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Details about Christian S. Gourieroux

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

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Last updated 2018-09-12. Update your information in the RePEc Author Service.

Short-id: pgo144


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Working Papers

2018

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

2017

  1. Composite Indirect Inference with Application
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
  2. Consistent Pseudo-Maximum Likelihood Estimators
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
    Also in Working Papers, Center for Research in Economics and Statistics (2016) Downloads View citations (1)

    See also Journal Article Consistent Pseudo-Maximum Likelihood Estimators, Annals of Economics and Statistics, GENES (2017) Downloads View citations (1) (2017)
  3. Identification and Estimation in Non-Fundamental Structural VARMA Models
    Working Papers, Center for Research in Economics and Statistics Downloads
  4. Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations
    MPRA Paper, University Library of Munich, Germany Downloads
  5. Statistical Inference for Independent Component Analysis: Application to Structural VAR Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (94)
    Also in Working Papers, Center for Research in Economics and Statistics (2016) Downloads View citations (2)

    See also Journal Article Statistical inference for independent component analysis: Application to structural VAR models, Journal of Econometrics, Elsevier (2017) Downloads View citations (94) (2017)

2016

  1. A Flexible State-Space Model with Application to Stochastic Volatility
    Working Papers, Center for Research in Economics and Statistics Downloads
  2. Composite Indirect Inference with Application to Corporate Risks
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
  3. Local Explosion Modelling by Noncausal Process
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article Local explosion modelling by non-causal process, Journal of the Royal Statistical Society Series B, Royal Statistical Society (2017) Downloads View citations (13) (2017)
  4. Robust Analysis of the Martingale Hypothesis
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
  5. Stationary Bubble Equilibria in Rational Expectation Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)
  6. Structural Dynamic Analysis of Systematic Risk
    Working Papers, Center for Research in Economics and Statistics Downloads

2015

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

2014

  1. Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. Filtering and Prediction in Noncausal Processes
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
  3. Misspecification of Causal and Noncausal Orders in Autoregressive Processes
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
  4. On uniqueness of moving average representations of heavy-tailed stationary processes
    MPRA Paper, University Library of Munich, Germany Downloads
    See also Journal Article On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes, Journal of Time Series Analysis, Wiley Blackwell (2015) Downloads View citations (4) (2015)
  5. Revisiting Identification and estimation in Structural VARMA Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)

2013

  1. Explosive Bubble Modelling by Noncausal Process
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (10)
  2. Funding Liquidity Risk from A Regulatory Perspective
    Working Papers, Center for Research in Economics and Statistics Downloads
  3. Liquidation Equilibrium with Seniority and Hidden CDO
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (11)
    See also Journal Article Liquidation equilibrium with seniority and hidden CDO, Journal of Banking & Finance, Elsevier (2013) Downloads View citations (13) (2013)
  4. Long Term Care and Longevity
    Working Papers, Center for Research in Economics and Statistics Downloads
  5. Love and Death: A Freund Model with Frailty
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (4)
    See also Journal Article Love and death: A Freund model with frailty, Insurance: Mathematics and Economics, Elsevier (2015) Downloads View citations (10) (2015)
  6. Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives
    Working Papers, Center for Research in Economics and Statistics Downloads
  7. Pricing Default Events: Surprise, Exogeneity and Contagion
    Working Papers, Center for Research in Economics and Statistics Downloads
    Also in Working papers, Banque de France (2013) Downloads

    See also Journal Article Pricing default events: Surprise, exogeneity and contagion, Journal of Econometrics, Elsevier (2014) Downloads View citations (11) (2014)
  8. Procyclité des Régulations des Marchés Financiers
    Working Papers, Center for Research in Economics and Statistics Downloads
  9. Regime Switching and Bond Pricing
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
    Also in Working papers, Banque de France (2013) Downloads View citations (2)

    See also Journal Article Regime Switching and Bond Pricing, Journal of Financial Econometrics, Oxford University Press (2014) Downloads View citations (3) (2014)
  10. 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 Downloads View citations (2)
  11. 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 Downloads View citations (1)

2012

  1. A term structure model with level factor cannot be realistic and arbitrage free
    Working papers, Banque de France Downloads
  2. Bilateral Exposures and Systemic Solvency Risk
    Working papers, Banque de France Downloads View citations (48)
    See also Journal Article Bilateral exposures and systemic solvency risk, Canadian Journal of Economics, Canadian Economics Association (2012) Downloads View citations (47) (2012)
  3. Correlated Risks vs Contagion in Stochastic Transition Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
    See also Journal Article Correlated risks vs contagion in stochastic transition models, Journal of Economic Dynamics and Control, Elsevier (2013) Downloads View citations (4) (2013)
  4. Estimation Adjusted VaR
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article ESTIMATION-ADJUSTED VAR, Econometric Theory, Cambridge University Press (2013) Downloads View citations (6) (2013)
  5. Robust Portfolio Allocation with Systematic Risk Contribution Restrictions
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (7)
  6. Shock on Variable or Shock on Distribution with Application to Stress-Tests
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
    Also in Working papers, Banque de France (2012) Downloads View citations (2)
  7. Survival of Hedge Funds: Frailty vs Contagion
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)

2011

  1. Allocating Systematic and Unsystematic Risks in a Regulatory Perspective
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (4)
  2. Granularity Theory with Application to Finance and Insurance
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Book Granularity Theory with Applications to Finance and Insurance, Cambridge Books, Cambridge University Press (2014) View citations (2) (2014)

2010

  1. An Analysis of the Ultra Long-Term Yields
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
  2. Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
    Working Papers, Center for Research in Economics and Statistics Downloads 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) Downloads View citations (5) (2011)
  3. Efficiency in Large Dynamic Panel Models with Common Factor
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2009) Downloads View citations (4)

    See also Journal Article EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS, Econometric Theory, Cambridge University Press (2014) Downloads View citations (15) (2014)
  4. Efficient Derivative Pricing By The Extended Method of Moments
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    Also in University of St. Gallen Department of Economics working paper series 2005, Department of Economics, University of St. Gallen (2005) Downloads
    Working Papers, Center for Research in Economics and Statistics (2005) Downloads View citations (2)
    Working Papers, Center for Research in Economics and Statistics (2004) Downloads View citations (2)

    See also Journal Article Efficient Derivative Pricing by the Extended Method of Moments, Econometrica, Econometric Society (2011) View citations (32) (2011)
  5. Microinformation, Nonlinear Filtering and Granularity
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (3)
    See also Journal Article Microinformation, Nonlinear Filtering, and Granularity, Journal of Financial Econometrics, Oxford University Press (2010) Downloads View citations (1) (2010)

2007

  1. Quadratic Stochastic Intensity and Prospective Mortality Tables
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Quadratic stochastic intensity and prospective mortality tables, Insurance: Mathematics and Economics, Elsevier (2008) Downloads View citations (8) (2008)

2006

  1. (Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (11)
  2. A Degeneracy in the Analysis of Volatility and Covolatility Effects
    Working Papers, Center for Research in Economics and Statistics Downloads
  3. DYNAMIC QUANTILE MODELS
    Working Papers, York University, Department of Economics Downloads View citations (11)
    See also Journal Article Dynamic quantile models, Journal of Econometrics, Elsevier (2008) Downloads View citations (42) (2008)
  4. Efficient Portfolio Analysis Using Distortion Risk Measures
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
  5. Indirect Inference for Dynamic Panel Models
    Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University Downloads View citations (2)
    See also Journal Article Indirect inference for dynamic panel models, Journal of Econometrics, Elsevier (2010) Downloads View citations (77) (2010)
  6. Sensitivity Analysis of Distortion Risk Measures
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (7)
  7. The Ordered Qualitative Model For Credit Rating Transitions
    Working Papers, York University, Department of Economics Downloads
    See also Journal Article The ordered qualitative model for credit rating transitions, Journal of Empirical Finance, Elsevier (2008) Downloads View citations (38) (2008)

2005

  1. A Classification of Two Factor Affine Diffusion Term Structure Models
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article A Classification of Two-Factor Affine Diffusion Term Structure Models, Journal of Financial Econometrics, Oxford University Press (2006) Downloads View citations (8) (2006)
  2. Affine Model for Credit Risk Analysis
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)
    See also Journal Article Affine Models for Credit Risk Analysis, Journal of Financial Econometrics, Oxford University Press (2006) Downloads View citations (30) (2006)
  3. International Money and Stock Market Contingent Claims
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)
    See also Journal Article International money and stock market contingent claims, Journal of International Money and Finance, Elsevier (2010) Downloads View citations (7) (2010)
  4. The Wishart Autoregressive Process of Multivariate Stochastic Volatility
    Working Papers, York University, Department of Economics Downloads View citations (17)
    See also Journal Article The Wishart Autoregressive process of multivariate stochastic volatility, Journal of Econometrics, Elsevier (2009) Downloads View citations (143) (2009)
  5. Wishart Autoregressive Model for Stochastic Risk
    Working Papers, Center for Research in Economics and Statistics Downloads

2004

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

2003

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

2002

  1. Affine Term Structure Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (22)
  2. Constrained Nonparametric Copulas
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)
  3. Duration Time Series Models with Proportional Hazard
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)
    See also Journal Article Duration time‐series models with proportional hazard, Journal of Time Series Analysis, Wiley Blackwell (2008) Downloads View citations (8) (2008)
  4. Equidependence in Qualitative and Duration Models with Application to Credit Risk
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)
  5. Pricing with Splines
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Pricing with Splines, Annals of Economics and Statistics, GENES (2006) Downloads View citations (6) (2006)

2001

  1. Ajustement des prix bid et ask en présence d'information privée
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)
  2. Compound Autoregressive Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (8)
  3. Conditions for Optimality in Experimental Designs
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (5)
  4. Kernel Based Nonlinear Canonical Analysis
    IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse Downloads View citations (1)
    Also in Working Papers, Center for Research in Economics and Statistics (1998) Downloads View citations (3)
    Working Papers, Toulouse - GREMAQ (1999)
  5. Local Likelihood Density Estimation and Value at Risk
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (6)
  6. Tails and Extremal Behaviour of Stochastic Unit Root Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)

2000

  1. Factor ARMA Representation of a Markov Process
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Factor ARMA representation of a Markov process, Economics Letters, Elsevier (2001) Downloads (2001)
  2. Kernel Based Nonlinear Canonical Analysis and Time Reversibility
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
    See also Journal Article Kernel-based nonlinear canonical analysis and time reversibility, Journal of Econometrics, Elsevier (2004) Downloads View citations (13) (2004)
  3. Sensitivity Analysis of Values at Risk
    LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) Downloads 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) Downloads View citations (135)
    Econometric Society World Congress 2000 Contributed Papers, Econometric Society (2000) Downloads View citations (133)

    See also Journal Article Sensitivity analysis of Values at Risk, Journal of Empirical Finance, Elsevier (2000) Downloads View citations (131) (2000)

1999

  1. Bartlett Identities Tests
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (4)
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1999) Downloads View citations (5)
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) (1999) Downloads View citations (5)
  2. Dynamic Factor Models
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article DYNAMIC FACTOR MODELS, Econometric Reviews, Taylor & Francis Journals (2001) Downloads View citations (12) (2001)
  3. Nonlinear Innovations and Impulse Response
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (10)
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999) Downloads View citations (1)
  4. Nonlinear Persistence and Copersistence
    Working Papers, Center for Research in Economics and Statistics Downloads
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1999) Downloads View citations (1)
    Working Papers, York University, Department of Economics (1999) Downloads View citations (2)

1998

  1. Causality Between Returns and Trated Volumes
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Causality between Returns and Traded Volumes, Annals of Economics and Statistics, GENES (2000) Downloads View citations (3) (2000)
  2. Evidence of Adverse Selection in Automobile Insurance Markets
    Working Papers, Center for Research in Economics and Statistics Downloads 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)
  3. Matching Procedures and Market Characteristics
    Working Papers, Center for Research in Economics and Statistics Downloads
  4. Nonlinear Autocorrelograms: An Application to Intra-Trade Durations
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)
  5. Nonlinear Panel Data Models with Dynamic Heterogeneity
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
  6. 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) Downloads (1998)
  7. The Econometrics of Efficient Frontiers
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
  8. 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)
  9. Truncated Maximum Likelihood and Nonparametric Tail Analysis
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (3)
  10. Truncated maximum likelihood, goodness of fit tests and tail analysis
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads View citations (1)

1997

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

    See also Journal Article Econometric specification of the risk neutral valuation model, Journal of Econometrics, Elsevier (2000) Downloads View citations (6) (2000)
  5. Econométrie de la Finance: approches historiques
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles View citations (10)
  6. Modes de négociation et caractéristiques de marché
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  7. Modèles de comptage semi-paramétriques
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Modèles de comptage semi-paramétriques, L'Actualité Economique, Société Canadienne de Science Economique (1997) Downloads (1997)
  8. Multiregime Term Structure Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (2)
    Also in LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES) (1997) Downloads View citations (2)
  9. Stochastic Volatility Duration Models
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (10)
    See also Journal Article Stochastic volatility duration models, Journal of Econometrics, Elsevier (2004) Downloads View citations (66) (2004)
  10. The Informational Content of Household Decisions
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (14)
  11. The Portfolio Composition of Households: A Scoring Analysis from French Data
    Working Papers, Center for Research in Economics and Statistics Downloads View citations (1)
  12. Truncated Dynamics and Estimation of DiffusionEquations
    Working Papers, Center for Research in Economics and Statistics Downloads
    See also Journal Article Truncated dynamics and estimation of diffusion equations, Journal of Econometrics, Elsevier (2001) Downloads View citations (14) (2001)

1996

  1. 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) Downloads
  2. Arbitrage Based Pricing When Volatility Is Stochastic
    CIRANO Working Papers, CIRANO Downloads 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) Downloads View citations (16)
    Working Papers, California Institute of Technology, Division of the Humanities and Social Sciences (1996) Downloads
  3. Calibrarion By Simulation for Small Sample Bias Correction
    Working Papers, Toulouse - GREMAQ View citations (2)
  4. Kernel Autocorrelogram for Time Deformed Processes
    CIRANO Working Papers, CIRANO Downloads View citations (1)
  5. Mean-variance hedging and numeraire
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    See also Journal Article Mean‐Variance Hedging and Numéraire, Mathematical Finance, Wiley Blackwell (1998) Downloads View citations (32) (1998)
  6. Rank tests for unit roots
    SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes Downloads
    See also Journal Article Rank tests for unit roots, Journal of Econometrics, Elsevier (1997) Downloads View citations (44) (1997)

1995

  1. Comparison of Kernel estimator based goodness of fit tests (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  2. Market Time and Asset Price Movements Theory and Estimation
    CIRANO Working Papers, CIRANO Downloads 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) Downloads View citations (22)
  3. 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) Downloads View citations (19) (1995)
  4. Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets
    CIRANO Working Papers, CIRANO Downloads View citations (15)

1994

  1. Estimation of the term structure from bond data
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (7)
  2. Kernel m-estimators: non parametric diagnostics for structural models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (2)
  3. Modèles économétriques: utilisation et interprétation (les)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  4. Multivariate distributions for limited dependent variable models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (1)
  5. Testing, encompassing and simulating dynamic econometric models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (1)
    See also Journal Article Testing, Encompassing, and Simulating Dynamic Econometric Models, Econometric Theory, Cambridge University Press (1995) Downloads View citations (25) (1995)

1993

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

1992

  1. Indirect Inference
    Working Papers, Toulouse - GREMAQ View citations (6)
    See also Journal Article Indirect Inference, Journal of Applied Econometrics, John Wiley & Sons, Ltd. (1993) Downloads View citations (527) (1993)
  2. Quantité de monnaie (la): russie, les années 1918-1927
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads

1991

  1. Computation of multipliers in multivariate rational expectations models
    LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) View citations (2)
  2. Modèles de durée et effets de génération
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  3. Qualitative threshold arch models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    See also Journal Article Qualitative threshold ARCH models, Journal of Econometrics, Elsevier (1992) Downloads View citations (71) (1992)
  4. Transitions in economy: price changes in russia in the twenties
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  5. Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads

1990

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

1989

  1. Detecting a long run relationship (with an application to the p.p.p. hypothesis)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (5)
  2. 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

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

1987

  1. Agrégation de processus autoregressifs d'ordre 1
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    See also Journal Article Agrégation de processus autorégressifs d'ordre 1, Annals of Economics and Statistics, GENES (1988) Downloads View citations (1) (1988)
  2. Consistent m-estimators in a semi-parametric model
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (2)
  3. Contraintes linéaires mixtes
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  4. Court et long-terme dans les modèles de durée
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  5. Functional averages and statistical inference
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  6. Heterogeneity and hazard dominance in duration data models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (3)
  7. 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) Downloads View citations (1)

1986

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

1985

  1. Simulated residuals
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    See also Journal Article Simulated residuals, Journal of Econometrics, Elsevier (1987) Downloads View citations (21) (1987)
  2. Solutions of Dynamic Linear Rational Expectations Models
    ULB Institutional Repository, ULB -- Universite Libre de Bruxelles Downloads View citations (14)
    Also in CEPREMAP Working Papers (Couverture Orange), CEPREMAP (1984) Downloads View citations (2)
  3. Testing unknown linear restrictions on parameter functions
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (1)
  4. Vérification empirique de deux schémas d'anticipation adaptatif et rationnel
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads

1984

  1. General approach of serial correlation (a)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (1)
    See also Journal Article A General Approach to Serial Correlation, Econometric Theory, Cambridge University Press (1985) Downloads View citations (40) (1985)
  2. Learning procedure and convergence to rationality
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (1)
    See also Journal Article Learning Procedures and Convergence to Rationality, Econometrica, Econometric Society (1986) Downloads View citations (37) (1986)

1983

  1. Direct test of the rational expectations hypothesis (with special attention to qualitative variables)
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  2. Modèles a anticipations rationnelles apprentissage par regression
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  3. Rational expectations models and bounded memory
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    See also Journal Article Rational Expectations Models and Bounded Memory, Econometrica, Econometric Society (1985) Downloads (1985)
  4. The agregation of commodities in quantity rationing models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    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) Downloads View citations (6) (1985)

1982

  1. Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  2. Estimation and test in probit models with serial correlation
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (3)
  3. Pseudo maximum lilelihood methods: applications to poisson models
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    See also Journal Article Pseudo Maximum Likelihood Methods: Applications to Poisson Models, Econometrica, Econometric Society (1984) Downloads View citations (755) (1984)
  4. Revision adaptative des anticipations et convergence vers les anticipations rationnelles
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
  5. Some theoretical results for generalized ridge regression estimators
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads View citations (1)
    See also Journal Article Some theoretical results for generalized ridge regression estimators, Journal of Econometrics, Elsevier (1984) Downloads (1984)

1981

  1. Pseudo maximum likelihood methods: theory
    CEPREMAP Working Papers (Couverture Orange), CEPREMAP Downloads
    See also Journal Article Pseudo Maximum Likelihood Methods: Theory, Econometrica, Econometric Society (1984) Downloads View citations (568) (1984)

1979

  1. Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    See also Journal Article Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes, Econometrica, Econometric Society (1980) Downloads View citations (84) (1980)

Journal Articles

2018

  1. Misspecification of noncausal order in autoregressive processes
    Journal of Econometrics, 2018, 205, (1), 226-248 Downloads View citations (8)

2017

  1. Aversions to Impatience, Uncertainty and Illiquidity
    Annals of Economics and Statistics, 2017, (125-126), 9-39 Downloads
  2. Consistent Pseudo-Maximum Likelihood Estimators
    Annals of Economics and Statistics, 2017, (125-126), 187-218 Downloads View citations (1)
    See also Working Paper Consistent Pseudo-Maximum Likelihood Estimators, Working Papers (2017) Downloads View citations (1) (2017)
  3. Double instrumental variable estimation of interaction models with big data
    Journal of Econometrics, 2017, 201, (2), 176-197 Downloads View citations (2)
  4. Local explosion modelling by non-causal process
    Journal of the Royal Statistical Society Series B, 2017, 79, (3), 737-756 Downloads View citations (13)
    See also Working Paper Local Explosion Modelling by Noncausal Process, MPRA Paper (2016) Downloads (2016)
  5. Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation
    Journal of Econometrics, 2017, 200, (1), 118-134 Downloads View citations (13)
  6. Nonparametric estimation of a scalar diffusion model from discrete time data: a survey
    Annals of Operations Research, 2017, 256, (2), 203-219 Downloads
  7. Statistical inference for independent component analysis: Application to structural VAR models
    Journal of Econometrics, 2017, 196, (1), 111-126 Downloads View citations (94)
    See also Working Paper Statistical Inference for Independent Component Analysis: Application to Structural VAR Models, Working Papers (2017) Downloads View citations (94) (2017)

2016

  1. Filtering, Prediction and Simulation Methods for Noncausal Processes
    Journal of Time Series Analysis, 2016, 37, (3), 405-430 Downloads View citations (29)
  2. Introduction
    Annals of Economics and Statistics, 2016, (123-124), 7-8 Downloads
  3. Spread Term Structure and Default Correlation
    Annals of Economics and Statistics, 2016, (123-124), 175-223 Downloads
  4. The Tradability Premium on the S&P 500 Index
    Journal of Financial Econometrics, 2016, 14, (3), 461-495 Downloads View citations (1)

2015

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

2014

  1. EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS
    Econometric Theory, 2014, 30, (5), 961-1020 Downloads View citations (15)
    See also Working Paper Efficiency in Large Dynamic Panel Models with Common Factor, Working Papers (2010) Downloads View citations (2) (2010)
  2. Pricing default events: Surprise, exogeneity and contagion
    Journal of Econometrics, 2014, 182, (2), 397-411 Downloads View citations (11)
    See also Working Paper Pricing Default Events: Surprise, Exogeneity and Contagion, Working Papers (2013) Downloads (2013)
  3. Regime Switching and Bond Pricing
    Journal of Financial Econometrics, 2014, 12, (2), 237-277 Downloads View citations (3)
    See also Working Paper Regime Switching and Bond Pricing, Working Papers (2013) Downloads View citations (2) (2013)

2013

  1. ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE
    International Journal of Theoretical and Applied Finance (IJTAF), 2013, 16, (07), 1-20 Downloads View citations (8)
  2. Correlated risks vs contagion in stochastic transition models
    Journal of Economic Dynamics and Control, 2013, 37, (11), 2241-2269 Downloads View citations (4)
    See also Working Paper Correlated Risks vs Contagion in Stochastic Transition Models, Working Papers (2012) Downloads View citations (1) (2012)
  3. ESTIMATION-ADJUSTED VAR
    Econometric Theory, 2013, 29, (4), 735-770 Downloads View citations (6)
    See also Working Paper Estimation Adjusted VaR, Working Papers (2012) Downloads (2012)
  4. Granularity Adjustment for Efficient Portfolios
    Econometric Reviews, 2013, 32, (4), 449-468 Downloads
  5. Linear-price term structure models
    Journal of Empirical Finance, 2013, 24, (C), 24-41 Downloads View citations (2)
  6. Liquidation equilibrium with seniority and hidden CDO
    Journal of Banking & Finance, 2013, 37, (12), 5261-5274 Downloads View citations (13)
    See also Working Paper Liquidation Equilibrium with Seniority and Hidden CDO, Working Papers (2013) Downloads View citations (11) (2013)
  7. 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 Downloads View citations (1)

2012

  1. Bilateral exposures and systemic solvency risk
    Canadian Journal of Economics, 2012, 45, (4), 1273-1309 Downloads View citations (47)
    See also Working Paper Bilateral Exposures and Systemic Solvency Risk, Working papers (2012) Downloads View citations (48) (2012)
  2. Granularity adjustment for default risk factor model with cohorts
    Journal of Banking & Finance, 2012, 36, (5), 1464-1477 Downloads View citations (2)

2011

  1. Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk
    Journal of Financial Econometrics, 2011, 9, (2), 237-280 Downloads View citations (5)
    See also Working Paper Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk, Working Papers (2010) Downloads View citations (1) (2010)
  2. Discrete time Wishart term structure models
    Journal of Economic Dynamics and Control, 2011, 35, (6), 815-824 Downloads View citations (11)
  3. 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) Downloads View citations (1) (2010)

2010

  1. Conditionally fitted Sharpe performance with an application to hedge fund rating
    Journal of Banking & Finance, 2010, 34, (3), 578-593 Downloads View citations (19)
  2. Derivative Pricing With Wishart Multivariate Stochastic Volatility
    Journal of Business & Economic Statistics, 2010, 28, (3), 438-451 Downloads View citations (49)
  3. Indirect inference for dynamic panel models
    Journal of Econometrics, 2010, 157, (1), 68-77 Downloads View citations (77)
    See also Working Paper Indirect Inference for Dynamic Panel Models, Cowles Foundation Discussion Papers (2006) Downloads View citations (2) (2006)
  4. International money and stock market contingent claims
    Journal of International Money and Finance, 2010, 29, (8), 1727-1751 Downloads View citations (7)
    See also Working Paper International Money and Stock Market Contingent Claims, Working Papers (2005) Downloads View citations (5) (2005)
  5. Microinformation, Nonlinear Filtering, and Granularity
    Journal of Financial Econometrics, 2010, 10, (1), 1-53 Downloads View citations (1)
    See also Working Paper Microinformation, Nonlinear Filtering and Granularity, Swiss Finance Institute Research Paper Series (2010) Downloads View citations (3) (2010)

2009

  1. Control and Out‐of‐Sample Validation of Dependent Risks
    Journal of Risk & Insurance, 2009, 76, (3), 683-707 Downloads
  2. L-performance with an application to hedge funds
    Journal of Empirical Finance, 2009, 16, (4), 671-685 Downloads View citations (17)
  3. Managing hedonic housing price indexes: The French experience
    Journal of Housing Economics, 2009, 18, (3), 206-213 Downloads View citations (12)
  4. The Wishart Autoregressive process of multivariate stochastic volatility
    Journal of Econometrics, 2009, 150, (2), 167-181 Downloads View citations (143)
    See also Working Paper The Wishart Autoregressive Process of Multivariate Stochastic Volatility, Working Papers (2005) Downloads View citations (17) (2005)

2008

  1. Bon ou mauvais usage des notations
    Revue d'Économie Financière, 2008, 7, (1), 259-263 Downloads
  2. Converting Tail-VaR to VaR: An Econometric Study
    Journal of Financial Econometrics, 2008, 10, (2), 233-264 Downloads
  3. Duration time‐series models with proportional hazard
    Journal of Time Series Analysis, 2008, 29, (1), 74-124 Downloads View citations (8)
    See also Working Paper Duration Time Series Models with Proportional Hazard, Working Papers (2002) Downloads View citations (5) (2002)
  4. Dynamic quantile models
    Journal of Econometrics, 2008, 147, (1), 198-205 Downloads View citations (42)
    See also Working Paper DYNAMIC QUANTILE MODELS, Working Papers (2006) Downloads View citations (11) (2006)
  5. Quadratic stochastic intensity and prospective mortality tables
    Insurance: Mathematics and Economics, 2008, 43, (1), 174-184 Downloads View citations (8)
    See also Working Paper Quadratic Stochastic Intensity and Prospective Mortality Tables, Working Papers (2007) Downloads (2007)
  6. The ordered qualitative model for credit rating transitions
    Journal of Empirical Finance, 2008, 15, (1), 111-130 Downloads View citations (38)
    See also Working Paper The Ordered Qualitative Model For Credit Rating Transitions, Working Papers (2006) Downloads (2006)

2007

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

2006

  1. A Classification of Two-Factor Affine Diffusion Term Structure Models
    Journal of Financial Econometrics, 2006, 4, (1), 31-52 Downloads View citations (8)
    See also Working Paper A Classification of Two Factor Affine Diffusion Term Structure Models, Working Papers (2005) Downloads (2005)
  2. Affine Models for Credit Risk Analysis
    Journal of Financial Econometrics, 2006, 4, (3), 494-530 Downloads View citations (30)
    See also Working Paper Affine Model for Credit Risk Analysis, Working Papers (2005) Downloads View citations (3) (2005)
  3. Autoregressive gamma processes
    Journal of Forecasting, 2006, 25, (2), 129-152 Downloads View citations (97)
  4. Continuous Time Wishart Process for Stochastic Risk
    Econometric Reviews, 2006, 25, (2-3), 177-217 Downloads View citations (35)
  5. Migration Correlation: Estimation Method and Application to French Corporates Ratings
    Annals of Economics and Statistics, 2006, (82), 71-101 Downloads
  6. Multivariate Jacobi process with application to smooth transitions
    Journal of Econometrics, 2006, 131, (1-2), 475-505 Downloads View citations (33)
  7. Pricing with Splines
    Annals of Economics and Statistics, 2006, (82), 3-33 Downloads View citations (6)
    See also Working Paper Pricing with Splines, Working Papers (2002) Downloads (2002)
  8. STOCHASTIC UNIT ROOT MODELS
    Econometric Theory, 2006, 22, (6), 1052-1090 Downloads View citations (15)
  9. Structural Laplace Transform and Compound Autoregressive Models
    Journal of Time Series Analysis, 2006, 27, (4), 477-503 Downloads View citations (43)

2005

  1. Migration correlation: Definition and efficient estimation
    Journal of Banking & Finance, 2005, 29, (4), 865-894 Downloads View citations (12)
  2. Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity
    Annals of Economics and Statistics, 2005, (78), 1-31 Downloads View citations (13)
  3. The econometrics of efficient portfolios
    Journal of Empirical Finance, 2005, 12, (1), 1-41 Downloads View citations (17)

2004

  1. Heterogeneous INAR(1) model with application to car insurance
    Insurance: Mathematics and Economics, 2004, 34, (2), 177-192 Downloads View citations (27)
  2. Infrequent Extreme Risks
    The Geneva Papers on Risk and Insurance Theory, 2004, 29, (1), 5-22 Downloads View citations (4)
    Also in The Geneva Risk and Insurance Review, 2004, 29, (1), 5-22 (2004) Downloads View citations (4)
  3. Kernel-based nonlinear canonical analysis and time reversibility
    Journal of Econometrics, 2004, 119, (2), 323-353 Downloads View citations (13)
    See also Working Paper Kernel Based Nonlinear Canonical Analysis and Time Reversibility, Working Papers (2000) Downloads View citations (2) (2000)
  4. Stochastic volatility duration models
    Journal of Econometrics, 2004, 119, (2), 413-433 Downloads View citations (66)
    See also Working Paper Stochastic Volatility Duration Models, Working Papers (1997) Downloads View citations (10) (1997)

2003

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

2001

  1. DYNAMIC FACTOR MODELS
    Econometric Reviews, 2001, 20, (4), 385-424 Downloads View citations (12)
    See also Working Paper Dynamic Factor Models, Working Papers (1999) Downloads (1999)
  2. Factor ARMA representation of a Markov process
    Economics Letters, 2001, 71, (2), 165-171 Downloads
    See also Working Paper Factor ARMA Representation of a Markov Process, Working Papers (2000) Downloads (2000)
  3. Local Power Properties of Kernel Based Goodness of Fit Tests
    Journal of Multivariate Analysis, 2001, 78, (2), 161-190 Downloads View citations (8)
  4. Memory and infrequent breaks
    Economics Letters, 2001, 70, (1), 29-41 Downloads View citations (63)
  5. Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment
    Journal of Political Economy, 2001, 109, (2), 444-473 Downloads View citations (130)
  6. Truncated dynamics and estimation of diffusion equations
    Journal of Econometrics, 2001, 102, (1), 1-22 Downloads View citations (14)
    See also Working Paper Truncated Dynamics and Estimation of DiffusionEquations, Working Papers (1997) Downloads (1997)

2000

  1. Causality between Returns and Traded Volumes
    Annals of Economics and Statistics, 2000, (60), 189-206 Downloads View citations (3)
    See also Working Paper Causality Between Returns and Trated Volumes, Working Papers (1998) Downloads (1998)
  2. Econometric specification of the risk neutral valuation model
    Journal of Econometrics, 2000, 94, (1-2), 117-143 Downloads View citations (6)
    See also Working Paper Econometric Specification of the Risk Neutral Valuation Model, Working Papers (1997) Downloads (1997)
  3. Intraday Transaction Price Dynamics
    Annals of Economics and Statistics, 2000, (60), 207-238 Downloads View citations (10)
  4. Sensitivity analysis of Values at Risk
    Journal of Empirical Finance, 2000, 7, (3-4), 225-245 Downloads View citations (131)
    See also Working Paper Sensitivity Analysis of Values at Risk, LIDAM Discussion Papers IRES (2000) Downloads View citations (135) (2000)

1999

  1. Econometrics of efficient fitted portfolios
    Journal of Empirical Finance, 1999, 6, (1), 87-118 Downloads View citations (11)
  2. Intra-day market activity
    Journal of Financial Markets, 1999, 2, (3), 193-226 Downloads View citations (59)

1998

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

1997

  1. A count data model with unobserved heterogeneity
    Journal of Econometrics, 1997, 79, (2), 247-268 Downloads View citations (11)
  2. Duration, transition and count data models Introduction
    Journal of Econometrics, 1997, 79, (2), 195-199 Downloads View citations (1)
  3. D’une analyse de variabilités à un modèle d’investissement des firmes
    L'Actualité Economique, 1997, 73, (1), 331-350 Downloads
  4. Modèles de comptage semi-paramétriques
    L'Actualité Economique, 1997, 73, (1), 525-550 Downloads
    See also Working Paper Modèles de comptage semi-paramétriques, Working Papers (1997) Downloads (1997)
  5. Rank tests for unit roots
    Journal of Econometrics, 1997, 81, (1), 7-27 Downloads View citations (44)
    See also Working Paper Rank tests for unit roots, SFB 373 Discussion Papers (1996) Downloads (1996)
  6. Unemployment insurance and mortgages
    Insurance: Mathematics and Economics, 1997, 20, (3), 173-195 Downloads

1996

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

1995

  1. Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers
    Revue d'Économie Financière, 1995, 32, (1), 167-182 Downloads
  2. Linear Factor Models and the Term Structure of Interest Rates
    Annals of Economics and Statistics, 1995, (40), 37-65 Downloads
  3. Prepayment analysis for securitization
    Journal of Empirical Finance, 1995, 2, (1), 45-70 Downloads View citations (2)
  4. Solutions of multivariate Rational Expectations Models
    Econometric Theory, 1995, 11, (2), 229-257 Downloads View citations (19)
    See also Working Paper Solutions of Multivariate Rational Expectations Models, ULB Institutional Repository (1995) View citations (16) (1995)
  5. Testing, Encompassing, and Simulating Dynamic Econometric Models
    Econometric Theory, 1995, 11, (2), 195-228 Downloads View citations (25)
    See also Working Paper Testing, encompassing and simulating dynamic econometric models, CEPREMAP Working Papers (Couverture Orange) (1994) Downloads View citations (1) (1994)

1994

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

1993

  1. Indirect Inference
    Journal of Applied Econometrics, 1993, 8, (S), S85-118 Downloads View citations (527)
    See also Working Paper Indirect Inference, Working Papers (1992) View citations (6) (1992)
  2. Les transitions en économie.; Les changements de prix en Russie dans les années vingt
    Économie et Prévision, 1993, 109, (3), 101-113 Downloads
  3. Simulation-based inference: A survey with special reference to panel data models
    Journal of Econometrics, 1993, 59, (1-2), 5-33 Downloads View citations (154)
  4. 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 Downloads View citations (4)

1992

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

1991

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

1990

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

1989

  1. A General Framework for Testing a Null Hypothesis in a “Mixed” Form
    Econometric Theory, 1989, 5, (1), 63-82 Downloads View citations (24)
  2. Testing for Common Roots
    Econometrica, 1989, 57, (1), 171-85 Downloads View citations (1)

1988

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

1987

  1. Generalised residuals
    Journal of Econometrics, 1987, 34, (1-2), 5-32 Downloads View citations (209)
  2. Kullback Causality Measures
    Annals of Economics and Statistics, 1987, (6-7), 369-410 Downloads View citations (19)
  3. Simulated residuals
    Journal of Econometrics, 1987, 34, (1-2), 201-252 Downloads View citations (21)
    See also Working Paper Simulated residuals, CEPREMAP Working Papers (Couverture Orange) (1985) Downloads (1985)
  4. Une approche géométrique des processus ARMA
    Annals of Economics and Statistics, 1987, (8), 135-159 Downloads

1986

  1. Bulles spéculatives et transmission d’information sur le marché d’un bien stockable
    L'Actualité Economique, 1986, 62, (2), 166-184 Downloads
    See also Working Paper Bulles spéculatives et transmission d'information sur le marché d'un bien stockable, ULB Institutional Repository (1986) Downloads (1986)
  2. Direct test of the rational expectation hypothesis
    European Economic Review, 1986, 30, (2), 265-284 Downloads View citations (15)
  3. Learning Procedures and Convergence to Rationality
    Econometrica, 1986, 54, (4), 845-68 Downloads View citations (37)
    See also Working Paper Learning procedure and convergence to rationality, CEPREMAP Working Papers (Couverture Orange) (1984) Downloads View citations (1) (1984)

1985

  1. A General Approach to Serial Correlation
    Econometric Theory, 1985, 1, (3), 315-340 Downloads View citations (40)
    See also Working Paper General approach of serial correlation (a), CEPREMAP Working Papers (Couverture Orange) (1984) Downloads View citations (1) (1984)
  2. Rational Expectations Models and Bounded Memory
    Econometrica, 1985, 53, (4), 977-85 Downloads
    See also Working Paper Rational expectations models and bounded memory, CEPREMAP Working Papers (Couverture Orange) (1983) Downloads (1983)
  3. Solutions of Linear Rational Expectations Models
    Econometric Theory, 1985, 1, (3), 341-368 Downloads View citations (15)
  4. The Aggregation of Commodities in Quantity Rationing Models
    International Economic Review, 1985, 26, (3), 681-99 Downloads View citations (6)
    See also Working Paper The agregation of commodities in quantity rationing models, CEPREMAP Working Papers (Couverture Orange) (1983) Downloads (1983)

1984

  1. Pseudo Maximum Likelihood Methods: Applications to Poisson Models
    Econometrica, 1984, 52, (3), 701-20 Downloads View citations (755)
    See also Working Paper Pseudo maximum lilelihood methods: applications to poisson models, CEPREMAP Working Papers (Couverture Orange) (1982) Downloads (1982)
  2. Pseudo Maximum Likelihood Methods: Theory
    Econometrica, 1984, 52, (3), 681-700 Downloads View citations (568)
    See also Working Paper Pseudo maximum likelihood methods: theory, CEPREMAP Working Papers (Couverture Orange) (1981) Downloads (1981)
  3. Some theoretical results for generalized ridge regression estimators
    Journal of Econometrics, 1984, 25, (1-2), 191-203 Downloads
    See also Working Paper Some theoretical results for generalized ridge regression estimators, CEPREMAP Working Papers (Couverture Orange) (1982) Downloads View citations (1) (1982)
  4. Specification pre-test estimator
    Journal of Econometrics, 1984, 25, (1-2), 15-27 Downloads View citations (2)

1983

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

1982

  1. Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters
    Econometrica, 1982, 50, (1), 63-80 Downloads View citations (163)
  2. Rational Expectations in Dynamic Linear Models: Analysis of the Solutions
    Econometrica, 1982, 50, (2), 409-25 Downloads View citations (50)

1981

  1. Asymptotic properties of the maximum likelihood estimator in dichotomous logit models
    Journal of Econometrics, 1981, 17, (1), 83-97 Downloads View citations (9)
  2. Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters
    Journal of Econometrics, 1981, 16, (1), 166-166 Downloads View citations (9)
  3. On the Problem of Missing Data in Linear Models
    The Review of Economic Studies, 1981, 48, (4), 579-586 Downloads View citations (27)

1980

  1. Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes
    Econometrica, 1980, 48, (3), 675-95 Downloads View citations (84)
    See also Working Paper Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes, NBER Working Papers (1979) Downloads View citations (1) (1979)
  2. Disequilibrium Econometrics in Simultaneous Equations Systems
    Econometrica, 1980, 48, (1), 75-96 Downloads View citations (17)
  3. On the backward-forward procedure
    Economics Letters, 1980, 5, (3), 215-217 Downloads
  4. Sufficient Linear Structures: Econometric Applications
    Econometrica, 1980, 48, (5), 1083-97 Downloads View citations (10)
  5. Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment
    International Economic Review, 1980, 21, (1), 245-47 Downloads

1979

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

Books

2015

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

2014

  1. 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) Downloads (2011)

2000

  1. 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

  1. Simulation-based Econometric Methods
    OUP Catalogue, Oxford University Press View citations (67)
  2. 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

  1. 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

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

2013

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

Chapters

2015

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

2008

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

2007

  1. Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing
    A chapter in The Econometrics of Individual Risk: Credit, Insurance, and Marketing, 2007 Downloads View citations (10)

1986

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