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 2 105 0 0 2 224
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 0 52 0 1 2 127
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 0 0 1 77
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 0 18 0 0 0 58
A term structure model with level factor cannot be realistic and arbitrage free 0 0 0 54 0 0 0 138
Actifs Financiers et Theorie de la Consommation 0 0 0 0 0 0 3 744
Actifs financiers et theorie de la consommation 0 0 0 21 0 1 1 308
Actifs financiers et theorie de la consommation 0 0 0 0 0 0 1 1,087
Affine Model for Credit Risk Analysis 0 0 7 103 0 1 8 211
Affine Term Structure Models 0 0 7 149 0 0 10 299
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 0 46 0 0 0 317
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 0 0 2 163
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 0 0 0 301
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 0 1 290
An Analysis of the Ultra Long-Term Yields 0 0 0 38 1 1 2 111
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 0 0 0 90
Approche géométrique des processus arma (une) 0 0 0 2 0 0 0 146
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 34 0 0 0 140
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 0 0 1 3,171
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 0 2 218
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 1 3 626
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 0 1 185
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 0 0 0 25
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 0 2 0 0 0 119
Aversion Analysis 0 0 0 75 0 1 1 345
Aversion Analysis 0 0 0 71 0 0 0 270
Bartlett Identities Tests 0 0 0 163 0 2 2 761
Bartlett Identities Tests 0 0 1 23 0 0 2 142
Bartlett identities tests 0 0 0 11 0 0 2 328
Bilateral Exposures and Systemic Solvency Risk 0 0 0 102 0 0 3 341
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 0 0 0 65
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 0 6 885
Causality Between Returns and Trated Volumes 0 0 0 23 0 0 0 59
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 0 1 726
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 0 0 0 358
Composite Indirect Inference with Application 0 0 0 43 0 0 0 69
Composite Indirect Inference with Application to Corporate Risks 0 0 2 32 0 0 4 89
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 1 1 1 370
Compound Autoregressive Models 0 0 2 83 0 0 2 280
Computation of multipliers in multivariate rational expectations models 0 0 0 0 0 0 0 143
Conditions for Optimality in Experimental Designs 0 0 0 9 0 0 0 410
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 28 0 0 3 65
Consistent Pseudo-Maximum Likelihood Estimators 2 2 2 32 2 2 2 71
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 1 1 55
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 2 29 1 4 9 90
Consistent m-estimators in a semi-parametric model 0 1 1 25 0 1 3 195
Constrained Nonparametric Copulas 0 0 0 30 0 0 0 49
Contraintes linéaires mixtes 0 0 0 0 0 0 1 69
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 0 0 0 158
Court et long-terme dans les modèles de durée 0 0 0 3 0 0 0 163
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 8 0 0 0 180
DYNAMIC QUANTILE MODELS 0 0 0 411 0 1 3 803
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 0 0 0 58 0 3 4 175
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 0 65 0 0 0 215
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 0 0 0 235
Duration Time Series Models with Proportional Hazard 0 0 0 25 0 0 0 65
Dynamic Factor Models 0 0 1 38 0 0 3 115
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 0 24
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 0 0 0 85
Econometric specification of the risk neutral valuation model 0 0 0 6 0 0 1 791
Econométrie de la Finance: approches historiques 0 0 0 0 0 0 1 110
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 0 0 0 185
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 0 0 0 124
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 0 0 133
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 17 0 0 1 87
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 183 0 2 3 480
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 0 67
Efficient Portfolio Analysis Using Distortion Risk Measures 0 0 1 33 0 0 3 121
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 0 0 46
Estimation Adjusted VaR 0 0 0 110 1 1 2 336
Estimation and test in probit models with serial correlation 0 1 1 64 0 1 2 882
Estimation of the term structure from bond data 0 0 0 17 0 1 1 483
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 2 4 9 1,050
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 1 2 3 137
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 0 0 0 916
Evidence of adverse selection in automobile insurance markets 0 0 0 0 1 1 7 300
Explosive Bubble Modelling by Noncausal Process 0 1 11 337 2 4 16 652
Factor ARMA Representation of a Markov Process 0 0 0 10 0 0 0 248
Filtering and Prediction in Noncausal Processes 0 0 1 180 0 0 1 203
Functional averages and statistical inference 0 0 0 0 0 0 0 83
Functional limit theorem for fractional processes (a) 2 2 3 27 2 2 3 235
Funding Liquidity Risk from A Regulatory Perspective 0 0 0 37 0 0 0 107
General approach of serial correlation (a) 0 0 0 4 0 0 0 236
Granularity Theory with Application to Finance and Insurance 0 0 1 136 0 0 3 283
Heterogeneity and hazard dominance in duration data models 0 0 0 0 0 0 0 85
Hétérogénéité dans les modèles à représentation linéaire 0 0 0 4 0 0 0 65
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 0 0 0 181
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 0 2 0 0 0 151
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 0 0 0 115
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 1 2 8 107
Indirect Inference 0 0 0 4 0 0 3 694
Indirect Inference for Dynamic Panel Models 0 0 0 324 0 0 1 832
International Money and Stock Market Contingent Claims 0 0 1 37 1 3 4 159
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 0 0 1,525
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 0 0 105
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 0 0 0 35
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 0 0 365
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 0 0 672
Kernel m-estimators: non parametric diagnostics for structural models 0 0 1 18 0 0 1 306
Learning procedure and convergence to rationality 0 0 1 8 0 0 2 171
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 0 0 170
Local Explosion Modelling by Noncausal Process 0 2 5 104 1 4 10 134
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 0 0 89
Long Term Care and Longevity 0 0 0 51 0 0 1 131
Love and Death: A Freund Model with Frailty 0 0 0 73 0 1 3 367
Market Time and Asset Price Movements Theory and Estimation 0 0 1 609 0 0 4 2,240
Market Time and Asset Price Movements: Theory and Estimation 0 0 1 34 0 1 5 233
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 0 5 386
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 1 6 2 3 10 554
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 4 5 120
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 2 45 0 0 2 127
Modes de négociation et caractéristiques de marché 0 0 0 1 0 0 1 345
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 0 0 0 127
Modèles de comptage semi-paramétriques 0 0 0 11 0 0 0 104
Modèles de durée et effets de génération 0 0 0 2 0 0 1 241
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 0 0 315
Modèles économétriques: utilisation et interprétation (les) 0 0 0 2 0 0 0 379
Multiregime Term Structure Models 0 0 0 5 0 1 1 50
Multiregime Term Structure Models 0 0 0 131 0 0 0 426
Multivariate distributions for limited dependent variable models 1 1 2 4 1 1 2 131
Negative Binomial Autoregressive Process 0 0 1 53 0 1 8 108
Negative Binomial Autoregressive Process 0 0 0 7 0 0 2 69
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 0 47 0 1 3 186
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 0 0 0 55
Nonlinear Innovations and Impulse Response 0 0 0 13 0 0 3 69
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 0 0 0 51
Nonlinear Persistence and Copersistence 0 0 0 55 0 0 2 148
Nonlinear Persistence and Copersistence 0 0 1 16 0 0 1 66
Nonlinear innovations and impulse responses 0 1 1 290 0 1 2 1,321
Nonlinear persistence and copersistence 0 0 0 199 0 0 3 701
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 63 0 0 0 92
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 1 28 0 0 3 99
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 1 66 0 0 1 187
Pricing with Splines 0 0 1 34 0 0 1 72
Procyclité des Régulations des Marchés Financiers 0 0 0 10 1 1 1 66
Prévision de mesures de prix contingents 0 0 0 0 0 0 0 95
Pseudo maximum likelihood methods: theory 0 0 4 94 1 1 13 1,179
Pseudo maximum lilelihood methods: applications to poisson models 0 0 3 24 8 10 20 612
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 2 65 0 0 2 63
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 0 0 0 14
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 0 23 0 0 1 105
Qualitative threshold arch models 0 0 1 11 0 0 2 473
Quantité de monnaie (la): russie, les années 1918-1927 0 0 1 34 0 0 1 337
Rank tests for unit roots 0 0 0 31 0 0 0 143
Rational expectations models and bounded memory 0 0 0 6 0 0 0 161
Reduced Forms of Rational Expectations Models 0 0 1 6 1 1 2 72
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 0 0 0 153
Regime Switching and Bond Pricing 0 0 0 30 0 0 0 123
Regime Switching and Bond Pricing 0 0 0 65 0 0 2 136
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 5 0 0 0 423
Revisiting Identification and estimation in Structural VARMA Models 2 2 8 153 2 6 13 312
Robust Analysis of the Martingale Hypothesis 0 0 0 11 0 0 0 53
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 1 85 0 0 1 221
Semi-Parametric Estimation of Noncausal Vector Autoregression 1 1 1 60 1 1 2 152
Sensitivity Analysis of Distortion Risk Measures 1 1 1 51 1 1 2 196
Sensitivity Analysis of Values at Risk 0 1 1 1,595 0 1 2 4,350
Sensitivity Analysis of Values at Risk 0 1 2 767 0 2 3 1,448
Sensitivity Analysis of Values at Risk 0 1 1 77 0 2 2 2,449
Sensitivity analysis of values at risk 0 0 0 1 0 0 0 464
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 0 0 3 195
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 0 0 0 93
Simulated residuals 0 0 0 7 0 0 0 267
Solutions of Dynamic Linear Rational Expectations Models 0 0 0 0 0 0 0 45
Solutions of Multivariate Rational Expectations Models 0 0 0 0 0 0 0 56
Solutions of dynamic linear rational expectations models 0 0 0 7 0 1 1 182
Solutions of multivariate rational expectations models 0 1 1 10 0 1 1 30
Some theoretical results for generalized ridge regression estimators 0 0 0 3 0 1 1 437
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 0 0 0 32
Stationary Bubble Equilibria in Rational Expectation Models 0 1 1 31 1 3 6 101
Statistical Inference for Independent Component Analysis 0 0 0 46 0 1 1 134
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 2 3 17 113 2 5 35 168
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 0 1 100
Stochastic Migration Models with Application to Corporate Risk 0 0 0 25 0 0 0 86
Stochastic Volatility Duration Models 0 0 0 37 0 0 1 118
Strong concentration ordering 0 0 0 2 0 0 1 172
Structural Dynamic Analysis of Systematic Risk 0 0 1 17 0 0 3 67
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 0 1 129
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 0 0 0 411
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 9 0 0 0 30
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 0 282
Testing, encompassing and simulating dynamic econometric models 0 1 1 9 0 1 1 295
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 0 71
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 1 1 150
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 0 0 46
The Informational Content of Household Decisions 0 0 0 9 0 0 0 46
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 0 0 0 642
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 0 0 1 1,236
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 1 19 0 0 1 56
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 0 2 711 0 0 6 1,324
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 0 0 73
The agregation of commodities in quantity rationing models 0 0 0 2 0 0 0 242
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 0 0 0 155
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 0 0 1 3,018
Transitions in economy: price changes in russia in the twenties 0 0 0 21 0 0 0 259
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 0 0 38
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 2 23 0 0 2 55
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 0 0 0 210
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 1 2 279
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 0 0 1 209
Whishart Quadratic Term Structure Models 0 0 0 9 0 0 1 35
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 0 1 1 120
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 0 0 0 25
Total Working Papers 11 24 122 13,431 38 104 389 66,933
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 89 0 0 0 251
A General Approach to Serial Correlation 0 0 0 25 0 0 0 75
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 2 15 0 0 4 61
A count data model with unobserved heterogeneity 0 0 1 49 0 0 5 236
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 2 8 0 0 2 25
Affine Models for Credit Risk Analysis 0 0 0 206 0 0 0 482
Agrégation de processus autorégressifs d'ordre 1 0 1 2 5 0 1 2 14
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 0 0 1 105
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 12 0 0 0 105
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 1 1 17 256 4 5 32 486
Autoregressive gamma processes 0 0 1 174 0 0 6 452
Aversions to Impatience, Uncertainty and Illiquidity 0 0 1 19 0 0 2 59
Bilateral exposures and systemic solvency risk 0 0 1 43 0 2 3 178
Bon ou mauvais usage des notations 0 0 0 2 0 0 0 22
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 0 0 0 81
Causality between Returns and Traded Volumes 0 0 0 3 0 0 0 21
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 1 83 1 1 3 424
Conditionally fitted Sharpe performance with an application to hedge fund rating 1 1 2 41 2 2 4 169
Consistent Pseudo-Maximum Likelihood Estimators 0 1 1 15 0 1 2 83
Continuous Time Wishart Process for Stochastic Risk 0 0 4 136 0 0 4 313
Control and Out‐of‐Sample Validation of Dependent Risks 1 1 1 17 1 1 2 51
Converting Tail-VaR to VaR: An Econometric Study 1 1 4 19 1 1 7 61
Correlated risks vs contagion in stochastic transition models 0 0 0 12 0 0 0 97
Courbes de performances, de sélection et de discrimination 0 0 0 12 1 3 4 35
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 0 0 32
DYNAMIC FACTOR MODELS 0 0 6 276 1 1 9 648
Derivative Pricing With Wishart Multivariate Stochastic Volatility 1 1 1 72 1 1 2 183
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 0 0 0 42
Diffusion Processes with Polynomial Eigenfunctions 0 0 1 13 0 0 1 33
Diffusion et effet de vague 0 0 0 0 0 1 1 4
Direct test of the rational expectation hypothesis 0 0 1 65 0 1 2 135
Discrete time Wishart term structure models 0 0 0 77 0 0 1 230
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 1 85 0 0 4 323
Double instrumental variable estimation of interaction models with big data 0 0 0 26 1 1 1 113
Duration time‐series models with proportional hazard 0 0 0 62 0 0 0 141
Duration, transition and count data models Introduction 0 0 0 80 0 0 1 203
Dynamic quantile models 0 1 7 228 0 3 18 560
D’une analyse de variabilités à un modèle d’investissement des firmes 0 0 0 3 0 0 0 40
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 0 0 0 82
ESTIMATION-ADJUSTED VAR 1 1 2 24 1 1 2 111
Econometric specification of stochastic discount factor models 0 0 2 165 2 2 5 318
Econometric specification of the risk neutral valuation model 1 1 1 97 1 1 1 251
Econometrics of efficient fitted portfolios 0 0 0 60 1 1 4 167
Effet des modes de négociation sur les échanges 0 0 0 3 0 0 0 35
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 2 239
Factor ARMA representation of a Markov process 0 0 0 50 0 0 0 141
Filtering, Prediction and Simulation Methods for Noncausal Processes 3 5 7 26 3 6 10 47
Financial Regulations and Procyclicality 0 0 0 43 0 0 0 127
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 0 0 1 80
Generalised residuals 1 1 16 965 2 4 30 1,666
Granularity Adjustment for Efficient Portfolios 0 0 4 27 0 0 5 111
Granularity adjustment for default risk factor model with cohorts 0 0 1 57 2 2 6 254
Heterogeneous INAR(1) model with application to car insurance 0 0 2 202 0 0 2 449
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire 0 0 0 2 0 0 0 10
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible) 0 0 0 0 0 0 0 11
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 0 0 2 9
Indirect Inference 1 1 9 1,579 2 5 49 4,085
Indirect inference for dynamic panel models 0 0 1 212 0 0 6 529
Infrequent Extreme Risks 0 0 0 117 0 0 0 287
Infrequent Extreme Risks 0 0 0 19 0 0 0 91
Instrumental Models and Indirect Encompassing 0 0 0 0 0 1 2 267
International money and stock market contingent claims 0 0 0 73 1 1 4 227
Intra-day market activity 0 1 5 261 1 3 8 514
Intraday Transaction Price Dynamics 0 0 0 6 0 0 1 17
Introduction 0 0 0 4 0 0 0 38
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 0 0 181
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 1 124 0 0 2 263
Kullback Causality Measures 1 1 1 21 1 1 3 52
L-performance with an application to hedge funds 0 0 0 30 1 1 3 171
Learning Procedures and Convergence to Rationality 0 0 0 48 0 0 2 207
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 0 0 1 36
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 1 8 1,220 0 4 19 4,532
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 0 1 15
Linear-price term structure models 0 0 1 30 0 0 1 78
Liquidation equilibrium with seniority and hidden CDO 0 0 0 34 0 1 2 231
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 0 0 0 41
Local explosion modelling by non-causal process 2 2 6 39 2 6 15 149
Love and death: A Freund model with frailty 0 0 0 24 0 1 2 169
Managing hedonic housing price indexes: The French experience 2 2 3 106 3 7 12 352
Mean‐Variance Hedging and Numéraire 0 0 1 45 0 0 2 137
Memory and infrequent breaks 0 0 2 49 0 1 4 134
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 1 2 76
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 1 2 7 0 1 3 26
Migration correlation: Definition and efficient estimation 0 0 0 89 0 0 0 349
Misspecification of noncausal order in autoregressive processes 0 0 1 23 0 0 1 77
Modèles de comptage semi-paramétriques 0 0 0 11 0 0 0 63
Multivariate Jacobi process with application to smooth transitions 0 3 5 180 1 5 9 365
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 4 7 18 63 4 8 21 126
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 0 10 0 0 1 35
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 0 0 5 1 1 2 20
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 0 10 0 0 1 61
On the Problem of Missing Data in Linear Models 0 1 2 99 0 1 4 257
On the backward-forward procedure 0 0 0 30 0 1 2 114
On the characterization of a joint probability distribution by conditional distributions 0 1 5 105 0 1 5 307
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 0 10 0 1 1 35
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 0 0 0 53
Prepayment analysis for securitization 0 0 0 132 0 0 0 286
Pricing default events: Surprise, exogeneity and contagion 0 0 3 28 0 0 6 144
Pricing with Splines 0 0 4 11 0 0 5 30
Pricing with finite dimensional dependence 0 0 0 6 0 1 1 62
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 1 3 14 945 3 9 35 2,466
Pseudo Maximum Likelihood Methods: Theory 1 3 11 1,544 3 6 30 3,733
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 0 0 0 150
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 0 0 121
Qualitative threshold ARCH models 0 0 1 279 1 2 4 642
Rank tests for unit roots 0 0 0 62 0 0 0 168
Rational Expectations Models and Bounded Memory 0 0 0 29 0 0 0 124
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 97 0 0 1 274
Regime Switching and Bond Pricing 0 0 2 11 0 0 3 71
STOCHASTIC UNIT ROOT MODELS 0 0 0 26 0 0 0 62
Sensitivity analysis of Values at Risk 0 2 8 459 0 3 14 1,038
Simulated residuals 0 0 0 141 0 0 1 258
Simulation Based Inference in Models with Heterogeneity 0 2 6 53 1 4 11 97
Simulation-based inference: A survey with special reference to panel data models 0 0 5 323 1 3 10 601
Solutions of Linear Rational Expectations Models 0 0 0 19 0 0 0 62
Solutions of multivariate Rational Expectations Models 0 0 0 28 0 0 0 83
Some theoretical results for generalized ridge regression estimators 0 0 0 78 0 0 0 170
Specification pre-test estimator 0 0 0 39 0 0 0 166
Spread Term Structure and Default Correlation 0 0 0 12 1 3 5 55
Statistical inference for independent component analysis: Application to structural VAR models 0 3 8 155 1 6 23 417
Stochastic volatility duration models 0 1 2 261 1 2 5 596
Structural Laplace Transform and Compound Autoregressive Models 0 1 5 141 0 1 5 341
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 0 86
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 0 1 1 77
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment 0 0 4 330 0 1 11 908
Testing nested or non-nested hypotheses 0 0 1 134 0 0 4 327
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 0 61 0 0 0 110
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 0 0 271
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 1 5 0 0 1 40
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 0 0 0 74
The Tradability Premium on the S&P 500 Index 0 1 1 9 0 1 1 38
The Wishart Autoregressive process of multivariate stochastic volatility 0 0 5 331 1 3 15 893
The econometrics of efficient portfolios 0 0 1 128 0 0 2 296
The ordered qualitative model for credit rating transitions 0 0 3 179 0 0 3 490
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 0 0 111
Une approche géométrique des processus ARMA 0 0 0 2 0 0 0 9
Unemployment insurance and mortgages 0 0 0 18 0 0 0 108
Économétrie de la finance: l’exemple du risque de crédit 0 0 0 37 0 1 2 147
Total Journal Articles 23 53 248 15,155 55 141 583 41,852

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 0 4 171
Econometrics of Qualitative Dependent Variables 0 0 0 0 1 1 3 165
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 0 1 38
Simulation-based Econometric Methods 0 0 0 0 1 4 8 500
Statistics and Econometric Models 0 0 0 0 2 5 12 262
Statistics and Econometric Models 0 0 0 0 0 1 9 152
Statistics and Econometric Models 0 0 0 0 0 1 11 251
Statistics and Econometric Models 0 0 0 0 1 4 28 438
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 0 0 2 50
Time Series and Dynamic Models 0 0 0 0 0 3 12 160
Time Series and Dynamic Models 0 0 0 0 0 0 18 167
Total Books 0 0 0 0 5 19 108 2,354

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 0 1 13
Introduction 0 0 0 13 0 1 2 54
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 1 310 1 1 4 724
Testing non-nested hypotheses 0 0 0 257 0 0 2 603
Total Chapters 0 0 1 582 1 2 9 1,394

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