C. Gouriéroux

发表

Non-Gaussian State-Space Modeling of Nonstationary Time Series

C. Gouriéroux, A. Monfort, É. Renault, 2008 .

ARCH Models and Financial Applications

C. Gouriéroux, 1997 .

PSEUDO MAXIMUM LIKELIHOOD METHODS: THEORY

C. Gouriéroux, A. Monfort, A. Trognon, 1984 .

Duration time‐series models with proportional hazard

C. Gouriéroux, P. Gagliardini, 2007 .

The Wishart Autoregressive Process of Multivariate Stochastic Volatility

C. Gouriéroux, J. Jasiak, R. Sufana, 2009 .

Simulation-based econometric methods

Christian Gourieroux, Alain Monfort, C. Gouriéroux, 1996 .

Mean‐Variance Hedging and Numéraire

H. Pham, C. Gouriéroux, J. Laurent, 1998 .

Kernel m-estimators: non parametric diagnostics for structural models

C. Gouriéroux, A. Monfort, C. Tenreiro, 1994 .

Estimation of the term structure from bond data

C. Gouriéroux, O. Scaillet, 1994 .

Calibrarion By Simulation for Small Sample Bias Correction

N. Touzi, C. Gouriéroux, É. Renault, 1996 .

Kullback Causality Measures

C. Gouriéroux, A. Monfort, É. Renault, 1987 .

Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters

C. Gouriéroux, A. Monfort, A. Holly, 1982 .

Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters

C. Gouriéroux, A. Monfort, A. Holly, 1981 .

Bartlett Identities Tests

C. Gouriéroux, O. Scaillet, A. Chesher, 1999 .

A General Approach to Serial Correlation

Alain Monfort, Christian Gourieroux, Alain Trognon, 1985, Econometric Theory.

Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations

C. Gouriéroux, A. Monfort, J. Zakoian, 2017 .

A count data model with unobserved heterogeneity

Christian Gourieroux, Michael Visser, C. Gouriéroux, 1997 .

Pseudo Maximum Likelihood Methods: Applications to Poisson Models

C. Gourieroux, C. Gouriéroux, A. Monfort, 1984 .

DISEQUILIBRIUM ECONOMETRICS IN SIMULTANEOUS EQUATIONS SYSTEMS

Alain Monfort, Christian Gourieroux, Jean-Jacques Laffont, 1980 .

Survival of Hedge Funds: Frailty vs Contagion

C. Gouriéroux, P. Gagliardini, S. Darolles, 2013 .

Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form

C. Gouriéroux, A. Monfort, É. Renault, 1996 .

Chapter 44 Testing non-nested hypotheses

C. Gouriéroux, A. Monfort, 1994 .

Qualitative threshold arch models

C. Gouriéroux, A. Monfort, 1992 .

Pricing with finite dimensional dependence

C. Gouriéroux, A. Monfort, 2015 .

Derivative Pricing With Wishart Multivariate Stochastic Volatility

C. Gouriéroux, R. Sufana, 2010 .

Multivariate Jacobi process with application to smooth transitions

C. Gouriéroux, J. Jasiak, 2006 .

DYNAMIC FACTOR MODELS

C. Gouriéroux, J. Jasiak, 2001 .

Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets

C. Gouriéroux, E. Ghysels, J. Jasiak, 1995 .

Time varying Markov process with partially observed aggregate data: An application to coronavirus

C. Gouriéroux, J. Jasiak, 2020, Journal of Econometrics.

Speculative Bubbles and Exchange of Information on the Market of a Storable Good

C. Gouriéroux, L. Broze, A. Szafarz, 1989 .

Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution

C. Gouriéroux, A. Monfort, 2006 .

Intra-day market activity

C. Gouriéroux, J. Jasiak, G. L. Fol, 1999 .

Structural Dynamic Analysis of Systematic Risk

Laurent E. Calvet, C. Gouriéroux, Veronika Czellar, 2016 .

Simulation-based inference: A survey with special reference to panel data models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1993 .

Heterogeneous INAR(1) model with application to car insurance

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2004 .

DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES SHOCK ON VARIABLE OR SHOCK ON DISTRIBUTION WITH APPLICATION TO STRESS-TESTS

Christian Gourieroux, M. Schweizer, C. Gouriéroux, 2012 .

Statistical Inference for Independent Component Analysis: Application to Structural VAR Models

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2017 .

Dynamic quantile models

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2008 .

Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing

C. Gouriéroux, J. Jasiak, 2007 .

The econometrics of efficient portfolios

C. Gouriéroux, A. Monfort, 2005 .

Simulation Based Inference in Models with Heterogeneity

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1990 .

L-Performance with an Application to Hedge Funds

Christian Gourieroux, Serge Darolles, Joann Jasiak, 2008 .

Uncertainty on the Reproduction Ratio in the SIR Model

C. Gouriéroux, S. Elliott, 2020, 2012.11542.

Kernel-based nonlinear canonical analysis and time reversibility

Serge Darolles, Jean-Pierre Florens, Christian Gouriéroux, 2004 .

Efficient Derivative Pricing by the Extended Method of Moments

Christian Gourieroux, Eric Renault, Patrick Gagliardini, 2009 .

Nonlinear persistence and copersistence

C. Gouriéroux, J. Jasiak, 1999 .

Identification and Estimation in Non-Fundamental Structural VARMA Models

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2019, The Review of Economic Studies.

State‐space Models with Finite Dimensional Dependence

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2001 .

Factor Markov Models with Finite Dimensional Dependence

C. Gouriéroux, Joanna Jasiaky, 2000 .

Sensitivity Analysis of Distortion Risk Measures

Christian Gourieroux, C. Gouriéroux, Wei Liu, 2006 .

Stationary bubble equilibria in rational expectation models

C. Gouriéroux, A. Monfort, J. Jasiak, 2020 .

Efficiency in Large Dynamic Panel Models with Common Factor

C. Gouriéroux, P. Gagliardini, 2009 .

A Flexible State-Space Model with Application to Stochastic Volatility

C. Gouriéroux, Yang Lu, 2016 .

Constrained nonparametric dependence with application in finance

C. Gouriéroux, P. Gagliardini, F. Trojani, 2003 .

Kernel Autocorrelogram for Time Deformed Processes

C. Gouriéroux, E. Ghysels, J. Jasiak, 1998 .

Sensitivity Analysis of Values at Risk

Olivier Scaillet, Jean-Paul Laurent, Christian Gourieroux, 2000 .

Continuous Time Wishart Process for Stochastic Risk

C. Gourieroux, C. Gouriéroux, 2006 .

Revisiting Identification and estimation in Structural VARMA Models

C. Gouriéroux, A. Monfort, 2014 .

SIR Model with Stochastic Transmission

C. Gouriéroux, Yang Lu, 2020, SSRN Electronic Journal.

Truncated Maximum Likelihood, Goodness of Fit Tests and Tail Analysis

C. Gouriéroux, Joanna Jasiaky, 1998 .

National Centre of Competence in Research Financial Valuation and Risk Management

C. Gouriéroux, Marie Allard, C. Bronsard, 2002 .

Quadratic stochastic intensity and prospective mortality tables

C. Gouriéroux, A. Monfort, 2008 .

Prepayment analysis for securitization

C. Gouriéroux, A. Monfort, M. Toldi, 1995 .

Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk

C. Gouriéroux, P. Gagliardini, 2011 .

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions11The authors gratefully acknowledge financial support of the chair QuantValley/Risk Foundation “Quantitative Management Initiative”. The second author gratefully acknowledges financial support of NSERC Canada.

C. Gouriéroux, S. Darolles, E. Jay, 2015 .

Direct test of the rational expectation hypothesis

Christian Gourieroux, C. Gouriéroux, J. Pradel, 1986 .

Testing unknown linear restrictions on parameter functions

C. Gouriéroux, A. Monfort, É. Renault, 1985 .

Nonlinear Forecasts and Impulse Responses for Causal-Noncausal (S)VAR Models

C. Gouriéroux, J. Jasiak, 2022, 2205.09922.

Comparison of Kernel estimator based goodness of fit tests (a)

C. Gouriéroux, C. Tenreiro, Carlos Tenreiro, 1995 .

Disastrous Defaults

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2020, Review of Finance.

Solutions of Dynamic Linear Rational Expectations Models

C. Gouriéroux, L. Broze, A. Szafarz, 1985 .

Tails and Extremal Behaviour of Stochastic Unit Root Models

C. Robert, C. Gouriéroux, 2001 .

Institutional Knowledge at Singapore Management University Indirect Inference for Dynamic Panel Models

P. Phillips, C. Gouriéroux, Jun Yu, 2017 .

Diagnosing unemployment: the dual project of the ENSAE’s band

J. Laffont, C. Gouriéroux, G. Laroque, 2022 .

Institutional Knowledge at Singapore Management University Institutional Knowledge at Singapore Management University Indirect Inference for Dynamic Panel Models Indirect Inference for Dynamic Panel Models

P. Phillips, C. Gouriéroux, 2020 .

The Informational Content of Household Decisions

C. Gouriéroux, G. Dionne, C. Vanasse, 1997 .

Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment

J. Laffont, C. Gouriéroux, A. Monfort, 1980 .

Migration Correlation: Definition and Efficient Estimation

C. Gouriéroux, P. Gagliardini, 2005 .

Exact Monte Carlo Tests Applied to Models Estimated by Indirect Inference and by Eecient Method of Moments

Jean-Marie Dufour, C. Gouriéroux, P. Valéry, 2000 .

Sufficient Linear Structures: Econometric Applications

C. Gouriéroux, A. Monfort, 1980 .

Multivariate distributions for limited dependent variable models

C. Gouriéroux, F. Jouneau, 1994 .

Specification pre-test estimator

C. Gouriéroux, A. Trognon, 1984 .

Semi-Parametric Estimation of Noncausal Vector Autoregression

C. Gouriéroux, J. Jasiak, 2015 .

Filtering and Prediction in Noncausal Processes

C. Gouriéroux, J. Jasiak, 2014 .

Compound Autoregressive Models

C. Gouriéroux, J. Jasiak, S. Darolles, 2001 .

The Econometrics of Efficient Frontiers

C. Gouriéroux, A. Monfort, 1998 .

Série Scientifique Scientific Series N o 95 s-32 MARKET TIME AND ASSET PRICE MOVEMENTS THEORY AND ESTIMATION

C. Gouriéroux, J. Jasiak, Eric Ghysels, 1995 .

The Double Default Value-of-the-Firm Model

C. Gouriéroux, A. Monfort, 2016 .

Structural Modelling of Dynamic Networks and Identifying Maximum Likelihood

C. Gouriéroux, J. Jasiak, 2022, 2211.11876.

Noncausal Count Processes

C. Gouriéroux, Yang Lu, 2019, SSRN Electronic Journal.

Reduced Forms of Rational Expectations Models

C. Gouriéroux, L. Broze, A. Szafarz, 1991 .

Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

C. Gouriéroux, S. Sriboonchitta, H. Nguyen, 2016, Annals of Operations Research.

The Wishart Autoregressive of Multivariate Stochastic Volatility

C. Gouriéroux, J. Jasiak, R. Sufana, 2004 .

Truncated Maximum Likelihood and Nonparametric Tail Analysis

C. Gouriéroux, J. Jasiak, 1998 .

Statistical Inference for Independent Component Analysis

C. Gouriéroux, A. Monfort, 2015 .

Efficient Portfolio Analysis Using Distortion Risk Measures

C. Gouriéroux, Wei Liu, 2006 .

A Term Structure Model with Level Factor Cannot Be Realistic and Arbitrage Free

C. Gouriéroux, S. Dubecq, 2012 .

Contagion Phenomena with Applications in Finance

C. Gouriéroux, S. Darolles, 2015 .

A General Framework for Testing a Null Hypothesis in a “Mixed” Form

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1989, Econometric Theory.

Infrequent Extreme Risks

C. Gouriéroux, A. Monfort, 2004 .

Econometric specification of the risk neutral valuation model

C. Gouriéroux, A. Monfort, E. Clement, 2000 .

Multiregime Term Structure Models

C. Gouriéroux, O. Scaillet, 1997 .

Econometrics of efficient fitted portfolios

C. Gouriéroux, F. Jouneau, 1999 .

Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects

C. Gouriéroux, P. Gagliardini, 2019, Journal of Econometrics.

Testing for Common Roots

C. Gouriéroux, A. Monfort, É. Renault, 1989 .

On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes

C. Gouriéroux, J. Zakoïan, 2015 .

Nonlinear Innovations and Impulse Responses with Application to VAR Sensitivity

C. Gouriéroux, J. Jasiak, 2003 .

Rational Expectations in Dynamic Linear Models: Analysis of the Solutions

Alain Monfort, Christian Gourieroux, Jean-Jacques Laffont, 1982 .

Consistent pseudo-maximum likelihood estimators

C. Gouriéroux, A. Monfort, É. Renault, 2017 .

Solutions of multivariate Rational Expectations Models

C. Gouriéroux, L. Broze, A. Szafarz, 1995, Econometric Theory.

Robust analysis of the martingale hypothesis

C. Gouriéroux, J. Jasiak, 2019, Econometrics and Statistics.

Pricing Default Events: Surprise, Exogeneity and Contagion

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2013 .

Intraday transaction price dynamics

Christian Gourieroux, Serge Darolles, Gaëlle Le Fol, 2000 .

Matching Procedures and Market Characteristics

C. Gouriéroux, G. L. Fol, 1998 .

Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations

C. Gouriéroux, J. Jasiak, 2002 .

Affine Models for Credit Risk Analysis

Christian Gourieroux, Alain Monfort, Vassilis Polimenis, 2006 .

Constrained Nonparametric Copulas

C. Gouriéroux, P. Gagliardini, 2002 .

The Ordered Qualitative Model for Credit Rating Transitions

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2003 .

A Classification of Two-Factor Affine Diffusion Term Structure Models

C. Gouriéroux, R. Sufana, 2005 .

STOCHASTIC UNIT ROOT MODELS

C. Robert, C. Gouriéroux, 2006, Econometric Theory.

Memory and infrequent breaks

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2001 .

8. Transition Models

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2011 .

Learning procedure and convergence to rationality

Christian Gourieroux, C. Gouriéroux, J. Pradel, 1986 .

Some theoretical results for generalized ridge regression estimators

C. Gouriéroux, J. Pradel, C. Fourgeaud, 1984 .

Estimated reproduction ratios in the SIR model

C. Gouriéroux, S. Elliott, 2021, The Canadian journal of statistics = Revue canadienne de statistique.

Temporally Local Maximum Likelihood with Application to SIS Model

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2021, Journal of Time Series Econometrics.

ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2013 .

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

Christian Gourieroux, Serge Darolles, Jay Emmanuelle, 2012 .

Portfolio Allocation with Budget and Risk Contribution Restrictions∗

C. Gouriéroux, S. Darolles, E. Jay, 2012 .

Estimation par la méthode du pseudo-maximum de vraisemblance

C. Gouriéroux, A. Monfort, A. Trognon, 1983 .

Dynamic deconvolution and identification of independent autoregressive sources

C. Gouriéroux, J. Jasiak, 2022, Journal of Time Series Analysis.

Generalized Covariance Estimator

C. Gouriéroux, J. Jasiak, 2021, 2107.06979.

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations

C. Gouriéroux, A. Monfort, J. Zakoian, 2019, Econometrica.

Double instrumental variable estimation of interaction models with big data

Christian Gourieroux, Patrick Gagliardini, C. Gouriéroux, 2017 .

Long Run Risk in Stationary Structural Vector Autoregressive Models

C. Gouriéroux, J. Jasiak, 2022, 2202.09473.

Model risk management: Valuation and governance of pseudo-models

Christian Gourieroux, A. Monfort, C. Gouriéroux, 2020 .

C. Gouriéroux, P. Gagliardini, 2013 .

Discrete time Wishart term structure models

C. Gouriéroux, R. Sufana, 2011 .

Chapter 4 Pricing with Wishart Risk Factors

C. Gouriéroux, R. Sufana, 2007 .

Local Likelihood Density Estimation and Value-at-Risk

C. Gouriéroux, J. Jasiak, 2010 .

n ° 2006-17 Efficient Portfolio Analysis Using Distortion Risk Measures

C. Gouriéroux, W. Liu, 2006 .

Statistics and econometric models

Christian Gourieroux, Alain Monfort, C. Gouriéroux, 1995 .

Econometric specification of stochastic discount factor models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2007 .

Pricing with Splines

C. Gouriéroux, A. Monfort, 2006 .

EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS

C. Gouriéroux, P. Gagliardini, 2014, Econometric Theory.

BILINEAR TERM STRUCTURE MODEL

C. Gouriéroux, A. Monfort, 2010 .

Structural Laplace Transform and Compound Autoregressive Models

Christian Gourieroux, Serge Darolles, Joann Jasiak, 2006 .

Financial Valuation and Risk Management Working Paper No . 294 Stochastic Migration Models with Application to Corporate Risk

Christian Gourieroux, Patrick Gagliardini, C. Gouriéroux, 2006 .

The Evaluation of Model Risk for Probability of Default and Expected Loss

Christian Gourieroux, André Tiomo, C. Gouriéroux, 2019 .

Misspecification of noncausal order in autoregressive processes

C. Gouriéroux, J. Jasiak, 2018, Journal of Econometrics.

Testing, Encompassing, and Simulating Dynamic Econometric Models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1995, Econometric Theory.

12 Pseudo-likelihood methods

C. Gouriéroux, A. Monfort, 1993 .

Testing nested or non-nested hypotheses

Alain Monfort, Christian Gourieroux, Alain Trognon, 1983 .

Stochastic volatility duration models

Eric Ghysels, Christian Gourieroux, Joanna Jasiak, 2004 .

Efficient Derivative Pricing by Extended Method of Moments

C. Gouriéroux, É. Renault, P. Gagliardini, 2005 .

An efficient nonparametric estimator for models with nonlinear dependence

Christian Gourieroux, Patrick Gagliardini, C. Gouriéroux, 2007 .

Autoregressive Gamma Processes

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2005 .

ROBUST ESTIMATION WITH EXPONENTIALLY TILTED

Susanne M. Schennach, November, René Garcia, 2018 .

Size Distortion in the Analysis of Volatility and Covolatility Effects

C. Gouriéroux, J. Jasiak, 2013 .

Linear and Nonlinear Processes

C. Gouriéroux, 1997 .

Managing hedonic housing price indexes: The French experience

C. Gouriéroux, Anne Laferrère, 2009 .

Inference for Noisy Long Run Component Process

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2010 .

Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment

Christian Gourieroux, Georges Dionne, Charles Vanasse, 2001, Journal of Political Economy.

Estimation of a Jacobi process

C. Gouriéroux, Crest Pascale Valéry, 2002 .

Linear Factor Models and the Term Structure of Interest Rates

C. Gouriéroux, A. Monfort, E. Clement, 1995 .

The Tradability Premium on the S&P 500 Index

C. Gouriéroux, J. Jasiak, Peng Xu, 2015 .

Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives

C. Gouriéroux, J. Jasiak, Peng Xu, 2013 .

Efficient Portfolios and Hedging Portfolios

Christian Gouriéroux, C. Gouriéroux, 1997 .

Local explosion modelling by non‐causal process

Christian Gourieroux, Jean-Michel Zakoian, C. Gouriéroux, 2017 .

Filtering, Prediction and Simulation Methods for Noncausal Processes

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2016 .

Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates

Andrew Hencic, Christian Gouriéroux, C. Gouriéroux, 2015, Econometrics of Risk.

Explosive Bubble Modelling by Noncausal Process

Christian Gourieroux, Jean-Michel Zakoian, C. Gouriéroux, 2013 .

Solutions of Linear Rational Expectations Models

C. Gouriéroux, L. Broze, A. Szafarz, 1985, Econometric Theory.

Time Series And Dynamic Models

Christian Gourieroux, Alain Monfort, C. Gouriéroux, 1996 .

Regime Switching and Bond Pricing

C. Gouriéroux, A. Monfort, F. Pegoraro, 2013 .

An Analysis of the Ultra Long-Term Yields

C. Gouriéroux, S. Dubecq, 2011 .

Unemployment insurance and mortgages

C. Gouriéroux, O. Scaillet, 1997 .

Arbitrage-Based Pricing When Volatility is Stochastic

P. Bossaerts, C. Gouriéroux, Eric Ghysels, 1996 .

Regime Switching and Bond Pricing

C. Gouriéroux, A. Monfort, F. Pegoraro, 2013 .

Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk

C. Gouriéroux, R. Sufana, 2004 .

Some Applications of Univariate ARCH Models

Christian Gouriéroux, C. Gouriéroux, 1997 .

Estimation and Tests

C. Gouriéroux, 1997 .

The informational content of household decisions with applications to insurance under adverse selection

Christian Gourieroux, Georges Dionne, Charles Vanasse, 1998 .

Univariate ARCH Models

C. Gouriéroux, 1997 .

Beta Risk in the Cross-Section of Equities

Peter F. Christoffersen, C. Gouriéroux, Mathieu Fournier, 2018, The Review of Financial Studies.

Granularity Adjustment for Efficient Portfolios

C. Gouriéroux, A. Monfort, 2013 .

Microinformation, Nonlinear Filtering and Granularity

Alain Monfort, Christian Gourieroux, Patrick Gagliardini, 2010 .

The Tobit Model

Christian Gourieroux, C. Gouriéroux, 2000 .

Long-Term Care and Longevity

C. Gouriéroux, Yang Lu, 2014 .

Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes

Alain Monfort, Christian Gourieroux, Jean-Jacques Laffont, 1979 .

Econometrics of Qualitative Dependent Variables

Christian Gourieroux, Paul B. Klassen, C. Gouriéroux, 2000 .

Multivariate ARCH Models

C. Gouriéroux, 1997 .

The Econometrics of Risk Classification in Insurance

C. Gouriéroux, 1999 .

Noncausal counting processes: A queuing perspective

Christian Gouriéroux, Yang Lu, C. Gouriéroux, 2021, Electronic Journal of Statistics.

Convolution‐based filtering and forecasting: An application to WTI crude oil prices

C. Gouriéroux, J. Jasiak, Michelle Tong, 2021 .

Positional Portfolio Management*

C. Gouriéroux, P. Gagliardini, M. Rubin, 2019, Journal of Financial Econometrics.

Positional Portfolio Management

C. Gouriéroux, P. Gagliardini, M. Rubin, 2018 .

Granularity adjustment for risk measures: Systematic vs unsystematic risks

Patrick Gagliardini, Christian Gouriéroux, C. Gouriéroux, 2013, Int. J. Approx. Reason..

Granularity Adjustment in Dynamic Multiple Factor Models : Systematic vs Unsystematic Risks

C. Gouriéroux, P. Gagliardini, 2010 .

Funding Liquidity Risk From a Regulatory Perspective

C. Gouriéroux, J. Héam, 2014 .

Forecast performance and bubble analysis in noncausal MAR(1, 1) processes

Christian Gourieroux, Joann Jasiak, Andrew Hencic, 2020 .

Contagion Analysis in the Banking Sector

C. Gouriéroux, S. Darolles, S. Dubecq, 2014 .

Testing for Endogeneity of Covid-19 Patient Assignments*

C. Gouriéroux, J. Jasiak, A. Djogbenou, 2021, Journal of Financial Econometrics.

Bilateral Exposures and Systemic Solvency Risk

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2012 .

International Money and Stock Market Contingent Claims

C. Gouriéroux, A. Monfort, R. Sufana, 2010 .

Sustainable Development Fund

C. Gouriéroux, 2007 .

Local Power Properties of Kernel Based Goodness of Fit Tests

Carlos Tenreiro, Christian Gouriéroux, C. Gouriéroux, 2001 .

Indirect Inference for Dynamic Panel Models

Christian Gourieroux, Jun Yu, Peter C. B. Phillips, 2006 .

Liquidation equilibrium with seniority and hidden CDO

C. Gouriéroux, A. Monfort, J. Héam, 2013 .

Bilateral Exposures and Systemic Solvency Risk (Expositions Bilatérales Et Risque Systémique Pour La Solvabilité)

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2012 .

Required Capital for Long-run Risks

C. Gouriéroux, A. Monfort, Jean-Paul Renne, 2021, SSRN Electronic Journal.

Insurance Supervision under Climate Change: A Pioneers Detection Method

F. Dietrich, G. Demange, C. Gouriéroux, 2023 .

Regime Switching and Bond Pricing

C. Gouriéroux, A. Monfort, F. Pegoraro, 2014 .

Instrumental models and indirect encompassing

C. Gouriéroux, O. Scaillet, G. Dhaene, 1998 .

Analysis of Virus Propagation: A Transition Model Representation of Stochastic Epidemiological Models

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2020, 2006.10265.

Financial Econometrics: Problems, Models, and Methods

Christian Gourieroux, Joann Jasiak, C. Gouriéroux, 2001 .

Evidence of Adverse Selection in Automobile Insurance Markets

C. Gouriéroux, G. Dionne, C. Vanasse, 1998 .

Nonlinear Impulse Response Functions and Local Projections

C. Gouriéroux, Quinlan B. Lee, Quinlan Lee, 2023, 2305.18145.

Love and Death: A Freund Model with Frailty

C. Gouriéroux, Yang Lu, 2015 .

Efficient Derivative Pricing by Extended Method of Moments

C. Gouriéroux, É. Renault, P. Gagliardini, 2005 .

National Centre of Competence in Research Financial Valuation and Risk Management Working Paper No . 296 Efficient Derivative Pricing by Extended Method of Moments

C. Gouriéroux, P. Gagliardini, E. Renault, 2006 .

DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE

C. Gouriéroux, A. Monfort, 2010 .

Value at Risk

C. Gouriéroux, J. Jasiak, 2010 .

Noncausal affine processes with applications to derivative pricing

C. Gouriéroux, Yang Lu, 2019, SSRN Electronic Journal.

The Risk of Random Sets with Applications to Basket Derivatives

C. Gouriéroux, A. Monfort, Yangqiao Lu, 2023, SSRN Electronic Journal.

Financial Valuation and Risk Management Working Paper No . 620 Microinformation , Nonlinear Filtering and Granularity

C. Gouriéroux, A. Monfort, 2010 .

Positivity Conditions for a Bivariate Autoregressive Volatility Specification

C. Gouriéroux, 2007 .

Control and Out-of-Sample Validation of Dependent Risks

Wei Liu, Christian Gourieroux, C. Gouriéroux, 2009 .

Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk

C. Gouriéroux, R. Sufana, 2004 .

EQUATION MODELS WITH ENDOGENOUS SWITCHING REGIMES

J. Laffont, C. Gouriéroux, A. Monfort, 1980 .

NONLINEAR CAUSALITY, with Applications to Liquidity and Stochastic Volatility

C. Gouriéroux, J. Jasiak, 2007 .

Série Scientifique Scientific Series Market Time and Asset Price Movements Theory and Estimation Les Organisations-partenaires / the Partner Organizations Crest and Cepremap. Market Time and Asset Price Movements Theory and Estimation

C. Gouriéroux, J. Jasiak, Eric Ghysels, 2022 .

Conditionally Fitted Sharpe Performance with an Application to Hedge Fund Rating

Christian Gourieroux, Serge Darolles, C. Gouriéroux, 2009 .

Generalized Covariance Estimator

C. Gouriéroux, J. Jasiak, 2022, Journal of Business & Economic Statistics.

Wishart Quadratic Term Structure Models

C. Gouriéroux, R. Sufana, 2003 .

Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation

C. Gouriéroux, J. Jasiak, 2017 .

Nonlinear Innovations and Impulse Responses with Application to VAR Sensitivity

C. Gouriéroux, J. Jasiak, Patrick Gagliardini, 2003 .

Financial Econometrics

C. Gouriéroux, J. Jasiak, 2018 .

On the Problem of Missing Data in Linear Models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1981 .

DIRECTION GÉNÉRALE DES ÉTUDES ET DES RELATIONS INTERNATIONALES SHOCK ON VARIABLE OR SHOCK ON DISTRIBUTION WITH APPLICATION TO STRESS-TESTS

C. Gouriéroux, S. Dubecq, Jean-Paul Laurent, 2012 .

Duration, transition and count data models Introduction

C. Gouriéroux, T. Magnac, 1997 .

Risk Measures: Statistical Estimation

C. Gouriéroux, 2010 .

ESTIMATION-ADJUSTED VAR

Christian Gourieroux, Jean-Michel Zakoïan, C. Gouriéroux, 2013, Econometric Theory.

Granularity in a qualitative factor model

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 2009 .

Allocating Systematic and Unsystematic Risks in a Regulatory Perspective

C. Gouriéroux, A. Monfort, 2011 .

Asymptotic properties of the maximum likelihood estimator in dichotomous logit models

Alain Monfort, Christian Gourieroux, C. Gouriéroux, 1981 .

Car And Affine Processes

C. Gouriéroux, 2008 .

Rank tests for unit roots

C. Gouriéroux, J. Breitung, 1997 .

2 The Intraday Price Process 2 . 1 The Variables

C. Gouriéroux, S. Darolles, G. L. Fol, 2000 .