Details about Christian S. Gourieroux

Workplace:

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

Access statistics for papers by Christian S. Gourieroux.

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Short-id: pgo144

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Working Papers

2006

1. DYNAMIC QUANTILE MODELS
   Working Papers, York University, Department of Economics View citations
   See also Journal Article in Journal of Econometrics (2008)
2. Indirect Inference for Dynamic Panel Models
   Cowles Foundation Discussion Papers, Cowles Foundation, Yale University
3. The Ordered Qualitative Model For Credit Rating Transitions
   Working Papers, York University, Department of Economics View citations
   See also Journal Article in Journal of Empirical Finance (2008)

2005

4. 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
5. The Wishart Autoregressive Process of Multivariate Stochastic Volatility
   Working Papers, York University, Department of Economics View citations

2003

6. Aversion Analysis
   Cahiers de recherche, Universite de Montreal, Departement de sciences economiques View citations
   Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (2003) View citations

2001

7. Conditions for Optimality in Experimental Designs
   Working Papers, Centre de Recherche en Economie et Statistique View citations
8. Kernel Based Nonlinear Canonical Analysis
   IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations
   Also in Working Papers, Toulouse - GREMAQ (1999)

2000

9. Factor ARMA Representation of a Markov Process
   Working Papers, Centre de Recherche en Economie et Statistique
   See also Journal Article in Economics Letters (2001)
10. Kernel Based Nonlinear Canonical Analysis and Time Reversibility
    Working Papers, Centre de Recherche en Economie et Statistique View citations
    See also Journal Article in Journal of Econometrics (2004)
11. Sensitivity Analysis of Values at Risk
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society View citations
    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
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) View citations
    Working Papers, Centre de Recherche en Economie et Statistique (2000) View citations
    See also Journal Article in Journal of Empirical Finance (2000)

1999

12. Bartlett Identities Tests
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations
13. Nonlinear Persistence and Copersistence
    Working Papers, York University, Department of Economics
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999)
14. Nonlinear innovations and impulse responses
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations

1998

15. Evidence of Adverse Selection in Automobile Insurance Markets
    Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. View citations
    Also in Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. (1998) View citations
    THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations
16. 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
    Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations

1997

17. Composition des portefeuilles des ménages: une analyse scores sur données françaises
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
18. Econometric specification of the risk neutral valuation model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Journal of Econometrics (2000)
19. Modes de négociation et caractéristiques de marché
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
20. Multiregime Term Structure Models
    Discussion Papers (IRES - Institut de Recherches Economiques et Sociales), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES)

1996

21. 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)
22. Arbitrage Based Pricing When Volatility Is Stochastic
    CIRANO Working Papers, CIRANO
    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) View citations
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (1996)
23. Calibrarion By Simulation for Small Sample Bias Correction
    Working Papers, Toulouse - GREMAQ
24. Kernel Autocorrelogram for Time Deformed Processes
    CIRANO Working Papers, CIRANO
25. Mean-variance hedging and numeraire
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations

1995

26. Comparison of Kernel estimator based goodness of fit tests (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
27. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO View citations
    Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations
    Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations
28. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO View citations

1994

29. Estimation of the term structure from bond data
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations
30. Kernel m-estimators: non parametric diagnostics for structural models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations
31. Modèles économétriques: utilisation et interprétation (les)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
32. Multivariate distributions for limited dependent variable models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
33. Testing, encompassing and simulating dynamic econometric models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations

1993

34. Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
35. Modèles linéaires à facteurs et structure à terme des taux d'intérêt
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
36. Prévision de mesures de prix contingents
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1992

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

1991

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

1990

43. Sélection de clientèle et tarification de prêt bancaire
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1989

44. Detecting a long run relationship (with an application to the p.p.p. hypothesis)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1988

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

1987

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

1986

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

1985

59. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Journal of Econometrics (1987)
60. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
61. Vérification empirique de deux schémas d'anticipation adaptatif et rationnel
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1984

62. General approach of serial correlation (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations
63. Learning procedure and convergence to rationality
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP
    See also Journal Article in Econometrica (1986)
64. Solutions of dynamic linear rational expectations models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations

1983

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

1982

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

1981

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

1979

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

Undated

76. Rank Tests for Unit Roots
    Working Papers, Humboldt University, Sonderforschungsbereich 373
    See also Journal Article in Journal of Econometrics (1997)
77. Truncated Maximum Likelihood, Goodness of Fit Tests and Tail Analysis
    Working Papers, Humboldt University, Sonderforschungsbereich 373 View citations

Journal Articles

2008

1. Duration time-series models with proportional hazard
   Journal of Time Series Analysis, 2008, 29, (1), 74-124 View citations
2. Dynamic quantile models
   Journal of Econometrics, 2008, 147, (1), 198-205
   See also Working Paper (2006)
3. Quadratic stochastic intensity and prospective mortality tables
   Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 View citations
4. The ordered qualitative model for credit rating transitions
   Journal of Empirical Finance, 2008, 15, (1), 111-130
   See also Working Paper (2006)

2007

5. An efficient nonparametric estimator for models with nonlinear dependence
   Journal of Econometrics, 2007, 137, (1), 189-229
6. Econometric specification of stochastic discount factor models
   Journal of Econometrics, 2007, 136, (2), 509-530 View citations

2006

7. A Classification of Two-Factor Affine Diffusion Term Structure Models
   Journal of Financial Econometrics, 2006, 4, (1), 31-52 View citations
8. Affine Models for Credit Risk Analysis
   Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations
9. Autoregressive gamma processes
   Journal of Forecasting, 2006, 25, (2), 129-152 View citations
10. Multivariate Jacobi process with application to smooth transitions
    Journal of Econometrics, 2006, 131, (1-2), 475-505 View citations
11. STOCHASTIC UNIT ROOT MODELS
    Econometric Theory, 2006, 22, (06), 1052-1090 View citations
12. Structural Laplace Transform and Compound Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (4), 477-503 View citations

2005

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

2004

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

2001

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

2000

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

1999

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

1998

29. Instrumental Models and Indirect Encompassing
    Econometrica, 1998, 66, (3), 673-688 View citations
30. Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
    Journal of Econometrics, 1998, 85, (1), 75-98

1997

31. A count data model with unobserved heterogeneity
    Journal of Econometrics, 1997, 79, (2), 247-268 View citations
32. Duration, transition and count data models Introduction
    Journal of Econometrics, 1997, 79, (2), 195-199 View citations
33. Rank tests for unit roots
    Journal of Econometrics, 1997, 81, (1), 7-27 View citations
    See also Working Paper
34. Unemployment insurance and mortgages
    Insurance: Mathematics and Economics, 1997, 20, (3), 173-195

1995

35. Prepayment analysis for securitization
    Journal of Empirical Finance, 1995, 2, (1), 45-70

1993

36. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 View citations
    See also Working Paper (1992)
37. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 View citations

1992

38. Qualitative threshold ARCH models
    Journal of Econometrics, 1992, 52, (1-2), 159-199 View citations
    See also Working Paper (1991)

1989

39. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85

1987

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

1986

42. Direct test of the rational expectation hypothesis
    European Economic Review, 1986, 30, (2), 265-284
43. Learning Procedures and Convergence to Rationality
    Econometrica, 1986, 54, (4), 845-68 View citations
    See also Working Paper (1984)

1985

44. Rational Expectations Models and Bounded Memory
    Econometrica, 1985, 53, (4), 977-85 View citations
    See also Working Paper (1983)
45. The Aggregation of Commodities in Quantity Rationing Models
    International Economic Review, 1985, 26, (3), 681-99 View citations
    See also Working Paper (1983)

1984

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

1983

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

1982

51. 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
52. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 View citations

1981

53. Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
    Journal of Econometrics, 1981, 17, (1), 83-97 View citations
54. 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
55. On the Problem of Missing Data in Linear Models
    Review of Economic Studies, 1981, 48, (4), 579-86 View citations

1980

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

1979

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

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

1986

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