Access Statistics for Christian S. Gourieroux

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution 0 0 3 108 0 0 8 235
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 0 53 0 1 3 132
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 1 4 9 87
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 1 19 0 3 6 65
A term structure model with level factor cannot be realistic and arbitrage free 0 0 1 55 0 0 6 146
Actifs Financiers et Theorie de la Consommation 0 0 0 0 0 2 4 748
Actifs financiers et theorie de la consommation 0 0 0 0 0 3 6 1,093
Actifs financiers et theorie de la consommation 0 0 0 21 2 4 4 312
Affine Model for Credit Risk Analysis 0 0 0 104 0 6 9 222
Affine Term Structure Models 0 0 0 149 1 5 7 307
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 0 47 1 2 4 322
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 0 4 6 170
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 0 1 3 305
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 1 2 3 293
An Analysis of the Ultra Long-Term Yields 0 0 0 38 0 2 5 116
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 0 3 5 96
Approche géométrique des processus arma (une) 0 0 0 2 0 0 2 150
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 34 0 5 5 146
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 0 3 8 3,180
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 3 7 226
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 4 9 637
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 19 22 209
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 0 4 7 33
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 1 3 0 4 7 127
Aversion Analysis 0 0 0 71 0 2 4 274
Aversion Analysis 0 0 0 75 0 1 2 348
Bartlett Identities Tests 0 0 1 24 0 9 16 158
Bartlett Identities Tests 0 0 0 163 1 8 12 774
Bartlett identities tests 0 0 0 11 0 2 6 335
Bilateral Exposures and Systemic Solvency Risk 0 1 2 105 0 4 11 354
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 1 5 6 71
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 5 13 898
Causality Between Returns and Trated Volumes 0 0 0 23 1 4 10 70
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 4 8 734
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 0 1 4 362
Composite Indirect Inference with Application 0 0 1 44 0 6 12 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 3 6 95
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 0 0 2 373
Compound Autoregressive Models 0 0 0 83 0 3 8 288
Computation of multipliers in multivariate rational expectations models 0 0 0 0 1 4 6 150
Conditions for Optimality in Experimental Designs 0 0 0 9 0 3 5 416
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 1 6 73
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 0 2 6 77
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 2 5 101
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 7 10 66
Consistent m-estimators in a semi-parametric model 0 0 2 28 1 9 18 218
Constrained Nonparametric Copulas 0 0 0 30 0 1 5 55
Contraintes linéaires mixtes 0 0 0 0 0 2 5 76
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 2 5 11 171
Court et long-terme dans les modèles de durée 0 0 0 3 0 2 7 172
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 8 0 3 5 186
DYNAMIC QUANTILE MODELS 0 1 1 412 0 8 20 825
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 0 0 4 65 0 4 11 190
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 1 66 1 3 5 221
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 0 0 4 239
Duration Time Series Models with Proportional Hazard 0 0 0 25 0 1 4 69
Dynamic Factor Models 0 1 2 41 1 10 18 137
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 1 26
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 1 5 11 96
Econometric specification of the risk neutral valuation model 0 0 0 6 1 1 7 798
Econométrie de la Finance: approches historiques 0 0 0 0 1 4 6 118
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 1 6 8 135
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 1 11 14 203
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 3 9 142
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 3 7 74
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 0 2 5 92
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 0 4 9 489
Efficient Portfolio Analysis Using Distortion Risk Measures 0 0 1 36 0 0 2 125
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 5 7 54
Estimation Adjusted VaR 0 0 0 110 0 3 7 344
Estimation and test in probit models with serial correlation 0 0 0 64 0 1 7 890
Estimation of the term structure from bond data 0 0 2 20 0 3 9 493
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 1 5 7 1,062
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 1 4 5 923
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 0 2 12 152
Evidence of adverse selection in automobile insurance markets 0 0 0 0 1 2 8 310
Explosive Bubble Modelling by Noncausal Process 0 0 2 342 1 5 16 673
Factor ARMA Representation of a Markov Process 0 0 0 10 0 2 6 254
Filtering and Prediction in Noncausal Processes 0 0 0 180 1 1 2 206
Functional averages and statistical inference 0 0 0 0 1 1 4 89
Functional limit theorem for fractional processes (a) 0 0 0 30 0 0 7 248
Funding Liquidity Risk from A Regulatory Perspective 0 0 0 37 0 2 2 110
General approach of serial correlation (a) 0 0 0 4 0 4 8 247
Granularity Theory with Application to Finance and Insurance 0 0 0 136 0 4 12 295
Heterogeneity and hazard dominance in duration data models 0 0 0 0 0 3 6 92
Hétérogénéité dans les modèles à représentation linéaire 0 0 2 6 0 1 8 75
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 0 3 3 185
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 0 2 0 0 1 154
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 0 2 4 119
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 1 5 7 115
Indirect Inference 0 0 0 4 17 139 199 893
Indirect Inference for Dynamic Panel Models 0 0 0 324 0 15 67 899
International Money and Stock Market Contingent Claims 0 0 0 38 0 6 9 173
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 1 7 9 1,535
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 3 6 372
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 3 4 110
Kernel Based Nonlinear Canonical Analysis 0 1 1 8 0 2 5 42
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 5 8 681
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 1 3 5 312
Learning procedure and convergence to rationality 0 0 0 9 1 4 10 183
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 3 10 180
Local Explosion Modelling by Noncausal Process 0 0 0 105 0 1 9 146
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 1 5 95
Long Term Care and Longevity 0 0 0 51 0 2 6 137
Love and Death: A Freund Model with Frailty 0 0 0 73 2 2 6 374
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 0 8 15 2,259
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 6 10 397
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 0 12 16 250
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 0 7 2 7 11 568
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 3 125
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 1 46 1 5 8 138
Modes de négociation et caractéristiques de marché 0 0 0 1 2 4 9 356
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 0 1 3 131
Modèles de comptage semi-paramétriques 0 0 0 11 0 5 13 117
Modèles de durée et effets de génération 0 0 0 2 0 0 1 243
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 1 1 2 317
Modèles économétriques: utilisation et interprétation (les) 0 0 0 2 2 6 8 387
Multiregime Term Structure Models 0 0 0 131 1 1 1 429
Multiregime Term Structure Models 0 0 0 5 0 1 3 54
Multivariate distributions for limited dependent variable models 0 0 0 5 1 5 7 140
Negative Binomial Autoregressive Process 0 0 2 10 0 5 14 91
Negative Binomial Autoregressive Process 0 0 0 54 0 7 14 125
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 2 4 10 199
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 1 3 8 64
Nonlinear Innovations and Impulse Response 0 0 0 14 0 9 16 88
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 0 6 9 61
Nonlinear Persistence and Copersistence 0 0 0 55 0 2 7 156
Nonlinear Persistence and Copersistence 0 0 0 16 1 6 8 76
Nonlinear innovations and impulse responses 0 0 0 290 0 6 12 1,335
Nonlinear persistence and copersistence 0 0 0 199 1 5 12 713
On uniqueness of moving average representations of heavy-tailed stationary processes 1 1 1 64 2 5 7 99
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 3 11 15 203
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 1 11 13 113
Pricing with Splines 0 0 0 34 0 2 5 77
Procyclité des Régulations des Marchés Financiers 0 0 0 10 1 2 5 72
Prévision de mesures de prix contingents 0 0 0 0 0 0 3 98
Pseudo maximum likelihood methods: theory 0 0 2 97 1 7 17 1,200
Pseudo maximum lilelihood methods: applications to poisson models 0 1 6 33 1 7 17 637
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 1 1 69 0 5 10 76
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 1 1 4 20
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 0 3 9 115
Qualitative threshold arch models 0 0 1 12 0 3 9 483
Quantité de monnaie (la): russie, les années 1918-1927 0 0 0 34 0 2 3 340
Rank tests for unit roots 0 0 0 31 0 5 10 154
Rational expectations models and bounded memory 0 0 0 6 0 3 5 166
Reduced Forms of Rational Expectations Models 0 1 1 7 0 3 4 78
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 0 2 6 159
Regime Switching and Bond Pricing 0 0 0 65 0 4 11 150
Regime Switching and Bond Pricing 0 0 0 30 0 1 3 126
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 0 2 6 429
Revisiting Identification and estimation in Structural VARMA Models 0 1 2 159 0 3 9 326
Robust Analysis of the Martingale Hypothesis 0 0 0 11 3 6 9 62
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 1 87 1 3 7 230
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 3 5 9 163
Sensitivity Analysis of Distortion Risk Measures 0 0 0 51 1 6 16 214
Sensitivity Analysis of Values at Risk 0 0 0 769 1 10 16 1,468
Sensitivity Analysis of Values at Risk 0 0 0 80 3 7 10 2,462
Sensitivity Analysis of Values at Risk 0 0 0 1,597 1 3 9 4,362
Sensitivity analysis of values at risk 0 0 0 1 0 4 7 472
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 0 0 1 96
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 0 5 11 208
Simulated residuals 0 0 0 7 0 4 5 272
Solutions of Dynamic Linear Rational Expectations Models 0 0 0 0 0 3 4 49
Solutions of Multivariate Rational Expectations Models 0 0 0 0 1 4 10 67
Solutions of dynamic linear rational expectations models 0 0 0 7 0 3 14 196
Solutions of multivariate rational expectations models 0 0 0 10 3 6 8 40
Some theoretical results for generalized ridge regression estimators 0 0 0 3 0 4 13 451
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 1 1 4 37
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 1 6 19 123
Statistical Inference for Independent Component Analysis 0 0 1 47 0 1 4 138
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 2 4 104
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 1 3 119 0 2 12 187
Stochastic Migration Models with Application to Corporate Risk 0 1 2 27 0 6 8 95
Stochastic Volatility Duration Models 0 0 0 38 1 7 9 128
Strong concentration ordering 0 0 0 2 0 1 3 175
Structural Dynamic Analysis of Systematic Risk 0 0 0 17 0 3 3 71
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 2 5 9 138
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 0 0 5 418
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 9 0 1 2 34
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 2 7 290
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 3 4 8 305
The Econometrics of Efficient Frontiers 0 0 0 36 0 4 7 78
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 1 4 9 160
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 6 7 53
The Informational Content of Household Decisions 0 0 0 9 0 1 2 49
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 0 0 4 646
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 0 6 10 1,248
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 0 20 0 2 4 62
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 4 717 1 7 22 1,349
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 3 5 79
The agregation of commodities in quantity rationing models 0 0 0 2 0 3 8 251
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 0 4 8 163
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 4 11 14 3,034
Transitions in economy: price changes in russia in the twenties 0 0 1 22 0 5 11 270
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 1 5 9 47
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 2 4 6 61
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 0 3 6 218
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 3 283
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 0 1 2 212
Whishart Quadratic Term Structure Models 0 0 1 10 0 1 7 45
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 0 1 4 124
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 0 3 6 31
Total Working Papers 1 12 64 13,548 110 886 1,802 69,022
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Classification of Two-Factor Affine Diffusion Term Structure Models 0 0 0 90 1 2 5 257
A General Approach to Serial Correlation 0 0 0 25 0 4 4 84
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 0 3 6 68
A count data model with unobserved heterogeneity 0 0 0 49 0 7 14 255
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 1 1 9 0 5 6 32
Affine Models for Credit Risk Analysis 0 0 0 206 0 6 10 492
Agrégation de processus autorégressifs d'ordre 1 0 0 0 5 1 4 7 22
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 0 2 4 110
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 12 0 1 6 112
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 0 6 264 0 1 12 506
Autoregressive gamma processes 0 0 2 178 0 5 15 469
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 19 1 2 3 63
Bilateral exposures and systemic solvency risk 0 0 1 44 0 3 10 188
Bon ou mauvais usage des notations 0 0 0 2 1 3 5 28
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 5 33 37 119
Causality between Returns and Traded Volumes 0 0 0 3 0 0 3 25
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 1 6 13 437
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 0 0 4 173
Consistent Pseudo-Maximum Likelihood Estimators 0 1 1 16 1 7 15 98
Continuous Time Wishart Process for Stochastic Risk 0 0 3 141 1 3 12 330
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 0 17 1 6 7 61
Converting Tail-VaR to VaR: An Econometric Study 0 0 0 19 0 1 4 67
Correlated risks vs contagion in stochastic transition models 0 0 0 12 0 3 10 108
Courbes de performances, de sélection et de discrimination 0 0 0 12 1 3 5 42
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 3 5 38
DYNAMIC FACTOR MODELS 0 0 2 279 1 8 14 665
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 1 73 0 1 2 186
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 2 4 6 48
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 0 5 7 40
Diffusion et effet de vague 0 0 0 0 0 2 4 9
Direct test of the rational expectation hypothesis 0 0 0 65 0 0 1 137
Discrete time Wishart term structure models 0 1 2 82 1 5 12 248
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 0 10 14 338
Double instrumental variable estimation of interaction models with big data 0 0 0 26 0 4 8 121
Duration time‐series models with proportional hazard 0 0 0 62 0 2 5 147
Duration, transition and count data models Introduction 0 0 0 80 0 2 10 213
Dynamic quantile models 0 0 0 229 0 2 9 571
D’une analyse de variabilités à un modèle d’investissement des firmes 0 0 1 4 1 7 12 52
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 0 5 6 89
ESTIMATION-ADJUSTED VAR 0 0 1 25 0 5 9 122
Econometric specification of stochastic discount factor models 0 0 0 166 1 2 11 331
Econometric specification of the risk neutral valuation model 0 0 0 97 0 5 6 258
Econometrics of efficient fitted portfolios 0 0 0 60 1 6 9 177
Effet des modes de négociation sur les échanges 0 0 0 3 0 3 3 38
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 1 4 6 245
Factor ARMA representation of a Markov process 0 0 0 50 0 3 3 146
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 0 0 29 3 7 7 58
Financial Regulations and Procyclicality 0 0 0 43 1 4 10 139
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 1 3 6 86
Generalised residuals 0 1 8 977 1 2 20 1,693
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 4 7 119
Granularity adjustment for default risk factor model with cohorts 0 0 1 58 0 7 17 271
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 0 2 5 454
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire 0 0 0 2 0 1 1 11
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible) 0 0 1 1 1 4 7 19
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 0 0 3 13
Indirect Inference 1 2 6 1,590 5 16 64 4,173
Indirect inference for dynamic panel models 0 0 0 213 0 5 12 543
Infrequent Extreme Risks 0 0 0 118 1 2 3 291
Infrequent Extreme Risks 0 0 1 20 0 3 6 98
Instrumental Models and Indirect Encompassing 0 0 0 0 1 1 6 274
International money and stock market contingent claims 0 1 1 74 0 4 4 231
Intra-day market activity 0 0 0 262 1 9 15 530
Intraday Transaction Price Dynamics 0 0 0 6 0 1 3 23
Introduction 0 0 0 4 0 3 6 45
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 1 6 10 193
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 2 3 8 272
Kullback Causality Measures 0 0 2 23 1 3 9 61
L-performance with an application to hedge funds 0 1 1 31 1 6 7 180
Learning Procedures and Convergence to Rationality 0 0 0 48 0 6 9 216
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 1 2 4 40
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 1 3 10 1,230 7 25 38 4,570
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 5 7 23
Linear-price term structure models 0 0 0 30 0 6 6 84
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 0 3 6 238
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 0 4 7 50
Local explosion modelling by non-causal process 1 1 5 45 5 11 23 177
Love and death: A Freund model with frailty 0 0 0 24 0 5 5 177
Managing hedonic housing price indexes: The French experience 0 2 5 112 0 9 22 377
Mean‐Variance Hedging and Numéraire 0 0 0 48 0 1 3 146
Memory and infrequent breaks 0 0 0 49 1 8 15 149
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 1 1 5 82
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 0 7 0 2 3 32
Migration correlation: Definition and efficient estimation 0 0 0 89 0 4 7 356
Misspecification of noncausal order in autoregressive processes 0 0 1 24 2 6 9 87
Modèles de comptage semi-paramétriques 0 0 0 11 1 5 8 72
Multivariate Jacobi process with application to smooth transitions 0 0 0 181 1 3 4 371
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 2 69 0 6 16 148
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 1 14 1 8 12 52
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 0 2 7 0 3 7 28
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 1 1 2 12 1 3 10 72
On the Problem of Missing Data in Linear Models 0 0 0 99 0 7 15 274
On the backward-forward procedure 0 0 0 30 0 1 3 118
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 0 1 6 315
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 0 8 10 45
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 0 3 3 56
Prepayment analysis for securitization 0 0 0 132 0 1 4 290
Pricing default events: Surprise, exogeneity and contagion 0 1 2 31 0 6 9 156
Pricing with Splines 0 0 1 13 2 5 9 45
Pricing with finite dimensional dependence 0 0 0 7 0 3 6 69
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 4 12 960 2 10 48 2,522
Pseudo Maximum Likelihood Methods: Theory 3 5 14 1,561 7 18 48 3,789
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 0 9 13 166
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 9 10 133
Qualitative threshold ARCH models 0 0 1 280 2 16 19 661
Rank tests for unit roots 0 0 0 62 0 3 8 178
Rational Expectations Models and Bounded Memory 0 0 0 29 0 0 3 127
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 1 4 10 286
Regime Switching and Bond Pricing 0 0 0 12 0 1 3 76
STOCHASTIC UNIT ROOT MODELS 0 0 1 27 0 3 8 73
Sensitivity analysis of Values at Risk 1 1 1 464 4 17 25 1,070
Simulated residuals 0 0 0 141 1 5 10 269
Simulation Based Inference in Models with Heterogeneity 2 2 3 57 3 12 20 122
Simulation-based inference: A survey with special reference to panel data models 0 0 0 325 0 21 37 640
Solutions of Linear Rational Expectations Models 0 0 0 19 0 4 8 72
Solutions of multivariate Rational Expectations Models 0 0 0 28 0 6 10 93
Some theoretical results for generalized ridge regression estimators 0 0 0 78 1 3 7 178
Specification pre-test estimator 0 0 0 39 0 2 3 169
Spread Term Structure and Default Correlation 0 0 0 12 0 2 2 58
Statistical inference for independent component analysis: Application to structural VAR models 0 1 3 160 2 9 29 448
Stochastic volatility duration models 0 0 0 262 0 1 5 604
Structural Laplace Transform and Compound Autoregressive Models 0 1 1 142 1 4 9 351
Sufficient Linear Structures: Econometric Applications 0 0 0 17 3 3 5 91
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 0 1 5 82
Testing for Common Roots 0 0 0 31 1 1 1 203
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment 0 0 1 332 1 6 10 919
Testing nested or non-nested hypotheses 0 0 0 137 1 4 8 338
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 0 2 11 123
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 2 2 273
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 3 5 45
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 0 3 5 79
The Tradability Premium on the S&P 500 Index 0 0 0 9 0 1 2 41
The Wishart Autoregressive process of multivariate stochastic volatility 0 0 3 338 3 13 27 927
The econometrics of efficient portfolios 0 0 1 129 2 2 7 303
The ordered qualitative model for credit rating transitions 0 1 3 182 1 10 16 507
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 1 4 116
Une approche géométrique des processus ARMA 0 0 0 2 0 2 4 13
Unemployment insurance and mortgages 0 0 0 18 0 1 3 112
Économétrie de la finance: l’exemple du risque de crédit 0 0 1 38 0 1 4 152
Total Journal Articles 10 31 125 15,352 101 670 1,360 43,466

Book File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
Econometrics of Qualitative Dependent Variables 0 0 0 0 0 4 11 185
Econometrics of Qualitative Dependent Variables 0 0 0 0 0 3 6 177
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 0 1 41
Simulation-based Econometric Methods 0 0 0 0 4 9 23 529
Statistics and Econometric Models 0 0 0 0 3 12 38 305
Statistics and Econometric Models 0 0 0 0 1 6 11 163
Statistics and Econometric Models 0 0 0 0 2 9 18 269
Statistics and Econometric Models 0 0 0 0 1 6 13 455
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 1 3 4 55
Time Series and Dynamic Models 0 0 0 0 1 4 12 183
Time Series and Dynamic Models 0 0 0 0 0 4 9 170
Total Books 0 0 0 0 13 60 146 2,532

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
CAR AND AFFINE PROCESSES 0 0 0 2 1 2 3 17
Introduction 0 0 0 13 0 3 3 57
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 2 312 1 9 16 741
Testing non-nested hypotheses 0 0 0 258 0 1 3 608
Total Chapters 0 0 2 585 2 15 25 1,423

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Statistics updated 2026-04-09