Details about Christian S. Gourieroux

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

Access statistics for papers by Christian S. Gourieroux.

Last updated 2013-04-16. Update your information in the RePEc Author Service.

Short-id: pgo144

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Working Papers

2012

1. A term structure model with level factor cannot be realistic and arbitrage free
   Working papers, Banque de France
2. Bilateral Exposures and Systemic Solvency Risk
   Working papers, Banque de France
   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
4. Estimation Adjusted VaR
   Working Papers, Centre de Recherche en Economie et Statistique
5. Shock on Variable or Shock on Distribution with Application to Stress-Tests
   Working Papers, Centre de Recherche en Economie et Statistique
   Also in Working papers, Banque de France (2012)

2011

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

2010

8. An Analysis of the Ultra Long-Term Yields
   Working Papers, Centre de Recherche en Economie et Statistique
9. Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
   Working Papers, Centre de Recherche en Economie et Statistique
   See also Journal Article in Journal of Financial Econometrics (2011)
10. Efficiency in Large Dynamic Panel Models with Common Factor
    Working Papers, Centre de Recherche en Economie et Statistique
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) View citations (1)
11. Microinformation, Nonlinear Filtering and Granularity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article in Journal of Financial Econometrics (2012)

2009

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

2007

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

2006

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

2005

21. A Classification of Two Factor Affine Diffusion Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Journal of Financial Econometrics (2006)
22. Affine Model for Credit Risk Analysis
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Journal of Financial Econometrics (2006)
23. Efficient Derivative Pricing by Extended Method of Moments
    University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2005) View citations (1)
    Working Papers, Centre de Recherche en Economie et Statistique (2004) View citations (1)
24. International Money and Stock Market Contingent Claims
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
    See also Journal Article in Journal of International Money and Finance (2010)
25. The Wishart Autoregressive Process of Multivariate Stochastic Volatility
    Working Papers, York University, Department of Economics View citations (9)
    See also Journal Article in Journal of Econometrics (2009)
26. Wishart Autoregressive Model for Stochastic Risk
    Working Papers, Centre de Recherche en Economie et Statistique

2004

27. Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
28. Kernel Based Nonlinear Canonical Analysis and Time Reversibility
    Open Access publications from University of Toulouse 1 Capitole, University of Toulouse 1 Capitole View citations (3)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations (1)
    See also Journal Article in Journal of Econometrics (2004)
29. Stochastic Migration Models with Application to Corporate Risk
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
30. The Wishart Autoregressive of Multivariate Stochastic Volatility
    Working Papers, Centre de Recherche en Economie et Statistique View citations (2)

2003

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

2002

33. Affine Term Structure Models
    Working Papers, Centre de Recherche en Economie et Statistique View citations (11)
34. Constrained Nonparametric Copulas
    Working Papers, Centre de Recherche en Economie et Statistique
35. Duration Time Series Models with Proportional Hazard
    Working Papers, Centre de Recherche en Economie et Statistique View citations (4)
    See also Journal Article in Journal of Time Series Analysis (2008)
36. Equidependence in Qualitative and Duration Models with Application to Credit Risk
    Working Papers, Centre de Recherche en Economie et Statistique View citations (2)
37. Pricing with Splines
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Annales d'Economie et de Statistique (2006)

2001

38. Ajustement des prix bid et ask en présence d'information privée
    Working Papers, Centre de Recherche en Economie et Statistique View citations (7)
39. Compound Autoregressive Models
    Working Papers, Centre de Recherche en Economie et Statistique
40. Conditions for Optimality in Experimental Designs
    Working Papers, Centre de Recherche en Economie et Statistique View citations (6)
41. Kernel Based Nonlinear Canonical Analysis
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (8)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1998)
    Working Papers, Toulouse - GREMAQ (1999)
42. Local Likelihood Density Estimation and Value at Risk
    Working Papers, Centre de Recherche en Economie et Statistique View citations (2)
43. Tails and Extremal Behaviour of Stochastic Unit Root Models
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)

2000

44. Factor ARMA Representation of a Markov Process
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Economics Letters (2001)
45. Sensitivity Analysis of Values at Risk
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations (46)
    Also in Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (2000) View citations (46)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) View citations (52)
    Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations (46)
    See also Journal Article in Journal of Empirical Finance (2000)

1999

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

1998

50. Causality Between Returns and Trated Volumes
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Annales d'Economie et de Statistique (2000)
51. Evidence of Adverse Selection in Automobile Insurance Markets
    Working Papers, Centre de Recherche en Economie et Statistique View citations (9)
    Also in Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1998) View citations (6)
    Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. (1998) View citations (6)
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations (5)
52. Matching Procedures and Market Characteristics
    Working Papers, Centre de Recherche en Economie et Statistique
53. Nonlinear Autocorrelograms: An Application to Intra-Trade Durations
    Working Papers, Centre de Recherche en Economie et Statistique View citations (4)
54. Nonlinear Panel Data Models with Dynamic Heterogeneity
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
55. The Econometrics of Efficient Frontiers
    Working Papers, Centre de Recherche en Economie et Statistique
56. 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)
57. Truncated Maximum Likelihood and Nonparametric Tail Analysis
    Working Papers, Centre de Recherche en Economie et Statistique
58. 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

1997

59. An Econometric Analysis of Household Portfolio Allocation
    Working Papers, Centre de Recherche en Economie et Statistique View citations (2)
60. Composition des portefeuilles des ménages: une analyse scores sur données françaises
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
61. Dynamiques tronquées et estimation de modèles de diffusion
    Working Papers, Centre de Recherche en Economie et Statistique
62. Econometric Specification of the Risk Neutral Valuation Model
    Working Papers, Centre de Recherche en Economie et Statistique
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1997)
    See also Journal Article in Journal of Econometrics (2000)
63. Econométrie de la Finance: approches historiques
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (1)
64. Modes de négociation et caractéristiques de marché
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
65. Modèles de comptage semi-paramétriques
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in L'Actualité Economique (1997)
66. Multiregime Term Structure Models
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (1)
    Also in Working Papers, Centre de Recherche en Economie et Statistique (1997) View citations (1)
67. Stochastic Volatility Duration Models
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Journal of Econometrics (2004)
68. The Informational Content of Household Decisions
    Working Papers, Centre de Recherche en Economie et Statistique View citations (4)
69. The Portfolio Composition of Households: A Scoring Analysis from French Data
    Working Papers, Centre de Recherche en Economie et Statistique View citations (1)
70. Truncated Dynamics and Estimation of DiffusionEquations
    Working Papers, Centre de Recherche en Economie et Statistique
    See also Journal Article in Journal of Econometrics (2001)

1996

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

1995

77. Comparison of Kernel estimator based goodness of fit tests (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
78. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO View citations (13)
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (16)
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (9)
79. Solutions of Multivariate Rational Expectations Models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (7)
    See also Journal Article in Econometric Theory (1995)
80. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO View citations (7)

1994

81. Estimation of the term structure from bond data
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (3)
82. Kernel m-estimators: non parametric diagnostics for structural models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (7)
83. Modèles économétriques: utilisation et interprétation (les)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
84. Multivariate distributions for limited dependent variable models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
85. Testing, encompassing and simulating dynamic econometric models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (10)
    See also Journal Article in Econometric Theory (1995)

1993

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

1992

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

1991

92. 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)
93. Modèles de durée et effets de génération
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
94. Qualitative threshold arch models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Journal of Econometrics (1992)
95. Transitions in economy: price changes in russia in the twenties
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
96. Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)

1990

97. Reduced Forms of Rational Expectations Models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
98. Sélection de clientèle et tarification de prêt bancaire
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1989

99. Detecting a long run relationship (with an application to the p.p.p. hypothesis)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (5)
100. 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

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

1987

105. Agrégation de processus autoregressifs d'ordre 1
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
     See also Journal Article in Annales d'Economie et de Statistique (1988)
106. Consistent m-estimators in a semi-parametric model
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (4)
107. Contraintes linéaires mixtes
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
108. Court et long-terme dans les modèles de durée
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
109. Functional averages and statistical inference
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
110. Heterogeneity and hazard dominance in duration data models
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (3)

1986

111. Approche géométrique des processus arma (une)
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
112. 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)
113. Identification & consistent estimation of multi-variate linear models with rational expectations of current variables
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
114. Reduction and identification of simultaneous equations models with rational expectations
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
115. Strong concentration ordering
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1985

116. Simulated residuals
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (4)
     See also Journal Article in Journal of Econometrics (1987)
117. Solutions of Dynamic Linear Rational Expectations Models
     ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (4)
     Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1984) View citations (8)
118. Testing unknown linear restrictions on parameter functions
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
119. Vérification empirique de deux schémas d'anticipation adaptatif et rationnel
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1984

120. General approach of serial correlation (a)
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (17)
121. Learning procedure and convergence to rationality
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
     See also Journal Article in Econometrica (1986)

1983

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

1982

126. Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
127. Estimation and test in probit models with serial correlation
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (4)
128. Pseudo maximum lilelihood methods: applications to poisson models
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
     See also Journal Article in Econometrica (1984)
129. Revision adaptative des anticipations et convergence vers les anticipations rationnelles
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP
130. 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

131. Pseudo maximum likelihood methods: theory
     CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (33)
     See also Journal Article in Econometrica (1984)

1979

132. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
     NBER Working Papers, National Bureau of Economic Research, Inc View citations (2)
     See also Journal Article in Econometrica (1980)

Journal Articles

2013

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

2012

2. Bilateral exposures and systemic solvency risk
   Canadian Journal of Economics, 2012, 45, (4), 1273-1309
   See also Working Paper (2012)
3. Converting Tail-VaR to VaR: An Econometric Study
   Journal of Financial Econometrics, 2012, 10, (2), 233-264
4. Granularity adjustment for default risk factor model with cohorts
   Journal of Banking & Finance, 2012, 36, (5), 1464-1477
5. Microinformation, Nonlinear Filtering, and Granularity
   Journal of Financial Econometrics, 2012, 10, (1), 1-53
   See also Working Paper (2010)

2011

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

2010

9. Conditionally fitted Sharpe performance with an application to hedge fund rating
   Journal of Banking & Finance, 2010, 34, (3), 578-593 View citations (6)
10. Derivative Pricing With Wishart Multivariate Stochastic Volatility
    Journal of Business & Economic Statistics, 2010, 28, (3), 438-451 View citations (15)
11. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 View citations (15)
    See also Working Paper (2006)
12. International money and stock market contingent claims
    Journal of International Money and Finance, 2010, 29, (8), 1727-1751 View citations (2)
    See also Working Paper (2005)

2009

13. Control and Out-of-Sample Validation of Dependent Risks
    Journal of Risk & Insurance, 2009, 76, (3), 683-707
14. L-performance with an application to hedge funds
    Journal of Empirical Finance, 2009, 16, (4), 671-685 View citations (2)
15. Managing hedonic housing price indexes: The French experience
    Journal of Housing Economics, 2009, 18, (3), 206-213 View citations (3)
16. The Wishart Autoregressive process of multivariate stochastic volatility
    Journal of Econometrics, 2009, 150, (2), 167-181 View citations (29)
    See also Working Paper (2005)

2008

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

2007

22. An efficient nonparametric estimator for models with nonlinear dependence
    Journal of Econometrics, 2007, 137, (1), 189-229 View citations (3)
23. Diffusion Processes with Polynomial Eigenfunctions
    Annales d'Economie et de Statistique, 2007, (85), 115-130
24. Econometric specification of stochastic discount factor models
    Journal of Econometrics, 2007, 136, (2), 509-530 View citations (15)
25. Positivity Conditions for a Bivariate Autoregressive Volatility Specification
    Journal of Financial Econometrics, 2007, 5, (4), 624-636 View citations (1)

2006

26. A Classification of Two-Factor Affine Diffusion Term Structure Models
    Journal of Financial Econometrics, 2006, 4, (1), 31-52 View citations (4)
    See also Working Paper (2005)
27. Affine Models for Credit Risk Analysis
    Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations (9)
    See also Working Paper (2005)
28. Autoregressive gamma processes
    Journal of Forecasting, 2006, 25, (2), 129-152 View citations (10)
29. Continuous Time Wishart Process for Stochastic Risk
    Econometric Reviews, 2006, 25, (2-3), 177-217 View citations (13)
30. Migration Correlation: Estimation Method and Application to French Corporates Ratings
    Annales d'Economie et de Statistique, 2006, (82), 71-101
31. Multivariate Jacobi process with application to smooth transitions
    Journal of Econometrics, 2006, 131, (1-2), 475-505 View citations (5)
32. Pricing with Splines
    Annales d'Economie et de Statistique, 2006, (82), 3-33 View citations (1)
    See also Working Paper (2002)
33. STOCHASTIC UNIT ROOT MODELS
    Econometric Theory, 2006, 22, (06), 1052-1090 View citations (5)
34. Structural Laplace Transform and Compound Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (4), 477-503 View citations (11)

2005

35. Migration correlation: Definition and efficient estimation
    Journal of Banking & Finance, 2005, 29, (4), 865-894 View citations (3)
36. Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity
    Annales d'Economie et de Statistique, 2005, (78), 1-31
37. The econometrics of efficient portfolios
    Journal of Empirical Finance, 2005, 12, (1), 1-41 View citations (9)

2004

38. Heterogeneous INAR(1) model with application to car insurance
    Insurance: Mathematics and Economics, 2004, 34, (2), 177-192 View citations (4)
39. Infrequent Extreme Risks
    The Geneva Papers on Risk and Insurance Theory, 2004, 29, (1), 5-22 View citations (2)
    Also in The Geneva Risk and Insurance Review, 2004, 29, (1), 5-22 (2004) View citations (2)
40. Kernel-based nonlinear canonical analysis and time reversibility
    Journal of Econometrics, 2004, 119, (2), 323-353 View citations (4)
    See also Working Paper (2004)
41. Stochastic volatility duration models
    Journal of Econometrics, 2004, 119, (2), 413-433 View citations (38)
    See also Working Paper (1997)

2003

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

2001

43. DYNAMIC FACTOR MODELS
    Econometric Reviews, 2001, 20, (4), 385-424 View citations (3)
    See also Working Paper (1999)
44. Factor ARMA representation of a Markov process
    Economics Letters, 2001, 71, (2), 165-171
    See also Working Paper (2000)
45. Local Power Properties of Kernel Based Goodness of Fit Tests
    Journal of Multivariate Analysis, 2001, 78, (2), 161-190 View citations (5)
46. Memory and infrequent breaks
    Economics Letters, 2001, 70, (1), 29-41 View citations (27)
47. Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment
    Journal of Political Economy, 2001, 109, (2), 444-473 View citations (34)
48. Truncated dynamics and estimation of diffusion equations
    Journal of Econometrics, 2001, 102, (1), 1-22 View citations (6)
    See also Working Paper (1997)

2000

49. Causality between Returns and Traded Volumes
    Annales d'Economie et de Statistique, 2000, (60), 189-206
    See also Working Paper (1998)
50. Econometric specification of the risk neutral valuation model
    Journal of Econometrics, 2000, 94, (1-2), 117-143 View citations (5)
    See also Working Paper (1997)
51. Intraday Transaction Price Dynamics
    Annales d'Economie et de Statistique, 2000, (60), 207-238
52. Sensitivity analysis of Values at Risk
    Journal of Empirical Finance, 2000, 7, (3-4), 225-245 View citations (46)
    See also Working Paper (2000)

1999

53. Econometrics of efficient fitted portfolios
    Journal of Empirical Finance, 1999, 6, (1), 87-118 View citations (7)
54. Intra-day market activity
    Journal of Financial Markets, 1999, 2, (3), 193-226 View citations (30)

1998

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

1997

59. A count data model with unobserved heterogeneity
    Journal of Econometrics, 1997, 79, (2), 247-268 View citations (9)
60. Duration, transition and count data models Introduction
    Journal of Econometrics, 1997, 79, (2), 195-199 View citations (1)
61. D’une analyse de variabilités à un modèle d’investissement des firmes
    L'Actualité Economique, 1997, 73, (1), 331-350
62. Modèles de comptage semi-paramétriques
    L'Actualité Economique, 1997, 73, (1), 525-550
    See also Working Paper (1997)
63. Rank tests for unit roots
    Journal of Econometrics, 1997, 81, (1), 7-27 View citations (22)
    See also Working Paper (1996)
64. Unemployment insurance and mortgages
    Insurance: Mathematics and Economics, 1997, 20, (3), 173-195

1996

65. Diffusion et effet de vague
    Annales d'Economie et de Statistique, 1996, (44), 191-217

1995

66. 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
67. Linear Factor Models and the Term Structure of Interest Rates
    Annales d'Economie et de Statistique, 1995, (40), 37-65
68. Prepayment analysis for securitization
    Journal of Empirical Finance, 1995, 2, (1), 45-70 View citations (1)
69. Solutions of multivariate Rational Expectations Models
    Econometric Theory, 1995, 11, (02), 229-257 View citations (7)
    See also Working Paper (1995)
70. Testing, Encompassing, and Simulating Dynamic Econometric Models
    Econometric Theory, 1995, 11, (02), 195-228 View citations (9)
    See also Working Paper (1994)

1994

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

1993

72. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 View citations (304)
    See also Working Paper (1992)
73. Les transitions en économie.; Les changements de prix en Russie dans les années vingt
    Économie et Prévision, 1993, 109, (3), 101-113
74. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 View citations (80)
75. Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié
    Annales d'Economie et de Statistique, 1993, (32), 81-111

1992

76. Courbes de performances, de sélection et de discrimination
    Annales d'Economie et de Statistique, 1992, (28), 107-123
77. Qualitative threshold ARCH models
    Journal of Econometrics, 1992, 52, (1-2), 159-199 View citations (40)
    See also Working Paper (1991)
78. Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat
    L'Actualité Economique, 1992, 68, (1), 283-304 View citations (5)

1991

79. Simulation Based Inference in Models with Heterogeneity
    Annales d'Economie et de Statistique, 1991, (20-21), 69-107 View citations (1)

1990

80. Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire
    Annales d'Economie et de Statistique, 1990, (17), 163-183 View citations (2)
81. Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible)
    Annales d'Economie et de Statistique, 1990, (17), 185-204
82. Hétérogénéité et hasard dans les modèles de durée
    Annales d'Economie et de Statistique, 1990, (18), 1-23

1989

83. A General Framework for Testing a Null Hypothesis in a “Mixed” Form
    Econometric Theory, 1989, 5, (01), 63-82 View citations (13)
84. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85

1988

85. Agrégation de processus autorégressifs d'ordre 1
    Annales d'Economie et de Statistique, 1988, (12), 127-149
    See also Working Paper (1987)
86. Fonctions de production représentatives de fonctions à complémentarité stricte
    L'Actualité Economique, 1988, 64, (2), 209-230 View citations (1)

1987

87. Avant-propos
    Annales d'Economie et de Statistique, 1987, (6-7), 1-5, pp. 7-11
88. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 View citations (92)
89. Kullback Causality Measures
    Annales d'Economie et de Statistique, 1987, (6-7), 369-410
90. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 View citations (16)
    See also Working Paper (1985)
91. Une approche géométrique des processus ARMA
    Annales d'Economie et de Statistique, 1987, (8), 135-159

1986

92. Bulles spéculatives et transmission d’information sur le marché d’un bien stockable
    L'Actualité Economique, 1986, 62, (2), 166-184 View citations (1)
    See also Working Paper (1986)
93. Direct test of the rational expectation hypothesis
    European Economic Review, 1986, 30, (2), 265-284 View citations (4)
94. Learning Procedures and Convergence to Rationality
    Econometrica, 1986, 54, (4), 845-68 View citations (25)
    See also Working Paper (1984)

1985

95. A General Approach to Serial Correlation
    Econometric Theory, 1985, 1, (03), 315-340 View citations (21)
96. Rational Expectations Models and Bounded Memory
    Econometrica, 1985, 53, (4), 977-85
    See also Working Paper (1983)
97. Solutions of Linear Rational Expectations Models
    Econometric Theory, 1985, 1, (03), 341-368 View citations (6)
98. The Aggregation of Commodities in Quantity Rationing Models
    International Economic Review, 1985, 26, (3), 681-99 View citations (5)
    See also Working Paper (1983)

1984

99. Pseudo Maximum Likelihood Methods: Applications to Poisson Models
    Econometrica, 1984, 52, (3), 701-20 View citations (184)
    See also Working Paper (1982)
100. Pseudo Maximum Likelihood Methods: Theory
     Econometrica, 1984, 52, (3), 681-700 View citations (161)
     See also Working Paper (1981)
101. Some theoretical results for generalized ridge regression estimators
     Journal of Econometrics, 1984, 25, (1-2), 191-203
     See also Working Paper (1982)
102. Specification pre-test estimator
     Journal of Econometrics, 1984, 25, (1-2), 15-27 View citations (1)

1983

103. Testing nested or non-nested hypotheses
     Journal of Econometrics, 1983, 21, (1), 83-115 View citations (8)

1982

104. 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 View citations (44)
105. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
     Econometrica, 1982, 50, (2), 409-25 View citations (12)

1981

106. Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
     Journal of Econometrics, 1981, 17, (1), 83-97 View citations (4)
107. Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters
     Journal of Econometrics, 1981, 16, (1), 166-166 View citations (4)
108. On the Problem of Missing Data in Linear Models
     Review of Economic Studies, 1981, 48, (4), 579-86 View citations (15)

1980

109. Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
     Econometrica, 1980, 48, (3), 675-95 View citations (33)
     See also Working Paper (1979)
110. Disequilibrium Econometrics in Simultaneous Equations Systems
     Econometrica, 1980, 48, (1), 75-96 View citations (8)
111. On the backward-forward procedure
     Economics Letters, 1980, 5, (3), 215-217
112. Sufficient Linear Structures: Econometric Applications
     Econometrica, 1980, 48, (5), 1083-97 View citations (3)
113. Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
     International Economic Review, 1980, 21, (1), 245-47

1979

114. On the characterization of a joint probability distribution by conditional distributions
     Journal of Econometrics, 1979, 10, (1), 115-118 View citations (2)

Books

1997

1. Simulation-based Econometric Methods
   OUP Catalogue, Oxford University Press View citations (11)

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 View citations (4)

1986

2. Testing non-nested hypotheses
   Chapter 44 in Handbook of Econometrics, 1986, vol. 4, pp 2583-2637 View citations (9)