Access Statistics for Christian S. Gourieroux

Author contact details at EconPapers.

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 2 108 1 1 8 236
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 0 53 4 4 7 136
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 1 3 10 88
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 0 19 1 2 6 66
A term structure model with level factor cannot be realistic and arbitrage free 0 0 1 55 1 1 7 147
Actifs Financiers et Theorie de la Consommation 0 0 0 0 2 2 6 750
Actifs financiers et theorie de la consommation 0 0 0 21 0 2 4 312
Actifs financiers et theorie de la consommation 0 0 0 0 0 1 6 1,093
Affine Model for Credit Risk Analysis 0 0 0 104 1 2 9 223
Affine Term Structure Models 0 0 0 149 0 1 7 307
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 0 47 0 1 4 322
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 3 3 9 173
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 0 1 3 293
An Analysis of the Ultra Long-Term Yields 0 0 0 38 1 2 6 117
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 1 1 6 97
Approche géométrique des processus arma (une) 0 0 0 2 1 1 3 151
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 34 1 2 6 147
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 6 7 14 3,186
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 1 1 8 227
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 4 5 13 641
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 0 22 209
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 5 5 12 38
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 1 3 3 4 10 130
Aversion Analysis 0 0 0 75 1 2 3 349
Aversion Analysis 0 0 0 71 2 3 6 276
Bartlett Identities Tests 0 0 1 24 3 7 19 161
Bartlett Identities Tests 0 0 0 163 4 7 16 778
Bartlett identities tests 0 0 0 11 0 1 6 335
Bilateral Exposures and Systemic Solvency Risk 0 1 2 105 3 4 14 357
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 2 3 8 73
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 3 5 15 901
Causality Between Returns and Trated Volumes 0 0 0 23 3 4 13 73
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 1 8 734
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 1 2 5 363
Composite Indirect Inference with Application 0 0 1 44 0 0 12 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 1 1 7 96
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 3 3 5 376
Compound Autoregressive Models 0 0 0 83 5 6 13 293
Computation of multipliers in multivariate rational expectations models 0 0 0 0 2 4 8 152
Conditions for Optimality in Experimental Designs 0 0 0 9 2 3 7 418
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 4 5 10 77
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 1 2 7 78
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 3 7 13 69
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 2 2 7 103
Consistent m-estimators in a semi-parametric model 0 0 2 28 7 9 24 225
Constrained Nonparametric Copulas 0 0 0 30 2 3 7 57
Contraintes linéaires mixtes 0 0 0 0 1 1 6 77
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 4 9 14 175
Court et long-terme dans les modèles de durée 0 0 0 3 4 4 11 176
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 8 0 1 5 186
DYNAMIC QUANTILE MODELS 0 1 1 412 1 3 21 826
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 0 0 4 65 2 3 13 192
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 1 66 0 1 5 221
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 2 2 6 241
Duration Time Series Models with Proportional Hazard 0 0 0 25 0 0 4 69
Dynamic Factor Models 0 1 2 41 2 8 20 139
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 3 5 14 99
Econometric specification of the risk neutral valuation model 0 0 0 6 0 1 7 798
Econométrie de la Finance: approches historiques 0 0 0 0 3 5 9 121
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 1 3 9 136
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 1 4 15 204
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 9 142
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 2 4 9 76
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 18 0 0 4 92
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 3 4 12 492
Efficient Portfolio Analysis Using Distortion Risk Measures 0 0 1 36 2 2 4 127
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 1 1 8 55
Estimation Adjusted VaR 0 0 0 110 3 5 10 347
Estimation and test in probit models with serial correlation 0 0 0 64 3 3 10 893
Estimation of the term structure from bond data 0 0 2 20 2 2 11 495
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 2 3 9 1,064
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 1 1 12 153
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 3 4 8 926
Evidence of adverse selection in automobile insurance markets 0 0 0 0 2 3 10 312
Explosive Bubble Modelling by Noncausal Process 1 1 2 343 6 8 20 679
Factor ARMA Representation of a Markov Process 0 0 0 10 1 1 7 255
Filtering and Prediction in Noncausal Processes 0 0 0 180 1 2 3 207
Functional averages and statistical inference 0 0 0 0 2 3 6 91
Functional limit theorem for fractional processes (a) 0 0 0 30 3 3 8 251
Funding Liquidity Risk from A Regulatory Perspective 0 0 0 37 0 0 2 110
General approach of serial correlation (a) 0 0 0 4 0 1 8 247
Granularity Theory with Application to Finance and Insurance 0 0 0 136 4 5 16 299
Heterogeneity and hazard dominance in duration data models 0 0 0 0 3 5 9 95
Hétérogénéité dans les modèles à représentation linéaire 0 0 2 6 2 2 10 77
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 0 0 3 185
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 0 2 2 2 3 156
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 3 4 7 122
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 1 2 8 116
Indirect Inference 0 0 0 4 8 61 207 901
Indirect Inference for Dynamic Panel Models 0 0 0 324 2 7 69 901
International Money and Stock Market Contingent Claims 0 0 0 38 2 2 11 175
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 3 6 12 1,538
Kernel Based Nonlinear Canonical Analysis 0 0 1 8 2 2 7 44
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 3 3 7 113
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 2 3 8 374
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 2 3 10 683
Kernel m-estimators: non parametric diagnostics for structural models 1 1 1 19 2 3 7 314
Learning procedure and convergence to rationality 0 0 0 9 4 6 14 187
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 2 10 180
Local Explosion Modelling by Noncausal Process 0 0 0 105 3 4 11 149
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 1 1 6 96
Long Term Care and Longevity 0 0 0 51 0 0 6 137
Love and Death: A Freund Model with Frailty 0 0 0 73 2 4 8 376
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 2 3 17 2,261
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 2 3 12 399
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 5 6 21 255
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 0 7 3 7 13 571
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 6 6 8 131
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 0 46 1 3 8 139
Modes de négociation et caractéristiques de marché 0 0 0 1 1 3 10 357
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 1 1 4 132
Modèles de comptage semi-paramétriques 0 0 0 11 1 2 14 118
Modèles de durée et effets de génération 0 0 0 2 2 2 3 245
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 1 2 3 318
Modèles économétriques: utilisation et interprétation (les) 0 0 0 2 0 2 8 387
Multiregime Term Structure Models 0 0 0 131 2 3 3 431
Multiregime Term Structure Models 0 0 0 5 3 3 6 57
Multivariate distributions for limited dependent variable models 0 0 0 5 4 6 11 144
Negative Binomial Autoregressive Process 0 0 0 54 0 2 12 125
Negative Binomial Autoregressive Process 0 0 2 10 1 3 15 92
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 0 2 10 199
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 0 2 8 64
Nonlinear Innovations and Impulse Response 0 0 0 14 6 9 22 94
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 2 3 11 63
Nonlinear Persistence and Copersistence 0 0 0 16 2 4 10 78
Nonlinear Persistence and Copersistence 0 0 0 55 2 2 9 158
Nonlinear innovations and impulse responses 0 0 0 290 3 5 15 1,338
Nonlinear persistence and copersistence 0 0 0 199 2 5 14 715
On uniqueness of moving average representations of heavy-tailed stationary processes 0 1 1 64 4 7 11 103
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 2 6 15 115
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 1 6 16 204
Pricing with Splines 0 0 0 34 1 1 6 78
Procyclité des Régulations des Marchés Financiers 0 0 0 10 0 1 5 72
Prévision de mesures de prix contingents 0 0 0 0 1 1 4 99
Pseudo maximum likelihood methods: theory 1 1 3 98 5 9 22 1,205
Pseudo maximum lilelihood methods: applications to poisson models 1 2 6 34 2 6 18 639
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 4 5 13 80
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 2 3 6 22
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 1 1 10 116
Qualitative threshold arch models 0 0 1 12 1 1 10 484
Quantité de monnaie (la): russie, les années 1918-1927 0 0 0 34 0 0 3 340
Rank tests for unit roots 0 0 0 31 3 5 13 157
Rational expectations models and bounded memory 0 0 0 6 3 3 8 169
Reduced Forms of Rational Expectations Models 1 1 2 8 4 5 8 82
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 3 4 9 162
Regime Switching and Bond Pricing 0 0 0 30 1 1 4 127
Regime Switching and Bond Pricing 0 0 0 65 0 1 10 150
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 1 1 7 430
Revisiting Identification and estimation in Structural VARMA Models 0 1 2 159 1 3 10 327
Robust Analysis of the Martingale Hypothesis 0 0 0 11 4 8 13 66
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 1 87 1 2 8 231
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 1 5 9 164
Sensitivity Analysis of Distortion Risk Measures 0 0 0 51 4 5 20 218
Sensitivity Analysis of Values at Risk 0 0 0 769 1 9 17 1,469
Sensitivity Analysis of Values at Risk 0 0 0 1,597 4 6 13 4,366
Sensitivity Analysis of Values at Risk 0 0 0 80 1 5 11 2,463
Sensitivity analysis of values at risk 0 0 0 1 2 3 9 474
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 0 0 11 208
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 1 1 2 97
Simulated residuals 0 0 0 7 0 2 5 272
Solutions of Dynamic Linear Rational Expectations Models 1 1 1 1 3 4 7 52
Solutions of Multivariate Rational Expectations Models 0 0 0 0 2 4 12 69
Solutions of dynamic linear rational expectations models 0 0 0 7 1 1 15 197
Solutions of multivariate rational expectations models 0 0 0 10 0 6 8 40
Some theoretical results for generalized ridge regression estimators 0 0 0 3 1 2 13 452
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 2 3 5 39
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 0 1 18 123
Statistical Inference for Independent Component Analysis 0 0 1 47 2 3 6 140
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 1 1 5 105
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 1 3 119 1 2 13 188
Stochastic Migration Models with Application to Corporate Risk 0 1 2 27 2 3 10 97
Stochastic Volatility Duration Models 0 0 0 38 2 4 10 130
Strong concentration ordering 0 0 0 2 3 3 6 178
Structural Dynamic Analysis of Systematic Risk 0 0 0 17 1 3 4 72
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 2 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 1 2 3 35
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 1 7 290
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 1 4 9 306
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 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 3 9 161
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 3 5 10 56
The Informational Content of Household Decisions 0 0 0 9 1 1 3 50
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 2 2 6 648
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 1 3 10 1,249
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 0 20 1 1 5 63
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 3 717 4 7 23 1,353
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 2 3 7 81
The agregation of commodities in quantity rationing models 0 0 0 2 3 4 11 254
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 5 6 13 168
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 5 9 19 3,039
Transitions in economy: price changes in russia in the twenties 0 0 0 22 1 2 11 271
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 2 3 11 49
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 2 4 8 63
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 1 2 7 219
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 3 3 6 286
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 1 1 3 213
Whishart Quadratic Term Structure Models 0 0 1 10 2 2 9 47
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 6 6 10 130
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 2 3 8 33
Total Working Papers 6 15 62 13,554 385 689 2,155 69,407
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 2 3 7 259
A General Approach to Serial Correlation 0 0 0 25 1 2 5 85
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 0 0 6 68
A count data model with unobserved heterogeneity 0 0 0 49 3 3 17 258
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 9 3 3 9 35
Affine Models for Credit Risk Analysis 0 0 0 206 2 3 12 494
Agrégation de processus autorégressifs d'ordre 1 0 0 0 5 1 2 7 23
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 3 3 6 113
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 12 0 0 6 112
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 0 3 264 2 2 11 508
Autoregressive gamma processes 0 0 2 178 3 3 18 472
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 19 2 3 5 65
Bilateral exposures and systemic solvency risk 0 0 1 44 2 3 12 190
Bon ou mauvais usage des notations 0 0 0 2 2 3 7 30
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 2 16 39 121
Causality between Returns and Traded Volumes 0 0 0 3 5 5 8 30
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 0 4 13 437
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 2 2 6 175
Consistent Pseudo-Maximum Likelihood Estimators 0 1 1 16 2 7 17 100
Continuous Time Wishart Process for Stochastic Risk 2 2 5 143 4 5 15 334
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 0 17 2 4 9 63
Converting Tail-VaR to VaR: An Econometric Study 0 0 0 19 2 2 6 69
Correlated risks vs contagion in stochastic transition models 0 0 0 12 4 5 14 112
Courbes de performances, de sélection et de discrimination 0 0 0 12 2 4 7 44
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 3 5 38
DYNAMIC FACTOR MODELS 0 0 1 279 1 4 14 666
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 1 73 2 2 4 188
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 1 5 7 49
Diffusion Processes with Polynomial Eigenfunctions 1 1 1 14 5 7 12 45
Diffusion et effet de vague 0 0 0 0 1 2 5 10
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 7 9 18 255
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 4 13 18 342
Double instrumental variable estimation of interaction models with big data 0 0 0 26 1 1 9 122
Duration time‐series models with proportional hazard 0 0 0 62 2 2 7 149
Duration, transition and count data models Introduction 0 0 0 80 3 4 13 216
Dynamic quantile models 0 0 0 229 0 0 9 571
D’une analyse de variabilités à un modèle d’investissement des firmes 0 0 1 4 2 6 14 54
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 3 4 9 92
ESTIMATION-ADJUSTED VAR 0 0 1 25 2 4 11 124
Econometric specification of stochastic discount factor models 1 1 1 167 2 3 12 333
Econometric specification of the risk neutral valuation model 0 0 0 97 2 3 8 260
Econometrics of efficient fitted portfolios 0 0 0 60 0 1 9 177
Effet des modes de négociation sur les échanges 0 0 0 3 3 3 6 41
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 3 4 9 248
Factor ARMA representation of a Markov process 0 0 0 50 2 3 5 148
Filtering, Prediction and Simulation Methods for Noncausal Processes 1 1 1 30 3 6 10 61
Financial Regulations and Procyclicality 0 0 0 43 1 4 10 140
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 0 1 6 86
Generalised residuals 0 0 7 977 4 5 22 1,697
Granularity Adjustment for Efficient Portfolios 0 0 0 27 4 5 11 123
Granularity adjustment for default risk factor model with cohorts 0 0 1 58 2 3 19 273
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 1 1 6 455
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire 0 0 0 2 0 0 1 11
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible) 0 0 1 1 1 2 8 20
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 4 4 7 17
Indirect Inference 0 2 6 1,590 12 22 75 4,185
Indirect inference for dynamic panel models 0 0 0 213 2 3 13 545
Infrequent Extreme Risks 0 0 0 118 3 4 6 294
Infrequent Extreme Risks 0 0 1 20 0 0 6 98
Instrumental Models and Indirect Encompassing 0 0 0 0 4 5 10 278
International money and stock market contingent claims 0 1 1 74 1 3 5 232
Intra-day market activity 0 0 0 262 2 5 17 532
Intraday Transaction Price Dynamics 0 0 0 6 4 4 7 27
Introduction 0 0 0 4 1 1 7 46
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 2 5 12 195
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 2 4 10 274
Kullback Causality Measures 0 0 1 23 2 3 9 63
L-performance with an application to hedge funds 0 1 1 31 1 3 8 181
Learning Procedures and Convergence to Rationality 0 0 0 48 0 1 9 216
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 0 1 4 40
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 1 9 1,230 1 10 38 4,571
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 5 7 12 28
Linear-price term structure models 0 0 0 30 6 6 12 90
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 1 1 6 239
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 1 3 8 51
Local explosion modelling by non-causal process 1 2 5 46 2 8 24 179
Love and death: A Freund model with frailty 0 0 0 24 5 7 10 182
Managing hedonic housing price indexes: The French experience 0 1 4 112 1 6 22 378
Mean‐Variance Hedging and Numéraire 0 0 0 48 2 2 5 148
Memory and infrequent breaks 0 0 0 49 1 3 16 150
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 3 4 8 85
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 0 7 1 2 4 33
Migration correlation: Definition and efficient estimation 0 0 0 89 1 2 8 357
Misspecification of noncausal order in autoregressive processes 0 0 1 24 1 3 10 88
Modèles de comptage semi-paramétriques 0 0 0 11 1 2 9 73
Multivariate Jacobi process with application to smooth transitions 2 2 2 183 3 5 7 374
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 2 69 1 3 16 149
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 1 14 1 5 13 53
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 0 1 7 0 2 5 28
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 1 2 12 3 5 12 75
On the Problem of Missing Data in Linear Models 0 0 0 99 1 4 16 275
On the backward-forward procedure 0 0 0 30 1 2 4 119
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 1 1 7 316
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 3 4 13 48
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 1 1 4 57
Prepayment analysis for securitization 0 0 0 132 0 1 4 290
Pricing default events: Surprise, exogeneity and contagion 0 1 1 31 3 7 11 159
Pricing with Splines 0 0 1 13 3 6 11 48
Pricing with finite dimensional dependence 0 0 0 7 1 1 7 70
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 2 5 13 962 6 12 52 2,528
Pseudo Maximum Likelihood Methods: Theory 2 7 16 1,563 7 21 55 3,796
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 0 5 13 166
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 1 3 11 134
Qualitative threshold ARCH models 0 0 1 280 2 8 21 663
Rank tests for unit roots 0 0 0 62 1 2 9 179
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 3 10 287
Regime Switching and Bond Pricing 0 0 0 12 2 2 5 78
STOCHASTIC UNIT ROOT MODELS 0 0 0 27 1 2 8 74
Sensitivity analysis of Values at Risk 0 1 1 464 2 11 27 1,072
Simulated residuals 0 0 0 141 3 6 13 272
Simulation Based Inference in Models with Heterogeneity 0 2 3 57 2 8 22 124
Simulation-based inference: A survey with special reference to panel data models 0 0 0 325 1 2 37 641
Solutions of Linear Rational Expectations Models 1 1 1 20 2 4 10 74
Solutions of multivariate Rational Expectations Models 0 0 0 28 1 2 11 94
Some theoretical results for generalized ridge regression estimators 0 0 0 78 2 3 9 180
Specification pre-test estimator 0 0 0 39 1 1 4 170
Spread Term Structure and Default Correlation 0 0 0 12 4 4 6 62
Statistical inference for independent component analysis: Application to structural VAR models 1 2 4 161 3 7 24 451
Stochastic volatility duration models 0 0 0 262 4 4 9 608
Structural Laplace Transform and Compound Autoregressive Models 0 1 1 142 2 5 11 353
Sufficient Linear Structures: Econometric Applications 0 0 0 17 2 5 7 93
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 1 1 6 83
Testing for Common Roots 0 0 0 31 3 4 4 206
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment 0 0 1 332 1 3 11 920
Testing nested or non-nested hypotheses 0 0 0 137 2 5 10 340
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 2 3 13 125
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 1 2 3 274
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 2 4 7 47
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 3 5 8 82
The Tradability Premium on the S&P 500 Index 0 0 0 9 0 0 2 41
The Wishart Autoregressive process of multivariate stochastic volatility 0 0 1 338 2 12 24 929
The econometrics of efficient portfolios 1 1 1 130 2 4 8 305
The ordered qualitative model for credit rating transitions 0 1 3 182 1 4 17 508
Truncated dynamics and estimation of diffusion equations 0 0 0 27 2 2 6 118
Une approche géométrique des processus ARMA 0 0 0 2 0 0 4 13
Unemployment insurance and mortgages 0 0 0 18 2 2 5 114
Économétrie de la finance: l’exemple du risque de crédit 0 0 1 38 2 2 6 154
Total Journal Articles 15 40 124 15,367 283 551 1,598 43,749

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 3 5 9 180
Econometrics of Qualitative Dependent Variables 0 0 0 0 1 2 12 186
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 2 2 3 43
Simulation-based Econometric Methods 0 0 0 0 4 10 25 533
Statistics and Econometric Models 0 0 0 0 3 6 21 272
Statistics and Econometric Models 0 0 0 0 0 4 38 305
Statistics and Econometric Models 0 0 0 0 1 3 13 456
Statistics and Econometric Models 0 0 0 0 3 6 14 166
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 1 2 5 56
Time Series and Dynamic Models 0 0 0 0 2 2 11 172
Time Series and Dynamic Models 0 0 0 0 1 2 13 184
Total Books 0 0 0 0 21 44 164 2,553

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 0 1 3 17
Introduction 0 0 0 13 1 3 4 58
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 2 312 2 3 18 743
Testing non-nested hypotheses 0 0 0 258 1 1 4 609
Total Chapters 0 0 2 585 4 8 29 1,427

logo

LogEc Home

Top Working Papers
Top Journal Articles
Top Books
Top Chapters
Top Software Items

Top Authors

Top Working Paper series and Journals

About LogEc

Authors with papers registered in the RePEc Author Service.

Register yourself as an author or register more papers in the RePEc Author Service.

Authors with no registered papers

RePEc
LogEc provides access and usage statistics for services based on the RePEc data set.

Örebro UniversityLogEc is hosted by the Örebro University School of Business.

Questions or comments? Please see our explanation of how the statistics are collected or e-mail

Since October 2025, abstract view statistics are potentially heavily influenced by traffic from AI bots and tools that we could not eliminate despite our best efforts.

Statistics updated 2026-05-06