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 1 2 3 108 4 5 10 234
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 3 6 83
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 1 19 0 1 3 61
A term structure model with level factor cannot be realistic and arbitrage free 0 0 0 54 0 2 5 143
Actifs Financiers et Theorie de la Consommation 0 0 0 0 1 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 0 1 1 1,088
Affine Model for Credit Risk Analysis 0 0 1 104 0 2 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 2 2 2 320
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 2 2 3 166
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 1 1 2 303
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 0 0 290
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 1 1 3 93
Approche géométrique des processus arma (une) 0 0 0 2 0 1 3 149
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 0 1 2 3,173
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 1 2 220
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 1 1 3 188
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 1 3 6 632
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 1 1 3 28
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 1 1 3 0 2 4 123
Aversion Analysis 0 0 0 71 0 1 1 271
Aversion Analysis 0 0 0 75 0 0 1 346
Bartlett Identities Tests 0 0 0 163 0 0 4 765
Bartlett Identities Tests 0 1 1 24 1 4 4 146
Bartlett identities tests 0 0 0 11 0 1 3 331
Bilateral Exposures and Systemic Solvency Risk 0 1 2 104 0 2 7 348
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 1 1 1 66
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 2 3 7 892
Causality Between Returns and Trated Volumes 0 0 0 23 0 4 7 66
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 1 1 2 728
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 2 3 3 361
Composite Indirect Inference with Application 0 0 1 44 1 2 3 72
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 0 1 90
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 1 1 2 372
Compound Autoregressive Models 0 0 0 83 2 4 4 284
Computation of multipliers in multivariate rational expectations models 0 0 0 0 0 1 2 145
Conditions for Optimality in Experimental Designs 0 0 0 9 0 1 2 412
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 4 4 6 71
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 1 1 1 72
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 2 2 3 58
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 2 2 6 98
Consistent m-estimators in a semi-parametric model 0 1 2 27 1 3 10 205
Constrained Nonparametric Copulas 0 0 0 30 1 3 5 54
Contraintes linéaires mixtes 0 0 0 0 2 2 4 73
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 2 2 5 163
Court et long-terme dans les modèles de durée 0 0 0 3 3 4 5 169
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 8 0 0 2 182
DYNAMIC QUANTILE MODELS 0 0 0 411 0 6 10 813
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 0 1 6 64 1 2 9 184
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 1 66 0 0 2 217
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 1 2 2 237
Duration Time Series Models with Proportional Hazard 0 0 0 25 0 0 2 67
Dynamic Factor Models 0 1 2 40 0 1 6 122
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 1 4 4 89
Econometric specification of the risk neutral valuation model 0 0 0 6 2 2 4 795
Econométrie de la Finance: approches historiques 0 0 0 0 0 2 4 114
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 3 3 6 192
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 1 1 3 128
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 2 3 5 138
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 0 1 2 89
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 1 1 2 482
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 1 1 1 68
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 0 0 2 48
Estimation Adjusted VaR 0 0 0 110 1 2 5 341
Estimation and test in probit models with serial correlation 0 0 0 64 1 3 6 888
Estimation of the term structure from bond data 0 1 2 19 2 4 5 488
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 0 0 1 918
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 0 2 11 149
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 1 1 4 1,056
Evidence of adverse selection in automobile insurance markets 0 0 0 0 0 2 7 307
Explosive Bubble Modelling by Noncausal Process 0 0 3 341 1 1 10 663
Factor ARMA Representation of a Markov Process 0 0 0 10 0 2 3 251
Filtering and Prediction in Noncausal Processes 0 0 0 180 0 0 1 204
Functional averages and statistical inference 0 0 0 0 1 3 5 88
Functional limit theorem for fractional processes (a) 0 0 1 30 0 1 7 244
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 2 5 241
Granularity Theory with Application to Finance and Insurance 0 0 0 136 0 6 7 290
Heterogeneity and hazard dominance in duration data models 0 0 0 0 0 0 1 86
Hétérogénéité dans les modèles à représentation linéaire 0 0 2 6 1 1 7 73
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 0 1 1 116
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 1 3 110
Indirect Inference 0 0 0 4 3 7 10 704
Indirect Inference for Dynamic Panel Models 0 0 0 324 2 3 3 835
International Money and Stock Market Contingent Claims 0 0 1 38 1 2 7 166
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 1 3 1,528
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 0 1 106
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 1 2 3 39
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 1 2 367
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 1 2 674
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 0 0 2 308
Learning procedure and convergence to rationality 0 0 1 9 1 3 5 176
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 3 5 5 175
Local Explosion Modelling by Noncausal Process 0 0 1 105 1 2 7 141
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 1 2 5 94
Long Term Care and Longevity 0 0 0 51 2 3 3 134
Love and Death: A Freund Model with Frailty 0 0 0 73 0 1 3 370
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 4 4 9 2,249
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 1 1 2 235
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 1 2 3 389
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 1 7 1 1 6 560
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 0 0 4 132
Modes de négociation et caractéristiques de marché 0 0 0 1 2 2 3 349
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 1 2 3 130
Modèles de comptage semi-paramétriques 0 0 0 11 2 5 6 110
Modèles de durée et effets de génération 0 0 0 2 0 0 2 243
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 2 2 2 381
Multiregime Term Structure Models 0 0 0 5 0 0 1 51
Multiregime Term Structure Models 0 0 0 131 0 0 2 428
Multivariate distributions for limited dependent variable models 0 0 1 5 1 1 3 134
Negative Binomial Autoregressive Process 0 0 1 54 0 1 8 117
Negative Binomial Autoregressive Process 1 1 3 10 2 4 16 85
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 0 1 4 191
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 1 2 3 58
Nonlinear Innovations and Impulse Response 0 0 0 14 0 1 4 74
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 1 2 3 54
Nonlinear Persistence and Copersistence 0 0 0 55 0 1 4 152
Nonlinear Persistence and Copersistence 0 0 0 16 0 1 3 69
Nonlinear innovations and impulse responses 0 0 0 290 0 3 5 1,326
Nonlinear persistence and copersistence 0 0 0 199 2 3 3 704
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 0 28 1 2 3 102
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 0 0 2 189
Pricing with Splines 0 0 0 34 1 2 2 74
Procyclité des Régulations des Marchés Financiers 0 0 0 10 2 3 4 70
Prévision de mesures de prix contingents 0 0 0 0 1 2 2 97
Pseudo maximum likelihood methods: theory 0 0 3 97 3 4 10 1,190
Pseudo maximum lilelihood methods: applications to poisson models 0 1 5 31 0 2 11 627
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 3 68 1 1 6 69
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 0 0 2 16
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 1 1 24 0 1 3 108
Qualitative threshold arch models 1 1 1 12 4 4 5 478
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 2 2 3 146
Rational expectations models and bounded memory 0 0 0 6 1 1 1 162
Reduced Forms of Rational Expectations Models 0 0 0 6 1 1 3 75
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 0 2 2 155
Regime Switching and Bond Pricing 0 0 0 65 0 3 7 143
Regime Switching and Bond Pricing 0 0 0 30 0 0 1 124
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 1 2 9 321
Robust Analysis of the Martingale Hypothesis 0 0 0 11 0 1 1 54
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 2 87 1 1 5 226
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 3 3 6 158
Sensitivity Analysis of Distortion Risk Measures 0 0 0 51 0 4 8 204
Sensitivity Analysis of Values at Risk 0 0 2 1,597 2 3 7 4,357
Sensitivity Analysis of Values at Risk 0 0 2 769 0 1 5 1,453
Sensitivity Analysis of Values at Risk 0 0 3 80 0 1 5 2,454
Sensitivity analysis of values at risk 0 0 0 1 2 3 4 468
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 0 0 2 95
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 1 1 4 199
Simulated residuals 0 0 0 7 1 1 1 268
Solutions of Dynamic Linear Rational Expectations Models 0 0 0 0 1 1 1 46
Solutions of Multivariate Rational Expectations Models 0 0 0 0 0 2 3 59
Solutions of dynamic linear rational expectations models 0 0 0 7 2 3 4 186
Solutions of multivariate rational expectations models 0 0 0 10 0 1 4 34
Some theoretical results for generalized ridge regression estimators 0 0 0 3 2 3 6 443
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 5 6 11 114
Statistical Inference for Independent Component Analysis 0 0 1 47 0 0 1 135
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 1 3 118 4 6 14 184
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 1 1 1 101
Stochastic Migration Models with Application to Corporate Risk 0 1 1 26 1 2 3 89
Stochastic Volatility Duration Models 0 0 1 38 0 0 2 120
Strong concentration ordering 0 0 0 2 0 0 0 172
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 3 3 132
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 2 2 4 415
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 3 4 5 287
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 2 2 3 299
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 1 72
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 3 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 0 0 1 47
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 2 2 2 644
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 2 2 5 1,241
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 0 20 0 0 2 59
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 5 716 1 4 15 1,339
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 0 1 74
The agregation of commodities in quantity rationing models 0 0 0 2 1 2 4 246
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 1 2 2 157
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 2 2 4 3,022
Transitions in economy: price changes in russia in the twenties 0 0 1 22 1 4 6 265
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 1 1 3 41
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 1 4 214
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 1 1 2 281
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 0 1 2 211
Whishart Quadratic Term Structure Models 1 1 1 10 2 2 7 42
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 2 2 2 122
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 0 1 3 28
Total Working Papers 4 18 87 13,530 174 344 782 67,748
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 1 1 2 253
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 0 3 10 247
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 0 8 0 0 1 26
Affine Models for Credit Risk Analysis 0 0 0 206 0 2 2 484
Agrégation de processus autorégressifs d'ordre 1 0 0 0 5 1 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 0 1 2 107
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 0 7 263 1 2 16 502
Autoregressive gamma processes 0 0 3 177 1 3 10 462
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 19 1 1 2 61
Bilateral exposures and systemic solvency risk 0 0 1 44 0 0 2 180
Bon ou mauvais usage des notations 0 0 0 2 1 1 3 25
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 0 1 2 83
Causality between Returns and Traded Volumes 0 0 0 3 0 1 3 24
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 2 3 4 428
Conditionally fitted Sharpe performance with an application to hedge fund rating 1 1 1 42 1 1 3 172
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 15 2 4 6 89
Continuous Time Wishart Process for Stochastic Risk 1 1 4 141 2 4 12 326
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 1 1 5 66
Correlated risks vs contagion in stochastic transition models 0 0 0 12 2 6 7 104
Courbes de performances, de sélection et de discrimination 0 0 0 12 0 1 3 38
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 1 3 35
DYNAMIC FACTOR MODELS 0 0 2 278 1 3 8 656
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 0 1 1 43
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 0 0 1 34
Diffusion et effet de vague 0 0 0 0 0 0 1 5
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 2 3 10 242
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 2 3 4 327
Double instrumental variable estimation of interaction models with big data 0 0 0 26 0 0 2 115
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 4 5 208
Dynamic quantile models 0 0 1 229 0 1 6 566
D’une analyse de variabilités à un modèle d’investissement des firmes 1 1 1 4 2 2 2 42
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 0 0 2 84
ESTIMATION-ADJUSTED VAR 0 0 1 25 1 1 5 117
Econometric specification of stochastic discount factor models 0 0 1 166 2 4 8 326
Econometric specification of the risk neutral valuation model 0 0 0 97 1 1 2 253
Econometrics of efficient fitted portfolios 0 0 0 60 0 1 2 169
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 1 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 1 29 0 0 2 51
Financial Regulations and Procyclicality 0 0 0 43 1 1 5 132
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 1 1 2 82
Generalised residuals 0 0 11 976 1 5 21 1,688
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 0 3 114
Granularity adjustment for default risk factor model with cohorts 0 1 1 58 3 6 8 262
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 0 1 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 1 1 1 1 3 4 15
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 2 2 4 13
Indirect Inference 0 1 8 1,588 6 21 59 4,150
Indirect inference for dynamic panel models 0 0 1 213 0 2 7 537
Infrequent Extreme Risks 0 0 1 118 0 1 2 289
Infrequent Extreme Risks 0 0 1 20 0 1 3 94
Instrumental Models and Indirect Encompassing 0 0 0 0 2 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 0 2 3 518
Intraday Transaction Price Dynamics 0 0 0 6 1 1 2 21
Introduction 0 0 0 4 1 2 4 42
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 0 4 185
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 1 1 5 268
Kullback Causality Measures 0 0 2 23 0 0 4 56
L-performance with an application to hedge funds 0 0 0 30 1 1 3 174
Learning Procedures and Convergence to Rationality 0 0 0 48 0 2 2 209
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 1 1 2 38
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 1 6 1,226 0 1 11 4,543
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 1 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 1 35 0 0 2 233
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 0 0 3 44
Local explosion modelling by non-causal process 1 1 4 44 2 3 12 162
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 2 4 15 367
Mean‐Variance Hedging and Numéraire 0 0 3 48 0 1 7 144
Memory and infrequent breaks 0 0 0 49 2 3 4 138
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 1 2 3 79
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 1 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 1 1 2 65
Multivariate Jacobi process with application to smooth transitions 0 0 1 181 0 1 3 368
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 5 69 4 6 15 142
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 2 14 1 1 6 43
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 0 1 6 0 0 4 24
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 1 1 11 0 1 4 65
On the Problem of Missing Data in Linear Models 0 0 0 99 1 1 7 264
On the backward-forward procedure 0 0 0 30 0 0 2 116
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 1 1 3 311
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 1 1 11 0 1 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 1 2 288
Pricing default events: Surprise, exogeneity and contagion 0 0 2 30 0 1 5 149
Pricing with Splines 0 0 2 13 0 0 8 39
Pricing with finite dimensional dependence 0 0 1 7 1 1 4 66
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 5 8 956 4 16 35 2,505
Pseudo Maximum Likelihood Methods: Theory 0 3 11 1,556 1 10 32 3,766
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 3 4 6 157
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 1 3 124
Qualitative threshold ARCH models 0 0 1 280 2 2 3 645
Rank tests for unit roots 0 0 0 62 1 1 5 173
Rational Expectations Models and Bounded Memory 0 0 0 29 1 1 2 126
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 1 2 6 281
Regime Switching and Bond Pricing 0 0 1 12 1 1 3 74
STOCHASTIC UNIT ROOT MODELS 0 0 1 27 1 3 7 69
Sensitivity analysis of Values at Risk 0 0 3 463 4 5 11 1,050
Simulated residuals 0 0 0 141 2 4 6 264
Simulation Based Inference in Models with Heterogeneity 0 0 2 55 1 5 11 108
Simulation-based inference: A survey with special reference to panel data models 0 0 1 325 5 5 8 610
Solutions of Linear Rational Expectations Models 0 0 0 19 0 2 6 68
Solutions of multivariate Rational Expectations Models 0 0 0 28 1 2 4 87
Some theoretical results for generalized ridge regression estimators 0 0 0 78 2 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 2 3 159 1 7 20 438
Stochastic volatility duration models 0 0 1 262 0 1 6 602
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 3 80
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 1 1 1 332 1 2 4 913
Testing nested or non-nested hypotheses 0 0 3 137 0 1 5 332
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 1 1 62 2 5 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 1 1 41
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 0 0 1 75
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 1 1 6 338 2 7 19 913
The econometrics of efficient portfolios 0 0 1 129 0 0 2 298
The ordered qualitative model for credit rating transitions 0 0 2 181 1 2 7 497
Truncated dynamics and estimation of diffusion equations 0 0 0 27 2 2 4 115
Une approche géométrique des processus ARMA 0 0 0 2 0 1 1 10
Unemployment insurance and mortgages 0 0 0 18 0 0 3 111
Économétrie de la finance: l’exemple du risque de crédit 0 1 1 38 0 2 4 151
Total Journal Articles 6 24 139 15,316 113 264 742 42,632

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 1 2 4 176
Econometrics of Qualitative Dependent Variables 0 0 0 0 0 3 9 174
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 1 1 3 41
Simulation-based Econometric Methods 0 0 0 0 2 6 17 518
Statistics and Econometric Models 0 0 0 0 1 1 7 446
Statistics and Econometric Models 0 0 0 0 2 11 23 288
Statistics and Econometric Models 0 0 0 0 1 4 8 259
Statistics and Econometric Models 0 0 0 0 2 2 3 155
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 0 0 1 51
Time Series and Dynamic Models 0 0 0 0 3 6 10 178
Time Series and Dynamic Models 0 0 0 0 2 4 5 166
Total Books 0 0 0 0 15 40 90 2,452

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 0 1 5 729
Testing non-nested hypotheses 0 0 1 258 0 1 4 607
Total Chapters 0 1 3 585 0 3 11 1,405

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