometric Reviews, Taylor & Francis Journals, vol. 37(2), pages 114-139, February.
    24. Manabu Asai & Michael McAleer, 2014. "Forecasting Co-Volatilities via Factor Models with Asymmetry and Long Memory in Realized Covariance," Tinbergen Institute Discussion Papers 14-037/III, Tinbergen Institute.
    25. R. Sufana, 2013. "Leverage effects in a multiasset framework," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 783-787, May.
    26. Robertson, Scott & Xing, Hao, 2015. "Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient," LSE Research Online Documents on Economics 60578, London School of Economics and Political Science, LSE Library.
    27. LAURENT, Sébastien & ROMBOUTS, Jeroen V. K. & VIOLANTE, Francesco, 2010. "On the forecasting accuracy of multivariate GARCH models," LIDAM Discussion Papers CORE 2010025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    28. Joshua Chan & Arnaud Doucet & Roberto Leon-Gonzalez & Rodney W. Strachan, 2018. "Multivariate Stochastic Volatility with Co-Heteroscedasticity," GRIPS Discussion Papers 18-12, National Graduate Institute for Policy Studies.
    29. Xin Jin & John M. Maheu, 2014. "Bayesian Semiparametric Modeling of Realized Covariance Matrices," Working Paper series 34_14, Rimini Centre for Economic Analysis.
    30. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2015. "Commodity derivatives pricing with cointegration and stochastic covariances," European Journal of Operational Research, Elsevier, vol. 246(2), pages 476-486.
    31. László Márkus & Ashish Kumar, 2021. "Modelling Joint Behaviour of Asset Prices Using Stochastic Correlation," Methodology and Computing in Applied Probability, Springer, vol. 23(1), pages 341-354, March.
    32. Torben G. Andersen & Tim Bollerslev & Peter F. Christoffersen & Francis X. Diebold, 2011. "Financial Risk Measurement for Financial Risk Management," CREATES Research Papers 2011-37, Department of Economics and Business Economics, Aarhus University.
    33. Behme, Anita, 2012. "Moments of MGOU processes and positive semidefinite matrix processes," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 183-197.
    34. Laruelle Sophie & Pagès Gilles, 2012. "Stochastic approximation with averaging innovation applied to Finance," Monte Carlo Methods and Applications, De Gruyter, vol. 18(1), pages 1-51, January.
    35. Gribisch, Bastian, 2013. "A latent dynamic factor approach to forecasting multivariate stock market volatility," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79823, Verein für Socialpolitik / German Economic Association.
    36. Chiriac, Roxana & Voev, Valeri, 2008. "Modelling and forecasting multivariate realized volatility," CoFE Discussion Papers 08/06, University of Konstanz, Center of Finance and Econometrics (CoFE).
    37. Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
    38. Denuit, Michel & Lu, Yang, 2020. "Wishart-Gamma mixtures for multiperil experience ratemaking, frequency-severity experience rating and micro-loss reserving," LIDAM Discussion Papers ISBA 2020016, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    39. Michel Denuit & Yang Lu, 2021. "Wishart‐gamma random effects models with applications to nonlife insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 88(2), pages 443-481, June.
    40. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2010. "The conditional autoregressive wishart model for multivariate stock market volatility," Economics Working Papers 2010-07, Christian-Albrechts-University of Kiel, Department of Economics.
    41. Vassallo, Danilo & Buccheri, Giuseppe & Corsi, Fulvio, 2021. "A DCC-type approach for realized covariance modeling with score-driven dynamics," International Journal of Forecasting, Elsevier, vol. 37(2), pages 569-586.
    42. Yaojie Zhang & Yu Wei & Li Liu, 2019. "Improving forecasting performance of realized covariance with extensions of HAR-RCOV model: statistical significance and economic value," Quantitative Finance, Taylor & Francis Journals, vol. 19(9), pages 1425-1438, September.
    43. Roxana Halbleib & Valeri Voev, 2011. "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers 2011-03, Department of Economics and Business Economics, Aarhus University.
    44. Benny Ren & Ian Barnett, 2022. "Autoregressive mixture models for clustering time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(6), pages 918-937, November.
    45. Roberto Leon-Gonzalez, 2015. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers 15-17, National Graduate Institute for Policy Studies.
    46. Ashish Kumar & Laszlo Markus & Norbert Hari, 2021. "Arbitrage-free pricing of CVA for cross-currency swap with wrong-way risk under stochastic correlation modeling framework," Papers 2107.06349, arXiv.org.
    47. Trojan, Sebastian, 2014. "Multivariate Stochastic Volatility with Dynamic Cross Leverage," Economics Working Paper Series 1424, University of St. Gallen, School of Economics and Political Science.
    48. Manabu Asai & Mike K. P. So, 2021. "Quasi‐maximum likelihood estimation of conditional autoregressive Wishart models," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(3), pages 271-294, May.
    49. Hiroaki Hata & Jun Sekine, 2017. "Risk-Sensitive Asset Management in a Wishart-Autoregressive Factor Model with Jumps," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 24(3), pages 221-252, September.
    50. Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
    51. Varneskov, Rasmus & Voev, Valeri, 2013. "The role of realized ex-post covariance measures and dynamic model choice on the quality of covariance forecasts," Journal of Empirical Finance, Elsevier, vol. 20(C), pages 83-95.
    52. Minchul Shin & Molin Zhong, 2020. "A New Approach to Identifying the Real Effects of Uncertainty Shocks," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 38(2), pages 367-379, April.
    53. Rama Cont & Lakshithe Wagalath, 2016. "Institutional Investors And The Dependence Structure Of Asset Returns," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(02), pages 1-37, March.
    54. Lakshithe Wagalath, 2017. "Lost In Contagion? Building A Liquidation Index From Covariance Dynamics," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(01), pages 1-26, February.
    55. Bauwens, L. & Hafner C. & Laurent, S., 2011. "Volatility Models," LIDAM Discussion Papers ISBA 2011044, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
      • BAUWENS, Luc & HAFNER, Christian & LAURENT, Sébastien, 2011. "Volatility models," LIDAM Discussion Papers CORE 2011058, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
      • Bauwens, L. & Hafner, C. & Laurent, S., 2012. "Volatility Models," LIDAM Reprints ISBA 2012028, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    56. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    57. Fabrizio Cipollini & Giampiero M. Gallo & Alessandro Palandri, 2020. "A dynamic conditional approach to portfolio weights forecasting," Papers 2004.12400, arXiv.org.
    58. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    59. Eduardo Abi Jaber, 2019. "The Laplace transform of the integrated Volterra Wishart process," Papers 1911.07719, arXiv.org, revised Jul 2024.
    60. Tsunehiro Ishihara & Yasuhiro Omori & Manabu Asai, 2014. "Matrix Exponential Stochastic Volatility with Cross Leverage," CIRJE F-Series CIRJE-F-932, CIRJE, Faculty of Economics, University of Tokyo.
    61. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
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    64. Manabu Asai & Chia-Lin Chang & Michael McAleer, 2016. "Realized Matrix-Exponential Stochastic Volatility with Asymmetry, Long Memory and Spillovers," Documentos de Trabajo del ICAE 2016-15, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico.
    65. Moura, Guilherme V. & Santos, André A. P., 2019. "Comparing Forecasts of Extremely Large Conditional Covariance Matrices," DES - Working Papers. Statistics and Econometrics. WS 29291, Universidad Carlos III de Madrid. Departamento de Estadística.
    66. Timothy P. Dombrowski & Rajesh P. Narayanan & R. Kelley Pace, 2023. "The Rank-Size Rule and Challenges in Diversifying Commercial Real Estate Portfolios," The Journal of Real Estate Finance and Economics, Springer, vol. 67(1), pages 1-28, July.
    67. Creal, Drew & Koopman, Siem Jan & Lucas, André, 2011. "A Dynamic Multivariate Heavy-Tailed Model for Time-Varying Volatilities and Correlations," Journal of Business & Economic Statistics, American Statistical Association, vol. 29(4), pages 552-563.
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    69. Jin, Xin & Maheu, John M & Yang, Qiao, 2017. "Bayesian Parametric and Semiparametric Factor Models for Large Realized Covariance Matrices," MPRA Paper 81920, University Library of Munich, Germany.
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    72. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    73. Golosnoy, Vasyl & Gribisch, Bastian & Liesenfeld, Roman, 2015. "Intra-daily volatility spillovers in international stock markets," Journal of International Money and Finance, Elsevier, vol. 53(C), pages 95-114.
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    75. Asai, Manabu & Chang, Chia-Lin & McAleer, Michael, 2022. "Realized matrix-exponential stochastic volatility with asymmetry, long memory and higher-moment spillovers," Journal of Econometrics, Elsevier, vol. 227(1), pages 285-304.
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    77. Dellaportas, Petros & Titsias, Michalis K. & Petrova, Katerina & Plataniotis, Anastasios, 2023. "Scalable inference for a full multivariate stochastic volatility model," Journal of Econometrics, Elsevier, vol. 232(2), pages 501-520.
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    79. BAUWENS, Luc & BRAIONE, Manuela & STORTI, Giuseppe, 2016. "Multiplicative Conditional Correlation Models for Realized Covariance Matrices," LIDAM Discussion Papers CORE 2016041, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    80. Bonato, Matteo & Caporin, Massimiliano & Ranaldo, Angelo, 2012. "Forecasting Realized (Co)Variances with a Bloc Structure Wishart Autoregressive Model," Working Papers on Finance 1211, University of St. Gallen, School of Finance.
    81. Bauwens, Luc & Dzuverovic, Emilija & Hafner, Christian, 2024. "Asymmetric Models for Realized Covariances," LIDAM Discussion Papers ISBA 2024022, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    82. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
    83. Jian, Zhihong & Deng, Pingjun & Zhu, Zhican, 2018. "High-dimensional covariance forecasting based on principal component analysis of high-frequency data," Economic Modelling, Elsevier, vol. 75(C), pages 422-431.
    84. Philippe Raimbourg & Paul Zimmermann, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," Post-Print hal-04011013, HAL.
    85. Hattori, Masazumi & Shim, Ilhyock & Sugihara, Yoshihiko, 2021. "Cross-stock market spillovers through variance risk premiums and equity flows," Journal of International Money and Finance, Elsevier, vol. 119(C).
    86. Takashi Kato & Jun Sekine & Kenichi Yoshikawa, 2013. "Order Estimates for the Exact Lugannani-Rice Expansion," Papers 1310.3347, arXiv.org, revised Jun 2014.
    87. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    88. Raimbourg, Philippe & Zimmermann, Paul, 2022. "Is normal backwardation normal? Valuing financial futures with a local index-rate covariance," European Journal of Operational Research, Elsevier, vol. 298(1), pages 351-367.
    89. Andrea BUCCI, 2017. "Forecasting Realized Volatility A Review," Journal of Advanced Studies in Finance, ASERS Publishing, vol. 8(2), pages 94-138.
    90. Valeri Voev, 2009. "On the Economic Evaluation of Volatility Forecasts," CREATES Research Papers 2009-56, Department of Economics and Business Economics, Aarhus University.
    91. Wenjing Wang & Minjing Tao, 2020. "Forecasting Realized Volatility Matrix With Copula-Based Models," Papers 2002.08849, arXiv.org.
    92. Golosnoy, Vasyl & Schmid, Wolfgang & Seifert, Miriam Isabel & Lazariv, Taras, 2020. "Statistical inferences for realized portfolio weights," Econometrics and Statistics, Elsevier, vol. 14(C), pages 49-62.
    93. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    94. Jan Patrick Hartkopf, 2023. "Composite forecasting of vast-dimensional realized covariance matrices using factor state-space models," Empirical Economics, Springer, vol. 64(1), pages 393-436, January.
    95. Daniel Burren, 2008. "The Role of Sectoral Shifts in the Great Moderation," Diskussionsschriften dp0801, Universitaet Bern, Departement Volkswirtschaft.
    96. Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
    97. Bauwens, Luc & Ben Omrane, Walid & Rengifo, Erick, 2010. "Intradaily dynamic portfolio selection," Computational Statistics & Data Analysis, Elsevier, vol. 54(11), pages 2400-2418, November.
    98. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
    99. Laurent A. F. Callot & Anders B. Kock & Marcelo C. Medeiros, 2014. "Estimation and Forecasting of Large Realized Covariance Matrices and Portfolio Choice," CREATES Research Papers 2014-42, Department of Economics and Business Economics, Aarhus University.
    100. BAUWENS Luc, & XU Yongdeng,, 2019. "DCC-HEAVY: A multivariate GARCH model based on realized variances and correlations," LIDAM Discussion Papers CORE 2019025, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    101. BAUWENS, Luc & STORTI, Giuseppe, 2013. "Computationally efficient inference procedures for vast dimensional realized covariance models," LIDAM Reprints CORE 2469, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    102. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
    103. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 97-109, June.
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    105. BAUWENS, Luc & STORTI, Giuseppe & VIOLANTE, Francesco, 2012. "Dynamic conditional correlation models for realized covariance matrices," LIDAM Discussion Papers CORE 2012060, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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  45. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005. "International Money and Stock Market Contingent Claims," Working Papers 2005-41, Center for Research in Economics and Statistics.

    Cited by:

    1. Pegoraro, F. & Siegel, A. F. & Tiozzo Pezzoli, L., 2014. "Specification Analysis of International Treasury Yield Curve Factors," Working papers 490, Banque de France.
    2. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    3. Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
    4. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    5. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
    6. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    7. Alessandro Gnoatto, 2012. "The Wishart Short Rate Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(08), pages 1-24.
    8. Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.
    9. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
    10. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    11. Christa Cuchiero & Damir Filipovi'c & Eberhard Mayerhofer & Josef Teichmann, 2009. "Affine processes on positive semidefinite matrices," Papers 0910.0137, arXiv.org, revised Apr 2011.

  46. Christian Gourieroux & Joann Jasiak & Razvan Sufana, 2004. "The Wishart Autoregressive of Multivariate Stochastic Volatility," Working Papers 2004-32, Center for Research in Economics and Statistics.

    Cited by:

    1. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
    2. Roberto Casarin & Marco Tronzano & Domenico Sartore, 2013. "Bayesian Markov Switching Stochastic Correlation Models," Working Papers 2013:11, Department of Economics, University of Venice "Ca' Foscari".
    3. Alexander Philipov & Mark Glickman, 2006. "Factor Multivariate Stochastic Volatility via Wishart Processes," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 311-334.
    4. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    5. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    6. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    7. Jun Ma, 2009. "Pricing Foreign Equity Options with Stochastic Correlation and Volatility," Annals of Economics and Finance, Society for AEF, vol. 10(2), pages 303-327, November.
    8. Roberto Casarin & Domenico Sartore, 2007. "Matrix-State Particle Filter for Wishart Stochastic Volatility Processes," Working Papers 2007_30, Department of Economics, University of Venice "Ca' Foscari".
    9. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
    10. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
    11. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 97-109, June.
    12. Christian Gourieroux & Razvan Sufana, 2004. "Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk," Working Papers 2004-31, Center for Research in Economics and Statistics.
    13. Christian Gourieroux & Joann Jasiak, 2006. "A Degeneracy in the Analysis of Volatility and Covolatility Effects," Working Papers 2006-30, Center for Research in Economics and Statistics.
    14. Asai, Manabu & McAleer, Michael, 2009. "The structure of dynamic correlations in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 182-192, June.
    15. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).

  47. Patrick Gagliardini & Christian Gourieroux, 2004. "Stochastic Migration Models with Application to Corporate Risk," Working Papers 2004-35, Center for Research in Economics and Statistics.

    Cited by:

    1. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    4. Parrini, Alessandro, 2013. "Importance Sampling for Portfolio Credit Risk in Factor Copula Models," MPRA Paper 103745, University Library of Munich, Germany.
    5. Christian Gouriéroux & Alain Monfort, 2017. "Composite Indirect Inference with Application," Working Papers 2017-07, Center for Research in Economics and Statistics.
    6. Anand Deo & Sandeep Juneja, 2021. "Credit Risk: Simple Closed-Form Approximate Maximum Likelihood Estimator," Operations Research, INFORMS, vol. 69(2), pages 361-379, March.
    7. Monica Billio & Roberto Casarin, 2010. "Bayesian Estimation of Stochastic-Transition Markov-Switching Models for Business Cycle Analysis," Working Papers 1002, University of Brescia, Department of Economics.
    8. Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
    9. Areski Cousin & J'er^ome Lelong & Tom Picard, 2021. "Rating transitions forecasting: a filtering approach," Papers 2109.10567, arXiv.org, revised Jun 2023.
    10. Trueck, Stefan & Rachev, Svetlozar T., 2008. "Rating Based Modeling of Credit Risk," Elsevier Monographs, Elsevier, edition 1, number 9780123736833.
    11. Andre Lucas & Bastiaan Verhoef, 2012. "Aggregating Credit and Market Risk: The Impact of Model Specification," Tinbergen Institute Discussion Papers 12-057/2/DSF36, Tinbergen Institute.
    12. Areski Cousin & Mohamed Reda Kheliouen, 2016. "A comparative study on the estimation of factor migration models," Working Papers halshs-01351926, HAL.
    13. Christian Gouriéroux & Alain Monfort, 2016. "Composite Indirect Inference with Application to Corporate Risks," Working Papers 2016-32, Center for Research in Economics and Statistics.
    14. McNeil, Alexander J. & Wendin, Jonathan P., 2007. "Bayesian inference for generalized linear mixed models of portfolio credit risk," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 131-149, March.
    15. Kerem Tuzcuoglu, 2019. "Composite Likelihood Estimation of an Autoregressive Panel Probit Model with Random Effects," Staff Working Papers 19-16, Bank of Canada.
    16. Areski Cousin & Jérôme Lelong & Tom Picard, 2023. "Rating transitions forecasting: a filtering approach," Post-Print hal-03347521, HAL.
    17. Myriam Ben Ayed & Adel Karaa & Jean-Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Post-Print hal-03679407, HAL.
    18. Monteiro, André A., 2009. "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS ws097924, Universidad Carlos III de Madrid. Departamento de Estadística.
    19. Djeundje, Viani Biatat & Crook, Jonathan, 2018. "Incorporating heterogeneity and macroeconomic variables into multi-state delinquency models for credit cards," European Journal of Operational Research, Elsevier, vol. 271(2), pages 697-709.
    20. Gourieroux, C. & Jasiak, J., 2012. "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1464-1477.
    21. Jian He & Asma Khedher & Peter Spreij, 2024. "Calibration of the rating transition model for high and low default portfolios," Papers 2405.00576, arXiv.org.
    22. Anand Deo & Sandeep Juneja, 2019. "Credit Risk: Simple Closed Form Approximate Maximum Likelihood Estimator," Papers 1912.12611, arXiv.org.
    23. Stefanescu, Catalina & Tunaru, Radu & Turnbull, Stuart, 2009. "The credit rating process and estimation of transition probabilities: A Bayesian approach," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 216-234, March.
    24. Monica Billio & Roberto Casarin, 2008. "Identifying Business Cycle Turning Points with Sequential Monte Carlo Methods," Working Papers 0815, University of Brescia, Department of Economics.

  48. Christian Gourieroux & Razvan Sufana, 2004. "Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk," Working Papers 2004-31, Center for Research in Economics and Statistics.

    Cited by:

    1. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
    2. Branger, Nicole & Muck, Matthias & Seifried, Frank Thomas & Weisheit, Stefan, 2017. "Optimal portfolios when variances and covariances can jump," Journal of Economic Dynamics and Control, Elsevier, vol. 85(C), pages 59-89.
    3. Jacinto Marabel Romo, 2012. "Worst-Of Options And Correlation Skew Under A Stochastic Correlation Framework," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(07), pages 1-32.
    4. Dionne, Georges & Gauthier, Geneviève & Ouertani, Nadia & Tahani, Nabil, 2006. "Heterogeneous basket options pricing using analytical approximations," Working Papers 06-1, HEC Montreal, Canada Research Chair in Risk Management.
    5. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    6. José Fonseca & Martino Grasselli & Claudio Tebaldi, 2007. "Option pricing when correlations are stochastic: an analytical framework," Review of Derivatives Research, Springer, vol. 10(2), pages 151-180, May.
    7. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
    8. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
    9. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    10. Jun Ma, 2009. "A Stochastic Correlation Model with Mean Reversion for Pricing Multi-Asset Options," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 16(2), pages 97-109, June.
    11. Andreas Mühlbacher & Thomas Guhr, 2018. "Credit Risk Meets Random Matrices: Coping with Non-Stationary Asset Correlations," Risks, MDPI, vol. 6(2), pages 1-25, April.

  49. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques.
    • ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.

    Cited by:

    1. Alexander Harin, 2005. "A Rational Irrational Man," Public Economics 0511005, University Library of Munich, Germany.
    2. Alexander Harin, 2005. "Gains and losses. The same or different choices?," International Finance 0508004, University Library of Munich, Germany.
    3. Alexander Harin, 2005. "Gains and losses: the same or different choices? A “non-ideal” economics approach," International Finance 0509002, University Library of Munich, Germany.
    4. Alexander Harin, 2005. "Scientific Revolution. A Farewell to EconWPA," Method and Hist of Econ Thought 0512003, University Library of Munich, Germany.

  50. Christian Gourieroux & Razvan Sufana, 2003. "Whishart Quadratic Term Structure Models," Working Papers 2003-50, Center for Research in Economics and Statistics.

    Cited by:

    1. Richter, Anja, 2014. "Explicit solutions to quadratic BSDEs and applications to utility maximization in multivariate affine stochastic volatility models," Stochastic Processes and their Applications, Elsevier, vol. 124(11), pages 3578-3611.
    2. Martino Grasselli & Claudio Tebaldi, 2008. "Solvable Affine Term Structure Models," Mathematical Finance, Wiley Blackwell, vol. 18(1), pages 135-153, January.
    3. Mesias Alfeus, 2019. "Stochastic Modelling of New Phenomena in Financial Markets," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2019, January-A.
    4. Mesias Alfeus & Martino Grasselli & Erik Schlögl, 2017. "A Consistent Stochastic Model of the Term Structure of Interest Rates for Multiple Tenors," Research Paper Series 384, Quantitative Finance Research Centre, University of Technology, Sydney.
    5. Eduardo Abi Jaber, 2019. "The Laplace transform of the integrated Volterra Wishart process," Papers 1911.07719, arXiv.org, revised Jul 2024.
    6. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Mathematical Finance, Wiley Blackwell, vol. 32(1), pages 309-348, January.
    7. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    8. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Post-Print hal-02367200, HAL.
    9. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
    10. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
    11. Filipova, Kameliya & Audrino, Francesco & De Giorgi, Enrico, 2014. "Monetary policy regimes: Implications for the yield curve and bond pricing," Journal of Financial Economics, Elsevier, vol. 113(3), pages 427-454.
    12. JosE Da Fonseca & Martino Grasselli & Claudio Tebaldi, 2008. "A multifactor volatility Heston model," Quantitative Finance, Taylor & Francis Journals, vol. 8(6), pages 591-604.
    13. Stéphane Loisel, 2010. "Understanding, Modeling and Managing Longevity Risk: Key Issues and Main Challenges," Post-Print hal-00517902, HAL.
    14. He, Yunhao & Leippold, Markus, 2020. "Short-run risk, business cycle, and the value premium," Journal of Economic Dynamics and Control, Elsevier, vol. 120(C).
    15. M. Costabile & I. Massabò & E. Russo, 2012. "On Pricing Contingent Claims Under The Double Heston Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 15(05), pages 1-27.
    16. Eduardo Abi Jaber, 2022. "The Laplace transform of the integrated Volterra Wishart process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-02367200, HAL.
    17. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.

  51. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.

    Cited by:

    1. Beare, Brendan K., 2012. "Archimedean Copulas And Temporal Dependence," Econometric Theory, Cambridge University Press, vol. 28(6), pages 1165-1185, December.
    2. Brendan K. Beare, 2010. "Copulas and Temporal Dependence," Econometrica, Econometric Society, vol. 78(1), pages 395-410, January.
    3. Xiaohong Chen & Yanqin Fan, 2002. "Evaluating Density Forecasts via the Copula Approach," Vanderbilt University Department of Economics Working Papers 0225, Vanderbilt University Department of Economics, revised Sep 2003.
    4. Beare, Brendan K. & Seo, Juwon, 2014. "Time Irreversible Copula-Based Markov Models," Econometric Theory, Cambridge University Press, vol. 30(5), pages 923-960, October.
    5. Longla, Martial & Peligrad, Magda, 2012. "Some aspects of modeling dependence in copula-based Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 111(C), pages 234-240.
    6. Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society.
    7. Costanza Naguib & Patrick Gagliardini, 2023. "A Semi-nonparametric Copula Model for Earnings Mobility," Diskussionsschriften dp2302, Universitaet Bern, Departement Volkswirtschaft.
    8. Brendan K. Beare & Juwon Seo, 2015. "Vine Copula Specifications for Stationary Multivariate Markov Chains," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(2), pages 228-246, March.

  52. Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2002. "Affine Term Structure Models," Working Papers 2002-49, Center for Research in Economics and Statistics.

    Cited by:

    1. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
    2. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    3. Qiang Dai & Kenneth Singleton, 2003. "Term Structure Dynamics in Theory and Reality," The Review of Financial Studies, Society for Financial Studies, vol. 16(3), pages 631-678, July.
    4. Monfort, A., 2009. "Optimal Portfolio Allocation under Asset and Surplus VaR Constraints," Working papers 251, Banque de France.
    5. Marco Realdon, 2006. "The Target Rate and Term Structure of Interest Rates," Discussion Papers 06/15, Department of Economics, University of York.
    6. Marco Realdon, 2007. "Extended-Gaussian Term Structure Models and Credit Risk Applications," Discussion Papers 07/27, Department of Economics, University of York.
    7. Dai, Qiang & Singleton, Kenneth J., 2003. "Fixed-income pricing," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, edition 1, volume 1, chapter 20, pages 1207-1246, Elsevier.
    8. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2007. "Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields," The Review of Financial Studies, Society for Financial Studies, vol. 20(5), pages 1669-1706, 2007 12.
    9. Nielsen, Heino Bohn & Rahbek, Anders, 2014. "Unit root vector autoregression with volatility induced stationarity," Journal of Empirical Finance, Elsevier, vol. 29(C), pages 144-167.
    10. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    11. Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
    12. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    13. Alain Monfort & Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Center for Research in Economics and Statistics.
    14. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
    15. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    16. Realdon, Marco, 2006. "Quadratic term structure models in discrete time," Finance Research Letters, Elsevier, vol. 3(4), pages 277-289, December.
    17. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    18. Koo, B. & La Vecchia, D. & Linton, O., 2019. "Nonparametric Recovery of the Yield Curve Evolution from Cross-Section and Time Series Information," Cambridge Working Papers in Economics 1916, Faculty of Economics, University of Cambridge.
    19. Koo, Bonsoo & La Vecchia, Davide & Linton, Oliver, 2021. "Estimation of a nonparametric model for bond prices from cross-section and time series information," Journal of Econometrics, Elsevier, vol. 220(2), pages 562-588.

  53. Christian Gourieroux & Alain Monfort, 2002. "Pricing with Splines," Working Papers 2002-50, Center for Research in Economics and Statistics.

    Cited by:

    1. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
    2. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Post-Print halshs-00281585, HAL.
    3. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281585, HAL.
    4. Alberto HOLLY & Alain MONFORT & Michael ROCKINGER, 2009. "Fourth Order Pseudo Maximum Likelihood Methods," Swiss Finance Institute Research Paper Series 09-23, Swiss Finance Institute.

  54. Patrick Gagliardini & Christian Gourieroux, 2002. "Constrained Nonparametric Copulas," Working Papers 2002-20, Center for Research in Economics and Statistics.

    Cited by:

    1. Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society.
    2. Jean-David Fermanian, 2003. "Goodness of Fit Tests for Copulas," Working Papers 2003-34, Center for Research in Economics and Statistics.
    3. Fermanian, Jean-David, 2005. "Goodness-of-fit tests for copulas," Journal of Multivariate Analysis, Elsevier, vol. 95(1), pages 119-152, July.

  55. Christian Gourieroux & Alain Monfort, 2002. "Equidependence in Qualitative and Duration Models with Application to Credit Risk," Working Papers 2002-51, Center for Research in Economics and Statistics.

    Cited by:

    1. Patrick Gagliardini, 2005. "Stochastic Migration Models with Application to Corporate Risk," Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 188-226.
    2. Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.
    3. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.

  56. Cécile Boyer & Christian Gourieroux & Gaëlle Le Fol, 2001. "Ajustement des prix bid et ask en présence d'information privée," Working Papers 2001-25, Center for Research in Economics and Statistics.

    Cited by:

    1. Marc Fleurbaey, 2006. "Social welfare, priority to the worst-off and the dimensions of individual well-being," Post-Print hal-00246841, HAL.
    2. Olivier Bargain, 2008. "Normative evaluation of tax policies: from households to individuals," Journal of Population Economics, Springer;European Society for Population Economics, vol. 21(2), pages 339-371, April.
    3. Marc Fleurbaey, 2005. "Is Commodity Taxation Unfair?," IDEP Working Papers 0502, Institut d'economie publique (IDEP), Marseille, France, revised Jan 2005.
    4. Robert A. Moffitt, 2003. "The Temporary Assistance for Needy Families Program," NBER Chapters, in: Means-Tested Transfer Programs in the United States, pages 291-364, National Bureau of Economic Research, Inc.
    5. Bovenberg, Lans & Boone, Jan, 2002. "The Optimal Taxation of Unskilled Labour with Job Search and Social Assistance," CEPR Discussion Papers 3446, C.E.P.R. Discussion Papers.
    6. Moffitt, Robert A., 2002. "Welfare programs and labor supply," Handbook of Public Economics, in: A. J. Auerbach & M. Feldstein (ed.), Handbook of Public Economics, edition 1, volume 4, chapter 34, pages 2393-2430, Elsevier.

  57. Christian Gourieroux & Joanna Jasiak, 2001. "Local Likelihood Density Estimation and Value at Risk," Working Papers 2001-31, Center for Research in Economics and Statistics.

    Cited by:

    1. Matthias HAGMANN & Olivier SCAILLET, 2003. "Local Multiplicative Bias Correction for Asymmetric Kernel Density Estimators," FAME Research Paper Series rp91, International Center for Financial Asset Management and Engineering.
    2. Marc Joëts, 2013. "Energy price transmissions during extreme movements," Working Papers 2013-28, Department of Research, Ipag Business School.
    3. Tae-Hwy Lee & Yong Bao & Burak Saltoğlu, 2007. "Comparing density forecast models Previous versions of this paper have been circulated with the title, 'A Test for Density Forecast Comparison with Applications to Risk Management' since October 2003;," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(3), pages 203-225.
    4. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.

  58. Serge Darolles & Christian Gourieroux & Joanna Jasiak, 2001. "Compound Autoregressive Models," Working Papers 2001-21, Center for Research in Economics and Statistics.

    Cited by:

    1. Donkers, A.C.D. & Schafgans, M., 2003. "A derivative based estimator for semiparametric index models," Econometric Institute Research Papers EI 2003-08, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.
    2. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    3. Peter D Spencer, "undated". "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers 03/16, Department of Economics, University of York.
    4. Donkers, Bas & Schafgans, Marcia M. A., 2005. "A method of moments estimator for semiparametric index models," LSE Research Online Documents on Economics 6815, London School of Economics and Political Science, LSE Library.
    5. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. Christoffersen, Peter F. & Diebold, Francis X., 2003. "Financial asset returns, direction-of-change forecasting, and volatility dynamics," CFS Working Paper Series 2004/08, Center for Financial Studies (CFS).
    7. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.

  59. Christian Gourieroux & Christian Yann Robert, 2001. "Tails and Extremal Behaviour of Stochastic Unit Root Models," Working Papers 2001-28, Center for Research in Economics and Statistics.

    Cited by:

    1. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.

  60. Pierre Druilhet, 2001. "Conditions for Optimality in Experimental Designs," Working Papers 2001-20, Center for Research in Economics and Statistics.

    Cited by:

    1. Peter Christoffersen & Francis X. Diebold, 2002. "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers 2002s-02, CIRANO.
    2. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
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  61. Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society.

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    1. Morone, Marco & Cornaglia, Anna & Mignola, Giulio, 2012. "Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach," MPRA Paper 39119, University Library of Munich, Germany.
    2. Lorenzo Mercuri & Edit Rroji, 2018. "Risk parity for Mixed Tempered Stable distributed sources of risk," Annals of Operations Research, Springer, vol. 260(1), pages 375-393, January.
    3. Simon Keel & David Ardia, 2011. "Generalized marginal risk," Journal of Asset Management, Palgrave Macmillan, vol. 12(2), pages 123-131, June.
    4. Young Kim & Rosella Giacometti & Svetlozar Rachev & Frank Fabozzi & Domenico Mignacca, 2012. "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Annals of Operations Research, Springer, vol. 201(1), pages 325-343, December.
    5. Henryk, Gzyl & Silvia, Mayoral, 2006. "On a relationship between distorted and spectral risk measures," MPRA Paper 916, University Library of Munich, Germany.
    6. Solange M. Berstein & Rómulo A. Chumacero, 2006. "Quantifying the costs of investment limits for Chilean pension funds," Fiscal Studies, Institute for Fiscal Studies, vol. 27(1), pages 99-123, March.
    7. Alex Huang, 2013. "Value at risk estimation by quantile regression and kernel estimator," Review of Quantitative Finance and Accounting, Springer, vol. 41(2), pages 225-251, August.
    8. Yu Takata, 2018. "Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios," Economics Bulletin, AccessEcon, vol. 38(4), pages 2320-2330.
    9. Borgonovo, Emanuele & Hazen, Gordon B. & Jose, Victor Richmond R. & Plischke, Elmar, 2021. "Probabilistic sensitivity measures as information value," European Journal of Operational Research, Elsevier, vol. 289(2), pages 595-610.
    10. Loriano Mancini & Fabio Trojani, 2011. "Robust Value at Risk Prediction," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 281-313, Spring.
    11. Paul Doukhan & Jean-David Fermanian & Gabriel Lang, 2009. "An empirical central limit theorem with applications to copulas under weak dependence," Statistical Inference for Stochastic Processes, Springer, vol. 12(1), pages 65-87, February.
    12. Sung Ik Kim, 2022. "ARMA–GARCH model with fractional generalized hyperbolic innovations," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-25, December.
    13. Tasche, Dirk, 2002. "Expected shortfall and beyond," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1519-1533, July.
    14. Christian Gourieroux & Wei Liu, 2009. "Control and Out‐of‐Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 683-707, September.
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    17. Jeroen V.K. Rombouts & Marno Verbeek, 2004. "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche 04-14, HEC Montréal, Institut d'économie appliquée.
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    47. Cotter, John & Dowd, Kevin, 2007. "Evaluating the Precision of Estimators of Quantile-Based Risk Measures," MPRA Paper 3504, University Library of Munich, Germany.
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    49. Izhar, Hylmun, 2012. "Measuring Operational Risk Exposures in Islamic Banking: A Proposed Measurement Approach," Islamic Economic Studies, The Islamic Research and Training Institute (IRTI), vol. 20, pages 45-86.
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    53. Lu Ou & Zhibiao Zhao, 2021. "Value‐at‐risk forecasting via dynamic asymmetric exponential power distributions," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 291-300, March.
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    82. Yi-Ping Chang & Jing-Xiu Lin & Chih-Tun Yu, 2016. "Calculating Value-at-Risk Using the Granularity Adjustment Method in the Portfolio Credit Risk Model with Random Loss Given Default," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 12(2), pages 157-176, August.
    83. Hussein Khraibani & Bilal Nehme & Olivier Strauss, 2018. "Interval Estimation of Value-at-Risk Based on Nonparametric Models," Econometrics, MDPI, vol. 6(4), pages 1-30, December.
    84. Adam, Alexandre & Houkari, Mohamed & Laurent, Jean-Paul, 2008. "Spectral risk measures and portfolio selection," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1870-1882, September.
    85. Monica Billio & Lorenzo Frattarolo & Loriana Pelizzon, 2016. "Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix," Working Papers 2016:01, Department of Economics, University of Venice "Ca' Foscari".
    86. Duc Hong Vo & Quang Van Tuan & Trung Vu-Thanh Pham, 2019. "Sectoral Risks in Vietnam and Malaysia A Comparative Analysis," Advances in Decision Sciences, Asia University, Taiwan, vol. 23(1), pages 62-87, March.
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    88. Haque, Mahfuzul & Kabir Hassan, M. & Varela, Oscar, 2004. "Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets," Pacific-Basin Finance Journal, Elsevier, vol. 12(1), pages 91-116, January.
    89. Masschelein, Nancy & Düllmann, Klaus, 2006. "Sector concentration in loan portfolios and economic capital," Discussion Paper Series 2: Banking and Financial Studies 2006,09, Deutsche Bundesbank.
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    93. Fermanian, Jean-David, 2014. "The limits of granularity adjustments," Journal of Banking & Finance, Elsevier, vol. 45(C), pages 9-25.
    94. Klaus Düllmann & Nancy Masschelein, 2007. "A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios," Journal of Financial Services Research, Springer;Western Finance Association, vol. 32(1), pages 55-79, October.
    95. Rosenberg, Joshua V. & Schuermann, Til, 2006. "A general approach to integrated risk management with skewed, fat-tailed risks," Journal of Financial Economics, Elsevier, vol. 79(3), pages 569-614, March.
    96. Jean-David Fermanian, 2013. "The Limits of Granularity Adjustments," Working Papers 2013-27, Center for Research in Economics and Statistics.
    97. Christian Gouriéroux & Jean-Cyprien Heam, 2013. "Funding Liquidity Risk from A Regulatory Perspective," Working Papers 2013-20, Center for Research in Economics and Statistics.
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    102. Dirk Tasche, 2002. "Expected Shortfall and Beyond," Papers cond-mat/0203558, arXiv.org, revised Oct 2002.
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    104. Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
    105. Inés Jiménez & Andrés Mora-Valencia & Trino-Manuel Ñíguez & Javier Perote, 2020. "Portfolio Risk Assessment under Dynamic (Equi)Correlation and Semi-Nonparametric Estimation: An Application to Cryptocurrencies," Mathematics, MDPI, vol. 8(12), pages 1-24, November.
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  62. Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers 2000-18, Center for Research in Economics and Statistics.

    Cited by:

    1. Beare, Brendan K. & Seo, Juwon, 2014. "Time Irreversible Copula-Based Markov Models," Econometric Theory, Cambridge University Press, vol. 30(5), pages 923-960, October.
    2. Zacharias Psaradakis, 2008. "Assessing Time‐Reversibility Under Minimal Assumptions," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 881-905, September.
    3. Christian Gouriéroux & Eric Renault & Pascale Valery, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.
    4. Escanciano, J C. & Hoderlein, S. & Lewbel, A. & Linton, O. & Srisuma, S., 2020. "Nonparametric Euler Equation Identi?cation and Estimation," Cambridge Working Papers in Economics 2064, Faculty of Economics, University of Cambridge.
    5. McCAUSLAND, William J., 2004. "Time Reversibility of Stationary Regular Finite State Markov Chains," Cahiers de recherche 09-2004, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    6. Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.
    7. Xiaohong Chen & Lars Peter Hansen & Jos´e A. Scheinkman, 2005. "Principal Components and the Long Run," Levine's Bibliography 122247000000000997, UCLA Department of Economics.
    8. Tommaso Proietti, 2020. "Peaks, Gaps, and Time Reversibility of Economic Time Series," CEIS Research Paper 492, Tor Vergata University, CEIS, revised 17 Jun 2020.
    9. Xiaohong Chen & Lars Peter Hansen & Jose Scheinkman, 2009. "Principal Components and Long Run Implications of Multivariate Diffusions," Cowles Foundation Discussion Papers 1694, Cowles Foundation for Research in Economics, Yale University.
    10. Shibin Zhang, 2023. "A copula spectral test for pairwise time reversibility," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 75(5), pages 705-729, October.

  63. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.

    Cited by:

    1. Dittmann, Ingolf & Granger, Clive W. J., 2000. "Properties of nonlinear transformations of fractionally integrated processes," Technical Reports 2000,25, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. 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.

  64. Christian Gourieroux & Joanna Jasiak, 1999. "Dynamic Factor Models," Working Papers 99-08, Center for Research in Economics and Statistics.

    Cited by:

    1. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
    2. David Mihaela & Jemna Dănuţ-Vasile, 2015. "Modeling the Frequency of Auto Insurance Claims by Means of Poisson and Negative Binomial Models," Scientific Annals of Economics and Business, Sciendo, vol. 62(2), pages 151-168, July.
    3. Aït-Sahalia, Yacine & Xiu, Dacheng, 2017. "Using principal component analysis to estimate a high dimensional factor model with high-frequency data," Journal of Econometrics, Elsevier, vol. 201(2), pages 384-399.
    4. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
    5. Fengler, Matthias R. & Härdle, Wolfgang Karl & Mammen, Enno, 2005. "A dynamic semiparametric factor model for implied volatility string dynamics," SFB 649 Discussion Papers 2005-020, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    6. Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997. "Stochastic Volatility Duration Models," Working Papers 97-46, Center for Research in Economics and Statistics.
    7. Fengler, Matthias R. & Härdle, Wolfgang & Mammen, Enno, 2003. "Implied volatility string dynamics," SFB 373 Discussion Papers 2003,54, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    8. Choros-Tomczyk, Barbara & Härdle, Wolfgang Karl & Okhrin, Ostap, 2013. "CDO surfaces dynamics," SFB 649 Discussion Papers 2013-032, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    9. Michele Campolieti & Deborah Gefang & Gary Koop, 2013. "A new look at variation in employment growth in Canada," Working Papers 26145565, Lancaster University Management School, Economics Department.

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

    Cited by:

    1. Nour Meddahi & Eric Renault, 2000. "Temporal Aggregation of Volatility Models," CIRANO Working Papers 2000s-22, CIRANO.
    2. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.
    3. Darolles, Serge & Gourieroux, Christian, 2001. "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May.

  66. Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999. "Bartlett Identities Tests," LIDAM Discussion Papers IRES 1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

    Cited by:

    1. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    2. J.L. Prigent & O. Renault & O. Scaillet., 1999. "Option pricing with discrete rebalancing," THEMA Working Papers 99-41, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    3. Chen, Yi-Ting, 2012. "A simple approach to standardized-residuals-based higher-moment tests," Journal of Empirical Finance, Elsevier, vol. 19(4), pages 427-453.

  67. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP.

    Cited by:

    1. Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity analysis of Values at Risk," Post-Print hal-03676327, HAL.
    2. Karapanagiotidis, Paul, 2013. "Empirical evidence for nonlinearity and irreversibility of commodity futures prices," MPRA Paper 56801, University Library of Munich, Germany.
    3. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
    4. Hujer Reinhard & Grammig Joachim & Kokot Stefan, 2000. "Time Varying Trade Intensities and the Deutsche Telekom IPO / Zeitvariable Handelsintensitaten und die Deutsche Telekom IPO," Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), De Gruyter, vol. 220(6), pages 689-714, December.
    5. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
    6. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    7. Lan, Hong & Meyer-Gohde, Alexander, 2011. "Solving DSGE models with a nonlinear moving average," SFB 649 Discussion Papers 2011-087, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Lars Hansen & Jaroslav Borovicka, 2013. "Robust preference expansions," 2013 Meeting Papers 1199, Society for Economic Dynamics.
    9. Jaroslav Borovička & Lars P. Hansen & Jose A. Scheinkman, 2014. "Shock Elasticities and Impulse Responses," NBER Working Papers 20104, National Bureau of Economic Research, Inc.

  68. Gourieroux, Christian & Jasiaky, Joanna, 1998. "Truncated maximum likelihood, goodness of fit tests and tail analysis," SFB 373 Discussion Papers 1998,36, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Robert F. Engle & Simone Manganelli, 2004. "CAViaR: Conditional Autoregressive Value at Risk by Regression Quantiles," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 367-381, October.
    2. Suárez-García, Pablo & Gómez-Ullate, David, 2013. "Scaling, stability and distribution of the high-frequency returns of the Ibex35 index," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 392(6), pages 1409-1417.
    3. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.

  69. 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..

    Cited by:

    1. Dionne, Georges, 1998. "La mesure empirique des problèmes d’information," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(4), pages 585-606, décembre.
    2. Dionne, G. & Gagne, R., 2000. "Replacement Cost Endorsement and Opportunitic Fraud in Automobile Insurance," Ecole des Hautes Etudes Commerciales de Montreal- 00-01, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
    3. Georges Dionne & Robert Gagné, 2001. "Deductible Contracts Against Fraudulent Claims: Evidence From Automobile Insurance," The Review of Economics and Statistics, MIT Press, vol. 83(2), pages 290-301, May.

  70. Christian Gourieroux & Alain Monfort, 1998. "The Econometrics of Efficient Frontiers," Working Papers 98-34, Center for Research in Economics and Statistics.

    Cited by:

    1. Bjorn Hagstromer & Jane Binner, 2009. "Stock portfolio selection with full-scale optimization and differential evolution," Applied Financial Economics, Taylor & Francis Journals, vol. 19(19), pages 1559-1571.

  71. 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..

    Cited by:

    1. Shengkun Xie, 2021. "Improving Explainability of Major Risk Factors in Artificial Neural Networks for Auto Insurance Rate Regulation," Risks, MDPI, vol. 9(7), pages 1-21, July.
    2. Dionne, G. & Doherty, N., 1991. "Adverse Selection in Insurance Markets: a Selective Survey," Cahiers de recherche 9105, Universite de Montreal, Departement de sciences economiques.
    3. Maria del Carmen Melgar & Jose Antonio Ordaz, 2010. "The Utility Of Zero-Inflated Models In The Estimation Of The Number Of Accidents In The Automobile Insurance Industry," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 5(2), pages 181-194, December.
    4. 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.
    5. Dionne, Georges, 1998. "La mesure empirique des problèmes d’information," L'Actualité Economique, Société Canadienne de Science Economique, vol. 74(4), pages 585-606, décembre.
    6. Makki, Shiva S. & Somwaru, Agapi, 2002. "Asymmetric Information In Cotton Insurance Markets: Evidence From Texas," 2002 Annual meeting, July 28-31, Long Beach, CA 19827, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    7. Makki Shiva S. & Somwaru Agapi L., 2007. "Assessing Adverse Selection in Crop Insurance Markets: An Application of Parametric and Nonparametric Methods," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(1), pages 1-22, May.
    8. M. Dahchour & G. Dionne, 2002. "Pricing of Automobile Insurance Under Asymmetric Information : a Study on Panel Data," THEMA Working Papers 2002-12, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    9. Dionne, G. & Maurice, M. & Pinquet, J. & Vanasse, C., 2001. "The Role of Memory in Long-Term Contracting with Moral Hazard: Empirical Evidence in Automobile Insurance," Ecole des Hautes Etudes Commerciales de Montreal- 01-05, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
    10. Jose Antonio Ordaz & Maria del Carmen Melgar & M. Kazim Khan, 2011. "An Analysis Of Spanish Accidents In Automobile Insurance: The Use Of The Probit Model And Theoretical Potential Of Other Econometric Tools," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 6(3), pages 117-134, September.
    11. Dionne, Georges & Gouriéroux, Christian & Vanasse, Charles, 1998. "The informational content of household decisions with applications to insurance under asymmetric information," Working Papers 00-0, HEC Montreal, Canada Research Chair in Risk Management.
    12. G. Dionne & C. Vanasse, 1997. "Une évaluation empirique de la nouvelle tarification de l'assurance automobile (1992) au Québec," THEMA Working Papers 97-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    13. Pierre-André Chiappori & Bernard Salanié, 2002. "Testing Contract Theory : A Survey of Some Recent Work," Working Papers 2002-11, Center for Research in Economics and Statistics.
    14. Jose Antonio Ordaz & Maria del Carmen Melgar & M. Kazim Khan, 2010. "Use and Extension of Count Data Models in the Determination of Relevant Factors for Claims in the Automobile Insurance Sector," European Research Studies Journal, European Research Studies Journal, vol. 0(4), pages 119-138.
    15. Donatella Porrini, 2015. "Risk Classification Efficiency and the Insurance Market Regulation," Risks, MDPI, vol. 3(4), pages 1-10, September.
    16. Georges Dionne & Nathalie Fombaron & Neil Doherty, 2012. "Adverse Selection in Insurance Contracting," Cahiers de recherche 1231, CIRPEE.
    17. Chiappori, P.A. & Durand, F. & Geoffard, P.Y., 1998. "Moral Hazard and the Demand for Physician Services: First Lessons from a French Natural Experiment," DELTA Working Papers 98-05, DELTA (Ecole normale supérieure).

  72. Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Autocorrelograms : An Application to Intra-Trade Durations," Working Papers 98-41, Center for Research in Economics and Statistics.

    Cited by:

    1. Uwe Hassler & Paulo M.M. Rodrigues & Antonio Rubia, 2016. "Quantile Regression for Long Memory Testing: A Case of Realized Volatility," Journal of Financial Econometrics, Oxford University Press, vol. 14(4), pages 693-724.
    2. Christian Gourieroux & Joann Jasiak, 2011. "Nonlinear Persistence and Copersistence," Palgrave Macmillan Books, in: Greg N. Gregoriou & Razvan Pascalau (ed.), Nonlinear Financial Econometrics: Markov Switching Models, Persistence and Nonlinear Cointegration, chapter 4, pages 77-103, Palgrave Macmillan.
    3. J. V. Andersen & D Sornette, 2003. "Fearless versus Fearful Speculative Financial Bubbles," Papers cond-mat/0311089, arXiv.org.
    4. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Other publications TiSEM 845b71c6-9525-4006-a0df-4, Tilburg University, School of Economics and Management.
    5. 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.
    6. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP.
    7. Vladimir Filimonov & Didier Sornette, 2013. "Apparent criticality and calibration issues in the Hawkes self-excited point process model: application to high-frequency financial data," Papers 1308.6756, arXiv.org, revised Jul 2014.

  73. Christian Gourieroux & Joanna Jasiak, 1998. "Truncated Maximum Likelihood and Nonparametric Tail Analysis," Working Papers 98-25, Center for Research in Economics and Statistics.

    Cited by:

    1. Y. Malevergne & D. Sornette, 2001. "Testing the Gaussian Copula Hypothesis for Financial Assets Dependences," Papers cond-mat/0111310, arXiv.org.
    2. Engle, Robert F. & Manganelli, Simone, 2001. "Value at risk models in finance," Working Paper Series 75, European Central Bank.
    3. Bali, Turan G. & Neftci, Salih N., 2003. "Disturbing extremal behavior of spot rate dynamics," Journal of Empirical Finance, Elsevier, vol. 10(4), pages 455-477, September.

  74. Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Panel Data Models with Dynamic Heterogeneity," Working Papers 98-50, Center for Research in Economics and Statistics.

    Cited by:

    1. Chihwa Kao & Yongmiao Hong, 2004. "Detecting Neglected Nonlinearity in Dynamic Panel Data with Time-Varying Conditional Heteroskedasticity," Econometric Society 2004 Far Eastern Meetings 753, Econometric Society.

  75. Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1998. "Causality Between Returns and Trated Volumes," Working Papers 98-40, Center for Research in Economics and Statistics.

    Cited by:

    1. Chuang, Wen-I & Liu, Hsiang-Hsi & Susmel, Rauli, 2012. "The bivariate GARCH approach to investigating the relation between stock returns, trading volume, and return volatility," Global Finance Journal, Elsevier, vol. 23(1), pages 1-15.
    2. Müller, Christian, 2012. "A new interpretation of known facts: The case of two-way causality between trading and volatility," Economic Modelling, Elsevier, vol. 29(3), pages 664-670.
    3. Luo, Dan & Mao, Yipeng, 2021. "Fundamental volatility and informative trading volume in a rational expectations equilibrium," Economic Modelling, Elsevier, vol. 105(C).

  76. Denis Fougère & Christian Gourieroux & A, Tiomo & Alain Trognon, 1997. "An Econometric Analysis of Household Portfolio Allocation," Working Papers 97-45, Center for Research in Economics and Statistics.

    Cited by:

    1. Raffaele Miniaci & Sergio Pastorello, 2008. "Mean-Variance Econometric Analysis of Household Portfolios," Working Papers 0807, University of Brescia, Department of Economics.

  77. Serge Darolles & Christian Gourieroux, 1997. "Truncated Dynamics and Estimation of DiffusionEquations," Working Papers 97-36, Center for Research in Economics and Statistics.

    Cited by:

    1. Dennis Kristensen, 2007. "Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2007-01, Department of Economics and Business Economics, Aarhus University.
    2. Kristensen, Dennis, 2010. "Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models," Journal of Econometrics, Elsevier, vol. 156(2), pages 239-259, June.
    3. Wilfling Bernd, 2003. "Interest Rate Volatility Prior to Monetary Union under Alternative Pre-Switch Regimes," German Economic Review, De Gruyter, vol. 4(4), pages 433-457, December.
    4. Wilfling, Bernd & Trede, Mark, 2004. "Estimating Exchange Rate Dynamics with Diffusion Processes: An Application to Greek EMU Data," HWWA Discussion Papers 267, Hamburg Institute of International Economics (HWWA).
    5. Christian Gouriéroux & Eric Renault & Pascale Valery, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.
    6. 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.
    7. Dennis Kristensen, 2004. "Estimation in Two Classes of Semiparametric Diffusion Models," FMG Discussion Papers dp500, Financial Markets Group.
    8. Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.
    9. Ruijun Bu & Jihyun Kim & Bin Wang, 2020. "Uniform and Lp Convergences of Nonparametric Estimation for Diffusion Models," Working Papers 202021, University of Liverpool, Department of Economics.
    10. Kristensen, Dennis, 2004. "Estimation of partial differential equations with applications in finance," LSE Research Online Documents on Economics 24738, London School of Economics and Political Science, LSE Library.
    11. Bu, Ruijun & Kim, Jihyun & Wang, Bin, 2023. "Uniform and Lp convergences for nonparametric continuous time regressions with semiparametric applications," Journal of Econometrics, Elsevier, vol. 235(2), pages 1934-1954.

  78. Gouriéroux, C. & Scaillet, O., 1997. "Multiregime Term Structure Models," LIDAM Discussion Papers IRES 1998002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Dec 1997.

    Cited by:

    1. 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.

  79. Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997. "Stochastic Volatility Duration Models," Working Papers 97-46, Center for Research in Economics and Statistics.

    Cited by:

    1. Luc Bauwens & Pierre Giot & Joachim Grammig & David Veredas, 2000. "A Comparison of Financial Duration Models via Density Forecasts," Econometric Society World Congress 2000 Contributed Papers 0810, Econometric Society.
    2. Hiroyuki Kawakatsu, 2019. "Jointly Modeling Autoregressive Conditional Mean and Variance of Non-Negative Valued Time Series," Econometrics, MDPI, vol. 7(4), pages 1-19, December.
    3. Veredas, David & Rodríguez Poo, Juan M., 2001. "On the (intradaily) seasonality and dynamics of a financial point process: a semiparametric approach," DES - Working Papers. Statistics and Econometrics. WS ws013321, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Wong, Woon K. & Tan, Dijun & Tian, Yixiang, 2009. "Informed trading and liquidity in the Shanghai Stock Exchange," International Review of Financial Analysis, Elsevier, vol. 18(1-2), pages 66-73, March.
    5. BAUWENS, Luc & HAUTSCH, Nikolaus, 2009. "Modelling financial high frequency data using point processes," LIDAM Reprints CORE 2123, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Taoufik Bouezmarni & Jeroen V.K. Rombouts, 2006. "Nonparametric Density Estimation for Positive Time Series," Cahiers de recherche 06-09, HEC Montréal, Institut d'économie appliquée.
    7. Stanislav Anatolyev & Dmitry Shakin, 2006. "Trade intensity in the Russian stock market:dynamics, distribution and determinants," Working Papers w0070, New Economic School (NES).
    8. Brendan P.M. McCabe & Gael Martin & Keith Freeland, 2010. "A Quasi-locally Most powerful Test for Correlation in the conditional Variance of Positive Data," Monash Econometrics and Business Statistics Working Papers 2/10, Monash University, Department of Econometrics and Business Statistics.
    9. Yiing Fei Tan & Kok Haur Ng & You Beng Koh & Shelton Peiris, 2022. "Modelling Trade Durations Using Dynamic Logarithmic Component ACD Model with Extended Generalised Inverse Gaussian Distribution," Mathematics, MDPI, vol. 10(10), pages 1-20, May.
    10. Jorge Pérez-Rodríguez & Emilio Gómez-Déniza & Simón Sosvilla-Rivero, 2019. "“Testing for private information using trade duration models with unobserved market heterogeneity: The case of Banco Popular”," IREA Working Papers 201907, University of Barcelona, Research Institute of Applied Economics, revised Apr 2019.
    11. Allen, David & Lazarov, Zdravetz & McAleer, Michael & Peiris, Shelton, 2009. "Comparison of alternative ACD models via density and interval forecasts: Evidence from the Australian stock market," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(8), pages 2535-2555.
    12. Anthony Tay & Christopher Ting & Yiu Kuen Tse & Mitch Warachka, 2007. "Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading," Finance Working Papers 22483, East Asian Bureau of Economic Research.
    13. Bjoern Schulte-Tillmann & Mawuli Segnon & Timo Wiedemann, 2023. "A comparison of high-frequency realized variance measures: Duration- vs. return-based approaches," CQE Working Papers 10523, Center for Quantitative Economics (CQE), University of Muenster.
    14. Giovanni Luca & Giampiero Gallo, 2009. "Time-Varying Mixing Weights in Mixture Autoregressive Conditional Duration Models," Econometric Reviews, Taylor & Francis Journals, vol. 28(1-3), pages 102-120.
    15. Marcelo Fernandes & Joachim Grammig, 2000. "Non-Parametric Specification Tests For Conditional Duration Models," Computing in Economics and Finance 2000 40, Society for Computational Economics.
    16. Hujer, Reinhard & Vuletic, Sandra, 2007. "Econometric analysis of financial trade processes by discrete mixture duration models," Journal of Economic Dynamics and Control, Elsevier, vol. 31(2), pages 635-667, February.
    17. Tina Hviid Rydberg & Neil Shephard, 2000. "BIN Models for Trade-by-Trade Data. Modelling the Number of Trades in a Fixed Interval of Time," Econometric Society World Congress 2000 Contributed Papers 0740, Econometric Society.
    18. N. Taylor & Y. Xu, 2017. "The logarithmic vector multiplicative error model: an application to high frequency NYSE stock data," Quantitative Finance, Taylor & Francis Journals, vol. 17(7), pages 1021-1035, July.
    19. Araichi, Sawssen & Peretti, Christian de & Belkacem, Lotfi, 2016. "Solvency capital requirement for a temporal dependent losses in insurance," Economic Modelling, Elsevier, vol. 58(C), pages 588-598.
    20. Drost, F.C. & Werker, B.J.M., 2001. "Semiparametric Duration Models," Other publications TiSEM 845b71c6-9525-4006-a0df-4, Tilburg University, School of Economics and Management.
    21. Luc Bauwens & David Veredas, 2004. "The stochastic conditional duration model: a latent factor model for the analysis of financial durations," ULB Institutional Repository 2013/136234, ULB -- Universite Libre de Bruxelles.
    22. COSMA, Antonio & GALLI, Fausto, 2006. "A nonparametric ACD model," LIDAM Discussion Papers CORE 2006067, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    23. Fernandes, Marcelo & Grammig, Joachim, 2002. "A family of autoregressive conditional duration models," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) 440, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil).
    24. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    25. Wang, Guochao & Zheng, Shenzhou & Wang, Jun, 2019. "Complex and composite entropy fluctuation behaviors of statistical physics interacting financial model," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 517(C), pages 97-113.
    26. Hautsch, Nikolaus, 2008. "Capturing common components in high-frequency financial time series: A multivariate stochastic multiplicative error model," Journal of Economic Dynamics and Control, Elsevier, vol. 32(12), pages 3978-4015, December.
    27. Denisa Georgiana Banulescu & Gilbert Colletaz & Christophe Hurlin & Sessi Tokpavi, 2013. "High-Frequency Risk Measures," Working Papers halshs-00859456, HAL.
    28. Nour Meddahi, 2002. "ARMA Representation of Two-Factor Models," CIRANO Working Papers 2002s-92, CIRANO.
    29. Jiang, Zhi-Qiang & Chen, Wei & Zhou, Wei-Xing, 2008. "Scaling in the distribution of intertrade durations of Chinese stocks," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 387(23), pages 5818-5825.
    30. Li, Zhicheng & Chen, Xinyun & Xing, Haipeng, 2023. "A multifactor regime-switching model for inter-trade durations in the high-frequency limit order market," Economic Modelling, Elsevier, vol. 118(C).
    31. Bodnar, Taras & Hautsch, Nikolaus, 2013. "Copula-based dynamic conditional correlation multiplicative error processes," CFS Working Paper Series 2013/19, Center for Financial Studies (CFS).
    32. Roman Huptas, 2019. "Point forecasting of intraday volume using Bayesian autoregressive conditional volume models," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 38(4), pages 293-310, July.
    33. Wei Sun & Svetlozar Rachev & Frank Fabozzi & Petko Kalev, 2008. "Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration," Annals of Finance, Springer, vol. 4(2), pages 217-241, March.
    34. Massimiliano Caporin & Eduardo Rossi & Paolo Santucci de Magistris, 2014. "Chasing volatility - A persistent multiplicative error model with jumps," CREATES Research Papers 2014-29, Department of Economics and Business Economics, Aarhus University.
    35. Dungey, Mardi & Jeyasreedharan, Nagaratnam & Li, Tuo, 2010. "Modelling the Time Between Trades in the After-Hours Electronic Equity Futures Market," Working Papers 10451, University of Tasmania, Tasmanian School of Business and Economics, revised 30 May 2012.
    36. Cho, Jin Seo & White, Halbert, 2010. "Testing for unobserved heterogeneity in exponential and Weibull duration models," Journal of Econometrics, Elsevier, vol. 157(2), pages 458-480, August.
    37. Gao, Jiti & Kim, Nam Hyun & Saart, Patrick W., 2015. "A misspecification test for multiplicative error models of non-negative time series processes," Journal of Econometrics, Elsevier, vol. 189(2), pages 346-359.
    38. Trojan, Sebastian, 2014. "Modeling Intraday Stochastic Volatility and Conditional Duration Contemporaneously with Regime Shifts," Economics Working Paper Series 1425, University of St. Gallen, School of Economics and Political Science.
    39. Dimitrakopoulos, Stefanos & Tsionas, Mike G. & Aknouche, Abdelhakim, 2020. "Ordinal-response models for irregularly spaced transactions: A forecasting exercise," MPRA Paper 103250, University Library of Munich, Germany, revised 01 Oct 2020.
    40. Luintel, Kul B & Xu, Yongdeng, 2013. "Testing weak exogeneity in multiplicative error models," Cardiff Economics Working Papers E2013/6, Cardiff University, Cardiff Business School, Economics Section.
    41. Bodnar, Taras & Hautsch, Nikolaus, 2016. "Dynamic conditional correlation multiplicative error processes," Journal of Empirical Finance, Elsevier, vol. 36(C), pages 41-67.
    42. Yogo Purwono & Irwan Adi Ekaputra & Zaäfri Ananto Husodo, 2018. "Estimation of Dynamic Mixed Hitting Time Model Using Characteristic Function Based Moments," Computational Economics, Springer;Society for Computational Economics, vol. 51(2), pages 295-321, February.
    43. Chen, Fei & Diebold, Francis X. & Schorfheide, Frank, 2013. "A Markov-switching multifractal inter-trade duration model, with application to US equities," Journal of Econometrics, Elsevier, vol. 177(2), pages 320-342.
    44. Caporin, Massimiliano & Rossi, Eduardo & Santucci de Magistris, Paolo, 2017. "Chasing volatility," Journal of Econometrics, Elsevier, vol. 198(1), pages 122-145.
    45. Strickland, Chris M. & Forbes, Catherine S. & Martin, Gael M., 2006. "Bayesian analysis of the stochastic conditional duration model," Computational Statistics & Data Analysis, Elsevier, vol. 50(9), pages 2247-2267, May.
    46. Pérez-Rodríguez, Jorge V. & Gómez-Déniz, Emilio & Sosvilla-Rivero, Simón, 2021. "Testing unobserved market heterogeneity in financial markets: The case of Banco Popular," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 151-160.
    47. BAUWENS, Luc & GIOT, Pierre, 1998. "Asymmetric ACD models: introducing price information in ACD models with a two state transition model," LIDAM Discussion Papers CORE 1998044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    48. Zhicheng Li & Haipeng Xing & Xinyun Chen, 2019. "A multifactor regime-switching model for inter-trade durations in the limit order market," Papers 1912.00764, arXiv.org.
    49. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-.
    50. Liu, Chun & Maheu, John M., 2012. "Intraday dynamics of volatility and duration: Evidence from Chinese stocks," Pacific-Basin Finance Journal, Elsevier, vol. 20(3), pages 329-348.
    51. Patrick W Saart & Jiti Gao & Nam Hyun Kim, 2014. "Econometric Time Series Specification Testing in a Class of Multiplicative Error Models," Monash Econometrics and Business Statistics Working Papers 1/14, Monash University, Department of Econometrics and Business Statistics.
    52. Monteiro, André A., 2009. "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS ws097924, Universidad Carlos III de Madrid. Departamento de Estadística.
    53. BAUWENS, Luc & GALLi, Fausto & GIOT, Pierre, 2009. "The moments of Log-ACD models," LIDAM Reprints CORE 2023, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    54. Detlef Seese & Christof Weinhardt & Frank Schlottmann (ed.), 2008. "Handbook on Information Technology in Finance," International Handbooks on Information Systems, Springer, number 978-3-540-49487-4, September.
    55. Yongmiao Hong & Yoon-Jin Lee, 2007. "Detecting Misspecifications in Autoregressive Conditional Duration Models," CAEPR Working Papers 2007-019, Center for Applied Economics and Policy Research, Department of Economics, Indiana University Bloomington.
    56. Roman Huptas, 2014. "Bayesian Estimation and Prediction for ACD Models in the Analysis of Trade Durations from the Polish Stock Market," Central European Journal of Economic Modelling and Econometrics, Central European Journal of Economic Modelling and Econometrics, vol. 6(4), pages 237-273, December.
    57. Chun Liu & John M Maheu, 2010. "Intraday Dynamics of Volatility and Duration: Evidence from the Chinese Stock Market," Working Papers tecipa-401, University of Toronto, Department of Economics.
    58. Grammig, Joachim & Wellner, Marc, 1999. "Modeling the interdependence of volatility and inter-transaction duration processes," SFB 373 Discussion Papers 1999,21, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    59. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.
    60. Renault, Eric & van der Heijden, Thijs & Werker, Bas J.M., 2014. "The dynamic mixed hitting-time model for multiple transaction prices and times," Journal of Econometrics, Elsevier, vol. 180(2), pages 233-250.

  80. Christian Gourieroux & Olivier Scaillet & Ariane Szafarz, 1997. "Econométrie de la Finance: approches historiques," ULB Institutional Repository 2013/651, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. 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.
    2. Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB 12-003, ULB -- Universite Libre de Bruxelles.
    3. Dhaoui, Elwardi, 2013. "What we have learnt from financial econometrics modeling?," MPRA Paper 63843, University Library of Munich, Germany.
    4. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Working Papers hal-04140988, HAL.
    5. 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.
    6. Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.
    7. Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers hal-04141172, HAL.

  81. Clément, E. & Gourieroux, Christian & Monfort, Alain, 1997. "Econometric specification of the risk neutral valuation model," CEPREMAP Working Papers (Couverture Orange) 9706, CEPREMAP.

    Cited by:

    1. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Parametric Pricing of Higher Order Moments in S&P500 Options," Monash Econometrics and Business Statistics Working Papers 1/02, Monash University, Department of Econometrics and Business Statistics.
    2. Lim, G.C. & Martin, G.M. & Martin, V.L., 2006. "Pricing currency options in the presence of time-varying volatility and non-normalities," Journal of Multinational Financial Management, Elsevier, vol. 16(3), pages 291-314, July.
    3. Bollerslev, Tim, 2001. "Financial econometrics: Past developments and future challenges," Journal of Econometrics, Elsevier, vol. 100(1), pages 41-51, January.
    4. G.C. Lim & G.M. Martin & V.L. Martin, 2002. "Pricing Currency Options in Tranquil Markets: Modelling Volatility Frowns," Monash Econometrics and Business Statistics Working Papers 4/02, Monash University, Department of Econometrics and Business Statistics.
    5. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.

  82. Georges Dionne & Christian Gourieroux & Charles Vanasse, 1997. "The Informational Content of Household Decisions," Working Papers 97-01, Center for Research in Economics and Statistics.

    Cited by:

    1. Dionne, G. & Doherty, N., 1991. "Adverse Selection in Insurance Markets: a Selective Survey," Cahiers de recherche 9105, Universite de Montreal, Departement de sciences economiques.
    2. Spindler, Martin, 2013. "“They do know what they are doing... at least most of them.†Asymmetric Information in the (private) Disability Insurance," MEA discussion paper series 201209, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
    3. Dionne, Georges, 2012. "The empirical measure of information problems with emphasis on insurance fraud and dynamic data," Working Papers 12-10, HEC Montreal, Canada Research Chair in Risk Management.
    4. Yarmukhamedov, Sherzod, 2013. "Empirical analysis of moral hazard: a study of a vehicle insurance tax reform," Working papers in Transport Economics 2013:14, CTS - Centre for Transport Studies Stockholm (KTH and VTI).
    5. Georges Dionnne & Pierre-Carl Michaud & Jean Pinquet, 2012. "A Review of Recent Theoretical and Empirical Analyses of Asymmetric Information in Road Safety and Automobile Insurance," Cahiers de recherche 1204, CIRPEE.
    6. Spindler, M., 2014. "“They do know what they are doing ... at least most of them.†Asymmetric Information in the (private) Disability Insurance," Health, Econometrics and Data Group (HEDG) Working Papers 14/16, HEDG, c/o Department of Economics, University of York.
    7. 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.
    8. Pierre-André Chiappori & Bernard Salanié, 2002. "Testing Contract Theory : A Survey of Some Recent Work," Working Papers 2002-11, Center for Research in Economics and Statistics.
    9. Xiaoqi Zhang & Yi Chen & Yi Yao, 2021. "Dynamic information asymmetry in micro health insurance: implications for sustainability," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 46(3), pages 468-507, July.
    10. John E. Murray, 2011. "Asymmetric Information and Countermeasures in Early Twentieth‐Century American Short‐Term Disability Microinsurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 78(1), pages 117-138, March.
    11. Pierre Picard & Kili Wang, 2015. "INSURANCE FRAUD THROUGH COLLUSION BETWEEN POLICYHOLDERS AND CAR DEALERS: THEORY AND EMPIRICAL EVIDENCE Pierre PICARD," Working Papers hal-01140590, HAL.
    12. Georges Dionne & Nathalie Fombaron & Neil Doherty, 2012. "Adverse Selection in Insurance Contracting," Cahiers de recherche 1231, CIRPEE.
    13. Chiappori, P.A. & Durand, F. & Geoffard, P.Y., 1998. "Moral Hazard and the Demand for Physician Services: First Lessons from a French Natural Experiment," DELTA Working Papers 98-05, DELTA (Ecole normale supérieure).

  83. Christian Gourieroux & A, Tiomo & Alain Trognon, 1997. "The Portfolio Composition of Households : A Scoring Analysis from French Data," Working Papers 97-06, Center for Research in Economics and Statistics.

    Cited by:

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

    Cited by:

    1. Mardi Dungey & Vance L Martin & Adrian R Pagan, 2000. "A multivariate latent factor decomposition of international bond yield spreads," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(6), pages 697-715.
    2. Mealli, Fabrizia & Rampichini, Carla, 1999. "Estimating binary multilevel models through indirect inference," Computational Statistics & Data Analysis, Elsevier, vol. 29(3), pages 313-324, January.

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

    Cited by:

    1. Kohlmann, Michael & Tang, Shanjian, 2002. "Global adapted solution of one-dimensional backward stochastic Riccati equations, with application to the mean-variance hedging," Stochastic Processes and their Applications, Elsevier, vol. 97(2), pages 255-288, February.
    2. Liao Wang & Jin Yao & Xiaowei Zhang, 2022. "How Does Risk Hedging Impact Operations? Insights from a Price-Setting Newsvendor Model," Papers 2201.01026, arXiv.org, revised Jun 2023.
    3. Herdegen, Martin & Muhle-Karbe, Johannes, 2019. "Sensitivity of optimal consumption streams," Stochastic Processes and their Applications, Elsevier, vol. 129(6), pages 1964-1992.
    4. Dorival Le~ao & Alberto Ohashi & Vinicius Siqueira, 2013. "A general Multidimensional Monte Carlo Approach for Dynamic Hedging under stochastic volatility," Papers 1308.1704, arXiv.org, revised Aug 2013.
    5. Leitner, Johannes, 2000. "Mean-Variance Efficiency and Intertemporal Price for Risk," CoFE Discussion Papers 00/35, University of Konstanz, Center of Finance and Econometrics (CoFE).
    6. Kohlmann, Michael & Tang, Shanjian, 2000. "Global Adapted Solution of One-Dimensional Backward Stochastic Riccati Equations, with Application to the Mean-Variance Hedging," CoFE Discussion Papers 00/26, University of Konstanz, Center of Finance and Econometrics (CoFE).
    7. Hirbod Assa & Nikolay Gospodinov, 2017. "A Robust Approach to Hedging and Pricing in Imperfect Markets," Risks, MDPI, vol. 5(3), pages 1-20, July.
    8. Kohlmann, Michael & Tang, Shanjian, 2000. "Recent Advances in Backward Stochastics Riccati Equations and Their Applications," CoFE Discussion Papers 00/30, University of Konstanz, Center of Finance and Econometrics (CoFE).
    9. Michael Mania & Revaz Tevzadze, 2008. "Backward Stochastic PDEs Related to the Utility Maximization Problem," ICER Working Papers - Applied Mathematics Series 07-2008, ICER - International Centre for Economic Research.
    10. Anne Eyraud-Loisel, 2013. "Quadratic hedging in an incomplete market derived by an influent informed investor," Post-Print hal-00450949, HAL.
    11. Goutte, Stéphane & Ngoupeyou, Armand, 2015. "The use of BSDEs to characterize the mean–variance hedging problem and the variance optimal martingale measure for defaultable claims," Stochastic Processes and their Applications, Elsevier, vol. 125(4), pages 1323-1351.
    12. M. Mania & R. Tevzadze, 2003. "Backward Stochastic PDE and Imperfect Hedging," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 6(07), pages 663-692.
    13. Liao Wang & Johannes Wissel, 2013. "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, vol. 17(4), pages 641-683, October.
    14. Claudio Fontana, 2013. "Weak and strong no-arbitrage conditions for continuous financial markets," Papers 1302.7192, arXiv.org, revised May 2014.
    15. Kramkov, D. & Sîrbu, M., 2007. "Asymptotic analysis of utility-based hedging strategies for small number of contingent claims," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1606-1620, November.
    16. Thorsten Rheinländer & Jenny Sexton, 2011. "Hedging Derivatives," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8062, October.
    17. Samuel Drapeau & Yunbo Zhang, 2019. "Pricing and Hedging Performance on Pegged FX Markets Based on a Regime Switching Model," Papers 1910.08344, arXiv.org, revised May 2020.
    18. Samuel Njoh, 2007. "Cross Hedging Within A Log Mean Reverting Model," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 10(05), pages 887-914.
    19. George Bouzianis & Lane P. Hughston, 2020. "Optimal Hedging in Incomplete Markets," Papers 2006.12989, arXiv.org, revised Sep 2020.
    20. Mostovyi, Oleksii, 2020. "Asymptotic analysis of the expected utility maximization problem with respect to perturbations of the numéraire," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4444-4469.
    21. Stephane Goutte & Armand Ngoupeyou, 2012. "Optimization problem and mean variance hedging on defaultable claims," Papers 1209.5953, arXiv.org.
    22. Wanyang Dai, 2014. "Mean-variance hedging based on an incomplete market with external risk factors of non-Gaussian OU processes," Papers 1410.0991, arXiv.org, revised Aug 2015.
    23. Saeed Marzban & Erick Delage & Jonathan Yumeng Li, 2020. "Equal Risk Pricing and Hedging of Financial Derivatives with Convex Risk Measures," Papers 2002.02876, arXiv.org, revised Sep 2020.
    24. Kohlmann, Michael & Tang, Shanjian, 2000. "Multi-Dimensional Backward Stochastic Riccati Equations, and Applications," CoFE Discussion Papers 00/29, University of Konstanz, Center of Finance and Econometrics (CoFE).
    25. L. Carassus & E. Temam, 2014. "Pricing and hedging basis risk under no good deal assumption," Annals of Finance, Springer, vol. 10(1), pages 127-170, February.
    26. Claudio Fontana, 2015. "Weak And Strong No-Arbitrage Conditions For Continuous Financial Markets," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 1-34.
    27. Vicky Henderson & David Hobson & Sam Howison & Tino Kluge, 2003. "A Comparison of q-optimal Option Prices in a Stochastic Volatility Model with Correlation," OFRC Working Papers Series 2003mf02, Oxford Financial Research Centre.
    28. Woll, Oliver, 2015. "Mean-risk hedging strategies in electricity markets with limited liquidity," ZEW Discussion Papers 15-056, ZEW - Leibniz Centre for European Economic Research.

  86. 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.

    Cited by:

    1. Barone-Adesi, Giovanni & Fusari, Nicola & Mira, Antonietta & Sala, Carlo, 2020. "Option market trading activity and the estimation of the pricing kernel: A Bayesian approach," Journal of Econometrics, Elsevier, vol. 216(2), pages 430-449.
    2. Bossaerts, Peter & Hillion, Pierre, 2003. "Local parametric analysis of derivatives pricing and hedging," Journal of Financial Markets, Elsevier, vol. 6(4), pages 573-605, August.
    3. German Rodikov & Nino Antulov-Fantulin, 2022. "Can LSTM outperform volatility-econometric models?," Papers 2202.11581, arXiv.org.
    4. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Dias, Fabio S. & Peters, Gareth W., 2021. "Option pricing with polynomial chaos expansion stochastic bridge interpolators and signed path dependence," Applied Mathematics and Computation, Elsevier, vol. 411(C).
    6. Lange, Rutger-Jan, 2024. "Bellman filtering and smoothing for state–space models," Journal of Econometrics, Elsevier, vol. 238(2).
    7. Cartea, Álvaro & Meyer-Brandis, Thilo, 2009. "How Duration Between Trades of Underlying Securities Affects Option Prices," MPRA Paper 16179, University Library of Munich, Germany.
    8. Solomon Abayomi Olakojo, 2020. "A Markov‐switching analysis of Nigeria's business cycles: Are election cycles important?," African Development Review, African Development Bank, vol. 32(1), pages 67-79, March.
    9. Carmen Broto & Esther Ruiz, 2004. "Estimation methods for stochastic volatility models: a survey," Journal of Economic Surveys, Wiley Blackwell, vol. 18(5), pages 613-649, December.
    10. Juan Hoyo & Guillermo Llorente & Carlos Rivero, 2020. "A Testing Procedure for Constant Parameters in Stochastic Volatility Models," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 163-186, June.
    11. Michael Weba, 2024. "Investment strategies based on forecasts are (almost) useless," Papers 2408.01772, arXiv.org.
    12. Isaenko, Sergey, 2023. "Trading strategies and the frequency of time-series," The Quarterly Review of Economics and Finance, Elsevier, vol. 90(C), pages 267-283.
    13. Benjamin Poignard & Manabu Asai, 2022. "High-Dimensional Sparse Multivariate Stochastic Volatility Models," Papers 2201.08584, arXiv.org, revised May 2022.
    14. Izzeldin, Marwan & Muradoğlu, Yaz Gülnur & Pappas, Vasileios & Sivaprasad, Sheeja, 2021. "The impact of Covid-19 on G7 stock markets volatility: Evidence from a ST-HAR model," International Review of Financial Analysis, Elsevier, vol. 74(C).
    15. Ahsan, Md. Nazmul & Dufour, Jean-Marie, 2021. "Simple estimators and inference for higher-order stochastic volatility models," Journal of Econometrics, Elsevier, vol. 224(1), pages 181-197.
    16. Liao, Wen Ju & Sung, Hao-Chang, 2020. "Implied risk aversion and pricing kernel in the FTSE 100 index," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).

  87. Breitung, Jörg & Gouriéroux, Christian, 1996. "Rank tests for unit roots," SFB 373 Discussion Papers 1996,9, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.

    Cited by:

    1. Chin Wen Cheong & Ng Sew Lai & Nurul Afidah Mohmad Yusof & Khor Chia Ying, 2012. "Asymmetric Fractionally Integrated Volatility Modelling of Asian Equity Markets under the Subprime Mortgage Crisis," Journal of Quantitative Economics, The Indian Econometric Society, vol. 10(1), pages 70-84, January.
    2. Onour, Ibrahim, 2009. "Financial Integration of North Africa Stock Markets," MPRA Paper 14938, University Library of Munich, Germany.
    3. Kramer, Walter & Davies, Laurie, 2002. "Testing for unit roots in the context of misspecified logarithmic random walks," Economics Letters, Elsevier, vol. 74(3), pages 313-319, February.
    4. Richard Luger, 2001. "Exact Non-Parametric Tests for a Random Walk with Unknown Drift under Conditional Heteroscedasticity," Staff Working Papers 01-2, Bank of Canada.
    5. Marc Hallin & Ramon van den Akker & Bas Werker, 2012. "Rank-Based Tests of the Cointegrating Rank in Semiparametric Error Correction Models," Working Papers ECARES ECARES 2012-042, ULB -- Universite Libre de Bruxelles.
    6. Andrew Davies, 2006. "Testing for international equity market integration using regime switching cointegration techniques," Review of Financial Economics, John Wiley & Sons, vol. 15(4), pages 305-321.
    7. Hill, Jonathan B. & Aguilar, Mike, 2013. "Moment condition tests for heavy tailed time series," Journal of Econometrics, Elsevier, vol. 172(2), pages 255-274.
    8. Pelagatti, Matteo M. & Sen, Pranab K., 2013. "Rank tests for short memory stationarity," Journal of Econometrics, Elsevier, vol. 172(1), pages 90-105.
    9. Chen, Tsung-Yu & Chou, Pin-Huang & Ko, Kuan-Cheng & Rhee, S. Ghon, 2021. "Non-parametric momentum based on ranks and signs," Journal of Empirical Finance, Elsevier, vol. 60(C), pages 94-109.
    10. Xiao‐Ming Li, 2006. "A Revisit Of International Stock Market Linkages: New Evidence From Rank Tests For Nonlinear Cointegration," Scottish Journal of Political Economy, Scottish Economic Society, vol. 53(2), pages 174-197, May.
    11. Hallin, M. & Werker, B.J.M. & van den Akker, R., 2015. "Optimal Pseudo-Gaussian and Rank-based Tests of the Cointegration Rank in Semiparametric Error-correction Models," Discussion Paper 2015-001, Tilburg University, Center for Economic Research.
    12. Aparicio, Felipe M., 2003. "On the record properties of integrated time series," DES - Working Papers. Statistics and Econometrics. WS ws036414, Universidad Carlos III de Madrid. Departamento de Estadística.
    13. Marc Hallin & Ramon van den Akker & Bas Werker, 2009. "A class of Simple Semiparametrically Efficient Rank-Based Unit Root Tests," Working Papers ECARES 2009_001, ULB -- Universite Libre de Bruxelles.
    14. Aparicio, Felipe M., 1998. "A characterization of cointegrating relationships using induced-order statistics," DES - Working Papers. Statistics and Econometrics. WS 10942, Universidad Carlos III de Madrid. Departamento de Estadística.
    15. Breitung, Jorg, 2002. "Nonparametric tests for unit roots and cointegration," Journal of Econometrics, Elsevier, vol. 108(2), pages 343-363, June.
    16. Helmut Herwartz & Florian Siedenburg, 2010. "A New Approach to Unit Root Testing," Computational Economics, Springer;Society for Computational Economics, vol. 36(4), pages 365-384, December.
    17. Ibrahim Onour, "undated". "North Africa Stock Markets: Analysis of Unit Root and Long Memory Process," API-Working Paper Series 0906, Arab Planning Institute - Kuwait, Information Center.
    18. Donald J. Brown & Rustam Ibragimov, 2005. "Sign Tests for Dependent Observations and Bounds for Path-Dependent Options," Cowles Foundation Discussion Papers 1518, Cowles Foundation for Research in Economics, Yale University.
    19. Mohamed El Hedi Arouri & Jamel Jouini & Duc Khuong Nguyen, 2013. "On the relationship between world oil prices and GCC stock markets," Working Papers hal-00798037, HAL.
    20. Onour, Ibrahim, 2008. "Financial Integration of GCC Capital Markets:Evidence of Nonlinear Cointegration," MPRA Paper 15187, University Library of Munich, Germany.
    21. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2011. "A class of simple distribution-free rank-based unit root tests," Journal of Econometrics, Elsevier, vol. 163(2), pages 200-214, August.
    22. In Choi, 2014. "Unit root tests for dependent and heterogeneous micropanels," Working Papers 1404, Nam Duck-Woo Economic Research Institute, Sogang University (Former Research Institute for Market Economy).
    23. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
    24. Breitung, Jörg, 1998. "Rank tests for nonlinear cointegration," SFB 373 Discussion Papers 1998,65, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    25. Herwartz, Helmut & Siedenburg, Florian, 2009. "A new approach to unit root testing," Economics Working Papers 2009-06, Christian-Albrechts-University of Kiel, Department of Economics.
    26. Stergios B. Fotopoulos & Sung K. Ahn, 2003. "Rank Based Dickey–Fuller Test Statistics," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(6), pages 647-662, November.
    27. Davies, Andrew, 2006. "Testing for international equity market integration using regime switching cointegration techniques," Review of Financial Economics, Elsevier, vol. 15(4), pages 305-321.
    28. Hallin, M. & van den Akker, R. & Werker, B.J.M., 2011. "A Class of Simple Distribution-free Rank-based Unit Root Tests (Revision of DP 2010-72)," Discussion Paper 2011-002, Tilburg University, Center for Economic Research.
    29. Aparicio, Felipe M. & García, Ana, 2000. "Syncronicity between macroeconomic time series: an exploratory analysis," DES - Working Papers. Statistics and Econometrics. WS 9922, Universidad Carlos III de Madrid. Departamento de Estadística.
    30. Hallin, Marc & van den Akker, Ramon & Werker, Bas J.M., 2016. "Semiparametric error-correction models for cointegration with trends: Pseudo-Gaussian and optimal rank-based tests of the cointegration rank," Journal of Econometrics, Elsevier, vol. 190(1), pages 46-61.
    31. Kenourgios, Dimitris & Samitas, Aristeidis, 2009. "Financial Market Dynamics in an Enlarged European Union," Journal of Economic Integration, Center for Economic Integration, Sejong University, vol. 24, pages 197-221.
    32. Aparicio, Felipe M., 2003. "Cointegration tests based on record counting statistics," DES - Working Papers. Statistics and Econometrics. WS ws036615, Universidad Carlos III de Madrid. Departamento de Estadística.
    33. Delgado, Miguel A. & Velasco, Carlos, 2005. "Sign tests for long-memory time series," Journal of Econometrics, Elsevier, vol. 128(2), pages 215-251, October.

  88. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.

    Cited by:

    1. Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.

  89. 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.

    Cited by:

    1. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    2. Cayetano, Gea, 2007. "Studying the Properties of the Correlation Trades," MPRA Paper 22318, University Library of Munich, Germany.
    3. de Jong, F.C.J.M. & Nijman, T.E., 1995. "High frequency analysis of lead-lag relationships between financial markets," Discussion Paper 1995-34, Tilburg University, Center for Economic Research.
    4. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    5. Michel Baroni & Fabrice Barthélémy & Mahdi Mokrane, 2007. "Is it possible to construct derivatives for the Paris residential market?," THEMA Working Papers 2007-24, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    6. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
    7. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    8. Helmut Herwartz, 2006. "Econometric analysis of high frequency data," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 90(1), pages 89-104, March.
    9. Bollerslev, T. & Ghysels, E., 1994. "Periodic Autoregressive Conditional Heteroskedasticity," Cahiers de recherche 9408, Universite de Montreal, Departement de sciences economiques.
    10. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
    11. Amigues, J-P & Favard, P. & Gaudet, G. & Moreaux, M, 1996. "On the Optimal Order of Natural Resource Use When the Capacity of the Inexhaustible Substitute is Limited," Cahiers de recherche 9628, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    12. Eric M. Aldrich & Indra Heckenbach & Gregory Laughlin, 2014. "A Compound Multifractal Model for High-Frequency Asset Returns," BYU Macroeconomics and Computational Laboratory Working Paper Series 2014-05, Brigham Young University, Department of Economics, BYU Macroeconomics and Computational Laboratory.
    13. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    14. Touhami, A. & Martens, A., 1996. "Macroemesures in Computable General Equilibrium Models: a Probabilistic Treatment with an Application to Morocco," Cahiers de recherche 9621, Universite de Montreal, Departement de sciences economiques.
    15. Christian Gourieroux & Gaëlle Le Fol, 1997. "Volatilités et mesures de risque," Post-Print halshs-00877048, HAL.
    16. Joel Hasbrouck, 1999. "Trading Fast and Slow: Security Market Events in Real Time," New York University, Leonard N. Stern School Finance Department Working Paper Seires 99-012, New York University, Leonard N. Stern School of Business-.
    17. J. Jimenez & R. Biscay & T. Ozaki, 2005. "Inference Methods for Discretely Observed Continuous-Time Stochastic Volatility Models: A Commented Overview," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 12(2), pages 109-141, June.
    18. René Garcia & Eric Ghysels & Eric Renault, 2004. "The Econometrics of Option Pricing," CIRANO Working Papers 2004s-04, CIRANO.
    19. Mouna Cherkaoui & Eric Ghysels, 1999. "Emerging Markets and Trading Costs," CIRANO Working Papers 99s-04, CIRANO.
    20. A. Saichev & D. Sornette, 2014. "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-36.
    21. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

  90. Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1995. "Solutions of Multivariate Rational Expectations Models," ULB Institutional Repository 2013/701, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," ULB Institutional Repository 2013/239874, ULB -- Universite Libre de Bruxelles.
    2. Bernd Funovits, 2020. "The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models," Papers 2002.04369, arXiv.org.
    3. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
    4. Jones, John Bailey, 2002. "Has fiscal policy helped stabilize the postwar U.S. economy?," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 709-746, May.
    5. John Bailey Jones & Sohini Sahu, 2008. "Transition Accounting for India in a Multi-Sector Dynamic General Equilibrium Model," Discussion Papers 08-03, University at Albany, SUNY, Department of Economics.
    6. Gary Anderson, 2008. "Solving Linear Rational Expectations Models: A Horse Race," Computational Economics, Springer;Society for Computational Economics, vol. 31(2), pages 95-113, March.
    7. Majid M. Al-Sadoon, 2016. "The linear systems approach to linear rational expectations models," Economics Working Papers 1511, Department of Economics and Business, Universitat Pompeu Fabra.
    8. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
    9. John G. Thistle, 2018. "The Origin and the Resolution of Nonuniqueness in Linear Rational Expectations," Papers 1806.06657, arXiv.org, revised Apr 2019.
    10. Onatski, Alexei, 2006. "Winding number criterion for existence and uniqueness of equilibrium in linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 30(2), pages 323-345, February.
    11. Zadrozny, Peter A., 1998. "An eigenvalue method of undetermined coefficients for solving linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 22(8-9), pages 1353-1373, August.
    12. Timmermann, Allan, 1995. "Cointegration Tests of Present Value Models with a Time-Varying Discount Factor," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 10(1), pages 17-31, Jan.-Marc.
    13. Tan, Fei & Walker, Todd B., 2015. "Solving generalized multivariate linear rational expectations models," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 95-111.
    14. Binder, Michael & Pesaran, Hashem, 2000. "Solution of finite-horizon multivariate linear rational expectations models and sparse linear systems," Journal of Economic Dynamics and Control, Elsevier, vol. 24(3), pages 325-346, March.
    15. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers vie1405, University of Vienna, Department of Economics.
    16. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.

  91. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.

    Cited by:

    1. Andersen, Torben G & Bollerslev, Tim, 1997. "Heterogeneous Information Arrivals and Return Volatility Dynamics: Uncovering the Long-Run in High Frequency Returns," Journal of Finance, American Finance Association, vol. 52(3), pages 975-1005, July.
    2. Eric Ghysels & Joann Jasiak, 1997. "GARCH for Irregularly Spaced Data: The ACD-GARCH Model," CIRANO Working Papers 97s-06, CIRANO.
    3. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    4. Ghysels, E. & Jasiak, J., 1994. "Stochastic Volatility and time Deformation: An Application of trading Volume and Leverage Effects," Cahiers de recherche 9403, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    5. Goodhart, Charles A. E. & O'Hara, Maureen, 1997. "High frequency data in financial markets: Issues and applications," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 73-114, June.
    6. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    7. Robert F. Engle, 2000. "The Econometrics of Ultra-High Frequency Data," Econometrica, Econometric Society, vol. 68(1), pages 1-22, January.
    8. Weihua Shi & Cheng-Few Lee, 2008. "Volatility Persistence of High-Frequency Returns in the Japanese Government Bond Futures Market," Review of Pacific Basin Financial Markets and Policies (RPBFMP), World Scientific Publishing Co. Pte. Ltd., vol. 11(04), pages 511-530.
    9. Kunst, Robert M. & Franses, Philip Hans, 2010. "Asymmetric Time Aggregation and its Potential Benefits for Forecasting Annual Data," Economics Series 252, Institute for Advanced Studies.
    10. 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.
    11. Eisler, Z. & Kertész, J., 2004. "Multifractal model of asset returns with leverage effect," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 343(C), pages 603-622.
    12. Jérôme Fillol, 2003. "Multifractality: Theory and Evidence an Application to the French Stock Market," Economics Bulletin, AccessEcon, vol. 3(31), pages 1-12.
    13. Alfonso Dufour & Robert F Engle, 2000. "The ACD Model: Predictability of the Time Between Concecutive Trades," ICMA Centre Discussion Papers in Finance icma-dp2000-05, Henley Business School, University of Reading.
    14. A. Saichev & D. Sornette, 2014. "A simple microstructure return model explaining microstructure noise and Epps effects," International Journal of Modern Physics C (IJMPC), World Scientific Publishing Co. Pte. Ltd., vol. 25(06), pages 1-36.
    15. Adlai Fisher & Laurent Calvet & Benoit Mandelbrot, 1997. "Multifractality of Deutschemark/US Dollar Exchange Rates," Cowles Foundation Discussion Papers 1166, Cowles Foundation for Research in Economics, Yale University.

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

    Cited by:

    1. Dewar, Diane M., 1998. "Do those with more formal education have better health insurance opportunities?," Economics of Education Review, Elsevier, vol. 17(3), pages 267-277, June.

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

    Cited by:

    1. Gouriéroux, Christian & Scaillet, O., 1994. "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange) 9415, CEPREMAP.
    2. Gouriéroux, Christian, 1994. "Modèles économétriques : utilisation et interprétation (les)," CEPREMAP Working Papers (Couverture Orange) 9423, CEPREMAP.

  94. Gouriéroux, Christian & Monfort, Alain, 1994. "Testing, encompassing and simulating dynamic econometric models," CEPREMAP Working Papers (Couverture Orange) 9406, CEPREMAP.

    Cited by:

    1. Wieland, Volker & Coenen, Günter, 2000. "A small estimated euro area model with rational expectations and nominal rigidities," Working Paper Series 30, European Central Bank.
    2. Dhaene, Geert & Scaillet, Olivier, 2000. "Reversed Score and Likelihood Ratio Tests," LIDAM Discussion Papers IRES 2000026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    3. Neil R. Ericsson, 2008. "The fragility of sensitivity analysis: an encompassing perspective," International Finance Discussion Papers 959, Board of Governors of the Federal Reserve System (U.S.).
    4. Massimiliano Marcellino & Barbara Rossi, 2008. "Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 867-893, December.
    5. Zhipeng Liao & Xiaoxia Shi, 2020. "A nondegenerate Vuong test and post selection confidence intervals for semi/nonparametric models," Quantitative Economics, Econometric Society, vol. 11(3), pages 983-1017, July.
    6. Vadim Marmer, 2012. "Linear processes: properties and asymptotic results (in Russian)," Quantile, Quantile, issue 10, pages 33-56, December.
    7. Steven Cook, 2005. "On the semantic approach to econometric methodology," Journal of Economic Methodology, Taylor & Francis Journals, vol. 12(1), pages 117-123.
    8. Dridi, Ramdan & Renault, Eric, 2000. "Semi-parametric indirect inference," LSE Research Online Documents on Economics 6864, London School of Economics and Political Science, LSE Library.
    9. Alain Guay & Olivier Scaillet, 1999. "Indirect Inference, Nuisance Parameter and Threshold Moving Average," Cahiers de recherche CREFE / CREFE Working Papers 95, CREFE, Université du Québec à Montréal.
    10. Gunter Coenen & Volker Wieland, 2000. "A Simple Estimated Euro Area Model With Rational Expectations And Nominal Rigidities," Computing in Economics and Finance 2000 187, Society for Computational Economics.
    11. Elia Lapenta & Pascal Lavergne, 2022. "Encompassing Tests for Nonparametric Regressions," Papers 2203.06685, arXiv.org, revised Oct 2023.
    12. Dridi, Ramdan & Guay, Alain & Renault, Eric, 2007. "Indirect inference and calibration of dynamic stochastic general equilibrium models," Journal of Econometrics, Elsevier, vol. 136(2), pages 397-430, February.
    13. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
    14. Tae-Seok Jang, 2012. "Structural Estimation of the New-Keynesian Model: A Formal Test of Backward- and Forward-Looking Behavior," Advances in Econometrics, in: DSGE Models in Macroeconomics: Estimation, Evaluation, and New Developments, pages 421-467, Emerald Group Publishing Limited.
    15. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    16. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 40278, University Library of Munich, Germany.
    17. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian model: A formal test of backward- and forward-looking behavior," Economics Working Papers 2012-07, Christian-Albrechts-University of Kiel, Department of Economics.
    18. Lapenta, Elia & Lavergne, Pascal, 2022. "Encompassing Tests for Nonparametric Regressions," TSE Working Papers 22-1332, Toulouse School of Economics (TSE).
    19. Xiaoxia Shi, 2015. "A nondegenerate Vuong test," Quantitative Economics, Econometric Society, vol. 6(1), pages 85-121, March.
    20. Gouriéroux, Christian, 1994. "Modèles économétriques : utilisation et interprétation (les)," CEPREMAP Working Papers (Couverture Orange) 9423, CEPREMAP.
    21. Jin, Fei & Lee, Lung-fei, 2013. "Cox-type tests for competing spatial autoregressive models with spatial autoregressive disturbances," Regional Science and Urban Economics, Elsevier, vol. 43(4), pages 590-616.
    22. Jang, Tae-Seok, 2012. "Structural estimation of the New-Keynesian Model: a formal test of backward- and forward-looking expectations," MPRA Paper 39669, University Library of Munich, Germany.
    23. Dridi, Ramdan, 2000. "Simulated asymptotic least squares theory," LSE Research Online Documents on Economics 6861, London School of Economics and Political Science, LSE Library.

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

    Cited by:

    1. Ghysels, E. & Ng, S., 1996. "A Semi-Parametric Factor Model for Interest Rates," Cahiers de recherche 9612, Universite de Montreal, Departement de sciences economiques.
    2. Bossaerts, P.L.M. & Hillion, P., 1995. "Local Parametric Analysis of Hedging in Discrete Time," Discussion Paper 1995-23, Tilburg University, Center for Economic Research.
    3. Eric Ghysels & Andrew Harvey & Eric Renault, 1995. "Stochastic Volatility," CIRANO Working Papers 95s-49, CIRANO.
    4. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
    5. Laurence Broze & Olivier Scaillet & Jean-Michel Zakoïan & Claude Jessua, 1996. "Estimation de modèles de la structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 47(3), pages 511-519.
    6. Schotman, Peter, 1996. "A Bayesian approach to the empirical valuation of bond options," Journal of Econometrics, Elsevier, vol. 75(1), pages 183-215, November.
    7. Pagan, Adrian, 1996. "The econometrics of financial markets," Journal of Empirical Finance, Elsevier, vol. 3(1), pages 15-102, May.

  96. BROZE, Laurence & GOURIEROUX , Christian, 1993. "Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method," LIDAM Discussion Papers CORE 1993013, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).

    Cited by:

    1. 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.

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

    Cited by:

    1. Peaucelle, Irina, 1996. "Prévisions de court terme pour analyser les réformes en Russie (les)," CEPREMAP Working Papers (Couverture Orange) 9610, CEPREMAP.

  98. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.

    Cited by:

    1. Pieter J. van der Sluis, 1997. "Post-Sample Prediction Tests for the Efficient Method of Moments," Tinbergen Institute Discussion Papers 97-054/4, Tinbergen Institute.
    2. Saraswata Chaudhuriy & David T. Frazierz & Eric Renault, 2016. "Indirect Inference with Endogenously Missing Exogenous Variables," CIRANO Working Papers 2016s-15, CIRANO.
    3. Martin Browning & Mette Ejrnaes & Javier Alvarez, 2006. "Modelling income processes with lots of heterogeneity," Economics Series Working Papers 285, University of Oxford, Department of Economics.
    4. Farid AitSahlia & Manisha Goswami & Suchandan Guha, 2010. "American option pricing under stochastic volatility: an empirical evaluation," Computational Management Science, Springer, vol. 7(2), pages 189-206, April.
    5. Gabriele Fiorentini & Giorgio Calzolari, 1997. "A tobit model with garch errors," Working Papers. Serie AD 1997-13, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie).
    6. François Gourio & Nicolas Roys, 2013. "Size-dependent regulations, firm size distribution, and reallocation," Working Paper Series WP-2013-11, Federal Reserve Bank of Chicago.
    7. Ríos-Rull, José-Víctor & Schorfheide, Frank & Fuentes-Albero, Cristina & Kryshko, Maxym & Santaeulàlia-Llopis, Raül, 2012. "Methods versus substance: Measuring the effects of technology shocks," Journal of Monetary Economics, Elsevier, vol. 59(8), pages 826-846.
    8. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick, 2012. "What causes banking crises? An empirical investigation," Cardiff Economics Working Papers E2012/14, Cardiff University, Cardiff Business School, Economics Section, revised Apr 2013.
    9. Vogel, Edgar & Ludwig, Alexander & Börsch-Supan, Axel, 2012. "Aging and pension reform: extending the retirement age and human capital formation," Working Paper Series 1476, European Central Bank.
    10. Andersen, Torben G & Sorensen, Bent E, 1996. "GMM Estimation of a Stochastic Volatility Model: A Monte Carlo Study," Journal of Business & Economic Statistics, American Statistical Association, vol. 14(3), pages 328-352, July.
    11. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2004. "Labor Market Institutions and the Employment-Productivity Trade-Off: A Wage Posting Approach," IZA Discussion Papers 1364, Institute of Labor Economics (IZA).
    12. Jessica Foo & Lek-Heng Lim & Ken Sze-Wai Wong, 2017. "Macroeconomics and FinTech: Uncovering Latent Macroeconomic Effects on Peer-to-Peer Lending," Papers 1710.11283, arXiv.org.
    13. Meenagh, David & Minford, Patrick & Wickens, Michael, 2008. "Testing a DSGE model of the EU using indirect inference," Cardiff Economics Working Papers E2008/11, Cardiff University, Cardiff Business School, Economics Section, revised Dec 2008.
    14. Arvanitis Stelios & Demos Antonis, 2018. "On the Validity of Edgeworth Expansions and Moment Approximations for Three Indirect Inference Estimators," Journal of Econometric Methods, De Gruyter, vol. 7(1), pages 1-38, January.
    15. Peter Fuleky & Eric Zivot, 2010. "Indirect Inference Based on the Score," Working Papers UWEC-2010-08, University of Washington, Department of Economics.
    16. Thomas D. Tallarini & Harold H. Zhang, 2005. "External habit and the cyclicality of expected stock returns," Finance and Economics Discussion Series 2005-27, Board of Governors of the Federal Reserve System (U.S.).
    17. Rasmus Lentz & Dale T. Mortensen, 2005. "An Empirical Model of Growth Through Product Innovation," CAM Working Papers 2005-13, University of Copenhagen. Department of Economics. Centre for Applied Microeconometrics.
    18. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    19. Emi Nakamura & Dawit Zerom, 2009. "Accounting for Incomplete Pass-Through," NBER Working Papers 15255, National Bureau of Economic Research, Inc.
    20. Le, Vo Phuong Mai & Meenagh, David & Minford, Patrick & Ou, Zhirong, 2013. "What causes banking crises? An empirical investigation for the world economy," Cardiff Economics Working Papers E2013/3, Cardiff University, Cardiff Business School, Economics Section, revised May 2013.
    21. Gérard Ballot & Antoine Mandel & Annick Vignes, 2015. "Agent-based modeling and economic theory: where do we stand?," PSE-Ecole d'économie de Paris (Postprint) halshs-01296643, HAL.
    22. Vermeulen, Philip, 2006. "Employment stickiness in small manufacturing firms," Working Paper Series 640, European Central Bank.
    23. Paolo Girardello & Orietta Nicolis & Giovanni Tondini, 2003. "Comparing Conditional Variance Models: Theory and Empirical Evidence," Multinational Finance Journal, Multinational Finance Journal, vol. 7(3-4), pages 177-206, September.
    24. Francisco Blasques & Falk Bräuning & Iman Van Lelyveld, 2016. "A dynamic network model of the unsecured interbank lending market," Working Papers 16-3, Federal Reserve Bank of Boston.
    25. Daniel A. Ackerberg & Gautam Gowrisankaran, 2006. "Quantifying Equilibrium Network Externalities in the ACH Banking Industry," NBER Working Papers 12488, National Bureau of Economic Research, Inc.
    26. Breitung, Jörg & Lechner, Michael, 1998. "Alternative GMM methods for nonlinear panel data models," SFB 373 Discussion Papers 1998,81, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    27. Mackinnon, J.G. & Smith, A.A., 1996. "Approximate Bias Correction in Econometrics," G.R.E.Q.A.M. 96a14, Universite Aix-Marseille III.
    28. Dr Justin van de Ven, 2013. "The influence of decision costs on investments in Individual Savings Accounts," National Institute of Economic and Social Research (NIESR) Discussion Papers 407, National Institute of Economic and Social Research.
    29. Vo Le & David Meenagh & Patrick Minford & Michael Wickens, 2010. "Two Orthogonal Continents? Testing a Two-country DSGE Model of the US and the EU Using Indirect Inference," Open Economies Review, Springer, vol. 21(1), pages 23-44, February.
    30. Fadaei Oshyani, Masoud & Sundberg, Marcus & Karlström, Anders, 2013. "Estimating flexible route choice models using sparse data," Working papers in Transport Economics 2013:11, CTS - Centre for Transport Studies Stockholm (KTH and VTI).
    31. Jonathan Goyette & Giovanni Gallipoli, 2012. "Distortions, Efficiency and the Size Distribution of Firms," Cahiers de recherche 12-06, Departement d'économique de l'École de gestion à l'Université de Sherbrooke.
    32. Andersen, Torben G. & Bollerslev, Tim & Christoffersen, Peter F. & Diebold, Francis X., 2006. "Volatility and Correlation Forecasting," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 1, chapter 15, pages 777-878, Elsevier.
    33. Gallant, A. Ronald & Hsieh, David & Tauchen, George, 1995. "Estimation of Stochastic Volatility Models with Diagnostics," Working Papers 95-36, Duke University, Department of Economics.
    34. Christian Bayer & Falko Juessen, 2012. "On the Dynamics of Interstate Migration: Migration Costs and Self-Selection," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 15(3), pages 377-401, July.
    35. Ronni Pavan, 2010. "The Role of Career Choice in Understanding Job Mobility," LABOUR, CEIS, vol. 24(2), pages 107-127, June.
    36. Lombardi, Marco J. & Calzolari, Giorgio, 2009. "Indirect estimation of [alpha]-stable stochastic volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2298-2308, April.
    37. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    38. Elena Capatina, 2012. "Life Cycle Effects of Health Risk," Working Papers 201216, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales.
    39. Nigel Wilkins, 2004. "Indirect Estimation of Long Memory Volatility Models," Econometric Society 2004 Far Eastern Meetings 459, Econometric Society.
    40. Minford, Patrick & Dai, Li & Zhou, Peng, 2014. "A DSGE Model of China," CEPR Discussion Papers 10238, C.E.P.R. Discussion Papers.
    41. Drew Creal & Siem Jan Koopman & André Lucas & Marcin Zamojski, 2015. "Generalized Autoregressive Method of Moments," Tinbergen Institute Discussion Papers 15-138/III, Tinbergen Institute, revised 06 Jul 2018.
    42. Simões, Oscar R. & Marçal, Emerson Fernandes, 2012. "Agregação temporal e não-linearidade afetam os testes da paridade do poder de compra: Evidência a partir de dados brasileiros," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 66(3), October.
    43. Davide La Vecchia & Fabio Trojani, 2008. "Infinitesimal Robustness for Diffusions," University of St. Gallen Department of Economics working paper series 2008 2008-09, Department of Economics, University of St. Gallen.
    44. Xue-Zhong He & Youwei Li, 2017. "The adaptiveness in stock markets: testing the stylized facts in the DAX 30," Journal of Evolutionary Economics, Springer, vol. 27(5), pages 1071-1094, November.
    45. Patrick Minford & Yi Wang & Peng Zhou, 2020. "Resolving the public-sector wage premium puzzle by indirect inference," Applied Economics, Taylor & Francis Journals, vol. 52(7), pages 726-741, February.
    46. Jun Yu & Zhenlin Yang & Xibin Zhang, 2002. "A Class of Nonlinear Stochastic Volatility Models and Its Implications on Pricing Currency Options," Monash Econometrics and Business Statistics Working Papers 17/02, Monash University, Department of Econometrics and Business Statistics.
    47. Mark Broadie & Jérôme Detemple & Eric Ghysels & Olivier Torrès, 1996. "Nonparametric Estimation of American Options Exercise Boundaries and Call Prices," CIRANO Working Papers 96s-24, CIRANO.
    48. Christopher L. House & Ana-Maria Mocanu & Matthew D. Shapiro, 2017. "Stimulus Effects of Investment Tax Incentives: Production versus Purchases," NBER Working Papers 23391, National Bureau of Economic Research, Inc.
    49. Sentana, Enrique & Fiorentini, Gabriele, 2018. "Specification tests for non-Gaussian maximum likelihood estimators," CEPR Discussion Papers 12934, C.E.P.R. Discussion Papers.
    50. Kenneth W. Clements & Renee Fry, 2006. "Commodity Currencies And Currency Commodities," CAMA Working Papers 2006-19, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University.
    51. Sentana, Enrique & Calzolari, Giorgio & Fiorentini, Gabriele, 2008. "Indirect estimation of large conditionally heteroskedastic factor models, with an application to the Dow 30 stocks," Journal of Econometrics, Elsevier, vol. 146(1), pages 10-25, September.
    52. Jesús Fernández-Villaverde & Juan F. Rubio-Ramírez, 2007. "Estimating Macroeconomic Models: A Likelihood Approach," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 74(4), pages 1059-1087.
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    2. Laffargue, J.-P.Jean-Pierre, 2004. "A sufficient condition for the existence and the uniqueness of a solution in macroeconomic models with perfect foresight," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 1955-1975, September.
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    4. Majid M. Al-Sadoon, 2016. "The linear systems approach to linear rational expectations models," Economics Working Papers 1511, Department of Economics and Business, Universitat Pompeu Fabra.
    5. George W. Evans & Bruce McGough, 2002. "Stable Sunspot Solutions in Models with Predetermined Variables," University of Oregon Economics Department Working Papers 2002-16, University of Oregon Economics Department, revised 29 May 2003.
    6. Enrique Martínez García, 2020. "A Matter of Perspective: Mapping Linear Rational Expectations Models into Finite-Order VAR Form," Globalization Institute Working Papers 389, Federal Reserve Bank of Dallas.
    7. Luca Fanelli, 2009. "Estimation of quasi-rational DSGE monetary models," Quaderni di Dipartimento 3, Department of Statistics, University of Bologna.
    8. Boucekkine, Raouf & Le Van, Cuong & Schubert, Katheline, 1996. "How to get the Blanchard-Kahn form from a general linear rational expectations model," UC3M Working papers. Economics 3974, Universidad Carlos III de Madrid. Departamento de Economía.
    9. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers vie1405, University of Vienna, Department of Economics.
    10. Emilio Galdeano-Gómez, 2007. "Composite price expectations: An empirical analysis for the Spanish horticultural sector," Agribusiness, John Wiley & Sons, Ltd., vol. 23(1), pages 57-83.

  102. Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1989. "Speculative Bubbles and Exchange of Information on the Market of a Storable Good," ULB Institutional Repository 2013/106047, ULB -- Universite Libre de Bruxelles.

    Cited by:

    1. Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," ULB Institutional Repository 2013/239874, ULB -- Universite Libre de Bruxelles.
    2. Gianluca Mattarocci, 2009. "Market Characteristics and Chaos Dynamics in Stock Markets: an International Comparison," Palgrave Macmillan Studies in Banking and Financial Institutions, in: Alessandro Carretta & Franco Fiordelisi & Gianluca Mattarocci (ed.), New Drivers of Performance in a Changing Financial World, chapter 6, pages 89-106, Palgrave Macmillan.

  103. 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.

    Cited by:

    1. Nannette Lindenberg & Frank Westermann, 2012. "How strong is the case for dollarization in Central America? An empirical analysis of business cycles, credit market imperfections and the exchange rate," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 17(2), pages 147-166, April.
    2. Beine, Michel & Hecq, Alain, 1998. "Codependence and Convergence in the EC Economies," Journal of Policy Modeling, Elsevier, vol. 20(4), pages 403-426, August.
    3. Choi, In & Chul Ahn, Byung, 1998. "Testing the null of stationarity for multiple time series," Journal of Econometrics, Elsevier, vol. 88(1), pages 41-77, November.
    4. Nannette Lindenberg & Frank Westermann, 2009. "Common Trends and Common Cycles among Interest Rates of the G7-Countries," IEER Working Papers 77, Institute of Empirical Economic Research, Osnabrueck University.

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

    Cited by:

    1. Bauwens, Luc & Veredas, David, 2004. "The stochastic conditional duration model: a latent variable model for the analysis of financial durations," Journal of Econometrics, Elsevier, vol. 119(2), pages 381-412, April.

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

    Cited by:

    1. Mármol, Francesc, 1999. "Asymptotic inference for monstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 6350, Universidad Carlos III de Madrid. Departamento de Estadística.
    2. Marmol, Francesc, 1997. "Spurius regression theory with nonstationary fractionally integrated processes," DES - Working Papers. Statistics and Econometrics. WS 10733, Universidad Carlos III de Madrid. Departamento de Estadística.
    3. Marmol, Francesc, 1996. "Correlation theory of spuriously related higher order integrated processes," Economics Letters, Elsevier, vol. 50(2), pages 169-173, February.

  106. Gourieroux Christian & Peaucelle Irina, 1988. "Hétérogénéité/i/cas linéaire (le)," CEPREMAP Working Papers (Couverture Orange) 8809, CEPREMAP.

    Cited by:

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

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

    Cited by:

    1. Gaëlle Le Fol & Christian Gourieroux, 1999. "Intra-day market activity," Post-Print halshs-00536268, HAL.
    2. Liliane Bonnal & Denis Fougère, 1990. "Les déterminants individuels de la durée du chômage," Économie et Prévision, Programme National Persée, vol. 96(5), pages 45-82.
    3. Jean-Pierre Florens & Denis Fougère & Julien Pouget & Michel Mouchart, 2007. "Duration Models and Point Processes," Working Papers 2007-37, Center for Research in Economics and Statistics.

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

    Cited by:

    1. Komunjer, Ivana, 2005. "Quasi-maximum likelihood estimation for conditional quantiles," Journal of Econometrics, Elsevier, vol. 128(1), pages 137-164, September.
    2. Patton, Andrew J., 2011. "Volatility forecast comparison using imperfect volatility proxies," Journal of Econometrics, Elsevier, vol. 160(1), pages 246-256, January.

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

    Cited by:

    1. Guillaume Chevillon & Alain Hecq & Sébastien Laurent, 2018. "Generating Univariate Fractional Integration within a Large VAR(1)," AMSE Working Papers 1844, Aix-Marseille School of Economics, France.

  110. C. Gourieroux & I. Peaucelle, 1987. "vérfication empirique de la rationalité des anticipations de la demande par les entreprises," Discussion Papers (REL - Recherches Economiques de Louvain) 1987032, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).

    Cited by:

    1. Peaucelle, Irina, 1996. "Prévisions de court terme pour analyser les réformes en Russie (les)," CEPREMAP Working Papers (Couverture Orange) 9610, CEPREMAP.

  111. 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.

    Cited by:

    1. Flôres Jr., Renato G. & Szafarz, Ariane, 1994. "Agents, Econometricians and the Identification of Rational Expectations Systems," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 14(1), April.

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

    Cited by:

    1. François-Charles Wolff, 2012. "Decomposition of non-linear models using simulated residuals," Working Papers hal-00694421, HAL.
    2. Claire Lachaud-Fiume & Christine Largeron-Leténo & Lise Rochaix-Ranson, 1998. "Franchise sur les soins ambulatoires et équité sociale," Économie et Statistique, Programme National Persée, vol. 315(1), pages 51-72.
    3. Kilby, Christopher, 2000. "Supervision and performance: the case of World Bank projects," Journal of Development Economics, Elsevier, vol. 62(1), pages 233-259, June.
    4. Fran�ois-Charles Wolff, 2015. "Do the Return Intentions of French Migrants Affect Their Transfer Behaviour?," Journal of Development Studies, Taylor & Francis Journals, vol. 51(10), pages 1358-1373, October.
    5. Luc Arrondel & Hector Calvo Pardo & Xisco Oliver, 2007. "Temperant portfolio choice and background risk: evidence from France," PSE Working Papers halshs-00588069, HAL.
    6. Driffield, Nigel & Jones, Chris & Crotty, Jo, 2013. "International business research and risky investments, an analysis of FDI in conflict zones," International Business Review, Elsevier, vol. 22(1), pages 140-155.
    7. Prouteau, Lionel & Wolff, Francois-Charles, 2006. "Does volunteer work pay off in the labor market?," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 35(6), pages 992-1013, December.
    8. Nicolas G. Vaillant & François-Charles Wolff, 2011. "Understanding how experts rate cigars : a 'havanometric' analysis," Post-Print hal-00732116, HAL.
    9. Luc Arrondel & François-Charles Wolff, 1998. "La nature des transferts inter vivos en France : investissements humains, aides financières et transmission du patrimoine," Économie et Prévision, Programme National Persée, vol. 135(4), pages 1-27.
    10. Luc Arrondel, 2009. ""My Father was right": The transmission of values between generations," PSE Working Papers halshs-00566808, HAL.
    11. Luc Arrondel, 2013. "Are "daddy's boys" just as rich as daddy? The transmission of values between generations," Post-Print halshs-00916604, HAL.
    12. Engers, Maxim & Hartmann, Monica & Stern, Steven, 2009. "Are lemons really hot potatoes?," International Journal of Industrial Organization, Elsevier, vol. 27(2), pages 250-263, March.
    13. Pilar García‐Gómez & Erik Schokkaert & Tom Van Ourti & Teresa Bago d'Uva, 2015. "Inequity in the Face of Death," Health Economics, John Wiley & Sons, Ltd., vol. 24(10), pages 1348-1367, October.
    14. Teresa Aparicio & Inmaculada Villanúa, 2007. "Some selection criteria for nested binary choice models: a comparative study," Computational Statistics, Springer, vol. 22(4), pages 635-660, December.
    15. M. T. Aparicio & I. Villan�a, 2012. "Selection criteria for overlapping binary Models," Documentos de Trabajo dt2012-01, Facultad de Ciencias Económicas y Empresariales, Universidad de Zaragoza.
    16. Michael Grimm, 2001. "Macro-economic adjustment socio-demographic change, and the evolution of income distribution in Côte d'Ivoire. A decomposition by microsimulation," Working Papers DT/2001/12, DIAL (Développement, Institutions et Mondialisation).
    17. Lionel Prouteau & François-Charles Wolff, 2013. "Adhésions et dons aux associations : permanences et évolutions de 2002 à 2010," Économie et Statistique, Programme National Persée, vol. 459(1), pages 27-57.
    18. Laetitia Duval & François-­charles Wolff, 2015. "" I Even Met Happy Gypsies " : Life Satisfaction of Roma Youth in the Balkans," Working Papers hal-01219250, HAL.

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

    Cited by:

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

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

    Cited by:

    1. Francisco J. Ruge-Murcia, 2000. "Uncovering financial markets' beliefs about inflation targets," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 15(5), pages 483-512.
    2. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    3. Gerhard, Frank & Hess, Dieter & Pohlmeier, Winfried, 1998. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," CoFE Discussion Papers 98/01, University of Konstanz, Center of Finance and Econometrics (CoFE).
    4. Driffield, Nigel & Jones, Chris & Crotty, Jo, 2013. "International business research and risky investments, an analysis of FDI in conflict zones," International Business Review, Elsevier, vol. 22(1), pages 140-155.
    5. MacKinnon, James G, 1992. "Model Specification Tests and Artificial Regressions," Journal of Economic Literature, American Economic Association, vol. 30(1), pages 102-146, March.
    6. Frank Gerhard & Dieter Hess & Winfried Pohlmeier, 1999. "What a Difference a Day Makes: On the Common Market Microstructure of Trading Days," Finance 9904006, University Library of Munich, Germany.
    7. James Mitchell & Richard J. Smith & Martin R. Weale, 2013. "Efficient Aggregation Of Panel Qualitative Survey Data," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 28(4), pages 580-603, June.
    8. Stefan Gerlach, 2007. "Interest Rate Setting by the ECB, 1999-2006: Words and Deeds," International Journal of Central Banking, International Journal of Central Banking, vol. 3(3), pages 1-46, September.
    9. Eckert, Andrew & Langinier, Corinne & Zhao, Long, 2019. "Determinants of Locational Patenting Behavior of Canadian Firms," Working Papers 2019-3, University of Alberta, Department of Economics.
    10. Nan‐Kuang Chen & Hung‐Jen Wang, 2008. "Identifying the Demand and Supply Effects of Financial Crises on Bank Credit—Evidence from Taiwan," Southern Economic Journal, John Wiley & Sons, vol. 75(1), pages 26-49, July.
    11. Gerhard, Frank & Hautsch, Nikolaus, 1999. "Volatility Estimation on the Basis of Price Intensities," CoFE Discussion Papers 99/19, University of Konstanz, Center of Finance and Econometrics (CoFE).
    12. Christian Gouriéroux & Alain Monfort, 2016. "Composite Indirect Inference with Application to Corporate Risks," Working Papers 2016-32, Center for Research in Economics and Statistics.
    13. Rosa, Carlo, 2011. "Words that shake traders," Journal of Empirical Finance, Elsevier, vol. 18(5), pages 915-934.
    14. Pinkse, Joris & Slade, Margaret E., 1998. "Contracting in space: An application of spatial statistics to discrete-choice models," Journal of Econometrics, Elsevier, vol. 85(1), pages 125-154, July.
    15. Jose Montalvo, 2003. "Liquidity and market makers: a pseudo-experimental analysis with ultrahigh frequency data," The European Journal of Finance, Taylor & Francis Journals, vol. 9(4), pages 358-378.
    16. Carlo Rosa, 2009. "Forecasting the Direction of Policy Rate Changes: The Importance of ECB Words," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 38(1‐2), pages 39-66, February.
    17. Nuno Cassola, 1998. "Emu, Exchange Rate Volatility and Bid-Ask Spreads," Working Papers w199805, Banco de Portugal, Economics and Research Department.
    18. Oczkowski, Edward, 1998. "An econometric analysis of the bilateral monopoly model," Economic Modelling, Elsevier, vol. 16(1), pages 53-69, January.
    19. Kaiser, Ulrich & Szczesny, Andrea, 2000. "Einfache ökonometrische Verfahren für die Kreditrisikomessung," CoFE Discussion Papers 00/28, University of Konstanz, Center of Finance and Econometrics (CoFE).
    20. Gerlach, Stefan, 2004. "Interest Rate Setting by the ECB: Words and Deeds," CEPR Discussion Papers 4775, C.E.P.R. Discussion Papers.
    21. Choi, Woon Gyu, 1999. "Estimating the Discount Rate Policy Reaction Function of the Monetary Authority," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 14(4), pages 379-401, July-Aug..
    22. Carstensen, Kai, 2006. "Estimating the ECB policy reaction function," Munich Reprints in Economics 19941, University of Munich, Department of Economics.
    23. Brown, David P. & Eckert, Andrew & Lin, James, 2018. "Information and Transparency in Wholesale Electricity Markets: Evidence from Alberta," Working Papers 2018-2, University of Alberta, Department of Economics.
    24. Hsiao, Cheng & Pesaran, M. Hashem & Pick, Andreas, 2007. "Diagnostic Tests of Cross Section Independence for Nonlinear Panel Data Models," IZA Discussion Papers 2756, Institute of Labor Economics (IZA).
    25. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2022. "Approximate maximum likelihood for complex structural models," Journal of Econometrics, Elsevier, vol. 231(2), pages 432-456.
    26. Sergio Pastorello & Valentin Patilea & Eric Renault, 2003. "Iterative and Recursive Estimation in Structural Non-Adaptive Models," CIRANO Working Papers 2003s-08, CIRANO.
    27. Veronika Czellar & David T. Frazier & Eric Renault, 2020. "Approximate Maximum Likelihood for Complex Structural Models," Papers 2006.10245, arXiv.org.
    28. Allaire, Gilles & Cahuzac, Eric & Simioni, Michel, 2009. "Contractualisation et diffusion spatiale des mesures agro-environnementales herbagères," Review of Agricultural and Environmental Studies - Revue d'Etudes en Agriculture et Environnement (RAEStud), Institut National de la Recherche Agronomique (INRA), vol. 90(1).
    29. Kaiser, Ulrich, 1997. "The determinants of BUND-future price changes: An ordered probit analysis using DTB and LIFFE data," ZEW Discussion Papers 97-09, ZEW - Leibniz Centre for European Economic Research.
    30. Di Fan & Long Zhao, 2022. "Old Wine in New Bottles: Patenting Propensity," Journal of Industry, Competition and Trade, Springer, vol. 22(2), pages 207-224, June.
    31. Gustavo Nicolás Páez, 2015. "Prediciendo decisiones de agentes económicos: ¿Cómo determina el Banco de la República de Colombia la tasa de interés?," Documentos CEDE 12567, Universidad de los Andes, Facultad de Economía, CEDE.
    32. David T. Frazier & Eric Renault, 2016. "Indirect Inference With(Out) Constraints," Papers 1607.06163, arXiv.org, revised Aug 2019.
    33. Brown, David P. & Eckert, Andrew, 2018. "The effect of default rates on retail competition and pricing decisions of competitive retailers: The case of Alberta," Energy Policy, Elsevier, vol. 118(C), pages 298-311.
    34. Czellar, Veronika & Frazier, David T. & Renault, Eric, 2021. "Approximate Maximum Likelihood for Complex Structural Models," The Warwick Economics Research Paper Series (TWERPS) 1337, University of Warwick, Department of Economics.
    35. Monfort, Alain, 1992. "Quelques développements récents des méthodes macroéconométriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 305-324, mars et j.
    36. Henrik Amilon, 2002. "A Score Test for Discreteness in GARCH Models," Research Paper Series 76, Quantitative Finance Research Centre, University of Technology, Sydney.
    37. Ricardo Gonçalves Silva, 2004. "Bayesian Semiparametric Regression for Autoregressive Models with Possible Unit Roots," Econometrics 0405002, University Library of Munich, Germany.
    38. Gerhard, Frank & Hautsch, Nikolaus, 2000. "Determinants of Inter-Trade Durations and Hazard Rates Using Proportional Hazard ARMA Model," CoFE Discussion Papers 00/20, University of Konstanz, Center of Finance and Econometrics (CoFE).
    39. Lee, Lung-Fei, 1997. "A smooth likelihood simulator for dynamic disequilibrium models," Journal of Econometrics, Elsevier, vol. 78(2), pages 257-294, June.

  115. Broze, Laurence & Gourieroux Christian & Szafarz A, 1984. "Solutions of dynamic linear rational expectations models," CEPREMAP Working Papers (Couverture Orange) 8421, CEPREMAP.

    Cited by:

    1. Junior, Renato Galvão Flôres & Szafarz, Ariane, 1992. "Minimal identification of dynamic rational expectations systems," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 46(3), July.
    2. Ariane Szafarz, 2010. "Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility," Working Papers CEB 10-052, ULB -- Universite Libre de Bruxelles.
    3. Laurence Broze & Ariane Szafarz, 1985. "Solutions des modèles linéaires à anticipations rationnelles," ULB Institutional Repository 2013/679, ULB -- Universite Libre de Bruxelles.
    4. Jones, John Bailey, 2002. "Has fiscal policy helped stabilize the postwar U.S. economy?," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 709-746, May.
    5. Enrique Martínez García, 2016. "Finite-Order VAR Representation of Linear Rational Expectations Models: With Some Lessons for Monetary Policy," Globalization Institute Working Papers 285, Federal Reserve Bank of Dallas.
    6. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
    7. Beatriz Armendariz & Bert D'Espallier & Marek Hudon & Ariane Szafarz, 2011. "Subsidy Uncertainty and Microfinance Mission Drift," Working Papers CEB 11-014, ULB -- Universite Libre de Bruxelles.
    8. Majid M. Al-Sadoon, 2016. "The linear systems approach to linear rational expectations models," Economics Working Papers 1511, Department of Economics and Business, Universitat Pompeu Fabra.
    9. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
    10. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Reduction and identification of simultaneous equations models with rational expectations," CEPREMAP Working Papers (Couverture Orange) 8601, CEPREMAP.
    11. Atıcı, Ferhan M. & Ekiz, Funda & Lebedinsky, Alex, 2014. "Cagan type rational expectation model on complex discrete time domains," European Journal of Operational Research, Elsevier, vol. 237(1), pages 148-151.
    12. Enrique Martínez García, 2020. "A Matter of Perspective: Mapping Linear Rational Expectations Models into Finite-Order VAR Form," Globalization Institute Working Papers 389, Federal Reserve Bank of Dallas.
    13. Xavier De Scheemaekere & Kim Oosterlinck & Ariane Szafarz, 2012. "Addressing Economic Crises: The Reference-Class Problem," Working Papers CEB 12-024, ULB -- Universite Libre de Bruxelles.
    14. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.

  116. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1984. "Learning procedure and convergence to rationality," CEPREMAP Working Papers (Couverture Orange) 8411, CEPREMAP.

    Cited by:

    1. Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," ULB Institutional Repository 2013/239874, ULB -- Universite Libre de Bruxelles.
    2. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? Evidence from survey data," Post-Print hal-01638220, HAL.
    3. Kaushik Mitra & Seppo Honkapohja, 2004. "Learning Stability in Economies with Heterogenous Agents," Royal Holloway, University of London: Discussion Papers in Economics 04/17, Department of Economics, Royal Holloway University of London, revised Jul 2004.
    4. Heinemann, Maik, 2000. "Adaptive learning of rational expectations using neural networks," Journal of Economic Dynamics and Control, Elsevier, vol. 24(5-7), pages 1007-1026, June.
    5. Schonhofer, Martin, 1999. "Chaotic Learning Equilibria," Journal of Economic Theory, Elsevier, vol. 89(1), pages 1-20, November.
    6. Chen, Xiaohong & White, Halbert, 1998. "Nonparametric Adaptive Learning with Feedback," Journal of Economic Theory, Elsevier, vol. 82(1), pages 190-222, September.
    7. Damdinsuren, Erdenebulgan & Zaharieva, Anna, 2018. "Expectation Formation and Learning in the Labour Market with On-the-Job Search and Nash Bargaining," Center for Mathematical Economics Working Papers 604, Center for Mathematical Economics, Bielefeld University.
    8. Dmitri Kolyuzhnov & Anna Bogomolova, 2004. "Escape Dynamics: A Continuous Time Approximation," Econometric Society 2004 Latin American Meetings 27, Econometric Society.
    9. Jean-Michel Grandmont, 1998. "Expectations Formation and Stability of Large Socioeconomic Systems," Econometrica, Econometric Society, vol. 66(4), pages 741-782, July.
    10. Norbert Christopeit & Michael Massmann, 2015. "Estimating Structural Parameters in Regression Models with Adaptive Learning," Tinbergen Institute Discussion Papers 15-106/III, Tinbergen Institute.
    11. Bastourre, Diego, 2008. "Cambio fundamental o especulación financiera en los mercados de commodities? Un modelo con ajuste no lineal al equilibrio [Structural break or financial speculation in commodity markets? A multivar," MPRA Paper 9910, University Library of Munich, Germany.
    12. Nicolas Million, 2007. "Effet peso : présentation théorique et application à la politique monétaire," Documents de travail du Centre d'Economie de la Sorbonne v07012, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    13. Siddhartha Chattopadhyay, 2013. "Liquidity Trap and the Conditional Policy Commitment: An Analysis under Adaptive Learning," South Asian Journal of Macroeconomics and Public Finance, , vol. 2(1), pages 1-32, June.
    14. Dmitri Kolyuzhnov & Anna Bogomolova, 2004. "Escape Dynamics: A Continuous Time Approximation," Econometric Society 2004 Far Eastern Meetings 557, Econometric Society.
    15. Evans, George & Honkapohja, Seppo, 2011. "Learning as a rational foundation for macroeconomics and finance," Bank of Finland Research Discussion Papers 8/2011, Bank of Finland.
    16. Chevillon, Guillaume & Massmann, Michael & Mavroeidis, Sophocles, 2010. "Inference in models with adaptive learning," Journal of Monetary Economics, Elsevier, vol. 57(3), pages 341-351, April.
    17. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
    18. Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," Department of Economics, Working Papers 072, Departamento de Economía, Facultad de Ciencias Económicas, Universidad Nacional de La Plata.
    19. Cellarier, Laurent L., 2008. "Least squares learning and business cycles," Journal of Economic Behavior & Organization, Elsevier, vol. 68(3-4), pages 553-564, December.
    20. Honkapohja, Seppo, 1995. "Bounded rationality in macroeconomics A review essay," Journal of Monetary Economics, Elsevier, vol. 35(3), pages 509-518, June.
    21. Nicolas Million, 2007. "Effet peso : présentation théorique et application à la politique monétaire," Post-Print halshs-00144659, HAL.
    22. Roger J. Bowden, 1990. "Predictive Disequilibria and the Short Run Dynamics of Asset Prices," Australian Journal of Management, Australian School of Business, vol. 15(1), pages 65-87, June.
    23. Eliasson, Gunnar, 1990. "Business Competence, Organizational Learning and Economic Growth: Establishing the Smith-Schumpeter-Wicksell (SSW) Connection," Working Paper Series 264, Research Institute of Industrial Economics, revised Jan 1991.
    24. Eliasson, Gunnar, 2004. "Ignorant Actors in the Resource Rich World of the Knowledge Based Economy - On Rational Management in an Experimentally Organized Economy (EOE)," Ratio Working Papers 47, The Ratio Institute.
    25. Brown, Paul M., 1995. "Learning from experience, reference points, and decision costs," Journal of Economic Behavior & Organization, Elsevier, vol. 27(3), pages 381-399, August.
    26. Christophe Bisière & Charles Lai Tong & Anne Peguin-Feissolle, 1990. "Prévision bayésienne et structure par terme des taux d'intérêt," Revue Économique, Programme National Persée, vol. 41(5), pages 817-838.
    27. Georges Prat & Remzi Uctum, 2016. "Do markets learn to rationally expect US interest rates? Evidence from survey data," Working Papers hal-04141591, HAL.
    28. Alexander Mayer, 2022. "Estimation and inference in adaptive learning models with slowly decreasing gains," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(5), pages 720-749, September.
    29. Diego Bastourre, 2008. "Inversores Financieros en los Mercados de Commodities: Un Modelo con Dinámica de Ajuste no Lineal al Equilibrio," IIE, Working Papers 072, IIE, Universidad Nacional de La Plata.
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    489. Limwattananon, Supon & Neelsen, Sven & O'Donnell, Owen & Prakongsai, Phusit & Tangcharoensathien, Viroj & van Doorslaer, Eddy & Vongmongkol, Vuthiphan, 2015. "Universal coverage with supply-side reform: The impact on medical expenditure risk and utilization in Thailand," Journal of Public Economics, Elsevier, vol. 121(C), pages 79-94.

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    3. Frédérique Savignac, 2006. "The impact of financial constraints on innovation: evidence from French manufacturing firms," Post-Print halshs-00115717, HAL.
    4. James J. Heckman, 2001. "Micro Data, Heterogeneity, and the Evaluation of Public Policy: Nobel Lecture," Journal of Political Economy, University of Chicago Press, vol. 109(4), pages 673-748, August.
    5. Fortin, Bernard & Lacroix, Guy & Villeval, Marie Claire, 2004. "Tax Evasion and Social Interactions," IZA Discussion Papers 1359, Institute of Labor Economics (IZA).
    6. Van Soest, Arthur & Kooreman, Peter, 1990. "Coherency of the indirect translog demand system with binding nonnegativity constraints," Journal of Econometrics, Elsevier, vol. 44(3), pages 391-400, June.
    7. Schorfheide, Frank & Aruoba, Boragan & Cuba-Borda, Pablo & Hilga-Flores, Kenji & Villalvazo, Sergio, 2020. "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints," CEPR Discussion Papers 15388, C.E.P.R. Discussion Papers.
    8. Pesaran, M.H. & Pick, A., 2004. "Econometric Issues in the Analysis of Contagion," Cambridge Working Papers in Economics 0402, Faculty of Economics, University of Cambridge.
    9. Walter Beckert & Richard Blundell, 2004. "Invertibility of Nonparametric Stochastic Demand Functions," Birkbeck Working Papers in Economics and Finance 0406, Birkbeck, Department of Economics, Mathematics & Statistics.
    10. Schorfheide, Frank & Aruoba, Boragan & Mlikota, Marko & Villalvazo, Sergio, 2021. "SVARs With Occasionally-Binding Constraints," CEPR Discussion Papers 15923, C.E.P.R. Discussion Papers.
    11. Christian Dustmann & John Micklewright & Arthur Soest, 2009. "In-school labour supply, parental transfers, and wages," Empirical Economics, Springer, vol. 37(1), pages 201-218, September.
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    13. Bjorn, Paul A. & Vuong, Quang H., 1997. "Modèles d’équations simultanées pour variables endogènes fictives : une formulation par la théorie des jeux avec application à la participation au marché du travail," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 161-205, mars-juin.
    14. Lacroix, Guy & Radtchenko, Natalia, 2008. "The Changing Intra-Household Resource Allocation in Russia," IZA Discussion Papers 3733, Institute of Labor Economics (IZA).
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    17. Duncan, Alan S., 1991. "A microsimulation model of labour supply for UK tax reform," Discussion Papers, Series II 153, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
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    19. Bloemen, H.G. & Kapteyn, A.J., 1993. "The estimation of utility consistent labor supply models by means of simulated scores," Other publications TiSEM d6bdd830-0b82-4200-97a4-7, Tilburg University, School of Economics and Management.
    20. Hajivassiliou, V. & Savignac, F., 2008. "Financing Constraints and a Firm's Decision and Ability to Innovate: Establishing Direct and Reverse Effects," Working papers 202, Banque de France.
    21. Millimet, Daniel L. & Tchernis, Rusty, 2008. "Estimating high-dimensional demand systems in the presence of many binding non-negativity constraints," Journal of Econometrics, Elsevier, vol. 147(2), pages 384-395, December.
    22. Kunitomo, Naoto & Sato, Seisho, 1996. "Asymmetry in economic time series and the simultaneous switching autoregressive model," Structural Change and Economic Dynamics, Elsevier, vol. 7(1), pages 1-34, March.
    23. Arthur Lewbel, 2006. "Modeling Heterogeneity," Boston College Working Papers in Economics 650, Boston College Department of Economics.
    24. Kadilli, Anjeza & Krishnakumar, Jaya, 2022. "Smooth Transition Simultaneous Equation Models," Journal of Economic Dynamics and Control, Elsevier, vol. 145(C).
    25. Hewitt-Dundas, Nola & Gkypali, Areti & Roper, Stephen, 2019. "Does learning from prior collaboration help firms to overcome the ‘two-worlds’ paradox in university-business collaboration?," Research Policy, Elsevier, vol. 48(5), pages 1310-1322.
    26. Ascari, Guido & Mavroeidis, Sophocles, 2022. "The unbearable lightness of equilibria in a low interest rate environment," Journal of Monetary Economics, Elsevier, vol. 127(C), pages 1-17.
    27. Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.
    28. Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013. "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers 2013-06, Center for Research in Economics and Statistics.
    29. Danielle Carusi Machado & Carine Milcent & Jack Huguenin, 2013. "School absenteeism, work and health among Brazilian children: Full information versus limited information model," PSE-Ecole d'économie de Paris (Postprint) halshs-00943045, HAL.
    30. Alan Duncan & Mark N. Harris, 2002. "Simulating the Behavioural Effects of Welfare Reforms Among Sole Parents in Australia," The Economic Record, The Economic Society of Australia, vol. 78(242), pages 264-276, September.
    31. Ronning, Gerd, 1987. "Nachfrageanalyse für diskrete Alternativen," Discussion Papers, Series II 31, University of Konstanz, Collaborative Research Centre (SFB) 178 "Internationalization of the Economy".
    32. Magnac, Thierry, 2014. "Identification partielle: méthodes et conséquences pour les applications empiriques," TSE Working Papers 14-458, Toulouse School of Economics (TSE).
    33. Robin C. Sickles & Paul J. Taubman, 1984. "An Analysis of the Health and Retirement Status of the Elderly," NBER Working Papers 1459, National Bureau of Economic Research, Inc.
    34. Ascari, Guido & Mavroeidis, Sophocles & McClung, Nigel, 2023. "Coherence without rationality at the zero lower bound," Journal of Economic Theory, Elsevier, vol. 214(C).
    35. Shinya Sugawara & Yasuhiro Omori, 2013. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection," CIRJE F-Series CIRJE-F-882, CIRJE, Faculty of Economics, University of Tokyo.
    36. Francesca Molinari, 2020. "Microeconometrics with Partial Identi?cation," CeMMAP working papers CWP15/20, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    37. S. Bogan Aruoba & Pablo Cuba-Borda & Kenji Higa-Flores & Frank Schorfheide & Sergio Villalvazo, 2021. "Online Appendix to "Piecewise-Linear Approximations and Filtering for DSGE Models with Occasionally Binding Constraints"," Online Appendices 20-14, Review of Economic Dynamics.
    38. James A. Duffy & Sophocles Mavroeidis & Sam Wycherley, 2022. "Cointegration with Occasionally Binding Constraints," Papers 2211.09604, arXiv.org, revised Jul 2023.
    39. Andrew Chesher & Adam Rosen, 2012. "Simultaneous equations for discrete outcomes: coherence, completeness, and identification," CeMMAP working papers 21/12, Institute for Fiscal Studies.
    40. Hajivassiliou, Vassilis & Savignac, Frédérique, 2019. "Novel approaches to coherency conditions in dynamic LDV models: quantifying financing constraints and a firm's decision and ability to innovate," LSE Research Online Documents on Economics 102544, London School of Economics and Political Science, LSE Library.
    41. Maria Luisa Mancusi & Andrea Vezzulli, 2013. "R&D and Credit Rationing in SMEs," Working Papers Department of Economics 2013/12, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    42. Massacci, D., 2007. "Identification and Estimation in an Incoherent Model of Contagion," Cambridge Working Papers in Economics 0744, Faculty of Economics, University of Cambridge.
    43. Marc HENRY & Ismael MOURIFIÉ, 2013. "Nonparametric Sharp Bounds For Payoffs In 2 × 2 Games," Working Papers tecipa-500, University of Toronto, Department of Economics.
    44. James A. Duffy & Sophocles Mavroeidis, 2024. "Common Trends and Long-Run Identification in Nonlinear Structural VARs," Papers 2404.05349, arXiv.org, revised Sep 2024.
    45. van Soest, A.H.O. & Kooreman, P. & Kapteyn, A.J., 1990. "Coherency and regularity of demand systems with equality and inequality constraints," Discussion Paper 1990-1, Tilburg University, Center for Economic Research.
    46. Arthur Lewbel, 2007. "Coherency And Completeness Of Structural Models Containing A Dummy Endogenous Variable," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 48(4), pages 1379-1392, November.
    47. Shinya Sugawara & Yasuhiro Omori, 2012. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems," CIRJE F-Series CIRJE-F-849, CIRJE, Faculty of Economics, University of Tokyo.
    48. Francesca Molinari, 2019. "Econometrics with Partial Identification," CeMMAP working papers CWP25/19, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    49. Victoria Prowse, 2009. "Estimating labour supply elasticities under rationing: a structural model of time allocation behaviour," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 42(1), pages 90-112, February.
    50. Catalina Martinez & Pluvia Zuniga, 2017. "Contracting for technology transfer: patent licensing and know-how in Brazil," Industry and Innovation, Taylor & Francis Journals, vol. 24(6), pages 659-689, August.
    51. Bousquet, Alain & Ivaldi, Marc, 1998. "An individual choice model of energy mix," Resource and Energy Economics, Elsevier, vol. 20(3), pages 263-286, September.
    52. Victoria Prowse, 2004. "Estimating Time Demand Elasticities Under Rationing," Economics Papers 2004-W22, Economics Group, Nuffield College, University of Oxford.
    53. James J. Heckman, 2005. "Micro Data, Heterogeneity and the Evaluation of Public Policy Part 2," The American Economist, Sage Publications, vol. 49(1), pages 16-44, March.
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    56. Hajivassiliou, Vassilis & Savignac, Frédérique, 2024. "Simultaneously incomplete and incoherent (SII) dynamic LDV models: with an application to financing constraints and firms’ decision to innovate," LSE Research Online Documents on Economics 119379, London School of Economics and Political Science, LSE Library.
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Articles

  1. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.

    Cited by:

    1. Hecq, Alain & Voisin, Elisa, 2021. "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
    2. Gourieroux, Christian & Jasiak, Joann, 2019. "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
    3. Alain Hecq & Daniel Velasquez-Gaviria, 2022. "Spectral estimation for mixed causal-noncausal autoregressive models," Papers 2211.13830, arXiv.org.
    4. Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers 2306.14653, arXiv.org, revised Jan 2024.
    5. Alain Hecq & Joao Issler & Elisa Voisin, 2022. "A short term credibility index for central banks under inflation targeting: an application to Brazil," Papers 2205.00924, arXiv.org, revised Jul 2022.
    6. Alain Hecq & Sean Telg & Lenard Lieb, 2017. "Do Seasonal Adjustments Induce Noncausal Dynamics in Inflation Rates?," Econometrics, MDPI, vol. 5(4), pages 1-22, October.

  2. Gourieroux, Christian & Jasiak, Joann, 2017. "Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation," Journal of Econometrics, Elsevier, vol. 200(1), pages 118-134.

    Cited by:

    1. Gianluca Cubadda & Alain Hecq & Sean Telg, 2018. "Detecting Co-Movements in Noncausal Time Series," CEIS Research Paper 430, Tor Vergata University, CEIS, revised 23 Apr 2018.
    2. Gianluca Cubadda & Alain Hecq & Elisa Voisin, 2023. "Detecting Common Bubbles in Multivariate Mixed Causal-noncausal Models," CEIS Research Paper 555, Tor Vergata University, CEIS, revised 27 Feb 2023.
    3. Gourieroux, Christian & Lu, Yang, 2019. "Least impulse response estimator for stress test exercises," Journal of Banking & Finance, Elsevier, vol. 103(C), pages 62-77.
    4. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
    5. Bernd Funovits, 2020. "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers 2002.04346, arXiv.org, revised Feb 2021.
    6. Gabriele Mingoli, 2024. "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers 24-072/III, Tinbergen Institute.
    7. Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers 2306.14653, arXiv.org, revised Jan 2024.
    8. Anders Rygh Swensen, 2022. "On causal and non‐causal cointegrated vector autoregressive time series," Journal of Time Series Analysis, Wiley Blackwell, vol. 43(2), pages 178-196, March.
    9. Christian Gourieroux & Joann Jasiak, 2021. "Generalized Covariance Estimator," Papers 2107.06979, arXiv.org.
    10. Ye Chen & Jian Li & Qiyuan Li, 2023. "Seemingly Unrelated Regression Estimation for VAR Models with Explosive Roots," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 85(4), pages 910-937, August.
    11. Hall, Mauri K. & Jasiak, Joann, 2024. "Modelling common bubbles in cryptocurrency prices," Economic Modelling, Elsevier, vol. 139(C).
    12. Kramkov, Viacheslav & Maksimov, Andrey, 2020. "Loan market markups and noncausal autoregressions," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 60, pages 48-69.

  3. Gouriéroux, Christian & Monfort, Alain & Renne, Jean-Paul, 2017. "Statistical inference for independent component analysis: Application to structural VAR models," Journal of Econometrics, Elsevier, vol. 196(1), pages 111-126.
    See citations under working paper version above.
  4. Gagliardini, Patrick & Gouriéroux, Christian, 2017. "Double instrumental variable estimation of interaction models with big data," Journal of Econometrics, Elsevier, vol. 201(2), pages 176-197.

    Cited by:

    1. Alain-Philippe Fortin & Patrick Gagliardini & Olivier Scaillet, 2022. "Eigenvalue tests for the number of latent factors in short panels," Papers 2210.16042, arXiv.org.
    2. Beyhum, Jad & Gautier, Eric, 2021. "Factor and factor loading augmented estimators for panel regression," TSE Working Papers 21-1219, Toulouse School of Economics (TSE).

  5. Christian Gouriéroux & Alain Monfort & Eric Renault, 2017. "Consistent Pseudo-Maximum Likelihood Estimators," Annals of Economics and Statistics, GENES, issue 125-126, pages 187-218.
    See citations under working paper version above.
  6. Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017. "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, vol. 256(2), pages 203-219, September.

    Cited by:

    1. Eddy Ella-Mintsa, 2024. "Nonparametric estimation of the diffusion coefficient from i.i.d. S.D.E. paths," Statistical Inference for Stochastic Processes, Springer, vol. 27(3), pages 585-640, October.

  7. Christian Gouriéroux & Jean-Michel Zakoïan, 2017. "Local explosion modelling by non-causal process," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 79(3), pages 737-756, June.
    See citations under working paper version above.
  8. Christian Gourieroux & Joann Jasiak, 2016. "Filtering, Prediction and Simulation Methods for Noncausal Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 37(3), pages 405-430, May.

    Cited by:

    1. Francisco Blasques & Siem Jan Koopman & Gabriele Mingoli, 2023. "Observation-Driven filters for Time- Series with Stochastic Trends and Mixed Causal Non-Causal Dynamics," Tinbergen Institute Discussion Papers 23-065/III, Tinbergen Institute, revised 01 Mar 2024.
    2. Hecq, Alain & Voisin, Elisa, 2021. "Forecasting bubbles with mixed causal-noncausal autoregressive models," Econometrics and Statistics, Elsevier, vol. 20(C), pages 29-45.
    3. Blasques, Francisco & Koopman, Siem Jan & Nientker, Marc, 2022. "A time-varying parameter model for local explosions," Journal of Econometrics, Elsevier, vol. 227(1), pages 65-84.
    4. Frédérique Bec & Heino Bohn Nielsen & Sarra Saïdi, 2020. "Mixed Causal–Noncausal Autoregressions: Bimodality Issues in Estimation and Unit Root Testing," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 82(6), pages 1413-1428, December.
    5. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
    6. Alain Hecq & Elisa Voisin, 2023. "Predicting Crashes in Oil Prices During The Covid-19 Pandemic with Mixed Causal-Noncausal Models," Advances in Econometrics, in: Essays in Honor of Joon Y. Park: Econometric Methodology in Empirical Applications, volume 45, pages 209-233, Emerald Group Publishing Limited.
    7. Blasques, Francisco & Nientker, Marc, 2023. "Stochastic properties of nonlinear locally-nonstationary filters," Journal of Econometrics, Elsevier, vol. 235(2), pages 2082-2095.
    8. Francesco Giancaterini & Alain Hecq & Claudio Morana, 2022. "Is climate change time reversible?," Working Paper series 22-08, Rimini Centre for Economic Analysis, revised Dec 2022.
    9. F. Blasques & S.J. Koopman & G. Mingoli & S. Telg, 2024. "A Novel Test for the Presence of Local Explosive Dynamics," Tinbergen Institute Discussion Papers 24-036/III, Tinbergen Institute.
    10. Gabriele Mingoli, 2024. "Modeling Common Bubbles: A Mixed Causal Non-Causal Dynamic Factor Model," Tinbergen Institute Discussion Papers 24-072/III, Tinbergen Institute.
    11. Gianluca Cubadda & Francesco Giancaterini & Alain Hecq & Joann Jasiak, 2023. "Optimization of the Generalized Covariance Estimator in Noncausal Processes," Papers 2306.14653, arXiv.org, revised Jan 2024.
    12. Christian Gourieroux & Andrew Hencic & Joann Jasiak, 2021. "Forecast performance and bubble analysis in noncausal MAR(1, 1) processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 301-326, March.
    13. Fries, Sébastien, 2018. "Conditional moments of noncausal alpha-stable processes and the prediction of bubble crash odds," MPRA Paper 97353, University Library of Munich, Germany, revised Nov 2019.
    14. Christian Gourieroux & Joann Jasiak & Michelle Tong, 2021. "Convolution‐based filtering and forecasting: An application to WTI crude oil prices," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(7), pages 1230-1244, November.
    15. Fries, Sébastien & Zakoian, Jean-Michel, 2017. "Mixed Causal-Noncausal AR Processes and the Modelling of Explosive Bubbles," MPRA Paper 81345, University Library of Munich, Germany.
    16. Alain Hecq & Joao Issler & Elisa Voisin, 2022. "A short term credibility index for central banks under inflation targeting: an application to Brazil," Papers 2205.00924, arXiv.org, revised Jul 2022.
    17. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
    18. Jean-Baptiste MICHAU, 2019. "Helicopter Drops of Money under Secular Stagnation," Working Papers 2019-10, Center for Research in Economics and Statistics.
    19. Hecq, Alain & Issler, João Victor & Telg, Sean, 2017. "Mixed Causal-Noncausal Autoregressions with Strictly Exogenous Regressors," MPRA Paper 80767, University Library of Munich, Germany.
    20. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
    21. Giusto Andrea & İşcan Talan B., 2018. "The Rescaled VAR Model with an Application to Mixed-Frequency Macroeconomic Forecasting," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 22(4), pages 1-16, September.
    22. Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
    23. Xuanling Yang & Dong Li & Ting Zhang, 2024. "A simple stochastic nonlinear AR model with application to bubble," Papers 2401.07038, arXiv.org.
    24. Hall, Mauri K. & Jasiak, Joann, 2024. "Modelling common bubbles in cryptocurrency prices," Economic Modelling, Elsevier, vol. 139(C).

  9. Christian Gourieroux & Joann Jasiak & Peng Xu, 2016. "The Tradability Premium on the S&P 500 Index," Journal of Financial Econometrics, Oxford University Press, vol. 14(3), pages 461-495.

    Cited by:

    1. Mundel, Juan & Huddleston, Patricia & Vodermeier, Michael, 2017. "An exploratory study of consumers’ perceptions: What are affordable luxuries?," Journal of Retailing and Consumer Services, Elsevier, vol. 35(C), pages 68-75.

  10. Gourieroux, Christian & Lu, Yang, 2015. "Love and death: A Freund model with frailty," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 191-203.
    See citations under working paper version above.
  11. Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.

    Cited by:

    1. Yang Lu, 2020. "A simple parameter‐driven binary time series model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 187-199, March.
    2. Chia-Lin Chang & Michael McAleer, 2014. "Econometric Analysis of Financial Derivatives: An Overview," Working Papers in Economics 14/29, University of Canterbury, Department of Economics and Finance.
    3. Chang, C-L. & McAleer, M.J., 2014. "Econometric Analysis of Financial Derivatives," Econometric Institute Research Papers EI 2015-02, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute.

  12. Christian Gouriéroux & Jean-Michel Zakoïan, 2015. "On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 36(6), pages 876-887, November.
    See citations under working paper version above.
  13. Gagliardini, Patrick & Gourieroux, Christian, 2014. "Efficiency In Large Dynamic Panel Models With Common Factors," Econometric Theory, Cambridge University Press, vol. 30(5), pages 961-1020, October.
    See citations under working paper version above.
  14. Christian Gourieroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2014. "Regime Switching and Bond Pricing," Journal of Financial Econometrics, Oxford University Press, vol. 12(2), pages 237-277.
    See citations under working paper version above.
  15. Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014. "Pricing default events: Surprise, exogeneity and contagion," Journal of Econometrics, Elsevier, vol. 182(2), pages 397-411.
    See citations under working paper version above.
  16. Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.

    Cited by:

    1. Moreno, Manuel & Novales, Alfonso & Platania, Federico, 2018. "A term structure model under cyclical fluctuations in interest rates," Economic Modelling, Elsevier, vol. 72(C), pages 140-150.
    2. Damir Filipović & Sander Willems, 2016. "Exact Smooth Term Structure Estimation," Swiss Finance Institute Research Paper Series 16-38, Swiss Finance Institute.

  17. Gourieroux, C. & Heam, J.C. & Monfort, A., 2013. "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5261-5274.
    See citations under working paper version above.
  18. Christian Gouriéroux & Alain Monfort, 2013. "Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model," Annals of Economics and Statistics, GENES, issue 109-110, pages 25-61.

    Cited by:

    1. Nikolai Dokuchaev, 2017. "A pathwise inference method for the parameters of diffusion terms," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 29(4), pages 731-743, October.

  19. Gagliardini, Patrick & Gouriéroux, Christian, 2013. "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, vol. 37(11), pages 2241-2269.
    See citations under working paper version above.
  20. C. Gourieroux & A. Monfort, 2013. "Allocating Systemic Risk In A Regulatory Perspective," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 16(07), pages 1-20.

    Cited by:

    1. Jan Dhaene & Roger J. A. Laeven & Yiying Zhang, 2019. "Systemic Risk: Conditional Distortion Risk Measures," Papers 1901.04689, arXiv.org, revised Jan 2019.
    2. Benoit, Sylvain, 2024. "Smart systemic-risk scores," Journal of International Money and Finance, Elsevier, vol. 140(C).
    3. Takaaki Koike & Marius Hofert, 2019. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Papers 1909.11794, arXiv.org, revised May 2020.
    4. Oliver Kley & Claudia Kluppelberg & Sandra Paterlini, 2019. "Modelling Extremal Dependence for Operational Risk by a Bipartite Graph," Papers 1902.03041, arXiv.org.
    5. João A. Bastos & Fernando Cascão, 2024. "Nonparametric determinants of market Liquidity," Working Papers REM 2024/0332, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    6. Takaaki Koike & Marius Hofert, 2020. "Markov Chain Monte Carlo Methods for Estimating Systemic Risk Allocations," Risks, MDPI, vol. 8(1), pages 1-33, January.

  21. Gourieroux, Christian & Zakoïan, Jean-Michel, 2013. "Estimation-Adjusted Var," Econometric Theory, Cambridge University Press, vol. 29(4), pages 735-770, August.
    See citations under working paper version above.
  22. C. Gouriéroux & J.-C. Héam & A. Monfort, 2012. "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics, Canadian Economics Association, vol. 45(4), pages 1273-1309, November.
    See citations under working paper version above.
  23. Gourieroux, C. & Jasiak, J., 2012. "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1464-1477.

    Cited by:

    1. Michael B. Gordy & James Marrone, 2010. "Granularity adjustment for mark-to-market credit risk models," Finance and Economics Discussion Series 2010-37, Board of Governors of the Federal Reserve System (U.S.).

  24. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.

    Cited by:

    1. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    2. Alfonsi, Aurélien & Kebaier, Ahmed & Rey, Clément, 2016. "Maximum likelihood estimation for Wishart processes," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3243-3282.
    3. Kwai S. Leung & Hon Y. Ng & Hoi Y. Wong, 2014. "Stochastic Skew in the Interest Rate Cap Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(12), pages 1146-1169, December.
    4. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    5. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    6. Takamizawa, Hideyuki & 高見澤, 秀幸, 2015. "Impact of No-arbitrage on Interest Rate Dynamics," Working Paper Series G-1-5, Hitotsubashi University Center for Financial Research.
    7. Monfort, A. & Renne, J.-P. & Roussellet, G., 2014. "A Quadratic Kalman Filter," Working papers 486, Banque de France.
    8. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    9. Dubecq, Simon & Monfort, Alain & Renne, Jean-Paul & Roussellet, Guillaume, 2016. "Credit and liquidity in interbank rates: A quadratic approach," Journal of Banking & Finance, Elsevier, vol. 68(C), pages 29-46.

  25. Patrick Gagliardini & Christian Gouriéroux, 2011. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Journal of Financial Econometrics, Oxford University Press, vol. 9(2), pages 237-280, Spring.
    See citations under working paper version above.
  26. P. Gagliardini & C. Gourieroux & E. Renault, 2011. "Efficient Derivative Pricing by the Extended Method of Moments," Econometrica, Econometric Society, vol. 79(4), pages 1181-1232, July.
    See citations under working paper version above.
  27. Gourieroux, Christian & Sufana, Razvan, 2010. "Derivative Pricing With Wishart Multivariate Stochastic Volatility," Journal of Business & Economic Statistics, American Statistical Association, vol. 28(3), pages 438-451.

    Cited by:

    1. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    2. Martin Friesen & Sven Karbach, 2024. "Stationary covariance regime for affine stochastic covariance models in Hilbert spaces," Finance and Stochastics, Springer, vol. 28(4), pages 1077-1116, October.
    3. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
    4. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
    5. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars & VIOLANTE, Francesco, 2012. "The value of multivariate model sophistication: an application to pricing Dow Jones Industrial Average options," LIDAM Discussion Papers CORE 2012003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    6. Sourav Majumdar & Arnab Kumar Laha, 2024. "Diffusion on the circle and a stochastic correlation model," Papers 2412.06343, arXiv.org.
    7. Da Fonseca, José & Gnoatto, Alessandro & Grasselli, Martino, 2013. "A flexible matrix Libor model with smiles," Journal of Economic Dynamics and Control, Elsevier, vol. 37(4), pages 774-793.
    8. Mayerhofer, Eberhard & Pfaffel, Oliver & Stelzer, Robert, 2011. "On strong solutions for positive definite jump diffusions," Stochastic Processes and their Applications, Elsevier, vol. 121(9), pages 2072-2086, September.
    9. Gaetano Bua & Daniele Marazzina, 2021. "On the application of Wishart process to the pricing of equity derivatives: the multi-asset case," Computational Management Science, Springer, vol. 18(2), pages 149-176, June.
    10. Da Fonseca, José, 2016. "On moment non-explosions for Wishart-based stochastic volatility models," European Journal of Operational Research, Elsevier, vol. 254(3), pages 889-894.
    11. R. Sufana, 2013. "Leverage effects in a multiasset framework," Applied Financial Economics, Taylor & Francis Journals, vol. 23(9), pages 783-787, May.
    12. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2015. "Commodity derivatives pricing with cointegration and stochastic covariances," European Journal of Operational Research, Elsevier, vol. 246(2), pages 476-486.
    13. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
    14. Branger, Nicole & Muck, Matthias, 2012. "Keep on smiling? The pricing of Quanto options when all covariances are stochastic," Journal of Banking & Finance, Elsevier, vol. 36(6), pages 1577-1591.
    15. Alfonsi, Aurélien & Kebaier, Ahmed & Rey, Clément, 2016. "Maximum likelihood estimation for Wishart processes," Stochastic Processes and their Applications, Elsevier, vol. 126(11), pages 3243-3282.
    16. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
    17. Mayerhofer, Eberhard & Stelzer, Robert & Vestweber, Johanna, 2020. "Geometric ergodicity of affine processes on cones," Stochastic Processes and their Applications, Elsevier, vol. 130(7), pages 4141-4173.
    18. Sven Karbach, 2024. "Heat modulated affine stochastic volatility models for forward curve dynamics," Papers 2409.13070, arXiv.org.
    19. William A. Barnett & Fredj Jawadi & Zied Ftiti, 2020. "Causal Relationships Between Inflation and Inflation Uncertainty," WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS 202010, University of Kansas, Department of Economics, revised Jul 2020.
    20. Chulmin Kang & Wanmo Kang, 2013. "Exact Simulation of Wishart Multidimensional Stochastic Volatility Model," Papers 1309.0557, arXiv.org.
    21. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    22. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
    23. Chiarella, Carl & Da Fonseca, José & Grasselli, Martino, 2014. "Pricing range notes within Wishart affine models," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 193-203.
    24. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    25. Song, Jian & Yao, Jianfeng & Yuan, Wangjun, 2022. "Recent advances on eigenvalues of matrix-valued stochastic processes," Journal of Multivariate Analysis, Elsevier, vol. 188(C).
    26. Chulmin Kang & Wanmo Kang & Jong Mun Lee, 2017. "Exact Simulation of the Wishart Multidimensional Stochastic Volatility Model," Operations Research, INFORMS, vol. 65(5), pages 1190-1206, October.
    27. Ovidiu Costin & Michael B. Gordy & Min Huang & Pawel J. Szerszen, 2016. "Expectations Of Functions Of Stochastic Time With Application To Credit Risk Modeling," Mathematical Finance, Wiley Blackwell, vol. 26(4), pages 748-784, October.
    28. Da Fonseca, José, 2024. "Pricing guaranteed annuity options in a linear-rational Wishart mortality model," Insurance: Mathematics and Economics, Elsevier, vol. 115(C), pages 122-131.
    29. Sonja Cox & Sven Karbach & Asma Khedher, 2022. "An infinite‐dimensional affine stochastic volatility model," Mathematical Finance, Wiley Blackwell, vol. 32(3), pages 878-906, July.
    30. Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
    31. Deelstra, Griselda & Grasselli, Martino & Van Weverberg, Christopher, 2016. "The role of the dependence between mortality and interest rates when pricing Guaranteed Annuity Options," Insurance: Mathematics and Economics, Elsevier, vol. 71(C), pages 205-219.
    32. Aur'elien Alfonsi & David Krief & Peter Tankov, 2018. "Long-time large deviations for the multi-asset Wishart stochastic volatility model and option pricing," Papers 1806.06883, arXiv.org.
    33. Laurini, Márcio Poletti & Hotta, Luiz Koodi, 2013. "Indirect Inference in fractional short-term interest rate diffusions," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 94(C), pages 109-126.
    34. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    35. Elena Hadjicosta & Donald Richards, 2020. "Integral transform methods in goodness-of-fit testing, II: the Wishart distributions," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 72(6), pages 1317-1370, December.
    36. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
    37. Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147, Edward Elgar Publishing.

  28. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    See citations under working paper version above.
  29. Patrick Gagliardini & Christian Gouriéroux & Alain Monfort, 2010. "Microinformation, Nonlinear Filtering, and Granularity," Journal of Financial Econometrics, Oxford University Press, vol. 10(1), pages 1-53, 2012 10 1.
    See citations under working paper version above.
  30. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Brandouy, Olivier & Briec, Walter & Kerstens, Kristiaan, 2008. "Portfolio performance gauging in discrete time using a Luenberger productivity indicator," Working Papers 2008/60, Hogeschool-Universiteit Brussel, Faculteit Economie en Management.
    3. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    4. K. Kerstens, 2010. "Non-Parametric Frontier Estimates of Mutual Fund Performance Using C- and L-Moments : Some Specification Tests," Post-Print halshs-00777288, HAL.
    5. Antonio Díaz & Carlos Esparcia, 2021. "Dynamic optimal portfolio choice under time-varying risk aversion," International Economics, CEPII research center, issue 166, pages 1-22.
    6. Giannikis, Dimitrios & Vrontos, Ioannis D., 2011. "A Bayesian approach to detecting nonlinear risk exposures in hedge fund strategies," Journal of Banking & Finance, Elsevier, vol. 35(6), pages 1399-1414, June.
    7. Kristiaan Kerstens & Paolo Mazza & Tiantian Ren & Ignace Van de Woestyne, 2021. "Multi-Time and Multi-Moment Nonparametric Frontier-Based Fund Rating: Proposal and Buy-and-Hold Backtesting Strategy," Working Papers 2021-EQM-03, IESEG School of Management.
    8. Bussière, Matthieu & Hoerova, Marie & Klaus, Benjamin, 2015. "Commonality in hedge fund returns: Driving factors and implications," Journal of Banking & Finance, Elsevier, vol. 54(C), pages 266-280.
    9. Schuhmacher, Frank & Eling, Martin, 2012. "A decision-theoretic foundation for reward-to-risk performance measures," Journal of Banking & Finance, Elsevier, vol. 36(7), pages 2077-2082.
    10. Schuhmacher, Frank & Eling, Martin, 2011. "Sufficient conditions for expected utility to imply drawdown-based performance rankings," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2311-2318, September.
    11. Guo, Biao & Xiao, Yugu, 2016. "A note on why doesn't the choice of performance measure matter?," Finance Research Letters, Elsevier, vol. 16(C), pages 248-254.
    12. Alfred Mbairadjim Moussa & Jules Sadefo Kamdem & Michel Terraza, 2012. "Fuzzy risk adjusted performance measures: application to Hedge funds," Working Papers 12-24, LAMETA, Universtiy of Montpellier, revised Sep 2012.
    13. Angelidis, Timotheos & Tessaromatis, Nikolaos, 2010. "The efficiency of Greek public pension fund portfolios," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2158-2167, September.
    14. Ozdemir, Huseyin & Ozdemir, Zeynel Abidin, 2021. "A Survey of Hedge and Safe Havens Assets against G-7 Stock Markets before and during the COVID-19 Pandemic," IZA Discussion Papers 14888, Institute of Labor Economics (IZA).
    15. Davide Venturelli & Alexei Kondratyev, 2018. "Reverse Quantum Annealing Approach to Portfolio Optimization Problems," Papers 1810.08584, arXiv.org, revised Oct 2018.
    16. Badrinath, S.G. & Gubellini, S., 2011. "On the characteristics and performance of long-short, market-neutral and bear mutual funds," Journal of Banking & Finance, Elsevier, vol. 35(7), pages 1762-1776, July.

  31. Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun, 2010. "Indirect inference for dynamic panel models," Journal of Econometrics, Elsevier, vol. 157(1), pages 68-77, July.
    See citations under working paper version above.
  32. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
    See citations under working paper version above.
  33. Darolles, Serge & Gourieroux, Christian & Jasiak, Joann, 2009. "L-performance with an application to hedge funds," Journal of Empirical Finance, Elsevier, vol. 16(4), pages 671-685, September.

    Cited by:

    1. Massimiliano Caporin & Michele Costola & Gregory Mathieu Jannin & Bertrand Maillet, 2016. "On the (Ab)Use of Omega?," Working Papers hal-01697640, HAL.
    2. Monica Billio & Bertrand Maillet & Loriana Pelizzon, 2022. "A meta-measure of performance related to both investors and investments characteristics," Annals of Operations Research, Springer, vol. 313(2), pages 1405-1447, June.
    3. Massimiliano Caporin & Grégory M. Jannin & Francesco Lisi & Bertrand Maillet, 2014. "A Survey on the Four Families of Performance Measures," Post-Print hal-01243416, HAL.
    4. Carole Bernard & Massimiliano Caporin & Bertrand Maillet & Xiang Zhang, 2023. "Omega Compatibility: A Meta-analysis," Computational Economics, Springer;Society for Computational Economics, vol. 62(2), pages 493-526, August.
    5. Kim, Woo Chang & Fabozzi, Frank J. & Cheridito, Patrick & Fox, Charles, 2014. "Controlling portfolio skewness and kurtosis without directly optimizing third and fourth moments," Economics Letters, Elsevier, vol. 122(2), pages 154-158.
    6. Jules Sadefo-Kamdem & Zoulkiflou Moumouni, 2020. "Comparison of Some Static Hedging Models of Agricultural Commodities Price Uncertainty," Post-Print hal-02920323, HAL.
    7. López-Díaz, Miguel & Sordo, Miguel A. & Suárez-Llorens, Alfonso, 2012. "On the Lp-metric between a probability distribution and its distortion," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 257-264.
    8. Hachmi Ben Ameur & Fredj Jawadi & Abdoulkarim Idi Cheffou & Wael Louhichi, 2018. "Measurement errors in stock markets," Annals of Operations Research, Springer, vol. 262(2), pages 287-306, March.
    9. Philippe Bernard & Najat El Mekkaoui de Freitas & Bertrand Maillet, 2022. "A Financial Fraud Detection Indicator for Investors: An IDeA," Post-Print hal-02312401, HAL.
    10. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
    11. Anna E. Olkova, 2017. "Mutual Funds Performance Assessment Techniques: Comparative Analysis," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 85-95, June.
    12. Andrea Bastianin, 2020. "Robust measures of skewness and kurtosis for macroeconomic and financial time series," Applied Economics, Taylor & Francis Journals, vol. 52(7), pages 637-670, February.
    13. Zoulkiflou Moumouni & Jules Sadefo-Kamdem, 2019. "New models of commodity risk hedging according to the behavior of economic decision-makers or Rollover Strategies," Working Papers hal-02417459, HAL.
    14. Bertrand B. Maillet & Jean-Philippe R. M�decin, 2010. "Extreme Volatilities, Financial Crises and L-moment Estimations of Tail-indexes," Working Papers 2010_10, Department of Economics, University of Venice "Ca' Foscari".
    15. Serge Darolles & Christian Gouriéroux, 2013. "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers 2013-22, Center for Research in Economics and Statistics.

  34. Gouriéroux, Christian & Laferrère, Anne, 2009. "Managing hedonic housing price indexes: The French experience," Journal of Housing Economics, Elsevier, vol. 18(3), pages 206-213, September.

    Cited by:

    1. Gabriel Loumeau & Antonio Russo, 2022. "Second-Hand Gentrification: Theory and Evidence from High-Speed Rail Extensions," CESifo Working Paper Series 9992, CESifo.
    2. Davor Kunovac & Enes Đozović & Gorana Lukinić & Andreja Pufnik, 2008. "Use of the Hedonic Method to Calculate an Index of Real Estate Prices in Croatia," Working Papers 19, The Croatian National Bank, Croatia.
    3. Hill, Robert J. & Melser, Daniel & Syed, Iqbal, 2009. "Measuring a boom and bust: The Sydney housing market 2001-2006," Journal of Housing Economics, Elsevier, vol. 18(3), pages 193-205, September.
    4. Guillaume Chapelle & Jean Benoît Eyméoud, 2022. "Can big data increase our knowledge of local rental markets? A dataset on the rental sector in France," Post-Print hal-03592434, HAL.
    5. Liao, Wen-Chi & Wang, Xizhu, 2012. "Hedonic house prices and spatial quantile regression," Journal of Housing Economics, Elsevier, vol. 21(1), pages 16-27.
    6. Bocart, Fabian Y. R. P. & Hafner, Christian M., 2012. "Volatility of price indices for heterogeneous goods," SFB 649 Discussion Papers 2012-039, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    7. Ferrara, L. & Vigna, O., 2009. "Cyclical relationships between GDP and housing market in France: Facts and factors at play," Working papers 268, Banque de France.
    8. Mundaca, Fernando & Sánchez, Elmer, 2018. "Índice de precios de inmuebles: Un enfoque hedónico," Revista Estudios Económicos, Banco Central de Reserva del Perú, issue 36, pages 55-74.
    9. Rosés, Joan R., 2012. "Housing markets during the rural-urban transition : evidence from early 20th century Spain," IFCS - Working Papers in Economic History.WH wp12-10, Universidad Carlos III de Madrid. Instituto Figuerola.
    10. Jing Wu & Yongheng Deng & Hongyu Liu, 2014. "House Price Index Construction in the Nascent Housing Market: The Case of China," The Journal of Real Estate Finance and Economics, Springer, vol. 48(3), pages 522-545, April.

  35. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    See citations under working paper version above.
  36. Gourieroux, C. & Jasiak, J., 2008. "Dynamic quantile models," Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
    See citations under working paper version above.
  37. P. Gagliardini & C. Gourieroux, 2008. "Duration time‐series models with proportional hazard," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(1), pages 74-124, January.
    See citations under working paper version above.
  38. 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.
    See citations under working paper version above.
  39. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.

    Cited by:

    1. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
    2. Javier Mencía, 2009. "Assessing the risk-return trade-off in loans portfolios," Working Papers 0911, Banco de España.
    3. Jeroen V.K. Rombouts & Lars Stentoft, 2009. "Bayesian Option Pricing Using Mixed Normal Heteroskedasticity Models," CREATES Research Papers 2009-07, Department of Economics and Business Economics, Aarhus University.
    4. Monfort, A., 2009. "Optimal Portfolio Allocation under Asset and Surplus VaR Constraints," Working papers 251, Banque de France.
    5. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    6. Peter Christoffersen & Redouane Elkamhi & Bruno Feunou & Kris Jacobs, 2009. "Option Valuation with Conditional Heteroskedasticity and Non-Normality," CIRANO Working Papers 2009s-32, CIRANO.
    7. ROMBOUTS, Jeroen V. K. & STENTOFT, Lars, 2010. "Option pricing with asymmetric heteroskedastic normal mixture models," LIDAM Discussion Papers CORE 2010049, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    8. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
    9. Fengler, Matthias & Melnikov, Alexander, 2017. "GARCH option pricing models with Meixner innovations," Economics Working Paper Series 1702, University of St. Gallen, School of Economics and Political Science.
    10. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    11. Christophe Chorro & Dominique Guegan & Florian Ielpo, 2008. "Option Pricing under GARCH models with Generalized Hyperbolic innovations (I) : Methodology," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00281585, HAL.
    12. Bertholon, H. & Monfort, A. & Pegoraro, F., 2007. "Pricing and Inference with Mixtures of Conditionally Normal Processes," Working papers 188, Banque de France.
    13. Alain Monfort & Fulvio Pegoraro, 2006. "Multi-Lag Term Structure Models with Stochastic Risk Premia," Working Papers 2006-29, Center for Research in Economics and Statistics.
    14. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    15. M. Martin Boyer & Lars Stentoft, 2012. "If we can simulate it, we can insure it: An application to longevity risk management," CIRANO Working Papers 2012s-08, CIRANO.
    16. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    17. Lars Stentoft, 2011. "What we can learn from pricing 139,879 Individual Stock Options," CREATES Research Papers 2011-52, Department of Economics and Business Economics, Aarhus University.
    18. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
    19. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    20. Alexandru Badescu & Robert J. Elliott & Juan-Pablo Ortega, 2012. "Quadratic hedging schemes for non-Gaussian GARCH models," Papers 1209.5976, arXiv.org, revised Dec 2013.
    21. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
    22. Jean-Guy Simonato & Lars Stentoft, 2015. "Which pricing approach for options under GARCH with non-normal innovations?," CREATES Research Papers 2015-32, Department of Economics and Business Economics, Aarhus University.
    23. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
    24. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
    25. Andreou, Panayiotis C. & Kagkadis, Anastasios & Philip, Dennis & Taamouti, Abderrahim, 2019. "The information content of forward moments," Journal of Banking & Finance, Elsevier, vol. 106(C), pages 527-541.
    26. Charles S. Tapiero, 2015. "A financial CCAPM and economic inequalities," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 521-534, March.
    27. Badescu, Alex & Elliott, Robert J. & Siu, Tak Kuen, 2009. "Esscher transforms and consumption-based models," Insurance: Mathematics and Economics, Elsevier, vol. 45(3), pages 337-347, December.
    28. Francesca Lilla, 2021. "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers) 1336, Bank of Italy, Economic Research and International Relations Area.
    29. Lars Stentoft, 2013. "American option pricing using simulation with an application to the GARCH model," Chapters, in: Adrian R. Bell & Chris Brooks & Marcel Prokopczuk (ed.), Handbook of Research Methods and Applications in Empirical Finance, chapter 5, pages 114-147, Edward Elgar Publishing.
    30. Gomes, Pedro & Taamouti, Abderrahim, 2016. "In search of the determinants of European asset market comovements," International Review of Economics & Finance, Elsevier, vol. 44(C), pages 103-117.
    31. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  40. 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.

    Cited by:

    1. Brendan K. Beare, 2010. "Copulas and Temporal Dependence," Econometrica, Econometric Society, vol. 78(1), pages 395-410, January.
    2. Ariel M. Viale & David A. Bessler & James W. Kolari, 2014. "On the structure of financial contagion: Econometric tests and Mercosur evidence," Journal of Applied Economics, Universidad del CEMA, vol. 17, pages 373-400, November.
    3. Gagliardini, Patrick & Scaillet, Olivier, 2012. "Tikhonov regularization for nonparametric instrumental variable estimators," Journal of Econometrics, Elsevier, vol. 167(1), pages 61-75.
    4. Hernández-Lobato, José Miguel & Suárez, Alberto, 2011. "Semiparametric bivariate Archimedean copulas," Computational Statistics & Data Analysis, Elsevier, vol. 55(6), pages 2038-2058, June.
    5. Yanqin Fan & Xiaohong Chen, 2004. "Estimation of Copula-Based Semiparametric Time Series Models," Econometric Society 2004 Far Eastern Meetings 559, Econometric Society.
    6. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.

  41. C. Gourieroux, 2007. "Positivity Conditions for a Bivariate Autoregressive Volatility Specification," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 624-636, Fall.

    Cited by:

    1. Karanasos, Menelaos & Xu, Yongdeng & Yfanti, Stavroula, 2017. "Constrained QML Estimation for Multivariate Asymmetric MEM with Spillovers: The Practicality of Matrix Inequalities," Cardiff Economics Working Papers E2017/14, Cardiff University, Cardiff Business School, Economics Section.
    2. Nakatani, Tomoaki & Teräsvirta, Timo, 2007. "Positivity Constraints on the Conditional Variances in the Family of Conditional Correlation GARCH Models," SSE/EFI Working Paper Series in Economics and Finance 675, Stockholm School of Economics, revised 14 Feb 2008.
    3. Christian Conrad & Menelaos Karanasos, 2008. "Negative Volatility Spillovers in the Unrestricted ECCC-GARCH Model," KOF Working papers 08-189, KOF Swiss Economic Institute, ETH Zurich.
    4. de Almeida, Daniel & Hotta, Luiz K. & Ruiz, Esther, 2018. "MGARCH models: Trade-off between feasibility and flexibility," International Journal of Forecasting, Elsevier, vol. 34(1), pages 45-63.

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

    Cited by:

    1. Gianni Amisano & Roberto Casarin, 2008. "Particle Filters for Markov-Switching Stochastic-Correlation Models," Working Papers 0814, University of Brescia, Department of Economics.
    2. Peter Reinhard Hansen & Chen Tong, 2024. "Fractional Moments by the Moment-Generating Function," Papers 2410.23587, arXiv.org.
    3. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    4. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    5. Drew D. Creal & Jing Cynthia Wu, 2020. "Bond risk premia in consumption‐based models," Quantitative Economics, Econometric Society, vol. 11(4), pages 1461-1484, November.
    6. Bruno Feunou & Roméo Tedongap, 2011. "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers 11-20, Bank of Canada.
    7. Adam Golinski & Peter Spencer, 2012. "The Meiselman forward interest rate revision regression as an Affine Term Structure Model," Discussion Papers 12/27, Department of Economics, University of York.
    8. Dalderop, Jeroen, 2023. "Semiparametric estimation of latent variable asset pricing models," Journal of Econometrics, Elsevier, vol. 236(1).
    9. Traeger, Christian P. & Meier, Felix D., 2023. "Uncertain Remedies to Fight Uncertain Consequences: The Case of Solar Geoengineering," RFF Working Paper Series 23-37, Resources for the Future.
    10. Christian Gourieroux & Wei Liu, 2009. "Control and Out‐of‐Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 683-707, September.
    11. Hong Li & Yang Lu, 2018. "A Bayesian non-parametric model for small population mortality," Post-Print hal-02419000, HAL.
    12. Irina Zviadadze, 2017. "Term Structure of Risk on Macrofinance Models," 2017 Meeting Papers 965, Society for Economic Dynamics.
    13. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
    14. Majewski, A. A. & Bormetti, G. & Corsi, F., 2013. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Working Papers 13/11, Department of Economics, City University London.
    15. Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers 2013-16, Center for Research in Economics and Statistics.
    16. Yang Lu, 2018. "Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting," Post-Print halshs-02418950, HAL.
    17. Tian, Fengping & Yang, Ke & Chen, Langnan, 2017. "Realized volatility forecasting of agricultural commodity futures using the HAR model with time-varying sparsity," International Journal of Forecasting, Elsevier, vol. 33(1), pages 132-152.
    18. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    19. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
    20. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
    21. Tédongap, Roméo & Tinang, Jules, 2024. "International asset pricing with heterogeneous agents: Estimation and inference," Journal of Empirical Finance, Elsevier, vol. 75(C).
    22. Timothy Christensen, 2014. "Nonparametric Stochastic Discount Factor Decomposition," Papers 1412.4428, arXiv.org, revised May 2017.
    23. Caporin, Massimiliano & Preś, Juliusz, 2012. "Modelling and forecasting wind speed intensity for weather risk management," Computational Statistics & Data Analysis, Elsevier, vol. 56(11), pages 3459-3476.
    24. Yang Lu, 2020. "A simple parameter‐driven binary time series model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 39(2), pages 187-199, March.
    25. Matteo Iacopini & Carlo R. M. A. Santagiustina, 2020. "Filtering the intensity of public concern from social media count data with jumps," Papers 2012.13267, arXiv.org.
    26. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
    27. Bertille Antoine & Eric Renault, 2012. "Efficient Minimum Distance Estimation with Multiple Rates of Convergence," Discussion Papers dp12-03, Department of Economics, Simon Fraser University.
    28. Yow-Jen Jou & Chih-Wei Wang & Wan-Chien Chiu, 2013. "Is the realized volatility good for option pricing during the recent financial crisis?," Review of Quantitative Finance and Accounting, Springer, vol. 40(1), pages 171-188, January.
    29. Roberto Leon-Gonzalez, 2015. "Efficient Bayesian Inference in Generalized Inverse Gamma Processes for Stochastic Volatility," GRIPS Discussion Papers 15-17, National Graduate Institute for Policy Studies.
    30. Patrick Augustin & Mikhail Chernov & Lukas Schmid & Dongho Song, 2019. "Benchmark Interest Rates When the Government is Risky," NBER Working Papers 26429, National Bureau of Economic Research, Inc.
    31. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    32. Creal, Drew D. & Wu, Jing Cynthia, 2015. "Estimation of affine term structure models with spanned or unspanned stochastic volatility," Journal of Econometrics, Elsevier, vol. 185(1), pages 60-81.
    33. Rachidi Kotchoni, 2012. "Applications of the Characteristic Function Based Continuum GMM in Finance," Post-Print hal-00867795, HAL.
    34. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2017. "Macro Risks and the Term Structure of Interest Rates," Finance and Economics Discussion Series 2017-058, Board of Governors of the Federal Reserve System (U.S.).
    35. Jeremy Graveline & Irina Zviadadze & Mikhail Chernov, 2012. "Crash Risk in Currency Returns," 2012 Meeting Papers 753, Society for Economic Dynamics.
    36. Geert Bekaert & Eric Engstrom & Andrey Ermolov, 2023. "The Variance Risk Premium in Equilibrium Models," Review of Finance, European Finance Association, vol. 27(6), pages 1977-2014.
    37. Gagliardini, Patrick & Ronchetti, Diego, 2013. "Semi-parametric estimation of American option prices," Journal of Econometrics, Elsevier, vol. 173(1), pages 57-82.
    38. Meddahi, N., 2001. "An Eigenfunction Approach for Volatility Modeling," Cahiers de recherche 2001-29, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    39. Ermolov, Andrey, 2022. "Time-varying risk of nominal bonds: How important are macroeconomic shocks?," Journal of Financial Economics, Elsevier, vol. 145(1), pages 1-28.
    40. Renne, J-P., 2009. "Frequency-domain analysis of debt service in a macro-finance model for the euro area," Working papers 261, Banque de France.
    41. Chernov, Mikhail & Augustin, Patrick & Song, Dongho, 2018. "Sovereign credit risk and exchange rates: Evidence from CDS quanto spreads," CEPR Discussion Papers 12857, C.E.P.R. Discussion Papers.
    42. Yang Lu & Christian Gourieroux, 2018. "Negative Binomial Autoregressive Process," Working Papers hal-01730050, HAL.
    43. Alain MONFORT & Jean-Paul RENNE & Guillaume ROUSSELLET, 2020. "Affine Modeling of Credit Risk, Pricing of Credit Events and Contagion," Working Papers 2020-01, Center for Research in Economics and Statistics.
    44. Irina Zviadadze, 2017. "Term Structure of Consumption Risk Premia in the Cross Section of Currency Returns," Journal of Finance, American Finance Association, vol. 72(4), pages 1529-1566, August.
    45. Xu Cheng & Eric Renault & Paul Sangrey, 2024. "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive 24-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    46. Fulop, Andras & Heng, Jeremy & Li, Junye & Liu, Hening, 2022. "Bayesian estimation of long-run risk models using sequential Monte Carlo," Journal of Econometrics, Elsevier, vol. 228(1), pages 62-84.
    47. Roberto Casarin, 2005. "Stochastic Processes in Credit Risk Modelling," Working Papers ubs0505, University of Brescia, Department of Economics.
    48. Majewski, Adam A. & Bormetti, Giacomo & Corsi, Fulvio, 2015. "Smile from the past: A general option pricing framework with multiple volatility and leverage components," Journal of Econometrics, Elsevier, vol. 187(2), pages 521-531.
    49. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
    50. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    51. Roberto Leon-Gonzalez & Blessings Majoni, 2023. "Exact Likelihood for Inverse Gamma Stochastic Volatility Models," GRIPS Discussion Papers 23-07, National Graduate Institute for Policy Studies.
    52. Zhuo Huang & Chen Tong & Tianyi Wang, 2019. "VIX term structure and VIX futures pricing with realized volatility," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 72-93, January.
    53. Chiranjit Dutta & Nalini Ravishanker & Sumanta Basu, 2022. "Modeling Multivariate Positive-Valued Time Series Using R-INLA," Papers 2206.05374, arXiv.org, revised Jul 2022.
    54. Siqi Wei, 2022. "Income, Employment and Health Risks of Older Workers," Working Papers wp2022_2205, CEMFI.
    55. Javier Mencía & Enrique Sentana, 2018. "Volatility-Related Exchange Traded Assets: An Econometric Investigation," Journal of Business & Economic Statistics, Taylor & Francis Journals, vol. 36(4), pages 599-614, October.
    56. Gouriéroux Christian & Monfort Alain & Mouabbi Sarah & Renne Jean-Paul, 2020. "Disastrous Defaults," Working papers 778, Banque de France.
    57. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    58. Corsi, Fulvio & Fusari, Nicola & La Vecchia, Davide, 2013. "Realizing smiles: Options pricing with realized volatility," Journal of Financial Economics, Elsevier, vol. 107(2), pages 284-304.
    59. Peter Knaus & Sylvia Fruhwirth-Schnatter, 2023. "The Dynamic Triple Gamma Prior as a Shrinkage Process Prior for Time-Varying Parameter Models," Papers 2312.10487, arXiv.org.
    60. Yeny E. Rodríguez & Miguel A. Pérez-Uribe & Javier Contreras, 2021. "Wind Put Barrier Options Pricing Based on the Nordix Index," Energies, MDPI, vol. 14(4), pages 1-14, February.
    61. Marco Giacoletti & Kristoffer T. Laursen & Kenneth J. Singleton, 2021. "Learning From Disagreement in the U.S. Treasury Bond Market," Journal of Finance, American Finance Association, vol. 76(1), pages 395-441, February.
    62. Hsu, Alex & Palomino, Francisco, 2015. "A simple nonnegative process for equilibrium models," Economics Letters, Elsevier, vol. 132(C), pages 39-44.
    63. Christian Gouriéroux & Yang Lu, 2018. "Negative Binomial Autoregressive Process," Working Papers 2018-03, Center for Research in Economics and Statistics.
    64. Kalli, Maria & Griffin, Jim E., 2014. "Time-varying sparsity in dynamic regression models," Journal of Econometrics, Elsevier, vol. 178(2), pages 779-793.
    65. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    66. Adam Aleksander Majewski & Giacomo Bormetti & Fulvio Corsi, 2014. "Smile from the Past: A general option pricing framework with multiple volatility and leverage components," Papers 1404.3555, arXiv.org.
    67. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers 24/15, Institute for Fiscal Studies.
    68. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
    69. Sanfelici Simona & Uboldi Adamo, 2014. "Assessing the quality of volatility estimators via option pricing," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 18(2), pages 103-124, April.
    70. Timothy M. Christensen, 2015. "Nonparametric stochastic discount factor decomposition," CeMMAP working papers CWP24/15, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    71. Augustin, Patrick & Saleh, Fahad & Xu, Haohua, 2020. "CDS Returns," Journal of Economic Dynamics and Control, Elsevier, vol. 118(C).
    72. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.
    73. Francesca Lilla, 2021. "Volatility Bursts: A discrete-time option model with multiple volatility components," Temi di discussione (Economic working papers) 1336, Bank of Italy, Economic Research and International Relations Area.
    74. Andras Fulop & Jeremy Heng & Junye Li, 2022. "Efficient Likelihood-based Estimation via Annealing for Dynamic Structural Macrofinance Models," Papers 2201.01094, arXiv.org.
    75. Chernov, Mikhail & Graveline, Jeremy & Zviadadze, Irina, 2012. "Sources of Risk in Currency Returns," CEPR Discussion Papers 8745, C.E.P.R. Discussion Papers.
    76. Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
    77. Minxian Yang, 2014. "The Risk Return Relationship: Evidence from Index Return and Realised Variance Series," Discussion Papers 2014-16, School of Economics, The University of New South Wales.
    78. Han, Hyojin, 2020. "On the identification of models with conditional characteristic functions," Economics Letters, Elsevier, vol. 186(C).
    79. Yang, Minxian, 2019. "The risk return relationship: Evidence from index returns and realised variances," Journal of Economic Dynamics and Control, Elsevier, vol. 107(C), pages 1-1.

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

    Cited by:

    1. Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
    2. Damir Filipovi'c & Martin Larsson, 2017. "Polynomial Jump-Diffusion Models," Papers 1711.08043, arXiv.org, revised Jul 2019.
    3. Christa Cuchiero, 2017. "Polynomial processes in stochastic portfolio theory," Papers 1705.03647, arXiv.org.
    4. Christian Bontemps & Nour Meddahi, 2012. "Testing distributional assumptions: A GMM aproach," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 27(6), pages 978-1012, September.
    5. Ardian, Aldin & Kumral, Mustafa, 2020. "Incorporating stochastic correlations into mining project evaluation using the Jacobi process," Resources Policy, Elsevier, vol. 65(C).
    6. Sullivan Hu'e & Christophe Hurlin & Yang Lu, 2024. "Backtesting Expected Shortfall: Accounting for both duration and severity with bivariate orthogonal polynomials," Papers 2405.02012, arXiv.org, revised May 2024.
    7. Damien Ackerer & Damir Filipovi'c, 2016. "Linear Credit Risk Models," Papers 1605.07419, arXiv.org, revised Jul 2019.
    8. Damir Filipović & Martin Larsson, 2016. "Polynomial diffusions and applications in finance," Finance and Stochastics, Springer, vol. 20(4), pages 931-972, October.
    9. Thomas Lagner & Dodozu Knyphausen‐Aufseß, 2012. "Rating Agencies as Gatekeepers to the Capital Market: Practical Implications of 40 Years of Research," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 21(3), pages 157-202, August.
    10. Julie Lyng Forman & Michael Sørensen, 2008. "The Pearson Diffusions: A Class of Statistically Tractable Diffusion Processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(3), pages 438-465, September.
    11. Damien Ackerer & Damir Filipović & Sergio Pulido, 2018. "The Jacobi stochastic volatility model," Finance and Stochastics, Springer, vol. 22(3), pages 667-700, July.
    12. Abdelkoddousse Ahdida & Aur'elien Alfonsi, 2011. "A Mean-Reverting SDE on Correlation matrices," Papers 1108.5264, arXiv.org, revised Feb 2012.
    13. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Post-Print halshs-01162452, HAL.
    14. Damir Filipovic & Damien Ackerer & Sergio Pulido, 2018. "The Jacobi Stochastic Volatility Model," Post-Print hal-01338330, HAL.
    15. Mar'ia Fernanda del Carmen Agoitia Hurtado & Thorsten Schmidt, 2018. "Time-inhomogeneous polynomial processes," Papers 1806.03887, arXiv.org.
    16. Giacomo Aletti & Irene Crimaldi, 2021. "The Rescaled Pólya Urn and the Wright—Fisher Process with Mutation," Mathematics, MDPI, vol. 9(22), pages 1-11, November.
    17. Christian Gouriéroux & Eric Renault & Pascale Valery, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.
    18. Daniel Fernholz & Ioannis Karatzas, 2010. "On optimal arbitrage," Papers 1010.4987, arXiv.org.
    19. Damien Ackerer & Damir Filipović, 2020. "Linear credit risk models," Finance and Stochastics, Springer, vol. 24(1), pages 169-214, January.
    20. Bouleau, Nicolas & Chorro, Christophe, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright–Fisher diffusion process," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 479(C), pages 379-395.
    21. Christa Cuchiero & Martin Keller-Ressel & Josef Teichmann, 2012. "Polynomial processes and their applications to mathematical finance," Finance and Stochastics, Springer, vol. 16(4), pages 711-740, October.
    22. Wu, Ximing, 2010. "Exponential Series Estimator of multivariate densities," Journal of Econometrics, Elsevier, vol. 156(2), pages 354-366, June.
    23. Larsson, Martin & Pulido, Sergio, 2017. "Polynomial diffusions on compact quadric sets," Stochastic Processes and their Applications, Elsevier, vol. 127(3), pages 901-926.
    24. Cuchiero, Christa, 2019. "Polynomial processes in stochastic portfolio theory," Stochastic Processes and their Applications, Elsevier, vol. 129(5), pages 1829-1872.
    25. David Itkin & Martin Larsson, 2021. "Open Markets and Hybrid Jacobi Processes," Papers 2110.14046, arXiv.org, revised Mar 2024.
    26. Nicolas Bouleau & Christophe Chorro, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) hal-01138383, HAL.
    27. Nicolas Bouleau & Christophe Chorro, 2015. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Documents de travail du Centre d'Economie de la Sorbonne 15024r, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne, revised Jul 2015.
    28. Suhan Altay & Katia Colaneri & Zehra Eksi, 2017. "Pairs Trading under Drift Uncertainty and Risk Penalization," Papers 1704.06697, arXiv.org, revised Sep 2018.
    29. Ahdida, Abdelkoddousse & Alfonsi, Aurélien, 2013. "A mean-reverting SDE on correlation matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(4), pages 1472-1520.
    30. Abdelkoddousse Ahdida & Aurélien Alfonsi, 2013. "A Mean-Reverting SDE on Correlation matrices," Post-Print hal-00617111, HAL.
    31. Nicolas Bouleau & Christophe Chorro, 2017. "The impact of randomness on the distribution of wealth: Some economic aspects of the Wright-Fisher diffusion process," Post-Print hal-01138383, HAL.

  44. C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.

    Cited by:

    1. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    2. Almut E. D. Veraart & Luitgard A. M. Veraart, 2009. "Stochastic volatility and stochastic leverage," CREATES Research Papers 2009-20, Department of Economics and Business Economics, Aarhus University.
    3. Anna Cieslak & Pavol Povala, 2016. "Information in the Term Structure of Yield Curve Volatility," Journal of Finance, American Finance Association, vol. 71(3), pages 1393-1436, June.
    4. Manabu Asai & Michael McAleer, 2013. "Leverage and Feedback Effects on Multifactor Wishart Stochastic Volatility for Option Pricing," KIER Working Papers 840, Kyoto University, Institute of Economic Research.
    5. Manabu Asai & Michael McAleer, 2013. "A Fractionally Integrated Wishart Stochastic Volatility Model," Tinbergen Institute Discussion Papers 13-025/III, Tinbergen Institute.
    6. Yuyang Cheng & Marcos Escobar-Anel & Zhenxian Gong, 2019. "Generalized Mean-Reverting 4/2 Factor Model," JRFM, MDPI, vol. 12(4), pages 1-21, October.
    7. K. Triantafyllopoulos, 2012. "Multi‐variate stochastic volatility modelling using Wishart autoregressive processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 33(1), pages 48-60, January.
    8. Robertson, Scott & Xing, Hao, 2015. "Large time behavior of solutions to semi-linear equations with quadratic growth in the gradient," LSE Research Online Documents on Economics 60578, London School of Economics and Political Science, LSE Library.
    9. Nicole Branger & Matthias Muck & Stefan Weisheit, 2019. "Correlation risk and international portfolio choice," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(1), pages 128-146, January.
    10. Mike K. P. So & C. Y. Choi, 2009. "A threshold factor multivariate stochastic volatility model," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 28(8), pages 712-735.
    11. Bruno Feunou & Ernest Tafolong, 2015. "Fourier Inversion Formulas for Multiple-Asset Option Pricing," Staff Working Papers 15-11, Bank of Canada.
    12. Kwai S. Leung & Hon Y. Ng & Hoi Y. Wong, 2014. "Stochastic Skew in the Interest Rate Cap Market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 34(12), pages 1146-1169, December.
    13. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility (Revised in May 2007, Handbook of Financial Time Series (Published in "Handbook of Financial Time Series" (eds T.G. Andersen, R.A. Davis, Jens-Peter Kreiss," CARF F-Series CARF-F-094, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
    14. Yanhong Zhong & Guohe Deng, 2019. "Geometric Asian Options Pricing under the Double Heston Stochastic Volatility Model with Stochastic Interest Rate," Complexity, Hindawi, vol. 2019, pages 1-13, January.
    15. Alessandro Gnoatto & Martino Grasselli, 2011. "The explicit Laplace transform for the Wishart process," Papers 1107.2748, arXiv.org, revised Aug 2013.
    16. Carl Chiarella & Chih-Ying Hsiao & Thuy-Duong To, 2011. "Stochastic Correlation and Risk Premia in Term Structure Models," Research Paper Series 298, Quantitative Finance Research Centre, University of Technology, Sydney.
    17. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
    18. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    19. Takashi Kato & Jun Sekine & Kenichi Yoshikawa, 2013. "Order Estimates for the Exact Lugannani-Rice Expansion," Papers 1310.3347, arXiv.org, revised Jun 2014.
    20. Chiu, Mei Choi & Wong, Hoi Ying, 2014. "Mean–variance asset–liability management with asset correlation risk and insurance liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 300-310.
    21. Scott Robertson & Hao Xing, 2014. "Long Term Optimal Investment in Matrix Valued Factor Models," Papers 1408.7010, arXiv.org.
    22. Siddhartha Chib & Yasuhiro Omori & Manabu Asai, 2007. "Multivariate stochastic volatility," CIRJE F-Series CIRJE-F-488, CIRJE, Faculty of Economics, University of Tokyo.
    23. Marcos Escobar & Daniel Krause & Rudi Zagst, 2016. "Stochastic covariance and dimension reduction in the pricing of basket options," Review of Derivatives Research, Springer, vol. 19(3), pages 165-200, October.
    24. Ming Lin & Changjiang Liu & Linlin Niu, 2013. "Bayesian Estimation of Wishart Autoregressive Stochastic Volatility Model," Working Papers 2013-10-14, Wang Yanan Institute for Studies in Economics (WISE), Xiamen University.
    25. Asai, Manabu & McAleer, Michael, 2009. "The structure of dynamic correlations in multivariate stochastic volatility models," Journal of Econometrics, Elsevier, vol. 150(2), pages 182-192, June.
    26. Branger, Nicole & Herold, Michael & Muck, Matthias, 2021. "International stochastic discount factors and covariance risk," Journal of Banking & Finance, Elsevier, vol. 123(C).
    27. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2016. "Portfolio choice with stochastic interest rates and learning about stock return predictability," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 347-370.
    28. McCausland, William & Miller, Shirley & Pelletier, Denis, 2021. "Multivariate stochastic volatility using the HESSIAN method," Econometrics and Statistics, Elsevier, vol. 17(C), pages 76-94.
    29. Francesca Biagini & Alessandro Gnoatto & Maximilian Hartel, 2013. "Affine HJM Framework on $S_{d}^{+}$ and Long-Term Yield," Papers 1311.0688, arXiv.org, revised Aug 2015.
    30. Kang, Chulmin & Kang, Wanmo, 2013. "Transform formulae for linear functionals of affine processes and their bridges on positive semidefinite matrices," Stochastic Processes and their Applications, Elsevier, vol. 123(6), pages 2419-2445.

  45. Gourieroux, Christian & Robert, Christian Y., 2006. "Stochastic Unit Root Models," Econometric Theory, Cambridge University Press, vol. 22(6), pages 1052-1090, December.

    Cited by:

    1. Katsumi Shimotsu, 2006. "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper 1101, Economics Department, Queen's University.
    2. Theis Lange, 2009. "First and second order non-linear cointegration models," CREATES Research Papers 2009-04, Department of Economics and Business Economics, Aarhus University.
    3. Muriel, Nelson & González-Farías, Graciela, 2018. "Testing the null of difference stationarity against the alternative of a stochastic unit root: A new test based on multivariate STUR," Econometrics and Statistics, Elsevier, vol. 7(C), pages 46-62.
    4. Meitz, Mika & Saikkonen, Pentti, 2022. "Subgeometrically Ergodic Autoregressions," Econometric Theory, Cambridge University Press, vol. 38(5), pages 959-985, October.
    5. Chin-Ping King, 2012. "Half Life of the Real Exchange Rate: Evidence from the Nonlinear Approach in Emerging Economies," Journal of Economics and Management, College of Business, Feng Chia University, Taiwan, vol. 8(1), pages 1-23, January.
    6. Rafal Kulik & Philippe Soulier, 2013. "Heavy tailed time series with extremal independence," Papers 1307.1501, arXiv.org, revised Oct 2014.
    7. Frédérique Bec & Alain Guay & Heino Bohn Nielsen & Sarra Saïdi, 2022. "Power of unit root tests against nonlinear and noncausal alternatives," THEMA Working Papers 2022-14, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    8. Meitz, Mika & Saikkonen, Pentti, 2021. "Testing for observation-dependent regime switching in mixture autoregressive models," Journal of Econometrics, Elsevier, vol. 222(1), pages 601-624.
    9. Frédérique Bec & Anders Rahbek & Neil Shephard, 2008. "The ACR Model: A Multivariate Dynamic Mixture Autoregression," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(5), pages 583-618, October.
    10. Anders Rahbek & Neil Shephard, 2001. "Autoregressive conditional root model," Economics Papers 2002-W7, Economics Group, Nuffield College, University of Oxford, revised 01 Feb 2002.
    11. Kung-Sik Chan & Simone Giannerini & Greta Goracci & Howell Tong, 2020. "Testing for threshold regulation in presence of measurement error with an application to the PPP hypothesis," Papers 2002.09968, arXiv.org, revised Nov 2021.
    12. Frédérique Bec & Alain Guay & Emmanuel Guerre, 2002. "Adaptive Consistent Unit Root Tests Based on Autoregressive Threshold Model," Working Papers 2002-46, Center for Research in Economics and Statistics.
    13. Renzo Pardo Figueroa & Gabriel Rodríguez, 2014. "Distinguishing between True and Spurious Long Memory in the Volatility of Stock Market Returns in Latin America," Documentos de Trabajo / Working Papers 2014-395, Departamento de Economía - Pontificia Universidad Católica del Perú.
    14. Yin, Ming, 2015. "Estimating Gaussian Mixture Autoregressive model with Sequential Monte Carlo algorithm: A parallel GPU implementation," MPRA Paper 88111, University Library of Munich, Germany, revised 2018.
    15. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.

  46. 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.
    See citations under working paper version above.
  47. Christian Gouriéroux & Alain Monfort, 2006. "Pricing with Splines," Annals of Economics and Statistics, GENES, issue 82, pages 3-33.
    See citations under working paper version above.
  48. 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.
    See citations under working paper version above.
  49. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(4), pages 477-503, July.

    Cited by:

    1. Bruno Feunou & Jean-Sébastien Fontaine & Abderrahim Taamouti & Roméo Tédongap, 2014. "Risk Premium, Variance Premium, and the Maturity Structure of Uncertainty," Review of Finance, European Finance Association, vol. 18(1), pages 219-269.
    2. Alain Monfort & Jean-Paul Renne, 2010. "Default, Liquidity and Crises : An Econometric Framework," Working Papers 2010-46, Center for Research in Economics and Statistics.
    3. Gourieroux, Christian & Sufana, Razvan, 2011. "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, vol. 35(6), pages 815-824, June.
    4. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
    5. Alain Monfort & Olivier Féron, 2011. "Joint Econometric Modeling of Spot Electricity Prices, Forwards and Options," Working Papers 2011-12, Center for Research in Economics and Statistics.
    6. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    7. Bruno Feunou & Roméo Tedongap, 2011. "A Stochastic Volatility Model with Conditional Skewness," Staff Working Papers 11-20, Bank of Canada.
    8. Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152.
    9. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
    10. Yang Lu, 2018. "Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting," Post-Print halshs-02418950, HAL.
    11. Henri Bertholon & Alain Monfort & Fulvio Pegoraro, 2007. "Econometric Asset Pricing Modelling," Working Papers 2007-18, Center for Research in Economics and Statistics.
    12. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers 37/14, Institute for Fiscal Studies.
    13. Dario Alitab & Giacomo Bormetti & Fulvio Corsi & Adam A. Majewski, 2019. "A realized volatility approach to option pricing with continuous and jump variance components," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 639-664, December.
    14. Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print hal-04582262, HAL.
    15. Peter D Spencer, "undated". "Coupon Bond Valuation with a Non-Affine Discount Yield Model," Discussion Papers 03/16, Department of Economics, University of York.
    16. Bruno Feunou & Cédric Okou, 2017. "Good Volatility, Bad Volatility and Option Pricing," Staff Working Papers 17-52, Bank of Canada.
    17. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013. "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers 2013-03, Center for Research in Economics and Statistics.
    18. Tore Selland Kleppe & Hans J. Skaug, 2008. "Building and Fitting Non‐Gaussian Latent Variable Models via the Moment‐Generating Function," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 35(4), pages 664-676, December.
    19. Alain Monfort & Fulvio Pegoraro, 2007. "Switching VARMA Term Structure Models - Extended Version," Working Papers 2007-19, Center for Research in Economics and Statistics.
    20. Bjørn Eraker, 2008. "Affine General Equilibrium Models," Management Science, INFORMS, vol. 54(12), pages 2068-2080, December.
    21. Monfort, A. & Pegoraro, F., 2012. "Asset Pricing with Second-Order Esscher Transforms," Working papers 397, Banque de France.
    22. Xu Cheng & Eric Renault & Paul Sangrey, 2024. "Identifying the Volatility Risk Price Through the Leverage Effect," PIER Working Paper Archive 24-013, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania.
    23. Michael Gallmeyer & Burton Hollifield & Francisco Palomino & Stanley Zin, 2017. "Term Premium Dynamics and the Taylor Rule," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 7(04), pages 1-39, December.
    24. Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne & Guillaume Roussellet, 2017. "Staying at zero with affine processes : an application to term structure modelling," Rue de la Banque, Banque de France, issue 52, november.
    25. Monfort, A. & Renne, J-P., 2011. "Credit and liquidity risks in euro area sovereign yield curves," Working papers 352, Banque de France.
    26. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    27. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009. "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, vol. 150(2), pages 167-181, June.
    28. Timothy M. Christensen, 2014. "Nonparametric identification of positive eigenfunctions," CeMMAP working papers CWP37/14, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    29. Gouriéroux, Christian, 2003. "Économétrie de la finance : l’exemple du risque de crédit," L'Actualité Economique, Société Canadienne de Science Economique, vol. 79(4), pages 399-418, Décembre.
    30. Yang Lu, 2021. "The predictive distributions of thinning‐based count processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 42-67, March.
    31. Christian Gouriéroux & Yang Lu, 2018. "Negative Binomial Autoregressive Process," Working Papers 2018-03, Center for Research in Economics and Statistics.
    32. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    33. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    34. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012. "Survival of Hedge Funds : Frailty vs Contagion," Working Papers 2012-36, Center for Research in Economics and Statistics.
    35. Fang Liang & Lingshan Du, 2024. "Option pricing with dynamic conditional skewness," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(7), pages 1154-1188, July.
    36. Han, Hyojin & Khrapov, Stanislav & Renault, Eric, 2020. "The leverage effect puzzle revisited: Identification in discrete time," Journal of Econometrics, Elsevier, vol. 217(2), pages 230-258.
    37. Bruno Feunou & Cédric Okou, 2018. "Risk‐neutral moment‐based estimation of affine option pricing models," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(7), pages 1007-1025, November.
    38. Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.
    39. Darolles, Serge & Fol, Gaëlle Le & Lu, Yang & Sun, Ran, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 181-203.
    40. Gurleen Sahota & Balwinder Singh, 2016. "The Empirical Investigation of Causal Relationship between Intraday Return and Volume in Indian Stock Market," Vision, , vol. 20(3), pages 199-210, September.
    41. Christian Gouriéroux & Yang Lu, 2023. "Noncausal affine processes with applications to derivative pricing," Mathematical Finance, Wiley Blackwell, vol. 33(3), pages 766-796, July.
    42. Augustyniak, Maciej & Badescu, Alexandru & Bégin, Jean-François, 2023. "A discrete-time hedging framework with multiple factors and fat tails: On what matters," Journal of Econometrics, Elsevier, vol. 232(2), pages 416-444.

  50. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.

    Cited by:

    1. Hagströmer, Björn & Anderson, Richard G. & Binner, Jane & Elger, Thomas & Nilsson, Birger, 2007. "Mean-Variance vs. Full-Scale Optimization: Broad Evidence for the UK," Working Papers 2008:1, Lund University, Department of Economics.
    2. Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
    3. Francisco Peñaranda & Enrique Sentana, 2008. "Spanning tests in return and stochastic discount factor mean-variance frontiers: A unifying approach," Economics Working Papers 1101, Department of Economics and Business, Universitat Pompeu Fabra, revised Sep 2010.
    4. Krüger, Jens J., 2021. "Nonparametric portfolio efficiency measurement with higher moments," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 130825, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    5. Walter Briec & Kristiaan Kerstens, 2009. "Portfolio Selection in Multidimensional General and Partial Moment Space," Working Papers 2009-ECO-08, IESEG School of Management.
    6. Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal asset allocation based on utility maximization in the presence of market frictions," "Marco Fanno" Working Papers 0012, Dipartimento di Scienze Economiche "Marco Fanno".
    7. Smimou, K., 2014. "International portfolio choice and political instability risk: A multi-objective approach," European Journal of Operational Research, Elsevier, vol. 234(2), pages 546-560.
    8. Olha Bodnar & Taras Bodnar, 2009. "Statistical inference procedure for the mean–variance efficient frontier with estimated parameters," AStA Advances in Statistical Analysis, Springer;German Statistical Society, vol. 93(3), pages 295-306, September.
    9. Hela Mzoughi & Faysal Mansouri, 2013. "Computing risk measures for non-normal asset returns using Copula theory," The Empirical Econometrics and Quantitative Economics Letters, Faculty of Economics, Chiang Mai University, vol. 2(1), pages 59-70, March.
    10. Krüger, Jens J., 2024. "Nonparametric portfolio efficiency measurement with higher moments," Publications of Darmstadt Technical University, Institute for Business Studies (BWL) 144371, Darmstadt Technical University, Department of Business Administration, Economics and Law, Institute for Business Studies (BWL).
    11. Björn Hagströmer & Richard G. Anderson & Jane M. Binner & Thomas Elger & Birger Nilsson, 2008. "Mean–Variance Versus Full‐Scale Optimization: Broad Evidence For The Uk," Manchester School, University of Manchester, vol. 76(s1), pages 134-156, September.
    12. Chen, Hsuan-Chi & Chung, San-Lin & Ho, Keng-Yu, 2011. "The diversification effects of volatility-related assets," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1179-1189, May.
    13. Smimou, K. & Bector, C.R. & Jacoby, G., 2008. "Portfolio selection subject to experts' judgments," International Review of Financial Analysis, Elsevier, vol. 17(5), pages 1036-1054, December.
    14. Bjorn Hagstromer & Jane Binner, 2009. "Stock portfolio selection with full-scale optimization and differential evolution," Applied Financial Economics, Taylor & Francis Journals, vol. 19(19), pages 1559-1571.

  51. Christian Gouriéroux & Joann Jasiak, 2005. "Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity," Annals of Economics and Statistics, GENES, issue 78, pages 1-31.

    Cited by:

    1. Borovička, Jaroslav & Hansen, Lars Peter, 2014. "Examining macroeconomic models through the lens of asset pricing," Journal of Econometrics, Elsevier, vol. 183(1), pages 67-90.
    2. Goncalves, Silvia & Herrera, Ana Maria & Kilian, Lutz & Pesavento, Elena, 2022. "When do state-dependent local projections work?," CEPR Discussion Papers 17265, C.E.P.R. Discussion Papers.
    3. Jaroslav Borovička & Lars Peter Hansen & Mark Hendricks & José A. Scheinkman, 2009. "Risk Price Dynamics," NBER Working Papers 15506, National Bureau of Economic Research, Inc.
    4. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
    5. Gonçalves, Sílvia & Herrera, Ana María & Kilian, Lutz & Pesavento, Elena, 2021. "Impulse response analysis for structural dynamic models with nonlinear regressors," Journal of Econometrics, Elsevier, vol. 225(1), pages 107-130.
    6. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "New Information Response Functions," Working papers 235, Banque de France.
    7. Lan, Hong & Meyer-Gohde, Alexander, 2011. "Solving DSGE models with a nonlinear moving average," SFB 649 Discussion Papers 2011-087, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    8. Lars Hansen & Jaroslav Borovicka, 2013. "Robust preference expansions," 2013 Meeting Papers 1199, Society for Economic Dynamics.
    9. Jaroslav Borovička & Lars P. Hansen & Jose A. Scheinkman, 2014. "Shock Elasticities and Impulse Responses," NBER Working Papers 20104, National Bureau of Economic Research, Inc.
    10. Zviadadze, Irina, 2018. "Term Structure of Risk in Expected Returns," CEPR Discussion Papers 13414, C.E.P.R. Discussion Papers.

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

    Cited by:

    1. Siem Jan Koopman & André Lucas & André Monteiro, 2005. "The Multi-State Latent Factor Intensity Model for Credit Rating Transitions," Tinbergen Institute Discussion Papers 05-071/4, Tinbergen Institute, revised 04 Jul 2005.
    2. Schechtman, Ricardo, 2013. "Default matrices: A complete measurement of banks’ consumer credit delinquency," Journal of Financial Stability, Elsevier, vol. 9(4), pages 460-474.
    3. Telg, Sean & Dubinova, Anna & Lucas, Andre, 2023. "Covid-19, credit risk management modeling, and government support," Journal of Banking & Finance, Elsevier, vol. 147(C).
    4. Trueck, Stefan & Rachev, Svetlozar T., 2008. "Rating Based Modeling of Credit Risk," Elsevier Monographs, Elsevier, edition 1, number 9780123736833.
    5. Antoine Djogbenou & Christian Gouri'eroux & Joann Jasiak & Maygol Bandehali, 2021. "Composite Likelihood for Stochastic Migration Model with Unobserved Factor," Papers 2109.09043, arXiv.org, revised Nov 2023.
    6. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
    7. Myriam Ben Ayed & Adel Karaa & Jean-Luc Prigent, 2018. "Duration Models For Credit Rating Migration: Evidence From The Financial Crisis," Post-Print hal-03679407, HAL.
    8. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Rating Migration Analysis on the Business Cycle," IJFS, MDPI, vol. 2(1), pages 1-22, March.
    9. Dimitris Gavalas & Theodore Syriopoulos, 2014. "Bank Credit Risk Management and Migration Analysis; Conditioning Transition Matrices on the Stage of the Business Cycle," International Advances in Economic Research, Springer;International Atlantic Economic Society, vol. 20(2), pages 151-166, May.
    10. Monteiro, André A., 2009. "The econometrics of randomly spaced financial data: a survey," DES - Working Papers. Statistics and Econometrics. WS ws097924, Universidad Carlos III de Madrid. Departamento de Estadística.
    11. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.

  53. C. Gourieroux & A. Monfort, 2004. "Infrequent Extreme Risks," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), vol. 29(1), pages 5-22, June.

    Cited by:

    1. Chollete, Lorán & Jaffee, Dwight & Mamun, Khawaja A., 2022. "Policy suggestions from a simple framework with extreme outcomes," International Review of Economics & Finance, Elsevier, vol. 82(C), pages 374-398.
    2. Christian Gourieroux & Andrew Hencic & Joann Jasiak, 2021. "Forecast performance and bubble analysis in noncausal MAR(1, 1) processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(2), pages 301-326, March.
    3. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    4. Chollete, Loran & Jaffee, Dwight, 2009. "Economic Implications of Extreme and Rare Events," UiS Working Papers in Economics and Finance 2009/32, University of Stavanger.

  54. 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.
    See citations under working paper version above.
  55. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
    See citations under working paper version above.
  56. 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.

    Cited by:

    1. Haghani, Shermineh, 2014. "Modeling hedge fund lifetimes: A dependent competing risks framework with latent exit types," Journal of Empirical Finance, Elsevier, vol. 28(C), pages 291-320.
    2. Mihaela DAVID, 2014. "Modeling The Frequency Of Claims In Auto Insurance With Application To A French Case," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 13, pages 69-85, June.
    3. David Mihaela & Jemna Dănuţ-Vasile, 2015. "Modeling the Frequency of Auto Insurance Claims by Means of Poisson and Negative Binomial Models," Scientific Annals of Economics and Business, Sciendo, vol. 62(2), pages 151-168, July.
    4. Barczy, M. & Ispány, M. & Pap, G., 2011. "Asymptotic behavior of unstable INAR(p) processes," Stochastic Processes and their Applications, Elsevier, vol. 121(3), pages 583-608, March.
    5. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
    6. Yang Lu, 2018. "Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting," Post-Print halshs-02418950, HAL.
    7. Feike C. Drost & Ramon Van Den Akker & Bas J. M. Werker, 2008. "Local asymptotic normality and efficient estimation for INAR(p) models," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(5), pages 783-801, September.
    8. Serge Darolles & Gaëlle Le Fol & Yang Lu & Ran Sun, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Post-Print hal-04582262, HAL.
    9. Youn Ahn, Jae & Jeong, Himchan & Lu, Yang, 2021. "On the ordering of credibility factors," Insurance: Mathematics and Economics, Elsevier, vol. 101(PB), pages 626-638.
    10. Mohammadipour, Maryam & Boylan, John E., 2012. "Forecast horizon aggregation in integer autoregressive moving average (INARMA) models," Omega, Elsevier, vol. 40(6), pages 703-712.
    11. Yang Lu & Christian Gourieroux, 2018. "Negative Binomial Autoregressive Process," Working Papers hal-01730050, HAL.
    12. Ran Deng & Shermineh Haghani, 2017. "FHA Loans in Foreclosure Proceedings: Distinguishing Sources of Interdependence in Competing Risks," JRFM, MDPI, vol. 11(1), pages 1-15, December.
    13. Bermúdez, Lluís & Guillén, Montserrat & Karlis, Dimitris, 2018. "Allowing for time and cross dependence assumptions between claim counts in ratemaking models," Insurance: Mathematics and Economics, Elsevier, vol. 83(C), pages 161-169.
    14. Jean Pinquet, 2012. "Experience rating in non-life insurance," Working Papers hal-00677100, HAL.
    15. Gareth Liu-Evans, 2021. "Improving the Estimation and Predictions of Small Time Series Models," Working Papers 202106, University of Liverpool, Department of Economics.
    16. Azaare Jacob & Zhao Wu, 2020. "An Alternative Pricing System through Bayesian Estimates and Method of Moments in a Bonus-Malus Framework for the Ghanaian Auto Insurance Market," JRFM, MDPI, vol. 13(7), pages 1-15, July.
    17. Jacob Azaare & Zhao Wu & Bright Nana Kwame Ahia, 2022. "Exploring the Effects of Classical Auto Insurance Rating Variables on Premium in ARDL: Is the high Policyholders’ Premium in Ghana Justified?," SAGE Open, , vol. 12(4), pages 21582440221, October.
    18. Yang Lu, 2021. "The predictive distributions of thinning‐based count processes," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 48(1), pages 42-67, March.
    19. Christian Gouriéroux & Yang Lu, 2018. "Negative Binomial Autoregressive Process," Working Papers 2018-03, Center for Research in Economics and Statistics.
    20. Francesco Bravo, 2011. "Comment on: Subsampling weakly dependent time series and application to extremes," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 20(3), pages 483-486, November.
    21. Drost, F.C. & van den Akker, R. & Werker, B.J.M., 2009. "The asymptotic structure of nearly unstable non negative integer-valued AR(1) models," Other publications TiSEM ac0494ae-7a32-43ca-b5b4-d, Tilburg University, School of Economics and Management.
    22. Darolles, Serge & Fol, Gaëlle Le & Lu, Yang & Sun, Ran, 2019. "Bivariate integer-autoregressive process with an application to mutual fund flows," Journal of Multivariate Analysis, Elsevier, vol. 173(C), pages 181-203.

  57. Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor & Francis Journals, vol. 20(4), pages 385-424.
    See citations under working paper version above.
  58. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.

    Cited by:

    1. D. (Derek) Bond & Michael J. Harrison & Edward J. (Edward Joseph) O'Brien, 2009. "Exploring long memory and nonlinearity in Irish real exchange Rates using tests based on semiparametric estimation," Working Papers 200901, School of Economics, University College Dublin.
    2. Grace Lee Ching Yap, 2020. "Optimal Filter Approximations for Latent Long Memory Stochastic Volatility," Computational Economics, Springer;Society for Computational Economics, vol. 56(2), pages 547-568, August.
    3. Silvestro Di Sanzo, 2007. "Forecasting Time Series with Long Memory and Level Shifts, A Bayesian Approach," Working Papers 2007_03, Department of Economics, University of Venice "Ca' Foscari".
    4. Lanouar Charfeddine & Dominique Guegan, 2012. "Breaks or long memory behavior: An empirical investigation," PSE-Ecole d'économie de Paris (Postprint) hal-01314013, HAL.
    5. Ata Assaf & Luis Alberiko Gil-Alana & Khaled Mokni, 2022. "True or spurious long memory in the cryptocurrency markets: evidence from a multivariate test and other Whittle estimation methods," Empirical Economics, Springer, vol. 63(3), pages 1543-1570, September.
    6. Katsumi Shimotsu, 2006. "Simple (but Effective) Tests Of Long Memory Versus Structural Breaks," Working Paper 1101, Economics Department, Queen's University.
    7. Kuswanto, Heri & Sibbertsen, Philipp, 2008. "A Study on "Spurious Long Memory in Nonlinear Time Series Models"," Hannover Economic Papers (HEP) dp-410, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    8. Xu, Jiawen & Perron, Pierre, 2014. "Forecasting return volatility: Level shifts with varying jump probability and mean reversion," International Journal of Forecasting, Elsevier, vol. 30(3), pages 449-463.
    9. Krämer, Walter & Sibbertsen, Philipp & Kleiber, Christian, 2001. "Long memory vs. structural change in financial time series," Technical Reports 2001,37, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    10. Pierre Perron & Zhongjun Qu, 2007. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts," Boston University - Department of Economics - Working Papers Series wp2007-044, Boston University - Department of Economics.
    11. Rodríguez, Gabriel, 2017. "Modeling Latin-American stock and Forex markets volatility: Empirical application of a model with random level shifts and genuine long memory," The North American Journal of Economics and Finance, Elsevier, vol. 42(C), pages 393-420.
    12. Guglielmo Caporale & Luis Gil-Alana, 2009. "Multiple shifts and fractional integration in the US and UK unemployment rates," Journal of Economics and Finance, Springer;Academy of Economics and Finance, vol. 33(4), pages 364-375, October.
    13. Leipus, Remigijus & Paulauskas, Vygantas & Surgailis, Donatas, 2005. "Renewal regime switching and stable limit laws," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 299-327.
    14. Gary Biglaiser & Ching-to Albert Ma, 2006. "Moonlighting: Public Service and Private Practice," Working Papers 12, Portuguese Competition Authority.
    15. Luis A. Gil-Alana & Antonio Moreno, 2009. "Fractional Integration and Structural Breaks in U.S. Macro Dynamics," Faculty Working Papers 02/09, School of Economics and Business Administration, University of Navarra.
    16. Gabriel Rodríguez & Roxana Tramontana Tocto, 2015. "Application of a Short Memory Model With Random Level Shifts to the Volatility of Latin American Stock Market Returns," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 52(2), pages 185-211, November.
    17. Yang K. Lu & Pierre Perron, 2008. "Modeling and Forecasting Stock Return Volatility Using a Random Level Shift Model," Boston University - Department of Economics - Working Papers Series wp2008-012, Boston University - Department of Economics.
    18. Niels Haldrup & Robinson Kruse, 2014. "Discriminating between fractional integration and spurious long memory," CREATES Research Papers 2014-19, Department of Economics and Business Economics, Aarhus University.
    19. Terence Tai Leung Chong & Chenxi Lu & Wing Hong Chan, 2020. "Long Range Dependence And Structural Breaks In The Gold Markets," The Singapore Economic Review (SER), World Scientific Publishing Co. Pte. Ltd., vol. 65(02), pages 257-273, March.
    20. Joann Jasiak, 2003. "First‐Order Autoregressive Processes with Heterogeneous Persistence," Journal of Time Series Analysis, Wiley Blackwell, vol. 24(3), pages 283-309, May.
    21. Guglielmo Maria Caporale & Juncal Cunado & Luis A. Gil-Alana, 2007. "Deterministic versus Stochastic Seasonal Fractional Integration and Structural Breaks," CESifo Working Paper Series 1989, CESifo.
    22. Fillol, Jerome, 2007. "Estimating long memory: Scaling function vs Andrews and Guggenberger GPH," Economics Letters, Elsevier, vol. 95(2), pages 309-314, May.
    23. Surgailis, Donatas & Teyssière, Gilles & Vaiciulis, Marijus, 2008. "The increment ratio statistic," Journal of Multivariate Analysis, Elsevier, vol. 99(3), pages 510-541, March.
    24. Chevillon, G. & Hecq, A.W. & Laurent, S.F.J.A., 2015. "Long memory through marginalization of large systems and hidden cross-section dependence," Research Memorandum 014, Maastricht University, Graduate School of Business and Economics (GSBE).
    25. Javier Haulde & Morten Ørregaard Nielsen, 2022. "Fractional integration and cointegration," CREATES Research Papers 2022-02, Department of Economics and Business Economics, Aarhus University.
    26. Markwat, T.D. & Kole, H.J.W.G. & van Dijk, D.J.C., 2009. "Time Variation in Asset Return Dependence: Strength or Structure?," ERIM Report Series Research in Management ERS-2009-052-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
    27. Belkhouja, Mustapha & Boutahary, Mohamed, 2011. "Modeling volatility with time-varying FIGARCH models," Economic Modelling, Elsevier, vol. 28(3), pages 1106-1116, May.
    28. Pierre Perron & Wendong Shi, 2014. "Temporal Aggregation, Bandwidth Selection and Long Memory for Volatility Models," Boston University - Department of Economics - Working Papers Series wp2014-009, Boston University - Department of Economics.
    29. Ane, Thierry & Ureche-Rangau, Loredana, 2006. "Stock market dynamics in a regime-switching asymmetric power GARCH model," International Review of Financial Analysis, Elsevier, vol. 15(2), pages 109-129.
    30. Leipus, Remigijus & Viano, Marie-Claude, 2003. "Long memory and stochastic trend," Statistics & Probability Letters, Elsevier, vol. 61(2), pages 177-190, January.
    31. Philipp Sibbertsen, 2004. "Long memory versus structural breaks: An overview," Statistical Papers, Springer, vol. 45(4), pages 465-515, October.
    32. Giorgio Canarella & Luis A. Gil-Alana & Rangan Gupta & Stephen M. Miller, 2018. "Persistence and Cyclical Dynamics of US and UK House Prices: Evidence from Over 150 Years of Data," Working Papers 201838, University of Pretoria, Department of Economics.
    33. G Caggiano & L Leonida, "undated". "International Output Convergence: Evidence from an AutoCorrelation Function Approach," Working Papers 2006_20, Business School - Economics, University of Glasgow.
    34. Gourieroux, C. & Monfort, A. & Sufana, R., 2010. "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, vol. 29(8), pages 1727-1751, December.
    35. Leschinski, Christian & Sibbertsen, Philipp, 2018. "The Periodogram of Spurious Long-Memory Processes," Hannover Economic Papers (HEP) dp-632, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    36. Jensen, Mark J. & Liu, Ming, 2006. "Do long swings in the business cycle lead to strong persistence in output?," Journal of Monetary Economics, Elsevier, vol. 53(3), pages 597-611, April.
    37. Pierre Perron & Zhongjun Qu, 2008. "Long-Memory and Level Shifts in the Volatility of Stock Market Return Indices," Boston University - Department of Economics - Working Papers Series wp2008-004, Boston University - Department of Economics.
    38. Charfeddine, Lanouar, 2016. "Breaks or long range dependence in the energy futures volatility: Out-of-sample forecasting and VaR analysis," Economic Modelling, Elsevier, vol. 53(C), pages 354-374.
    39. Monge, Manuel & Gil-Alana, Luis A. & Pérez de Gracia, Fernando, 2017. "Crude oil price behaviour before and after military conflicts and geopolitical events," Energy, Elsevier, vol. 120(C), pages 79-91.
    40. Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
    41. Lanouar Charfeddine & Dominique Guegan, 2009. "Breaks or Long Memory Behaviour: An empirical Investigation," Post-Print halshs-00377485, HAL.
    42. Charfeddine, Lanouar & Maouchi, Youcef, 2019. "Are shocks on the returns and volatility of cryptocurrencies really persistent?," Finance Research Letters, Elsevier, vol. 28(C), pages 423-430.
    43. Gil-Alana, Luis A. & Fischer, Christian, 2007. "International traveling and trade: further evidence for the case of Spanish wine based on fractional VAR specifications," 105th Seminar, March 8-10, 2007, Bologna, Italy 7859, European Association of Agricultural Economists.
    44. Maheu John, 2005. "Can GARCH Models Capture Long-Range Dependence?," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 9(4), pages 1-43, December.
    45. Andrés Herrera Aramburú & Gabriel Rodríguez, 2016. "Volatility of stock market and exchange rate returns in Peru: Long memory or short memory with level shifts?," International Journal of Monetary Economics and Finance, Inderscience Enterprises Ltd, vol. 9(1), pages 45-66.
    46. Biage, Milton & Nelcide, Pierre Joseph, 2020. "Effects of asset frequency components on value-at-risk in emerging and developed markets," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 40(1), August.
    47. Pierre Perron & Wendong Shi, 2020. "Temporal Aggregation and Long Memory for Asset Price Volatility," JRFM, MDPI, vol. 13(8), pages 1-18, August.
    48. Charfeddine, Lanouar, 2014. "True or spurious long memory in volatility: Further evidence on the energy futures markets," Energy Policy, Elsevier, vol. 71(C), pages 76-93.
    49. Pierre Perron & Zhongjun Qu, 2006. "An Analytical Evaluation of the Log-periodogram Estimate in the Presence of Level Shifts and its Implications for Stock Returns Volatility," Boston University - Department of Economics - Working Papers Series WP2006-016, Boston University - Department of Economics.
    50. Banerjee, Anindya & Urga, Giovanni, 2005. "Modelling structural breaks, long memory and stock market volatility: an overview," Journal of Econometrics, Elsevier, vol. 129(1-2), pages 1-34.
    51. Laura Mayoral, 2003. "Further Evidence on the Uncertain (Fractional) Unit Root in Real GNP," Working Papers 82, Barcelona School of Economics.
    52. Jondeau, Eric & Rockinger, Michael, 2006. "The Copula-GARCH model of conditional dependencies: An international stock market application," Journal of International Money and Finance, Elsevier, vol. 25(5), pages 827-853, August.
    53. Leschinski, Christian & Sibbertsen, Philipp, 2017. "Origins of Spurious Long Memory," Hannover Economic Papers (HEP) dp-595, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    54. José M. Belbute & Alfredo Marvão Pereira, 2016. "Updated Reference Forecasts for Global CO2 Emissions from Fossil-Fuel Consumption," Working Papers 170, Department of Economics, College of William and Mary.

  59. Gouriéroux, Christian & Tenreiro, Carlos, 2001. "Local Power Properties of Kernel Based Goodness of Fit Tests," Journal of Multivariate Analysis, Elsevier, vol. 78(2), pages 161-190, August.

    Cited by:

    1. Carlos Tenreiro, 2022. "On automatic kernel density estimate-based tests for goodness-of-fit," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(3), pages 717-748, September.
    2. Dennis Kristensen, 2010. "Semi-Nonparametric Estimation and Misspecification Testing of Diffusion Models," CREATES Research Papers 2010-43, Department of Economics and Business Economics, Aarhus University.
    3. Tenreiro, Carlos, 2009. "On the choice of the smoothing parameter for the BHEP goodness-of-fit test," Computational Statistics & Data Analysis, Elsevier, vol. 53(4), pages 1038-1053, February.
    4. Bagkavos, Dimitrios & Patil, Prakash N. & Wood, Andrew T.A., 2023. "Nonparametric goodness-of-fit testing for a continuous multivariate parametric model," Journal of Multivariate Analysis, Elsevier, vol. 196(C).
    5. Wenceslao González-Manteiga & Rosa Crujeiras, 2013. "An updated review of Goodness-of-Fit tests for regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 22(3), pages 361-411, September.
    6. Taoufik Bouezmarni & Jeroen Rombouts & Abderrahim Taamouti, 2009. "A Nonparametric Copula Based Test for Conditional Independence with Applications to Granger Causality," CIRANO Working Papers 2009s-28, CIRANO.

  60. 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.

    Cited by:

    1. Bedsworth, Fredrick & Neal, Daniel R. & Portillo, Javier E. & Willardsen, Kevin, 2021. "Asymmetric information and insurance: An experimental approach," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 92(C).
    2. R. Guy Thomas, 2008. "Loss Coverage as a Public Policy Objective for Risk Classification Schemes," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 75(4), pages 997-1018, December.
    3. Hanming Fang & Michael P. Keane & Dan Silverman, 2006. "Sources of Advantageous Selection: Evidence from the Medigap Insurance Market," NBER Working Papers 12289, National Bureau of Economic Research, Inc.
    4. Hyojoung Kim & Doyoung Kim & Subin Im & James W. Hardin, 2009. "Evidence of Asymmetric Information in the Automobile Insurance Market: Dichotomous Versus Multinomial Measurement of Insurance Coverage," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(2), pages 343-366, June.
    5. Alois Geyer & Daniela Kremslehner & Alexander Muermann, 2020. "Asymmetric Information in Automobile Insurance: Evidence From Driving Behavior," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(4), pages 969-995, December.
    6. Georges Dionne & Mélissa La Haye & Anne‐Sophie Bergerès, 2015. "Does asymmetric information affect the premium in mergers and acquisitions?," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 48(3), pages 819-852, August.
    7. Dionne, Georges, 2001. "Commitment and automobile insurance regulation in France, Quebec and Japan," Working Papers 01-4, HEC Montreal, Canada Research Chair in Risk Management.
    8. David A. Cather, 2018. "Cream Skimming: Innovations in Insurance Risk Classification and Adverse Selection," Risk Management and Insurance Review, American Risk and Insurance Association, vol. 21(2), pages 335-366, September.
    9. Paul Kofman & Gregory P. Nini, 2013. "Do Insurance Companies Possess an Informational Monopoly? Empirical Evidence From Auto Insurance," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 80(4), pages 1001-1026, December.
    10. Spindler, Martin, 2013. "“They do know what they are doing... at least most of them.†Asymmetric Information in the (private) Disability Insurance," MEA discussion paper series 201209, Munich Center for the Economics of Aging (MEA) at the Max Planck Institute for Social Law and Social Policy.
    11. Alma Cohen & Peter Siegelman, 2010. "Testing for Adverse Selection in Insurance Markets," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(1), pages 39-84, March.
    12. Sebastian Soika, 2018. "Moral Hazard and Advantageous Selection in Private Disability Insurance," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(1), pages 97-125, January.
    13. G. Dionne, 2001. "Commitment and Automobile Insurance in France, Quebec and Japan," THEMA Working Papers 2001-10, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    14. Chris Robinson & Bingyong Zheng, 2010. "Moral hazard, insurance claims, and repeated insurance contracts," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 43(3), pages 967-993, August.
    15. Peng, Sheng-Chang & Li, Chu-Shiu, 2024. "Bundled insurance coverage and asymmetric information: Claim patterns of automobile theft insurance in Taiwan," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    16. Dionne, Georges & Harrington, Scott, 2017. "Insurance and Insurance Markets," Working Papers 17-2, HEC Montreal, Canada Research Chair in Risk Management.
    17. Dionne, Georges & Michaud, Pierre-Carl & Dahchour, Maki, 2010. "Separating moral hazard from adverse selection and learning in automobile insurance: Longitudinal evidence from France," Working Papers 10-5, HEC Montreal, Canada Research Chair in Risk Management.
    18. Georges Dionne, 2003. "The Foundationsof Banks' Risk Regulation: A Review of Literature," THEMA Working Papers 2003-46, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    19. Ari Hyytinen & Mika Pajarinen, 2005. "External Finance, Firm Growth and the Benefits of Information Disclosure: Evidence from Finland," European Journal of Law and Economics, Springer, vol. 19(1), pages 69-93, January.
    20. Koufopoulos, Kostas, 2002. "Asymmetric information, heterogeneity in risk perceptions and insurance: an explanation to a puzzle," LSE Research Online Documents on Economics 24906, London School of Economics and Political Science, LSE Library.
    21. Georges Dionne & Kili Wang, 2013. "Does insurance fraud in automobile theft insurance fluctuate with the business cycle?," Journal of Risk and Uncertainty, Springer, vol. 47(1), pages 67-92, August.
    22. Hyytinen, Ari & Pajarinen, Mika, 2003. "External Finance, Firm Growth and the Benefits of Information Disclosure: Evidence from Finland (Revised)," Discussion Papers 805, The Research Institute of the Finnish Economy.
    23. Chang, Vincent Y.L. & Hung, Kuo Ming & Wang, Kili C. & Yang, Sand, 2024. "Information asymmetry in reinsurance through various ceded contracts," Pacific-Basin Finance Journal, Elsevier, vol. 84(C).
    24. Makki Shiva S. & Somwaru Agapi L., 2007. "Assessing Adverse Selection in Crop Insurance Markets: An Application of Parametric and Nonparametric Methods," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 2(1), pages 1-22, May.
    25. Gao Feng & Wang Jun, 2011. "Testing for Adverse Selection in China's Auto Insurance Market," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 5(1), pages 1-16, March.
    26. Imen Karaa, 2018. "Moral Hazard and Learning in the Tunisian Automobile Insurance Market: New Evidence from Dynamic Data," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 43(3), pages 560-589, July.
    27. Pierre Picard & Jennifer Wang & Kili Wang, 2019. "Collusion between Retailers and Customers: The Case of Insurance Fraud in Taiwan," Working Papers hal-02045335, HAL.
    28. Renate Lange & Jörg Schiller & Petra Steinorth, 2017. "Demand and Selection Effects in Supplemental Health Insurance in Germany," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 42(1), pages 5-30, January.
    29. Georges Dionne & Pierre-Carl Michaud & Maki Dahchour, 2004. "Separating Moral Hazard from Adverse Selection in Automobile Insurance: Longitudinal Evidence from France," Cahiers de recherche 0420, CIRPEE.
    30. Jedidi, Helmi & Dionne, Georges, 2024. "Nonparametric testing for information asymmetry in the mortgage servicing market," Working Papers 19-1, HEC Montreal, Canada Research Chair in Risk Management, revised 28 Oct 2019.
    31. Yen-Chih Chen & Wen-Yen Hsu & Carol Troy, 2024. "Unpriced and unseen: private information and taxi insurance purchases in Taiwan," The Geneva Papers on Risk and Insurance - Issues and Practice, Palgrave Macmillan;The Geneva Association, vol. 49(4), pages 831-867, October.
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    14. Alla A. Petukhina & Raphael C. G. Reule & Wolfgang Karl Härdle, 2021. "Rise of the machines? Intraday high-frequency trading patterns of cryptocurrencies," The European Journal of Finance, Taylor & Francis Journals, vol. 27(1-2), pages 8-30, January.
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    43. Zhang, Hanyu & Dufour, Alfonso, 2024. "Managing portfolio risk during crisis times: A dynamic conditional correlation perspective," The Quarterly Review of Economics and Finance, Elsevier, vol. 94(C), pages 241-251.
    44. Dionne, Georges & Duchesne, Pierre & Pacurar, Maria, 2005. "Intraday Value at Risk (IVaR) using tick-by-tick data with application to the Toronto Stock Exchange," Working Papers 05-9, HEC Montreal, Canada Research Chair in Risk Management.
    45. Bortoluzzo, Adriana B. & Morettin, Pedro A. & Toloi, Clelia M. C., 2008. "Time-Varying Autoregressive Conditional Duration Model," Insper Working Papers wpe_174, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    46. Joachim Grammig & Reinhard Hujer & Stefan Kokot, 2002. "Tackling Boundary Effects in Nonparametric Estimation of Intra-Day Liquidity Measures," Computational Statistics, Springer, vol. 17(2), pages 233-249, July.
    47. Li, Yingying & Xie, Shangyu & Zheng, Xinghua, 2016. "Efficient estimation of integrated volatility incorporating trading information," Journal of Econometrics, Elsevier, vol. 195(1), pages 33-50.
    48. Eom, Kyong Shik & Ok, Jinho & Park, Jong-Ho, 2007. "Pre-trade transparency and market quality," Journal of Financial Markets, Elsevier, vol. 10(4), pages 319-341, November.
    49. Rama Cont & Adrien De Larrard, 2011. "Price dynamics in a Markovian limit order market," Papers 1104.4596, arXiv.org.
    50. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.
    51. James McCulloch & Vladimir Kazakov, 2007. "Optimal VWAP Trading Strategy and Relative Volume," Research Paper Series 201, Quantitative Finance Research Centre, University of Technology, Sydney.

  67. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.

    Cited by:

    1. Pelizzon, Loriana & Weber, Guglielmo, 2008. "Are Household Portfolios Efficient? an Analysis Conditional on Housing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 43(2), pages 401-431, June.
    2. Walter Briec & Kristiaan Kerstens & Jean Baptiste Lesourd, 2001. "Single Period Markowitz Portfolio Selection, Performance Gading and Duality: A Variation on Luenberger'a Shortage Function," Working Papers 0203, Departament Empresa, Universitat Autònoma de Barcelona, revised Apr 2002.
    3. Pelizzon, Loriana & Weber, Guglielmo, 2009. "Efficient portfolios when housing needs change over the life cycle," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2110-2121, November.
    4. Michele Costola & Bertrand Maillet & Zhining Yuan & Xiang Zhang, 2024. "Mean-Variance Efficient Large Portfolios : A Simple Machine Learning Heuristic Technique based on the Two-Fund Separation Theorem," Post-Print hal-04514343, HAL.
    5. Alessandro Bucciol & Raffaele Miniaci, 2006. "Optimal asset allocation based on utility maximization in the presence of market frictions," "Marco Fanno" Working Papers 0012, Dipartimento di Scienze Economiche "Marco Fanno".
    6. Raffaele Miniaci & Sergio Pastorello, 2008. "Mean-Variance Econometric Analysis of Household Portfolios," Working Papers 0807, University of Brescia, Department of Economics.
    7. Bob Korkie & Harry J. Turtle, 2002. "A Mean-Variance Analysis of Self-Financing Portfolios," Management Science, INFORMS, vol. 48(3), pages 427-443, March.
    8. Darolles, Serge & Gourieroux, Christian, 2010. "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, vol. 34(3), pages 578-593, March.
    9. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.

  68. Christian Gourieroux & Jean Paul Laurent & Huyên Pham, 1998. "Mean‐Variance Hedging and Numéraire," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 179-200, July.
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  69. Christian Gouriéroux & Gaëlle Le Fol, 1998. "Effet des modes de négociation sur les échanges," Revue Économique, Programme National Persée, vol. 49(3), pages 795-808.

    Cited by:

    1. Remzi Uctum & Patricia Renou‐Maissant & Georges Prat & Sylvie Lecarpentier‐Moyal, 2017. "Persistence of announcement effects on the intraday volatility of stock returns: Evidence from individual data," Review of Financial Economics, John Wiley & Sons, vol. 35(1), pages 43-56, November.
    2. Sylvie Lecarpentier-Moyal & Georges Prat & Patricia Renou-Maissant & Remzi Uctum, 2013. "Persistence of announcement effects on the intraday volatility of stock returns: evidence from individual data," Working Papers hal-04141172, HAL.
    3. Jedrzej Bialkowski & Serge Darolles & Gaëlle Le Fol, 2005. "Decomposing Volume for VWAP Strategies," Working Papers 2005-16, Center for Research in Economics and Statistics.

  70. Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998. "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, vol. 66(3), pages 673-688, May.

    Cited by:

    1. Li, Tong, 2010. "Indirect inference in structural econometric models," Journal of Econometrics, Elsevier, vol. 157(1), pages 120-128, July.
    2. Dhaene, Geert & Scaillet, Olivier, 2000. "Reversed Score and Likelihood Ratio Tests," LIDAM Discussion Papers IRES 2000026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    3. Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999. "Bartlett Identities Tests," LIDAM Discussion Papers IRES 1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    4. Dridi, Ramdan & Renault, Eric, 2000. "Semi-parametric indirect inference," LSE Research Online Documents on Economics 6864, London School of Economics and Political Science, LSE Library.
    5. Elia Lapenta & Pascal Lavergne, 2022. "Encompassing Tests for Nonparametric Regressions," Papers 2203.06685, arXiv.org, revised Oct 2023.
    6. Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
    7. Hecq Alain & Sun Li, 2021. "Selecting between causal and noncausal models with quantile autoregressions," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 25(5), pages 393-416, December.
    8. Alain Hecq & Li Sun, 2019. "Identification of Noncausal Models by Quantile Autoregressions," Papers 1904.05952, arXiv.org.
    9. Lapenta, Elia & Lavergne, Pascal, 2022. "Encompassing Tests for Nonparametric Regressions," TSE Working Papers 22-1332, Toulouse School of Economics (TSE).
    10. Roger WALDER, 2002. "Interactions Between Market and Credit Risk: Modeling the Joint Dynamics of Default-Free and Defaultable Bond Term Structures," FAME Research Paper Series rp56, International Center for Financial Asset Management and Engineering.

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

    Cited by:

    1. Jean Pinquet & Georges Dionne, 1999. "Experience rating schemes for fleets of vehicles," Post-Print hal-00396999, HAL.

  72. Breitung, Jorg & Gourieroux, Christian, 1997. "Rank tests for unit roots," Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November.
    See citations under working paper version above.
  73. Gourieroux, C. & Visser, M., 1997. "A count data model with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 79(2), pages 247-268, August.

    Cited by:

    1. 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.
    2. Gurmu, Shiferaw & Rilstone, Paul & Stern, Steven, 1998. "Semiparametric estimation of count regression models1," Journal of Econometrics, Elsevier, vol. 88(1), pages 123-150, November.
    3. Óscar Lourenço & Carlota Quintal & Pedro Lopes Ferreira & Pedro Pita Barros, 2007. "A equidade na utilização de cuidados de saúde em Portugal: Uma avaliação baseada em modelos de contagem," Notas Económicas, Faculty of Economics, University of Coimbra, issue 25, pages 6-26, June.
    4. James E. Prieger, 2002. "Regulation, Innovation, and the Introduction of New Telecommunications Services," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 704-715, November.
    5. G. Dionne & C. Vanasse, 1997. "Une évaluation empirique de la nouvelle tarification de l'assurance automobile (1992) au Québec," THEMA Working Papers 97-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
    6. Dionne, G. & Gagne, R. & Gagnon, F. & Vanasse, C., 1993. "Debt, Moral Hazard and Airline Safety : An Empirical Evidence," Cahiers de recherche 9309, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    7. Lord, Dominique & Mannering, Fred, 2010. "The statistical analysis of crash-frequency data: A review and assessment of methodological alternatives," Transportation Research Part A: Policy and Practice, Elsevier, vol. 44(5), pages 291-305, June.
    8. José Santos & M. Neves, 2008. "A local maximum likelihood estimator for Poisson regression," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 68(3), pages 257-270, November.
    9. Nordfjærn, Trond & Egset, Kaja Solland & Mehdizadeh, Milad, 2019. "“Winter is coming”: Psychological and situational factors affecting transportation mode use among university students," Transport Policy, Elsevier, vol. 81(C), pages 45-53.

  74. Christian Gouriéroux & Irina Peaucelle, 1996. "Diffusion et effet de vague," Annals of Economics and Statistics, GENES, issue 44, pages 191-217.

    Cited by:

    1. Peaucelle, Irina, 2002. "Capital social et anthroponomie," CEPREMAP Working Papers (Couverture Orange) 0204, CEPREMAP.

  75. Broze, Laurence & Gouriéroux, Christian & Szafarz, Ariane, 1995. "Solutions of multivariate Rational Expectations Models," Econometric Theory, Cambridge University Press, vol. 11(2), pages 229-257, February.
    See citations under working paper version above.
  76. De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March.

    Cited by:

    1. Kim Changki, 2005. "Surrender Rate Impacts on Asset Liability Management," Asia-Pacific Journal of Risk and Insurance, De Gruyter, vol. 1(1), pages 1-36, June.
    2. Adlane Haffar & Éric Le Fur & Mohamed Khordj, 2023. "Securitization of pandemic risk by using coronabond," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 37(2), pages 209-229, June.

  77. Gouriéroux, Christian & Monfort, Alain, 1995. "Testing, Encompassing, and Simulating Dynamic Econometric Models," Econometric Theory, Cambridge University Press, vol. 11(2), pages 195-228, February.
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  78. Christian Gouriéroux & Alain Monfort & Eric Renault, 1993. "Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié," Annals of Economics and Statistics, GENES, issue 32, pages 81-111.

    Cited by:

    1. Dufour, J.M. & Khalaf, L., 2000. "Simulation-Based Finite and Large Sample Tests in Multivariate Regressions," Cahiers de recherche 2000-10, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    2. Zaka Ratsimalahelo, 2003. "Strongly Consistent Determination of the Rank of Matrix," EERI Research Paper Series EERI_RP_2003_04, Economics and Econometrics Research Institute (EERI), Brussels.
    3. Beine, Michel & Hecq, Alain, 1998. "Codependence and Convergence in the EC Economies," Journal of Policy Modeling, Elsevier, vol. 20(4), pages 403-426, August.
    4. Beaulieu, Marie-Claude & Dufour, Jean-Marie & Khalaf, Lynda, 2009. "Finite sample multivariate tests of asset pricing models with coskewness," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2008-2021, April.

  79. 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.

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    6. Uhlendorff, Arne, 2006. "From No Pay to Low Pay and Back Again? A Multi-State Model of Low Pay Dynamics," IZA Discussion Papers 2482, Institute of Labor Economics (IZA).
    7. Lemieux, Thomas & MacLeod, W. Bentley, 2000. "Supply side hysteresis: the case of the Canadian unemployment insurance system," Journal of Public Economics, Elsevier, vol. 78(1-2), pages 139-170, October.
    8. Sylvain Barde, 2015. "A Practical, Universal, Information Criterion over Nth Order Markov Processes," Studies in Economics 1504, School of Economics, University of Kent.
    9. Aguirregabiria, Victor & Magesan, Arvind, 2013. "Euler Equations for the Estimation of Dynamic Discrete Choice Structural," MPRA Paper 46056, University Library of Munich, Germany.
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    11. Inkmann, Joachim, 2000. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.
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    1. Gianluca Cubadda & Alain Hecq, 2021. "Reduced Rank Regression Models in Economics and Finance," CEIS Research Paper 525, Tor Vergata University, CEIS, revised 08 Nov 2021.
    2. Paruolo Paolo, 2003. "Common trends and cycles in I(2) VAR systems," Economics and Quantitative Methods qf0217bis, Department of Economics, University of Insubria.
    3. Trenkler, Carsten & Weber, Enzo, 2012. "Codependent VAR Models and the Pseudo-Structural Form," Working Papers 12-10, University of Mannheim, Department of Economics.
    4. Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2009. "Evidence on Common Features and Business Cycle Synchronization in Mercosur," Fucape Working Papers 15, Fucape Business School.
    5. Alain Hecq & Franz Palm & Jean-Pierre Urbain, 2000. "Testing for Common Cyclical Features in Nonstationary Panel Data Models," CESifo Working Paper Series 248, CESifo.
    6. Cesar Sobrino & Ellis Heath, 2013. "Currency Area and Non-synchronized Business Cycles between the US and Puerto Rico," Economics Bulletin, AccessEcon, vol. 33(3), pages 1948-1958.
    7. Paruolo Paolo, 2002. "Testing for common trends in conditional I(2) VAR models," Economics and Quantitative Methods qf0216, Department of Economics, University of Insubria.
    8. Beine, Michel & Hecq, Alain, 1998. "Codependence and Convergence in the EC Economies," Journal of Policy Modeling, Elsevier, vol. 20(4), pages 403-426, August.
    9. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    10. Carlos Enrique Carrasco Gutierrez & Fábio Augusto Reis Gomes, 2006. "Evidence About Mercosur’S Business Cycle," Anais do XXXIV Encontro Nacional de Economia [Proceedings of the 34th Brazilian Economics Meeting] 179, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].

  82. Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199.
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    1. Denuit, Michel & Sznajder, Dominik & Trufin, Julien, 2019. "Model selection based on Lorenz and concentration curves, Gini indices and convex order," LIDAM Discussion Papers ISBA 2019006, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
    2. Denuit, Michel & Sznajder, Dominik & Trufin, Julien, 2019. "Model selection based on Lorenz and concentration curves, Gini indices and convex order," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 128-139.

  84. Christian Gouriéroux & Alain Monfort, 1991. "Simulation Based Inference in Models with Heterogeneity," Annals of Economics and Statistics, GENES, issue 20-21, pages 69-107.

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    1. Jörgen Hellström, 2006. "A bivariate count data model for household tourism demand," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 21(2), pages 213-226, March.
    2. Thiel, Hendrik & Thomsen, Stephan L., 2009. "Noncognitive skills in economics: Models, measurement, and empirical evidence," ZEW Discussion Papers 09-076, ZEW - Leibniz Centre for European Economic Research.
    3. Christine Amsler & Artem Prokhorov & Peter Schmidt, 2014. "Using Copulas to Model Time Dependence in Stochastic Frontier Models," Econometric Reviews, Taylor & Francis Journals, vol. 33(5-6), pages 497-522, August.
    4. König, Heinz & Lechner, Michael, 1994. "Some recent developments in microeconometrics: A survey," ZEW Discussion Papers 94-12, ZEW - Leibniz Centre for European Economic Research.
    5. Bolduc, Denis & Kaci, Mustapha, 1993. "Estimation des modèles probit polytomiques : un survol des techniques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 69(3), pages 161-191, septembre.
    6. Müller, Tobias & Boes, Stefan, 2016. "Disability Insurance Benefits and Labor Supply Decisions: Evidence from a Discontinuity in Benefit Awards," MPRA Paper 70840, University Library of Munich, Germany.
    7. Emmanuel Duguet & Claire Lelarge, 2004. "Does patenting increase the private incentives to innovate? A microeconometric analysis," Cahiers de la Maison des Sciences Economiques v04096, Université Panthéon-Sorbonne (Paris 1).
    8. Daniel A. Ackerberg, 2001. "A New Use of Importance Sampling to Reduce Computational Burden in Simulation Estimation," NBER Technical Working Papers 0273, National Bureau of Economic Research, Inc.
    9. Núñez, Olivier, 1998. "Asymptotic properties for a simulated pseudo maximum likelihood estimator," DES - Working Papers. Statistics and Econometrics. WS 6266, Universidad Carlos III de Madrid. Departamento de Estadística.
    10. Concordet, Didier & Nunez, Olivier G., 2002. "A simulated pseudo-maximum likelihood estimator for nonlinear mixed models," Computational Statistics & Data Analysis, Elsevier, vol. 39(2), pages 187-201, April.
    11. Meijer, E. & Rouwendal, J., 2000. "Measuring welfare effects in models with random coefficients," Research Report 00F25, University of Groningen, Research Institute SOM (Systems, Organisations and Management).
    12. Mauricio Sarrias, 2020. "Random Parameters and Spatial Heterogeneity using Rchoice in R," REGION, European Regional Science Association, vol. 7, pages 1-19.
    13. Calzolari, Giorgio, 1992. "Stima delle equazioni simultanee non-lineari: una rassegna [Estimation of nonlinear simultaneous equations: a survey]," MPRA Paper 24123, University Library of Munich, Germany, revised 1992.
    14. Arthur Van Soest & Hana Vonkova, 2014. "How Sensitive Are Retirement Decisions To Financial Incentives? A Stated Preference Analysis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 29(2), pages 246-264, March.
    15. Calzolari, Giorgio & Magazzini, Laura & Mealli, Fabrizia, 2001. "Simulation-based estimation of Tobit model with random effects," MPRA Paper 22985, University Library of Munich, Germany, revised 2001.
    16. Tadao Hoshino, 2011. "Estimation and Analysis of Preference Heterogeneity in Residential Choice Behaviour," Urban Studies, Urban Studies Journal Limited, vol. 48(2), pages 363-382, February.
    17. Blazsek, Szabolcs, 2012. "Patents, secret innovations and firm's rate of return : differential effects of the innovation leader," UC3M Working papers. Economics we1202, Universidad Carlos III de Madrid. Departamento de Economía.
    18. João Nicolau, 2002. "A new technique for simulating the likelihood of stochastic differential equations," Econometrics Journal, Royal Economic Society, vol. 5(1), pages 91-103, June.
    19. Müller, Tobias & Boes, Stefan, 2016. "Disability Insurance Benefits and Labor Supply Choices: Evidence from a Discontinuity in Benefit Awards," MPRA Paper 70957, University Library of Munich, Germany.

  85. Christian Gouriéroux & Irina Peaucelle, 1990. "Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire," Annals of Economics and Statistics, GENES, issue 17, pages 163-183.

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    1. Guillaume Horny., 2009. "Inference in Mixed Proportional Hazard Models with K Random Effects," Working papers 248, Banque de France.
    2. François Legendre, 1992. "La distribution des rendements d'échelle dans l'industrie. Une illustration à partir d'un panel de plus de 700 entreprises françaises," Revue Économique, Programme National Persée, vol. 43(1), pages 71-100.

  86. Gourieroux, C. & Monfort, A., 1989. "A General Framework for Testing a Null Hypothesis in a “Mixed” Form," Econometric Theory, Cambridge University Press, vol. 5(1), pages 63-82, April.

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    1. Leandro M. Magnusson, 2010. "Inference in limited dependent variable models robust to weak identification," Econometrics Journal, Royal Economic Society, vol. 13(3), pages 56-79, October.
    2. Dovonon, Prosper & Renault, Eric, 2011. "Testing for Common GARCH Factors," MPRA Paper 40224, University Library of Munich, Germany.
    3. Dastoor, Naorayex K., 2003. "The equality of comparable extended families of classical-type and Hausman-type statistics," Journal of Econometrics, Elsevier, vol. 117(2), pages 313-330, December.
    4. Gouriéroux, Christian & Monfort, Alain, 1997. "Modèles de comptage semi-paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 525-550, mars-juin.
    5. Jean-Marie Dufour & Alain Trognon & Purevdorj Tuvaandorj, 2015. "Invariant tests based on M-estimators, estimating functions, and the generalized method of moments," CIRANO Working Papers 2015s-27, CIRANO.
    6. Bernd Funovits, 2020. "Identifiability and Estimation of Possibly Non-Invertible SVARMA Models: A New Parametrisation," Papers 2002.04346, arXiv.org, revised Feb 2021.
    7. Sun, Hang, 2016. "Crisis-Contingent Dynamics of Connectedness: An SVAR-Spatial-Network “Tripod” Model with Thresholds," Research Memorandum 032, Maastricht University, Graduate School of Business and Economics (GSBE).
    8. Chambers, Marcus J., 1998. "The estimation of systems of joint differential-difference equations," Journal of Econometrics, Elsevier, vol. 85(1), pages 1-31, July.
    9. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.
    10. Dastoor, Naorayex, 2009. "The perceived framework of a classical statistic: Is the non-invariance of a Wald statistic much ado about null thing?," Working Papers 2009-25, University of Alberta, Department of Economics.
    11. Richard Smith, 2004. "GEL Criteria for Moment Condition Models," CeMMAP working papers CWP19/04, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    12. Massimiliano Marcellino & Barbara Rossi, 2008. "Model Selection for Nested and Overlapping Nonlinear, Dynamic and Possibly Mis‐specified Models," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 70(s1), pages 867-893, December.
    13. Richard Smith, 2004. "GEL Criteria for Moment Condition Models," CeMMAP working papers 19/04, Institute for Fiscal Studies.
    14. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995. "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.
    15. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
    16. Paulo Parente & Richard J. Smith, 2024. "Implied probability kernel block bootstrap for time series moment condition models," CeMMAP working papers 08/24, Institute for Fiscal Studies.
    17. Daniela Scidá, 2023. "Structural VAR and financial networks: A minimum distance approach to spatial modeling," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 38(1), pages 49-68, January.
    18. Francesco Bravo, 2005. "Blockwise empirical entropy tests for time series regressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(2), pages 185-210, March.
    19. Ronchetti, Elvezio & Trojani, Fabio, 2001. "Robust inference with GMM estimators," Journal of Econometrics, Elsevier, vol. 101(1), pages 37-69, March.
    20. Dastoor, Naorayex K., 2003. "A score-type and a Hausman-type statistic based on nonsingular generalized inverses," Economics Letters, Elsevier, vol. 81(3), pages 395-401, December.
    21. Naorayex K Dastoor, 2008. "A simple explanation for the non-invariance of a Wald statistic to a reformulation of a null hypothesis," Economics Bulletin, AccessEcon, vol. 3(62), pages 1-10.
    22. Ramdan Dridi, 2000. "Simulated Asymptotic Least Squares Theory," STICERD - Econometrics Paper Series 396, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
    23. Dridi, Ramdan, 2000. "Simulated asymptotic least squares theory," LSE Research Online Documents on Economics 6861, London School of Economics and Political Science, LSE Library.

  87. Gourieroux, Christian & Monfort, Alan & Renault, Eric, 1989. "Testing for Common Roots," Econometrica, Econometric Society, vol. 57(1), pages 171-185, January.

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    1. Diez de los Rios, Antonio, 2015. "Optimal asymptotic least squares estimation in a singular set-up," Economics Letters, Elsevier, vol. 128(C), pages 83-86.

  88. Esmeralda Gonçalves & Christian Gourieroux, 1988. "Agrégation de processus autorégressifs d'ordre 1," Annals of Economics and Statistics, GENES, issue 12, pages 127-149.
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  89. Gourieroux, C. & Peaucelle, I., 1988. "Fonctions de production représentatives de fonctions à complémentarité stricte," L'Actualité Economique, Société Canadienne de Science Economique, vol. 64(2), pages 209-230, juin.

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    1. Peaucelle, Irina, 2002. "Capital social et anthroponomie," CEPREMAP Working Papers (Couverture Orange) 0204, CEPREMAP.
    2. François Legendre, 1992. "La distribution des rendements d'échelle dans l'industrie. Une illustration à partir d'un panel de plus de 700 entreprises françaises," Revue Économique, Programme National Persée, vol. 43(1), pages 71-100.
    3. Gourieroux Christian, 1988. "Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible)," CEPREMAP Working Papers (Couverture Orange) 8817, CEPREMAP.

  90. Christian Gouriéroux & Alain Monfort & Eric Renault, 1987. "Kullback Causality Measures," Annals of Economics and Statistics, GENES, issue 6-7, pages 369-410.

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    1. Catherine Bruno & Sandrine Cazes, 1997. "Le chômage des jeunes en France : un état des lieux," Revue de l'OFCE, Programme National Persée, vol. 62(1), pages 75-107.
    2. Taamouti, Abderrahim & Bouezmarni, Taoufik & El Ghouch, Anouar, 2014. "Nonparametric estimation and inference for conditional density based Granger causality measures," Journal of Econometrics, Elsevier, vol. 180(2), pages 251-264.
    3. Catherine Bruno, 1995. "L'Allemagne joue-t-elle le rôle de locomotive vis-à-vis de la France ?," Revue de l'OFCE, Programme National Persée, vol. 53(1), pages 165-195.
    4. Colombi, R. & Giordano, S., 2012. "Graphical models for multivariate Markov chains," Journal of Multivariate Analysis, Elsevier, vol. 107(C), pages 90-103.
    5. Catherine Bruno, 1997. "Transmission de la politique monétaire et régime de changes : une comparaison France - Allemagne - Etats-Unis," Revue de l'OFCE, Programme National Persée, vol. 61(1), pages 139-164.
    6. Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2012. "The Appeal of Information Transactions," UC3M Working papers. Economics we1224, Universidad Carlos III de Madrid. Departamento de Economía.
    7. Sarah Gelper & Aurelie Lemmens & Christophe Croux, 2007. "Consumer sentiment and consumer spending: decomposing the Granger causal relationship in the time domain," Applied Economics, Taylor & Francis Journals, vol. 39(1), pages 1-11.
    8. Richard K. Moussa & Eric Delattre, 2023. "Dynamics of interactions between health and employment statuses: a panel data approach," SN Business & Economics, Springer, vol. 3(8), pages 1-26, August.
    9. Bouezmarni, Taoufik & El Ghouch, Anouar, 2012. "Nonparametric estimation and inference for Granger causality measures," UC3M Working papers. Economics 14150, Universidad Carlos III de Madrid. Departamento de Economía.
    10. Gelper, S. & Lemmens, A. & Croux, C., 2007. "Consumer sentiment and consumer spending : Decomposing the granger causal relationship in the time domain," Other publications TiSEM 55ac7230-2985-41f1-a42c-7, Tilburg University, School of Economics and Management.
    11. Mosconi, Rocco & Seri, Raffaello, 2006. "Non-causality in bivariate binary time series," Journal of Econometrics, Elsevier, vol. 132(2), pages 379-407, June.
    12. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, vol. 154(1), pages 42-58, January.
    13. Claude Deniau & Georges Fiori & Alexandre Mathis, 1992. "Sélection du nombre de retards dans un modèle VAR : conséquences éventuelles du choix des critères," Économie et Prévision, Programme National Persée, vol. 106(5), pages 61-69.
    14. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    15. Raphaëlle Bellando & Anne Lavigne, 1992. "Taux d'intérêts débiteurs et créditeurs en Europe, une approche en termes de causalité," Revue Économique, Programme National Persée, vol. 43(2), pages 383-403.

  91. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Simulated residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 201-252.
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  92. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.

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    1. Luís Silveira Santos & Isabel Proença, 2017. "The Inversion of the Spatial Lag Operator in Binary Choice Models: Fast Computation and a Closed Formula Approximation," Working Papers REM 2017/11, ISEG - Lisbon School of Economics and Management, REM, Universidade de Lisboa.
    2. David SAHN & Francesca MARCHETTA, 2012. "The role of education and family background in marriage, childbearing and labor market participation in Senegal," Working Papers 201224, CERDI.
    3. Dr Silvia Lui & Dr Martin Weale & Dr. James Mitchell, 2009. "The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys," National Institute of Economic and Social Research (NIESR) Discussion Papers 343, National Institute of Economic and Social Research.
    4. Andrés Langebaek R. & Diego Vásquez E., 2007. "Determinantes de la actividad innovadora en la industria manufacturera colombiana," Borradores de Economia 2313, Banco de la Republica.
    5. Victor Chernozhukov & Ivan Fernandez-Val & Alfred Galichon, 2007. "Quantile and probability curves without crossing," CeMMAP working papers CWP10/07, Centre for Microdata Methods and Practice, Institute for Fiscal Studies.
    6. James Foreman-Peck, 2013. "Effectiveness and efficiency of SME innovation policy," Small Business Economics, Springer, vol. 41(1), pages 55-70, June.
    7. Veugelers, Reinhilde & Cassiman, Bruno, 2002. "Complementarity in the Innovation Strategy: Internal R&D, External Technology Acquisition and Cooperation," CEPR Discussion Papers 3284, C.E.P.R. Discussion Papers.
    8. Colombo, Massimo G. & Grilli, Luca, 2010. "On growth drivers of high-tech start-ups: Exploring the role of founders' human capital and venture capital," Journal of Business Venturing, Elsevier, vol. 25(6), pages 610-626, November.
    9. Arrunada, Benito & Garicano, Luis & Vazquez, Luis, 2001. "Contractual Allocation of Decision Rights and Incentives: The Case of Automobile Distribution," The Journal of Law, Economics, and Organization, Oxford University Press, vol. 17(1), pages 257-284, April.
    10. Michael Haliassos & Hector F. CALVO PARDO & Chryssi Giannitsarou & Luc Arrondel, 2016. "Informative Social Interactions," 2016 Meeting Papers 636, Society for Economic Dynamics.
    11. Florence Jusot & Sandy Tubeuf & Alain Trannoy, 2013. "Les différences d'état de santé en France : inégalités des chances ou reflet des comportements à risques ?," Post-Print hal-01526048, HAL.
    12. Nikolaj Malchow-Møller & Michael Svarer, 2005. "Wage - labour activities by agricultural households in Nicaragua," Journal of Development Studies, Taylor & Francis Journals, vol. 41(7), pages 1221-1246.
    13. Vella, F. & Verbeek, M.J.C.M., 1993. "Estimating and interpreting models with endogenous treatment effects : The relationship between competing estimators of the union impact on wages," Discussion Paper 1993-51, Tilburg University, Center for Economic Research.
    14. Xiaodi Xie, 1997. "Children and female labour supply behaviour," Applied Economics, Taylor & Francis Journals, vol. 29(10), pages 1303-1310.
    15. DHAENE, Geert & JOCHMANS, Koen, 2010. "Split-panel jackknife estimation of fixed-effect models," LIDAM Discussion Papers CORE 2010003, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    16. Hausman, Jerry A. & Lo, Andrew W. & MacKinlay, A. Craig, 1992. "An ordered probit analysis of transaction stock prices," Journal of Financial Economics, Elsevier, vol. 31(3), pages 319-379, June.
    17. Marie Bessec, 2019. "Revisiting the transitional dynamics of business-cycle phases with mixed-frequency data," Post-Print hal-02181552, HAL.
    18. Trottmann, Maria & Zweifel, Peter & Beck, Konstantin, 2012. "Supply-side and demand-side cost sharing in deregulated social health insurance: Which is more effective?," Journal of Health Economics, Elsevier, vol. 31(1), pages 231-242.
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  93. Gourieroux, Christian & Pradel, Jacqueline, 1986. "Direct test of the rational expectation hypothesis," European Economic Review, Elsevier, vol. 30(2), pages 265-284, April.

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    1. Luc BAUWENS & Victor GINSBURGH, 2000. "Art experts and auctions Are pre-sale estimates unbiased and fully informative?," Discussion Papers (REL - Recherches Economiques de Louvain) 2000022, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    2. Dr Silvia Lui & Dr Martin Weale & Dr. James Mitchell, 2009. "The utility of expectational data: Firm-level evidence using matched qualitative-quantitative UK surveys," National Institute of Economic and Social Research (NIESR) Discussion Papers 343, National Institute of Economic and Social Research.
    3. Silva Lopes, Artur, 1994. "A "hipótese das expectativas racionais": teoria e realidade (uma visita guiada à literatura até 1992) [The "rational expectations hypothesis": theory and reality (a guided tour ," MPRA Paper 9699, University Library of Munich, Germany, revised 23 Jul 2008.
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    5. D'Haultfoeuille, Xavier & Gaillac, Christophe & Maurel, Arnaud, 2018. "Rationalizing Rational Expectations? Tests and Deviations," IZA Discussion Papers 11989, Institute of Labor Economics (IZA).
    6. D'Haultfoeuille, Xavier & Gaillac, Christophe & Maurel, Arnaud, 2021. "Rationalizing Rational Expectations: Characterizations and Tests," TSE Working Papers 21-1211, Toulouse School of Economics (TSE).
    7. Anonymous or collective, 1991. "II- Comment se forment les anticipations d'inflation ?," Économie et Prévision, Programme National Persée, vol. 99(3), pages 13-29.
    8. Aleksander Jakimowicz & Lech Nieżurawski, 2018. "Book Review: Directions of Development of Public Administration in Poland," Journal of Entrepreneurship, Management and Innovation, Fundacja Upowszechniająca Wiedzę i Naukę "Cognitione", vol. 14(3), pages 159-168.
    9. Lucia Modugno, 2024. "Evaluating Qualitative Expectational Data on Investments from Business Surveys," Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 20(1), pages 59-88, August.
    10. Nolte, Ingmar & Nolte, Sandra & Pohlmeier, Winfried, 2019. "What determines forecasters’ forecasting errors?," International Journal of Forecasting, Elsevier, vol. 35(1), pages 11-24.
    11. Dr Martin Weale & Dr. James Mitchell, 2007. "The Rationality and Reliability of Expectations Reported by British Households: Micro Evidence from the British Household Panel Survey," National Institute of Economic and Social Research (NIESR) Discussion Papers 287, National Institute of Economic and Social Research.
    12. Catherine Doz, 1993. "Note sur les tests de rationalité des prévisions," Économie et Prévision, Programme National Persée, vol. 108(2), pages 129-133.

  94. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-868, July.
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    1. Junior, Renato Galvão Flôres & Szafarz, Ariane, 1992. "Minimal identification of dynamic rational expectations systems," Revista Brasileira de Economia - RBE, EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), vol. 46(3), July.
    2. Costly Adjustment Under Rational Expectations: A Generalization, 1988. "UCLA, Trinity College (Cambridge)," UCLA Economics Working Papers 480, UCLA Department of Economics.
    3. Jones, John Bailey, 2002. "Has fiscal policy helped stabilize the postwar U.S. economy?," Journal of Monetary Economics, Elsevier, vol. 49(4), pages 709-746, May.
    4. John Bailey Jones & Sohini Sahu, 2008. "Transition Accounting for India in a Multi-Sector Dynamic General Equilibrium Model," Discussion Papers 08-03, University at Albany, SUNY, Department of Economics.
    5. C. R. McKenzie & Michael McAleer, 2001. "Comparing Tests of Autoregressive Versus Moving Average Errors in Regression Models Using Bahadur's Asymptotic Relative Efficiency," ISER Discussion Paper 0537, Institute of Social and Economic Research, Osaka University.
    6. Geweke, John F. & Horowitz, Joel L. & Pesaran, M. Hashem, 2006. "Econometrics: A Bird's Eye View," IZA Discussion Papers 2458, Institute of Labor Economics (IZA).
    7. Beatriz Armendariz & Bert D'Espallier & Marek Hudon & Ariane Szafarz, 2011. "Subsidy Uncertainty and Microfinance Mission Drift," Working Papers CEB 11-014, ULB -- Universite Libre de Bruxelles.
    8. Majid M. Al-Sadoon, 2016. "The linear systems approach to linear rational expectations models," Economics Working Papers 1511, Department of Economics and Business, Universitat Pompeu Fabra.
    9. Ariane Szafarz, 2009. "How Did Financial-Crisis-Based Criticisms of Market Efficiency Get It So Wrong?," Working Papers CEB 09-048.RS, ULB -- Universite Libre de Bruxelles.
    10. Atıcı, Ferhan M. & Ekiz, Funda & Lebedinsky, Alex, 2014. "Cagan type rational expectation model on complex discrete time domains," European Journal of Operational Research, Elsevier, vol. 237(1), pages 148-151.
    11. Bernd Funovits, 2014. "Implications of Stochastic Singularity in Linear Multivariate Rational Expectations Models," Vienna Economics Papers vie1405, University of Vienna, Department of Economics.
    12. Majid M. Al-Sadoon, 2020. "The Spectral Approach to Linear Rational Expectations Models," Papers 2007.13804, arXiv.org, revised Aug 2024.

  96. Gourieroux, C. & Monfort, A. & Trognon, A., 1985. "A General Approach to Serial Correlation," Econometric Theory, Cambridge University Press, vol. 1(3), pages 315-340, December.
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  97. 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 681-699, October.
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    1. Skeels, Christopher L. & Taylor, Larry W., 1995. "On a simultaneous equations pre-test estimator," Journal of Econometrics, Elsevier, vol. 68(2), pages 269-286, August.
    2. Judith Anne Clarke, 2017. "Model Averaging OLS and 2SLS: An Application of the WALS Procedure," Econometrics Working Papers 1701, Department of Economics, University of Victoria.

  99. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
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  102. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January.

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    1. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
    2. Chen, Yi-Ting & Kuan, Chung-Ming, 2002. "The pseudo-true score encompassing test for non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 106(2), pages 271-295, February.
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    5. Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999. "Bartlett Identities Tests," LIDAM Discussion Papers IRES 1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    6. Bernt P. Stigum, 2016. "The Status of Bridge Principles in Applied Econometrics," Econometrics, MDPI, vol. 4(4), pages 1-22, December.
    7. Blasques, Francisco & Ji, Jiangyu & Lucas, André, 2016. "Semiparametric score driven volatility models," Computational Statistics & Data Analysis, Elsevier, vol. 100(C), pages 58-69.
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    9. Taisuke Otsu & Yoon-Jae Whang, 2005. "Testing for Non-nested Conditional Moment Retrictions via Conditional Empirical Likelihood," Cowles Foundation Discussion Papers 1533, Cowles Foundation for Research in Economics, Yale University.
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    1. Roland Gillet & Ariane Szafarz, 2004. "Marchés financiers et anticipations rationnelles," Reflets et perspectives de la vie économique, De Boeck Université, vol. 0(2), pages 7-17.
    2. Ariane Szafarz, 2015. "Market Efficiency and Crises: Don’t Throw the Baby out with the Bathwater," ULB Institutional Repository 2013/239874, ULB -- Universite Libre de Bruxelles.
    3. Minford, Patrick & Srinivasan, Naveen, 2012. "Can the learnability criterion ensure determinacy in New Keynesian Models?," CEPR Discussion Papers 9039, C.E.P.R. Discussion Papers.
    4. Farmer, Roger E.A. & Zabczyk, Pawel, 2018. "The household fallacy," Economics Letters, Elsevier, vol. 169(C), pages 83-86.
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    6. Bernd Funovits, 2020. "The Dimension of the Set of Causal Solutions of Linear Multivariate Rational Expectations Models," Papers 2002.04369, arXiv.org.
    7. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016. "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers 2016-31, Center for Research in Economics and Statistics.
    8. Antoine d'Autume, 1986. "Les anticipations rationnelles dans l'analyse macro-économique," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-00430085, HAL.
    9. Suneetha M. S., 2014. "Perspectives on Valuation of Biodiversity," Working Papers 2014-088, Madras School of Economics,Chennai,India.
    10. Ariane Szafarz, 2010. "Financial Crises in Efficient Markets: How Fundamentalists Fuel Volatility," Working Papers CEB 10-052, ULB -- Universite Libre de Bruxelles.
    11. Laurence Broze & Ariane Szafarz, 1985. "Solutions des modèles linéaires à anticipations rationnelles," ULB Institutional Repository 2013/679, ULB -- Universite Libre de Bruxelles.
    12. Karapanagiotidis, Paul, 2014. "Dynamic modeling of commodity futures prices," MPRA Paper 56805, University Library of Munich, Germany.
    13. Evans, George W. & Honkapohja, Seppo, 2003. "Expectational stability of stationary sunspot equilibria in a forward-looking linear model," Journal of Economic Dynamics and Control, Elsevier, vol. 28(1), pages 171-181, October.
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    17. Gian Maria Tomat, 2021. "Housing prices, volatility, and fundamental value," Economic Notes, Banca Monte dei Paschi di Siena SpA, vol. 50(3), November.
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    1. Linton, Oliver & Maasoumi, Esfandiar & Whang, Yoon-Jae, 2002. "Consistent testing for stochastic dominance: a subsampling approach," LSE Research Online Documents on Economics 24927, London School of Economics and Political Science, LSE Library.
    2. Donald W.K. Andrews, 1994. "Hypothesis Testing with a Restricted Parameter Space," Cowles Foundation Discussion Papers 1060R, Cowles Foundation for Research in Economics, Yale University.
    3. Stoye, Jörg & Kitamura, Yuichi, 2013. "Nonparametric Analysis of Random Utility Models: Testing," VfS Annual Conference 2013 (Duesseldorf): Competition Policy and Regulation in a Global Economic Order 79753, Verein für Socialpolitik / German Economic Association.
    4. Marmer, Vadim & Otsu, Taisuke, 2008. "Optimal Comparison of Misspecified Moment Restriction Models under a Chosen Measure of Fit," Microeconomics.ca working papers vadim_marmer-2008-13, Vancouver School of Economics, revised 25 Jul 2011.
    5. Martin Carree & Boris Lokshin & René Belderbos, 2011. "A note on testing for complementarity and substitutability in the case of multiple practices," Journal of Productivity Analysis, Springer, vol. 35(3), pages 263-269, June.
    6. Isaiah Andrews & Timothy B. Armstrong, 2015. "Unbiased Instrumental Variables Estimation under Known First-Stage Sign," Cowles Foundation Discussion Papers 1984R, Cowles Foundation for Research in Economics, Yale University, revised Mar 2015.
    7. Thiele, Stephen, 2019. "Detecting underestimates of risk in VaR models," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 12-20.
    8. Fathali Firoozi, 2008. "Boundary Distributions in Testing Inequality Hypotheses," Working Papers 0046, College of Business, University of Texas at San Antonio.
    9. Tommaso Proietti & Alberto Musso, 2012. "Growth accounting for the euro area," Empirical Economics, Springer, vol. 43(1), pages 219-244, August.
    10. Paleti, Rajesh, 2018. "Generalized multinomial probit Model: Accommodating constrained random parameters," Transportation Research Part B: Methodological, Elsevier, vol. 118(C), pages 248-262.
    11. Jesper Bagger & Javier A Birchenall & Hani Mansour & Sergio Urzúa, 2021. "Education, Birth Order and Family Size [Family size and children’s education in Vietnam]," The Economic Journal, Royal Economic Society, vol. 131(633), pages 33-69.
    12. Camba-Méndez, Gonzalo & Kapetanios, George, 2004. "Estimating the rank of the spectral density matrix," Working Paper Series 349, European Central Bank.
    13. Antonis Demos & Enrique Sentana, 1996. "Testing for GARCH Effects: A One-Sided Approach," Working Papers wp1996_9611, CEMFI.
    14. Dagher, Leila & Bird, Lori & Heeter, Jenny, 2016. "Residential Green Power Demand in the United States," MPRA Paper 116087, University Library of Munich, Germany.
    15. Dées, Stéphane & Pesaran, Hashem & Smith, Vanessa & Smith, Ron P., 2010. "Supply, demand and monetary policy shocks in a multi-country New Keynesian Model," Working Paper Series 1239, European Central Bank.
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    18. Glass, Anthony J. & Kenjegalieva, Karligash & Weyman-Jones, Thomas, 2020. "The effect of monetary policy on bank competition using the Boone index," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1070-1087.
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    Cited by:

    1. Alberto HOLLY & Lucien GARDIOL, 1999. "A Score Test for Individual Heteroscedasticity in a One-way Error Components Model," Cahiers de Recherches Economiques du Département d'économie 9915, Université de Lausanne, Faculté des HEC, Département d’économie.
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    1. Qian, Hang, 2012. "Essays on statistical inference with imperfectly observed data," ISU General Staff Papers 201201010800003618, Iowa State University, Department of Economics.
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    1. Cizek, P., 2007. "General Trimmed Estimation : Robust Approach to Nonlinear and Limited Dependent Variable Models (Replaces DP 2007-1)," Discussion Paper 2007-65, Tilburg University, Center for Economic Research.
    2. José R. Berrendero & Beatriz Bueno-Larraz & Antonio Cuevas, 2023. "On functional logistic regression: some conceptual issues," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 32(1), pages 321-349, March.
    3. Hsiao, Ch., 1989. "Identification and Estimation of Dichotomous Latent Variables Models using Panel Data," Other publications TiSEM 9ec86b4c-4e68-4223-aca4-5, Tilburg University, School of Economics and Management.
    4. Hsiao, C., 1989. "Identification And Estimation Of Dichotomous Latent Variables Models Using Panel Data," Papers 8944, Tilburg - Center for Economic Research.
    5. Anatolyev Stanislav, 2009. "Multi-Market Direction-of-Change Modeling Using Dependence Ratios," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 13(1), pages 1-24, March.
    6. Mahmut Bağcı & Pınar Kaya Soylu & Selçuk Kıran, 2024. "The Symmetric and Asymmetric Algorithmic Trading Strategies for the Stablecoins," Computational Economics, Springer;Society for Computational Economics, vol. 64(5), pages 2663-2684, November.
    7. Qian Chen & David E. Giles, 2009. "Finite-Sample Properties of the Maximum Likelihood Estimator for the Binary Logit Model With Random Covariates," Econometrics Working Papers 0906, Department of Economics, University of Victoria.
    8. Hadjicostas, Petros, 2003. "Consistency of logistic regression coefficient estimates calculated from a training sample," Statistics & Probability Letters, Elsevier, vol. 62(3), pages 293-303, April.
    9. Chihwa Kao, 2001. "Asymptotic Inference in Censored Regression MOdels Revisited," Center for Policy Research Working Papers 36, Center for Policy Research, Maxwell School, Syracuse University.

  108. 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 675-695, April.
    See citations under working paper version above.
  109. Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-1097, July.

    Cited by:

    1. Alan J. Rogers, 2013. "Concentration Ellipsoids, Their Planes of Support, and the Linear Regression Model," Econometric Reviews, Taylor & Francis Journals, vol. 32(2), pages 220-243, February.
    2. Lu, Cuicui & Schmidt, Peter, 2012. "Conditions for the numerical equality of the OLS, GLS and Amemiya–Cragg estimators," Economics Letters, Elsevier, vol. 116(3), pages 538-540.
    3. Renault, Éric & Rochet, Jean-Charles, 1997. "Les techniques quantitatives de la gestion de portefeuille," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 265-310, mars-juin.
    4. Qian, Hailong & Schmidt, Peter, 2003. "Partial GLS regression," Economics Letters, Elsevier, vol. 79(3), pages 385-392, June.
    5. Changli Lu & Yuqin Sun & Yongge Tian, 2013. "On relations between weighted least-squares estimators of parametric functions under a general partitioned linear model and its small models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 76(5), pages 707-722, July.
    6. Hailong Qian & Heather L. Bednarek, 2015. "Partial efficient estimation of SUR models," Economics Bulletin, AccessEcon, vol. 35(1), pages 338-348.
    7. MICHAEL McALEER, 1992. "Efficient Estimation: The Rao‐Zyskind Condition, Kruskal's Theorem and Ordinary Least Squares," The Economic Record, The Economic Society of Australia, vol. 68(1), pages 65-72, March.
    8. Fisher, Gordon, 2004. "Une condition d’invariance du modèle de régression à coefficients aléatoires," L'Actualité Economique, Société Canadienne de Science Economique, vol. 80(2), pages 405-419, Juin-Sept.
    9. Radosław Kala & Simo Puntanen & Yongge Tian, 2017. "Some notes on linear sufficiency," Statistical Papers, Springer, vol. 58(1), pages 1-17, March.
    10. Heather L. Bednarek & Hailong Qian, 2016. "The optimality of non-optimal GMM estimation of parameters of interest and the partial asymptotic efficiency of 2SLS estimation," Economics Bulletin, AccessEcon, vol. 36(3), pages 1636-1649.

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

    Cited by:

    1. Riboud, Chris & Rausser, Gordon C., 1981. "Price supports and demand in commodity market modeling," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt1n53k4xs, Department of Agricultural & Resource Economics, UC Berkeley.
    2. Seppo Honkapohja & Takatoshi Ito, 1979. "A Stochastic Approach to Disequilibrium Macroeconomics," NBER Technical Working Papers 0001, National Bureau of Economic Research, Inc.
    3. Antoine Mandel & Vipin Veetil, 2020. "The Economic Cost of COVID Lockdowns: An Out-of-Equilibrium Analysis," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers) halshs-03043350, HAL.
    4. Holmberg, Ulf, 2012. "Error Corrected Disequilibrium," Umeå Economic Studies 837, Umeå University, Department of Economics.
    5. Karmelavičius, Jaunius & Mikaliūnaitė-Jouvanceau, Ieva & Petrokaitė, Austėja Petrokaitė, 2022. "Housing and credit misalignments in a two-market disequilibrium framework," ESRB Working Paper Series 135, European Systemic Risk Board.
    6. Chihwa Kao & Lung-fei Lee & Mark M. Pitt, 2000. "Simulated Maximum Likelihood Estimation of the Linear Expenditure System with Binding Non-Negativity Constraints," CEMA Working Papers 50, China Economics and Management Academy, Central University of Finance and Economics, revised Apr 2001.
    7. Eric Maskin, 2004. "Jean-Jacques Laffont: A Look Back," Economics Working Papers 0043, Institute for Advanced Study, School of Social Science.
    8. Plassard, Romain, 2022. "Diagnosing unemployment: the dual project of the ENSAE's band," MPRA Paper 113584, University Library of Munich, Germany.
    9. Richard Blundell & Frank Windmeijer, 2000. "Identifying demand for health resources using waiting times information," IFS Working Papers W00/03, Institute for Fiscal Studies.
    10. Dominique Bureau & Didier Miqueu & Michel Norotte, 1984. "La maquette Désir," Économie et Prévision, Programme National Persée, vol. 65(4), pages 45-63.
    11. Plassard, Romain & Renault, Matthieu, 2023. "General equilibrium models with rationing: The making of a ‘European specialty’," European Economic Review, Elsevier, vol. 159(C).
    12. Arthur Lewbel, 2018. "The Identification Zoo - Meanings of Identification in Econometrics," Boston College Working Papers in Economics 957, Boston College Department of Economics, revised 14 Dec 2019.
    13. Eromenko, Igor & Lisenkova, Katerina, 2006. "Impact of joining the WTO on Ukrainian ferrous metallurgy: subsidies vs. antidumping, is there really a trade-off?," MPRA Paper 67477, University Library of Munich, Germany.
    14. Bergeot, J.;, 2022. "Care for Elderly Parents: Do Children Cooperate?," Health, Econometrics and Data Group (HEDG) Working Papers 22/13, HEDG, c/o Department of Economics, University of York.
    15. Jerry R. Green & Jean-Jacques Laffont, 1980. "Disequilibrium Dynamics with Inventories and Anticipatory Price-Setting:Some Impirical Results," NBER Working Papers 0453, National Bureau of Economic Research, Inc.

  111. 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.

    Cited by:

    1. Arnold, Barry C. & Castillo, Enrique & Sarabia, José María, 1996. "Specification of distributions by combinations of marginal and conditional distributions," Statistics & Probability Letters, Elsevier, vol. 26(2), pages 153-157, February.
    2. Barry C. Arnold & B. G. Manjunath, 2022. "All Conditional Distributions for Y Given X that are Compatible with a Given Conditional Distribution for X Given Y," Sankhya A: The Indian Journal of Statistics, Springer;Indian Statistical Institute, vol. 84(2), pages 419-426, August.
    3. Shinya Sugawara & Yasuhiro Omori, 2013. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection," CIRJE F-Series CIRJE-F-882, CIRJE, Faculty of Economics, University of Tokyo.
    4. Shinya Sugawara & Yasuhiro Omori, 2012. "An Econometric Analysis of Insurance Markets with Separate Identification for Moral Hazard and Selection Problems," CIRJE F-Series CIRJE-F-849, CIRJE, Faculty of Economics, University of Tokyo.

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.

    Cited by:

    1. José Fernando Moreno Gutiérrez & Luis Fernando Melo Velandia, 2011. "Pronóstico de incumplimientos de pago mediante máquinas de vectores de soporte: una aproximación inicial a la gestión del riesgo de crédito," Borradores de Economia 677, Banco de la Republica de Colombia.
    2. Ana Preda & Gheorghe Matei & Lorand Bogdanffy, 2016. "The Prognosis of the Main Indicators for Sizing the Global Insurance Market," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 16(2), pages 101-108.
    3. Diana Barro & Luca Barzanti & Marco Corazza & Martina Nardon, 2023. "Machine Learning and Fundraising: Applications of Artificial Neural Networks," Working Papers 2023: 33, Department of Economics, University of Venice "Ca' Foscari".
    4. Ana Preda & Mirela Monea & Lorand Bogdanffy, 2016. "Simulation Insured Results by Purchasing a Life Insurance," Annals of the University of Petrosani, Economics, University of Petrosani, Romania, vol. 16(2), pages 109-116.
    5. Valdez, Emiliano A. & Vadiveloo, Jeyaraj & Dias, Ushani, 2014. "Life insurance policy termination and survivorship," Insurance: Mathematics and Economics, Elsevier, vol. 58(C), pages 138-149.
    6. Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
    7. Michel DIETSCH & Olivier GONZALEZ, 2020. "Do late customer payments impact companies’ probability of default? [Les retards de paiement des clients impactent-ils la probabilité de défaillance des entreprises ?]," Bulletin de la Banque de France, Banque de France, issue 227.
    8. Shi, Peng & Valdez, Emiliano A., 2011. "A copula approach to test asymmetric information with applications to predictive modeling," Insurance: Mathematics and Economics, Elsevier, vol. 49(2), pages 226-239, September.
    9. Bąk Sylwia, 2020. "The problem of uncertainty and risk as a subject of research of the Nobel Prize Laureates in Economic Sciences," Journal of Economics and Management, Sciendo, vol. 39(1), pages 21-40, March.

  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.

    Cited by:

    1. Jesús Fernández-Villaverde & Juan F. Rubio-Ramirez, 2001. "Comparing dynamic equilibrium economies to data," FRB Atlanta Working Paper 2001-23, Federal Reserve Bank of Atlanta.
    2. Taisuke Otsu & Myung Hwan Seo & Yoon-Jae Whang, 2008. "Testing for Non-Nested Conditional Moment Restrictions Using Unconditional Empirical Likelihood," Cowles Foundation Discussion Papers 1660, Cowles Foundation for Research in Economics, Yale University.
    3. Dhaene, Geert & Scaillet, Olivier, 2000. "Reversed Score and Likelihood Ratio Tests," LIDAM Discussion Papers IRES 2000026, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    4. Sangjoon Kim & Neil Shephard & Siddhartha Chib, 1998. "Stochastic Volatility: Likelihood Inference and Comparison with ARCH Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 65(3), pages 361-393.
    5. Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999. "Bartlett Identities Tests," LIDAM Discussion Papers IRES 1999019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    6. J M C Santos Silva, 1996. "A Score Test for Non-nested Hypotheses with Applications to Discrete Data Models," Discussion Papers 96-28 ISSN 1350-6722, University College London, Department of Economics.
    7. Li, Tong, 2009. "Simulation based selection of competing structural econometric models," Journal of Econometrics, Elsevier, vol. 148(2), pages 114-123, February.
    8. Choi, Hwan-sik & Kiefer, Nicholas M., 2006. "Robust Model Selection in Dynamic Models with an Application to Comparing Predictive Accuracy," Working Papers 06-09, Cornell University, Center for Analytic Economics.

Books

  1. Christian Gourieroux & Joann Jasiak, 2015. "The Econometrics of Individual Risk: Credit, Insurance, and Marketing," Economics Books, Princeton University Press, edition 1, number 8433.

    Cited by:

    1. Peng Shi & Glenn M. Fung & Daniel Dickinson, 2022. "Assessing hail risk for property insurers with a dependent marked point process," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 185(1), pages 302-328, January.
    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.

  2. Gagliardini,Patrick & Gouriéroux,Christian, 2014. "Granularity Theory with Applications to Finance and Insurance," Cambridge Books, Cambridge University Press, number 9781107662889, January.
    See citations under working paper version above.
  3. Gourieroux,Christian, 2000. "Econometrics of Qualitative Dependent Variables," Cambridge Books, Cambridge University Press, number 9780521589857, January.

    Cited by:

    1. Cilasun, Seyit Mumin & Acar, Elif Oznur & Gunalp, Burak, 2015. "The Effects of Labor Market Reforms on the Labor Market Dynamics in Turkey," MPRA Paper 64767, University Library of Munich, Germany.
    2. Aschhoff, Birgit, 2009. "Who Gets the Money? The Dynamics of R&D Project Subsidies in Germany," ZEW Discussion Papers 08-018 [rev.], ZEW - Leibniz Centre for European Economic Research.
    3. Adolfo Barajas & Enrique López & Hugo Oliveros, 2001. "¿Por qué en Colombia el Crédito al Sector Privado es tan Reducido," Borradores de Economia 185, Banco de la Republica de Colombia.
    4. Coro Chasco & Patricio Aroca & Luc Anselin, 2019. "Probit Models for Grouped-data Migration Flows: A TheoreticalNote," Revista Economía, Fondo Editorial - Pontificia Universidad Católica del Perú, vol. 42(84), pages 1-8.
    5. Elena-Ivona DUMITRESCU, 2011. "Backesting Value-at-Risk: From DQ (Dynamic Quantile) to DB (Dynamic Binary) Tests," LEO Working Papers / DR LEO 262, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.
    6. Fabio Trojani & Francesco Audrino, 2005. "Accurate Yield Curve Scenarios Generation using Functional Gradient Descent," Computing in Economics and Finance 2005 14, Society for Computational Economics.
    7. Bowker, James Michael & Starbuck, C. Meghan & English, Donald B.K. & Bergstrom, John C. & Rosenberger, Randall S. & McCollum, Daniel W., 2009. "Estimating the Net Economic Value of National Forest Recreation: An Application of the National Visitor Use Monitoring Database," Faculty Series 59603, University of Georgia, Department of Agricultural and Applied Economics.
    8. Rowe, Francisco/F & Aroca, Patricio/P, 2008. "Eficiencia de la migración interregional en Chile para ajustar el mercado laboral [Interregional migration efficiency in adjusting regional labour markets in Chile]," MPRA Paper 36222, University Library of Munich, Germany.
    9. Aysit Tansel & Elif Oznur Kan, 2012. "Labor Mobility across the Formal/Informal Divide in Turkey - Evidence from Individual Level Data," Working Papers 691, Economic Research Forum, revised 2012.
    10. Ramona Mariana CALINICA & Daniel CALINICA, 2012. "Identification, Analysis, Modeling and Prediction of Time Series Characterizing the Indicators of Asset Structure in the Credit Institutions Operating in Romania," Economics and Applied Informatics, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, issue 2, pages 89-96.
    11. Massimiliano Bratti & Alfonso Miranda, 2011. "Endogenous treatment effects for count data models with endogenous participation or sample selection," Mexican Stata Users' Group Meetings 2011 05, Stata Users Group.
    12. Baird, Matthew & Daugherty, Lindsay & Kumar, Krishna B., 2019. "Improving Estimation of Labor Market Disequilibrium Using Shortage Indicators, with an Application to the Market for Anesthesiologists," IZA Discussion Papers 12129, Institute of Labor Economics (IZA).
    13. Alan Collins & Richard I. D. Harris, 2005. "The Impact Of Foreign Ownership And Efficiency On Pollution Abatement Expenditure By Chemical Plants: Some Uk Evidence," Scottish Journal of Political Economy, Scottish Economic Society, vol. 52(5), pages 747-768, November.
    14. Worku, Gebeyehu, 2006. "Is the Ethiopian Leather industry on the right track?: an Empirical investigation," Ethiopian Journal of Economics, Ethiopian Economics Association, vol. 10(2), pages 103-103, April.
    15. Matthew Baird & Lindsay Daugherty & Krishna Kumar, 2017. "Improving Estimation of Labor Market Disequilibrium through Inclusion of Shortage Indicators," CINCH Working Paper Series 1701, Universitaet Duisburg-Essen, Competent in Competition and Health.
    16. Barros, Henrique M., 2021. "Neither at the cutting edge nor in a patent-friendly environment: Appropriating the returns from innovation in a less developed economy," Research Policy, Elsevier, vol. 50(1).
    17. V.V. Davnis & V.I. Tinyakova & A.O. Blinov & Yu.V. Volodin, 2019. "Combined Modeling of Projected Evaluation of the Regional Socio-economic Development," International Journal of Economics & Business Administration (IJEBA), International Journal of Economics & Business Administration (IJEBA), vol. 0(Special 1), pages 348-354.
    18. Rondinelli, Concetta & Aassve, Arnstein & C. Billari, Francesco, 2006. "Income and childbearing decisions: evidence from Italy," ISER Working Paper Series 2006-06, Institute for Social and Economic Research.
    19. Albert Esteve & Coro Chasco & Antonio López-Gay, 2022. "Modeling Local Variations in Intermarriage," Mathematics, MDPI, vol. 10(7), pages 1-18, March.
    20. Matteo PICCHIO, 2006. "Wage Differentials between Temporary and Permanent Workers in Italy," Working Papers 257, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali.
    21. Peter Christoffersen & Denis Pelletier, 2003. "Backtesting Value-at-Risk: A Duration-Based Approach," CIRANO Working Papers 2003s-05, CIRANO.
    22. Fabio Trojani, 2007. "Accurate Short-Term Yield Curve Forecasting using Functional Gradient Descent," Journal of Financial Econometrics, Oxford University Press, vol. 5(4), pages 591-623, Fall.
    23. Atems Bebonchu & Bergtold Jason, 2016. "Revisiting the statistical specification of near-multicollinearity in the logistic regression model," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 20(2), pages 199-210, April.
    24. Stephane Lhuillery, 2006. "Voluntary technological disclosure as an efficient knowledge management device: An empirical study," Economics of Innovation and New Technology, Taylor & Francis Journals, vol. 15(4-5), pages 465-491.
    25. Oskam, Arie J. & Goncharova, Natalia V. & Verstegen, Jos A.A.M., 2009. "The decision to invest and the investment level: An application to Dutch glasshouse horticulture firms," 2009 Conference, August 16-22, 2009, Beijing, China 51574, International Association of Agricultural Economists.
    26. DAUTEL Vincent & WALTHER Olivier, 2011. "The geography of innovation in the Luxembourg metropolitan region: an intra-regional approach," LISER Working Paper Series 2011-38, Luxembourg Institute of Socio-Economic Research (LISER).
    27. Aroca Gonzalez, Patricio & Maloney, William F., 2005. "Migration, trade, and foreign investment in Mexico," Policy Research Working Paper Series 3601, The World Bank.
    28. Carlos Medina D. & Jairo Núñez M., 2006. "La oferta de servicios del sector financiero formal en Bogotá," Coyuntura Social 12890, Fedesarrollo.
    29. Cristina COCULESCU & Aura-Marilena DIN, 2014. "Possibilities Of Quantitative Study Of Some Qualitative Processes In Economy," Romanian Economic Business Review, Romanian-American University, vol. 9(4), pages 7-18, december.
    30. Lynes, Melissa K. & Bergtold, Jason S. & Williams, Jeffery R. & Fewell, Jason E., 2012. "Determining Farmers’ Willingness-To-Grow Cellulosic Biofuel Feedstocks on Agricultural Land," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington 124777, Agricultural and Applied Economics Association.
    31. Embaye, Weldensie T. & Bergtold, Jason S. & Archer, David & Flora, Cornelia & Andrango, Graciela C. & Odening, Marting & Buysse, Jeroen, 2018. "Examining farmers' willingness to grow and allocate land for oilseed crops for biofuel production," Energy Economics, Elsevier, vol. 71(C), pages 311-320.
    32. Jonathan Crook & Tony Bellotti, 2010. "Time varying and dynamic models for default risk in consumer loans," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 173(2), pages 283-305, April.
    33. Richard B. Goud Jr., 2002. "Ownership and Firm Performance: Evidence from 25 Countries in Central and Eastern Europe and the Former Soviet Union," Development and Comp Systems 0207002, University Library of Munich, Germany.
    34. Ivan Faiella & Alessandro Mistretta, 2020. "Energy costs and competitiveness in Europe," Temi di discussione (Economic working papers) 1259, Bank of Italy, Economic Research and International Relations Area.
    35. Elena-Ivona Dumitrescu & Christophe Hurlin & Vinson Pham, 2012. "Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests," Working Papers halshs-00671658, HAL.
    36. William Maloney & Patricio Aroca, 2004. "Migration, Trade and FDI in Mexico," Econometric Society 2004 Latin American Meetings 329, Econometric Society.
    37. Campus, Daniela, 2017. "Gender differentials in agricultural productivity: an empirical evidence from Uganda," 2017 Sixth AIEAA Conference, June 15-16, Piacenza, Italy 261259, Italian Association of Agricultural and Applied Economics (AIEAA).
    38. Czarnitzki, Dirk, 2002. "Research and development: financial constraints and the role of public funding for small and medium-sized enterprises," ZEW Discussion Papers 02-74, ZEW - Leibniz Centre for European Economic Research.
    39. Gwatidzo, Tendai & Ojah, Kalu, 2014. "Firms’ debt choice in Africa: Are institutional infrastructure and non-traditional determinants important?," International Review of Financial Analysis, Elsevier, vol. 31(C), pages 152-166.
    40. Huettel, Silke & Jongeneel, Roelof A., 2009. "Impact of the EU Milk Quota on Structural Change in the Dairy Sectors of Germany and The Netherlands," 2009 Conference, August 16-22, 2009, Beijing, China 50943, International Association of Agricultural Economists.
    41. Bjornsen, Marte, 2002. "Probabilistic modelling of the joint labour decisions of husband and wife in farm households," ERSA conference papers ersa02p513, European Regional Science Association.
    42. Enrico Fabrizi, 2009. "The Determinants of Labour Market Transitions," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, vol. 68(2), pages 233-265, July.
    43. Bjornsen, Hild-Marte, 2002. "Probabilistic Modelling of the Joint Labour Decisions of Husband and Wife in Farm Households," Workshop on the Farm Household-Firm Unit: Its Importance in Agriculture and Implications for Statistics, April 12-13,2002, Wye Campus, Imperial College 15717, International Agricultural Policy Reform and Adjustment Project (IAPRAP).
    44. Defrancesco, Edi, 2002. "The Beginning Of Organic Fish Farming In Italy," Working Papers 14367, University of Minnesota, Center for International Food and Agricultural Policy.
    45. Magdalena Olczyk & Marta Ewa Kuc-Czarnecka, 2021. "Determinants of COVID-19 Impact on the Private Sector: A Multi-Country Analysis Based on Survey Data," Energies, MDPI, vol. 14(14), pages 1-17, July.
    46. Ramalho, Esmeralda A. & Ramalho, Joaquim J.S., 2010. "Is neglected heterogeneity really an issue in binary and fractional regression models? A simulation exercise for logit, probit and loglog models," Computational Statistics & Data Analysis, Elsevier, vol. 54(4), pages 987-1001, April.
    47. Zhao, Shangwei & Zhou, Jianhong & Yang, Guangren, 2019. "Averaging estimators for discrete choice by M-fold cross-validation," Economics Letters, Elsevier, vol. 174(C), pages 65-69.
    48. Czarnitzki, Dirk & Rammer, Christian, 2001. "Technology transfer and the Internet: a chance for outsiders at public science to get into the business?," ZEW Discussion Papers 01-54, ZEW - Leibniz Centre for European Economic Research.
    49. Kraft, Kornelius & Czarnitzki, Dirk, 2001. "Firm leadership and innovative performance: evidence from seven EU Countries," ZEW Discussion Papers 01-35, ZEW - Leibniz Centre for European Economic Research.
    50. Concetta Rondinelli & Arnstein Aassve & Francesco Billari, 2010. "Women´s wages and childbearing decisions: Evidence from Italy," Demographic Research, Max Planck Institute for Demographic Research, Rostock, Germany, vol. 22(19), pages 549-578.
    51. Arturo Harker & Andrés Molano & Juan-Camilo Cristancho, 2017. "Ecological Factors Associated to Social and Emotional Skill Development: Chronic exposure to violence in the context of the Colombian Civil Conflict," Documentos de trabajo 17649, Escuela de Gobierno - Universidad de los Andes.
    52. J.S. Cramer, 2005. "Omitted Variables and Misspecified Disturbances in the Logit Model," Tinbergen Institute Discussion Papers 05-084/4, Tinbergen Institute.
    53. Bowker, James Michael & English, Donald B.K. & Bergstrom, John C. & Starbuck, C. Meghan, 2005. "Valuing National Forest Recreation Access: Using a Stratified On-Site Sample to Generate Values Across Activities for a Nationally Pooled Sample," 2005 Annual meeting, July 24-27, Providence, RI 19506, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    54. Azeem, Muhammad Masood & Baker, Derek & Villano, Renato A. & Mounter, Stuart & Griffith, Garry, 2018. "Food shoppers’ share of wallet: A small city case in a changing competitive environment," Journal of Retailing and Consumer Services, Elsevier, vol. 43(C), pages 119-130.
    55. Anna Kaliciak & Radoslaw Kurach & Walid Merouani, 2016. "Who is Eager to Save for Retirement – the Cross-Country Evidence," LWS Working papers 23, LIS Cross-National Data Center in Luxembourg.
    56. Barros, Henrique M., 2008. "The interaction between patents and other appropriability mechanisms: firm-level evidence from UK manufacturing," Insper Working Papers wpe_105, Insper Working Paper, Insper Instituto de Ensino e Pesquisa.
    57. Florian Umlauf, 2014. "Network Determinants of a Collaborative Funding System: The Case of the German Innovation Policy," Papers on Economics and Evolution 2014-03, Philipps University Marburg, Department of Geography.
    58. Bergtold, Jason S. & Spanos, Aris, 2005. "Bernoulli Regression Models: Re-examining Statistical Models with Binary Dependent Variables," 2005 Annual meeting, July 24-27, Providence, RI 19282, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    59. Reize, Frank, 2001. "FIML estimation of a bivariate probit selection rule: an application on firm growth and subsidisation," ZEW Discussion Papers 01-13, ZEW - Leibniz Centre for European Economic Research.
    60. Ramon Antonio, Rosales Alvarez & Jorge Andres, Perdomo Calvo & Carlos Andres, Morales Torrado & Jaime Alejandro, Urrego Mondragon, 2009. "Fundamentos de econometría intermedia: Teoría y aplicaciones [Intermediate economics: Theory and applications]," MPRA Paper 37183, University Library of Munich, Germany.
    61. Matthew D. Baird & Lindsay Daugherty & Krishna B. Kumar, 2017. "Improving Estimation of Labor Market Disequilibrium Through Inclusion of Shortage Indicators," Working Papers WR-1175, RAND Corporation.
    62. Barreiro-Hurlé, Jesús & Gracia, Azucena & de-Magistris, Tiziana, 2010. "Does nutrition information on food products lead to healthier food choices?," Food Policy, Elsevier, vol. 35(3), pages 221-229, June.
    63. Ramona Mariana CALINICA & Daniel CALINICA & Daniela Ancuta SARPE, 2011. "Identification, Analysis, Modeling and Prediction of Time Series Characterizing the Indicators of Asset Structure in the Credit Institutions Operating in Romania," Risk in Contemporary Economy, "Dunarea de Jos" University of Galati, Faculty of Economics and Business Administration, pages 358-366.
    64. Donato Masciandaro, 2008. "Offshore financial centres: the political economy of regulation," European Journal of Law and Economics, Springer, vol. 26(3), pages 307-340, December.
    65. Czarnitzki, Dirk & Toole, Andrew A., 2006. "Business R&D and the Interplay of R&D Subsidies and Market Uncertainty," ZEW Discussion Papers 06-055, ZEW - Leibniz Centre for European Economic Research.
    66. Selahattin GURIS & Irem SACAKLI SACILDI & Elif GUNEREN GENC, 2015. "Determining the Effects of Factors on FDI in Global Crisis Period," International Journal of Economics and Financial Issues, Econjournals, vol. 5(1), pages 1-10.
    67. Lynes, Melissa K. & Bergtold, Jason S. & Williams, Jeffery R. & Fewell, Jason E., 2016. "Willingness of Kansas farm managers to produce alternative cellulosic biofuel feedstocks: An analysis of adoption and initial acreage allocation," Energy Economics, Elsevier, vol. 59(C), pages 336-348.
    68. Izabela Majer, 2006. "Application scoring: logit model approach and the divergence method compared," Working Papers 17, Department of Applied Econometrics, Warsaw School of Economics.
    69. Almus, Matthias, 2001. "Evaluating the impact of public start-up assistance: results from an econometric approach," ZEW Discussion Papers 01-23, ZEW - Leibniz Centre for European Economic Research.
    70. Jerzy Marzec & Stanisław Czyż & Piotr Styrkowiec, 2015. "Grouped probit regression analysis for shooting effectiveness in basketball," Collegium of Economic Analysis Annals, Warsaw School of Economics, Collegium of Economic Analysis, issue 39, pages 135-150.
    71. Christophe HURLIN & Sessi TOKPAVI, 2006. "Backtesting VaR Accuracy: A Simple and Powerful Test," LEO Working Papers / DR LEO 268, Orleans Economics Laboratory / Laboratoire d'Economie d'Orleans (LEO), University of Orleans.

  4. Gourieroux, Christian & Monfort, Alain, 1997. "Simulation-based Econometric Methods," OUP Catalogue, Oxford University Press, number 9780198774754.

    Cited by:

    1. Chéron, Arnaud & Hairault, Jean-Olivier & Langot, François, 2004. "Labor Market Institutions and the Employment-Productivity Trade-Off: A Wage Posting Approach," IZA Discussion Papers 1364, Institute of Labor Economics (IZA).
    2. Pavel Čížek & Jinghua Lei & Jenny E. Ligthart, 2017. "Do Neighbours Influence Value-Added-Tax Introduction? A Spatial Duration Analysis," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 79(1), pages 25-54, February.
    3. P. Jenkins, Stephen & Osberg, Lars, 2003. "Nobody to play with? The implications of leisure coordination," ISER Working Paper Series 2003-19, Institute for Social and Economic Research.
    4. Tsyplakov, Alexander, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models," MPRA Paper 25511, University Library of Munich, Germany.
    5. Kanabar, Ricky, 2016. "In or out? Poverty dynamics among older individuals in the UK," ISER Working Paper Series 2016-08, Institute for Social and Economic Research.
    6. Aguirregabiria, Victor & Magesan, Arvind, 2013. "Euler Equations for the Estimation of Dynamic Discrete Choice Structural," MPRA Paper 46056, University Library of Munich, Germany.
    7. Eric French, 2005. "The Effects of Health, Wealth, and Wages on Labour Supply and Retirement Behaviour," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 72(2), pages 395-427.
    8. Yan Ji, 2017. "Job Search under Debt: Aggregate Implications of Student Loans," 2017 Meeting Papers 222, Society for Economic Dynamics.
    9. Daniel Navarro-Martinez & Graham Loomes & Andrea Isoni & David Butler & Larbi Alaoui, 2018. "Boundedly rational expected utility theory," Journal of Risk and Uncertainty, Springer, vol. 57(3), pages 199-223, December.
    10. Eric French & John BaileyJones, 2007. "The Effects of Health Insurance and Self-Insurance on Retirement Behavior," Working Papers wp170, University of Michigan, Michigan Retirement Research Center.
    11. Sarrias, Mauricio, 2016. "Discrete Choice Models with Random Parameters in R: The Rchoice Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 74(i10).
    12. Komunjer, Ivana & Ragusa, Giuseppe, 2016. "Existence And Characterization Of Conditional Density Projections," Econometric Theory, Cambridge University Press, vol. 32(4), pages 947-987, August.
    13. Alastair R. Hall & Atsushi Inoue & James M Nason & Barbara Rossi, 2009. "Information Criteria for Impulse Response Function Matching Estimation of DSGE Models," Centre for Growth and Business Cycle Research Discussion Paper Series 127, Economics, The University of Manchester.
    14. Yang Lu, 2018. "Dynamic Frailty Count Process in Insurance: A Unified Framework for Estimation, Pricing, and Forecasting," Post-Print halshs-02418950, HAL.
    15. Raphael Schoenle, 2017. "International Menu Costs and Price Dynamics," Review of International Economics, Wiley Blackwell, vol. 25(3), pages 578-606, August.
    16. Jae Wook Jung & Ina Simonovska & Ariel Weinberger, 2015. "Exporter Heterogeneity and Price Discrimination: A Quantitative View," NBER Working Papers 21408, National Bureau of Economic Research, Inc.
    17. Druedahl Jeppe & Jørgensen Thomas H., 2017. "Persistent vs. Permanent Income Shocks in the Buffer-Stock Model," The B.E. Journal of Macroeconomics, De Gruyter, vol. 17(1), pages 1-16, January.
    18. Irina A. Telyukova, 2007. "Household Need for Liquidity and the Credit Card Debt Puzzle," 2007 Meeting Papers 515, Society for Economic Dynamics.
    19. Sundström, David, 2016. "A Comparison of Techniques to Evaluate Policies in Public Procurement," Umeå Economic Studies 928, Umeå University, Department of Economics, revised 17 Jun 2016.
    20. Efstathios Panayi & Gareth W. Peters, 2015. "Stochastic simulation framework for the limit order book using liquidity-motivated agents," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 2(02), pages 1-52.
    21. Giovanni Ponti & Claudio Rossetti, 2018. "Unobserved Heterogeneity in Structural Behavioral Models Using Experimental Data," CSEF Working Papers 512, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
    22. Òscar Jordà & Sharon Kozicki, 2007. "Estimation and Inference by the Method of Projection Minimum Distance," Staff Working Papers 07-56, Bank of Canada.
    23. Nikhil Agarwal, 2014. "An Empirical Model of the Medical Match," NBER Working Papers 20767, National Bureau of Economic Research, Inc.
    24. Philipp Eisenhauer & James J. Heckman & Stefano Mosso, 2015. "Estimation Of Dynamic Discrete Choice Models By Maximum Likelihood And The Simulated Method Of Moments," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 56(2), pages 331-357, May.
    25. Thierry Kamionka & Xavier VU NGOC, 2015. "Trajectoire des jeunes sur le marché du travail, quartier d’origine et diplôme : une modélisation dynamique," Working Papers 2015-01, Center for Research in Economics and Statistics.
    26. Fernández-Villaverde, Jesús & Zarruk Valencia , David, 2018. "A Practical Guide to Parallelization in Economics," CEPR Discussion Papers 12890, C.E.P.R. Discussion Papers.
    27. Dang,Hai-Anh H. & Lanjouw,Peter F. & Serajuddin,Umar & Dang,Hai-Anh H. & Lanjouw,Peter F. & Serajuddin,Umar, 2014. "Updating poverty estimates at frequent intervals in the absence of consumption data : methods and illustration with reference to a middle-income country," Policy Research Working Paper Series 7043, The World Bank.
    28. Denis Fougère & Jacqueline Pradel & Muriel Roger, 2005. "Does Job-Search Assistance Affect Search Effort and Outcomes ? A Microeconometric Analysis of Public Versus Private Search Methods," Working Papers 2005-33, Center for Research in Economics and Statistics.
    29. Mauricio Sarrias, 2020. "Random Parameters and Spatial Heterogeneity using Rchoice in R," REGION, European Regional Science Association, vol. 7, pages 1-19.
    30. Denis Fougère & Jacqueline Pradel & Muriel Roger, 2009. "Does the public employment service affect search effort and outcomes," Post-Print halshs-00824380, HAL.
    31. Shuowen Chen, 2022. "Indirect Inference for Nonlinear Panel Models with Fixed Effects," Papers 2203.10683, arXiv.org, revised Apr 2022.
    32. Franco Peracchi & Claudio Rossetti, 2022. "A nonlinear dynamic factor model of health and medical treatment," Health Economics, John Wiley & Sons, Ltd., vol. 31(6), pages 1046-1066, June.
    33. Pelin Akyol & James Key & Kala Krishna, 2022. "Hit or Miss? Test Taking Behavior in Multiple Choice Exams," Annals of Economics and Statistics, GENES, issue 147, pages 3-50.
    34. Vicky Fasen‐Hartmann & Sebastian Kimmig, 2020. "Robust estimation of stationary continuous‐time arma models via indirect inference," Journal of Time Series Analysis, Wiley Blackwell, vol. 41(5), pages 620-651, September.
    35. Victor Aguirregabiria & Arvind Magesan, 2013. "Euler Equations for the Estimation of Dynamic Discrete Choice Structural Models," Working Papers tecipa-489, University of Toronto, Department of Economics.
    36. Alexander Tsyplakov, 2010. "Revealing the arcane: an introduction to the art of stochastic volatility models (in Russian)," Quantile, Quantile, issue 8, pages 69-122, July.
    37. Francesco Lamperti, 2016. "Empirical Validation of Simulated Models through the GSL-div: an Illustrative Application," LEM Papers Series 2016/18, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy.
    38. Sarrias, Mauricio & Daziano, Ricardo, 2017. "Multinomial Logit Models with Continuous and Discrete Individual Heterogeneity in R: The gmnl Package," Journal of Statistical Software, Foundation for Open Access Statistics, vol. 79(i02).
    39. Lee, Donghoon & Song, Kyungchul, 2015. "Simulated maximum likelihood estimation for discrete choices using transformed simulated frequencies," Journal of Econometrics, Elsevier, vol. 187(1), pages 131-153.
    40. Jonathan Chassot & Michael Creel, 2023. "Constructing Efficient Simulated Moments Using Temporal Convolutional Networks," Working Papers 1412, Barcelona School of Economics.
    41. Nguyen, Ha Trong & Connelly, Luke Brian, 2014. "The effect of unpaid caregiving intensity on labour force participation: Results from a multinomial endogenous treatment model," Social Science & Medicine, Elsevier, vol. 100(C), pages 115-122.
    42. Gagliardini, Patrick & Gouriéroux, Christian, 2019. "Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects," Journal of Econometrics, Elsevier, vol. 208(2), pages 613-637.
    43. Stephen J. Terry, 2015. "The Macro Impact of Short-Termism," Discussion Papers 15-022, Stanford Institute for Economic Policy Research.
    44. Hanno Lustig, 2004. "How much Does Household Collateral Constrain Regional Risk Sharing? (joint with Stijn Van Nieuwerburgh) (updated February 2006)," UCLA Economics Online Papers 302, UCLA Department of Economics.
    45. Roberto Leombruni & Matteo Richiardi & Nicole J. Saam & Michele Sonnessa, 2005. "A Common Protocol for Agent-Based Social Simulation," LABORatorio R. Revelli Working Papers Series 47, LABORatorio R. Revelli, Centre for Employment Studies.
    46. Efstathios Panayi & Gareth Peters, 2015. "Stochastic simulation framework for the Limit Order Book using liquidity motivated agents," Papers 1501.02447, arXiv.org, revised Jan 2015.
    47. Leombruni, Roberto & Richiardi, Matteo, 2005. "Why are economists sceptical about agent-based simulations?," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 355(1), pages 103-109.
    48. Bayraktar, Nihal & Sakellaris, Plutarchos & Vermeulen, Philip, 2005. "Real versus financial frictions to capital investment," Working Paper Series 566, European Central Bank.
    49. A. Kamakura, Wagner & Afonso Mazzon, Jose & De Bruyn, Arnaud, 2006. "Modeling voter choice to predict the final outcome of two-stage elections," International Journal of Forecasting, Elsevier, vol. 22(4), pages 689-706.
    50. Ken Moon & Kostas Bimpikis & Haim Mendelson, 2018. "Randomized Markdowns and Online Monitoring," Management Science, INFORMS, vol. 64(3), pages 1271-1290, March.
    51. Bruno Contini & Roberto Leombruni & Matteo Richiardi, 2004. "Editorial," Advances in Complex Systems (ACS), World Scientific Publishing Co. Pte. Ltd., vol. 7(02), pages 125-138.
    52. Elisa Baroni & Matteo Richiardi, 2007. "Orcutt’s Vision, 50 years on," LABORatorio R. Revelli Working Papers Series 65, LABORatorio R. Revelli, Centre for Employment Studies.

  5. Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083, January.

    Cited by:

    1. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2020. "Modelling Time-Varying Parameters in Panel Data State-Space Frameworks: An Application to the Feldstein–Horioka Puzzle," Computational Economics, Springer;Society for Computational Economics, vol. 56(1), pages 87-114, June.
    2. DUFOUR, Jean-Marie & PELLETIER, Denis & RENAULT, Éric, 2003. "Short Run and Long Run Causality in Time Series : Inference," Cahiers de recherche 14-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    3. Jean-Marie Dufour & Tarek Jouini, 2005. "Finite-Sample Simulation-Based Inference in VAR Models with Applications to Order Selection and Causality Testing," CIRANO Working Papers 2005s-26, CIRANO.
    4. Gourieroux, Christian & Jasiak, Joann, 2010. "Inference for Noisy Long Run Component Process," MPRA Paper 98987, University Library of Munich, Germany.
    5. Lavan Mahadeva & Alex Muscatelli, 2005. "National Accounts Revisions and Output Gap Estimates in a Model of Monetary Policy with Data Uncertainty," Discussion Papers 14, Monetary Policy Committee Unit, Bank of England.
    6. Korn, Olaf & Koziol, Christian, 2006. "Bond portfolio optimization: A risk-return approach," CFR Working Papers 06-03, University of Cologne, Centre for Financial Research (CFR).
    7. Menelaos Karanasos, "undated". "The Covariance Structure of Mixed ARMA Models," Discussion Papers 00/11, Department of Economics, University of York.
    8. Warsono Warsono & Edwin Russels & Wamiliana Wamiliana & Widiarti Widiarti & Mustofa Usman, 2019. "Vector Autoregressive with Exogenous Variable Model and its Application in Modeling and Forecasting Energy Data: Case Study of PTBA and HRUM Energy," International Journal of Energy Economics and Policy, Econjournals, vol. 9(2), pages 390-398.
    9. Monica Billio & Maddalena Cavicchioli, 2013. "�Markov Switching Models for Volatility: Filtering, Approximation and Duality�," Working Papers 2013:24, Department of Economics, University of Venice "Ca' Foscari".
    10. Taoufik Bouezmarni & Abderrahim Taamouti, 2014. "Nonparametric tests for conditional independence using conditional distributions," Journal of Nonparametric Statistics, Taylor & Francis Journals, vol. 26(4), pages 697-719, December.
    11. von Cramon-Taubadel, Stephan & Loy, Jens-Peter & Meyer, Jochen, 2006. "Data Aggregation and Vertical Price Transmission: An Experiment with German Food Prices," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25291, International Association of Agricultural Economists.
    12. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2002. "The Empirical (ir)Relevance of the New Keynesian Phillips Curve," Working Paper Series 2102, Department of Economics, Norwegian University of Science and Technology.
    13. Kiseok Nam & Joshua Krausz & Augustine C. Arize, 2014. "Revisiting the intertemporal risk-return relation: asymmetrical effect of unexpected volatility shocks," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2193-2203, December.
    14. Jonathan McCarthy & Egon Zakrajšek, 2002. "Inventory dynamics and business cycles: what has changed?," Staff Reports 156, Federal Reserve Bank of New York.
    15. Simeonova-Ganeva, Ralitsa, 2006. "Влияние На Човешкия Капитал Върху Икономическия Растеж (България, 1949-2005 Г.) [The Impact of Human Capital on the Economic Growth (Bulgaria, 1949-2005)]," MPRA Paper 37244, University Library of Munich, Germany.
    16. jose ramos pires manso, 2004. "Economical Versus Political Cycles In An Iberian Manufacturing Sector," Industrial Organization 0404003, University Library of Munich, Germany.
    17. Christina Bannier, 2003. "The Role of Information Disparity in the 1994/95 Mexican Peso," International Finance 0310001, University Library of Munich, Germany.
    18. Jean-François Richard, 2015. "Likelihood Based Inference and Prediction in Spatio-temporal Panel Count Models for Urban Crimes," Working Paper 5657, Department of Economics, University of Pittsburgh.
    19. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP.
    20. S.M.Husnain Bokhari & Ishaque Ahmed Ansari, 2009. "Seasonal Adjustment Of Some Financial Indicators Of Pakistan," IBT Journal of Business Studies (JBS), Ilma University, Faculty of Management Science, vol. 5(2), pages 107-123.
    21. Jeong-Ryeol Kurz-Kim, 2008. "Combining forecasts using optimal combination weight and generalized autoregression," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 27(5), pages 419-432.
    22. Michel Fliess & C'edric Join & Fr'ed'eric Hatt, 2011. "Is a probabilistic modeling really useful in financial engineering? - A-t-on vraiment besoin d'un mod\`ele probabiliste en ing\'enierie financi\`ere ?," Papers 1104.2124, arXiv.org, revised May 2011.
    23. Lemmens, Aurélie & Croux, Christophe & Dekimpe, Marnik G., 2008. "Measuring and testing Granger causality over the spectrum: An application to European production expectation surveys," International Journal of Forecasting, Elsevier, vol. 24(3), pages 414-431.
    24. Toni Stocker, 2007. "On the asymptotic bias of OLS in dynamic regression models with autocorrelated errors," Statistical Papers, Springer, vol. 48(1), pages 81-93, January.
    25. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2018. "FH Puzzle in the Eurozone: A time-varying analysis Preliminary Draft," Working Papers 1813, Department of Applied Economics II, Universidad de Valencia.
    26. Asim Zia, 2012. "Land Use Adaptation to Climate Change: Economic Damages from Land-Falling Hurricanes in the Atlantic and Gulf States of the USA, 1900–2005," Sustainability, MDPI, vol. 4(5), pages 1-16, May.
    27. Ausloos, M, 2002. "Empirical Analysis of Time Series," MPRA Paper 28700, University Library of Munich, Germany.
    28. Helmut Luetkepohl, 2007. "Econometric Analysis with Vector Autoregressive Models," Economics Working Papers ECO2007/11, European University Institute.
    29. Maddalena Cavicchioli, 2016. "Weak VARMA representations of regime-switching state-space models," Statistical Papers, Springer, vol. 57(3), pages 705-720, September.
    30. Schnabl, Gunther & Baur, Dirk, 2001. "Purchasing power parity: Granger causality tests for the yen-dollar exchange rate," Tübinger Diskussionsbeiträge 213, University of Tübingen, School of Business and Economics.
    31. von Cramon-Taubadel, Stephan & Loy, Jens-Peter & Meyer, Jochen, 2003. "The Impact Of Data Aggregation On The Measurement Of Vertical Price Transmission: Evidence From German Food Prices," 2003 Annual meeting, July 27-30, Montreal, Canada 21987, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    32. Bårdsen, Gunnar & Jansen, Eilev S. & Nymoen, Ragnar, 2003. "Testing the New Keynesian Phillips curve," Memorandum 18/2002, Oslo University, Department of Economics.
    33. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2000. "Model Specification and Inflation Forecast Uncertainty," Working Paper Series 1302, Department of Economics, Norwegian University of Science and Technology, revised 29 Jan 2002.
    34. Gunnar Bårdsen & Eilev S. Jansen & Ragnar Nymoen, 2004. "Econometric Evaluation of the New Keynesian Phillips Curve," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 66(s1), pages 671-686, September.
    35. Jos'e Vin'icius de Miranda Cardoso & Jiaxi Ying & Daniel Perez Palomar, 2020. "Algorithms for Learning Graphs in Financial Markets," Papers 2012.15410, arXiv.org.
    36. Burkhard Raunig, 2023. "Using causal graphs to test for the direction of instantaneous causality between economic policy uncertainty and stock market volatility," Empirical Economics, Springer, vol. 65(4), pages 1579-1598, October.
    37. Roman Liesenfeld & Jean‐François Richard & Jan Vogler, 2017. "Likelihood‐Based Inference and Prediction in Spatio‐Temporal Panel Count Models for Urban Crimes," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 32(3), pages 600-620, April.
    38. Michel Fliess & Cédric Join & Frédéric Hatt, 2011. "Is a probabilistic modeling really useful in financial engineering? [A-t-on vraiment besoin d'un modèle probabiliste en ingénierie financière ?]," Post-Print hal-00585152, HAL.
    39. Dufour, Jean-Marie & Jouini, Tarek, 2006. "Finite-sample simulation-based inference in VAR models with application to Granger causality testing," Journal of Econometrics, Elsevier, vol. 135(1-2), pages 229-254.
    40. Yaya, OlaOluwa S. & Lukman, Adewale F. & Vo, Xuan Vinh, 2022. "Persistence and volatility spillovers of bitcoin price to gold and silver prices," Resources Policy, Elsevier, vol. 79(C).
    41. Stephan von Cramon-Taubadel & Jens-Peter Loy & Jochen Meyer, 2006. "The impact of cross-sectional data aggregation on the measurement of vertical price transmission: An experiment with German food prices," Agribusiness, John Wiley & Sons, Ltd., vol. 22(4), pages 505-522.
    42. Bardsen, Gunnar & Eitrheim, Oyvind & Jansen, Eilev S. & Nymoen, Ragnar, 2005. "The Econometrics of Macroeconomic Modelling," OUP Catalogue, Oxford University Press, number 9780199246502.
    43. Juan Carlos Cuestas, 2012. "A Note on the Current Account Sustainability of European Transition Economies," Working Papers 2012011, The University of Sheffield, Department of Economics.
    44. Bouezmarni, Taoufik & El Ghouch, Anouar, 2012. "Nonparametric estimation and inference for Granger causality measures," UC3M Working papers. Economics 14150, Universidad Carlos III de Madrid. Departamento de Economía.
    45. Ali Altug Bicer & Isam Abdelhafid A. Milad, 2020. "The Impact of Firm Characteristics on the Level of Voluntary Disclosure: Evidence from Listed Banks in Borsa Istanbul," International Journal of Finance & Banking Studies, Center for the Strategic Studies in Business and Finance, vol. 9(2), pages 13-25, April.
    46. Héctor Mauricio Nunez Amortegui, 2005. "Una evaluación de los pronósticos de inflación en Colombia bajo el esquema de inflación objetivo," Revista de Economía del Rosario, Universidad del Rosario, December.
    47. Yonghong Chen & Steven L. Bressler & Mingzhou Ding, 2009. "Dynamics on networks: assessing functional connectivity with Granger causality," Computational and Mathematical Organization Theory, Springer, vol. 15(4), pages 329-350, December.
    48. Schulz, Rainer, 2002. "Real estate valuation according to standardized methods: An empirical analysis," SFB 373 Discussion Papers 2002,55, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    49. Dufour, Jean-Marie & Taamouti, Abderrahim, 2010. "Short and long run causality measures: Theory and inference," Journal of Econometrics, Elsevier, vol. 154(1), pages 42-58, January.
    50. Filippo Altissimo & Alberto Locarno & Stefano Siviero, 2002. "Dealing with forward-looking expectations and policy rules in quantifying the channels of transmission of monetary policy," Temi di discussione (Economic working papers) 460, Bank of Italy, Economic Research and International Relations Area.
    51. Jardet, C. & Monfort, A. & Pegoraro, F., 2009. "No-arbitrage Near-Cointegrated VAR(p) Term Structure Models, Term Premia and GDP Growth," Working papers 234, Banque de France.
    52. Paniagua, Jordi & Sapena, Juan & Tamarit, Cecilio, 2017. "Sovereign debt spreads in EMU: The time-varying role of fundamentals and market distrust," Journal of Financial Stability, Elsevier, vol. 33(C), pages 187-206.
    53. Andreas Blöchl & Gebhard Flaig, 2014. "The Hodrick-Prescott Filter with a Time-Varying Penalization Parameter. An Application for the Trend Estimation of Global Temperature," CESifo Working Paper Series 4577, CESifo.
    54. Mariam Camarero & Juan Sapena & Cecilio Tamarit, 2024. "Introducing sspaneltvp: a code to estimating state-space time varying parameter models in panels. An application to Okun’s law," Working Papers 2405, Department of Applied Economics II, Universidad de Valencia.
    55. Hyeong-Ohk Bae & Seung-Yeal Ha & Yongsik Kim & Hyuncheul Lim & Jane Yoo, 2020. "Volatility Flocking by Cucker–Smale Mechanism in Financial Markets," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 27(3), pages 387-414, September.
    56. Jean-Fran�ois Richard, 2011. "Book Review: Econometric Modeling and Inference," Econometric Reviews, Taylor & Francis Journals, vol. 30(5), pages 577-581, October.
    57. Guo, Shaojun & Ling, Shiqing & Zhu, Ke, 2013. "Factor double autoregressive models with application to simultaneous causality testing," MPRA Paper 51570, University Library of Munich, Germany.
    58. Wong, Hock Tsen, 2017. "Real exchange rate returns and real stock price returns," International Review of Economics & Finance, Elsevier, vol. 49(C), pages 340-352.
    59. Andreas Gohs, 2017. "Correction Procedures for Appraisal-Based Real Estate Indices," ERES eres2017_274, European Real Estate Society (ERES).

  6. Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626, January.

    Cited by:

    1. Patrick Fève & Julien Matheron & Jean‐Guillaume Sahuc, 2009. "Minimum Distance Estimation and Testing of DSGE Models from Structural VARs," Oxford Bulletin of Economics and Statistics, Department of Economics, University of Oxford, vol. 71(6), pages 883-894, December.
    2. Centorrino, Samuele & Pérez-Urdiales, María, 2023. "Maximum likelihood estimation of stochastic frontier models with endogeneity," Journal of Econometrics, Elsevier, vol. 234(1), pages 82-105.
    3. Matteo Barigozzi & Christian T. Brownlees & Giampiero M. Gallo & David Veredas, 2010. "Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets," Econometrics Working Papers Archive wp2010_06, Universita' degli Studi di Firenze, Dipartimento di Statistica, Informatica, Applicazioni "G. Parenti".
    4. Muriel Dejemeppe & Yves Saks, 2002. "A New Light into Regional Unemployment Disparities in Belgium : Longitudinal Analysis of Grouped Duration Data," LIDAM Discussion Papers IRES 2002019, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES).
    5. Marc Rysman, 2003. "Differentiation Across Standards and Adoption Failure in 56K Modems," Working Papers 03-12, NET Institute, revised Dec 2003.
    6. DUFOUR, Jean-Marie, 2001. "Logique et tests d'hypotheses: reflexions sur les problemes mal poses en econometrie," Cahiers de recherche 2001-15, Universite de Montreal, Departement de sciences economiques.
    7. Eduardo Fé & Richard Hofler, 2013. "Count data stochastic frontier models, with an application to the patents–R&D relationship," Journal of Productivity Analysis, Springer, vol. 39(3), pages 271-284, June.
    8. Bo E. Honore & Luojia Hu, 2020. "The COVID-19 Pandemic and Asian American Employment," Working Paper Series WP-2020-19, Federal Reserve Bank of Chicago, revised 01 Jul 2021.
    9. Georgiev, Iliyan, 2010. "Model-based asymptotic inference on the effect of infrequent large shocks on cointegrated variables," Journal of Econometrics, Elsevier, vol. 158(1), pages 37-50, September.
    10. Adam Dearing & Jason R. Blevins, 2019. "Efficient and Convergent Sequential Pseudo-Likelihood Estimation of Dynamic Discrete Games," Papers 1912.10488, arXiv.org, revised Apr 2024.
    11. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers 2010-07, Center for Research in Economics and Statistics.
    12. Bergman, Mats A. & Johansson, Per & Bergman, M.A., 2002. "Large investments in the pulp and paper industry: a count data regression analysis," Journal of Forest Economics, Elsevier, vol. 8(1), pages 29-52.
    13. Victor Aguirregabiria, 2004. "Pseudo Maximum Likelihood Estimation of Structural Models Involving Fixed-Point Problems," Econometrics 0402003, University Library of Munich, Germany.
    14. Dolado Juan J. & Gonzalo Jesus & Mayoral Laura, 2008. "Wald Tests of I(1) against I(d) Alternatives: Some New Properties and an Extension to Processes with Trending Components," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 12(4), pages 1-35, December.
    15. Luis Orea & David Roibás & Alan Wall, 2004. "Choosing the Technical Efficiency Orientation to Analyze Firms' Technology: A Model Selection Test Approach," Journal of Productivity Analysis, Springer, vol. 22(1), pages 51-71, July.
    16. Inkmann, Joachim, 2000. "Misspecified heteroskedasticity in the panel probit model: A small sample comparison of GMM and SML estimators," Journal of Econometrics, Elsevier, vol. 97(2), pages 227-259, August.
    17. Antonio Diez de los Rios, 2013. "A New Linear Estimator for Gaussian Dynamic Term Structure Models," Staff Working Papers 13-10, Bank of Canada.
    18. Driessen, J.J.A.G. & Melenberg, B. & Nijman, T.E., 1999. "Testing Affine Term Structure Models in Case of Transaction Costs," Discussion Paper 1999-84, Tilburg University, Center for Economic Research.
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