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 0 92 0 0 6 202
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 0 48 0 0 6 119
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 1 18 0 0 1 70
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 2 15 1 3 11 45
A term structure model with level factor cannot be realistic and arbitrage free 0 0 1 54 1 1 5 138
Actifs Financiers et Theorie de la Consommation 0 0 0 0 0 1 5 731
Actifs financiers et theorie de la consommation 0 0 0 0 0 0 1 1,084
Actifs financiers et theorie de la consommation 0 0 0 21 0 0 3 306
Affine Model for Credit Risk Analysis 0 0 1 94 0 0 3 194
Affine Term Structure Models 0 0 1 130 2 2 10 245
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 0 46 0 0 4 316
Agrégation de processus autoregressifs d'ordre 1 0 0 0 0 0 3 7 157
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 0 1 7 299
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 1 144 0 0 12 278
An Analysis of the Ultra Long-Term Yields 0 0 0 37 0 0 1 101
An Econometric Analysis of Household Portfolio Allocation 0 0 1 40 0 0 2 83
Approche géométrique des processus arma (une) 0 0 1 2 0 0 3 146
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 1 34 0 1 4 138
Arbitrage Based Pricing When Volatility Is Stochastic 1 1 1 731 1 1 8 3,159
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 1 1 4 211
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 2 7 619
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 0 0 4 181
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 1 25 0 1 7 19
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 0 1 0 0 1 118
Aversion Analysis 0 0 0 71 0 0 2 252
Aversion Analysis 1 1 1 75 1 1 6 331
Bartlett Identities Tests 0 0 0 20 0 1 3 121
Bartlett Identities Tests 0 0 0 162 0 0 3 744
Bartlett identities tests 0 0 1 11 0 3 10 310
Bilateral Exposures and Systemic Solvency Risk 0 0 2 96 3 4 18 304
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 0 0 0 5 55
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 0 5 10 846
Causality Between Returns and Trated Volumes 1 1 1 22 1 2 4 54
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 1 1 5 724
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 5 0 0 0 357
Composite Indirect Inference with Application 0 1 6 39 0 3 14 44
Composite Indirect Inference with Application to Corporate Risks 0 0 3 26 0 1 12 62
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 0 1 6 367
Compound Autoregressive Models 0 0 2 78 1 1 6 273
Computation of multipliers in multivariate rational expectations models 0 0 0 0 0 0 6 140
Conditions for Optimality in Experimental Designs 0 0 0 9 1 2 3 408
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 19 0 2 11 44
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 29 0 1 8 61
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 1 12 45
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 1 1 3 24 1 3 17 65
Consistent m-estimators in a semi-parametric model 0 1 2 14 0 1 10 176
Constrained Nonparametric Copulas 0 0 0 28 0 0 0 45
Contraintes linéaires mixtes 0 0 0 0 0 0 0 65
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 1 64 0 2 6 155
Court et long-terme dans les modèles de durée 0 0 0 2 0 3 8 159
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 5 0 0 1 174
DYNAMIC QUANTILE MODELS 0 0 1 403 0 1 13 777
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 1 1 1 50 2 2 5 146
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 0 58 0 1 2 203
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 1 0 0 4 229
Duration Time Series Models with Proportional Hazard 0 0 0 24 0 1 4 60
Dynamic Factor Models 0 0 2 37 0 1 15 109
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 0 22
Econometric Specification of the Risk Neutral Valuation Model 0 0 1 26 1 3 9 80
Econometric specification of the risk neutral valuation model 0 0 4 6 2 3 10 789
Econométrie de la Finance: approches historiques 0 0 0 0 0 1 13 101
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 0 1 4 178
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 0 1 4 107
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 6 12 116
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 180 1 3 12 443
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 15 0 1 6 68
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 1 7 55
Efficient Portfolio Analysis Using Distortion Risk Measures 0 1 1 28 0 1 3 106
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 17 0 1 2 41
Estimation Adjusted VaR 0 0 1 107 1 4 12 322
Estimation and test in probit models with serial correlation 2 4 15 51 2 5 23 851
Estimation of the term structure from bond data 0 0 2 11 1 1 9 466
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 0 0 8 909
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 1 1 3 1,036
Evidence of Adverse Selection in Automobile Insurance Markets 1 2 3 52 2 3 7 129
Evidence of adverse selection in automobile insurance markets 0 0 0 0 4 5 10 291
Explosive Bubble Modelling by Noncausal Process 1 4 10 305 2 9 24 587
Factor ARMA Representation of a Markov Process 0 0 0 10 0 0 1 245
Filtering and Prediction in Noncausal Processes 0 1 2 172 0 3 19 182
Functional averages and statistical inference 0 0 0 0 0 0 1 80
Functional limit theorem for fractional processes (a) 0 1 3 16 2 4 7 212
Funding Liquidity Risk from A Regulatory Perspective 0 0 1 34 0 2 8 93
General approach of serial correlation (a) 0 0 0 3 0 1 4 228
Granularity Theory with Application to Finance and Insurance 0 1 1 134 1 4 5 275
Heterogeneity and hazard dominance in duration data models 0 0 0 0 0 0 3 83
Hétérogénéité dans les modèles à représentation linéaire 0 0 0 3 0 0 0 60
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 2 3 13 177
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 1 1 0 0 6 150
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 0 0 4 113
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 6 71 2 6 19 69
Indirect Inference 0 0 0 4 0 0 13 672
Indirect Inference for Dynamic Panel Models 1 1 2 321 1 1 5 812
International Money and Stock Market Contingent Claims 1 1 3 34 2 2 14 138
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 164 0 0 3 1,521
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 0 1 361
Kernel Based Nonlinear Canonical Analysis 0 0 0 6 0 1 1 30
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 1 1 4 100
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 0 1 5 668
Kernel m-estimators: non parametric diagnostics for structural models 0 1 2 12 0 1 4 294
Learning procedure and convergence to rationality 0 0 0 5 0 0 6 161
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 44 1 2 12 160
Local Explosion Modelling by Noncausal Process 0 1 1 89 0 3 15 96
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 1 3 5 87
Long Term Care and Longevity 0 0 1 50 1 3 11 120
Love and Death: A Freund Model with Frailty 0 0 1 71 0 3 15 325
Market Time and Asset Price Movements Theory and Estimation 0 0 0 606 0 1 5 2,227
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 30 1 3 5 216
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 1 1 3 377
Matching Procedures and Market Characteristics 0 0 0 5 0 0 1 29
Mean-variance hedging and numeraire 0 0 1 2 0 1 6 537
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 13 109
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 1 42 0 1 6 118
Modes de négociation et caractéristiques de marché 0 0 0 0 1 1 3 339
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 0 0 7 127
Modèles de comptage semi-paramétriques 0 0 0 10 0 0 4 100
Modèles de durée et effets de génération 0 0 1 1 0 0 4 235
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 0 2 313
Modèles économétriques: utilisation et interprétation (les) 0 0 0 1 0 0 2 374
Multiregime Term Structure Models 0 0 0 5 0 0 2 45
Multiregime Term Structure Models 0 0 0 131 0 0 0 422
Multivariate distributions for limited dependent variable models 0 0 0 2 0 0 0 125
Negative Binomial Autoregressive Process 0 1 1 50 0 4 23 90
Negative Binomial Autoregressive Process 0 0 1 2 0 3 12 29
Negative Binomial Autoregressive Process 0 0 2 25 0 2 15 42
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 47 0 2 17 173
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 1 1 15 0 2 6 52
Nonlinear Innovations and Impulse Response 0 0 0 12 1 2 6 62
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 26 0 1 1 49
Nonlinear Persistence and Copersistence 0 0 0 55 1 1 3 145
Nonlinear Persistence and Copersistence 0 0 1 15 0 0 4 61
Nonlinear innovations and impulse responses 0 0 0 288 0 2 10 1,304
Nonlinear persistence and copersistence 0 0 1 197 1 1 4 686
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 61 1 2 7 85
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 1 63 0 1 5 179
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 26 1 3 11 86
Pricing with Splines 0 0 2 33 0 1 5 66
Procyclité des Régulations des Marchés Financiers 0 0 1 8 0 1 8 55
Prévision de mesures de prix contingents 0 0 0 0 0 0 3 90
Pseudo maximum likelihood methods: theory 0 3 10 61 5 10 40 1,093
Pseudo maximum lilelihood methods: applications to poisson models 0 1 4 14 3 5 22 564
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 1 62 1 3 16 50
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 0 0 1 12
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 0 21 0 0 1 102
Qualitative threshold arch models 0 0 1 6 1 1 10 460
Quantité de monnaie (la): russie, les années 1918-1927 0 0 0 29 0 0 3 324
Rank tests for unit roots 0 0 1 27 0 2 5 135
Rational expectations models and bounded memory 0 0 0 3 0 0 0 152
Reduced Forms of Rational Expectations Models 1 1 1 1 1 1 4 62
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 3 0 0 4 148
Regime Switching and Bond Pricing 0 0 2 28 0 2 12 114
Regime Switching and Bond Pricing 0 0 1 64 0 1 11 120
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 0 3 0 0 2 415
Revisiting Identification and estimation in Structural VARMA Models 0 6 12 109 1 11 28 232
Robust Analysis of the Martingale Hypothesis 0 0 0 7 0 1 10 38
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 2 81 0 3 10 208
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 1 53 0 2 10 124
Sensitivity Analysis of Distortion Risk Measures 0 0 0 39 2 4 19 171
Sensitivity Analysis of Values at Risk 0 0 3 1,591 20 22 57 4,271
Sensitivity Analysis of Values at Risk 0 0 1 761 0 1 8 1,434
Sensitivity Analysis of Values at Risk 0 0 3 69 1 3 19 2,416
Sensitivity analysis of values at risk 0 0 0 1 1 2 6 455
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 1 3 74 0 2 13 185
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 1 18 0 1 9 87
Simulated residuals 0 1 3 6 1 2 6 260
Solutions of Dynamic Linear Rational Expectations Models 0 0 0 0 0 0 3 43
Solutions of Multivariate Rational Expectations Models 0 0 0 0 0 0 3 46
Solutions of dynamic linear rational expectations models 0 0 1 4 1 1 6 177
Solutions of multivariate rational expectations models 0 0 1 8 0 0 4 23
Some theoretical results for generalized ridge regression estimators 0 0 0 3 1 1 5 432
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 1 1 5 28
Stationary Bubble Equilibria in Rational Expectation Models 1 2 11 24 1 3 23 69
Statistical Inference for Independent Component Analysis 0 0 0 43 0 1 8 124
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 2 4 62 1 5 25 64
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 1 3 31 0 2 14 88
Stochastic Migration Models with Application to Corporate Risk 0 0 0 22 0 0 7 81
Stochastic Volatility Duration Models 0 0 1 36 0 0 3 114
Strong concentration ordering 0 0 0 2 0 0 2 167
Structural Dynamic Analysis of Systematic Risk 0 2 7 14 0 3 17 53
Survival of Hedge Funds: Frailty vs Contagion 0 0 1 40 2 2 6 117
Sélection de clientèle et tarification de prêt bancaire 0 0 0 1 0 2 8 405
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 8 0 1 3 28
Testing unknown linear restrictions on parameter functions 0 0 0 3 0 0 3 281
Testing, encompassing and simulating dynamic econometric models 0 0 1 5 1 1 5 283
The Econometrics of Efficient Frontiers 0 0 0 35 0 0 8 68
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 3 6 20 59
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 1 2 9 41
The Informational Content of Household Decisions 0 0 0 8 0 0 3 40
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 2 4 6 637
The Ordered Qualitative Model For Credit Rating Transitions 0 0 3 519 0 0 12 1,225
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 0 17 0 0 0 52
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 0 4 705 2 4 17 1,300
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 1 4 70
The agregation of commodities in quantity rationing models 0 0 0 1 0 0 2 241
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 1 2 4 151
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 2 788 2 4 15 3,000
Transitions in economy: price changes in russia in the twenties 0 0 0 21 0 0 1 253
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 3 0 1 3 32
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 20 1 1 3 50
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 0 0 1 208
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 3 0 0 5 275
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 31 0 0 3 203
Whishart Quadratic Term Structure Models 0 0 0 9 0 0 1 30
Wishart Autoregressive Model for Stochastic Risk 0 0 0 59 0 2 2 117
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 0 1 3 22
Total Working Papers 13 47 209 12,847 113 321 1,534 64,349


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 87 0 1 10 246
A General Approach to Serial Correlation 1 1 3 22 1 2 7 67
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 0 12 0 0 0 48
A count data model with unobserved heterogeneity 0 0 2 46 0 0 14 214
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 1 3 1 3 6 16
Affine Models for Credit Risk Analysis 0 0 0 203 0 0 7 477
Agrégation de processus autorégressifs d'ordre 1 0 0 0 2 0 0 2 9
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 46 0 0 2 100
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 12 1 1 3 104
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 1 6 22 198 2 12 37 366
Autoregressive gamma processes 2 3 8 164 2 4 19 412
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 16 0 7 11 49
Bilateral exposures and systemic solvency risk 0 0 1 41 2 4 16 161
Bon ou mauvais usage des notations 0 0 0 2 0 0 2 16
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 15 0 0 6 76
Causality between Returns and Traded Volumes 0 0 0 3 0 0 5 21
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 3 80 2 7 20 413
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 0 37 0 3 6 153
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 14 0 2 14 69
Continuous Time Wishart Process for Stochastic Risk 0 1 5 126 1 2 9 284
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 0 15 0 0 0 45
Converting Tail-VaR to VaR: An Econometric Study 0 1 3 13 0 1 6 46
Correlated risks vs contagion in stochastic transition models 0 0 4 12 0 1 9 92
Courbes de performances, de sélection et de discrimination 0 1 2 5 0 2 7 14
Création d’actifs financiers et remboursements anticipés 1 1 1 5 1 1 2 30
DYNAMIC FACTOR MODELS 0 0 3 261 0 1 12 614
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 0 67 0 0 2 167
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 5 0 0 1 40
Diffusion Processes with Polynomial Eigenfunctions 0 0 2 5 0 1 7 22
Diffusion et effet de vague 0 0 0 0 0 0 0 0
Direct test of the rational expectation hypothesis 0 0 0 62 0 1 3 126
Discrete time Wishart term structure models 0 0 1 77 0 0 4 221
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 80 0 3 8 312
Double instrumental variable estimation of interaction models with big data 0 1 2 17 0 3 16 91
Duration time‐series models with proportional hazard 0 0 0 62 0 1 1 139
Duration, transition and count data models Introduction 0 0 1 79 0 1 6 198
Dynamic quantile models 0 0 4 199 2 5 25 486
D’une analyse de variabilités à un modèle d’investissement des firmes 0 0 0 3 0 1 2 38
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 0 1 4 78
ESTIMATION-ADJUSTED VAR 0 0 0 21 0 3 6 101
Econometric specification of stochastic discount factor models 0 0 2 160 1 3 6 302
Econometric specification of the risk neutral valuation model 0 0 1 95 2 4 8 248
Econometrics of efficient fitted portfolios 0 1 2 54 1 5 9 152
Effet des modes de négociation sur les échanges 0 0 0 3 0 0 4 33
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 0 4 14 221
Factor ARMA representation of a Markov process 0 0 0 49 0 0 1 138
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 1 3 12 0 1 5 23
Financial Regulations and Procyclicality 0 0 3 41 0 1 9 117
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 0 1 4 76
Generalised residuals 4 10 27 876 6 15 51 1,522
Granularity Adjustment for Efficient Portfolios 0 1 1 20 1 8 12 93
Granularity adjustment for default risk factor model with cohorts 0 0 0 53 1 1 5 239
Heterogeneous INAR(1) model with application to car insurance 2 2 3 190 2 3 14 421
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire 0 0 0 1 1 1 3 7
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible) 0 0 0 0 0 0 5 7
Hétérogénéité et hasard dans les modèles de durée 0 0 0 1 1 1 1 3
Indirect Inference 1 4 14 1,538 6 15 68 3,875
Indirect inference for dynamic panel models 3 11 18 168 5 16 29 441
Infrequent Extreme Risks 0 0 0 19 0 0 2 89
Infrequent Extreme Risks 0 0 0 116 0 0 3 284
Instrumental Models and Indirect Encompassing 0 0 0 0 0 7 10 261
International money and stock market contingent claims 0 0 6 69 0 1 18 212
Intra-day market activity 0 0 3 244 3 3 21 476
Intraday Transaction Price Dynamics 0 1 1 4 0 1 1 11
Introduction 0 0 0 3 1 1 8 34
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 70 0 0 3 175
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 3 6 117 0 5 11 246
Kullback Causality Measures 0 2 6 11 1 3 13 27
L-performance with an application to hedge funds 0 0 0 30 0 2 15 156
Learning Procedures and Convergence to Rationality 1 2 2 46 1 6 12 194
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 0 1 2 33
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 3 25 1,169 4 20 68 4,413
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 0 0 1 4 10
Linear-price term structure models 0 0 1 23 0 0 3 66
Liquidation equilibrium with seniority and hidden CDO 0 0 1 32 1 2 15 215
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 1 8 0 0 2 38
Local explosion modelling by non-causal process 0 0 4 15 0 5 20 76
Love and death: A Freund model with frailty 0 0 6 20 0 5 20 106
Managing hedonic housing price indexes: The French experience 0 0 3 89 0 1 15 301
Mean‐Variance Hedging and Numéraire 0 0 1 42 2 2 5 126
Memory and infrequent breaks 0 0 0 43 1 1 4 117
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 0 2 72
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 3 4 0 1 8 10
Migration correlation: Definition and efficient estimation 0 0 1 83 1 1 9 338
Misspecification of noncausal order in autoregressive processes 0 0 1 19 1 3 14 62
Modèles de comptage semi-paramétriques 1 1 1 11 1 1 3 59
Multivariate Jacobi process with application to smooth transitions 1 2 3 164 1 2 7 339
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 2 26 0 3 6 66
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 1 2 0 0 7 16
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 0 2 4 0 0 4 15
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 0 9 0 1 4 55
On the Problem of Missing Data in Linear Models 0 0 0 91 1 2 3 239
On the backward-forward procedure 0 0 0 29 0 0 3 109
On the characterization of a joint probability distribution by conditional distributions 0 0 0 94 0 1 4 291
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 8 0 1 4 29
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 0 0 2 46
Prepayment analysis for securitization 0 0 1 131 0 0 4 280
Pricing default events: Surprise, exogeneity and contagion 0 0 2 22 0 1 10 123
Pricing with Splines 0 0 0 2 0 0 6 17
Pricing with finite dimensional dependence 0 0 0 5 0 0 1 54
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 1 5 14 892 4 16 44 2,337
Pseudo Maximum Likelihood Methods: Theory 3 9 31 1,470 11 28 105 3,527
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 1 60 0 0 1 144
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 0 4 4 120
Qualitative threshold ARCH models 1 2 6 272 2 4 15 612
Rank tests for unit roots 0 0 1 59 0 0 6 156
Rational Expectations Models and Bounded Memory 0 0 1 28 0 3 4 119
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 1 91 0 4 12 261
Regime Switching and Bond Pricing 0 0 0 7 0 2 11 60
STOCHASTIC UNIT ROOT MODELS 0 0 0 25 1 2 3 53
Sensitivity analysis of Values at Risk 2 3 14 424 2 8 34 949
Simulated residuals 0 1 1 141 0 1 4 250
Simulation Based Inference in Models with Heterogeneity 1 1 5 30 2 2 11 53
Simulation-based inference: A survey with special reference to panel data models 0 0 2 309 1 2 9 567
Solutions of Linear Rational Expectations Models 0 0 2 19 0 1 7 57
Solutions of multivariate Rational Expectations Models 0 0 0 25 0 0 6 80
Some theoretical results for generalized ridge regression estimators 0 0 1 78 2 3 4 166
Specification pre-test estimator 0 0 0 39 1 1 3 159
Spread Term Structure and Default Correlation 0 0 1 10 1 2 7 41
Statistical inference for independent component analysis: Application to structural VAR models 1 3 19 101 2 10 62 270
Stochastic volatility duration models 0 0 0 255 1 2 5 573
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 134 1 1 8 316
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 2 2 83
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 1 1 2 74
Testing for Common Roots 0 0 0 28 0 4 7 191
Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment 0 2 3 319 2 5 16 872
Testing nested or non-nested hypotheses 0 0 2 127 0 1 15 312
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 59 0 0 4 106
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 0 1 4 268
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 2 3 7 16 23
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 0 0 3 74
The Tradability Premium on the S&P 500 Index 0 0 1 8 1 1 6 32
The Wishart Autoregressive process of multivariate stochastic volatility 1 5 11 314 5 15 44 804
The econometrics of efficient portfolios 0 0 0 123 0 2 8 283
The ordered qualitative model for credit rating transitions 1 1 5 170 1 2 13 474
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 0 2 105
Une approche géométrique des processus ARMA 0 0 0 1 0 0 1 6
Unemployment insurance and mortgages 0 0 0 17 0 0 3 101
Économétrie de la finance: l’exemple du risque de crédit 1 1 1 31 2 6 7 126
Total Journal Articles 30 92 353 14,079 107 380 1,459 38,769


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 8 12 51 103
Econometrics of Qualitative Dependent Variables 0 0 0 0 1 3 31 111
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 0 1 36
Simulation-based Econometric Methods 0 0 0 0 4 29 101 370
Statistics and Econometric Models 0 0 0 0 1 1 16 210
Statistics and Econometric Models 0 0 0 0 5 21 86 230
Statistics and Econometric Models 0 0 0 0 2 9 41 150
Statistics and Econometric Models 0 0 0 0 1 2 9 104
Statistics and Econometric Models 2 volume set 0 0 0 0 0 2 8 55
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 1 3 8 41
Time Series and Dynamic Models 0 0 0 0 0 1 12 126
Time Series and Dynamic Models 0 0 0 0 0 1 5 80
Total Books 0 0 0 0 23 84 369 1,616


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 1 1 0 1 5 9
Introduction 0 0 0 13 1 2 10 47
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 1 1 3 308 1 1 9 712
Testing non-nested hypotheses 1 1 3 253 1 1 15 591
Total Chapters 2 2 7 575 3 5 39 1,359


Statistics updated 2021-01-03