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Marine Carrasco

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Personal Details

First Name: Marine
Middle Name:
Last Name: Carrasco
Suffix:

RePEc Short-ID: pca65

Email:
Homepage: https://www.webdepot.umontreal.ca/Usagers/carrascm/MonDepotPublic/carrascm/index.htm
Postal Address: University of Montreal Departement de sciences economiques CP 6128, succ Centre Ville Montreal, QC H3C3J7 Canada
Phone: (514) 343-2394

Affiliation

(in no particular order)

Works

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Working papers

  1. Marine Carrasco & Rachidi Kotchoni, 2011. "Adaptive Realized Kernels," CIRANO Working Papers, CIRANO 2011s-29, CIRANO.
  2. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University 1652, Cowles Foundation for Research in Economics, Yale University.
  3. Marine Carrasco & Liang Hu, 2004. "Optimal test for Markov switching," 2004 Meeting Papers, Society for Economic Dynamics 374, Society for Economic Dynamics.
  4. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 508, University of Rochester - Center for Economic Research (RCER).
  5. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers, University of Rochester - Center for Economic Research (RCER) 509, University of Rochester - Center for Economic Research (RCER).
  6. Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings, Econometric Society 436, Econometric Society.
  7. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers, CIRANO 2003s-02, CIRANO.
  8. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Spectral Method for Deconvolving a Density," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 138, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2009.
  9. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Efficient GMM Estimation Using the Empirical Characteristic Function," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse 140, Institut d'Économie Industrielle (IDEI), Toulouse.
  10. Marine Carrasco, 2000. "Chi-square Tests when a Nuisance Parameter is Present only under the Alternative," Working Papers, Centre de Recherche en Economie et Statistique 2000-34, Centre de Recherche en Economie et Statistique.
  11. Marine H. Carrasco & Jean-Pierre Florens, 2000. "Estimation of a Mixture via the Empirical Characteristic Function," Econometric Society World Congress 2000 Contributed Papers, Econometric Society 0514, Econometric Society.
  12. Marine Carrasco & Xiaohong Chen, 1999. "b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models," Working Papers, Centre de Recherche en Economie et Statistique 99-41, Centre de Recherche en Economie et Statistique.
  13. Marine Carrasco, . "Kernel Estimation of the Density of a Change-Point in the Mean," Computing in Economics and Finance 1997, Society for Computational Economics 156, Society for Computational Economics.

Articles

  1. Carrasco, Marine & Florens, Jean-Pierre, 2011. "A Spectral Method For Deconvolving A Density," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 27(03), pages 546-581, June.
  2. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010. "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, Elsevier, vol. 155(2), pages 155-169, April.
  3. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, Elsevier, vol. 140(2), pages 529-573, October.
  4. Carrasco, Marine, 2004. "03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression Solution," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 20(01), pages 228-229, February.
  5. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 22, pages 382-395, October.
  6. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 18(01), pages 17-39, February.
  7. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, Elsevier, vol. 109(2), pages 239-273, August.
  8. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Simulation-Based Method of Moments and Efficiency," Journal of Business & Economic Statistics, American Statistical Association, American Statistical Association, vol. 20(4), pages 482-92, October.
  9. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, Cambridge University Press, vol. 16(06), pages 797-834, December.

Chapters

  1. Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics, Elsevier, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77 Elsevier.

NEP Fields

11 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2009-05-16
  2. NEP-ECM: Econometrics (10) 2004-08-16 2004-09-30 2004-09-30 2004-12-02 2008-05-24 2009-02-07 2009-05-16 2009-05-16 2010-07-24 2011-02-26. Author is listed
  3. NEP-ETS: Econometric Time Series (7) 2003-04-27 2004-09-30 2004-09-30 2004-12-02 2008-05-24 2010-07-24 2011-02-26. Author is listed
  4. NEP-FIN: Finance (1) 2004-09-30
  5. NEP-IFN: International Finance (2) 2004-09-30 2009-05-16
  6. NEP-MST: Market Microstructure (1) 2011-02-26
  7. NEP-ORE: Operations Research (3) 2008-05-24 2009-02-07 2010-07-24. Author is listed
  8. NEP-RMG: Risk Management (1) 2003-04-27

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