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 1 3 108 1 5 11 235
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 1 53 0 0 4 131
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 0 1 5 83
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 1 19 1 2 4 62
A term structure model with level factor cannot be realistic and arbitrage free 1 1 1 55 3 5 8 146
Actifs Financiers et Theorie de la Consommation 0 0 0 0 0 1 2 746
Actifs financiers et theorie de la consommation 0 0 0 21 0 0 0 308
Actifs financiers et theorie de la consommation 0 0 0 0 2 3 3 1,090
Affine Model for Credit Risk Analysis 0 0 1 104 0 1 5 216
Affine Term Structure Models 0 0 0 149 0 0 3 302
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 0 47 0 2 2 320
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 0 2 3 166
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 1 2 3 304
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 1 1 1 291
An Analysis of the Ultra Long-Term Yields 0 0 0 38 0 0 3 114
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 0 1 3 93
Approche géométrique des processus arma (une) 0 0 0 2 1 2 4 150
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 34 0 0 1 141
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 4 5 6 3,177
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 3 4 5 223
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 1 4 7 633
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 2 3 5 190
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 1 2 4 29
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 1 3 0 1 4 123
Aversion Analysis 0 0 0 75 1 1 2 347
Aversion Analysis 0 0 0 71 1 2 2 272
Bartlett Identities Tests 0 0 0 163 1 1 5 766
Bartlett Identities Tests 0 0 1 24 3 4 7 149
Bartlett identities tests 0 0 0 11 2 3 5 333
Bilateral Exposures and Systemic Solvency Risk 0 0 2 104 2 2 9 350
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 0 1 1 66
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 1 4 8 893
Causality Between Returns and Trated Volumes 0 0 0 23 0 0 7 66
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 2 3 4 730
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 0 3 3 361
Composite Indirect Inference with Application 0 0 1 44 3 5 6 75
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 2 2 3 92
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 1 2 3 373
Compound Autoregressive Models 0 0 0 83 1 5 5 285
Computation of multipliers in multivariate rational expectations models 0 0 0 0 1 2 3 146
Conditions for Optimality in Experimental Designs 0 0 0 9 1 2 3 413
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 3 4 4 75
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 1 5 7 72
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 1 3 6 99
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 3 4 59
Consistent m-estimators in a semi-parametric model 1 1 3 28 4 6 14 209
Constrained Nonparametric Copulas 0 0 0 30 0 1 5 54
Contraintes linéaires mixtes 0 0 0 0 1 3 5 74
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 3 5 7 166
Court et long-terme dans les modèles de durée 0 0 0 3 1 5 6 170
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 8 1 1 2 183
DYNAMIC QUANTILE MODELS 0 0 0 411 4 10 14 817
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 1 1 7 65 2 3 11 186
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 1 66 1 1 3 218
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 2 4 4 239
Duration Time Series Models with Proportional Hazard 0 0 0 25 1 1 3 68
Dynamic Factor Models 0 0 1 40 5 5 10 127
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 1 2 26
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 2 6 6 91
Econometric specification of the risk neutral valuation model 0 0 0 6 2 4 6 797
Econométrie de la Finance: approches historiques 0 0 0 0 0 1 3 114
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 0 3 6 192
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 1 2 4 129
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 1 4 6 139
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 1 2 3 90
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 3 4 4 71
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 3 4 5 485
Efficient Portfolio Analysis Using Distortion Risk Measures 0 1 2 36 0 1 3 125
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 1 1 3 49
Estimation Adjusted VaR 0 0 0 110 0 1 4 341
Estimation and test in probit models with serial correlation 0 0 0 64 1 3 7 889
Estimation of the term structure from bond data 1 2 3 20 2 6 7 490
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 1 2 11 150
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 1 1 2 919
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 1 2 4 1,057
Evidence of adverse selection in automobile insurance markets 0 0 0 0 1 3 7 308
Explosive Bubble Modelling by Noncausal Process 1 1 4 342 5 6 15 668
Factor ARMA Representation of a Markov Process 0 0 0 10 1 2 4 252
Filtering and Prediction in Noncausal Processes 0 0 0 180 1 1 2 205
Functional averages and statistical inference 0 0 0 0 0 3 5 88
Functional limit theorem for fractional processes (a) 0 0 1 30 4 5 11 248
Funding Liquidity Risk from A Regulatory Perspective 0 0 0 37 0 0 1 108
General approach of serial correlation (a) 0 0 0 4 2 4 7 243
Granularity Theory with Application to Finance and Insurance 0 0 0 136 1 4 8 291
Heterogeneity and hazard dominance in duration data models 0 0 0 0 3 3 4 89
Hétérogénéité dans les modèles à représentation linéaire 0 0 2 6 1 2 8 74
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 0 0 1 182
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 0 2 0 1 3 154
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 1 2 2 117
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 1 3 110
Indirect Inference 0 0 0 4 50 56 60 754
Indirect Inference for Dynamic Panel Models 0 0 0 324 49 52 52 884
International Money and Stock Market Contingent Claims 0 0 1 38 1 3 6 167
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 1 3 1,528
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 1 1 2 107
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 1 3 4 40
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 2 3 4 369
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 2 3 4 676
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 1 1 3 309
Learning procedure and convergence to rationality 0 0 0 9 3 6 7 179
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 2 7 7 177
Local Explosion Modelling by Noncausal Process 0 0 1 105 4 6 11 145
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 2 5 94
Long Term Care and Longevity 0 0 0 51 1 4 4 135
Love and Death: A Freund Model with Frailty 0 0 0 73 2 3 5 372
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 2 6 11 2,251
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 3 4 5 238
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 2 4 5 391
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 1 7 1 2 7 561
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 2 5 125
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 1 46 1 1 5 133
Modes de négociation et caractéristiques de marché 0 0 0 1 3 5 6 352
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 0 2 3 130
Modèles de comptage semi-paramétriques 0 0 0 11 2 4 8 112
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 1 316
Modèles économétriques: utilisation et interprétation (les) 0 0 0 2 0 2 2 381
Multiregime Term Structure Models 0 0 0 5 2 2 3 53
Multiregime Term Structure Models 0 0 0 131 0 0 2 428
Multivariate distributions for limited dependent variable models 0 0 0 5 1 2 3 135
Negative Binomial Autoregressive Process 0 0 1 54 1 1 9 118
Negative Binomial Autoregressive Process 0 1 3 10 1 5 17 86
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 4 5 8 195
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 3 5 5 61
Nonlinear Innovations and Impulse Response 0 0 0 14 5 6 8 79
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 1 3 4 55
Nonlinear Persistence and Copersistence 0 0 0 55 2 2 6 154
Nonlinear Persistence and Copersistence 0 0 0 16 1 2 4 70
Nonlinear innovations and impulse responses 0 0 0 290 3 6 7 1,329
Nonlinear persistence and copersistence 0 0 0 199 4 7 7 708
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 63 2 2 2 94
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 3 3 5 192
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 0 2 3 102
Pricing with Splines 0 0 0 34 1 3 3 75
Procyclité des Régulations des Marchés Financiers 0 0 0 10 0 3 4 70
Prévision de mesures de prix contingents 0 0 0 0 1 2 3 98
Pseudo maximum likelihood methods: theory 0 0 3 97 3 7 13 1,193
Pseudo maximum lilelihood methods: applications to poisson models 1 1 6 32 3 4 13 630
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 2 68 2 3 7 71
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 3 3 5 19
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 1 1 24 4 5 7 112
Qualitative threshold arch models 0 1 1 12 2 6 7 480
Quantité de monnaie (la): russie, les années 1918-1927 0 0 0 34 0 0 1 338
Rank tests for unit roots 0 0 0 31 3 5 6 149
Rational expectations models and bounded memory 0 0 0 6 1 2 2 163
Reduced Forms of Rational Expectations Models 0 0 0 6 0 1 3 75
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 2 4 4 157
Regime Switching and Bond Pricing 0 0 0 65 3 5 10 146
Regime Switching and Bond Pricing 0 0 0 30 1 1 2 125
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 0 2 4 427
Revisiting Identification and estimation in Structural VARMA Models 0 0 5 158 2 4 11 323
Robust Analysis of the Martingale Hypothesis 0 0 0 11 2 3 3 56
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 2 87 1 2 6 227
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 0 3 6 158
Sensitivity Analysis of Distortion Risk Measures 0 0 0 51 4 6 12 208
Sensitivity Analysis of Values at Risk 0 0 3 80 1 1 6 2,455
Sensitivity Analysis of Values at Risk 0 0 2 1,597 2 5 9 4,359
Sensitivity Analysis of Values at Risk 0 0 2 769 5 6 10 1,458
Sensitivity analysis of values at risk 0 0 0 1 0 3 4 468
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 4 5 8 203
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 1 1 3 96
Simulated residuals 0 0 0 7 0 1 1 268
Solutions of Dynamic Linear Rational Expectations Models 0 0 0 0 0 1 1 46
Solutions of Multivariate Rational Expectations Models 0 0 0 0 4 5 7 63
Solutions of dynamic linear rational expectations models 0 0 0 7 7 10 11 193
Solutions of multivariate rational expectations models 0 0 0 10 0 1 3 34
Some theoretical results for generalized ridge regression estimators 0 0 0 3 4 7 10 447
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 0 2 4 36
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 3 9 14 117
Statistical Inference for Independent Component Analysis 0 0 1 47 2 2 3 137
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 2 118 1 6 14 185
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 1 2 2 102
Stochastic Migration Models with Application to Corporate Risk 0 0 1 26 0 1 3 89
Stochastic Volatility Duration Models 0 0 1 38 1 1 3 121
Strong concentration ordering 0 0 0 2 2 2 2 174
Structural Dynamic Analysis of Systematic Risk 0 0 0 17 0 0 1 68
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 1 4 4 133
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 3 5 7 418
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 9 0 1 3 33
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 5 6 288
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 2 4 5 301
The Econometrics of Efficient Frontiers 0 0 0 36 2 2 3 74
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 4 6 156
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 0 1 47
The Informational Content of Household Decisions 0 0 0 9 1 1 2 48
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 2 4 4 646
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 1 3 6 1,242
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 0 20 1 1 3 60
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 4 716 3 7 17 1,342
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 2 2 3 76
The agregation of commodities in quantity rationing models 0 0 0 2 2 4 6 248
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 2 4 4 159
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 1 3 5 3,023
Transitions in economy: price changes in russia in the twenties 0 0 1 22 0 3 6 265
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 1 2 4 42
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 0 0 2 57
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 1 2 5 215
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 2 3 4 283
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 0 1 2 211
Whishart Quadratic Term Structure Models 0 1 1 10 2 4 9 44
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 1 3 3 123
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 0 1 3 28
Total Working Papers 6 14 87 13,536 388 689 1,147 68,136
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 1 90 2 3 4 255
A General Approach to Serial Correlation 0 0 0 25 0 0 5 80
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 0 1 4 65
A count data model with unobserved heterogeneity 0 0 0 49 1 4 11 248
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 0 8 1 1 2 27
Affine Models for Credit Risk Analysis 0 0 0 206 2 4 4 486
Agrégation de processus autorégressifs d'ordre 1 0 0 0 5 0 2 4 18
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 0 1 2 108
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 12 4 5 6 111
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 1 1 6 264 3 4 15 505
Autoregressive gamma processes 1 1 2 178 2 4 10 464
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 19 0 1 1 61
Bilateral exposures and systemic solvency risk 0 0 1 44 5 5 7 185
Bon ou mauvais usage des notations 0 0 0 2 0 1 3 25
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 3 4 5 86
Causality between Returns and Traded Volumes 0 0 0 3 1 1 4 25
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 3 6 7 431
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 1 1 42 1 2 4 173
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 15 2 5 8 91
Continuous Time Wishart Process for Stochastic Risk 0 1 3 141 1 5 12 327
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 0 17 0 1 4 55
Converting Tail-VaR to VaR: An Econometric Study 0 0 0 19 0 1 4 66
Correlated risks vs contagion in stochastic transition models 0 0 0 12 1 4 8 105
Courbes de performances, de sélection et de discrimination 0 0 0 12 1 1 4 39
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 1 3 35
DYNAMIC FACTOR MODELS 1 1 3 279 1 4 9 657
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 1 73 0 0 2 185
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 1 1 2 44
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 1 1 2 35
Diffusion et effet de vague 0 0 0 0 2 2 3 7
Direct test of the rational expectation hypothesis 0 0 0 65 0 0 2 137
Discrete time Wishart term structure models 0 0 2 81 1 4 10 243
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 1 4 5 328
Double instrumental variable estimation of interaction models with big data 0 0 0 26 2 2 4 117
Duration time‐series models with proportional hazard 0 0 0 62 0 2 4 145
Duration, transition and count data models Introduction 0 0 0 80 3 7 8 211
Dynamic quantile models 0 0 0 229 3 4 8 569
D’une analyse de variabilités à un modèle d’investissement des firmes 0 1 1 4 3 5 5 45
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 0 0 2 84
ESTIMATION-ADJUSTED VAR 0 0 1 25 0 1 5 117
Econometric specification of stochastic discount factor models 0 0 1 166 3 7 11 329
Econometric specification of the risk neutral valuation model 0 0 0 97 0 1 2 253
Econometrics of efficient fitted portfolios 0 0 0 60 2 3 4 171
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 2 2 241
Factor ARMA representation of a Markov process 0 0 0 50 0 0 2 143
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 0 0 29 0 0 1 51
Financial Regulations and Procyclicality 0 0 0 43 3 4 8 135
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 1 2 3 83
Generalised residuals 0 0 8 976 3 7 21 1,691
Granularity Adjustment for Efficient Portfolios 0 0 0 27 1 1 4 115
Granularity adjustment for default risk factor model with cohorts 0 0 1 58 2 5 10 264
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 0 0 3 452
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 1 1 0 2 4 15
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 0 2 4 13
Indirect Inference 0 1 8 1,588 7 27 61 4,157
Indirect inference for dynamic panel models 0 0 0 213 1 3 7 538
Infrequent Extreme Risks 0 0 1 20 1 2 4 95
Infrequent Extreme Risks 0 0 1 118 0 1 2 289
Instrumental Models and Indirect Encompassing 0 0 0 0 0 2 6 273
International money and stock market contingent claims 0 0 0 73 0 0 0 227
Intra-day market activity 0 0 0 262 3 4 6 521
Intraday Transaction Price Dynamics 0 0 0 6 1 2 3 22
Introduction 0 0 0 4 0 2 4 42
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 2 2 6 187
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 1 2 5 269
Kullback Causality Measures 0 0 2 23 2 2 6 58
L-performance with an application to hedge funds 0 0 0 30 0 1 3 174
Learning Procedures and Convergence to Rationality 0 0 0 48 1 3 3 210
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 0 1 2 38
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 1 2 7 1,227 2 3 13 4,545
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 1 3 18
Linear-price term structure models 0 0 0 30 0 0 0 78
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 2 2 3 235
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 2 2 5 46
Local explosion modelling by non-causal process 0 1 4 44 4 7 16 166
Love and death: A Freund model with frailty 0 0 0 24 0 0 3 172
Managing hedonic housing price indexes: The French experience 0 0 4 110 1 3 15 368
Mean‐Variance Hedging and Numéraire 0 0 3 48 1 2 8 145
Memory and infrequent breaks 0 0 0 49 3 6 7 141
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 2 4 5 81
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 0 7 0 1 4 30
Migration correlation: Definition and efficient estimation 0 0 0 89 0 3 3 352
Misspecification of noncausal order in autoregressive processes 0 0 1 24 0 1 3 81
Modèles de comptage semi-paramétriques 0 0 0 11 2 3 4 67
Multivariate Jacobi process with application to smooth transitions 0 0 1 181 0 1 2 368
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 2 69 0 6 12 142
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 2 14 1 2 7 44
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 1 1 2 7 1 1 5 25
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 1 11 4 4 8 69
On the Problem of Missing Data in Linear Models 0 0 0 99 3 4 10 267
On the backward-forward procedure 0 0 0 30 1 1 3 117
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 3 4 6 314
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 0 0 2 37
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 0 0 0 53
Prepayment analysis for securitization 0 0 0 132 1 2 3 289
Pricing default events: Surprise, exogeneity and contagion 0 0 2 30 1 1 6 150
Pricing with Splines 0 0 2 13 1 1 8 40
Pricing with finite dimensional dependence 0 0 1 7 0 1 4 66
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 2 8 956 7 20 41 2,512
Pseudo Maximum Likelihood Methods: Theory 0 0 10 1,556 5 9 35 3,771
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 0 4 5 157
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 1 3 124
Qualitative threshold ARCH models 0 0 1 280 0 2 3 645
Rank tests for unit roots 0 0 0 62 2 3 7 175
Rational Expectations Models and Bounded Memory 0 0 0 29 1 2 3 127
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 1 3 7 282
Regime Switching and Bond Pricing 0 0 1 12 1 2 4 75
STOCHASTIC UNIT ROOT MODELS 0 0 1 27 1 3 7 70
Sensitivity analysis of Values at Risk 0 0 3 463 3 8 13 1,053
Simulated residuals 0 0 0 141 0 4 6 264
Simulation Based Inference in Models with Heterogeneity 0 0 1 55 2 7 11 110
Simulation-based inference: A survey with special reference to panel data models 0 0 1 325 9 14 17 619
Solutions of Linear Rational Expectations Models 0 0 0 19 0 2 5 68
Solutions of multivariate Rational Expectations Models 0 0 0 28 0 2 4 87
Some theoretical results for generalized ridge regression estimators 0 0 0 78 0 2 5 175
Specification pre-test estimator 0 0 0 39 0 0 1 167
Spread Term Structure and Default Correlation 0 0 0 12 0 0 1 56
Statistical inference for independent component analysis: Application to structural VAR models 0 1 3 159 1 3 21 439
Stochastic volatility duration models 0 0 1 262 1 2 7 603
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 141 0 0 6 347
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 1 2 88
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 1 3 4 81
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 1 1 332 0 2 4 913
Testing nested or non-nested hypotheses 0 0 2 137 2 3 6 334
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 0 4 11 121
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 0 5 1 2 2 42
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 1 1 2 76
The Tradability Premium on the S&P 500 Index 0 0 0 9 0 1 2 40
The Wishart Autoregressive process of multivariate stochastic volatility 0 1 5 338 1 5 18 914
The econometrics of efficient portfolios 0 0 1 129 3 3 5 301
The ordered qualitative model for credit rating transitions 0 0 2 181 0 1 7 497
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 2 4 115
Une approche géométrique des processus ARMA 0 0 0 2 1 1 2 11
Unemployment insurance and mortgages 0 0 0 18 0 0 3 111
Économétrie de la finance: l’exemple du risque de crédit 0 0 1 38 0 0 4 151
Total Journal Articles 5 16 125 15,321 164 382 865 42,796

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 5 6 8 181
Econometrics of Qualitative Dependent Variables 0 0 0 0 0 2 6 174
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 1 3 41
Simulation-based Econometric Methods 0 0 0 0 2 8 17 520
Statistics and Econometric Models 0 0 0 0 3 4 9 449
Statistics and Econometric Models 0 0 0 0 1 5 9 260
Statistics and Econometric Models 0 0 0 0 5 15 28 293
Statistics and Econometric Models 0 0 0 0 2 4 5 157
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 1 1 2 52
Time Series and Dynamic Models 0 0 0 0 0 4 5 166
Time Series and Dynamic Models 0 0 0 0 1 6 11 179
Total Books 0 0 0 0 20 56 103 2,472

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 2 15
Introduction 0 0 0 13 0 0 0 54
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 1 2 312 3 4 8 732
Testing non-nested hypotheses 0 0 1 258 0 0 4 607
Total Chapters 0 1 3 585 3 5 14 1,408

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