Details about Christian S. Gourieroux

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

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Short-id: pgo144

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Working Papers

2018

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations
Working Papers, Center for Research in Economics and Statistics
Also in MPRA Paper, University Library of Munich, Germany (2018)
Negative Binomial Autoregressive Process
CEPN Working Papers, HAL
Also in CEPN Working Papers, Centre d'Economie de l'Université de Paris Nord (2018)
Working Papers, Center for Research in Economics and Statistics (2018)

2017

Composite Indirect Inference with Application
Working Papers, Center for Research in Economics and Statistics View citations (2)
Consistent Pseudo-Maximum Likelihood Estimators
Working Papers, Center for Research in Economics and Statistics View citations (1)
Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (1)
See also Journal Article in Annals of Economics and Statistics (2017)
Identification and Estimation in Non-Fundamental Structural VARMA Models
Working Papers, Center for Research in Economics and Statistics
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations
MPRA Paper, University Library of Munich, Germany
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
Working Papers, Center for Research in Economics and Statistics View citations (76)
Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (2)
See also Journal Article in Journal of Econometrics (2017)

2016

A Flexible State-Space Model with Application to Stochastic Volatility
Working Papers, Center for Research in Economics and Statistics
Composite Indirect Inference with Application to Corporate Risks
Working Papers, Center for Research in Economics and Statistics View citations (2)
Local Explosion Modelling by Noncausal Process
MPRA Paper, University Library of Munich, Germany
See also Journal Article in Journal of the Royal Statistical Society Series B (2017)
Robust Analysis of the Martingale Hypothesis
Working Papers, Center for Research in Economics and Statistics View citations (2)
Stationary Bubble Equilibria in Rational Expectation Models
Working Papers, Center for Research in Economics and Statistics View citations (5)
Structural Dynamic Analysis of Systematic Risk
Working Papers, Center for Research in Economics and Statistics

2015

Semi-Parametric Estimation of Noncausal Vector Autoregression
Working Papers, Center for Research in Economics and Statistics View citations (5)
Statistical Inference for Independent Component Analysis
Working Papers, Center for Research in Economics and Statistics

2014

Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
Filtering and Prediction in Noncausal Processes
Working Papers, Center for Research in Economics and Statistics View citations (1)
Misspecification of Causal and Noncausal Orders in Autoregressive Processes
Working Papers, Center for Research in Economics and Statistics View citations (1)
On uniqueness of moving average representations of heavy-tailed stationary processes
MPRA Paper, University Library of Munich, Germany
See also Journal Article in Journal of Time Series Analysis (2015)
Revisiting Identification and estimation in Structural VARMA Models
Working Papers, Center for Research in Economics and Statistics View citations (5)

2013

Explosive Bubble Modelling by Noncausal Process
Working Papers, Center for Research in Economics and Statistics View citations (9)
Funding Liquidity Risk from A Regulatory Perspective
Working Papers, Center for Research in Economics and Statistics
Liquidation Equilibrium with Seniority and Hidden CDO
Working Papers, Center for Research in Economics and Statistics View citations (11)
See also Journal Article in Journal of Banking & Finance (2013)
Long Term Care and Longevity
Working Papers, Center for Research in Economics and Statistics
Love and Death: A Freund Model with Frailty
Working Papers, Center for Research in Economics and Statistics View citations (4)
See also Journal Article in Insurance: Mathematics and Economics (2015)
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives
Working Papers, Center for Research in Economics and Statistics
Pricing Default Events: Surprise, Exogeneity and Contagion
Working papers, Banque de France
Also in Working Papers, Center for Research in Economics and Statistics (2013)
See also Journal Article in Journal of Econometrics (2014)
Procyclité des Régulations des Marchés Financiers
Working Papers, Center for Research in Economics and Statistics
Regime Switching and Bond Pricing
Working papers, Banque de France View citations (2)
Also in Working Papers, Center for Research in Economics and Statistics (2013) View citations (2)
See also Journal Article in The Journal of Financial Econometrics (2014)
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme
Working Papers, Center for Research in Economics and Statistics View citations (2)
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme
Working Papers, Center for Research in Economics and Statistics View citations (1)

2012

A term structure model with level factor cannot be realistic and arbitrage free
Working papers, Banque de France
Bilateral Exposures and Systemic Solvency Risk
Working papers, Banque de France View citations (44)
See also Journal Article in Canadian Journal of Economics (2012)
Correlated Risks vs Contagion in Stochastic Transition Models
Working Papers, Center for Research in Economics and Statistics View citations (1)
See also Journal Article in Journal of Economic Dynamics and Control (2013)
Estimation Adjusted VaR
Working Papers, Center for Research in Economics and Statistics
See also Journal Article in Econometric Theory (2013)
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
Working Papers, Center for Research in Economics and Statistics View citations (7)
Shock on Variable or Shock on Distribution with Application to Stress-Tests
Working papers, Banque de France View citations (2)
Also in Working Papers, Center for Research in Economics and Statistics (2012) View citations (1)
Survival of Hedge Funds: Frailty vs Contagion
Working Papers, Center for Research in Economics and Statistics View citations (3)

2011

Allocating Systematic and Unsystematic Risks in a Regulatory Perspective
Working Papers, Center for Research in Economics and Statistics View citations (4)
Granularity Theory with Application to Finance and Insurance
Working Papers, Center for Research in Economics and Statistics
See also Book (2014)

2010

An Analysis of the Ultra Long-Term Yields
Working Papers, Center for Research in Economics and Statistics View citations (2)
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
Working Papers, Center for Research in Economics and Statistics View citations (1)
See also Journal Article in The Journal of Financial Econometrics (2011)
Efficiency in Large Dynamic Panel Models with Common Factor
Working Papers, Center for Research in Economics and Statistics View citations (2)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) View citations (4)
See also Journal Article in Econometric Theory (2014)
Efficient Derivative Pricing By The Extended Method of Moments
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
Also in Working Papers, Center for Research in Economics and Statistics (2004) View citations (2)
University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005)
Working Papers, Center for Research in Economics and Statistics (2005) View citations (2)
See also Journal Article in Econometrica (2011)
Microinformation, Nonlinear Filtering and Granularity
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
See also Journal Article in The Journal of Financial Econometrics (2010)

2007

Quadratic Stochastic Intensity and Prospective Mortality Tables
Working Papers, Center for Research in Economics and Statistics
See also Journal Article in Insurance: Mathematics and Economics (2008)

2006

(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
Working Papers, Center for Research in Economics and Statistics View citations (11)
A Degeneracy in the Analysis of Volatility and Covolatility Effects
Working Papers, Center for Research in Economics and Statistics
DYNAMIC QUANTILE MODELS
Working Papers, York University, Department of Economics View citations (11)
See also Journal Article in Journal of Econometrics (2008)
Efficient Portfolio Analysis Using Distortion Risk Measures
Working Papers, Center for Research in Economics and Statistics View citations (2)
Indirect Inference for Dynamic Panel Models
Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University View citations (2)
See also Journal Article in Journal of Econometrics (2010)
Sensitivity Analysis of Distortion Risk Measures
Working Papers, Center for Research in Economics and Statistics View citations (7)
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

A Classification of Two Factor Affine Diffusion Term Structure Models
Working Papers, Center for Research in Economics and Statistics
See also Journal Article in The Journal of Financial Econometrics (2006)
Affine Model for Credit Risk Analysis
Working Papers, Center for Research in Economics and Statistics View citations (3)
See also Journal Article in The Journal of Financial Econometrics (2006)
International Money and Stock Market Contingent Claims
Working Papers, Center for Research in Economics and Statistics View citations (5)
See also Journal Article in Journal of International Money and Finance (2010)
The Wishart Autoregressive Process of Multivariate Stochastic Volatility
Working Papers, York University, Department of Economics View citations (17)
See also Journal Article in Journal of Econometrics (2009)
Wishart Autoregressive Model for Stochastic Risk
Working Papers, Center for Research in Economics and Statistics

2004

Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk
Working Papers, Center for Research in Economics and Statistics View citations (11)
Stochastic Migration Models with Application to Corporate Risk
Working Papers, Center for Research in Economics and Statistics View citations (5)
The Wishart Autoregressive of Multivariate Stochastic Volatility
Working Papers, Center for Research in Economics and Statistics View citations (16)

2003

Aversion Analysis
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ View citations (4)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (2003) View citations (4)
Whishart Quadratic Term Structure Models
Working Papers, Center for Research in Economics and Statistics View citations (19)

2002

Affine Term Structure Models
Working Papers, Center for Research in Economics and Statistics View citations (22)
Constrained Nonparametric Copulas
Working Papers, Center for Research in Economics and Statistics View citations (3)
Duration Time Series Models with Proportional Hazard
Working Papers, Center for Research in Economics and Statistics View citations (5)
See also Journal Article in Journal of Time Series Analysis (2008)
Equidependence in Qualitative and Duration Models with Application to Credit Risk
Working Papers, Center for Research in Economics and Statistics View citations (3)
Pricing with Splines
Working Papers, Center for Research in Economics and Statistics
See also Journal Article in Annals of Economics and Statistics (2006)

1997

An Econometric Analysis of Household Portfolio Allocation
Working Papers, Center for Research in Economics and Statistics View citations (2)
Composition des portefeuilles des ménages: une analyse scores sur données françaises
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
Dynamiques tronquées et estimation de modèles de diffusion
Working Papers, Center for Research in Economics and Statistics
Econometric Specification of the Risk Neutral Valuation Model
Working Papers, Center for Research in Economics and Statistics
Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1997)
See also Journal Article in Journal of Econometrics (2000)
Econométrie de la Finance: approches historiques
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
Modes de négociation et caractéristiques de marché
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
Modèles de comptage semi-paramétriques
Working Papers, Center for Research in Economics and Statistics
See also Journal Article in L'Actualité Economique (1997)
Multiregime Term Structure Models
LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (2)
Also in Working Papers, Center for Research in Economics and Statistics (1997) View citations (2)
Stochastic Volatility Duration Models
Working Papers, Center for Research in Economics and Statistics View citations (10)
See also Journal Article in Journal of Econometrics (2004)
The Informational Content of Household Decisions
Working Papers, Center for Research in Economics and Statistics View citations (14)
The Portfolio Composition of Households: A Scoring Analysis from French Data
Working Papers, Center for Research in Economics and Statistics View citations (1)
Truncated Dynamics and Estimation of DiffusionEquations
Working Papers, Center for Research in Economics and Statistics
See also Journal Article in Journal of Econometrics (2001)

1996

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 Ã©conomie quantitative, CIREQ (1996)
Arbitrage Based Pricing When Volatility Is Stochastic
CIRANO Working Papers, CIRANO View citations (13)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ (1996) View citations (14)
Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (13)
Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (1996)
Calibrarion By Simulation for Small Sample Bias Correction
Working Papers, Toulouse - GREMAQ View citations (2)
Kernel Autocorrelogram for Time Deformed Processes
CIRANO Working Papers, CIRANO View citations (1)
Mean-variance hedging and numeraire
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
See also Journal Article in Mathematical Finance (1998)
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

Comparison of Kernel estimator based goodness of fit tests (a)
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
Market Time and Asset Price Movements Theory and Estimation
CIRANO Working Papers, CIRANO View citations (14)
Also in Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (22)
Cahiers de recherche, Centre interuniversitaire de recherche en Ã©conomie quantitative, CIREQ (1995) View citations (11)
Solutions of Multivariate Rational Expectations Models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (16)
Also in LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1995) View citations (6)
See also Journal Article in Econometric Theory (1995)
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
CIRANO Working Papers, CIRANO View citations (15)

1994

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

1993

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

1992

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

1991

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

1990

Reduced Forms of Rational Expectations Models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (13)
Sélection de clientèle et tarification de prêt bancaire
CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1989

Detecting a long run relationship (with an application to the p.p.p. hypothesis)
CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (5)
Speculative Bubbles and Exchange of Information on the Market of a Storable Good
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (2)

1988

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

1987

Agrégation de processus autoregressifs d'ordre 1
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
See also Journal Article in Annals of Economics and Statistics (1988)
Consistent m-estimators in a semi-parametric model
CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (2)
Contraintes linéaires mixtes
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
Court et long-terme dans les modèles de durée
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
Functional averages and statistical inference
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
Heterogeneity and hazard dominance in duration data models
CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (3)
vérfication empirique de la rationalité des anticipations de la demande par les entreprises
Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (1)

1986

Approche géométrique des processus arma (une)
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
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)
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables
CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
Reduction and identification of simultaneous equations models with rational expectations
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
Strong concentration ordering
CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1985

Simulated residuals
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
See also Journal Article in Journal of Econometrics (1987)
Solutions of Dynamic Linear Rational Expectations Models
ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (14)
Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1984) View citations (2)
Testing unknown linear restrictions on parameter functions
CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel
CEPREMAP Working Papers (Couverture Orange), CEPREMAP

1984

General approach of serial correlation (a)
CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
See also Journal Article in Econometric Theory (1985)
Learning procedure and convergence to rationality
CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
See also Journal Article in Econometrica (1986)

1983

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

1982

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

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

1979

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

Journal Articles

2018

Misspecification of noncausal order in autoregressive processes
Journal of Econometrics, 2018, 205, (1), 226-248 View citations (7)

2017

Aversions to Impatience, Uncertainty and Illiquidity
Annals of Economics and Statistics, 2017, (125-126), 9-39
Consistent Pseudo-Maximum Likelihood Estimators
Annals of Economics and Statistics, 2017, (125-126), 187-218 View citations (1)
See also Working Paper (2017)
Double instrumental variable estimation of interaction models with big data
Journal of Econometrics, 2017, 201, (2), 176-197 View citations (2)
Local explosion modelling by non-causal process
Journal of the Royal Statistical Society Series B, 2017, 79, (3), 737-756 View citations (11)
See also Working Paper (2016)
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation
Journal of Econometrics, 2017, 200, (1), 118-134 View citations (13)
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
Annals of Operations Research, 2017, 256, (2), 203-219
Statistical inference for independent component analysis: Application to structural VAR models
Journal of Econometrics, 2017, 196, (1), 111-126 View citations (76)
See also Working Paper (2017)

2016

Filtering, Prediction and Simulation Methods for Noncausal Processes
Journal of Time Series Analysis, 2016, 37, (3), 405-430 View citations (24)
Introduction
Annals of Economics and Statistics, 2016, (123-124), 7-8
Spread Term Structure and Default Correlation
Annals of Economics and Statistics, 2016, (123-124), 175-223
The Tradability Premium on the S&P 500 Index
The Journal of Financial Econometrics, 2016, 14, (3), 461-495 View citations (1)

2015

Financial Regulations and Procyclicality
Bankers, Markets & Investors, 2015, (138), 45-54
Love and death: A Freund model with frailty
Insurance: Mathematics and Economics, 2015, 63, (C), 191-203 View citations (10)
See also Working Paper (2013)
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes
Journal of Time Series Analysis, 2015, 36, (6), 876-887 View citations (4)
See also Working Paper (2014)
Pricing with finite dimensional dependence
Journal of Econometrics, 2015, 187, (2), 408-417 View citations (5)

2014

EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
Econometric Theory, 2014, 30, (5), 961-1020 View citations (14)
See also Working Paper (2010)
Pricing default events: Surprise, exogeneity and contagion
Journal of Econometrics, 2014, 182, (2), 397-411 View citations (11)
See also Working Paper (2013)
Regime Switching and Bond Pricing
The Journal of Financial Econometrics, 2014, 12, (2), 237-277 View citations (3)
See also Working Paper (2013)

2013

ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE
International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (07), 1-20 View citations (6)
Correlated risks vs contagion in stochastic transition models
Journal of Economic Dynamics and Control, 2013, 37, (11), 2241-2269 View citations (4)
See also Working Paper (2012)
ESTIMATION-ADJUSTED VAR
Econometric Theory, 2013, 29, (4), 735-770 View citations (6)
See also Working Paper (2012)
Granularity Adjustment for Efficient Portfolios
Econometric Reviews, 2013, 32, (4), 449-468
Linear-price term structure models
Journal of Empirical Finance, 2013, 24, (C), 24-41 View citations (2)
Liquidation equilibrium with seniority and hidden CDO
Journal of Banking & Finance, 2013, 37, (12), 5261-5274 View citations (13)
See also Working Paper (2013)
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model
Annals of Economics and Statistics, 2013, (109-110), 25-61 View citations (1)

2012

Bilateral exposures and systemic solvency risk
Canadian Journal of Economics, 2012, 45, (4), 1273-1309 View citations (43)
See also Working Paper (2012)
Granularity adjustment for default risk factor model with cohorts
Journal of Banking & Finance, 2012, 36, (5), 1464-1477 View citations (2)

2011

Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
The Journal of Financial Econometrics, 2011, 9, (2), 237-280 View citations (5)
See also Working Paper (2010)
Discrete time Wishart term structure models
Journal of Economic Dynamics and Control, 2011, 35, (6), 815-824 View citations (11)
Efficient Derivative Pricing by the Extended Method of Moments
Econometrica, 2011, 79, (4), 1181-1232 View citations (31)
See also Working Paper (2010)

2010

Conditionally fitted Sharpe performance with an application to hedge fund rating
Journal of Banking & Finance, 2010, 34, (3), 578-593 View citations (18)
Derivative Pricing With Wishart Multivariate Stochastic Volatility
Journal of Business & Economic Statistics, 2010, 28, (3), 438-451 View citations (44)
Indirect inference for dynamic panel models
Journal of Econometrics, 2010, 157, (1), 68-77 View citations (70)
See also Working Paper (2006)
International money and stock market contingent claims
Journal of International Money and Finance, 2010, 29, (8), 1727-1751 View citations (7)
See also Working Paper (2005)
Microinformation, Nonlinear Filtering, and Granularity
The Journal of Financial Econometrics, 2010, 10, (1), 1-53 View citations (1)
See also Working Paper (2010)

2009

Control and Out‐of‐Sample Validation of Dependent Risks
Journal of Risk & Insurance, 2009, 76, (3), 683-707
L-performance with an application to hedge funds
Journal of Empirical Finance, 2009, 16, (4), 671-685 View citations (16)
Managing hedonic housing price indexes: The French experience
Journal of Housing Economics, 2009, 18, (3), 206-213 View citations (10)
The Wishart Autoregressive process of multivariate stochastic volatility
Journal of Econometrics, 2009, 150, (2), 167-181 View citations (132)
See also Working Paper (2005)

2008

Bon ou mauvais usage des notations
Revue d'Économie Financière, 2008, 7, (1), 259-263
Converting Tail-VaR to VaR: An Econometric Study
The Journal of Financial Econometrics, 2008, 10, (2), 233-264
Duration time‐series models with proportional hazard
Journal of Time Series Analysis, 2008, 29, (1), 74-124 View citations (8)
See also Working Paper (2002)
Dynamic quantile models
Journal of Econometrics, 2008, 147, (1), 198-205 View citations (42)
See also Working Paper (2006)
Quadratic stochastic intensity and prospective mortality tables
Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 View citations (8)
See also Working Paper (2007)
The ordered qualitative model for credit rating transitions
Journal of Empirical Finance, 2008, 15, (1), 111-130 View citations (37)
See also Working Paper (2006)

2007

An efficient nonparametric estimator for models with nonlinear dependence
Journal of Econometrics, 2007, 137, (1), 189-229 View citations (7)
Diffusion Processes with Polynomial Eigenfunctions
Annals of Economics and Statistics, 2007, (85), 115-130
Econometric specification of stochastic discount factor models
Journal of Econometrics, 2007, 136, (2), 509-530 View citations (37)
Positivity Conditions for a Bivariate Autoregressive Volatility Specification
The Journal of Financial Econometrics, 2007, 5, (4), 624-636 View citations (5)

2006

A Classification of Two-Factor Affine Diffusion Term Structure Models
The Journal of Financial Econometrics, 2006, 4, (1), 31-52 View citations (8)
See also Working Paper (2005)
Affine Models for Credit Risk Analysis
The Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations (29)
See also Working Paper (2005)
Autoregressive gamma processes
Journal of Forecasting, 2006, 25, (2), 129-152 View citations (89)
Continuous Time Wishart Process for Stochastic Risk
Econometric Reviews, 2006, 25, (2-3), 177-217 View citations (33)
Migration Correlation: Estimation Method and Application to French Corporates Ratings
Annals of Economics and Statistics, 2006, (82), 71-101
Multivariate Jacobi process with application to smooth transitions
Journal of Econometrics, 2006, 131, (1-2), 475-505 View citations (31)
Pricing with Splines
Annals of Economics and Statistics, 2006, (82), 3-33 View citations (6)
See also Working Paper (2002)
STOCHASTIC UNIT ROOT MODELS
Econometric Theory, 2006, 22, (6), 1052-1090 View citations (15)
Structural Laplace Transform and Compound Autoregressive Models
Journal of Time Series Analysis, 2006, 27, (4), 477-503 View citations (41)

2005

Migration correlation: Definition and efficient estimation
Journal of Banking & Finance, 2005, 29, (4), 865-894 View citations (12)
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity
Annals of Economics and Statistics, 2005, (78), 1-31 View citations (12)
The econometrics of efficient portfolios
Journal of Empirical Finance, 2005, 12, (1), 1-41 View citations (16)

2004

Heterogeneous INAR(1) model with application to car insurance
Insurance: Mathematics and Economics, 2004, 34, (2), 177-192 View citations (25)
Infrequent Extreme Risks
The Geneva Risk and Insurance Review, 2004, 29, (1), 5-22 View citations (4)
Also in The Geneva Papers on Risk and Insurance Theory, 2004, 29, (1), 5-22 (2004) View citations (4)
Kernel-based nonlinear canonical analysis and time reversibility
Journal of Econometrics, 2004, 119, (2), 323-353 View citations (13)
See also Working Paper (2000)
Stochastic volatility duration models
Journal of Econometrics, 2004, 119, (2), 413-433 View citations (66)
See also Working Paper (1997)

2003

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

2001

DYNAMIC FACTOR MODELS
Econometric Reviews, 2001, 20, (4), 385-424 View citations (10)
See also Working Paper (1999)
Factor ARMA representation of a Markov process
Economics Letters, 2001, 71, (2), 165-171
See also Working Paper (2000)
Local Power Properties of Kernel Based Goodness of Fit Tests
Journal of Multivariate Analysis, 2001, 78, (2), 161-190 View citations (7)
Memory and infrequent breaks
Economics Letters, 2001, 70, (1), 29-41 View citations (63)
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment
Journal of Political Economy, 2001, 109, (2), 444-473 View citations (115)
Truncated dynamics and estimation of diffusion equations
Journal of Econometrics, 2001, 102, (1), 1-22 View citations (13)
See also Working Paper (1997)

2000

Causality between Returns and Traded Volumes
Annals of Economics and Statistics, 2000, (60), 189-206 View citations (3)
See also Working Paper (1998)
Econometric specification of the risk neutral valuation model
Journal of Econometrics, 2000, 94, (1-2), 117-143 View citations (6)
See also Working Paper (1997)
Intraday Transaction Price Dynamics
Annals of Economics and Statistics, 2000, (60), 207-238 View citations (10)
Sensitivity analysis of Values at Risk
Journal of Empirical Finance, 2000, 7, (3-4), 225-245 View citations (131)
See also Working Paper (2000)

1999

Econometrics of efficient fitted portfolios
Journal of Empirical Finance, 1999, 6, (1), 87-118 View citations (10)
Intra-day market activity
Journal of Financial Markets, 1999, 2, (3), 193-226 View citations (57)

1998

Effet des modes de négociation sur les échanges
Revue Économique, 1998, 49, (3), 795-808 View citations (6)
Instrumental Models and Indirect Encompassing
Econometrica, 1998, 66, (3), 673-688 View citations (11)
Mean‐Variance Hedging and Numéraire
Mathematical Finance, 1998, 8, (3), 179-200 View citations (32)
See also Working Paper (1996)
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
Journal of Econometrics, 1998, 85, (1), 75-98
See also Working Paper (1998)

1997

A count data model with unobserved heterogeneity
Journal of Econometrics, 1997, 79, (2), 247-268 View citations (11)
Duration, transition and count data models Introduction
Journal of Econometrics, 1997, 79, (2), 195-199 View citations (1)
D’une analyse de variabilités à un modèle d’investissement des firmes
L'Actualité Economique, 1997, 73, (1), 331-350
Modèles de comptage semi-paramétriques
L'Actualité Economique, 1997, 73, (1), 525-550
See also Working Paper (1997)
Rank tests for unit roots
Journal of Econometrics, 1997, 81, (1), 7-27 View citations (44)
See also Working Paper (1996)
Unemployment insurance and mortgages
Insurance: Mathematics and Economics, 1997, 20, (3), 173-195

1996

Diffusion et effet de vague
Annals of Economics and Statistics, 1996, (44), 191-217 View citations (1)

1995

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
Linear Factor Models and the Term Structure of Interest Rates
Annals of Economics and Statistics, 1995, (40), 37-65
Prepayment analysis for securitization
Journal of Empirical Finance, 1995, 2, (1), 45-70 View citations (2)
Solutions of multivariate Rational Expectations Models
Econometric Theory, 1995, 11, (2), 229-257 View citations (19)
See also Working Paper (1995)
Testing, Encompassing, and Simulating Dynamic Econometric Models
Econometric Theory, 1995, 11, (2), 195-228 View citations (25)
See also Working Paper (1994)

1994

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

1993

Indirect Inference
Journal of Applied Econometrics, 1993, 8, (S), S85-118 View citations (526)
See also Working Paper (1992)
Les transitions en économie.; Les changements de prix en Russie dans les années vingt
Économie et Prévision, 1993, 109, (3), 101-113
Simulation-based inference: A survey with special reference to panel data models
Journal of Econometrics, 1993, 59, (1-2), 5-33 View citations (152)
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié
Annals of Economics and Statistics, 1993, (32), 81-111 View citations (4)

1992

Courbes de performances, de sélection et de discrimination
Annals of Economics and Statistics, 1992, (28), 107-123 View citations (2)
Qualitative threshold ARCH models
Journal of Econometrics, 1992, 52, (1-2), 159-199 View citations (71)
See also Working Paper (1991)
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat
L'Actualité Economique, 1992, 68, (1), 283-304 View citations (11)

1991

Simulation Based Inference in Models with Heterogeneity
Annals of Economics and Statistics, 1991, (20-21), 69-107 View citations (23)

1990

Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire
Annals of Economics and Statistics, 1990, (17), 163-183 View citations (3)
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible)
Annals of Economics and Statistics, 1990, (17), 185-204
Hétérogénéité et hasard dans les modèles de durée
Annals of Economics and Statistics, 1990, (18), 1-23

1989

A General Framework for Testing a Null Hypothesis in a “Mixed” Form
Econometric Theory, 1989, 5, (1), 63-82 View citations (23)
Testing for Common Roots
Econometrica, 1989, 57, (1), 171-85 View citations (1)

1988

Agrégation de processus autorégressifs d'ordre 1
Annals of Economics and Statistics, 1988, (12), 127-149 View citations (1)
See also Working Paper (1987)
Fonctions de production représentatives de fonctions à complémentarité stricte
L'Actualité Economique, 1988, 64, (2), 209-230 View citations (3)

1987

Generalised residuals
Journal of Econometrics, 1987, 34, (1-2), 5-32 View citations (208)
Kullback Causality Measures
Annals of Economics and Statistics, 1987, (6-7), 369-410 View citations (19)
Simulated residuals
Journal of Econometrics, 1987, 34, (1-2), 201-252 View citations (21)
See also Working Paper (1985)
Une approche géométrique des processus ARMA
Annals of Economics and Statistics, 1987, (8), 135-159

1986

Bulles spéculatives et transmission d’information sur le marché d’un bien stockable
L'Actualité Economique, 1986, 62, (2), 166-184
See also Working Paper (1986)
Direct test of the rational expectation hypothesis
European Economic Review, 1986, 30, (2), 265-284 View citations (15)
Learning Procedures and Convergence to Rationality
Econometrica, 1986, 54, (4), 845-68 View citations (37)
See also Working Paper (1984)

1985

A General Approach to Serial Correlation
Econometric Theory, 1985, 1, (3), 315-340 View citations (40)
See also Working Paper (1984)
Rational Expectations Models and Bounded Memory
Econometrica, 1985, 53, (4), 977-85
See also Working Paper (1983)
Solutions of Linear Rational Expectations Models
Econometric Theory, 1985, 1, (3), 341-368 View citations (15)
The Aggregation of Commodities in Quantity Rationing Models
International Economic Review, 1985, 26, (3), 681-99 View citations (6)
See also Working Paper (1983)

1984

Pseudo Maximum Likelihood Methods: Applications to Poisson Models
Econometrica, 1984, 52, (3), 701-20 View citations (714)
See also Working Paper (1982)
Pseudo Maximum Likelihood Methods: Theory
Econometrica, 1984, 52, (3), 681-700 View citations (545)
See also Working Paper (1981)
Some theoretical results for generalized ridge regression estimators
Journal of Econometrics, 1984, 25, (1-2), 191-203
See also Working Paper (1982)
Specification pre-test estimator
Journal of Econometrics, 1984, 25, (1-2), 15-27 View citations (2)

1983

Testing nested or non-nested hypotheses
Journal of Econometrics, 1983, 21, (1), 83-115 View citations (27)

1982

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 (154)
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
Econometrica, 1982, 50, (2), 409-25 View citations (48)

1981

Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
Journal of Econometrics, 1981, 17, (1), 83-97 View citations (9)
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 (9)
On the Problem of Missing Data in Linear Models
Review of Economic Studies, 1981, 48, (4), 579-586 View citations (27)

1980

Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
Econometrica, 1980, 48, (3), 675-95 View citations (80)
See also Working Paper (1979)
Disequilibrium Econometrics in Simultaneous Equations Systems
Econometrica, 1980, 48, (1), 75-96 View citations (16)
On the backward-forward procedure
Economics Letters, 1980, 5, (3), 215-217
Sufficient Linear Structures: Econometric Applications
Econometrica, 1980, 48, (5), 1083-97 View citations (10)
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
International Economic Review, 1980, 21, (1), 245-47

1979

On the characterization of a joint probability distribution by conditional distributions
Journal of Econometrics, 1979, 10, (1), 115-118 View citations (5)

Books

2015

The Econometrics of Individual Risk: Credit, Insurance, and Marketing
Economics Books, Princeton University Press View citations (2)

2014

Granularity Theory with Applications to Finance and Insurance
Cambridge Books, Cambridge University Press View citations (2)
See also Working Paper (2011)

2000

Econometrics of Qualitative Dependent Variables
Cambridge Books, Cambridge University Press View citations (73)
Also in Cambridge Books, Cambridge University Press (2000) View citations (73)

1997

Simulation-based Econometric Methods
OUP Catalogue, Oxford University Press View citations (66)
Time Series and Dynamic Models
Cambridge Books, Cambridge University Press View citations (74)
Also in Cambridge Books, Cambridge University Press (1997) View citations (74)

1995

Statistics and Econometric Models
Cambridge Books, Cambridge University Press View citations (202)
Also in Cambridge Books, Cambridge University Press (1995) View citations (204)
Cambridge Books, Cambridge University Press (1995) View citations (202)
Cambridge Books, Cambridge University Press (1995) View citations (202)

Edited books

2015

Analyse et mesure du risque systémique
Economics Thesis from University Paris Dauphine, Paris Dauphine University

2013

Stress-Test Exercises and the Pricing of Very Long-Term Bonds
Economics Thesis from University Paris Dauphine, Paris Dauphine University

Chapters

2015

Introduction
A chapter in The Econometrics of Individual Risk: Credit, Insurance, and Marketing, 2015

2008

CAR AND AFFINE PROCESSES
Chapter 4 in Econometric Forecasting And High-Frequency Data Analysis, 2008, pp 131-158

2007

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 (9)

1986

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