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 2 108 0 1 7 236
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 0 53 0 5 8 137
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 0 1 10 88
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 0 19 0 2 7 67
A term structure model with level factor cannot be realistic and arbitrage free 0 0 1 55 0 1 7 147
Actifs Financiers et Theorie de la Consommation 0 0 0 0 1 3 7 751
Actifs financiers et theorie de la consommation 0 0 0 21 1 1 5 313
Actifs financiers et theorie de la consommation 0 0 0 0 1 1 7 1,094
Affine Model for Credit Risk Analysis 0 0 0 104 0 1 9 223
Affine Term Structure Models 0 0 0 149 1 1 7 308
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 0 47 0 1 5 323
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 0 3 9 173
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 2 2 5 307
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 0 3 293
An Analysis of the Ultra Long-Term Yields 0 0 0 38 0 1 6 117
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 0 1 5 97
Approche géométrique des processus arma (une) 0 0 0 2 0 1 3 151
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 34 0 1 6 147
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 1 7 15 3,187
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 1 8 227
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 0 22 209
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 6 15 643
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 0 5 11 38
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 1 3 0 3 10 130
Aversion Analysis 0 0 0 75 0 1 3 349
Aversion Analysis 0 0 0 71 0 4 8 278
Bartlett Identities Tests 0 0 1 24 0 3 19 161
Bartlett Identities Tests 0 0 0 163 0 4 15 778
Bartlett identities tests 0 0 0 11 0 0 6 335
Bilateral Exposures and Systemic Solvency Risk 0 0 2 105 1 5 13 359
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 0 2 8 73
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 3 13 901
Causality Between Returns and Trated Volumes 0 0 0 23 1 5 15 75
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 1 9 735
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 0 2 6 364
Composite Indirect Inference with Application 0 0 0 44 0 0 11 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 2 7 97
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 0 3 5 376
Compound Autoregressive Models 0 0 0 83 0 5 13 293
Computation of multipliers in multivariate rational expectations models 0 0 0 0 0 2 8 152
Conditions for Optimality in Experimental Designs 0 0 0 9 0 2 7 418
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 0 1 7 78
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 5 11 78
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 5 15 71
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 1 4 9 105
Consistent m-estimators in a semi-parametric model 0 0 2 28 0 7 24 225
Constrained Nonparametric Copulas 0 0 0 30 0 2 7 57
Contraintes linéaires mixtes 0 0 0 0 0 1 6 77
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 0 4 14 175
Court et long-terme dans les modèles de durée 0 0 0 3 0 4 11 176
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 1 1 9 0 1 6 187
DYNAMIC QUANTILE MODELS 0 0 1 412 0 2 21 827
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 0 0 2 65 0 2 11 192
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 0 66 0 0 4 221
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 0 2 6 241
Duration Time Series Models with Proportional Hazard 0 0 0 25 0 0 3 69
Dynamic Factor Models 0 0 2 41 0 2 19 139
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 0 3 14 99
Econometric specification of the risk neutral valuation model 0 0 0 6 0 1 7 799
Econométrie de la Finance: approches historiques 0 0 0 0 1 5 11 123
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 0 2 10 137
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 0 1 15 204
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 9 143
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 9 17 498
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 2 9 76
Efficient Portfolio Analysis Using Distortion Risk Measures 0 0 1 36 0 2 4 127
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 1 8 55
Estimation Adjusted VaR 0 0 0 110 0 4 10 348
Estimation and test in probit models with serial correlation 0 0 0 64 0 3 9 893
Estimation of the term structure from bond data 0 0 2 20 0 2 11 495
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 0 1 9 153
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 1 3 10 1,065
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 0 4 9 927
Evidence of adverse selection in automobile insurance markets 0 0 0 0 0 2 8 312
Explosive Bubble Modelling by Noncausal Process 0 3 4 345 0 9 21 682
Factor ARMA Representation of a Markov Process 0 0 0 10 0 1 7 255
Filtering and Prediction in Noncausal Processes 0 0 0 180 0 1 3 207
Functional averages and statistical inference 0 0 0 0 0 3 7 92
Functional limit theorem for fractional processes (a) 0 0 0 30 0 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 1 1 9 248
Granularity Theory with Application to Finance and Insurance 0 0 0 136 0 4 16 299
Heterogeneity and hazard dominance in duration data models 0 0 0 0 0 3 9 95
Hétérogénéité dans les modèles à représentation linéaire 0 0 0 6 0 3 6 78
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 0 3 6 188
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 0 2 0 2 3 156
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 0 3 7 122
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 1 2 8 117
Indirect Inference 0 0 0 4 1 13 210 906
Indirect Inference for Dynamic Panel Models 0 0 0 324 1 3 70 902
International Money and Stock Market Contingent Claims 0 0 0 38 1 3 12 176
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 3 11 1,538
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 2 8 374
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 1 4 8 114
Kernel Based Nonlinear Canonical Analysis 0 0 1 8 0 2 7 44
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 2 10 683
Kernel m-estimators: non parametric diagnostics for structural models 0 1 1 19 0 3 8 315
Learning procedure and convergence to rationality 0 0 0 9 0 4 14 187
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 0 10 180
Local Explosion Modelling by Noncausal Process 0 0 0 105 0 5 13 151
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 2 7 97
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 0 2 8 376
Market Time and Asset Price Movements Theory and Estimation 1 1 1 610 2 6 21 2,265
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 1 7 23 257
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 3 13 400
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 0 7 0 3 12 571
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 6 8 131
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 0 46 0 1 8 139
Modes de négociation et caractéristiques de marché 0 0 0 1 0 1 10 357
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 1 2 5 133
Modèles de comptage semi-paramétriques 0 0 0 11 0 1 14 118
Modèles de durée et effets de génération 0 0 0 2 0 2 3 245
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 1 3 318
Modèles économétriques: utilisation et interprétation (les) 0 0 0 2 0 0 8 387
Multiregime Term Structure Models 0 0 0 5 0 3 6 57
Multiregime Term Structure Models 0 0 0 131 0 2 3 431
Multivariate distributions for limited dependent variable models 0 0 0 5 1 5 12 145
Negative Binomial Autoregressive Process 0 0 2 10 0 2 14 93
Negative Binomial Autoregressive Process 0 0 0 54 0 0 10 125
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 1 1 11 200
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 0 1 9 65
Nonlinear Innovations and Impulse Response 0 0 0 14 1 8 24 96
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 0 2 11 63
Nonlinear Persistence and Copersistence 0 0 0 16 1 3 11 79
Nonlinear Persistence and Copersistence 0 0 0 55 2 5 12 161
Nonlinear innovations and impulse responses 0 0 0 290 1 4 16 1,339
Nonlinear persistence and copersistence 0 0 0 199 1 5 17 718
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 1 64 0 5 12 104
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 0 3 16 116
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 1 2 16 205
Pricing with Splines 0 0 0 34 2 3 8 80
Procyclité des Régulations des Marchés Financiers 0 0 0 10 0 0 5 72
Prévision de mesures de prix contingents 0 0 0 0 0 1 4 99
Pseudo maximum likelihood methods: theory 0 1 1 98 1 6 20 1,206
Pseudo maximum lilelihood methods: applications to poisson models 0 2 6 35 1 5 19 642
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 0 4 12 80
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 0 3 7 23
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 0 2 10 117
Qualitative threshold arch models 0 0 1 12 0 2 11 485
Quantité de monnaie (la): russie, les années 1918-1927 0 0 0 34 0 0 2 340
Rank tests for unit roots 0 0 0 31 0 3 13 157
Rational expectations models and bounded memory 0 0 0 6 0 3 8 169
Reduced Forms of Rational Expectations Models 0 1 2 8 0 4 8 82
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 0 3 9 162
Regime Switching and Bond Pricing 0 0 0 65 0 0 10 150
Regime Switching and Bond Pricing 0 0 0 30 0 1 4 127
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 6 1 2 7 431
Revisiting Identification and estimation in Structural VARMA Models 0 1 2 160 0 2 10 328
Robust Analysis of the Martingale Hypothesis 0 0 0 11 0 4 13 66
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 1 87 0 2 8 232
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 0 1 9 164
Sensitivity Analysis of Distortion Risk Measures 0 0 0 51 1 7 21 221
Sensitivity Analysis of Values at Risk 0 0 0 769 1 4 20 1,472
Sensitivity Analysis of Values at Risk 0 0 0 1,597 2 8 17 4,370
Sensitivity Analysis of Values at Risk 0 0 0 80 0 1 10 2,463
Sensitivity analysis of values at risk 0 0 0 1 0 5 12 477
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 0 1 2 97
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 0 0 10 208
Simulated residuals 0 0 0 7 0 0 5 272
Solutions of Dynamic Linear Rational Expectations Models 0 1 1 1 0 3 7 52
Solutions of Multivariate Rational Expectations Models 0 0 0 0 0 2 12 69
Solutions of dynamic linear rational expectations models 0 0 0 7 0 1 14 197
Solutions of multivariate rational expectations models 0 0 0 10 0 0 8 40
Some theoretical results for generalized ridge regression estimators 0 0 0 3 1 2 14 453
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 0 2 5 39
Stationary Bubble Equilibria in Rational Expectation Models 0 0 1 34 1 2 18 125
Statistical Inference for Independent Component Analysis 0 0 1 47 0 2 6 140
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 1 5 105
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 3 119 2 3 13 190
Stochastic Migration Models with Application to Corporate Risk 0 0 2 27 0 2 10 97
Stochastic Volatility Duration Models 0 0 0 38 0 2 10 130
Strong concentration ordering 0 0 0 2 0 3 6 178
Structural Dynamic Analysis of Systematic Risk 0 0 0 17 0 2 5 73
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 1 1 10 139
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 1 2 7 420
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 9 0 1 3 35
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 1 8 291
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 0 1 9 306
The Econometrics of Efficient Frontiers 0 0 0 36 0 1 7 79
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 2 10 162
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 3 10 56
The Informational Content of Household Decisions 0 0 0 9 0 1 3 50
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 0 2 6 648
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 1 3 12 1,251
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 0 20 1 3 6 65
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 0 2 717 0 6 24 1,355
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 2 7 81
The agregation of commodities in quantity rationing models 0 0 0 2 0 3 11 254
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 1 6 14 169
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 1 1 1 796 1 7 21 3,041
Transitions in economy: price changes in russia in the twenties 0 0 0 22 0 2 11 272
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 1 3 12 50
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 0 2 6 63
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 0 1 7 219
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 3 6 286
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 1 2 4 214
Whishart Quadratic Term Structure Models 0 0 1 10 0 2 9 47
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 0 7 11 131
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 0 4 9 35
Total Working Papers 2 13 56 13,561 57 526 2,224 69,548
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 0 3 8 260
A General Approach to Serial Correlation 0 0 0 25 0 1 5 85
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 0 0 5 68
A count data model with unobserved heterogeneity 0 0 0 49 0 3 17 258
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 9 0 3 9 35
Affine Models for Credit Risk Analysis 0 0 0 206 0 2 12 494
Agrégation de processus autorégressifs d'ordre 1 0 0 0 5 0 1 7 23
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 0 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 1 2 265 0 3 10 509
Autoregressive gamma processes 0 0 2 178 3 9 23 478
Aversions to Impatience, Uncertainty and Illiquidity 1 1 1 20 1 3 6 66
Bilateral exposures and systemic solvency risk 0 0 0 44 0 2 11 190
Bon ou mauvais usage des notations 0 0 0 2 0 2 7 30
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 0 2 39 121
Causality between Returns and Traded Volumes 0 0 0 3 0 5 8 30
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 1 1 14 438
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 0 3 7 176
Consistent Pseudo-Maximum Likelihood Estimators 1 1 2 17 1 4 19 102
Continuous Time Wishart Process for Stochastic Risk 0 2 3 143 0 5 13 335
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 0 17 0 2 9 63
Converting Tail-VaR to VaR: An Econometric Study 0 0 0 19 0 2 5 69
Correlated risks vs contagion in stochastic transition models 0 0 0 12 0 4 14 112
Courbes de performances, de sélection et de discrimination 0 0 0 12 0 2 7 44
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 1 6 39
DYNAMIC FACTOR MODELS 0 0 1 279 0 1 13 666
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 0 73 0 2 3 188
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 0 2 8 50
Diffusion Processes with Polynomial Eigenfunctions 0 2 2 15 0 7 14 47
Diffusion et effet de vague 0 0 0 0 0 1 5 10
Direct test of the rational expectation hypothesis 0 0 0 65 0 0 1 137
Discrete time Wishart term structure models 0 0 2 82 1 9 20 257
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 0 4 18 342
Double instrumental variable estimation of interaction models with big data 0 0 0 26 1 2 10 123
Duration time‐series models with proportional hazard 0 0 0 62 0 2 7 149
Duration, transition and count data models Introduction 0 0 0 80 0 3 13 216
Dynamic quantile models 0 0 0 229 3 5 14 576
D’une analyse de variabilités à un modèle d’investissement des firmes 0 0 1 4 0 3 15 55
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 0 3 9 92
ESTIMATION-ADJUSTED VAR 0 0 1 25 0 2 10 124
Econometric specification of stochastic discount factor models 0 1 1 167 1 3 13 334
Econometric specification of the risk neutral valuation model 0 0 0 97 0 3 9 261
Econometrics of efficient fitted portfolios 0 0 0 60 1 1 10 178
Effet des modes de négociation sur les échanges 0 0 0 3 0 4 7 42
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 1 4 10 249
Factor ARMA representation of a Markov process 0 0 0 50 0 2 5 148
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 1 1 30 1 5 12 63
Financial Regulations and Procyclicality 0 0 0 43 1 2 11 141
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 0 0 6 86
Generalised residuals 0 0 4 977 0 4 17 1,697
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 5 12 124
Granularity adjustment for default risk factor model with cohorts 0 0 1 58 0 3 20 274
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 0 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 0 1 8 20
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 0 4 7 17
Indirect Inference 1 2 5 1,592 3 17 70 4,190
Indirect inference for dynamic panel models 0 0 0 213 0 3 13 546
Infrequent Extreme Risks 0 0 1 20 0 1 7 99
Infrequent Extreme Risks 0 0 0 118 0 3 6 294
Instrumental Models and Indirect Encompassing 0 0 0 0 0 5 11 279
International money and stock market contingent claims 0 0 1 74 0 1 5 232
Intra-day market activity 0 0 0 262 0 2 17 532
Intraday Transaction Price Dynamics 0 0 0 6 0 4 7 27
Introduction 0 0 0 4 0 1 6 46
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 2 12 195
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 2 127 0 4 11 276
Kullback Causality Measures 0 0 0 23 1 3 9 64
L-performance with an application to hedge funds 0 1 2 32 0 2 9 182
Learning Procedures and Convergence to Rationality 0 0 0 48 0 1 10 217
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 0 0 4 40
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 0 8 1,230 5 7 41 4,577
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 5 12 28
Linear-price term structure models 0 0 0 30 0 6 12 90
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 0 1 6 239
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 0 2 8 52
Local explosion modelling by non-causal process 1 3 5 48 2 7 25 184
Love and death: A Freund model with frailty 0 0 0 24 0 5 10 182
Managing hedonic housing price indexes: The French experience 0 0 3 112 0 1 18 378
Mean‐Variance Hedging and Numéraire 0 0 0 48 0 3 6 149
Memory and infrequent breaks 0 0 0 49 1 2 17 151
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 3 8 85
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 0 7 0 1 4 33
Migration correlation: Definition and efficient estimation 0 0 0 89 0 1 8 357
Misspecification of noncausal order in autoregressive processes 0 0 1 24 0 4 12 91
Modèles de comptage semi-paramétriques 0 0 0 11 0 1 9 73
Multivariate Jacobi process with application to smooth transitions 0 3 3 184 1 7 11 378
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 0 69 1 3 16 151
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 1 14 0 3 15 55
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 0 1 7 0 0 4 28
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 2 12 1 4 12 76
On the Problem of Missing Data in Linear Models 0 0 0 99 0 1 14 275
On the backward-forward procedure 0 0 0 30 0 1 4 119
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 0 1 7 316
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 0 3 12 48
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 0 2 5 58
Prepayment analysis for securitization 0 0 0 132 0 0 4 290
Pricing default events: Surprise, exogeneity and contagion 0 0 1 31 1 4 12 160
Pricing with Splines 0 0 0 13 0 6 13 51
Pricing with finite dimensional dependence 0 0 0 7 0 1 7 70
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 1 4 15 964 8 17 58 2,539
Pseudo Maximum Likelihood Methods: Theory 0 4 14 1,565 4 18 55 3,807
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 0 0 13 166
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 1 11 134
Qualitative threshold ARCH models 0 0 1 280 0 2 21 663
Rank tests for unit roots 0 0 0 62 0 2 10 180
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 2 10 288
Regime Switching and Bond Pricing 0 0 0 12 0 3 6 79
STOCHASTIC UNIT ROOT MODELS 0 0 0 27 0 1 8 74
Sensitivity analysis of Values at Risk 0 1 2 465 2 6 31 1,076
Simulated residuals 0 0 0 141 0 5 15 274
Simulation Based Inference in Models with Heterogeneity 0 1 3 58 0 4 23 126
Simulation-based inference: A survey with special reference to panel data models 0 0 0 325 0 1 37 641
Solutions of Linear Rational Expectations Models 0 1 1 20 0 2 9 74
Solutions of multivariate Rational Expectations Models 0 0 0 28 1 2 12 95
Some theoretical results for generalized ridge regression estimators 0 0 0 78 0 2 9 180
Specification pre-test estimator 0 0 0 39 0 1 4 170
Spread Term Structure and Default Correlation 1 1 1 13 1 5 7 63
Statistical inference for independent component analysis: Application to structural VAR models 0 1 4 161 1 8 29 456
Stochastic volatility duration models 0 0 0 262 1 5 10 609
Structural Laplace Transform and Compound Autoregressive Models 0 0 1 142 0 2 7 353
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 2 7 93
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 0 1 6 83
Testing for Common Roots 0 0 0 31 0 4 5 207
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment 1 1 2 333 2 5 14 924
Testing nested or non-nested hypotheses 0 0 0 137 0 2 10 340
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 1 4 15 127
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 1 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 0 2 7 47
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 1 4 9 83
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 1 4 26 931
The econometrics of efficient portfolios 0 1 1 130 0 2 7 305
The ordered qualitative model for credit rating transitions 1 1 2 183 4 5 19 512
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 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 0 2 5 114
Économétrie de la finance: l’exemple du risque de crédit 0 0 1 38 0 3 6 155
Total Journal Articles 8 34 115 15,386 60 420 1,655 43,886

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 3 9 180
Econometrics of Qualitative Dependent Variables 0 0 0 0 2 3 14 188
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 2 3 43
Simulation-based Econometric Methods 0 0 0 0 2 8 27 537
Statistics and Econometric Models 0 0 0 0 1 5 21 274
Statistics and Econometric Models 0 0 0 0 0 2 14 457
Statistics and Econometric Models 0 0 0 0 2 2 37 307
Statistics and Econometric Models 0 0 0 0 1 4 14 167
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 0 1 5 56
Time Series and Dynamic Models 0 0 0 0 0 4 16 187
Time Series and Dynamic Models 0 0 0 0 2 5 14 175
Total Books 0 0 0 0 10 39 174 2,571

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 3 17
Introduction 0 0 0 13 0 1 4 58
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 1 312 0 2 16 743
Testing non-nested hypotheses 1 1 1 259 1 2 5 610
Total Chapters 1 1 2 586 1 5 28 1,428

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