Christian S. Gourieroux
Personal Details
First Name: | Christian |
Middle Name: | S. |
Last Name: | Gourieroux |
Suffix: | |
RePEc Short-ID: | pgo144 |
[This author has chosen not to make the email address public] | |
Terminal Degree: | 1982 UFR Droit, Économie et Gestion; Université de Rouen (from RePEc Genealogy) |
Affiliation
Department of Economics
University of Toronto
Toronto, Canadahttp://www.economics.utoronto.ca/
RePEc:edi:deutoca (more details at EDIRC)
Research output
Jump to: Working papers Articles Chapters BooksWorking papers
- Yang Lu & Christian Gourieroux, 2018. "Negative Binomial Autoregressive Process," CEPN Working Papers hal-01730050, HAL.
- Christian Gouriéroux & Yang Lu, 2018.
"Negative Binomial Autoregressive Process,"
Working Papers
2018-03, Center for Research in Economics and Statistics.
- Yang Lu & Christian Gourieroux, 2018. "Negative Binomial Autoregressive Process," CEPN Working Papers 2018-01, Centre d'Economie de l'Université de Paris Nord.
- 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.
- C. Gouriéroux & A. Monfort & J.‐M. Zakoïan, 2019. "Consistent Pseudo‐Maximum Likelihood Estimators and Groups of Transformations," Econometrica, Econometric Society, vol. 87(1), pages 327-345, January.
- Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2018. "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," MPRA Paper 87834, University Library of Munich, Germany.
- Christian Gouriéroux & Alain Monfort, 2017. "Composite Indirect Inference with Application," Working Papers 2017-07, Center for Research in Economics and Statistics.
- 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.
- 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.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2020. "Identification and Estimation in Non-Fundamental Structural VARMA Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 87(4), pages 1915-1953.
- Christian Gouriéroux & Alain Monfort & Eric Renault, 2016.
"Consistent Pseudo-Maximum Likelihood Estimators,"
Working Papers
2016-33, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Alain Monfort & Eric Renault, 2017. "Consistent Pseudo-Maximum Likelihood Estimators," Annals of Economics and Statistics, GENES, issue 125-126, pages 187-218.
- Christian Gouriéroux & Alain Monfort & Eric Renault, 2017. "Consistent Pseudo-Maximum Likelihood Estimators," Working Papers 2017-10, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Alain Monfort, 2016.
"Composite Indirect Inference with Application to Corporate Risks,"
Working Papers
2016-32, Center for Research in Economics and Statistics.
- Gourieroux, C. & Monfort, A., 2018. "Composite indirect inference with application to corporate risks," Econometrics and Statistics, Elsevier, vol. 7(C), pages 30-45.
- Laurent Calvet & Veronika Czellar & Christian Gouriéroux, 2016. "Structural Dynamic Analysis of Systematic Risk," Working Papers 2016-19, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Yang Lu, 2016. "A Flexible State-Space Model with Application to Stochastic Volatility," Working Papers 2016-39, Center for Research in Economics and Statistics.
- Gouriéroux, Christian & Zakoian, Jean-Michel, 2016.
"Local Explosion Modelling by Noncausal Process,"
MPRA Paper
71105, University Library of Munich, Germany.
- 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.
- Christian Gouriéroux & Joann Jasiak, 2016.
"Robust Analysis of the Martingale Hypothesis,"
Working Papers
2016-18, Center for Research in Economics and Statistics.
- Gourieroux, Christian & Jasiak, Joann, 2019. "Robust analysis of the martingale hypothesis," Econometrics and Statistics, Elsevier, vol. 9(C), pages 17-41.
- 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.
- Gourieroux, C. & Jasiak, J. & Monfort, A., 2020. "Stationary bubble equilibria in rational expectation models," Journal of Econometrics, Elsevier, vol. 218(2), pages 714-735.
- Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2020. "Stationary Bubble Equilibria in Rational Expectation Models," Post-Print hal-03330912, HAL.
- 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.
- 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.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017. "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers 2017-09, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Alain Monfort, 2015. "Statistical Inference for Independent Component Analysis," Working Papers 2015-03, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Joann Jasiak, 2015. "Semi-Parametric Estimation of Noncausal Vector Autoregression," Working Papers 2015-02, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Alain Monfort, 2014. "Revisiting Identification and estimation in Structural VARMA Models," Working Papers 2014-30, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Joann Jasiak, 2014. "Filtering and Prediction in Noncausal Processes," Working Papers 2014-15, Center for Research in Economics and Statistics.
- Patrick GAGLIARDINI & Christian GOURIEROUX & Mirco RUBIN, 2014. "Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices," Swiss Finance Institute Research Paper Series 14-20, Swiss Finance Institute.
- 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.
- 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.
- 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.
- Stéphane Auray & Christian Gouriéroux, 2013. "Procyclité des Régulations des Marchés Financiers," Working Papers 2013-35, Center for Research in Economics and Statistics.
- 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.
- 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.
- Gouriéroux, C. & Monfort, A. & Pegoraro, F. & Renne, J-P., 2013. "Regime Switching and Bond Pricing," Working papers 456, Banque de France.
- 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.
- 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.
- Gouriéroux, C. & Monfort, A. & Renne, J-P., 2013. "Pricing Default Events: Surprise, Exogeneity and Contagion," Working papers 455, Banque de France.
- 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.
- Christian Gouriéroux & Joann Jasiak & Peng Xu, 2013. "Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives," Working Papers 2013-05, Center for Research in Economics and Statistics.
- 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.
- 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.
- 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.
- Christian Gouriéroux & Jean-Cyprien Heam, 2013. "Funding Liquidity Risk from A Regulatory Perspective," Working Papers 2013-20, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Jean-Michel Zakoian, 2013. "Explosive Bubble Modelling by Noncausal Process," Working Papers 2013-04, Center for Research in Economics and Statistics.
- Christian Gourieroux & Yang Lu, 2013. "Long Term Care and Longevity," Working Papers 2013-16, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Yang Lu, 2013.
"Love and Death : A Freund Model with Frailty,"
Working Papers
2013-09, Center for Research in Economics and Statistics.
- Gourieroux, Christian & Lu, Yang, 2015. "Love and death: A Freund model with frailty," Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 191-203.
- Christian Gouriéroux & Yang Lu, 2015. "Love and death: A Freund model with frailty," Post-Print hal-02419013, HAL.
- 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.
- Christian Gouriéroux & Jean-Michel Zakoian, 2012.
"Estimation Adjusted VaR,"
Working Papers
2012-16, Center for Research in Economics and Statistics.
- Gourieroux, Christian & Zakoïan, Jean-Michel, 2013. "Estimation-Adjusted Var," Econometric Theory, Cambridge University Press, vol. 29(4), pages 735-770, August.
- Dubecq, S. & Gourieroux, C., 2012.
"Shock on Variable or Shock on Distribution with Application to Stress-Tests,"
Working papers
368, Banque de France.
- Simon Dubecq & Christian Gouriéroux, 2012. "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working Papers 2012-03, Center for Research in Economics and Statistics.
- Gourieroux, C. & Heam, J.C. & Monfort, A., 2012.
"Bilateral Exposures and Systemic Solvency Risk,"
Working papers
414, Banque de France.
- C. Gouriéroux & J.‐C. Héam & A. Monfort, 2012. "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(4), pages 1273-1309, November.
- 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.
- Patrick Gagliardini & Christian Gouriéroux, 2012.
"Correlated Risks vs Contagion in Stochastic Transition Models,"
Working Papers
2012-07, Center for Research in Economics and Statistics.
- 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.
- 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.
- Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2013. "Survival of Hedge Funds: Frailty vs Contagion," Post-Print hal-01632897, HAL.
- Dubecq , S. & Gourieroux , C., 2012. "A term structure model with level factor cannot be realistic and arbitrage free," Working papers 359, Banque de France.
- 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.
- Gagliardini,Patrick & Gouriéroux,Christian, 2014. "Granularity Theory with Applications to Finance and Insurance," Cambridge Books, Cambridge University Press, number 9781107662889, October.
- 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.
- Simon Dubecq & Christian Gourieroux, 2010. "An Analysis of the Ultra Long-Term Yields," Working Papers 2010-49, Center for Research in Economics and Statistics.
- 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.
- 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.
- Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT, 2010.
"Microinformation, Nonlinear Filtering and Granularity,"
Swiss Finance Institute Research Paper Series
10-23, Swiss Finance Institute.
- 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.
- 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.
- 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.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Efficiency in Large Dynamic Panel Models with Common Factor," Working Papers 2010-05, Center for Research in Economics and Statistics.
- Christian Gourieroux & Alain Monfort, 2007.
"Quadratic Stochastic Intensity and Prospective Mortality Tables,"
Working Papers
2007-30, Center for Research in Economics and Statistics.
- Gourieroux, C. & Monfort, A., 2008. "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
- Joan Jasiak & D. Feng & C. Gourieroux, 2006.
"The Ordered Qualitative Model For Credit Rating Transitions,"
Working Papers
2006_2, York University, Department of Economics.
- 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.
- 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.
- 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.
- Christian Gouriéroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Development Economics Working Papers 22421, East Asian Bureau of Economic Research.
- 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.
- Christian Gourieroux & Wei Liu, 2006. "Sensitivity Analysis of Distortion Risk Measures," Working Papers 2006-33, Center for Research in Economics and Statistics.
- 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.
- Christian Gourieroux & Wei Liu, 2006. "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers 2006-17, Center for Research in Economics and Statistics.
- Joan Jasiak & C. Gourieroux, 2006.
"Dynamic Quantile Models,"
Working Papers
2006_4, York University, Department of Economics.
- Gourieroux, C. & Jasiak, J., 2008. "Dynamic quantile models," Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
- 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.
- 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.
- Patrick Gagliardini & Christian Gourieroux & Eric Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," Working Papers 2005-40, Center for Research in Economics and Statistics.
- Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT, 2010. "Efficient Derivative Pricing By The Extended Method of Moments," Swiss Finance Institute Research Paper Series 10-07, Swiss Finance Institute.
- Patrick Gagliardini & Christian Gourieroux & Eric Renault, 2004. "Efficient Derivative Pricing by Extended Method of Moments," Working Papers 2004-30, Center for Research in Economics and Statistics.
- Christian Gourieroux, 2005. "Wishart Autoregressive Model for Stochastic Risk," Working Papers 2005-43, Center for Research in Economics and Statistics.
- 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.
- 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.
- Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005.
"Affine Model for Credit Risk Analysis,"
Working Papers
2005-44, Center for Research in Economics and Statistics.
- 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.
- Joan Jasiak & R. Sufana & C. Gourieroux, 2005.
"The Wishart Autoregressive Process of Multivariate Stochastic Volatility,"
Working Papers
2005_2, York University, Department of Economics.
- 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.
- 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.
- 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.
- 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.
- Patrick Gagliardini & Christian Gourieroux, 2004.
"Stochastic Migration Models with Application to Corporate Risk,"
Working Papers
2004-35, Center for Research in Economics and Statistics.
- Patrick Gagliardini, 2005. "Stochastic Migration Models with Application to Corporate Risk," Journal of Financial Econometrics, Oxford University Press, vol. 3(2), pages 188-226.
- 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.
- 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.
- Christian Gourieroux & Razvan Sufana, 2003. "Whishart Quadratic Term Structure Models," Working Papers 2003-50, Center for Research in Economics and Statistics.
- Patrick Gagliardini & Christian Gourieroux, 2002.
"Duration Time Series Models with Proportional Hazard,"
Working Papers
2002-21, Center for Research in Economics and Statistics.
- 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.
- Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2002. "Affine Term Structure Models," Working Papers 2002-49, Center for Research in Economics and Statistics.
- Christian Gourieroux & Alain Monfort, 2002.
"Pricing with Splines,"
Working Papers
2002-50, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Alain Monfort, 2006. "Pricing with Splines," Annals of Economics and Statistics, GENES, issue 82, pages 3-33.
- Patrick Gagliardini & Christian Gourieroux, 2002. "Constrained Nonparametric Copulas," Working Papers 2002-20, Center for Research in Economics and Statistics.
- 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.
- 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.
- Christian Gourieroux & Joanna Jasiak, 2001.
"Local Likelihood Density Estimation and Value at Risk,"
Working Papers
2001-31, Center for Research in Economics and Statistics.
- Christian Gourieroux & Joann Jasiak, 2010. "Local Likelihood Density Estimation and Value-at-Risk," Journal of Probability and Statistics, Hindawi, vol. 2010, pages 1-26, June.
- Serge Darolles & Christian Gourieroux & Joanna Jasiak, 2001. "Compound Autoregressive Models," Working Papers 2001-21, Center for Research in Economics and Statistics.
- 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.
- Pierre Druilhet, 2001. "Conditions for Optimality in Experimental Designs," Working Papers 2001-20, Center for Research in Economics and Statistics.
- Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000.
"Factor ARMA Representation of a Markov Process,"
Working Papers
2000-26, Center for Research in Economics and Statistics.
- Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2001. "Factor ARMA representation of a Markov process," Economics Letters, Elsevier, vol. 71(2), pages 165-171, May.
- Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000.
"Sensitivity Analysis of Values at Risk,"
Econometric Society World Congress 2000 Contributed Papers
0162, Econometric Society.
- Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
- Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity analysis of Values at Risk," Post-Print hal-03676327, HAL.
- C. Gourieroux & J.P. Laurent & O. Scaillet, 2000. "Sensitivity analysis of values at risk," THEMA Working Papers 2000-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," LIDAM Discussion Papers IRES 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000.
- Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Center for Research in Economics and Statistics.
- 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.
- 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.
- Gourieroux, Christian & Josiak, Joann, 1999.
"Nonlinear persistence and copersistence,"
CEPREMAP Working Papers (Couverture Orange)
9920, CEPREMAP.
- Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 99-63, Center for Research in Economics and Statistics.
- Christian Gourieroux & Joann Jasiak, 1999. "Nonlinear Persistence and Copersistence," Working Papers 2000_1, York University, Department of Economics.
- Christian Gourieroux & Joanna Jasiak, 1999.
"Dynamic Factor Models,"
Working Papers
99-08, Center for Research in Economics and Statistics.
- Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor & Francis Journals, vol. 20(4), pages 385-424.
- Darolles, S. & Florens, J.-P. & Gourieroux, C., 1999.
"Kernel Based Nonlinear Canonical Analysis,"
Papers
99.514, Toulouse - GREMAQ.
- Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 1998. "Kernel Based Nonlinear Canonical Analysis," Working Papers 98-55, Center for Research in Economics and Statistics.
- Darolles, Serge & Florens, Jean-Pierre & Gouriéroux, Christian, 1999. "Kernel Based Nonlinear Canonical Analysis," IDEI Working Papers 83, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2001.
- 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).
- CHESHER, Andrew & DHAENE, Geert & GOURIEROUX, Christian & SCAILLET, Olivier, 1999. "Bartlett identities tests," LIDAM Discussion Papers CORE 1999039, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Andrew Chesher & Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1999. "Bartlett Identities Tests," Working Papers 99-32, Center for Research in Economics and Statistics.
- Gourieroux, Christian & Jasiak, Joanna, 1999.
"Nonlinear innovations and impulse responses,"
CEPREMAP Working Papers (Couverture Orange)
9906, CEPREMAP.
- Christian Gourieroux & Joanna Jasiak, 1999. "Nonlinear Innovations and Impulse Response," Working Papers 99-44, Center for Research in Economics and Statistics.
- 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.
- 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..
- G. Dionne & D. Gouriéroux & C. Vanasse, 1998. "The informational content of household decisions with applications to insurance under adverse selection," THEMA Working Papers 98-06, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Christian Gourieroux & Gaëlle Le Fol, 1998. "Matching Procedures and Market Characteristics," Working Papers 98-15, Center for Research in Economics and Statistics.
- Christian Gourieroux & Alain Monfort, 1998. "The Econometrics of Efficient Frontiers," Working Papers 98-34, Center for Research in Economics and Statistics.
- 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..
- Georges Dionne & Christian Gourieroux & Charles Vanasse, 1998. "Evidence of Adverse Selection in Automobile Insurance Markets," Working Papers 98-24, Center for Research in Economics and Statistics.
- Dionne, Georges & Gouriéroux, Christian & Vanasse, Charles, 1998. "Evidence of adverse selection in automobile insurance markets," Working Papers 98-9, HEC Montreal, Canada Research Chair in Risk Management.
- Dionne, G. & Gourieroux, C. & Vanasse, C., 1998. "Evidence of Adverse Selection in Automobile Insurance Markets," Ecole des Hautes Etudes Commerciales de Montreal- 98-09, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques..
- G. Dionne & C. Gouriéroux & C. Vanasse, 1998. "Evidence of adverse selection in automobile insurance markets," THEMA Working Papers 98-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Christian Gourieroux & Joanna Jasiak, 1998.
"Nonlinear Autocorrelograms : An Application to Intra-Trade Durations,"
Working Papers
98-41, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Joann Jasiak, 2002. "Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations," Journal of Time Series Analysis, Wiley Blackwell, vol. 23(2), pages 127-154, March.
- BROZE, Laurence & GOURIEROUX, Christian, 1998.
"Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators,"
LIDAM Reprints CORE
1319, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Christian Gourieroux & Joanna Jasiak, 1998. "Truncated Maximum Likelihood and Nonparametric Tail Analysis," Working Papers 98-25, Center for Research in Economics and Statistics.
- Christian Gourieroux & Joanna Jasiak, 1998. "Nonlinear Panel Data Models with Dynamic Heterogeneity," Working Papers 98-50, Center for Research in Economics and Statistics.
- Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1998.
"Causality Between Returns and Trated Volumes,"
Working Papers
98-40, Center for Research in Economics and Statistics.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 2000. "Causality between Returns and Traded Volumes," Annals of Economics and Statistics, GENES, issue 60, pages 189-206.
- Serge Darolles & Christian Gourieroux, 1997. "Dynamiques tronquées et estimation de modèles de diffusion," Working Papers 97-04, Center for Research in Economics and Statistics.
- Gourieroux, Christian & Le Fol, Gaëlle, 1997. "Modes de négociation et caractéristiques de marché," CEPREMAP Working Papers (Couverture Orange) 9714, CEPREMAP.
- 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.
- Serge Darolles & Christian Gourieroux, 1997.
"Truncated Dynamics and Estimation of DiffusionEquations,"
Working Papers
97-36, Center for Research in Economics and Statistics.
- Darolles, Serge & Gourieroux, Christian, 2001. "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May.
- 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.
- Christian Gourieroux & Olivier Scaillet, 1997. "Multiregime Term Structure Models," Working Papers 97-50, Center for Research in Economics and Statistics.
- Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997.
"Stochastic Volatility Duration Models,"
Working Papers
97-46, Center for Research in Economics and Statistics.
- Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
- 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.
- Christian Gourieroux & Olivier Scaillet & Ariane Szafarz, 1997. "Econométrie de la Finance: approches historiques," ULB Institutional Repository 2013/651, ULB -- Universite Libre de Bruxelles.
- Clément, E. & Gourieroux, Christian & Monfort, Alain, 1997.
"Econometric specification of the risk neutral valuation model,"
CEPREMAP Working Papers (Couverture Orange)
9706, CEPREMAP.
- 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.
- E, Clement & Christian Gourieroux & Alain Monfort, 1997. "Econometric Specification of the Risk Neutral Valuation Model," Working Papers 97-33, Center for Research in Economics and Statistics.
- Christian Gourieroux & Alain Monfort, 1997.
"Modèles de comptage semi-paramétriques,"
Working Papers
97-34, Center for Research in Economics and Statistics.
- 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.
- Georges Dionne & Christian Gourieroux & Charles Vanasse, 1997. "The Informational Content of Household Decisions," Working Papers 97-01, Center for Research in Economics and Statistics.
- 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.
- Gourieroux, C. & Renault, E. & Touzi, N., 1996. "Calibrarion By Simulation for Small Sample Bias Correction," Papers 96.428, Toulouse - GREMAQ.
- Gourieroux, Christian & Laurent, Jean-Paul & Pham, Huyên, 1996.
"Mean-variance hedging and numeraire,"
CEPREMAP Working Papers (Couverture Orange)
9611, CEPREMAP.
- Christian Gourieroux & Jean Paul Laurent & Huyên Pham, 1998. "Mean‐Variance Hedging and Numéraire," Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 179-200, July.
- 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.
- Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Universite de Montreal, Departement de sciences economiques.
- Peter Bossaert & Eric Ghysels & Christian Gouriéroux, 1996. "Arbitrage Based Pricing When Volatility Is Stochastic," CIRANO Working Papers 96s-20, CIRANO.
- Bossaerts, Peter & Ghysels, Eric & Gourieroux, Christian, 1996. "Arbitrage-Based Pricing When Volatility is Stochastic," Working Papers 977, California Institute of Technology, Division of the Humanities and Social Sciences.
- Allard, M. & Bronsard, C. & Gourieroux, C., 1996.
"Actifs financiers et theorie de la consommation,"
Cahiers de recherche
9617, Universite de Montreal, Departement de sciences economiques.
- Allard, M. & Bronsard, C. & Gourieroux, C., 1996. "Actifs Financiers et Theorie de la Consommation," Papers 96.426, Toulouse - GREMAQ.
- Allard, M. & Bronsard, C. & Gourieroux, C., 1996. "Actifs financiers et theorie de la consommation," Cahiers de recherche 9617, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- 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.
- Breitung, Jorg & Gourieroux, Christian, 1997. "Rank tests for unit roots," Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO.
- 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.
- Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Market Time and Asset Price Movements Theory and Estimation," CIRANO Working Papers 95s-32, CIRANO.
- Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1995.
"Solutions of Multivariate Rational Expectations Models,"
ULB Institutional Repository
2013/701, ULB -- Universite Libre de Bruxelles.
- 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.
- Broze, L. & Gourieroux, C. & Szafarz, A., 1995. "Solutions of multivariate rational expectations models," LIDAM Reprints CORE 1161, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gourieroux, Christian & Tenreiro, C., 1995. "Comparison of Kernel estimator based goodness of fit tests (a)," CEPREMAP Working Papers (Couverture Orange) 9513, CEPREMAP.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers 95s-42, CIRANO.
- Gouriéroux, Christian & Jouneau, F., 1994. "Multivariate distributions for limited dependent variable models," CEPREMAP Working Papers (Couverture Orange) 9414, CEPREMAP.
- Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.
- Gouriéroux, Christian, 1994. "Modèles économétriques : utilisation et interprétation (les)," CEPREMAP Working Papers (Couverture Orange) 9423, CEPREMAP.
- Gouriéroux, Christian & Monfort, Alain, 1994.
"Testing, encompassing and simulating dynamic econometric models,"
CEPREMAP Working Papers (Couverture Orange)
9406, CEPREMAP.
- Gouriéroux, Christian & Monfort, Alain, 1995. "Testing, Encompassing, and Simulating Dynamic Econometric Models," Econometric Theory, Cambridge University Press, vol. 11(2), pages 195-228, February.
- Gouriéroux, Christian & Scaillet, O., 1994. "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange) 9415, CEPREMAP.
- 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).
- Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993. "Modèles linéaires à facteurs et structure à terme des taux d'intérêt," CEPREMAP Working Papers (Couverture Orange) 9306, CEPREMAP.
- Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993. "Prévision de mesures de prix contingents," CEPREMAP Working Papers (Couverture Orange) 9310, CEPREMAP.
- Gouriéroux, Christian & Peaucelle, Irina, 1993. "Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques," CEPREMAP Working Papers (Couverture Orange) 9326, CEPREMAP.
- Gourieroux, C. & Monfort, A. & Renault, E., 1992.
"Indirect Inference,"
Papers
92.279, Toulouse - GREMAQ.
- Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
- Gourieroux, Christian & Peaucelle, Irina, 1992. "Quantité de monnaie (la) : russie, les années 1918-1927," CEPREMAP Working Papers (Couverture Orange) 9201, CEPREMAP.
- Gourieroux Christian & Monfort A, 1991. "Modèles de durée et effets de génération," CEPREMAP Working Papers (Couverture Orange) 9131, CEPREMAP.
- Broze, L. & Gourieroux, Ch. & Szafarz, A., 1991. "Computation of multipliers in multivariate rational expectations models," LIDAM Discussion Papers CORE 1991016, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- Gourieroux Christian & Peaucelle Irina, 1991. "Transitions in economy : price changes in russia in the twenties," CEPREMAP Working Papers (Couverture Orange) 9127, CEPREMAP.
- Gourieroux Christian & Monfort Alain & Renault E, 1991. "Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form," CEPREMAP Working Papers (Couverture Orange) 9110, CEPREMAP.
- Gourieroux Christian & Monfort Alain, 1991.
"Qualitative threshold arch models,"
CEPREMAP Working Papers (Couverture Orange)
9109, CEPREMAP.
- Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199.
- Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1990. "Sélection de clientèle et tarification de prêt bancaire," CEPREMAP Working Papers (Couverture Orange) 9004, CEPREMAP.
- Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1990. "Reduced Forms of Rational Expectations Models," ULB Institutional Repository 2013/647, ULB -- Universite Libre de Bruxelles.
- 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.
- 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.
- Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1988. "Hétérogénéité dans les modèles à représentation linéaire," CEPREMAP Working Papers (Couverture Orange) 8805, CEPREMAP.
- Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.
- Gourieroux Christian, 1988. "Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible)," CEPREMAP Working Papers (Couverture Orange) 8817, CEPREMAP.
- Gourieroux Christian & Peaucelle Irina, 1988. "Hétérogénéité/i/cas linéaire (le)," CEPREMAP Working Papers (Couverture Orange) 8809, CEPREMAP.
- Fourgeaud C & Gourieroux Christian & Pradel J, 1987. "Heterogeneity and hazard dominance in duration data models," CEPREMAP Working Papers (Couverture Orange) 8736, CEPREMAP.
- Gourieroux Christian, 1987. "Contraintes linéaires mixtes," CEPREMAP Working Papers (Couverture Orange) 8730, CEPREMAP.
- Dujancourt M & Gourieroux Christian, 1987. "Functional averages and statistical inference," CEPREMAP Working Papers (Couverture Orange) 8724, CEPREMAP.
- Fourgeaud C & Gourieroux Christian & Pradel J, 1987. "Court et long-terme dans les modèles de durée," CEPREMAP Working Papers (Couverture Orange) 8737, CEPREMAP.
- Gourieroux Christian & Monfort Alain & Renault Eric, 1987. "Consistent m-estimators in a semi-parametric model," CEPREMAP Working Papers (Couverture Orange) 8720, CEPREMAP.
- Goncalves E & Gourieroux Christian, 1987.
"Agrégation de processus autoregressifs d'ordre 1,"
CEPREMAP Working Papers (Couverture Orange)
8722, CEPREMAP.
- Esmeralda Gonçalves & Christian Gourieroux, 1988. "Agrégation de processus autorégressifs d'ordre 1," Annals of Economics and Statistics, GENES, issue 12, pages 127-149.
- 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).
- Gourieroux Christian, 1986. "Approche géométrique des processus arma (une)," CEPREMAP Working Papers (Couverture Orange) 8611, CEPREMAP.
- Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Reduction and identification of simultaneous equations models with rational expectations," CEPREMAP Working Papers (Couverture Orange) 8601, CEPREMAP.
- Fourgeaud Claude & Gourieroux Christian & Pradel J, 1986. "Strong concentration ordering," CEPREMAP Working Papers (Couverture Orange) 8612, CEPREMAP.
- 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.
- Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1986.
"Bulles spéculatives et transmission d'information sur le marché d'un bien stockable,"
ULB Institutional Repository
2013/683, ULB -- Universite Libre de Bruxelles.
- Broze, L. & Gouriéroux, C. & Szafarz, A., 1986. "Bulles spéculatives et transmission d’information sur le marché d’un bien stockable," L'Actualité Economique, Société Canadienne de Science Economique, vol. 62(2), pages 166-184, juin.
- Gourieroux Christian & Monfort Alain & Renault E & Trognon A, 1985.
"Simulated residuals,"
CEPREMAP Working Papers (Couverture Orange)
8502, CEPREMAP.
- Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Simulated residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 201-252.
- Gourieroux Christian & Monfort Alain & Renault E, 1985. "Testing unknown linear restrictions on parameter functions," CEPREMAP Working Papers (Couverture Orange) 8516, CEPREMAP.
- Gourieroux Christian & Peaucelle Irina, 1985. "Vérification empirique de deux schémas d'anticipation adaptatif et rationnel," CEPREMAP Working Papers (Couverture Orange) 8517, CEPREMAP.
- Gourieroux Christian & Monfort Alain & Trognon A, 1984.
"General approach of serial correlation (a),"
CEPREMAP Working Papers (Couverture Orange)
8424, CEPREMAP.
- 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.
- Broze, Laurence & Gourieroux Christian & Szafarz A, 1984.
"Solutions of dynamic linear rational expectations models,"
CEPREMAP Working Papers (Couverture Orange)
8421, CEPREMAP.
- Laurence Broze & Christian Gouriéroux & Ariane Szafarz, 1985. "Solutions of Dynamic Linear Rational Expectations Models," ULB Institutional Repository 2013/675, ULB -- Universite Libre de Bruxelles.
- Fourgeaud Claude & Gourieroux Christian & Pradel J, 1984.
"Learning procedure and convergence to rationality,"
CEPREMAP Working Papers (Couverture Orange)
8411, CEPREMAP.
- Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-868, July.
- Gourieroux Christian & Pradel J, 1983. "Direct test of the rational expectations hypothesis (with special attention to qualitative variables)," CEPREMAP Working Papers (Couverture Orange) 8328, CEPREMAP.
- Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983. "Modèles a anticipations rationnelles apprentissage par regression," CEPREMAP Working Papers (Couverture Orange) 8327, CEPREMAP.
- Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983.
"Rational expectations models and bounded memory,"
CEPREMAP Working Papers (Couverture Orange)
8310, CEPREMAP.
- Fourgeaud, C & Gourieroux, C & Pradel, J, 1985. "Rational Expectations Models and Bounded Memory," Econometrica, Econometric Society, vol. 53(4), pages 977-985, July.
- Gourieroux, Christian & Laroque, Guy, 1983.
"The agregation of commodities in quantity rationing models,"
CEPREMAP Working Papers (Couverture Orange)
8305, CEPREMAP.
- 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.
- Gourieroux Christian & Monfort Alain & Trognon A, 1982.
"Pseudo maximum lilelihood methods : applications to poisson models,"
CEPREMAP Working Papers (Couverture Orange)
8203, CEPREMAP.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
- Gourieroux Christian, 1982. "Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e," CEPREMAP Working Papers (Couverture Orange) 8215, CEPREMAP.
- Fourgeaud Claude & Gourieroux Christian & Pradel J, 1982.
"Some theoretical results for generalized ridge regression estimators,"
CEPREMAP Working Papers (Couverture Orange)
8207, CEPREMAP.
- Fourgeaud, C. & Gourieroux, C. & Pradel, J., 1984. "Some theoretical results for generalized ridge regression estimators," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 191-203.
- Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Estimation and test in probit models with serial correlation," CEPREMAP Working Papers (Couverture Orange) 8220, CEPREMAP.
- Gourieroux Christian & Laffont Jean-jacques & Monfort Alain, 1982. "Revision adaptative des anticipations et convergence vers les anticipations rationnelles," CEPREMAP Working Papers (Couverture Orange) 8218, CEPREMAP.
- Gourieroux Christian & Monfort Alain & Trognon A, 1981.
"Pseudo maximum likelihood methods : theory,"
CEPREMAP Working Papers (Couverture Orange)
8129, CEPREMAP.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
- C. Gourieroux & Jean-Jacques Laffont & A. Monfort, 1979.
"Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes,"
NBER Working Papers
0343, National Bureau of Economic Research, Inc.
- 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.
Articles
- Gourieroux, Christian & Jasiak, Joann, 2018. "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, vol. 205(1), pages 226-248.
- 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.
- 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.
- Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017. "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers 2017-09, Center for Research in Economics and Statistics.
- 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.
- 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.
- Marie Allard & Camille Bronsard & Christian Gouriéroux, 2017. "Aversions to Impatience, Uncertainty and Illiquidity," Annals of Economics and Statistics, GENES, issue 125-126, pages 9-39.
- Christian Gouriéroux & Alain Monfort & Eric Renault, 2017.
"Consistent Pseudo-Maximum Likelihood Estimators,"
Annals of Economics and Statistics, GENES, issue 125-126, pages 187-218.
- Christian Gouriéroux & Alain Monfort & Eric Renault, 2016. "Consistent Pseudo-Maximum Likelihood Estimators," Working Papers 2016-33, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Alain Monfort & Eric Renault, 2017. "Consistent Pseudo-Maximum Likelihood Estimators," Working Papers 2017-10, Center for Research in Economics and Statistics.
- 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.
- 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.
- Gouriéroux, Christian & Zakoian, Jean-Michel, 2016. "Local Explosion Modelling by Noncausal Process," MPRA Paper 71105, University Library of Munich, Germany.
- 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.
- Patrick Gagliardini & Christian Gouriéroux, 2016. "Spread Term Structure and Default Correlation," Annals of Economics and Statistics, GENES, issue 123-124, pages 175-223.
- Serge Darolles & Christian Gouriéroux & Sébastien Laurent, 2016. "Introduction," Annals of Economics and Statistics, GENES, issue 123-124, pages 7-8.
- 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.
- Stéphane Auray & Christian Gouriéroux, 2015. "Financial Regulations and Procyclicality," Bankers, Markets & Investors, ESKA Publishing, issue 138, pages 45-54, September.
- Gourieroux, Christian & Lu, Yang, 2015.
"Love and death: A Freund model with frailty,"
Insurance: Mathematics and Economics, Elsevier, vol. 63(C), pages 191-203.
- Christian Gouriéroux & Yang Lu, 2013. "Love and Death : A Freund Model with Frailty," Working Papers 2013-09, Center for Research in Economics and Statistics.
- Christian Gouriéroux & Yang Lu, 2015. "Love and death: A Freund model with frailty," Post-Print hal-02419013, HAL.
- Gourieroux, C. & Monfort, A., 2015. "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, vol. 187(2), pages 408-417.
- 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.
- 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.
- 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.
- 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.
- Patrick GAGLIARDINI & Christian GOURIEROUX, 2010. "Efficiency in Large Dynamic Panel Models with Common Factor," Working Papers 2010-05, Center for Research in Economics and Statistics.
- 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.
- Gouriéroux, C. & Monfort, A. & Pegoraro, F. & Renne, J-P., 2013. "Regime Switching and Bond Pricing," Working papers 456, Banque de France.
- 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.
- 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.
- Gouriéroux, C. & Monfort, A. & Renne, J-P., 2013. "Pricing Default Events: Surprise, Exogeneity and Contagion," Working papers 455, Banque de France.
- 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.
- Gourieroux, C. & Monfort, A., 2013. "Linear-price term structure models," Journal of Empirical Finance, Elsevier, vol. 24(C), pages 24-41.
- 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.
- 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.
- 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.
- 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.
- Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
- C. Gourieroux & A. Monfort, 2013. "Granularity Adjustment for Efficient Portfolios," Econometric Reviews, Taylor & Francis Journals, vol. 32(4), pages 449-468, December.
- 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.
- Gourieroux, Christian & Zakoïan, Jean-Michel, 2013.
"Estimation-Adjusted Var,"
Econometric Theory, Cambridge University Press, vol. 29(4), pages 735-770, August.
- Christian Gouriéroux & Jean-Michel Zakoian, 2012. "Estimation Adjusted VaR," Working Papers 2012-16, Center for Research in Economics and Statistics.
- 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.
- C. Gouriéroux & J.‐C. Héam & A. Monfort, 2012. "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 45(4), pages 1273-1309, November.
- Gourieroux, C. & Heam, J.C. & Monfort, A., 2012. "Bilateral Exposures and Systemic Solvency Risk," Working papers 414, Banque de France.
- 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.
- 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.
- 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.
- 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.
- 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.
- 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.
- Patrick Gagliardini & Christian Gourieroux & Eric Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," Working Papers 2005-40, Center for Research in Economics and Statistics.
- Patrick GAGLIARDINI & Christian GOURIEROUX & Eric RENAULT, 2010. "Efficient Derivative Pricing By The Extended Method of Moments," Swiss Finance Institute Research Paper Series 10-07, Swiss Finance Institute.
- Patrick Gagliardini & Christian Gourieroux & Eric Renault, 2004. "Efficient Derivative Pricing by Extended Method of Moments," Working Papers 2004-30, Center for Research in Economics and Statistics.
- 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.
- 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.
- 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.
- 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.
- Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT, 2010. "Microinformation, Nonlinear Filtering and Granularity," Swiss Finance Institute Research Paper Series 10-23, Swiss Finance Institute.
- 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.
- 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.
- 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.
- Christian Gouriéroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Development Economics Working Papers 22421, East Asian Bureau of Economic Research.
- 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.
- Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers 2005_2, York University, Department of Economics.
- 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.
- 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.
- Serge Darolles & Christian Gourieroux & Joann Jasiak, 2009. "L-performance with an application to hedge funds," Post-Print halshs-00677730, HAL.
- 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.
- Gourieroux, C. & Monfort, A., 2008.
"Quadratic stochastic intensity and prospective mortality tables,"
Insurance: Mathematics and Economics, Elsevier, vol. 43(1), pages 174-184, August.
- Christian Gourieroux & Alain Monfort, 2007. "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers 2007-30, Center for Research in Economics and Statistics.
- Christian Gourieroux & Wei Liu & Gourieroux Liu, 2008. "Converting Tail-VaR to VaR: An Econometric Study," Journal of Financial Econometrics, Oxford University Press, vol. 10(2), pages 233-264, 2012 10 2.
- Christian Gouriéroux, 2008. "Bon ou mauvais usage des notations," Revue d'Économie Financière, Programme National Persée, vol. 7(1), pages 259-263.
- Gourieroux, C. & Jasiak, J., 2008.
"Dynamic quantile models,"
Journal of Econometrics, Elsevier, vol. 147(1), pages 198-205, November.
- Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics.
- 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.
- Patrick Gagliardini & Christian Gourieroux, 2002. "Duration Time Series Models with Proportional Hazard," Working Papers 2002-21, Center for Research in Economics and Statistics.
- 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.
- Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics.
- Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 136(2), pages 509-530, February.
- Christian Gouriéroux & Eric Renault & Pascale Valery, 2007. "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.
- 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.
- 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.
- Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152.
- Sandra Foulcher & Christian Gourieroux & André Tiomo, 2006. "Migration Correlation: Estimation Method and Application to French Corporates Ratings," Annals of Economics and Statistics, GENES, issue 82, pages 71-101.
- Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 131(1-2), pages 475-505.
- C. Gourieroux, 2006. "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, vol. 25(2-3), pages 177-217.
- Gourieroux, Christian & Robert, Christian Y., 2006. "Stochastic Unit Root Models," Econometric Theory, Cambridge University Press, vol. 22(6), pages 1052-1090, December.
- 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.
- 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.
- Christian Gouriéroux & Alain Monfort, 2006.
"Pricing with Splines,"
Annals of Economics and Statistics, GENES, issue 82, pages 3-33.
- Christian Gourieroux & Alain Monfort, 2002. "Pricing with Splines," Working Papers 2002-50, Center for Research in Economics and Statistics.
- 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.
- Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005. "Affine Model for Credit Risk Analysis," Working Papers 2005-44, Center for Research in Economics and Statistics.
- 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.
- Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Post-Print halshs-00678240, HAL.
- Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January.
- 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.
- Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April.
- 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.
- C. Gourieroux & A. Monfort, 2004. "Infrequent Extreme Risks," The Geneva Risk and Insurance Review, Palgrave Macmillan;International Association for the Study of Insurance Economics (The Geneva Association), vol. 29(1), pages 5-22, June.
- 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.
- 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.
- Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004.
"Stochastic volatility duration models,"
Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April.
- Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997. "Stochastic Volatility Duration Models," Working Papers 97-46, Center for Research in Economics and Statistics.
- 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.
- 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.
- Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2001.
"Factor ARMA representation of a Markov process,"
Economics Letters, Elsevier, vol. 71(2), pages 165-171, May.
- Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000. "Factor ARMA Representation of a Markov Process," Working Papers 2000-26, Center for Research in Economics and Statistics.
- Christian Gourieroux & Joann Jasiak, 2001.
"Dynamic Factor Models,"
Econometric Reviews, Taylor & Francis Journals, vol. 20(4), pages 385-424.
- Christian Gourieroux & Joanna Jasiak, 1999. "Dynamic Factor Models," Working Papers 99-08, Center for Research in Economics and Statistics.
- Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January.
- 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.
- 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.
- Darolles, Serge & Gourieroux, Christian, 2001.
"Truncated dynamics and estimation of diffusion equations,"
Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May.
- Serge Darolles & Christian Gourieroux, 1997. "Truncated Dynamics and Estimation of DiffusionEquations," Working Papers 97-36, Center for Research in Economics and Statistics.
- Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000.
"Intraday Transaction Price Dynamics,"
Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
- Gaëlle Le Fol & Serge Darolles & Christian Gourieroux, 1999. "Intraday Transaction Price Dynamics," Post-Print halshs-00536272, HAL.
- 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.
- Clément, E. & Gourieroux, Christian & Monfort, Alain, 1997. "Econometric specification of the risk neutral valuation model," CEPREMAP Working Papers (Couverture Orange) 9706, CEPREMAP.
- E, Clement & Christian Gourieroux & Alain Monfort, 1997. "Econometric Specification of the Risk Neutral Valuation Model," Working Papers 97-33, Center for Research in Economics and Statistics.
- Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 2000.
"Causality between Returns and Traded Volumes,"
Annals of Economics and Statistics, GENES, issue 60, pages 189-206.
- Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1998. "Causality Between Returns and Trated Volumes," Working Papers 98-40, Center for Research in Economics and Statistics.
- Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000.
"Sensitivity analysis of Values at Risk,"
Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November.
- Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity analysis of Values at Risk," Post-Print hal-03676327, HAL.
- Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society.
- C. Gourieroux & J.P. Laurent & O. Scaillet, 2000. "Sensitivity analysis of values at risk," THEMA Working Papers 2000-04, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999. "Sensitivity Analysis of Values at Risk," LIDAM Discussion Papers IRES 2000002, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), revised 00 Jan 2000.
- Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Working Papers 2000-05, Center for Research in Economics and Statistics.
- Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999.
"Intra-day market activity,"
Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August.
- Gaëlle Le Fol & Christian Gourieroux, 1999. "Intra-day market activity," Post-Print halshs-00536268, HAL.
- Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January.
- Christian Gourieroux & Jean Paul Laurent & Huyên Pham, 1998.
"Mean‐Variance Hedging and Numéraire,"
Mathematical Finance, Wiley Blackwell, vol. 8(3), pages 179-200, July.
- Gourieroux, Christian & Laurent, Jean-Paul & Pham, Huyên, 1996. "Mean-variance hedging and numeraire," CEPREMAP Working Papers (Couverture Orange) 9611, CEPREMAP.
- 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.
- BROZE, Laurence & GOURIEROUX, Christian, 1998. "Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators," LIDAM Reprints CORE 1319, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- Gaëlle Le Fol & Christian Gourieroux, 1998. "Effet des Modes de Négociation sur les Echanges," Post-Print halshs-00536273, HAL.
- Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998. "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, vol. 66(3), pages 673-688, May.
- Gourieroux, Christian & Magnac, Thierry, 1997. "Duration, transition and count data models Introduction," Journal of Econometrics, Elsevier, vol. 79(2), pages 195-199, August.
- 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.
- Christian Gourieroux & Alain Monfort, 1997. "Modèles de comptage semi-paramétriques," Working Papers 97-34, Center for Research in Economics and Statistics.
- Breitung, Jorg & Gourieroux, Christian, 1997.
"Rank tests for unit roots,"
Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November.
- 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.
- Gourieroux, C. & Scaillet, O., 1997. "Unemployment insurance and mortgages," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 173-195, October.
- Gourieroux, C. & Visser, M., 1997. "A count data model with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 79(2), pages 247-268, August.
- Forest, Danielle & Gouriéroux, Christian & Salvas-Bronsard, Lise, 1997. "D’une analyse de variabilités à un modèle d’investissement des firmes," L'Actualité Economique, Société Canadienne de Science Economique, vol. 73(1), pages 331-350, mars-juin.
- Christian Gouriéroux & Irina Peaucelle, 1996. "Diffusion et effet de vague," Annals of Economics and Statistics, GENES, issue 44, pages 191-217.
- 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.
- Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1995. "Solutions of Multivariate Rational Expectations Models," ULB Institutional Repository 2013/701, ULB -- Universite Libre de Bruxelles.
- Broze, L. & Gourieroux, C. & Szafarz, A., 1995. "Solutions of multivariate rational expectations models," LIDAM Reprints CORE 1161, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
- 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.
- De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March.
- Jean-François Boulier & Christian Gouriéroux, 1995. "Des mathématiques financières à la finance quantitative : Évolution récente des modèles mathématiques utilisés par les financiers," Revue d'Économie Financière, Programme National Persée, vol. 32(1), pages 167-182.
- Gouriéroux, Christian & Monfort, Alain, 1995.
"Testing, Encompassing, and Simulating Dynamic Econometric Models,"
Econometric Theory, Cambridge University Press, vol. 11(2), pages 195-228, February.
- Gouriéroux, Christian & Monfort, Alain, 1994. "Testing, encompassing and simulating dynamic econometric models," CEPREMAP Working Papers (Couverture Orange) 9406, CEPREMAP.
- Gouriéroux, Christian, 1994. "Création d’actifs financiers et remboursements anticipés," L'Actualité Economique, Société Canadienne de Science Economique, vol. 70(3), pages 227-245, septembre.
- 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.
- 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.
- Gourieroux, C & Monfort, A & Renault, E, 1993.
"Indirect Inference,"
Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages 85-118, Suppl. De.
- Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
- Christian Gouriéroux & Irina Peaucelle, 1993. "Les transitions en économie. ; Les changements de prix en Russie dans les années vingt," Économie et Prévision, Programme National Persée, vol. 109(3), pages 101-113.
- Gouriéroux, Christian & Peaucelle, Irina, 1992. "Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat," L'Actualité Economique, Société Canadienne de Science Economique, vol. 68(1), pages 283-304, mars et j.
- Gourieroux, Christian & Monfort, Alain, 1992.
"Qualitative threshold ARCH models,"
Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199.
- Gourieroux Christian & Monfort Alain, 1991. "Qualitative threshold arch models," CEPREMAP Working Papers (Couverture Orange) 9109, CEPREMAP.
- Christian Gouriéroux, 1992. "Courbes de performances, de sélection et de discrimination," Annals of Economics and Statistics, GENES, issue 28, pages 107-123.
- Christian Gouriéroux & Alain Monfort, 1991. "Simulation Based Inference in Models with Heterogeneity," Annals of Economics and Statistics, GENES, issue 20-21, pages 69-107.
- Christian Gouriéroux, 1990. "Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible)," Annals of Economics and Statistics, GENES, issue 17, pages 185-204.
- 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.
- Claude Fourgeaud & Christian Gourieroux & Jacqueline Pradel, 1990. "Hétérogénéité et hasard dans les modèles de durée," Annals of Economics and Statistics, GENES, issue 18, pages 1-23.
- 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.
- Gourieroux, Christian & Monfort, Alan & Renault, Eric, 1989. "Testing for Common Roots," Econometrica, Econometric Society, vol. 57(1), pages 171-185, January.
- Esmeralda Gonçalves & Christian Gourieroux, 1988.
"Agrégation de processus autorégressifs d'ordre 1,"
Annals of Economics and Statistics, GENES, issue 12, pages 127-149.
- Goncalves E & Gourieroux Christian, 1987. "Agrégation de processus autoregressifs d'ordre 1," CEPREMAP Working Papers (Couverture Orange) 8722, CEPREMAP.
- 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.
- Christian Gouriéroux & Alain Monfort & Eric Renault, 1987. "Kullback Causality Measures," Annals of Economics and Statistics, GENES, issue 6-7, pages 369-410.
- Christian Gouriéroux, 1987. "Une approche géométrique des processus ARMA," Annals of Economics and Statistics, GENES, issue 8, pages 135-159.
- Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987.
"Simulated residuals,"
Journal of Econometrics, Elsevier, vol. 34(1-2), pages 201-252.
- Gourieroux Christian & Monfort Alain & Renault E & Trognon A, 1985. "Simulated residuals," CEPREMAP Working Papers (Couverture Orange) 8502, CEPREMAP.
- Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32.
- Gourieroux, Christian & Pradel, Jacqueline, 1986. "Direct test of the rational expectation hypothesis," European Economic Review, Elsevier, vol. 30(2), pages 265-284, April.
- Broze, L. & Gouriéroux, C. & Szafarz, A., 1986.
"Bulles spéculatives et transmission d’information sur le marché d’un bien stockable,"
L'Actualité Economique, Société Canadienne de Science Economique, vol. 62(2), pages 166-184, juin.
- Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1986. "Bulles spéculatives et transmission d'information sur le marché d'un bien stockable," ULB Institutional Repository 2013/683, ULB -- Universite Libre de Bruxelles.
- Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986.
"Learning Procedures and Convergence to Rationality,"
Econometrica, Econometric Society, vol. 54(4), pages 845-868, July.
- Fourgeaud Claude & Gourieroux Christian & Pradel J, 1984. "Learning procedure and convergence to rationality," CEPREMAP Working Papers (Couverture Orange) 8411, CEPREMAP.
- Broze, L. & Gourieroux, C. & Szafarz, A., 1985. "Solutions of Linear Rational Expectations Models," Econometric Theory, Cambridge University Press, vol. 1(3), pages 341-368, December.
- 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.
- Gourieroux Christian & Monfort Alain & Trognon A, 1984. "General approach of serial correlation (a)," CEPREMAP Working Papers (Couverture Orange) 8424, CEPREMAP.
- 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.
- Gourieroux, Christian & Laroque, Guy, 1983. "The agregation of commodities in quantity rationing models," CEPREMAP Working Papers (Couverture Orange) 8305, CEPREMAP.
- Fourgeaud, C & Gourieroux, C & Pradel, J, 1985.
"Rational Expectations Models and Bounded Memory,"
Econometrica, Econometric Society, vol. 53(4), pages 977-985, July.
- Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983. "Rational expectations models and bounded memory," CEPREMAP Working Papers (Couverture Orange) 8310, CEPREMAP.
- Gourieroux, C. & Trognon, A., 1984. "Specification pre-test estimator," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 15-27.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Theory,"
Econometrica, Econometric Society, vol. 52(3), pages 681-700, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
- Fourgeaud, C. & Gourieroux, C. & Pradel, J., 1984.
"Some theoretical results for generalized ridge regression estimators,"
Journal of Econometrics, Elsevier, vol. 25(1-2), pages 191-203.
- Fourgeaud Claude & Gourieroux Christian & Pradel J, 1982. "Some theoretical results for generalized ridge regression estimators," CEPREMAP Working Papers (Couverture Orange) 8207, CEPREMAP.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984.
"Pseudo Maximum Likelihood Methods: Applications to Poisson Models,"
Econometrica, Econometric Society, vol. 52(3), pages 701-720, May.
- Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
- Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January.
- Gourieroux, C & Laffont, J J & Monfort, Alain, 1982. "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions," Econometrica, Econometric Society, vol. 50(2), pages 409-425, March.
- Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982. "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters," Econometrica, Econometric Society, vol. 50(1), pages 63-80, January.
- Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1981. "Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters," Journal of Econometrics, Elsevier, vol. 16(1), pages 166-166, May.
- Christian Gourieroux & Alain Monfort, 1981. "On the Problem of Missing Data in Linear Models," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 48(4), pages 579-586.
- Gourieroux, Christian & Monfort, Alain, 1981. "Asymptotic properties of the maximum likelihood estimator in dichotomous logit models," Journal of Econometrics, Elsevier, vol. 17(1), pages 83-97, September.
- 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.
- C. Gourieroux & Jean-Jacques Laffont & A. Monfort, 1979. "Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes," NBER Working Papers 0343, National Bureau of Economic Research, Inc.
- Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-1097, July.
- Gourieroux, C & Laffont, J-J & Monfort, A, 1980. "Disequilibrium Econometrics in Simultaneous Equations Systems," Econometrica, Econometric Society, vol. 48(1), pages 75-96, January.
- Gourieroux, C. & Laffont, J. J. & Montfort, A., 1980. "On the backward-forward procedure," Economics Letters, Elsevier, vol. 5(3), pages 215-217.
- Gourieroux, Christian & Laffont, Jean-Jacques & Monfort, Alain, 1980. "Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 245-247, February.
- 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.
Chapters
- Christian Gourieroux & Joann Jasiak, 2015. "Introduction," Introductory Chapters, in: The Econometrics of Individual Risk: Credit, Insurance, and Marketing, Princeton University Press.
- Christian Gourieroux, 2008. "Car And Affine Processes," World Scientific Book Chapters, in: Roberto S Mariano & Yiu-Kuen Tse (ed.), Econometric Forecasting And High-Frequency Data Analysis, chapter 4, pages 131-158, World Scientific Publishing Co. Pte. Ltd..
- 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.
- 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.
Books
- Christian Gourieroux & Joann Jasiak, 2015. "The Econometrics of Individual Risk: Credit, Insurance, and Marketing," Economics Books, Princeton University Press, edition 1, number 8433.
- Héam, Jean-Cyprien, 2015. "Analyse et mesure du risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14985 edited by Gourieroux, Christian.
- Gagliardini,Patrick & Gouriéroux,Christian, 2014.
"Granularity Theory with Applications to Finance and Insurance,"
Cambridge Books,
Cambridge University Press, number 9781107662889, October.
- 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.
- Dubecq, Simon, 2013. "Stress-Test Exercises and the Pricing of Very Long-Term Bonds," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/11793 edited by Gourieroux, Christian.
- Gourieroux,Christian, 2000.
"Econometrics of Qualitative Dependent Variables,"
Cambridge Books,
Cambridge University Press, number 9780521589857, October.
- Gourieroux,Christian, 2000. "Econometrics of Qualitative Dependent Variables," Cambridge Books, Cambridge University Press, number 9780521331494, October.
- Gourieroux, Christian & Monfort, Alain, 1997. "Simulation-based Econometric Methods," OUP Catalogue, Oxford University Press, number 9780198774754.
- Gourieroux,Christian & Monfort,Alain, 1997.
"Time Series and Dynamic Models,"
Cambridge Books,
Cambridge University Press, number 9780521423083, October.
- Gourieroux,Christian & Monfort,Alain, 1997. "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521411462, October.
- Gourieroux,Christian & Monfort,Alain, 1995.
"Statistics and Econometric Models,"
Cambridge Books,
Cambridge University Press, number 9780521471626, October.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477451, October.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521477444, October.
- Gourieroux,Christian & Monfort,Alain, 1995. "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521405515, October.
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Featured entries
This author is featured on the following reading lists, publication compilations, Wikipedia, or ReplicationWiki entries:- Christian Gourieroux in Wikipedia (German)
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 42 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-ECM: Econometrics (19) 1999-09-17 2000-06-29 2005-05-29 2006-01-24 2006-11-25 2006-11-25 2009-06-03 2012-10-06 2013-06-04 2013-12-29 2014-04-05 2014-08-09 2016-05-21 2017-06-18 2018-01-15 2018-01-15 2018-01-22 2018-03-19 2018-08-13. Author is listed
- NEP-ETS: Econometric Time Series (14) 1999-09-17 2000-06-29 2006-01-24 2006-11-25 2009-06-03 2012-05-22 2013-06-04 2014-04-05 2014-08-09 2016-05-21 2018-01-15 2018-01-15 2018-03-19 2018-03-26. Author is listed
- NEP-RMG: Risk Management (12) 2003-08-31 2003-12-14 2006-11-25 2011-03-19 2012-03-14 2012-05-22 2012-10-06 2013-01-07 2013-06-04 2013-06-04 2013-06-04 2013-10-25. Author is listed
- NEP-BAN: Banking (8) 2011-03-19 2011-03-19 2012-10-06 2013-01-07 2013-06-04 2013-06-04 2013-06-04 2013-10-25. Author is listed
- NEP-ORE: Operations Research (6) 2012-05-22 2013-10-25 2014-08-09 2017-06-18 2018-01-15 2018-08-13. Author is listed
- NEP-MAC: Macroeconomics (4) 2012-02-08 2013-10-25 2013-10-25 2018-01-15
- NEP-FMK: Financial Markets (3) 2002-02-10 2013-06-04 2013-10-25
- NEP-BEC: Business Economics (2) 2005-05-29 2011-03-19
- NEP-HEA: Health Economics (2) 2013-06-04 2013-12-29
- NEP-IAS: Insurance Economics (2) 2012-05-22 2013-06-04
- NEP-AGE: Economics of Ageing (1) 2013-12-29
- NEP-BIG: Big Data (1) 2018-01-22
- NEP-CBA: Central Banking (1) 2002-02-10
- NEP-CFN: Corporate Finance (1) 2013-01-07
- NEP-CWA: Central and Western Asia (1) 2013-06-04
- NEP-DCM: Discrete Choice Models (1) 2006-11-18
- NEP-FIN: Finance (1) 2005-05-29
- NEP-FOR: Forecasting (1) 2014-08-09
- NEP-MIC: Microeconomics (1) 2003-08-31
- NEP-MST: Market Microstructure (1) 2006-11-25
- NEP-TID: Technology and Industrial Dynamics (1) 1999-09-17
- NEP-UPT: Utility Models and Prospect Theory (1) 2016-07-23
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