Details about Christian S. Gourieroux
Access statistics for papers by Christian S. Gourieroux.
Last updated 2018-09-12. Update your information in the RePEc Author Service.
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
Working Papers, Center for Research in Economics and Statistics
Also in CEPN Working Papers, Centre d'Economie de l'Université de Paris Nord (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 Consistent Pseudo-Maximum Likelihood Estimators, Annals of Economics and Statistics, GENES (2017) View citations (1) (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 (94)
Also in Working Papers, Center for Research in Economics and Statistics (2016) View citations (2)
See also Journal Article Statistical inference for independent component analysis: Application to structural VAR models, Journal of Econometrics, Elsevier (2017) View citations (94) (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 Local explosion modelling by non-causal process, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2017) View citations (13) (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 On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes, Journal of Time Series Analysis, Wiley Blackwell (2015) View citations (4) (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 (10)
- 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 Liquidation equilibrium with seniority and hidden CDO, Journal of Banking & Finance, Elsevier (2013) View citations (13) (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 Love and death: A Freund model with frailty, Insurance: Mathematics and Economics, Elsevier (2015) View citations (10) (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, Center for Research in Economics and Statistics
Also in Working papers, Banque de France (2013)
See also Journal Article Pricing default events: Surprise, exogeneity and contagion, Journal of Econometrics, Elsevier (2014) View citations (11) (2014)
- Procyclité des Régulations des Marchés Financiers
Working Papers, Center for Research in Economics and Statistics
- Regime Switching and Bond Pricing
Working Papers, Center for Research in Economics and Statistics View citations (2)
Also in Working papers, Banque de France (2013) View citations (2)
See also Journal Article Regime Switching and Bond Pricing, Journal of Financial Econometrics, Oxford University Press (2014) View citations (3) (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 (48)
See also Journal Article Bilateral exposures and systemic solvency risk, Canadian Journal of Economics, Canadian Economics Association (2012) View citations (47) (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 Correlated risks vs contagion in stochastic transition models, Journal of Economic Dynamics and Control, Elsevier (2013) View citations (4) (2013)
- Estimation Adjusted VaR
Working Papers, Center for Research in Economics and Statistics
See also Journal Article ESTIMATION-ADJUSTED VAR, Econometric Theory, Cambridge University Press (2013) View citations (6) (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, Center for Research in Economics and Statistics View citations (1)
Also in Working papers, Banque de France (2012) View citations (2)
- 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 Granularity Theory with Applications to Finance and Insurance, Cambridge Books, Cambridge University Press (2014) View citations (2) (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 Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk, Journal of Financial Econometrics, Oxford University Press (2011) View citations (5) (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 EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS, Econometric Theory, Cambridge University Press (2014) View citations (15) (2014)
- Efficient Derivative Pricing By The Extended Method of Moments
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
Also in 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) Working Papers, Center for Research in Economics and Statistics (2004) View citations (2)
See also Journal Article Efficient Derivative Pricing by the Extended Method of Moments, Econometrica, Econometric Society (2011) View citations (32) (2011)
- Microinformation, Nonlinear Filtering and Granularity
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (3)
See also Journal Article Microinformation, Nonlinear Filtering, and Granularity, Journal of Financial Econometrics, Oxford University Press (2010) View citations (1) (2010)
2007
- Quadratic Stochastic Intensity and Prospective Mortality Tables
Working Papers, Center for Research in Economics and Statistics
See also Journal Article Quadratic stochastic intensity and prospective mortality tables, Insurance: Mathematics and Economics, Elsevier (2008) View citations (8) (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 Dynamic quantile models, Journal of Econometrics, Elsevier (2008) View citations (42) (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 Indirect inference for dynamic panel models, Journal of Econometrics, Elsevier (2010) View citations (77) (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 The ordered qualitative model for credit rating transitions, Journal of Empirical Finance, Elsevier (2008) View citations (38) (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 A Classification of Two-Factor Affine Diffusion Term Structure Models, Journal of Financial Econometrics, Oxford University Press (2006) View citations (8) (2006)
- Affine Model for Credit Risk Analysis
Working Papers, Center for Research in Economics and Statistics View citations (3)
See also Journal Article Affine Models for Credit Risk Analysis, Journal of Financial Econometrics, Oxford University Press (2006) View citations (30) (2006)
- International Money and Stock Market Contingent Claims
Working Papers, Center for Research in Economics and Statistics View citations (5)
See also Journal Article International money and stock market contingent claims, Journal of International Money and Finance, Elsevier (2010) View citations (7) (2010)
- The Wishart Autoregressive Process of Multivariate Stochastic Volatility
Working Papers, York University, Department of Economics View citations (17)
See also Journal Article The Wishart Autoregressive process of multivariate stochastic volatility, Journal of Econometrics, Elsevier (2009) View citations (143) (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, 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)
- 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 Duration time‐series models with proportional hazard, Journal of Time Series Analysis, Wiley Blackwell (2008) View citations (8) (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 Pricing with Splines, Annals of Economics and Statistics, GENES (2006) View citations (6) (2006)
2001
- Ajustement des prix bid et ask en présence d'information privée
Working Papers, Center for Research in Economics and Statistics View citations (5)
- Compound Autoregressive Models
Working Papers, Center for Research in Economics and Statistics View citations (8)
- Conditions for Optimality in Experimental Designs
Working Papers, Center for Research in Economics and Statistics View citations (5)
- Kernel Based Nonlinear Canonical Analysis
IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse View citations (1)
Also in Working Papers, Center for Research in Economics and Statistics (1998) View citations (3) Working Papers, Toulouse - GREMAQ (1999)
- Local Likelihood Density Estimation and Value at Risk
Working Papers, Center for Research in Economics and Statistics View citations (6)
- Tails and Extremal Behaviour of Stochastic Unit Root Models
Working Papers, Center for Research in Economics and Statistics View citations (1)
2000
- Factor ARMA Representation of a Markov Process
Working Papers, Center for Research in Economics and Statistics
See also Journal Article Factor ARMA representation of a Markov process, Economics Letters, Elsevier (2001) (2001)
- Kernel Based Nonlinear Canonical Analysis and Time Reversibility
Working Papers, Center for Research in Economics and Statistics View citations (2)
See also Journal Article Kernel-based nonlinear canonical analysis and time reversibility, Journal of Econometrics, Elsevier (2004) View citations (13) (2004)
- Sensitivity Analysis of Values at Risk
LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) View citations (135)
Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (2000) View citations (132) Working Papers, Center for Research in Economics and Statistics (2000) View citations (135) Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) View citations (133)
See also Journal Article Sensitivity analysis of Values at Risk, Journal of Empirical Finance, Elsevier (2000) View citations (131) (2000)
1999
- Bartlett Identities Tests
Working Papers, Center for Research in Economics and Statistics View citations (4)
Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) View citations (5) LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) View citations (5)
- Dynamic Factor Models
Working Papers, Center for Research in Economics and Statistics
See also Journal Article DYNAMIC FACTOR MODELS, Econometric Reviews, Taylor & Francis Journals (2001) View citations (12) (2001)
- Nonlinear Innovations and Impulse Response
Working Papers, Center for Research in Economics and Statistics View citations (10)
Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999) View citations (1)
- Nonlinear Persistence and Copersistence
Working Papers, Center for Research in Economics and Statistics
Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999) View citations (1) Working Papers, York University, Department of Economics (1999) View citations (2)
1998
- Causality Between Returns and Trated Volumes
Working Papers, Center for Research in Economics and Statistics
See also Journal Article Causality between Returns and Traded Volumes, Annals of Economics and Statistics, GENES (2000) View citations (3) (2000)
- Evidence of Adverse Selection in Automobile Insurance Markets
Working Papers, Center for Research in Economics and Statistics View citations (21)
Also in Working Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. (1998) View citations (10) Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques. (1998) View citations (10) THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations (9)
- Matching Procedures and Market Characteristics
Working Papers, Center for Research in Economics and Statistics
- Nonlinear Autocorrelograms: An Application to Intra-Trade Durations
Working Papers, Center for Research in Economics and Statistics View citations (3)
- Nonlinear Panel Data Models with Dynamic Heterogeneity
Working Papers, Center for Research in Economics and Statistics View citations (1)
- Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators
LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)
See also Journal Article Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators, Journal of Econometrics, Elsevier (1998) (1998)
- The Econometrics of Efficient Frontiers
Working Papers, Center for Research in Economics and Statistics View citations (1)
- 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 (3)
Also in THEMA Working Papers, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise (1998) View citations (5)
- Truncated Maximum Likelihood and Nonparametric Tail Analysis
Working Papers, Center for Research in Economics and Statistics View citations (3)
- 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 View citations (1)
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 Econometric specification of the risk neutral valuation model, Journal of Econometrics, Elsevier (2000) View citations (6) (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 Modèles de comptage semi-paramétriques, L'Actualité Economique, Société Canadienne de Science Economique (1997) (1997)
- Multiregime Term Structure Models
Working Papers, Center for Research in Economics and Statistics View citations (2)
Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1997) View citations (2)
- Stochastic Volatility Duration Models
Working Papers, Center for Research in Economics and Statistics View citations (10)
See also Journal Article Stochastic volatility duration models, Journal of Econometrics, Elsevier (2004) View citations (66) (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 Truncated dynamics and estimation of diffusion equations, Journal of Econometrics, Elsevier (2001) View citations (14) (2001)
1996
- Actifs Financiers et Theorie de la Consommation
Working Papers, Toulouse - GREMAQ
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996)
- Arbitrage Based Pricing When Volatility Is Stochastic
CIRANO Working Papers, CIRANO View citations (16)
Also in Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1996) View citations (17) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1996) View citations (16) 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 Mean‐Variance Hedging and Numéraire, Mathematical Finance, Wiley Blackwell (1998) View citations (32) (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 Rank tests for unit roots, Journal of Econometrics, Elsevier (1997) View citations (44) (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, Centre interuniversitaire de recherche en économie quantitative, CIREQ (1995) View citations (11) Cahiers de recherche, Universite de Montreal, Departement de sciences economiques (1995) View citations (22)
- 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 Solutions of multivariate Rational Expectations Models, Econometric Theory, Cambridge University Press (1995) View citations (19) (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 Testing, Encompassing, and Simulating Dynamic Econometric Models, Econometric Theory, Cambridge University Press (1995) View citations (25) (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 Indirect Inference, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1993) View citations (527) (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 Qualitative threshold ARCH models, Journal of Econometrics, Elsevier (1992) View citations (71) (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 Agrégation de processus autorégressifs d'ordre 1, Annals of Economics and Statistics, GENES (1988) View citations (1) (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 Bulles spéculatives et transmission d’information sur le marché d’un bien stockable, L'Actualité Economique, Société Canadienne de Science Economique (1986) (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 Simulated residuals, Journal of Econometrics, Elsevier (1987) View citations (21) (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 A General Approach to Serial Correlation, Econometric Theory, Cambridge University Press (1985) View citations (40) (1985)
- Learning procedure and convergence to rationality
CEPREMAP Working Papers (Couverture Orange), CEPREMAP View citations (1)
See also Journal Article Learning Procedures and Convergence to Rationality, Econometrica, Econometric Society (1986) View citations (37) (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 Rational Expectations Models and Bounded Memory, Econometrica, Econometric Society (1985) (1985)
- The agregation of commodities in quantity rationing models
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
See also Journal Article The Aggregation of Commodities in Quantity Rationing Models, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (1985) View citations (6) (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 Pseudo Maximum Likelihood Methods: Applications to Poisson Models, Econometrica, Econometric Society (1984) View citations (755) (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 Some theoretical results for generalized ridge regression estimators, Journal of Econometrics, Elsevier (1984) (1984)
1981
- Pseudo maximum likelihood methods: theory
CEPREMAP Working Papers (Couverture Orange), CEPREMAP
See also Journal Article Pseudo Maximum Likelihood Methods: Theory, Econometrica, Econometric Society (1984) View citations (568) (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 Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes, Econometrica, Econometric Society (1980) View citations (84) (1980)
Journal Articles
2018
- Misspecification of noncausal order in autoregressive processes
Journal of Econometrics, 2018, 205, (1), 226-248 View citations (8)
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 Consistent Pseudo-Maximum Likelihood Estimators, Working Papers (2017) View citations (1) (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 (13)
See also Working Paper Local Explosion Modelling by Noncausal Process, MPRA Paper (2016) (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 (94)
See also Working Paper Statistical Inference for Independent Component Analysis: Application to Structural VAR Models, Working Papers (2017) View citations (94) (2017)
2016
- Filtering, Prediction and Simulation Methods for Noncausal Processes
Journal of Time Series Analysis, 2016, 37, (3), 405-430 View citations (29)
- 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
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 Love and Death: A Freund Model with Frailty, Working Papers (2013) View citations (4) (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 On uniqueness of moving average representations of heavy-tailed stationary processes, MPRA Paper (2014) (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 (15)
See also Working Paper Efficiency in Large Dynamic Panel Models with Common Factor, Working Papers (2010) View citations (2) (2010)
- Pricing default events: Surprise, exogeneity and contagion
Journal of Econometrics, 2014, 182, (2), 397-411 View citations (11)
See also Working Paper Pricing Default Events: Surprise, Exogeneity and Contagion, Working Papers (2013) (2013)
- Regime Switching and Bond Pricing
Journal of Financial Econometrics, 2014, 12, (2), 237-277 View citations (3)
See also Working Paper Regime Switching and Bond Pricing, Working Papers (2013) View citations (2) (2013)
2013
- ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE
International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (07), 1-20 View citations (8)
- 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 Correlated Risks vs Contagion in Stochastic Transition Models, Working Papers (2012) View citations (1) (2012)
- ESTIMATION-ADJUSTED VAR
Econometric Theory, 2013, 29, (4), 735-770 View citations (6)
See also Working Paper Estimation Adjusted VaR, Working Papers (2012) (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 Liquidation Equilibrium with Seniority and Hidden CDO, Working Papers (2013) View citations (11) (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 (47)
See also Working Paper Bilateral Exposures and Systemic Solvency Risk, Working papers (2012) View citations (48) (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
Journal of Financial Econometrics, 2011, 9, (2), 237-280 View citations (5)
See also Working Paper Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk, Working Papers (2010) View citations (1) (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 (32)
See also Working Paper Efficient Derivative Pricing By The Extended Method of Moments, Swiss Finance Institute Research Paper Series (2010) View citations (1) (2010)
2010
- Conditionally fitted Sharpe performance with an application to hedge fund rating
Journal of Banking & Finance, 2010, 34, (3), 578-593 View citations (19)
- Derivative Pricing With Wishart Multivariate Stochastic Volatility
Journal of Business & Economic Statistics, 2010, 28, (3), 438-451 View citations (49)
- Indirect inference for dynamic panel models
Journal of Econometrics, 2010, 157, (1), 68-77 View citations (77)
See also Working Paper Indirect Inference for Dynamic Panel Models, Cowles Foundation Discussion Papers (2006) View citations (2) (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 International Money and Stock Market Contingent Claims, Working Papers (2005) View citations (5) (2005)
- Microinformation, Nonlinear Filtering, and Granularity
Journal of Financial Econometrics, 2010, 10, (1), 1-53 View citations (1)
See also Working Paper Microinformation, Nonlinear Filtering and Granularity, Swiss Finance Institute Research Paper Series (2010) View citations (3) (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 (17)
- Managing hedonic housing price indexes: The French experience
Journal of Housing Economics, 2009, 18, (3), 206-213 View citations (12)
- The Wishart Autoregressive process of multivariate stochastic volatility
Journal of Econometrics, 2009, 150, (2), 167-181 View citations (143)
See also Working Paper The Wishart Autoregressive Process of Multivariate Stochastic Volatility, Working Papers (2005) View citations (17) (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
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 Duration Time Series Models with Proportional Hazard, Working Papers (2002) View citations (5) (2002)
- Dynamic quantile models
Journal of Econometrics, 2008, 147, (1), 198-205 View citations (42)
See also Working Paper DYNAMIC QUANTILE MODELS, Working Papers (2006) View citations (11) (2006)
- Quadratic stochastic intensity and prospective mortality tables
Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 View citations (8)
See also Working Paper Quadratic Stochastic Intensity and Prospective Mortality Tables, Working Papers (2007) (2007)
- The ordered qualitative model for credit rating transitions
Journal of Empirical Finance, 2008, 15, (1), 111-130 View citations (38)
See also Working Paper The Ordered Qualitative Model For Credit Rating Transitions, Working Papers (2006) (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
Journal of Financial Econometrics, 2007, 5, (4), 624-636 View citations (5)
2006
- A Classification of Two-Factor Affine Diffusion Term Structure Models
Journal of Financial Econometrics, 2006, 4, (1), 31-52 View citations (8)
See also Working Paper A Classification of Two Factor Affine Diffusion Term Structure Models, Working Papers (2005) (2005)
- Affine Models for Credit Risk Analysis
Journal of Financial Econometrics, 2006, 4, (3), 494-530 View citations (30)
See also Working Paper Affine Model for Credit Risk Analysis, Working Papers (2005) View citations (3) (2005)
- Autoregressive gamma processes
Journal of Forecasting, 2006, 25, (2), 129-152 View citations (97)
- Continuous Time Wishart Process for Stochastic Risk
Econometric Reviews, 2006, 25, (2-3), 177-217 View citations (35)
- 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 (33)
- Pricing with Splines
Annals of Economics and Statistics, 2006, (82), 3-33 View citations (6)
See also Working Paper Pricing with Splines, Working Papers (2002) (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 (43)
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 (13)
- The econometrics of efficient portfolios
Journal of Empirical Finance, 2005, 12, (1), 1-41 View citations (17)
2004
- Heterogeneous INAR(1) model with application to car insurance
Insurance: Mathematics and Economics, 2004, 34, (2), 177-192 View citations (27)
- Infrequent Extreme Risks
The Geneva Papers on Risk and Insurance Theory, 2004, 29, (1), 5-22 View citations (4)
Also in The Geneva Risk and Insurance Review, 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 Kernel Based Nonlinear Canonical Analysis and Time Reversibility, Working Papers (2000) View citations (2) (2000)
- Stochastic volatility duration models
Journal of Econometrics, 2004, 119, (2), 413-433 View citations (66)
See also Working Paper Stochastic Volatility Duration Models, Working Papers (1997) View citations (10) (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 (12)
See also Working Paper Dynamic Factor Models, Working Papers (1999) (1999)
- Factor ARMA representation of a Markov process
Economics Letters, 2001, 71, (2), 165-171
See also Working Paper Factor ARMA Representation of a Markov Process, Working Papers (2000) (2000)
- Local Power Properties of Kernel Based Goodness of Fit Tests
Journal of Multivariate Analysis, 2001, 78, (2), 161-190 View citations (8)
- 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 (130)
- Truncated dynamics and estimation of diffusion equations
Journal of Econometrics, 2001, 102, (1), 1-22 View citations (14)
See also Working Paper Truncated Dynamics and Estimation of DiffusionEquations, Working Papers (1997) (1997)
2000
- Causality between Returns and Traded Volumes
Annals of Economics and Statistics, 2000, (60), 189-206 View citations (3)
See also Working Paper Causality Between Returns and Trated Volumes, Working Papers (1998) (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 Econometric Specification of the Risk Neutral Valuation Model, Working Papers (1997) (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 Sensitivity Analysis of Values at Risk, LIDAM Discussion Papers IRES (2000) View citations (135) (2000)
1999
- Econometrics of efficient fitted portfolios
Journal of Empirical Finance, 1999, 6, (1), 87-118 View citations (11)
- Intra-day market activity
Journal of Financial Markets, 1999, 2, (3), 193-226 View citations (59)
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 Mean-variance hedging and numeraire, CEPREMAP Working Papers (Couverture Orange) (1996) (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 Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators, LIDAM Reprints CORE (1998) (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 Modèles de comptage semi-paramétriques, Working Papers (1997) (1997)
- Rank tests for unit roots
Journal of Econometrics, 1997, 81, (1), 7-27 View citations (44)
See also Working Paper Rank tests for unit roots, SFB 373 Discussion Papers (1996) (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 Solutions of Multivariate Rational Expectations Models, ULB Institutional Repository (1995) View citations (16) (1995)
- Testing, Encompassing, and Simulating Dynamic Econometric Models
Econometric Theory, 1995, 11, (2), 195-228 View citations (25)
See also Working Paper Testing, encompassing and simulating dynamic econometric models, CEPREMAP Working Papers (Couverture Orange) (1994) View citations (1) (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 (527)
See also Working Paper Indirect Inference, Working Papers (1992) View citations (6) (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 (154)
- 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 Qualitative threshold arch models, CEPREMAP Working Papers (Couverture Orange) (1991) (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 (24)
- 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 Agrégation de processus autoregressifs d'ordre 1, CEPREMAP Working Papers (Couverture Orange) (1987) (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 (209)
- 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 Simulated residuals, CEPREMAP Working Papers (Couverture Orange) (1985) (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 Bulles spéculatives et transmission d'information sur le marché d'un bien stockable, ULB Institutional Repository (1986) (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 Learning procedure and convergence to rationality, CEPREMAP Working Papers (Couverture Orange) (1984) View citations (1) (1984)
1985
- A General Approach to Serial Correlation
Econometric Theory, 1985, 1, (3), 315-340 View citations (40)
See also Working Paper General approach of serial correlation (a), CEPREMAP Working Papers (Couverture Orange) (1984) View citations (1) (1984)
- Rational Expectations Models and Bounded Memory
Econometrica, 1985, 53, (4), 977-85
See also Working Paper Rational expectations models and bounded memory, CEPREMAP Working Papers (Couverture Orange) (1983) (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 The agregation of commodities in quantity rationing models, CEPREMAP Working Papers (Couverture Orange) (1983) (1983)
1984
- Pseudo Maximum Likelihood Methods: Applications to Poisson Models
Econometrica, 1984, 52, (3), 701-20 View citations (755)
See also Working Paper Pseudo maximum lilelihood methods: applications to poisson models, CEPREMAP Working Papers (Couverture Orange) (1982) (1982)
- Pseudo Maximum Likelihood Methods: Theory
Econometrica, 1984, 52, (3), 681-700 View citations (568)
See also Working Paper Pseudo maximum likelihood methods: theory, CEPREMAP Working Papers (Couverture Orange) (1981) (1981)
- Some theoretical results for generalized ridge regression estimators
Journal of Econometrics, 1984, 25, (1-2), 191-203
See also Working Paper Some theoretical results for generalized ridge regression estimators, CEPREMAP Working Papers (Couverture Orange) (1982) View citations (1) (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 (163)
- Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
Econometrica, 1982, 50, (2), 409-25 View citations (50)
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
The 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 (84)
See also Working Paper Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes, NBER Working Papers (1979) View citations (1) (1979)
- Disequilibrium Econometrics in Simultaneous Equations Systems
Econometrica, 1980, 48, (1), 75-96 View citations (17)
- 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 Granularity Theory with Application to Finance and Insurance, Working Papers, Center for Research in Economics and Statistics (2011) (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 (67)
- Time Series and Dynamic Models
Cambridge Books, Cambridge University Press View citations (75)
Also in Cambridge Books, Cambridge University Press (1997) View citations (75)
1995
- Statistics and Econometric Models
Cambridge Books, Cambridge University Press View citations (207)
Also in Cambridge Books, Cambridge University Press (1995) View citations (209) Cambridge Books, Cambridge University Press (1995) View citations (207) Cambridge Books, Cambridge University Press (1995) View citations (207)
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 (10)
1986
- Testing non-nested hypotheses
Chapter 44 in Handbook of Econometrics, 1986, vol. 4, pp 2583-2637 View citations (8)
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