Access Statistics for Christian S. Gourieroux

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Working Paper File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution 1 1 2 107 1 1 6 230
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 1 53 0 2 4 131
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 2 4 5 82
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 1 19 0 0 2 60
A term structure model with level factor cannot be realistic and arbitrage free 0 0 0 54 0 1 3 141
Actifs Financiers et Theorie de la Consommation 0 0 0 0 0 1 1 745
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 0 308
Affine Model for Credit Risk Analysis 0 0 1 104 1 1 4 215
Affine Term Structure Models 0 0 0 149 0 1 3 302
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 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 0 290
An Analysis of the Ultra Long-Term Yields 0 0 0 38 0 3 4 114
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 0 0 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 14 0 0 2 187
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 0 1 3 629
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 0 0 2 27
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 1 1 1 3 1 2 3 122
Aversion Analysis 0 0 0 71 0 0 0 270
Aversion Analysis 0 0 0 75 0 0 1 346
Bartlett Identities Tests 0 0 0 163 0 2 4 765
Bartlett Identities Tests 1 1 1 24 3 3 3 145
Bartlett identities tests 0 0 0 11 0 1 2 330
Bilateral Exposures and Systemic Solvency Risk 1 1 2 104 2 2 7 348
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 1 4 889
Causality Between Returns and Trated Volumes 0 0 0 23 4 6 7 66
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 0 1 1 727
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 1 44 0 0 1 70
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 0 0 1 90
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 0 0 2 371
Compound Autoregressive Models 0 0 0 83 0 0 0 280
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 29 0 0 7 96
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 0 0 1 56
Consistent m-estimators in a semi-parametric model 1 1 2 27 1 2 8 203
Constrained Nonparametric Copulas 0 0 0 30 2 3 4 53
Contraintes linéaires mixtes 0 0 0 0 0 0 2 71
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 0 0 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 1 2 182
DYNAMIC QUANTILE MODELS 0 0 0 411 0 1 4 807
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 1 1 6 64 1 2 8 183
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 1 66 0 0 2 217
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 0 0 0 235
Duration Time Series Models with Proportional Hazard 0 0 0 25 0 1 2 67
Dynamic Factor Models 1 1 2 40 1 2 7 122
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 1 2 793
Econométrie de la Finance: approches historiques 0 0 0 0 1 1 3 113
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 0 0 4 189
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 0 0 3 127
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 0 1 2 135
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 0 0 1 88
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 1 481
Efficient Portfolio Analysis Using Distortion Risk Measures 0 0 2 35 0 1 3 124
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 0 1 2 48
Estimation Adjusted VaR 0 0 0 110 1 2 5 340
Estimation and test in probit models with serial correlation 0 0 0 64 1 2 4 886
Estimation of the term structure from bond data 0 0 1 18 0 0 1 484
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 0 0 7 1,055
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 1 4 12 148
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 0 0 1 6 305
Explosive Bubble Modelling by Noncausal Process 0 0 4 341 0 1 12 662
Factor ARMA Representation of a Markov Process 0 0 0 10 1 2 2 250
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 0 5 30 0 0 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 3 4 4 287
Heterogeneity and hazard dominance in duration data models 0 0 0 0 0 0 1 86
Hétérogénéité dans les modèles à représentation linéaire 0 0 2 6 0 0 7 72
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 3 109
Indirect Inference 0 0 0 4 1 2 4 698
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 6 164
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 0 0 2 1,527
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 0 0 1 106
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 0 0 1 366
Kernel Based Nonlinear Canonical Analysis 0 0 0 7 0 0 2 37
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 2 308
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 1 105 0 1 6 139
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 0 2 3 92
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 2 369
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 0 1 5 2,245
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 0 0 1 387
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 0 0 1 234
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 1 7 0 0 7 559
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 3 123
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 1 46 0 1 5 132
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 3 4 4 108
Modèles de durée et effets de génération 0 0 0 2 0 1 2 243
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 0 0 315
Modèles économétriques: utilisation et interprétation (les) 0 0 0 2 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 1 51
Multivariate distributions for limited dependent variable models 0 0 2 5 0 0 3 133
Negative Binomial Autoregressive Process 0 0 1 54 1 2 9 117
Negative Binomial Autoregressive Process 0 1 2 9 0 2 12 81
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 1 1 48 0 1 4 190
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 73
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 1 3 4 152
Nonlinear innovations and impulse responses 0 0 0 290 0 0 2 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 28 0 0 1 100
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 0 0 2 189
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 1 1 1 96
Pseudo maximum likelihood methods: theory 0 0 3 97 0 0 8 1,186
Pseudo maximum lilelihood methods: applications to poisson models 1 2 7 31 1 3 22 626
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 0 0 3 68 0 0 5 68
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 0 0 2 16
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 0 23 0 0 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 0 34 0 0 1 338
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 1 1 5 141
Regime Switching and Bond Pricing 0 0 0 30 0 1 1 124
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 0 1 2 425
Revisiting Identification and estimation in Structural VARMA Models 0 0 7 158 0 1 9 319
Robust Analysis of the Martingale Hypothesis 0 0 0 11 0 0 0 53
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 1 2 87 0 1 4 225
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 1 60 0 0 4 155
Sensitivity Analysis of Distortion Risk Measures 0 0 1 51 2 2 7 202
Sensitivity Analysis of Values at Risk 0 0 2 769 0 0 4 1,452
Sensitivity Analysis of Values at Risk 0 0 2 1,597 0 1 4 4,354
Sensitivity Analysis of Values at Risk 0 0 3 80 1 1 5 2,454
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 19 0 0 2 95
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 0 0 3 198
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 2 58
Solutions of dynamic linear rational expectations models 0 0 0 7 0 0 1 183
Solutions of multivariate rational expectations models 0 0 0 10 0 1 3 33
Some theoretical results for generalized ridge regression estimators 0 0 0 3 0 1 3 440
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 0 0 2 34
Stationary Bubble Equilibria in Rational Expectation Models 0 1 3 34 0 1 8 108
Statistical Inference for Independent Component Analysis 0 1 1 47 0 1 1 135
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 1 2 7 118 1 2 13 179
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 0 0 0 100
Stochastic Migration Models with Application to Corporate Risk 1 1 1 26 1 1 2 88
Stochastic Volatility Duration Models 0 0 1 38 0 0 2 120
Strong concentration ordering 0 0 0 2 0 0 0 172
Structural Dynamic Analysis of Systematic Risk 0 0 0 17 0 0 1 68
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 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 0 2 32
Testing unknown linear restrictions on parameter functions 0 0 0 4 0 0 1 283
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 0 0 2 297
The Econometrics of Efficient Frontiers 0 0 0 36 0 0 1 72
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 0 0 2 152
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 0 1 1 47
The Informational Content of Household Decisions 0 0 0 9 0 0 1 47
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 0 0 0 642
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 0 0 3 1,239
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 1 20 0 0 3 59
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 0 4 715 0 4 11 1,335
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 1 2 244
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 0 1 22 1 1 3 262
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 0 2 2 40
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 0 0 2 57
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 0 1 3 213
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 0 1 280
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 2 5 40
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 0 0 0 120
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 0 1 2 27
Total Working Papers 10 17 102 13,522 43 123 552 67,447
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 0 5 80
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 1 1 16 0 1 3 64
A count data model with unobserved heterogeneity 0 0 0 49 0 3 8 244
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 0 0 0 8 0 0 1 26
Affine Models for Credit Risk Analysis 0 0 0 206 0 0 0 482
Agrégation de processus autorégressifs d'ordre 1 0 0 0 5 0 0 2 16
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 0 0 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 0 8 263 1 2 19 501
Autoregressive gamma processes 0 1 3 177 1 5 8 460
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 19 0 0 1 60
Bilateral exposures and systemic solvency risk 0 0 1 44 0 1 2 180
Bon ou mauvais usage des notations 0 0 0 2 0 1 2 24
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 1 2 3 24
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 0 1 2 425
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 0 1 41 0 2 4 171
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 15 1 3 3 86
Continuous Time Wishart Process for Stochastic Risk 0 0 4 140 0 0 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 1 5 65
Correlated risks vs contagion in stochastic transition models 0 0 0 12 3 3 4 101
Courbes de performances, de sélection et de discrimination 0 0 0 12 1 1 4 38
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 1 2 34
DYNAMIC FACTOR MODELS 0 0 2 278 0 0 6 653
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 2 73 0 0 3 185
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 1 1 1 43
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 0 1 1 34
Diffusion et effet de vague 0 0 0 0 0 0 1 5
Direct test of the rational expectation hypothesis 0 0 0 65 0 1 2 137
Discrete time Wishart term structure models 0 1 4 81 0 2 9 239
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 2 3 115
Duration time‐series models with proportional hazard 0 0 0 62 0 1 2 143
Duration, transition and count data models Introduction 0 0 0 80 0 1 1 204
Dynamic quantile models 0 0 1 229 0 3 5 565
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 2 84
ESTIMATION-ADJUSTED VAR 0 1 2 25 0 2 6 116
Econometric specification of stochastic discount factor models 0 0 1 166 0 1 6 322
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 0 239
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 6 29 0 0 7 51
Financial Regulations and Procyclicality 0 0 0 43 0 1 4 131
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 0 1 1 81
Generalised residuals 0 3 12 976 1 4 20 1,684
Granularity Adjustment for Efficient Portfolios 0 0 0 27 0 2 3 114
Granularity adjustment for default risk factor model with cohorts 1 1 1 58 3 5 7 259
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 1 3 3 452
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire 0 0 0 2 0 0 0 10
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible) 1 1 1 1 1 1 2 13
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 0 1 2 11
Indirect Inference 0 0 9 1,587 1 10 47 4,130
Indirect inference for dynamic panel models 0 0 1 213 0 2 6 535
Infrequent Extreme Risks 0 1 1 20 0 1 2 93
Infrequent Extreme Risks 0 0 1 118 0 0 1 288
Instrumental Models and Indirect Encompassing 0 0 0 0 0 3 4 271
International money and stock market contingent claims 0 0 0 73 0 0 1 227
Intra-day market activity 0 0 1 262 1 2 4 517
Intraday Transaction Price Dynamics 0 0 0 6 0 0 3 20
Introduction 0 0 0 4 0 0 2 40
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 0 2 4 185
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 2 3 127 0 2 4 267
Kullback Causality Measures 0 0 3 23 0 1 5 56
L-performance with an application to hedge funds 0 0 0 30 0 0 3 173
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 1 1 37
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 0 3 5 1,225 0 6 10 4,542
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 0 1 2 17
Linear-price term structure models 0 0 0 30 0 0 0 78
Liquidation equilibrium with seniority and hidden CDO 0 0 1 35 0 0 2 233
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 0 0 3 44
Local explosion modelling by non-causal process 0 0 6 43 0 0 12 159
Love and death: A Freund model with frailty 0 0 0 24 0 0 3 172
Managing hedonic housing price indexes: The French experience 0 1 6 110 2 5 16 365
Mean‐Variance Hedging and Numéraire 0 0 3 48 0 0 6 143
Memory and infrequent breaks 0 0 0 49 0 1 1 135
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 0 1 77
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 0 7 0 0 3 29
Migration correlation: Definition and efficient estimation 0 0 0 89 0 0 0 349
Misspecification of noncausal order in autoregressive processes 0 1 1 24 0 1 3 80
Modèles de comptage semi-paramétriques 0 0 0 11 0 0 1 64
Multivariate Jacobi process with application to smooth transitions 0 0 1 181 0 0 3 367
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 10 69 0 1 14 136
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 1 4 14 0 2 7 42
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 0 1 6 0 0 5 24
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 1 1 1 11 1 1 4 65
On the Problem of Missing Data in Linear Models 0 0 0 99 0 2 6 263
On the backward-forward procedure 0 0 0 30 0 1 2 116
On the characterization of a joint probability distribution by conditional distributions 0 0 1 106 0 1 3 310
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 1 1 1 11 1 1 2 37
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 0 0 0 53
Prepayment analysis for securitization 0 0 0 132 0 1 1 287
Pricing default events: Surprise, exogeneity and contagion 0 0 2 30 1 1 5 149
Pricing with Splines 0 0 2 13 0 1 9 39
Pricing with finite dimensional dependence 0 0 1 7 0 2 3 65
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 3 5 10 954 3 11 29 2,492
Pseudo Maximum Likelihood Methods: Theory 3 5 13 1,556 6 10 32 3,762
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 1 1 280 0 1 2 643
Rank tests for unit roots 0 0 0 62 0 2 4 172
Rational Expectations Models and Bounded Memory 0 0 0 29 0 1 1 125
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 1 98 0 1 5 279
Regime Switching and Bond Pricing 0 0 1 12 0 0 2 73
STOCHASTIC UNIT ROOT MODELS 0 0 1 27 1 1 5 67
Sensitivity analysis of Values at Risk 0 0 4 463 0 0 7 1,045
Simulated residuals 0 0 0 141 0 1 2 260
Simulation Based Inference in Models with Heterogeneity 0 0 2 55 0 0 7 103
Simulation-based inference: A survey with special reference to panel data models 0 0 2 325 0 1 5 605
Solutions of Linear Rational Expectations Models 0 0 0 19 0 1 4 66
Solutions of multivariate Rational Expectations Models 0 0 0 28 0 2 2 85
Some theoretical results for generalized ridge regression estimators 0 0 0 78 0 2 3 173
Specification pre-test estimator 0 0 0 39 0 1 1 167
Spread Term Structure and Default Correlation 0 0 0 12 0 0 2 56
Statistical inference for independent component analysis: Application to structural VAR models 1 1 3 158 5 9 20 436
Stochastic volatility duration models 0 0 1 262 0 2 6 601
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 141 0 1 6 347
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 1 1 87
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 1 1 1 78
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 1 3 911
Testing nested or non-nested hypotheses 0 0 3 137 0 1 4 331
Testing, Encompassing, and Simulating Dynamic Econometric Models 1 1 1 62 1 5 7 117
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 1 1 75
The Tradability Premium on the S&P 500 Index 0 0 0 9 0 0 1 39
The Wishart Autoregressive process of multivariate stochastic volatility 0 0 6 337 3 4 17 909
The econometrics of efficient portfolios 0 0 1 129 0 0 2 298
The ordered qualitative model for credit rating transitions 0 0 2 181 1 3 6 496
Truncated dynamics and estimation of diffusion equations 0 0 0 27 0 1 2 113
Une approche géométrique des processus ARMA 0 0 0 2 1 1 1 10
Unemployment insurance and mortgages 0 0 0 18 0 2 3 111
Économétrie de la finance: l’exemple du risque de crédit 1 1 1 38 2 2 4 151
Total Journal Articles 13 34 173 15,305 46 183 617 42,414

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 1 8 172
Econometrics of Qualitative Dependent Variables 0 0 0 0 1 1 4 175
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 0 2 40
Simulation-based Econometric Methods 0 0 0 0 0 2 13 512
Statistics and Econometric Models 0 0 0 0 0 2 8 445
Statistics and Econometric Models 0 0 0 0 0 0 1 153
Statistics and Econometric Models 0 0 0 0 0 2 4 255
Statistics and Econometric Models 0 0 0 0 1 8 18 278
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 1 2 6 173
Time Series and Dynamic Models 0 0 0 0 0 1 2 162
Total Books 0 0 0 0 4 19 67 2,416

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 0 54
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 1 311 0 1 5 728
Testing non-nested hypotheses 0 0 1 258 1 2 4 607
Total Chapters 0 0 2 584 1 3 10 1,403

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