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Details about Christian S. Gourieroux

Workplace:Department of Economics, University of Toronto, (more information at EDIRC)

Access statistics for papers by Christian S. Gourieroux.

Last updated 2013-06-04. Update your information in the RePEc Author Service.

Short-id: pgo144


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Working Papers

2013

  1. Explosive Bubble Modelling by Noncausal Process
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  2. Liquidation Equilibrium with Seniority and Hidden CDO
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
  3. Love and Death: A Freund Model with Frailty
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  4. Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  5. Pricing Default Events: Surprise, Exogeneity and Contagion
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

2012

  1. A term structure model with level factor cannot be realistic and arbitrage free
    Working papers, Banque de France Downloads
  2. Bilateral Exposures and Systemic Solvency Risk
    Working papers, Banque de France Downloads View citations (15)
    See also Journal Article in Canadian Journal of Economics (2012)
  3. Correlated Risks vs Contagion in Stochastic Transition Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  4. Estimation Adjusted VaR
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  5. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  6. Shock on Variable or Shock on Distribution with Application to Stress-Tests
    Working papers, Banque de France Downloads View citations (1)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2012) Downloads View citations (1)
  7. Survival of Hedge Funds: Frailty vs Contagion
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

2011

  1. Allocating Systematic and Unsystematic Risks in a Regulatory Perspective
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (4)
  2. Granularity Theory with Application to Finance and Insurance
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

2010

  1. An Analysis of the Ultra Long-Term Yields
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  2. Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2011)
  3. Efficiency in Large Dynamic Panel Models with Common Factor
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) Downloads View citations (2)
  4. Microinformation, Nonlinear Filtering and Granularity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2009

  1. Efficient Derivative Pricing By The Extended Method of Moments
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    See also Journal Article in Econometrica (2011)

2007

  1. Quadratic Stochastic Intensity and Prospective Mortality Tables
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Insurance: Mathematics and Economics (2008)

2006

  1. (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
  2. A Degeneracy in the Analysis of Volatility and Covolatility Effects
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  3. DYNAMIC QUANTILE MODELS
    Working Papers, York University, Department of Economics Downloads View citations (6)
    See also Journal Article in Journal of Econometrics (2008)
  4. Efficient Portfolio Analysis Using Distortion Risk Measures
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  5. Indirect Inference for Dynamic Panel Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2010)
  6. Sensitivity Analysis of Distortion Risk Measures
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  7. The Ordered Qualitative Model For Credit Rating Transitions
    Working Papers, York University, Department of Economics Downloads
    See also Journal Article in Journal of Empirical Finance (2008)

2005

  1. A Classification of Two Factor Affine Diffusion Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Journal of Financial Econometrics (2006)
  2. Affine Model for Credit Risk Analysis
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    See also Journal Article in Journal of Financial Econometrics (2006)
  3. Efficient Derivative Pricing by Extended Method of Moments
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) Downloads
    Working Papers, Centre de Recherche en Economie et Statistique (2004) Downloads View citations (1)
  4. International Money and Stock Market Contingent Claims
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    See also Journal Article in Journal of International Money and Finance (2010)
  5. The Wishart Autoregressive Process of Multivariate Stochastic Volatility
    Working Papers, York University, Department of Economics Downloads View citations (8)
    See also Journal Article in Journal of Econometrics (2009)
  6. Wishart Autoregressive Model for Stochastic Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

2004

  1. Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  2. Stochastic Migration Models with Application to Corporate Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  3. The Wishart Autoregressive of Multivariate Stochastic Volatility
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)

2003

  1. Aversion Analysis
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ Downloads View citations (4)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) Downloads View citations (4)
  2. Whishart Quadratic Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)

2002

  1. Affine Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (14)
  2. Constrained Nonparametric Copulas
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  3. Duration Time Series Models with Proportional Hazard
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
    See also Journal Article in Journal of Time Series Analysis (2008)
  4. Equidependence in Qualitative and Duration Models with Application to Credit Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  5. Pricing with Splines
    Working Papers, Centre de Recherche en Economie et Statistique Downloads

2001

  1. Ajustement des prix bid et ask en présence d'information privée
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
  2. Compound Autoregressive Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  3. Conditions for Optimality in Experimental Designs
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
  4. Kernel Based Nonlinear Canonical Analysis
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads View citations (1)
    Also in Working Papers, Toulouse - GREMAQ (1999)
    Working Papers, Centre de Recherche en Economie et Statistique (1998) Downloads
  5. Local Likelihood Density Estimation and Value at Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (4)
  6. Tails and Extremal Behaviour of Stochastic Unit Root Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)

2000

  1. Factor ARMA Representation of a Markov Process
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Economics Letters (2001)
  2. Kernel Based Nonlinear Canonical Analysis and Time Reversibility
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    See also Journal Article in Journal of Econometrics (2004)
  3. Sensitivity Analysis of Values at Risk
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (79)
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) Downloads View citations (79)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) View citations (83)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (79)

    See also Journal Article in Journal of Empirical Finance (2000)

1999

  1. Bartlett Identities Tests
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads View citations (4)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1999) Downloads View citations (2)
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (4)
  2. Dynamic Factor Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Econometric Reviews (2001)
  3. Nonlinear Innovations and Impulse Response
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (5)
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999) Downloads View citations (4)
  4. Nonlinear Persistence and Copersistence
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999) Downloads
    Working Papers, York University, Department of Economics (1999) Downloads

1998

  1. Causality Between Returns and Trated Volumes
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  2. Evidence of Adverse Selection in Automobile Insurance Markets
    Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. View citations (8)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1998) Downloads View citations (10)
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1998) View citations (8)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations (7)
  3. Matching Procedures and Market Characteristics
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  4. Nonlinear Autocorrelograms: An Application to Intra-Trade Durations
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (3)
  5. Nonlinear Panel Data Models with Dynamic Heterogeneity
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
  6. The Econometrics of Efficient Frontiers
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  7. The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. View citations (2)
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations (2)
  8. Truncated Maximum Likelihood and Nonparametric Tail Analysis
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  9. Truncated maximum likelihood, goodness of fit tests and tail analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)

1997

  1. An Econometric Analysis of Household Portfolio Allocation
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
  2. Composition des portefeuilles des ménages: une analyse scores sur données françaises
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  3. Dynamiques tronquées et estimation de modèles de diffusion
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  4. Econometric Specification of the Risk Neutral Valuation Model
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1997)

    See also Journal Article in Journal of Econometrics (2000)
  5. Econométrie de la Finance: approches historiques
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
  6. Modes de négociation et caractéristiques de marché
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  7. Modèles de comptage semi-paramétriques
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in L'Actualité Economique (1997)
  8. Multiregime Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (1)
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1997) Downloads View citations (1)
  9. Stochastic Volatility Duration Models
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (2)
    See also Journal Article in Journal of Econometrics (2004)
  10. The Informational Content of Household Decisions
    Working Papers, Centre de Recherche en Economie et Statistique Downloads View citations (7)
  11. The Portfolio Composition of Households: A Scoring Analysis from French Data
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
  12. Truncated Dynamics and Estimation of DiffusionEquations
    Working Papers, Centre de Recherche en Economie et Statistique Downloads
    See also Journal Article in Journal of Econometrics (2001)

1996

  1. Actifs Financiers et Theorie de la Consommation
    Working Papers, Toulouse - GREMAQ
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996)
  2. Arbitrage Based Pricing When Volatility Is Stochastic
    CIRANO Working Papers, CIRANO Downloads View citations (1)
    Also in Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (1996) Downloads
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (2)
    Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) Downloads View citations (1)
  3. Calibrarion By Simulation for Small Sample Bias Correction
    Working Papers, Toulouse - GREMAQ View citations (2)
  4. Kernel Autocorrelogram for Time Deformed Processes
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  5. Mean-variance hedging and numeraire
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (2)
    See also Journal Article in Mathematical Finance (1998)
  6. Rank tests for unit roots
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article in Journal of Econometrics (1997)

1995

  1. Comparison of Kernel estimator based goodness of fit tests (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  2. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO Downloads View citations (13)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) Downloads View citations (15)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (10)
  3. Solutions of Multivariate Rational Expectations Models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
    See also Journal Article in Econometric Theory (1995)
  4. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO Downloads View citations (9)

1994

  1. Estimation of the term structure from bond data
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (5)
  2. Kernel m-estimators: non parametric diagnostics for structural models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (6)
  3. Modèles économétriques: utilisation et interprétation (les)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  4. Multivariate distributions for limited dependent variable models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
  5. Testing, encompassing and simulating dynamic econometric models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (7)
    See also Journal Article in Econometric Theory (1995)

1993

  1. Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (1)
  2. Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Downloads
  3. Modèles linéaires à facteurs et structure à terme des taux d'intérêt
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  4. Prévision de mesures de prix contingents
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1992

  1. Indirect Inference
    Working Papers, Toulouse - GREMAQ View citations (6)
    See also Journal Article in Journal of Applied Econometrics (1993)
  2. Quantité de monnaie (la): russie, les années 1918-1927
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads

1991

  1. Computation of multipliers in multivariate rational expectations models
    CORE Discussion Papers, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (1)
  2. Modèles de durée et effets de génération
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
  3. Qualitative threshold arch models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Journal of Econometrics (1992)
  4. Transitions in economy: price changes in russia in the twenties
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  5. Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)

1990

  1. Reduced Forms of Rational Expectations Models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
  2. Sélection de clientèle et tarification de prêt bancaire
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)

1989

  1. Detecting a long run relationship (with an application to the p.p.p. hypothesis)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (6)
  2. Speculative Bubbles and Exchange of Information on the Market of a Storable Good
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)

1988

  1. Functional limit theorem for fractional processes (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (5)
  2. Hétérogénéité dans les modèles à représentation linéaire
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
  3. Hétérogénéité/i/cas linéaire (le)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  4. Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1987

  1. Agrégation de processus autoregressifs d'ordre 1
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
  2. Consistent m-estimators in a semi-parametric model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (4)
  3. Contraintes linéaires mixtes
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  4. Court et long-terme dans les modèles de durée
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  5. Functional averages and statistical inference
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  6. Heterogeneity and hazard dominance in duration data models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (3)

1986

  1. Approche géométrique des processus arma (une)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  2. Bulles spéculatives et transmission d'information sur le marché d'un bien stockable
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles
    See also Journal Article in L'Actualité Economique (1986)
  3. Identification & consistent estimation of multi-variate linear models with rational expectations of current variables
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  4. Reduction and identification of simultaneous equations models with rational expectations
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  5. Strong concentration ordering
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1985

  1. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (4)
    See also Journal Article in Journal of Econometrics (1987)
  2. Solutions of Dynamic Linear Rational Expectations Models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (11)
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1984) View citations (6)
  3. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  4. Vérification empirique de deux schémas d'anticipation adaptatif et rationnel
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads

1984

  1. General approach of serial correlation (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (13)
  2. Learning procedure and convergence to rationality
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Econometrica (1986)

1983

  1. Direct test of the rational expectations hypothesis (with special attention to qualitative variables)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  2. Modèles a anticipations rationnelles apprentissage par regression
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
  3. Rational expectations models and bounded memory
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Econometrica (1985)
  4. The agregation of commodities in quantity rationing models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
    See also Journal Article in International Economic Review (1985)

1982

  1. Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  2. Estimation and test in probit models with serial correlation
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (5)
  3. Pseudo maximum lilelihood methods: applications to poisson models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Econometrica (1984)
  4. Revision adaptative des anticipations et convergence vers les anticipations rationnelles
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
  5. Some theoretical results for generalized ridge regression estimators
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
    See also Journal Article in Journal of Econometrics (1984)

1981

  1. Pseudo maximum likelihood methods: theory
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (25)
    See also Journal Article in Econometrica (1984)

1979

  1. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article in Econometrica (1980)

Journal Articles

2013

  1. Granularity Adjustment for Efficient Portfolios
    Econometric Reviews, 2013, 32, (4), 449-468 Downloads

2012

  1. Bilateral exposures and systemic solvency risk
    Canadian Journal of Economics, 2012, 45, (4), 1273-1309 Downloads View citations (17)
    See also Working Paper (2012)
  2. Granularity adjustment for default risk factor model with cohorts
    Journal of Banking & Finance, 2012, 36, (5), 1464-1477 Downloads View citations (1)

2011

  1. Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
    Journal of Financial Econometrics, 2011, 9, (2), 237-280 Downloads View citations (5)
    See also Working Paper (2010)
  2. Discrete time Wishart term structure models
    Journal of Economic Dynamics and Control, 2011, 35, (6), 815-824 Downloads View citations (10)
  3. Efficient Derivative Pricing by the Extended Method of Moments
    Econometrica, 2011, 79, (4), 1181-1232 View citations (9)
    See also Working Paper (2009)

2010

  1. Conditionally fitted Sharpe performance with an application to hedge fund rating
    Journal of Banking & Finance, 2010, 34, (3), 578-593 Downloads View citations (11)
  2. Derivative Pricing With Wishart Multivariate Stochastic Volatility
    Journal of Business & Economic Statistics, 2010, 28, (3), 438-451 Downloads View citations (29)
  3. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 Downloads View citations (31)
    See also Working Paper (2006)
  4. International money and stock market contingent claims
    Journal of International Money and Finance, 2010, 29, (8), 1727-1751 Downloads View citations (6)
    See also Working Paper (2005)

2009

  1. Control and Out-of-Sample Validation of Dependent Risks
    Journal of Risk & Insurance, 2009, 76, (3), 683-707 Downloads
  2. L-performance with an application to hedge funds
    Journal of Empirical Finance, 2009, 16, (4), 671-685 Downloads View citations (6)
  3. Managing hedonic housing price indexes: The French experience
    Journal of Housing Economics, 2009, 18, (3), 206-213 Downloads View citations (6)
  4. The Wishart Autoregressive process of multivariate stochastic volatility
    Journal of Econometrics, 2009, 150, (2), 167-181 Downloads View citations (75)
    See also Working Paper (2005)

2008

  1. Bon ou mauvais usage des notations
    Revue d'Économie Financière, 2008, 7, (1), 259-263 Downloads
  2. Duration time-series models with proportional hazard
    Journal of Time Series Analysis, 2008, 29, (1), 74-124 Downloads View citations (6)
    See also Working Paper (2002)
  3. Dynamic quantile models
    Journal of Econometrics, 2008, 147, (1), 198-205 Downloads View citations (21)
    See also Working Paper (2006)
  4. Quadratic stochastic intensity and prospective mortality tables
    Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 Downloads View citations (5)
    See also Working Paper (2007)
  5. The ordered qualitative model for credit rating transitions
    Journal of Empirical Finance, 2008, 15, (1), 111-130 Downloads View citations (18)
    See also Working Paper (2006)

2007

  1. An efficient nonparametric estimator for models with nonlinear dependence
    Journal of Econometrics, 2007, 137, (1), 189-229 Downloads View citations (6)
  2. Econometric specification of stochastic discount factor models
    Journal of Econometrics, 2007, 136, (2), 509-530 Downloads View citations (31)
  3. Positivity Conditions for a Bivariate Autoregressive Volatility Specification
    Journal of Financial Econometrics, 2007, 5, (4), 624-636 Downloads View citations (3)

2006

  1. A Classification of Two-Factor Affine Diffusion Term Structure Models
    Journal of Financial Econometrics, 2006, 4, (1), 31-52 Downloads View citations (6)
    See also Working Paper (2005)
  2. Affine Models for Credit Risk Analysis
    Journal of Financial Econometrics, 2006, 4, (3), 494-530 Downloads View citations (20)
    See also Working Paper (2005)
  3. Autoregressive gamma processes
    Journal of Forecasting, 2006, 25, (2), 129-152 Downloads View citations (41)
  4. Continuous Time Wishart Process for Stochastic Risk
    Econometric Reviews, 2006, 25, (2-3), 177-217 Downloads View citations (25)
  5. Multivariate Jacobi process with application to smooth transitions
    Journal of Econometrics, 2006, 131, (1-2), 475-505 Downloads View citations (14)
  6. STOCHASTIC UNIT ROOT MODELS
    Econometric Theory, 2006, 22, (06), 1052-1090 Downloads View citations (8)
  7. Structural Laplace Transform and Compound Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (4), 477-503 Downloads View citations (21)

2005

  1. Migration correlation: Definition and efficient estimation
    Journal of Banking & Finance, 2005, 29, (4), 865-894 Downloads View citations (9)
  2. The econometrics of efficient portfolios
    Journal of Empirical Finance, 2005, 12, (1), 1-41 Downloads View citations (12)

2004

  1. Heterogeneous INAR(1) model with application to car insurance
    Insurance: Mathematics and Economics, 2004, 34, (2), 177-192 Downloads View citations (8)
  2. Infrequent Extreme Risks
    The Geneva Papers on Risk and Insurance Theory, 2004, 29, (1), 5-22 Downloads View citations (2)
    Also in The Geneva Risk and Insurance Review, 2004, 29, (1), 5-22 (2004) Downloads View citations (2)
  3. Kernel-based nonlinear canonical analysis and time reversibility
    Journal of Econometrics, 2004, 119, (2), 323-353 Downloads View citations (7)
    See also Working Paper (2000)
  4. Stochastic volatility duration models
    Journal of Econometrics, 2004, 119, (2), 413-433 Downloads View citations (51)
    See also Working Paper (1997)

2003

  1. Économétrie de la finance: l’exemple du risque de crédit
    L'Actualité Economique, 2003, 79, (4), 399-418 Downloads

2001

  1. DYNAMIC FACTOR MODELS
    Econometric Reviews, 2001, 20, (4), 385-424 Downloads View citations (5)
    See also Working Paper (1999)
  2. Factor ARMA representation of a Markov process
    Economics Letters, 2001, 71, (2), 165-171 Downloads
    See also Working Paper (2000)
  3. Local Power Properties of Kernel Based Goodness of Fit Tests
    Journal of Multivariate Analysis, 2001, 78, (2), 161-190 Downloads View citations (6)
  4. Memory and infrequent breaks
    Economics Letters, 2001, 70, (1), 29-41 Downloads View citations (45)
  5. Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment
    Journal of Political Economy, 2001, 109, (2), 444-473 Downloads View citations (63)
  6. Truncated dynamics and estimation of diffusion equations
    Journal of Econometrics, 2001, 102, (1), 1-22 Downloads View citations (7)
    See also Working Paper (1997)

2000

  1. Econometric specification of the risk neutral valuation model
    Journal of Econometrics, 2000, 94, (1-2), 117-143 Downloads View citations (5)
    See also Working Paper (1997)
  2. Sensitivity analysis of Values at Risk
    Journal of Empirical Finance, 2000, 7, (3-4), 225-245 Downloads View citations (79)
    See also Working Paper (2000)

1999

  1. Econometrics of efficient fitted portfolios
    Journal of Empirical Finance, 1999, 6, (1), 87-118 Downloads View citations (9)
  2. Intra-day market activity
    Journal of Financial Markets, 1999, 2, (3), 193-226 Downloads View citations (41)

1998

  1. Effet des modes de négociation sur les échanges
    Revue Économique, 1998, 49, (3), 795-808 Downloads View citations (5)
  2. Instrumental Models and Indirect Encompassing
    Econometrica, 1998, 66, (3), 673-688 View citations (5)
  3. Mean-Variance Hedging and Numéraire
    Mathematical Finance, 1998, 8, (3), 179-200 Downloads View citations (13)
    See also Working Paper (1996)
  4. Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
    Journal of Econometrics, 1998, 85, (1), 75-98 Downloads

1997

  1. A count data model with unobserved heterogeneity
    Journal of Econometrics, 1997, 79, (2), 247-268 Downloads View citations (9)
  2. Duration, transition and count data models Introduction
    Journal of Econometrics, 1997, 79, (2), 195-199 Downloads View citations (1)
  3. D’une analyse de variabilités à un modèle d’investissement des firmes
    L'Actualité Economique, 1997, 73, (1), 331-350 Downloads
  4. Modèles de comptage semi-paramétriques
    L'Actualité Economique, 1997, 73, (1), 525-550 Downloads
    See also Working Paper (1997)
  5. Rank tests for unit roots
    Journal of Econometrics, 1997, 81, (1), 7-27 Downloads View citations (36)
    See also Working Paper (1996)
  6. Unemployment insurance and mortgages
    Insurance: Mathematics and Economics, 1997, 20, (3), 173-195 Downloads

1995

  1. Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers
    Revue d'Économie Financière, 1995, 32, (1), 167-182 Downloads
  2. Prepayment analysis for securitization
    Journal of Empirical Finance, 1995, 2, (1), 45-70 Downloads View citations (1)
  3. Solutions of multivariate Rational Expectations Models
    Econometric Theory, 1995, 11, (02), 229-257 Downloads View citations (12)
    See also Working Paper (1995)
  4. Testing, Encompassing, and Simulating Dynamic Econometric Models
    Econometric Theory, 1995, 11, (02), 195-228 Downloads View citations (13)
    See also Working Paper (1994)

1994

  1. Création d’actifs financiers et remboursements anticipés
    L'Actualité Economique, 1994, 70, (3), 227-245 Downloads

1993

  1. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 Downloads View citations (473)
    See also Working Paper (1992)
  2. Les transitions en économie.; Les changements de prix en Russie dans les années vingt
    Économie et Prévision, 1993, 109, (3), 101-113 Downloads
  3. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 Downloads View citations (101)

1992

  1. Qualitative threshold ARCH models
    Journal of Econometrics, 1992, 52, (1-2), 159-199 Downloads View citations (55)
    See also Working Paper (1991)
  2. Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat
    L'Actualité Economique, 1992, 68, (1), 283-304 Downloads View citations (9)

1989

  1. A General Framework for Testing a Null Hypothesis in a “Mixed” Form
    Econometric Theory, 1989, 5, (01), 63-82 Downloads View citations (17)
  2. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85 Downloads View citations (1)

1988

  1. Fonctions de production représentatives de fonctions à complémentarité stricte
    L'Actualité Economique, 1988, 64, (2), 209-230 Downloads View citations (2)

1987

  1. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 Downloads View citations (150)
  2. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 Downloads View citations (21)
    See also Working Paper (1985)

1986

  1. Bulles spéculatives et transmission d’information sur le marché d’un bien stockable
    L'Actualité Economique, 1986, 62, (2), 166-184 Downloads
    See also Working Paper (1986)
  2. Direct test of the rational expectation hypothesis
    European Economic Review, 1986, 30, (2), 265-284 Downloads View citations (7)
  3. Learning Procedures and Convergence to Rationality
    Econometrica, 1986, 54, (4), 845-68 Downloads View citations (30)
    See also Working Paper (1984)

1985

  1. A General Approach to Serial Correlation
    Econometric Theory, 1985, 1, (03), 315-340 Downloads View citations (23)
  2. Rational Expectations Models and Bounded Memory
    Econometrica, 1985, 53, (4), 977-85 Downloads
    See also Working Paper (1983)
  3. Solutions of Linear Rational Expectations Models
    Econometric Theory, 1985, 1, (03), 341-368 Downloads View citations (12)
  4. The Aggregation of Commodities in Quantity Rationing Models
    International Economic Review, 1985, 26, (3), 681-99 Downloads View citations (5)
    See also Working Paper (1983)

1984

  1. Pseudo Maximum Likelihood Methods: Applications to Poisson Models
    Econometrica, 1984, 52, (3), 701-20 Downloads View citations (357)
    See also Working Paper (1982)
  2. Pseudo Maximum Likelihood Methods: Theory
    Econometrica, 1984, 52, (3), 681-700 Downloads View citations (304)
    See also Working Paper (1981)
  3. Some theoretical results for generalized ridge regression estimators
    Journal of Econometrics, 1984, 25, (1-2), 191-203 Downloads
    See also Working Paper (1982)
  4. Specification pre-test estimator
    Journal of Econometrics, 1984, 25, (1-2), 15-27 Downloads View citations (1)

1983

  1. Testing nested or non-nested hypotheses
    Journal of Econometrics, 1983, 21, (1), 83-115 Downloads View citations (13)

1982

  1. Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
    Econometrica, 1982, 50, (1), 63-80 Downloads View citations (77)
  2. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 Downloads View citations (33)

1981

  1. Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
    Journal of Econometrics, 1981, 17, (1), 83-97 Downloads View citations (6)
  2. Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters
    Journal of Econometrics, 1981, 16, (1), 166-166 Downloads View citations (5)

1980

  1. Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
    Econometrica, 1980, 48, (3), 675-95 Downloads View citations (42)
    See also Working Paper (1979)
  2. Disequilibrium Econometrics in Simultaneous Equations Systems
    Econometrica, 1980, 48, (1), 75-96 Downloads View citations (9)
  3. On the backward-forward procedure
    Economics Letters, 1980, 5, (3), 215-217 Downloads
  4. Sufficient Linear Structures: Econometric Applications
    Econometrica, 1980, 48, (5), 1083-97 Downloads View citations (6)
  5. Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
    International Economic Review, 1980, 21, (1), 245-47 Downloads

1979

  1. On the characterization of a joint probability distribution by conditional distributions
    Journal of Econometrics, 1979, 10, (1), 115-118 Downloads View citations (3)

Books

1997

  1. Simulation-based Econometric Methods
    OUP Catalogue, Oxford University Press View citations (27)

Chapters

2007

  1. Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
    A chapter in The Econometrics of Individual Risk: Credit, Insurance, and Marketing, 2007 Downloads View citations (5)

1986

  1. Testing non-nested hypotheses
    Chapter 44 in Handbook of Econometrics, 1986, vol. 4, pp 2583-2637 Downloads View citations (8)
 
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