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1

Économétrie de la finance : l’exemple du risque de crédit; Econometrics of Finance: The Case of Credit Risk;

Gouriéroux, Christian

Journal:

L'Actualité économique

Year:

2003

Language:

french

File:

PDF, 231 KB

french, 2003

2

Asymptotic properties of the maximum likelihood estimator in dichotomous logit models

Christian Gourieroux, Alain Monfort

Journal:

Journal of Econometrics

Year:

1981

Language:

english

File:

PDF, 609 KB

english, 1981

3

Économétrie du déséquilibre || Econométrie des modèles d'équilibre avec rationnement: Une mise à jour

Christian Gourieroux, Jean-Jacques Laffont and Alain Monfort

Journal:

Annales de l'inséé

Year:

1984

File:

PDF, 2.21 MB

1984

4

Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects

Gagliardini, Patrick, Gouriéroux, Christian

Journal:

Journal of Econometrics

Year:

2019

Language:

english

File:

PDF, 570 KB

english, 2019

5

Least impulse response estimator for stress test exercises

Gourieroux, Christian, LU, Yang

Journal:

Journal of Banking & Finance

Year:

2019

Language:

english

File:

PDF, 1.36 MB

english, 2019

6

On the characterization of a joint probability distribution by conditional distributions

Christian Gourieroux, Alain Monfort

Journal:

Journal of Econometrics

Year:

1979

Language:

english

File:

PDF, 161 KB

english, 1979

7

Microstructure des marchés financiers / Financial Market Microstructure || Causality between Returns and Traded Volumes

Éric Ghysels, Christian Gouriéroux and Joann Jasiak

Journal:

Annales d'Économie et de Statistique

Year:

2000

Language:

english

File:

PDF, 1.59 MB

english, 2000

8

Statistics and Econometric Models Volume 2 || Review of Linear Algebra and Matrix Calculus

Gourieroux, Christian, Monfort, Alain, Vuong, Quang

Year:

1995

Language:

english

File:

PDF, 1.24 MB

english, 1995

9

Mean-Variance Hedging and Numéraire

Christian Gourieroux, Jean Paul Laurent, Huyên Pham

Journal:

Mathematical Finance

Year:

1998

Language:

english

File:

PDF, 221 KB

english, 1998

10

Conditionally fitted Sharpe performance with an application to hedge fund rating

Serge Darolles, Christian Gourieroux

Journal:

Journal of Banking & Finance

Year:

2010

Language:

english

File:

PDF, 354 KB

english, 2010

11

Econometrics of Qualitative Dependent Variables || Modelling

Gourieroux, Christian, Klassen, Paul B.

Year:

2000

Language:

english

File:

PDF, 1.06 MB

english, 2000

12

Econometrics of Qualitative Dependent Variables || The Log-Linear Model and its Applications

Gourieroux, Christian, Klassen, Paul B.

Year:

2000

Language:

english

File:

PDF, 1.11 MB

english, 2000

13

Hétérogénéité et hasard dans les modèles de durée

Claude Fourgeaud, Christian Gouriéroux and Jacqueline Pradel

Journal:

Annales d'Économie et de Statistique

Year:

1990

File:

PDF, 1.51 MB

1990

14

Negative Binomial Autoregressive Process with Stochastic Intensity

Gouriéroux, Christian, Lu, Yang

Journal:

Journal of Time Series Analysis

Year:

2018

Language:

english

File:

PDF, 330 KB

english, 2018

15

Testing nested or non-nested hypotheses

Christian Gourieroux, Alain Monfort, Alain Trognon

Journal:

Journal of Econometrics

Year:

1983

Language:

english

File:

PDF, 1.29 MB

english, 1983

16

Simulated residuals

Christian Gourieroux, Alain Monfort, Eric Renault, Alain Trognon

Journal:

Journal of Econometrics

Year:

1987

Language:

english

File:

PDF, 2.12 MB

english, 1987

17

Stochastic volatility duration models

Eric Ghysels, Christian Gouriéroux, Joann Jasiak

Journal:

Journal of Econometrics

Year:

2004

Language:

english

File:

PDF, 332 KB

english, 2004

18

L-performance with an application to hedge funds

Serge Darolles, Christian Gourieroux, Joann Jasiak

Journal:

Journal of Empirical Finance

Year:

2009

Language:

english

File:

PDF, 545 KB

english, 2009

19

Factor ARMA representation of a Markov process

Serge Darolles, Jean-Pierre Florens, Christian Gouriéroux

Journal:

Economics Letters

Year:

2001

Language:

english

File:

PDF, 56 KB

english, 2001

20

Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

Christian Gouriéroux, Alberto Holly and Alain Monfort

Journal:

Year:

1982

Language:

english

File:

PDF, 324 KB

english, 1982

21

Économétrie non linéaire asymptotique || Résidus généralisés résidus simulés et leur utilisation dans les modéles non linéaires

Christian Gourieroux, Alain Monfort, Éric Renault and Alain Trognon

Journal:

Annales de l'inséé

Year:

1985

File:

PDF, 1.70 MB

1985

22

[Handbook of Statistics] Econometrics Volume 11 || 12 Pseudo-likelihood methods

Gourieroux, Christian

Year:

1993

Language:

english

File:

PDF, 1.33 MB

english, 1993

23

Econometrics of Qualitative Dependent Variables || Qualitative Panel Data

Gourieroux, Christian, Klassen, Paul B.

Year:

2000

Language:

english

File:

PDF, 754 KB

english, 2000

24

Econometrics of Qualitative Dependent Variables || The Tobit Model

Gourieroux, Christian, Klassen, Paul B.

Year:

2000

Language:

english

File:

PDF, 1.02 MB

english, 2000

25

Econometrics of Qualitative Dependent Variables ||

Gourieroux, Christian, Klassen, Paul B.

Year:

2000

Language:

english

File:

PDF, 124 KB

english, 2000

26

Statistics and Econometric Models Volume 2 || Introduction to Tests of Hypotheses

Gourieroux, Christian, Monfort, Alain, Vuong, Quang

Year:

1995

Language:

english

File:

PDF, 640 KB

english, 1995

27

Statistics and Econometric Models Volume 2 ||

Gourieroux, Christian, Monfort, Alain, Vuong, Quang

Year:

1995

Language:

english

File:

PDF, 112 KB

english, 1995

28

Statistics and Econometric Models Volume 2 || Review of Probability

Gourieroux, Christian, Monfort, Alain, Vuong, Quang

Year:

1995

Language:

english

File:

PDF, 2.77 MB

english, 1995

29

Econometrics of Qualitative Dependent Variables || The Econometrics of Discrete Positive Variables: the Poisson Model

Gourieroux, Christian, Klassen, Paul B.

Year:

2000

Language:

english

File:

PDF, 446 KB

english, 2000

30

Derivative Pricing With Wishart Multivariate Stochastic Volatility

Gourieroux, Christian, Sufana, Razvan

Journal:

Journal of Business and Economic Statistics

Year:

2010

Language:

english

File:

PDF, 201 KB

english, 2010

31

Microstructure des marchés financiers / Financial Market Microstructure || Intraday Transaction Price Dynamics

Serge Darolles, Christian Gouriéroux and Gaëlle Le Fol

Journal:

Annales d'Économie et de Statistique

Year:

2000

Language:

english

File:

PDF, 2.43 MB

english, 2000

32

Modélisation des systèmes dynamiques || Kullback Causality Measures

Christian Gourieroux, Alain Monfort and Eric Renault

Journal:

Annales d'Économie et de Statistique

Year:

1987

Language:

english

File:

PDF, 2.35 MB

english, 1987

33

Hétérogénéité II. Étude des biais de représentativité

Christian Gouriéroux

Journal:

Annales d'Économie et de Statistique

Year:

1990

File:

PDF, 1.49 MB

1990

34

Courbes de performance, de sélecton et de discrimination

Christian Gourieroux

Journal:

Annales d'Économie et de Statistique

Year:

1992

File:

PDF, 1.20 MB

1992

35

DYNAMIC FACTOR MODELS

Gourieroux, Christian, Jasiak, Joann

Journal:

Econometric Reviews

Year:

2001

Language:

english

File:

PDF, 558 KB

english, 2001

36

Linear Factor Models and the Term Structure of Interest Rates

Emmanuelle Clement, Christian Gouriéroux and Alain Monfort

Journal:

Annales d'Économie et de Statistique

Year:

1995

Language:

english

File:

PDF, 2.18 MB

english, 1995

37

Modèles à anticipations rationnelles: Apprentissage par régression

Claude Fourgeaud, Christian Gourieroux and Jacqueline Pradel

Journal:

Annales de l'inséé

Year:

1984

File:

PDF, 947 KB

1984

38

Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modèle linéaire multivarié

Christian Gourieroux, Alain Monfort and Eric Renault

Journal:

Annales d'Économie et de Statistique

Year:

1993

File:

PDF, 2.23 MB

1993

39

The Econometrics of Individual Risk (Credit, Insurance, and Marketing) || 6. Durations

Gourieroux, Christian, Jasiak, Joann

Year:

2011

Language:

english

File:

PDF, 220 KB

english, 2011

40

Bilateral Exposures and Systemic Solvency Risk

Gourieroux, Christian, Heam, Jean-Cyprien, Monfort, Alain

Journal:

SSRN Electronic Journal

Year:

2012

Language:

english

File:

PDF, 810 KB

english, 2012

41

Migration Correlation: Definition and Efficient Estimation

Gagliardini, Patrick, Gourieroux, Christian

Journal:

SSRN Electronic Journal

Year:

2004

Language:

english

File:

PDF, 467 KB

english, 2004

42

Financial Econometrics (Problems, Models, and Methods) || 4. Simultaneity, Recursivity, and Causality Analysis

Gourieroux, Christian, Jasiak, Joann

Year:

2002

Language:

english

File:

PDF, 1.19 MB

english, 2002

43

Financial Econometrics (Problems, Models, and Methods) || 10. Dynamic Qualitative Processes

Gourieroux, Christian, Jasiak, Joann

Year:

2002

File:

PDF, 1.08 MB

2002

44

Financial Econometrics (Problems, Models, and Methods) || 15. Market Indexes

Gourieroux, Christian, Jasiak, Joann

Year:

2002

File:

PDF, 863 KB

2002

45

Financial Econometrics (Problems, Models, and Methods) || 7. Expectation and Present Value Models

Gourieroux, Christian, Jasiak, Joann

Year:

2002

Language:

english

File:

PDF, 1.09 MB

english, 2002

46

Autoregressive gamma processes

Christian Gourieroux, Joann Jasiak

Journal:

Journal of Forecasting

Year:

2006

Language:

english

File:

PDF, 287 KB

english, 2006

47

Local Power Properties of Kernel Based Goodness of Fit Tests

Christian Gouriéroux, Carlos Tenreiro

Journal:

Journal of Multivariate Analysis

Year:

2001

Language:

english

File:

PDF, 296 KB

english, 2001

48

Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters

Christian Gouriéroux, Alberto Holly, Alain Monfort

Journal:

Journal of Econometrics

Year:

1981

File:

PDF, 34 KB

1981

49

Generalised residuals

Christian Gourieroux, Alain Monfort, Eric Renault, Alain Trognon

Journal:

Journal of Econometrics

Year:

1987

Language:

english

File:

PDF, 1.23 MB

english, 1987

50

Qualitative threshold ARCH models

Christian Gourieroux, Alain Monfort

Journal:

Journal of Econometrics

Year:

1992

Language:

english

File:

PDF, 1.73 MB

english, 1992

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