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 1 106 1 3 5 229
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 1 53 0 0 3 129
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 0 0 1 78
A Flexible State-Space Model with Application to Stochastic Volatility 0 1 1 19 0 1 2 60
A term structure model with level factor cannot be realistic and arbitrage free 0 0 0 54 0 0 2 140
Actifs Financiers et Theorie de la Consommation 0 0 0 0 0 0 0 744
Actifs financiers et theorie de la consommation 0 0 0 0 0 0 0 1,087
Actifs financiers et theorie de la consommation 0 0 0 21 0 0 1 308
Affine Model for Credit Risk Analysis 0 1 1 104 0 2 4 214
Affine Term Structure Models 0 0 1 149 0 1 2 300
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 1 47 0 0 1 318
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 0 1 1 164
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 0 0 1 302
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 0 0 1 290
An Analysis of the Ultra Long-Term Yields 0 0 0 38 0 0 1 111
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 1 1 2 92
Approche géométrique des processus arma (une) 0 0 0 2 0 0 2 148
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 0 1 3,172
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 0 1 219
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 0 3 628
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 0 2 187
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 1 1 2 27
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 0 2 0 0 1 120
Aversion Analysis 0 0 0 75 0 0 2 346
Aversion Analysis 0 0 0 71 0 0 0 270
Bartlett Identities Tests 0 0 0 23 0 0 0 142
Bartlett Identities Tests 0 0 0 163 1 1 4 763
Bartlett identities tests 0 0 0 11 0 0 1 329
Bilateral Exposures and Systemic Solvency Risk 0 0 1 103 1 1 4 344
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 0 0 0 65
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 1 2 4 887
Causality Between Returns and Trated Volumes 0 0 0 23 0 0 1 60
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 0 0 726
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 0 0 0 358
Composite Indirect Inference with Application 0 0 0 43 0 0 0 69
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 0 0 89
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 0 0 2 371
Compound Autoregressive Models 0 0 1 83 0 0 1 280
Computation of multipliers in multivariate rational expectations models 0 0 0 0 0 0 1 144
Conditions for Optimality in Experimental Designs 0 0 0 9 0 0 1 411
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 32 0 0 2 71
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 0 2 67
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 2 56
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 1 29 0 0 11 96
Consistent m-estimators in a semi-parametric model 0 0 2 26 0 1 7 201
Constrained Nonparametric Copulas 0 0 0 30 0 0 1 50
Contraintes linéaires mixtes 0 0 0 0 0 0 2 71
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 0 1 3 161
Court et long-terme dans les modèles de durée 0 0 0 3 0 0 2 165
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 8 0 0 1 181
DYNAMIC QUANTILE MODELS 0 0 0 411 1 3 5 806
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 2 5 5 63 2 5 9 181
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 1 1 1 66 1 1 2 217
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 0 0 0 235
Duration Time Series Models with Proportional Hazard 0 0 0 25 1 1 1 66
Dynamic Factor Models 0 0 2 39 0 0 6 119
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 1 25
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 0 0 0 85
Econometric specification of the risk neutral valuation model 0 0 0 6 0 0 0 791
Econométrie de la Finance: approches historiques 0 0 0 0 0 0 2 112
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 0 0 3 127
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 0 0 4 189
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 1 1 1 134
Efficient Derivative Pricing by Extended Method of Moments 0 1 1 18 0 1 1 88
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 1 1 3 481
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 0 67
Efficient Portfolio Analysis Using Distortion Risk Measures 0 1 3 35 0 1 3 123
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 1 1 47
Estimation Adjusted VaR 0 0 0 110 0 0 3 337
Estimation and test in probit models with serial correlation 0 0 1 64 1 1 3 884
Estimation of the term structure from bond data 0 1 1 18 0 1 2 484
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 0 0 2 918
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 2 3 9 143
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 0 0 11 1,055
Evidence of adverse selection in automobile insurance markets 0 0 0 0 1 1 6 303
Explosive Bubble Modelling by Noncausal Process 0 2 9 341 0 3 15 659
Factor ARMA Representation of a Markov Process 0 0 0 10 0 0 0 248
Filtering and Prediction in Noncausal Processes 0 0 0 180 0 0 1 204
Functional averages and statistical inference 0 0 0 0 0 0 2 85
Functional limit theorem for fractional processes (a) 0 1 5 30 0 4 10 243
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 0 0 3 239
Granularity Theory with Application to Finance and Insurance 0 0 0 136 0 0 1 283
Heterogeneity and hazard dominance in duration data models 0 0 0 0 0 0 1 86
Hétérogénéité dans les modèles à représentation linéaire 1 1 1 5 3 3 5 70
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 0 2 153
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 0 0 0 115
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 0 0 5 108
Indirect Inference 0 0 0 4 2 2 4 696
Indirect Inference for Dynamic Panel Models 0 0 0 324 0 0 0 832
International Money and Stock Market Contingent Claims 0 0 1 38 0 0 8 164
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 0 1 1,526
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 0 0 2 37
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 0 1 366
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 0 1 106
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 0 1 673
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 0 1 1 307
Learning procedure and convergence to rationality 0 0 1 9 0 0 2 173
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 0 0 170
Local Explosion Modelling by Noncausal Process 0 0 3 105 0 1 8 138
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 0 1 90
Long Term Care and Longevity 0 0 0 51 0 0 0 131
Love and Death: A Freund Model with Frailty 0 0 0 73 0 0 2 368
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 0 2 5 2,244
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 0 2 387
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 0 0 3 234
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 1 7 0 1 8 558
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 2 7 123
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 1 1 46 0 1 4 131
Modes de négociation et caractéristiques de marché 0 0 0 1 0 0 2 347
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 0 0 1 128
Modèles de comptage semi-paramétriques 0 0 0 11 0 0 0 104
Modèles de durée et effets de génération 0 0 0 2 0 0 1 242
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 0 0 315
Modèles économétriques: utilisation et interprétation (les) 0 0 0 2 0 0 0 379
Multiregime Term Structure Models 0 0 0 131 0 0 2 428
Multiregime Term Structure Models 0 0 0 5 0 0 2 51
Multivariate distributions for limited dependent variable models 0 0 2 5 0 0 3 133
Negative Binomial Autoregressive Process 0 0 1 8 2 3 10 79
Negative Binomial Autoregressive Process 0 0 2 54 2 4 10 115
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 0 47 0 0 5 189
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 0 0 1 56
Nonlinear Innovations and Impulse Response 0 0 1 14 0 1 4 72
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 0 0 1 52
Nonlinear Persistence and Copersistence 0 0 0 16 0 0 2 68
Nonlinear Persistence and Copersistence 0 0 0 55 0 0 2 149
Nonlinear innovations and impulse responses 0 0 1 290 0 0 4 1,323
Nonlinear persistence and copersistence 0 0 0 199 0 0 0 701
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 63 0 0 0 92
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 1 1 2 189
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 0 0 1 100
Pricing with Splines 0 0 0 34 0 0 0 72
Procyclité des Régulations des Marchés Financiers 0 0 0 10 0 0 2 67
Prévision de mesures de prix contingents 0 0 0 0 0 0 0 95
Pseudo maximum likelihood methods: theory 1 1 3 96 2 2 10 1,185
Pseudo maximum lilelihood methods: applications to poisson models 0 1 4 28 1 2 21 622
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 3 68 0 1 4 67
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 0 1 2 16
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 0 23 1 1 2 107
Qualitative threshold arch models 0 0 0 11 0 0 1 474
Quantité de monnaie (la): russie, les années 1918-1927 0 0 1 34 0 0 1 337
Rank tests for unit roots 0 0 0 31 0 0 1 144
Rational expectations models and bounded memory 0 0 0 6 0 0 0 161
Reduced Forms of Rational Expectations Models 0 0 0 6 0 0 3 74
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 0 0 0 153
Regime Switching and Bond Pricing 0 0 0 65 0 1 4 140
Regime Switching and Bond Pricing 0 0 0 30 0 0 0 123
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 5 0 0 0 423
Revisiting Identification and estimation in Structural VARMA Models 1 1 8 158 1 1 13 318
Robust Analysis of the Martingale Hypothesis 0 0 0 11 0 0 0 53
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 2 86 1 1 4 224
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 1 60 0 1 4 155
Sensitivity Analysis of Distortion Risk Measures 0 0 1 51 1 1 4 199
Sensitivity Analysis of Values at Risk 0 2 4 80 0 2 5 2,452
Sensitivity Analysis of Values at Risk 0 2 3 1,597 0 2 5 4,353
Sensitivity Analysis of Values at Risk 0 2 3 769 0 2 6 1,452
Sensitivity analysis of values at risk 0 0 0 1 0 0 1 465
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 0 1 2 197
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 0 0 2 95
Simulated residuals 0 0 0 7 0 0 0 267
Solutions of Dynamic Linear Rational Expectations Models 0 0 0 0 0 0 0 45
Solutions of Multivariate Rational Expectations Models 0 0 0 0 0 0 1 57
Solutions of dynamic linear rational expectations models 0 0 0 7 0 0 1 182
Solutions of multivariate rational expectations models 0 0 1 10 0 0 3 32
Some theoretical results for generalized ridge regression estimators 0 0 0 3 0 1 3 439
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 0 1 2 34
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 32 0 1 7 105
Statistical Inference for Independent Component Analysis 0 0 0 46 0 0 1 134
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 0 0 100
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 6 116 1 1 13 176
Stochastic Migration Models with Application to Corporate Risk 0 0 0 25 0 0 1 87
Stochastic Volatility Duration Models 0 0 1 38 0 1 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 2 68
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 0 0 129
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 0 0 2 413
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 9 0 1 2 32
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 1 1 283
Testing, encompassing and simulating dynamic econometric models 0 0 1 9 0 0 3 297
The Econometrics of Efficient Frontiers 0 0 0 36 1 1 1 72
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 1 3 152
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 0 0 46
The Informational Content of Household Decisions 0 0 0 9 0 0 1 47
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 0 0 0 642
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 0 1 3 1,239
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 1 20 0 0 2 58
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 2 3 714 0 4 6 1,330
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 0 0 1 243
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 0 0 0 155
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 0 0 2 3,020
Transitions in economy: price changes in russia in the twenties 0 1 1 22 1 2 2 261
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 0 0 38
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 1 23 1 1 2 56
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 0 0 2 212
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 2 280
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 0 0 1 210
Whishart Quadratic Term Structure Models 0 0 0 9 0 0 3 38
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 0 0 1 120
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 1 1 1 26
Total Working Papers 6 29 106 13,498 39 103 508 67,291
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 0 0 1 252
A General Approach to Serial Correlation 0 0 0 25 0 2 5 80
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 0 15 1 1 2 63
A count data model with unobserved heterogeneity 0 0 0 49 0 3 6 241
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 8 0 0 2 26
Affine Models for Credit Risk Analysis 0 0 0 206 0 0 0 482
Agrégation de processus autorégressifs d'ordre 1 0 0 2 5 0 2 4 16
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 0 1 2 107
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 12 0 0 1 106
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 3 9 261 0 3 21 497
Autoregressive gamma processes 0 0 2 176 1 1 3 455
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 19 0 0 1 60
Bilateral exposures and systemic solvency risk 0 0 0 43 0 0 2 178
Bon ou mauvais usage des notations 0 0 0 2 0 0 1 23
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 0 0 1 82
Causality between Returns and Traded Volumes 0 0 0 3 0 0 1 22
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 1 83 0 0 3 424
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 41 0 0 2 169
Consistent Pseudo-Maximum Likelihood Estimators 0 0 1 15 0 0 1 83
Continuous Time Wishart Process for Stochastic Risk 2 2 4 140 3 5 9 322
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 1 17 0 0 4 54
Converting Tail-VaR to VaR: An Econometric Study 0 0 1 19 0 0 4 63
Correlated risks vs contagion in stochastic transition models 0 0 0 12 0 0 1 98
Courbes de performances, de sélection et de discrimination 0 0 0 12 0 0 6 37
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 0 1 33
DYNAMIC FACTOR MODELS 0 1 5 278 1 2 9 653
Derivative Pricing With Wishart Multivariate Stochastic Volatility 1 1 2 73 1 1 3 185
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 0 0 0 42
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 0 0 0 33
Diffusion et effet de vague 0 0 0 0 0 0 2 5
Direct test of the rational expectation hypothesis 0 0 0 65 0 0 2 136
Discrete time Wishart term structure models 0 0 3 80 0 1 7 237
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 0 0 1 324
Double instrumental variable estimation of interaction models with big data 0 0 0 26 0 0 1 113
Duration time‐series models with proportional hazard 0 0 0 62 0 0 1 142
Duration, transition and count data models Introduction 0 0 0 80 0 0 0 203
Dynamic quantile models 0 0 2 229 0 0 6 562
D’une analyse de variabilités à un modèle d’investissement des firmes 0 0 0 3 0 0 0 40
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 0 0 1 83
ESTIMATION-ADJUSTED VAR 0 0 1 24 0 0 3 113
Econometric specification of stochastic discount factor models 0 0 2 166 0 1 7 321
Econometric specification of the risk neutral valuation model 0 0 1 97 0 0 2 252
Econometrics of efficient fitted portfolios 0 0 0 60 0 0 2 168
Effet des modes de négociation sur les échanges 0 0 0 3 0 0 0 35
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 0 1 239
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 9 29 0 1 11 51
Financial Regulations and Procyclicality 0 0 0 43 0 2 3 130
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 0 0 1 80
Generalised residuals 2 3 10 972 3 5 20 1,678
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 0 1 112
Granularity adjustment for default risk factor model with cohorts 0 0 0 57 0 0 2 254
Heterogeneous INAR(1) model with application to car insurance 0 0 2 202 0 0 2 449
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire 0 0 0 2 0 0 0 10
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible) 0 0 0 0 0 0 1 12
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 0 0 1 10
Indirect Inference 3 4 12 1,587 8 15 50 4,118
Indirect inference for dynamic panel models 0 0 1 213 1 2 4 533
Infrequent Extreme Risks 0 0 1 118 0 0 1 288
Infrequent Extreme Risks 0 0 0 19 0 0 1 92
Instrumental Models and Indirect Encompassing 0 0 0 0 0 0 2 268
International money and stock market contingent claims 0 0 0 73 0 0 2 227
Intra-day market activity 0 0 3 262 0 0 5 515
Intraday Transaction Price Dynamics 0 0 0 6 0 0 4 20
Introduction 0 0 0 4 1 1 2 40
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 1 2 183
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 0 124 0 0 1 264
Kullback Causality Measures 1 2 3 23 1 3 4 55
L-performance with an application to hedge funds 0 0 0 30 0 0 4 173
Learning Procedures and Convergence to Rationality 0 0 0 48 0 0 0 207
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 0 0 0 36
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 1 2 3 1,222 2 3 7 4,535
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 0 2 16
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 1 3 233
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 1 1 3 44
Local explosion modelling by non-causal process 1 2 6 42 1 3 14 156
Love and death: A Freund model with frailty 0 0 0 24 0 1 4 172
Managing hedonic housing price indexes: The French experience 1 2 5 109 2 4 13 358
Mean‐Variance Hedging and Numéraire 0 0 3 48 0 0 6 143
Memory and infrequent breaks 0 0 0 49 0 0 1 134
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 0 2 77
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 1 7 0 0 4 29
Migration correlation: Definition and efficient estimation 0 0 0 89 0 0 0 349
Misspecification of noncausal order in autoregressive processes 0 0 0 23 1 1 2 79
Modèles de comptage semi-paramétriques 0 0 0 11 0 0 1 64
Multivariate Jacobi process with application to smooth transitions 0 1 5 181 0 1 8 367
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 13 67 0 1 18 133
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 3 13 0 0 6 40
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 1 1 6 1 3 5 24
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 0 10 1 2 4 64
On the Problem of Missing Data in Linear Models 0 0 2 99 0 1 4 259
On the backward-forward procedure 0 0 0 30 0 0 3 115
On the characterization of a joint probability distribution by conditional distributions 0 0 2 106 0 0 3 309
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 0 10 1 1 2 36
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 0 0 0 53
Prepayment analysis for securitization 0 0 0 132 0 0 0 286
Pricing default events: Surprise, exogeneity and contagion 0 1 2 30 0 1 4 148
Pricing with Splines 1 1 2 13 1 2 8 38
Pricing with finite dimensional dependence 0 0 1 7 0 0 2 63
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 1 9 949 2 5 25 2,478
Pseudo Maximum Likelihood Methods: Theory 3 4 10 1,550 6 7 23 3,747
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 0 0 3 153
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 0 2 123
Qualitative threshold ARCH models 0 0 0 279 0 0 2 642
Rank tests for unit roots 0 0 0 62 0 0 2 170
Rational Expectations Models and Bounded Memory 0 0 0 29 0 0 0 124
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 1 98 0 2 3 277
Regime Switching and Bond Pricing 0 0 2 12 0 0 3 73
STOCHASTIC UNIT ROOT MODELS 0 1 1 27 0 1 4 66
Sensitivity analysis of Values at Risk 0 1 6 463 0 1 12 1,045
Simulated residuals 0 0 0 141 0 0 1 259
Simulation Based Inference in Models with Heterogeneity 1 1 5 55 1 1 12 103
Simulation-based inference: A survey with special reference to panel data models 0 1 3 325 0 2 7 604
Solutions of Linear Rational Expectations Models 0 0 0 19 1 1 3 65
Solutions of multivariate Rational Expectations Models 0 0 0 28 0 0 0 83
Some theoretical results for generalized ridge regression estimators 0 0 0 78 0 0 1 171
Specification pre-test estimator 0 0 0 39 0 0 0 166
Spread Term Structure and Default Correlation 0 0 0 12 0 0 5 56
Statistical inference for independent component analysis: Application to structural VAR models 0 0 5 157 0 8 19 427
Stochastic volatility duration models 0 0 2 262 0 0 6 599
Structural Laplace Transform and Compound Autoregressive Models 0 0 2 141 2 2 5 344
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 0 86
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 0 0 1 77
Testing for Common Roots 0 0 0 31 0 0 0 202
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment 0 0 1 331 0 0 2 909
Testing nested or non-nested hypotheses 0 0 4 137 0 0 6 330
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 0 61 0 0 2 112
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 0 0 0 40
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 0 0 0 74
The Tradability Premium on the S&P 500 Index 0 0 1 9 0 0 2 39
The Wishart Autoregressive process of multivariate stochastic volatility 0 2 6 337 0 6 15 905
The econometrics of efficient portfolios 0 1 2 129 1 2 3 298
The ordered qualitative model for credit rating transitions 0 0 0 179 0 1 1 491
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 0 1 112
Une approche géométrique des processus ARMA 0 0 0 2 0 0 0 9
Unemployment insurance and mortgages 0 0 0 18 0 0 1 109
Économétrie de la finance: l’exemple du risque de crédit 0 0 0 37 0 0 2 148
Total Journal Articles 17 38 191 15,260 45 118 561 42,196

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 1 7 171
Econometrics of Qualitative Dependent Variables 0 0 0 0 0 0 4 174
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 0 2 40
Simulation-based Econometric Methods 0 0 0 0 1 3 14 509
Statistics and Econometric Models 0 0 0 0 1 1 5 153
Statistics and Econometric Models 0 0 0 0 1 1 3 252
Statistics and Econometric Models 0 0 0 0 0 1 14 443
Statistics and Econometric Models 0 0 0 0 2 3 14 269
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 0 1 7 171
Time Series and Dynamic Models 0 0 0 0 0 0 6 161
Total Books 0 0 0 0 5 11 77 2,394

Chapter File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
CAR AND AFFINE PROCESSES 0 0 0 2 0 0 1 14
Introduction 0 0 0 13 0 0 2 54
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 1 1 1 311 1 1 3 726
Testing non-nested hypotheses 0 0 1 258 0 0 3 605
Total Chapters 1 1 2 584 1 1 9 1,399

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