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 3 108 0 5 11 235
A Classification of Two Factor Affine Diffusion Term Structure Models 0 0 0 53 1 1 4 132
A Degeneracy in the Analysis of Volatility and Covolatility Effects 0 0 0 18 2 2 7 85
A Flexible State-Space Model with Application to Stochastic Volatility 0 0 1 19 2 3 5 64
A term structure model with level factor cannot be realistic and arbitrage free 0 1 1 55 0 3 7 146
Actifs Financiers et Theorie de la Consommation 0 0 0 0 2 3 4 748
Actifs financiers et theorie de la consommation 0 0 0 21 2 2 2 310
Actifs financiers et theorie de la consommation 0 0 0 0 2 4 5 1,092
Affine Model for Credit Risk Analysis 0 0 1 104 5 5 10 221
Affine Term Structure Models 0 0 0 149 4 4 7 306
Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques 0 0 0 47 1 3 3 321
Agrégation de processus autoregressifs d'ordre 1 0 0 0 1 4 6 7 170
Ajustement des prix bid et ask en présence d'information privée 0 0 0 12 0 2 3 304
Allocating Systematic and Unsystematic Risks in a Regulatory Perspective 0 0 0 144 1 2 2 292
An Analysis of the Ultra Long-Term Yields 0 0 0 38 1 1 4 115
An Econometric Analysis of Household Portfolio Allocation 0 0 0 42 3 4 5 96
Approche géométrique des processus arma (une) 0 0 0 2 0 1 3 150
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 34 4 4 4 145
Arbitrage Based Pricing When Volatility Is Stochastic 0 0 0 732 2 6 7 3,179
Arbitrage-Based Pricing When Volatility is Stochastic 0 0 0 17 3 6 7 226
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 1 3 5 9 636
Arbitrage-Based Pricing when Volatility is Stochastic 0 0 0 14 19 22 23 209
Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices 0 0 0 25 4 6 7 33
Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e 0 0 1 3 3 3 6 126
Aversion Analysis 0 0 0 75 0 1 1 347
Aversion Analysis 0 0 0 71 1 2 3 273
Bartlett Identities Tests 0 0 0 163 5 6 9 771
Bartlett Identities Tests 0 0 1 24 5 9 12 154
Bartlett identities tests 0 0 0 11 1 3 5 334
Bilateral Exposures and Systemic Solvency Risk 0 0 2 104 3 5 12 353
Bulles spéculatives et transmission d'information sur le marché d'un bien stockable 0 0 0 1 4 5 5 70
Calibrarion By Simulation for Small Sample Bias Correction 0 0 0 0 3 6 11 896
Causality Between Returns and Trated Volumes 0 0 0 23 3 3 9 69
Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes 0 0 0 108 3 6 7 733
Comparison of Kernel estimator based goodness of fit tests (a) 0 0 0 6 0 2 3 361
Composite Indirect Inference with Application 0 0 1 44 6 10 12 81
Composite Indirect Inference with Application to Corporate Risks 0 0 0 32 3 5 6 95
Composition des portefeuilles des ménages: une analyse scores sur données françaises 0 0 0 2 0 2 2 373
Compound Autoregressive Models 0 0 0 83 2 5 7 287
Computation of multipliers in multivariate rational expectations models 0 0 0 0 2 3 5 148
Conditions for Optimality in Experimental Designs 0 0 0 9 2 3 4 415
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 32 1 5 5 76
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 28 0 5 6 72
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 12 3 6 7 62
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations 0 0 0 29 2 5 6 101
Consistent m-estimators in a semi-parametric model 0 1 3 28 7 12 17 216
Constrained Nonparametric Copulas 0 0 0 30 0 1 4 54
Contraintes linéaires mixtes 0 0 0 0 2 5 6 76
Correlated Risks vs Contagion in Stochastic Transition Models 0 0 0 64 0 5 6 166
Court et long-terme dans les modèles de durée 0 0 0 3 2 6 7 172
Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method 0 0 0 8 2 3 4 185
DYNAMIC QUANTILE MODELS 0 0 0 411 6 10 20 823
Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk 0 1 7 65 3 6 13 189
Detecting a long run relationship (with an application to the p.p.p. hypothesis) 0 0 1 66 2 3 4 220
Direct test of the rational expectations hypothesis (with special attention to qualitative variables) 0 0 0 2 0 3 4 239
Duration Time Series Models with Proportional Hazard 0 0 0 25 1 2 4 69
Dynamic Factor Models 0 0 1 40 4 9 12 131
Dynamiques tronquées et estimation de modèles de diffusion 0 0 0 2 0 0 1 26
Econometric Specification of the Risk Neutral Valuation Model 0 0 0 28 3 6 9 94
Econometric specification of the risk neutral valuation model 0 0 0 6 0 4 6 797
Econométrie de la Finance: approches historiques 0 0 0 0 2 2 4 116
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 28 4 6 8 133
Efficiency in Large Dynamic Panel Models with Common Factor 0 0 0 63 8 11 13 200
Efficient Derivative Pricing By The Extended Method of Moments 0 0 0 42 2 5 8 141
Efficient Derivative Pricing by Extended Method of Moments 0 0 1 18 2 3 5 92
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 6 1 5 5 72
Efficient Derivative Pricing by Extended Method of Moments 0 0 0 183 3 7 8 488
Efficient Portfolio Analysis Using Distortion Risk Measures 0 0 2 36 0 0 3 125
Equidependence in Qualitative and Duration Models with Application to Credit Risk 0 0 0 18 5 6 8 54
Estimation Adjusted VaR 0 0 0 110 1 2 5 342
Estimation and test in probit models with serial correlation 0 0 0 64 1 3 8 890
Estimation of the term structure from bond data 0 1 3 20 3 7 10 493
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 53 2 3 12 152
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 4 3 4 4 922
Evidence of Adverse Selection in Automobile Insurance Markets 0 0 0 0 4 6 6 1,061
Evidence of adverse selection in automobile insurance markets 0 0 0 0 1 2 7 309
Explosive Bubble Modelling by Noncausal Process 0 1 3 342 3 9 15 671
Factor ARMA Representation of a Markov Process 0 0 0 10 2 3 6 254
Filtering and Prediction in Noncausal Processes 0 0 0 180 0 1 1 205
Functional averages and statistical inference 0 0 0 0 0 1 4 88
Functional limit theorem for fractional processes (a) 0 0 1 30 0 4 9 248
Funding Liquidity Risk from A Regulatory Perspective 0 0 0 37 2 2 2 110
General approach of serial correlation (a) 0 0 0 4 3 7 10 246
Granularity Theory with Application to Finance and Insurance 0 0 0 136 3 4 11 294
Heterogeneity and hazard dominance in duration data models 0 0 0 0 1 4 4 90
Hétérogénéité dans les modèles à représentation linéaire 0 0 2 6 1 3 8 75
Hétérogénéité/i/cas linéaire (le) 0 0 0 17 3 3 3 185
Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible) 0 0 0 2 0 0 1 154
Identification & consistent estimation of multi-variate linear models with rational expectations of current variables 0 0 0 1 1 2 3 118
Identification and Estimation in Non-Fundamental Structural VARMA Models 0 0 0 79 4 4 7 114
Indirect Inference 0 0 0 4 86 139 146 840
Indirect Inference for Dynamic Panel Models 0 0 0 324 10 61 62 894
International Money and Stock Market Contingent Claims 0 0 0 38 6 8 10 173
Kernel Autocorrelogram for Time Deformed Processes 0 0 0 165 4 4 6 1,532
Kernel Based Nonlinear Canonical Analysis 0 0 0 37 3 4 5 110
Kernel Based Nonlinear Canonical Analysis 1 1 1 8 2 4 5 42
Kernel Based Nonlinear Canonical Analysis 0 0 0 1 2 4 5 371
Kernel Based Nonlinear Canonical Analysis and Time Reversibility 0 0 0 17 4 6 8 680
Kernel m-estimators: non parametric diagnostics for structural models 0 0 0 18 2 3 5 311
Learning procedure and convergence to rationality 0 0 0 9 2 6 8 181
Liquidation Equilibrium with Seniority and Hidden CDO 0 0 0 46 1 6 8 178
Local Explosion Modelling by Noncausal Process 0 0 0 105 0 5 9 145
Local Likelihood Density Estimation and Value at Risk 0 0 0 33 1 2 5 95
Long Term Care and Longevity 0 0 0 51 2 5 6 137
Love and Death: A Freund Model with Frailty 0 0 0 73 0 2 4 372
Market Time and Asset Price Movements Theory and Estimation 0 0 0 609 7 13 16 2,258
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 0 5 8 10 396
Market Time and Asset Price Movements: Theory and Estimation 0 0 0 34 11 15 15 249
Matching Procedures and Market Characteristics 0 0 0 5 0 0 0 30
Mean-variance hedging and numeraire 0 0 1 7 3 5 8 564
Microinformation, Nonlinear Filtering and Granularity 0 0 0 24 0 0 5 125
Misspecification of Causal and Noncausal Orders in Autoregressive Processes 0 0 1 46 3 4 7 136
Modes de négociation et caractéristiques de marché 0 0 0 1 2 7 8 354
Modèles a anticipations rationnelles apprentissage par regression 0 0 0 3 1 2 3 131
Modèles de comptage semi-paramétriques 0 0 0 11 4 8 12 116
Modèles de durée et effets de génération 0 0 0 2 0 0 1 243
Modèles linéaires à facteurs et structure à terme des taux d'intérêt 0 0 0 0 0 1 1 316
Modèles économétriques: utilisation et interprétation (les) 0 0 0 2 4 6 6 385
Multiregime Term Structure Models 0 0 0 5 1 3 3 54
Multiregime Term Structure Models 0 0 0 131 0 0 1 428
Multivariate distributions for limited dependent variable models 0 0 0 5 3 5 5 138
Negative Binomial Autoregressive Process 0 0 0 54 5 6 12 123
Negative Binomial Autoregressive Process 0 1 2 10 3 6 16 89
Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives 0 0 1 48 2 6 9 197
Nonlinear Autocorrelograms: An Application to Intra-Trade Durations 0 0 0 16 1 5 6 62
Nonlinear Innovations and Impulse Response 0 0 0 14 6 11 14 85
Nonlinear Panel Data Models with Dynamic Heterogeneity 0 0 0 27 5 7 8 60
Nonlinear Persistence and Copersistence 0 0 0 55 2 4 8 156
Nonlinear Persistence and Copersistence 0 0 0 16 4 5 7 74
Nonlinear innovations and impulse responses 0 0 0 290 4 7 11 1,333
Nonlinear persistence and copersistence 0 0 0 199 2 8 9 710
On uniqueness of moving average representations of heavy-tailed stationary processes 0 0 0 63 2 4 4 96
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 66 6 9 11 198
Pricing Default Events: Surprise, Exogeneity and Contagion 0 0 0 28 7 8 10 109
Pricing with Splines 0 0 0 34 2 4 5 77
Procyclité des Régulations des Marchés Financiers 0 0 0 10 1 3 4 71
Prévision de mesures de prix contingents 0 0 0 0 0 2 3 98
Pseudo maximum likelihood methods: theory 0 0 3 97 3 9 16 1,196
Pseudo maximum lilelihood methods: applications to poisson models 0 1 5 32 3 6 15 633
Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations 1 1 2 69 4 7 10 75
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 2 0 3 5 19
Quadratic Stochastic Intensity and Prospective Mortality Tables 0 0 1 24 3 7 10 115
Qualitative threshold arch models 0 1 1 12 3 9 9 483
Quantité de monnaie (la): russie, les années 1918-1927 0 0 0 34 2 2 3 340
Rank tests for unit roots 0 0 0 31 3 8 8 152
Rational expectations models and bounded memory 0 0 0 6 3 5 5 166
Reduced Forms of Rational Expectations Models 1 1 1 7 2 3 4 77
Reduction and identification of simultaneous equations models with rational expectations 0 0 0 4 1 3 5 158
Regime Switching and Bond Pricing 0 0 0 65 3 6 13 149
Regime Switching and Bond Pricing 0 0 0 30 1 2 3 126
Revision adaptative des anticipations et convergence vers les anticipations rationnelles 0 0 1 6 2 2 6 429
Revisiting Identification and estimation in Structural VARMA Models 0 0 3 158 1 4 10 324
Robust Analysis of the Martingale Hypothesis 0 0 0 11 2 4 5 58
Robust Portfolio Allocation with Systematic Risk Contribution Restrictions 0 0 2 87 2 4 7 229
Semi-Parametric Estimation of Noncausal Vector Autoregression 0 0 0 60 1 4 6 159
Sensitivity Analysis of Distortion Risk Measures 0 0 0 51 5 9 16 213
Sensitivity Analysis of Values at Risk 0 0 2 769 2 7 10 1,460
Sensitivity Analysis of Values at Risk 0 0 2 80 3 4 8 2,458
Sensitivity Analysis of Values at Risk 0 0 2 1,597 1 5 10 4,360
Sensitivity analysis of values at risk 0 0 0 1 3 5 7 471
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 19 0 1 2 96
Shock on Variable or Shock on Distribution with Application to Stress-Tests 0 0 0 75 5 10 12 208
Simulated residuals 0 0 0 7 2 3 3 270
Solutions of Dynamic Linear Rational Expectations Models 0 0 0 0 2 3 3 48
Solutions of Multivariate Rational Expectations Models 0 0 0 0 2 6 9 65
Solutions of dynamic linear rational expectations models 0 0 0 7 3 12 14 196
Solutions of multivariate rational expectations models 0 0 0 10 0 0 2 34
Some theoretical results for generalized ridge regression estimators 0 0 0 3 3 9 12 450
Speculative Bubbles and Exchange of Information on the Market of a Storable Good 0 0 0 0 0 0 3 36
Stationary Bubble Equilibria in Rational Expectation Models 0 0 2 34 5 13 19 122
Statistical Inference for Independent Component Analysis 0 0 1 47 0 2 3 137
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 2 118 1 6 12 186
Statistical Inference for Independent Component Analysis: Application to Structural VAR Models 0 0 0 34 2 4 4 104
Stochastic Migration Models with Application to Corporate Risk 0 0 1 26 5 6 7 94
Stochastic Volatility Duration Models 0 0 1 38 5 6 8 126
Strong concentration ordering 0 0 0 2 1 3 3 175
Structural Dynamic Analysis of Systematic Risk 0 0 0 17 1 1 1 69
Survival of Hedge Funds: Frailty vs Contagion 0 0 0 40 3 5 7 136
Sélection de clientèle et tarification de prêt bancaire 0 0 0 4 0 5 6 418
Tails and Extremal Behaviour of Stochastic Unit Root Models 0 0 0 9 0 0 2 33
Testing unknown linear restrictions on parameter functions 0 0 0 4 1 5 7 289
Testing, encompassing and simulating dynamic econometric models 0 0 0 9 1 5 6 302
The Econometrics of Efficient Frontiers 0 0 0 36 4 6 7 78
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The High Water Mark Scheme 0 0 0 4 2 5 7 158
The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II: The Loss Carry Forward Scheme 0 0 0 7 4 4 5 51
The Informational Content of Household Decisions 0 0 0 9 1 2 2 49
The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection 0 0 0 1 0 4 4 646
The Ordered Qualitative Model For Credit Rating Transitions 0 0 0 520 4 7 9 1,246
The Portfolio Composition of Households: A Scoring Analysis from French Data 0 0 0 20 2 3 5 62
The Wishart Autoregressive Process of Multivariate Stochastic Volatility 0 0 4 716 4 8 20 1,346
The Wishart Autoregressive of Multivariate Stochastic Volatility 0 0 0 27 2 4 4 78
The agregation of commodities in quantity rationing models 0 0 0 2 2 5 7 250
The informational content of household decisions with applications to insurance under adverse selection 0 0 0 0 3 6 7 162
Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets 0 0 0 795 7 10 10 3,030
Transitions in economy: price changes in russia in the twenties 0 0 1 22 4 5 10 269
Truncated Dynamics and Estimation of DiffusionEquations 0 0 0 5 4 6 8 46
Truncated Maximum Likelihood and Nonparametric Tail Analysis 0 0 0 23 2 2 4 59
Truncated maximum likelihood, goodness of fit tests and tail analysis 0 0 0 2 2 4 5 217
Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form 0 0 0 4 0 3 4 283
Vérification empirique de deux schémas d'anticipation adaptatif et rationnel 0 0 0 33 1 1 3 212
Whishart Quadratic Term Structure Models 0 1 1 10 1 5 9 45
Wishart Autoregressive Model for Stochastic Risk 0 0 0 60 1 4 4 124
vérfication empirique de la rationalité des anticipations de la demande par les entreprises 0 0 0 0 2 2 5 30
Total Working Papers 3 13 79 13,539 582 1,144 1,609 68,718
1 registered items for which data could not be found

Journal Article File Downloads Abstract Views
Last month 3 months 12 months Total Last month 3 months 12 months Total
A Classification of Two-Factor Affine Diffusion Term Structure Models 0 0 0 90 1 4 4 256
A General Approach to Serial Correlation 0 0 0 25 3 3 7 83
A General Framework for Testing a Null Hypothesis in a “Mixed” Form 0 0 1 16 3 3 6 68
A count data model with unobserved heterogeneity 0 0 0 49 7 8 17 255
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE 1 1 1 9 5 6 7 32
Affine Models for Credit Risk Analysis 0 0 0 206 5 7 9 491
Agrégation de processus autorégressifs d'ordre 1 0 0 0 5 3 4 7 21
An efficient nonparametric estimator for models with nonlinear dependence 0 0 0 47 2 2 4 110
Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk 0 0 0 12 1 5 6 112
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models 0 1 6 264 1 5 16 506
Autoregressive gamma processes 0 1 2 178 5 8 15 469
Aversions to Impatience, Uncertainty and Illiquidity 0 0 0 19 1 2 2 62
Bilateral exposures and systemic solvency risk 0 0 1 44 2 7 9 187
Bon ou mauvais usage des notations 0 0 0 2 2 3 4 27
Bulles spéculatives et transmission d’information sur le marché d’un bien stockable 0 0 0 16 19 22 23 105
Causality between Returns and Traded Volumes 0 0 0 3 0 1 3 25
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes 0 0 0 83 2 7 9 433
Conditionally fitted Sharpe performance with an application to hedge fund rating 0 1 1 42 0 2 4 173
Consistent Pseudo-Maximum Likelihood Estimators 0 0 0 15 2 6 10 93
Continuous Time Wishart Process for Stochastic Risk 0 1 3 141 2 5 13 329
Control and Out‐of‐Sample Validation of Dependent Risks 0 0 0 17 4 4 7 59
Converting Tail-VaR to VaR: An Econometric Study 0 0 0 19 1 2 4 67
Correlated risks vs contagion in stochastic transition models 0 0 0 12 2 5 9 107
Courbes de performances, de sélection et de discrimination 0 0 0 12 1 2 3 40
Création d’actifs financiers et remboursements anticipés 0 0 0 5 0 0 2 35
DYNAMIC FACTOR MODELS 0 1 2 279 5 7 12 662
Derivative Pricing With Wishart Multivariate Stochastic Volatility 0 0 1 73 1 1 3 186
Des mathématiques financières à la finance quantitative: Évolution récente des modèles mathématiques utilisés par les financiers 0 0 0 6 0 1 2 44
Diffusion Processes with Polynomial Eigenfunctions 0 0 0 13 3 4 5 38
Diffusion et effet de vague 0 0 0 0 1 3 3 8
Direct test of the rational expectation hypothesis 0 0 0 65 0 0 1 137
Discrete time Wishart term structure models 0 0 2 81 3 6 12 246
Disequilibrium Econometrics in Simultaneous Equations Systems 0 0 0 85 1 4 6 329
Double instrumental variable estimation of interaction models with big data 0 0 0 26 4 6 8 121
Duration time‐series models with proportional hazard 0 0 0 62 2 2 5 147
Duration, transition and count data models Introduction 0 0 0 80 1 7 9 212
Dynamic quantile models 0 0 0 229 2 5 9 571
D’une analyse de variabilités à un modèle d’investissement des firmes 0 1 1 4 3 8 8 48
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS 0 0 0 11 4 4 5 88
ESTIMATION-ADJUSTED VAR 0 0 1 25 3 4 7 120
Econometric specification of stochastic discount factor models 0 0 1 166 1 6 11 330
Econometric specification of the risk neutral valuation model 0 0 0 97 4 5 6 257
Econometrics of efficient fitted portfolios 0 0 0 60 5 7 8 176
Effet des modes de négociation sur les échanges 0 0 0 3 3 3 3 38
Efficient Derivative Pricing by the Extended Method of Moments 0 0 0 0 3 4 5 244
Factor ARMA representation of a Markov process 0 0 0 50 2 2 3 145
Filtering, Prediction and Simulation Methods for Noncausal Processes 0 0 0 29 4 4 5 55
Financial Regulations and Procyclicality 0 0 0 43 1 5 8 136
Fonctions de production représentatives de fonctions à complémentarité stricte 0 0 0 6 2 4 5 85
Generalised residuals 1 1 9 977 1 5 20 1,692
Granularity Adjustment for Efficient Portfolios 0 0 0 27 3 4 6 118
Granularity adjustment for default risk factor model with cohorts 0 0 1 58 6 11 16 270
Heterogeneous INAR(1) model with application to car insurance 0 0 0 202 2 2 5 454
Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire 0 0 0 2 1 1 1 11
Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible) 0 0 1 1 3 4 6 18
Hétérogénéité et hasard dans les modèles de durée 0 0 0 4 0 2 4 13
Indirect Inference 0 0 6 1,588 6 19 63 4,163
Indirect inference for dynamic panel models 0 0 0 213 4 5 11 542
Infrequent Extreme Risks 0 0 1 118 1 1 3 290
Infrequent Extreme Risks 0 0 1 20 3 4 7 98
Instrumental Models and Indirect Encompassing 0 0 0 0 0 2 5 273
International money and stock market contingent claims 0 0 0 73 2 2 2 229
Intra-day market activity 0 0 0 262 6 9 12 527
Intraday Transaction Price Dynamics 0 0 0 6 1 3 4 23
Introduction 0 0 0 4 3 4 6 45
Kernel-based nonlinear canonical analysis and time reversibility 0 0 0 73 3 5 8 190
Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters 0 0 3 127 1 3 6 270
Kullback Causality Measures 0 0 2 23 2 4 8 60
L-performance with an application to hedge funds 0 0 0 30 4 5 6 178
Learning Procedures and Convergence to Rationality 0 0 0 48 5 6 8 215
Les transitions en économie.; Les changements de prix en Russie dans les années vingt 0 0 0 2 1 2 3 39
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters 2 3 9 1,229 16 18 29 4,561
Linear Factor Models and the Term Structure of Interest Rates 0 0 0 1 3 4 6 21
Linear-price term structure models 0 0 0 30 6 6 6 84
Liquidation equilibrium with seniority and hidden CDO 0 0 0 35 3 5 6 238
Local Power Properties of Kernel Based Goodness of Fit Tests 0 0 0 8 2 4 6 48
Local explosion modelling by non-causal process 0 1 4 44 5 11 19 171
Love and death: A Freund model with frailty 0 0 0 24 3 3 4 175
Managing hedonic housing price indexes: The French experience 1 1 5 111 4 7 19 372
Mean‐Variance Hedging and Numéraire 0 0 2 48 1 2 6 146
Memory and infrequent breaks 0 0 0 49 6 11 13 147
Microinformation, Nonlinear Filtering, and Granularity 0 0 0 5 0 3 5 81
Migration Correlation: Estimation Method and Application to French Corporates Ratings 0 0 0 7 1 1 4 31
Migration correlation: Definition and efficient estimation 0 0 0 89 3 4 6 355
Misspecification of noncausal order in autoregressive processes 0 0 1 24 4 4 7 85
Modèles de comptage semi-paramétriques 0 0 0 11 4 7 7 71
Multivariate Jacobi process with application to smooth transitions 0 0 1 181 1 1 3 369
Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation 0 0 2 69 4 8 14 146
Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity 0 0 2 14 4 6 10 48
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey 0 1 2 7 1 2 5 26
On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes 0 0 1 11 1 5 8 70
On the Problem of Missing Data in Linear Models 0 0 0 99 4 8 13 271
On the backward-forward procedure 0 0 0 30 0 1 3 117
On the characterization of a joint probability distribution by conditional distributions 0 0 0 106 1 5 7 315
Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model 0 0 1 11 7 7 9 44
Positivity Conditions for a Bivariate Autoregressive Volatility Specification 0 0 0 6 3 3 3 56
Prepayment analysis for securitization 0 0 0 132 0 2 3 289
Pricing default events: Surprise, exogeneity and contagion 0 0 2 30 2 3 7 152
Pricing with Splines 0 0 2 13 2 3 8 42
Pricing with finite dimensional dependence 0 0 0 7 3 4 6 69
Pseudo Maximum Likelihood Methods: Applications to Poisson Models 1 1 9 957 4 15 45 2,516
Pseudo Maximum Likelihood Methods: Theory 0 0 10 1,556 4 10 37 3,775
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators 0 0 0 60 4 7 9 161
Quadratic stochastic intensity and prospective mortality tables 0 0 0 26 7 7 10 131
Qualitative threshold ARCH models 0 0 1 280 10 12 13 655
Rank tests for unit roots 0 0 0 62 2 5 7 177
Rational Expectations Models and Bounded Memory 0 0 0 29 0 2 3 127
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions 0 0 0 98 2 4 9 284
Regime Switching and Bond Pricing 0 0 1 12 1 3 5 76
STOCHASTIC UNIT ROOT MODELS 0 0 1 27 2 4 8 72
Sensitivity analysis of Values at Risk 0 0 1 463 8 15 17 1,061
Simulated residuals 0 0 0 141 2 4 8 266
Simulation Based Inference in Models with Heterogeneity 0 0 1 55 6 9 17 116
Simulation-based inference: A survey with special reference to panel data models 0 0 1 325 20 34 37 639
Solutions of Linear Rational Expectations Models 0 0 0 19 2 2 6 70
Solutions of multivariate Rational Expectations Models 0 0 0 28 5 6 9 92
Some theoretical results for generalized ridge regression estimators 0 0 0 78 2 4 6 177
Specification pre-test estimator 0 0 0 39 2 2 3 169
Spread Term Structure and Default Correlation 0 0 0 12 2 2 2 58
Statistical inference for independent component analysis: Application to structural VAR models 0 0 2 159 5 7 25 444
Stochastic volatility duration models 0 0 1 262 1 2 7 604
Structural Laplace Transform and Compound Autoregressive Models 0 0 0 141 1 1 7 348
Sufficient Linear Structures: Econometric Applications 0 0 0 17 0 0 2 88
Séries codépendantes: application à l’hypothèse de parité du pouvoir d’achat 0 0 0 12 1 3 5 82
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 1 1 332 4 5 8 917
Testing nested or non-nested hypotheses 0 0 0 137 1 3 5 335
Testing, Encompassing, and Simulating Dynamic Econometric Models 0 0 1 62 1 3 11 122
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment 0 0 0 31 1 1 1 272
Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié 0 0 0 5 1 3 3 43
The Aggregation of Commodities in Quantity Rationing Models 0 0 0 16 1 2 3 77
The Tradability Premium on the S&P 500 Index 0 0 0 9 1 1 2 41
The Wishart Autoregressive process of multivariate stochastic volatility 0 1 4 338 3 6 19 917
The econometrics of efficient portfolios 0 0 1 129 0 3 5 301
The ordered qualitative model for credit rating transitions 0 0 2 181 7 8 14 504
Truncated dynamics and estimation of diffusion equations 0 0 0 27 1 3 4 116
Une approche géométrique des processus ARMA 0 0 0 2 2 3 4 13
Unemployment insurance and mortgages 0 0 0 18 1 1 3 112
Économétrie de la finance: l’exemple du risque de crédit 0 0 1 38 1 1 4 152
Total Journal Articles 6 17 119 15,327 402 679 1,184 43,198

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 6 175
Econometrics of Qualitative Dependent Variables 0 0 0 0 3 9 10 184
Granularity Theory with Applications to Finance and Insurance 0 0 0 0 0 1 1 41
Simulation-based Econometric Methods 0 0 0 0 3 7 19 523
Statistics and Econometric Models 0 0 0 0 4 8 12 453
Statistics and Econometric Models 0 0 0 0 6 8 15 266
Statistics and Econometric Models 0 0 0 0 3 7 8 160
Statistics and Econometric Models 0 0 0 0 8 15 35 301
The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 0 0 2 3 3 54
Time Series and Dynamic Models 0 0 0 0 4 6 9 170
Time Series and Dynamic Models 0 0 0 0 3 7 13 182
Total Books 0 0 0 0 37 72 131 2,509

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 3 16
Introduction 0 0 0 13 1 1 1 55
Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing 0 0 2 312 8 11 15 740
Testing non-nested hypotheses 0 0 0 258 1 1 4 608
Total Chapters 0 0 2 585 11 14 23 1,419

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