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 1 105 2 2 3 226
A Classification of Two Factor Affine Diffusion Term Structure Models 0 1 1 53 1 2 4 129
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 0 1 2 78
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 0 18 0 1 1 59
A term structure model with level factor cannot be realistic and arbitrage free 0 0 0 54 1 2 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 21 0 0 1 308
Actifs financiers et theorie de la consommation 0 0 0 0 0 0 0 1,087
Affine Model for Credit Risk Analysis 0 0 3 103 1 1 5 212
Affine Term Structure Models 0 0 2 149 0 0 4 299
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 0 0 163
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 1 1 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 0 1 1 91
Approche géométrique des processus arma (une) 0 0 0 2 1 2 2 148
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 34 0 1 1 141
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 0 1 1 3,172
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 0 1 2 219
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 1 2 4 628
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 1 2 2 187
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 0 1 1 26
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 0 2 0 1 1 120
Aversion Analysis 0 0 0 71 0 0 0 270
Aversion Analysis 0 0 0 75 0 1 2 346
Bartlett Identities Tests 0 0 0 163 0 1 3 762
Bartlett Identities Tests 0 0 0 23 0 0 0 142
Bartlett identities tests 0 0 0 11 0 1 3 329
Bilateral Exposures and Systemic Solvency Risk 1 1 1 103 2 2 4 343
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 0 0 3 885
Causality Between Returns and Trated Volumes 0 0 0 23 0 1 1 60
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 0 1 726
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 1 32 0 0 2 89
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 0 1 2 371
Compound Autoregressive Models 0 0 2 83 0 0 2 280
Computation of multipliers in multivariate rational expectations models 0 0 0 0 1 1 1 144
Conditions for Optimality in Experimental Designs 0 0 0 9 0 1 1 411
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 32 0 0 2 71
Consistent Pseudo-Maximum Likelihood Estimators 0 0 2 28 1 2 4 67
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 1 1 2 56
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 1 29 1 4 13 96
Consistent m-estimators in a semi-parametric model 1 1 2 26 1 5 7 200
Constrained Nonparametric Copulas 0 0 0 30 0 1 1 50
Contraintes linéaires mixtes 0 0 0 0 1 2 2 71
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 0 2 2 160
Court et long-terme dans les modèles de durée 0 0 0 3 0 1 2 165
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 8 0 1 1 181
DYNAMIC QUANTILE MODELS 0 0 0 411 0 0 3 803
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 0 0 0 58 0 1 4 176
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 0 65 0 1 1 216
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 0 0 0 65
Dynamic Factor Models 0 1 2 39 0 3 6 119
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 1 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 2 3 112
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 2 2 3 127
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 2 3 4 189
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 0 0 133
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 17 0 0 1 87
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 0 0 0 67
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 0 0 2 480
Efficient Portfolio Analysis Using Distortion Risk Measures 0 0 2 34 0 0 2 122
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 0 0 46
Estimation Adjusted VaR 0 0 0 110 0 1 3 337
Estimation and test in probit models with serial correlation 0 0 1 64 1 1 3 883
Estimation of the term structure from bond data 0 0 0 17 0 0 1 483
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 0 1 2 918
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 0 2 6 140
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 0 3 12 1,055
Evidence of adverse selection in automobile insurance markets 0 0 0 0 0 2 8 302
Explosive Bubble Modelling by Noncausal Process 0 1 9 339 0 3 16 656
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 1 1 204
Functional averages and statistical inference 0 0 0 0 1 2 2 85
Functional limit theorem for fractional processes (a) 0 0 5 29 0 2 7 239
Funding Liquidity Risk from A Regulatory Perspective 0 0 0 37 0 1 1 108
General approach of serial correlation (a) 0 0 0 4 3 3 3 239
Granularity Theory with Application to Finance and Insurance 0 0 1 136 0 0 3 283
Heterogeneity and hazard dominance in duration data models 0 0 0 0 0 1 1 86
Hétérogénéité dans les modèles à représentation linéaire 0 0 0 4 0 1 2 67
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 0 1 1 182
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 0 2 0 2 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 1 1 8 108
Indirect Inference 0 0 0 4 0 0 2 694
Indirect Inference for Dynamic Panel Models 0 0 0 324 0 0 0 832
International Money and Stock Market Contingent Claims 0 1 1 38 1 5 8 164
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 1 1 1,526
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 1 1 366
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 0 1 2 37
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 1 1 1 106
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 1 1 1 673
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 0 0 0 306
Learning procedure and convergence to rationality 0 1 1 9 0 2 3 173
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 0 0 0 170
Local Explosion Modelling by Noncausal Process 0 1 5 105 1 3 12 137
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 1 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 1 3 368
Market Time and Asset Price Movements Theory and Estimation 0 0 1 609 0 2 5 2,242
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 1 1 5 387
Market Time and Asset Price Movements: Theory and Estimation 0 0 1 34 0 1 4 234
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 1 1 1 7 1 3 10 557
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 1 1 5 121
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 2 45 1 2 5 130
Modes de négociation et caractéristiques de marché 0 0 0 1 1 1 2 347
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 0 1 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 1 2 242
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 5 0 1 2 51
Multiregime Term Structure Models 0 0 0 131 1 2 2 428
Multivariate distributions for limited dependent variable models 0 1 3 5 0 2 4 133
Negative Binomial Autoregressive Process 0 1 2 54 0 2 8 111
Negative Binomial Autoregressive Process 0 1 1 8 3 7 8 76
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 0 47 1 2 5 189
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 0 1 1 56
Nonlinear Innovations and Impulse Response 0 0 1 14 0 1 5 71
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 0 1 1 52
Nonlinear Persistence and Copersistence 0 0 0 55 1 1 2 149
Nonlinear Persistence and Copersistence 0 0 0 16 1 2 2 68
Nonlinear innovations and impulse responses 0 0 1 290 1 2 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 1 28 1 1 3 100
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 1 66 1 1 2 188
Pricing with Splines 0 0 0 34 0 0 0 72
Procyclité des Régulations des Marchés Financiers 0 0 0 10 0 1 2 67
Prévision de mesures de prix contingents 0 0 0 0 0 0 0 95
Pseudo maximum likelihood methods: theory 1 1 4 95 3 3 12 1,183
Pseudo maximum lilelihood methods: applications to poisson models 0 1 5 27 2 4 22 620
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 1 3 3 68 1 3 3 66
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 1 1 1 15
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 0 23 1 1 2 106
Qualitative threshold arch models 0 0 1 11 0 1 3 474
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 1 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 1 2 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 3 3 4 139
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 2 4 11 157 3 5 17 317
Robust Analysis of the Martingale Hypothesis 0 0 0 11 0 0 0 53
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 1 1 2 86 1 2 3 223
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 1 60 1 2 3 154
Sensitivity Analysis of Distortion Risk Measures 0 0 1 51 1 2 3 198
Sensitivity Analysis of Values at Risk 0 0 1 1,595 1 1 3 4,351
Sensitivity Analysis of Values at Risk 0 0 2 767 0 2 5 1,450
Sensitivity Analysis of Values at Risk 0 1 2 78 0 1 3 2,450
Sensitivity analysis of values at risk 0 0 0 1 1 1 1 465
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 0 1 2 196
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 1 2 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 1 1 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 2 3 32
Some theoretical results for generalized ridge regression estimators 0 0 0 3 0 1 2 438
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 0 1 1 33
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 32 1 1 8 104
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 1 100
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 1 9 116 1 5 23 175
Stochastic Migration Models with Application to Corporate Risk 0 0 0 25 0 1 1 87
Stochastic Volatility Duration Models 1 1 1 38 1 1 2 119
Strong concentration ordering 0 0 0 2 0 0 1 172
Structural Dynamic Analysis of Systematic Risk 0 0 0 17 0 1 2 68
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 0 0 1 129
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 1 2 2 413
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 9 0 1 1 31
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 0 282
Testing, encompassing and simulating dynamic econometric models 0 0 1 9 1 1 3 297
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 0 71
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 1 2 151
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 1 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 1 2 2 1,238
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 2 20 1 1 3 58
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 1 1 712 0 2 2 1,326
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 0 1 1 74
The agregation of commodities in quantity rationing models 0 0 0 2 0 1 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 2 2 3,020
Transitions in economy: price changes in russia in the twenties 0 0 0 21 0 0 0 259
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 0 0 1 55
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 0 2 2 212
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 1 1 3 280
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 1 1 1 210
Whishart Quadratic Term Structure Models 0 0 0 9 2 3 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 0 0 0 25
Total Working Papers 9 26 113 13,469 79 222 512 67,188
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 1 1 90 0 1 1 252
A General Approach to Serial Correlation 0 0 0 25 2 3 3 78
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 15 0 1 3 62
A count data model with unobserved heterogeneity 0 0 0 49 0 1 3 238
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 2 8 1 1 3 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 0 2 14
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 0 0 1 106
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 12 0 1 1 106
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 2 12 258 4 8 27 494
Autoregressive gamma processes 0 2 2 176 0 2 3 454
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 19 0 1 1 60
Bilateral exposures and systemic solvency risk 0 0 1 43 0 0 3 178
Bon ou mauvais usage des notations 0 0 0 2 0 1 1 23
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 0 1 1 82
Causality between Returns and Traded Volumes 0 0 0 3 0 1 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 2 41 0 0 3 169
Consistent Pseudo-Maximum Likelihood Estimators 0 0 1 15 0 0 1 83
Continuous Time Wishart Process for Stochastic Risk 0 1 3 138 1 3 5 317
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 1 17 2 3 5 54
Converting Tail-VaR to VaR: An Econometric Study 0 0 2 19 0 2 6 63
Correlated risks vs contagion in stochastic transition models 0 0 0 12 0 1 1 98
Courbes de performances, de sélection et de discrimination 0 0 0 12 0 2 6 37
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 1 1 33
DYNAMIC FACTOR MODELS 0 1 4 277 1 3 7 651
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 1 72 1 1 2 184
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 1 2 5
Direct test of the rational expectation hypothesis 0 0 0 65 0 1 2 136
Discrete time Wishart term structure models 1 1 3 80 2 4 7 236
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 1 85 1 1 5 324
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 1 1 142
Duration, transition and count data models Introduction 0 0 0 80 0 0 1 203
Dynamic quantile models 0 1 4 229 0 2 15 562
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 1 1 83
ESTIMATION-ADJUSTED VAR 0 0 2 24 0 1 4 113
Econometric specification of stochastic discount factor models 1 1 2 166 1 2 6 320
Econometric specification of the risk neutral valuation model 0 0 1 97 1 1 2 252
Econometrics of efficient fitted portfolios 0 0 0 60 0 1 4 168
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 1 2 2 143
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 1 10 29 0 1 12 50
Financial Regulations and Procyclicality 0 0 0 43 0 1 1 128
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 0 0 1 80
Generalised residuals 1 4 13 969 1 6 25 1,673
Granularity Adjustment for Efficient Portfolios 0 0 1 27 0 1 2 112
Granularity adjustment for default risk factor model with cohorts 0 0 1 57 0 0 5 254
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 1 1 12
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 1 1 1 10
Indirect Inference 1 3 11 1,583 3 12 47 4,103
Indirect inference for dynamic panel models 0 1 2 213 0 1 6 531
Infrequent Extreme Risks 1 1 1 118 1 1 1 288
Infrequent Extreme Risks 0 0 0 19 1 1 1 92
Instrumental Models and Indirect Encompassing 0 0 0 0 0 1 2 268
International money and stock market contingent claims 0 0 0 73 0 0 2 227
Intra-day market activity 0 0 5 262 0 0 7 515
Intraday Transaction Price Dynamics 0 0 0 6 1 1 4 20
Introduction 0 0 0 4 0 1 1 39
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 1 1 182
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 0 124 0 1 2 264
Kullback Causality Measures 0 0 1 21 0 0 1 52
L-performance with an application to hedge funds 0 0 0 30 1 2 5 173
Learning Procedures and Convergence to Rationality 0 0 0 48 0 0 1 207
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 0 0 5 1,220 0 0 14 4,532
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 1 1 2 16
Linear-price term structure models 0 0 1 30 0 0 1 78
Liquidation equilibrium with seniority and hidden CDO 0 1 1 35 0 1 2 232
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 1 2 2 43
Local explosion modelling by non-causal process 0 0 5 40 1 3 16 153
Love and death: A Freund model with frailty 0 0 0 24 0 2 3 171
Managing hedonic housing price indexes: The French experience 1 1 3 107 1 2 10 354
Mean‐Variance Hedging and Numéraire 2 3 4 48 3 6 7 143
Memory and infrequent breaks 0 0 1 49 0 0 3 134
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 1 1 2 77
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 2 7 2 3 6 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 0 0 1 78
Modèles de comptage semi-paramétriques 0 0 0 11 0 1 1 64
Multivariate Jacobi process with application to smooth transitions 0 0 5 180 0 1 9 366
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 3 17 67 0 5 22 132
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 1 1 3 13 2 3 6 40
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 0 0 5 0 1 3 21
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 0 10 0 1 2 62
On the Problem of Missing Data in Linear Models 0 0 2 99 0 1 4 258
On the backward-forward procedure 0 0 0 30 1 1 3 115
On the characterization of a joint probability distribution by conditional distributions 0 0 3 106 1 1 4 309
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 0 10 0 0 1 35
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 1 1 2 29 2 3 6 147
Pricing with Splines 1 1 4 12 2 5 10 36
Pricing with finite dimensional dependence 0 1 1 7 0 1 2 63
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 0 0 12 948 2 3 29 2,473
Pseudo Maximum Likelihood Methods: Theory 0 1 10 1,546 2 6 30 3,740
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 1 2 3 153
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 2 2 2 123
Qualitative threshold ARCH models 0 0 1 279 0 0 4 642
Rank tests for unit roots 0 0 0 62 0 2 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 0 1 275
Regime Switching and Bond Pricing 1 1 2 12 2 2 3 73
STOCHASTIC UNIT ROOT MODELS 0 0 0 26 1 3 3 65
Sensitivity analysis of Values at Risk 0 2 10 462 0 5 16 1,044
Simulated residuals 0 0 0 141 1 1 1 259
Simulation Based Inference in Models with Heterogeneity 0 1 7 54 3 5 15 102
Simulation-based inference: A survey with special reference to panel data models 0 0 5 324 0 0 9 602
Solutions of Linear Rational Expectations Models 0 0 0 19 0 2 2 64
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 1 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 1 5 56
Statistical inference for independent component analysis: Application to structural VAR models 0 1 5 157 0 1 16 419
Stochastic volatility duration models 1 1 2 262 2 3 6 599
Structural Laplace Transform and Compound Autoregressive Models 0 0 5 141 1 1 6 342
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 2 331 0 0 7 909
Testing nested or non-nested hypotheses 0 3 4 137 0 3 6 330
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 0 61 1 2 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 1 2 39
The Wishart Autoregressive process of multivariate stochastic volatility 1 3 6 335 1 5 12 899
The econometrics of efficient portfolios 0 0 1 128 0 0 2 296
The ordered qualitative model for credit rating transitions 0 0 1 179 0 0 1 490
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 1 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 1 1 109
Économétrie de la finance: l’exemple du risque de crédit 0 0 0 37 0 1 2 148
Total Journal Articles 14 45 230 15,222 64 188 612 42,078

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 5 6 170
Econometrics of Qualitative Dependent Variables 0 0 0 0 0 2 6 174
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 2 3 40
Simulation-based Econometric Methods 0 0 0 0 2 5 12 506
Statistics and Econometric Models 0 0 0 0 1 3 23 442
Statistics and Econometric Models 0 0 0 0 0 1 14 266
Statistics and Econometric Models 0 0 0 0 0 0 7 251
Statistics and Econometric Models 0 0 0 0 0 0 8 152
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 0 1 2 51
Time Series and Dynamic Models 0 0 0 0 1 2 11 170
Time Series and Dynamic Models 0 0 0 0 0 0 10 161
Total Books 0 0 0 0 5 21 102 2,383

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 1 1 1 14
Introduction 0 0 0 13 0 0 2 54
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 310 0 1 3 725
Testing non-nested hypotheses 0 1 1 258 1 2 4 605
Total Chapters 0 1 1 583 2 4 10 1,398

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