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 1 108 0 0 6 236
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 0 53 0 0 6 137
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 1 1 7 89
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 0 19 1 1 8 68
A term structure model with level factor cannot be realistic and arbitrage free 0 0 1 55 0 0 6 147
Actifs Financiers et Theorie de la Consommation 0 0 0 0 0 0 6 751
Actifs financiers et theorie de la consommation 0 0 0 21 0 0 5 313
Actifs financiers et theorie de la consommation 0 0 0 0 0 0 7 1,094
Affine Model for Credit Risk Analysis 0 0 0 104 0 0 8 223
Affine Term Structure Models 0 0 0 149 2 2 8 310
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 0 47 1 2 7 325
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 0 0 9 173
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 1 1 6 308
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 2 2 5 295
An Analysis of the Ultra Long-Term Yields 0 0 0 38 0 0 3 117
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 0 0 5 97
Approche géométrique des processus arma (une) 0 0 0 2 3 3 6 154
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 34 1 1 7 148
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 0 0 15 3,187
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 2 10 229
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 0 14 643
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 1 1 12 39
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 0 3 1 1 9 131
Aversion Analysis 0 0 0 75 0 1 4 350
Aversion Analysis 0 0 0 71 0 2 10 280
Bartlett Identities Tests 0 0 0 163 0 1 14 779
Bartlett Identities Tests 0 0 0 24 0 1 17 162
Bartlett identities tests 0 0 0 11 0 1 6 336
Bilateral Exposures and Systemic Solvency Risk 0 0 1 105 0 1 12 360
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 0 1 9 74
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 0 12 901
Causality Between Returns and Trated Volumes 0 0 0 23 0 2 11 77
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 0 8 735
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 2 2 8 366
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 1 8 98
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 1 1 6 377
Compound Autoregressive Models 0 0 0 83 0 0 13 293
Computation of multipliers in multivariate rational expectations models 0 0 0 0 1 1 9 153
Conditions for Optimality in Experimental Designs 0 0 0 9 1 1 8 419
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 1 12 79
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 0 0 7 78
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 0 0 9 105
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 15 71
Consistent m-estimators in a semi-parametric model 0 0 1 28 1 1 23 226
Constrained Nonparametric Copulas 0 0 0 30 1 1 5 58
Contraintes linéaires mixtes 0 0 0 0 0 0 6 77
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 0 0 14 175
Court et long-terme dans les modèles de durée 0 0 0 3 1 1 12 177
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 1 9 0 0 5 187
DYNAMIC QUANTILE MODELS 0 0 1 412 0 1 21 828
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 0 0 1 65 1 2 11 194
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 1 1 1 67 1 1 5 222
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 1 1 7 242
Duration Time Series Models with Proportional Hazard 0 0 0 25 2 2 4 71
Dynamic Factor Models 0 0 1 41 1 2 19 141
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 1 1 2 27
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 1 1 15 100
Econometric specification of the risk neutral valuation model 0 0 0 6 1 3 9 802
Econométrie de la Finance: approches historiques 0 0 0 0 0 1 11 124
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 0 0 10 137
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 2 7 22 211
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 9 144
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 2 4 21 502
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 9 76
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 18 0 1 5 93
Efficient Portfolio Analysis Using Distortion Risk Measures 0 0 1 36 0 0 3 127
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 1 8 56
Estimation Adjusted VaR 0 0 0 110 1 1 9 349
Estimation and test in probit models with serial correlation 0 0 0 64 0 1 8 894
Estimation of the term structure from bond data 0 0 2 20 0 0 11 495
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 0 0 10 1,065
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 0 3 12 930
Evidence of Adverse Selection in Automobile Insurance Markets 1 1 1 54 3 3 8 156
Evidence of adverse selection in automobile insurance markets 0 0 0 0 0 0 7 312
Explosive Bubble Modelling by Noncausal Process 0 1 5 346 1 2 22 684
Factor ARMA Representation of a Markov Process 0 0 0 10 0 0 5 255
Filtering and Prediction in Noncausal Processes 0 0 0 180 0 0 3 207
Functional averages and statistical inference 0 0 0 0 0 0 7 92
Functional limit theorem for fractional processes (a) 0 0 0 30 0 0 8 251
Funding Liquidity Risk from A Regulatory Perspective 0 0 0 37 0 0 2 110
General approach of serial correlation (a) 0 0 0 4 0 0 9 248
Granularity Theory with Application to Finance and Insurance 0 0 0 136 0 0 12 299
Heterogeneity and hazard dominance in duration data models 0 0 0 0 1 1 10 96
Hétérogénéité dans les modèles à représentation linéaire 0 0 0 6 0 0 6 78
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 1 2 8 190
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 0 2 0 0 3 156
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 0 0 7 122
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 1 9 118
Indirect Inference 0 0 0 4 3 6 214 912
Indirect Inference for Dynamic Panel Models 0 0 0 324 6 6 76 908
International Money and Stock Market Contingent Claims 0 0 0 38 0 0 12 176
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 0 11 1,538
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 1 2 10 376
Kernel Based Nonlinear Canonical Analysis 0 0 1 8 0 1 8 45
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 1 9 115
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 1 11 684
Kernel m-estimators: non parametric diagnostics for structural models 0 0 1 19 0 0 7 315
Learning procedure and convergence to rationality 0 0 0 9 2 2 16 189
Liquidation Equilibrium with Seniority and Hidden CDO 0 2 2 48 0 2 12 182
Local Explosion Modelling by Noncausal Process 1 1 1 106 4 4 16 155
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 1 2 7 99
Long Term Care and Longevity 0 0 0 51 1 3 9 140
Love and Death: A Freund Model with Frailty 0 0 0 73 0 0 7 376
Market Time and Asset Price Movements Theory and Estimation 0 0 1 610 0 0 20 2,265
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 0 0 23 257
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 1 1 14 401
Matching Procedures and Market Characteristics 0 0 0 5 1 1 1 31
Mean-variance hedging and numeraire 0 0 0 7 1 2 14 573
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 8 131
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 0 46 0 0 7 139
Modes de négociation et caractéristiques de marché 1 1 1 2 2 2 12 359
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 0 1 6 134
Modèles de comptage semi-paramétriques 0 0 0 11 1 2 12 120
Modèles de durée et effets de génération 0 0 0 2 1 1 3 246
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 2 3 6 321
Modèles économétriques: utilisation et interprétation (les) 1 1 1 3 1 1 9 388
Multiregime Term Structure Models 0 0 0 131 0 0 3 431
Multiregime Term Structure Models 0 0 0 5 0 0 6 57
Multivariate distributions for limited dependent variable models 0 0 0 5 0 0 12 145
Negative Binomial Autoregressive Process 0 0 1 10 0 1 13 94
Negative Binomial Autoregressive Process 0 0 0 54 1 1 9 126
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 0 48 1 1 11 201
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 0 1 10 66
Nonlinear Innovations and Impulse Response 0 0 0 14 0 1 24 97
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 0 0 11 63
Nonlinear Persistence and Copersistence 0 0 0 16 0 0 11 79
Nonlinear Persistence and Copersistence 0 0 0 55 1 3 12 164
Nonlinear innovations and impulse responses 0 0 0 290 0 0 16 1,339
Nonlinear persistence and copersistence 0 0 0 199 0 1 18 719
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 1 64 0 0 12 104
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 0 1 17 206
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 0 1 17 117
Pricing with Splines 0 0 0 34 0 1 9 81
Procyclité des Régulations des Marchés Financiers 0 0 0 10 0 3 8 75
Prévision de mesures de prix contingents 0 0 0 0 0 0 3 99
Pseudo maximum likelihood methods: theory 1 1 2 99 3 8 28 1,214
Pseudo maximum lilelihood methods: applications to poisson models 0 1 5 36 1 3 19 645
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 69 1 1 13 81
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 1 1 8 24
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 1 1 11 118
Qualitative threshold arch models 0 0 1 12 1 2 13 487
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 0 13 157
Rational expectations models and bounded memory 0 0 0 6 0 1 9 170
Reduced Forms of Rational Expectations Models 0 0 2 8 1 1 9 83
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 0 1 10 163
Regime Switching and Bond Pricing 1 1 1 31 1 1 4 128
Regime Switching and Bond Pricing 0 0 0 65 0 0 9 150
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 6 1 1 7 432
Revisiting Identification and estimation in Structural VARMA Models 0 0 2 160 0 0 9 328
Robust Analysis of the Martingale Hypothesis 0 0 0 11 0 0 13 66
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 0 87 0 2 9 234
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 0 0 9 164
Sensitivity Analysis of Distortion Risk Measures 0 1 1 52 1 2 21 223
Sensitivity Analysis of Values at Risk 0 0 0 769 1 1 21 1,473
Sensitivity Analysis of Values at Risk 0 0 0 1,597 1 13 29 4,383
Sensitivity Analysis of Values at Risk 0 0 0 80 0 2 11 2,465
Sensitivity analysis of values at risk 0 0 0 1 0 1 13 478
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 0 1 3 98
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 2 7 274
Solutions of Dynamic Linear Rational Expectations Models 0 0 1 1 1 2 9 54
Solutions of Multivariate Rational Expectations Models 0 0 0 0 1 3 14 72
Solutions of dynamic linear rational expectations models 0 0 0 7 2 4 18 201
Solutions of multivariate rational expectations models 0 0 0 10 1 1 8 41
Some theoretical results for generalized ridge regression estimators 0 0 0 3 0 0 13 453
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 0 0 5 39
Stationary Bubble Equilibria in Rational Expectation Models 0 1 1 35 0 2 19 127
Statistical Inference for Independent Component Analysis 0 0 0 47 0 0 5 140
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 1 1 6 106
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 1 119 1 5 16 195
Stochastic Migration Models with Application to Corporate Risk 0 0 1 27 1 3 12 100
Stochastic Volatility Duration Models 0 0 0 38 0 0 10 130
Strong concentration ordering 0 0 0 2 0 0 6 178
Structural Dynamic Analysis of Systematic Risk 0 0 0 17 0 0 5 73
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 1 11 140
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 0 1 8 421
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 9 0 0 3 35
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 8 291
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 0 1 10 307
The Econometrics of Efficient Frontiers 0 0 0 36 1 1 8 80
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 0 10 162
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 1 1 10 57
The Informational Content of Household Decisions 0 0 0 9 0 0 3 50
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 0 0 6 648
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 2 2 14 1,253
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 0 20 0 0 6 65
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 0 2 717 2 4 24 1,359
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 1 1 8 82
The agregation of commodities in quantity rationing models 0 0 0 2 0 0 10 254
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 1 1 15 170
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 1 2 797 0 2 23 3,043
Transitions in economy: price changes in russia in the twenties 0 0 0 22 0 1 11 273
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 0 10 50
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 1 1 7 64
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 0 0 6 219
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 6 286
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 0 0 4 214
Whishart Quadratic Term Structure Models 0 0 1 10 0 1 8 48
Wishart Autoregressive Model for Stochastic Risk 0 1 1 61 0 1 12 132
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 0 0 8 35
Total Working Papers 7 15 54 13,576 104 224 2,325 69,772
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 0 8 260
A General Approach to Serial Correlation 0 0 0 25 1 2 7 87
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 0 16 0 1 5 69
A count data model with unobserved heterogeneity 0 0 0 49 0 0 14 258
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 9 0 1 10 36
Affine Models for Credit Risk Analysis 0 0 0 206 0 0 12 494
Agrégation de processus autorégressifs d'ordre 1 0 1 1 6 0 1 8 24
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 0 1 7 114
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 1 1 3 266 2 2 10 511
Autoregressive gamma processes 0 0 1 178 2 2 20 480
Aversions to Impatience, Uncertainty and Illiquidity 0 0 1 20 0 1 7 67
Bilateral exposures and systemic solvency risk 0 0 0 44 0 0 10 190
Bon ou mauvais usage des notations 0 0 0 2 2 2 8 32
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 0 0 39 121
Causality between Returns and Traded Volumes 0 0 0 3 0 1 7 31
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 1 4 17 442
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 42 0 0 5 176
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 17 0 1 17 103
Continuous Time Wishart Process for Stochastic Risk 0 0 3 143 0 2 15 337
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 0 17 0 0 9 63
Converting Tail-VaR to VaR: An Econometric Study 0 1 1 20 0 1 5 70
Correlated risks vs contagion in stochastic transition models 0 0 0 12 0 0 11 112
Courbes de performances, de sélection et de discrimination 0 0 0 12 0 1 7 45
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 0 5 39
DYNAMIC FACTOR MODELS 0 0 1 279 0 0 13 666
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 0 73 0 1 4 189
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 0 1 8 51
Diffusion Processes with Polynomial Eigenfunctions 0 0 2 15 0 3 16 50
Diffusion et effet de vague 0 0 0 0 0 1 6 11
Direct test of the rational expectation hypothesis 0 0 0 65 0 1 1 138
Discrete time Wishart term structure models 0 0 1 82 0 0 18 257
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 0 1 19 343
Double instrumental variable estimation of interaction models with big data 0 0 0 26 0 2 10 125
Duration time‐series models with proportional hazard 0 0 0 62 0 1 7 150
Duration, transition and count data models Introduction 0 0 0 80 1 2 14 218
Dynamic quantile models 0 0 0 229 0 2 13 578
D’une analyse de variabilités à un modèle d’investissement des firmes 0 0 1 4 0 1 16 56
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 0 1 9 93
ESTIMATION-ADJUSTED VAR 0 0 0 25 0 0 8 124
Econometric specification of stochastic discount factor models 0 0 1 167 2 3 15 337
Econometric specification of the risk neutral valuation model 0 0 0 97 0 1 10 262
Econometrics of efficient fitted portfolios 0 0 0 60 0 0 10 178
Effet des modes de négociation sur les échanges 0 0 0 3 0 1 8 43
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 10 249
Factor ARMA representation of a Markov process 0 0 0 50 1 2 7 150
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 0 1 30 0 1 13 64
Financial Regulations and Procyclicality 0 0 0 43 1 1 11 142
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 0 0 5 86
Generalised residuals 1 2 3 979 2 5 18 1,702
Granularity Adjustment for Efficient Portfolios 0 0 0 27 1 2 12 126
Granularity adjustment for default risk factor model with cohorts 0 0 0 58 0 0 15 274
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 1 3 6 458
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire 0 0 0 2 2 2 3 13
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible) 0 0 0 1 0 1 8 21
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 0 2 8 19
Indirect Inference 1 5 10 1,597 4 21 81 4,211
Indirect inference for dynamic panel models 0 0 0 213 1 1 12 547
Infrequent Extreme Risks 0 0 0 118 2 2 8 296
Infrequent Extreme Risks 0 0 0 20 1 1 7 100
Instrumental Models and Indirect Encompassing 0 0 0 0 1 1 9 280
International money and stock market contingent claims 0 0 1 74 0 11 16 243
Intra-day market activity 0 1 1 263 0 1 16 533
Intraday Transaction Price Dynamics 0 0 0 6 0 0 7 27
Introduction 0 0 0 4 0 2 8 48
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 1 11 196
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 0 127 0 3 12 279
Kullback Causality Measures 0 0 0 23 1 2 10 66
L-performance with an application to hedge funds 0 0 2 32 0 1 10 183
Learning Procedures and Convergence to Rationality 0 0 0 48 0 2 12 219
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 2 3 6 43
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 0 5 1,230 0 1 36 4,578
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 0 11 28
Linear-price term structure models 0 0 0 30 1 3 15 93
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 0 1 7 240
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 0 0 8 52
Local explosion modelling by non-causal process 0 1 6 49 1 3 28 187
Love and death: A Freund model with frailty 0 0 0 24 0 1 11 183
Managing hedonic housing price indexes: The French experience 0 0 2 112 0 3 16 381
Mean‐Variance Hedging and Numéraire 0 0 0 48 1 2 8 151
Memory and infrequent breaks 0 0 0 49 0 0 16 151
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 1 9 86
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 0 7 0 1 5 34
Migration correlation: Definition and efficient estimation 0 0 0 89 0 57 65 414
Misspecification of noncausal order in autoregressive processes 0 0 0 24 0 0 11 91
Modèles de comptage semi-paramétriques 0 0 0 11 0 1 10 74
Multivariate Jacobi process with application to smooth transitions 0 0 3 184 3 5 16 383
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 0 69 2 5 20 156
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 0 14 0 4 17 59
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 1 1 2 8 2 3 7 31
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 1 12 1 1 12 77
On the Problem of Missing Data in Linear Models 1 1 1 100 1 1 13 276
On the backward-forward procedure 0 0 0 30 1 2 5 121
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 0 1 7 317
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 0 11 0 2 13 50
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 0 0 5 58
Prepayment analysis for securitization 0 0 0 132 0 0 3 290
Pricing default events: Surprise, exogeneity and contagion 0 0 1 31 0 0 11 160
Pricing with Splines 0 0 0 13 0 2 14 53
Pricing with finite dimensional dependence 0 0 0 7 0 0 5 70
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 3 13 967 6 16 63 2,555
Pseudo Maximum Likelihood Methods: Theory 0 2 11 1,567 2 7 52 3,814
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 0 1 14 167
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 2 13 136
Qualitative threshold ARCH models 0 0 0 280 0 0 20 663
Rank tests for unit roots 0 0 0 62 0 2 10 182
Rational Expectations Models and Bounded Memory 0 0 0 29 0 1 3 128
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 0 2 11 290
Regime Switching and Bond Pricing 0 0 0 12 1 2 8 81
STOCHASTIC UNIT ROOT MODELS 0 0 0 27 1 4 11 78
Sensitivity analysis of Values at Risk 1 2 4 467 3 4 35 1,080
Simulated residuals 0 0 0 141 1 2 16 276
Simulation Based Inference in Models with Heterogeneity 0 0 3 58 1 2 25 128
Simulation-based inference: A survey with special reference to panel data models 0 2 2 327 0 2 38 643
Solutions of Linear Rational Expectations Models 0 0 1 20 1 1 9 75
Solutions of multivariate Rational Expectations Models 0 0 0 28 0 0 10 95
Some theoretical results for generalized ridge regression estimators 0 0 0 78 0 2 9 182
Specification pre-test estimator 0 0 0 39 0 1 4 171
Spread Term Structure and Default Correlation 0 0 1 13 0 1 8 64
Statistical inference for independent component analysis: Application to structural VAR models 0 0 3 161 0 0 20 456
Stochastic volatility duration models 0 0 0 262 1 1 9 610
Structural Laplace Transform and Compound Autoregressive Models 0 0 1 142 1 1 7 354
Sufficient Linear Structures: Econometric Applications 0 0 0 17 1 1 7 94
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 0 0 5 83
Testing for Common Roots 0 1 1 32 0 1 6 208
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment 0 0 2 333 1 1 14 925
Testing nested or non-nested hypotheses 0 0 0 137 0 1 10 341
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 0 62 0 1 11 128
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 1 4 275
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 0 4 11 51
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 0 0 8 83
The Tradability Premium on the S&P 500 Index 0 0 0 9 0 1 3 42
The Wishart Autoregressive process of multivariate stochastic volatility 0 1 2 339 0 2 24 933
The econometrics of efficient portfolios 0 0 1 130 1 1 8 306
The ordered qualitative model for credit rating transitions 0 0 2 183 1 3 19 515
Truncated dynamics and estimation of diffusion equations 0 0 0 27 1 2 7 120
Une approche géométrique des processus ARMA 0 0 0 2 0 1 4 14
Unemployment insurance and mortgages 0 0 0 18 0 0 3 114
Économétrie de la finance: l’exemple du risque de crédit 0 0 0 38 0 1 5 156
Total Journal Articles 6 25 106 15,411 67 291 1,763 44,177

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 8 180
Econometrics of Qualitative Dependent Variables 0 0 0 0 0 2 15 190
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 0 3 43
Simulation-based Econometric Methods 0 0 0 0 3 5 30 542
Statistics and Econometric Models 0 0 0 0 2 4 16 461
Statistics and Econometric Models 0 0 0 0 1 2 16 169
Statistics and Econometric Models 0 0 0 0 2 2 21 276
Statistics and Econometric Models 0 0 0 0 2 2 31 309
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 0 2 7 58
Time Series and Dynamic Models 0 0 0 0 2 3 17 190
Time Series and Dynamic Models 0 0 0 0 0 0 13 175
Total Books 0 0 0 0 12 22 177 2,593

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 0 4 58
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 1 312 0 1 16 744
Testing non-nested hypotheses 0 0 1 259 1 1 4 611
Total Chapters 0 0 2 586 1 2 27 1,430

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