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Information about:
Marine Carrasco

Personal Details | Affiliation | Works
This is information that was supplied by Marine Carrasco in registering through RePEc. If you are Marine Carrasco , you may change this information at RePEc. Or if you are not registered and would like to be listed as well, register at RePEc. When you register or update your RePEc registration, you may identify the papers and articles you have authored.

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Personal Details

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

RePEc Short-ID: pca65

Email:
Homepage: http://www.sceco.umontreal.ca/liste_personnel/carrasco.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

| Working papers | Articles | Chapters | Access and download statistics | Citations (if any)| NEP Fields |
Download all references for this author: available formats: HTML (with abstracts), plain text (with abstracts), BibTeX, RIS (EndNote), ReDIF

Working papers

  1. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation, Yale University. [Downloadable!]
    Other versions:

  2. Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society. [Downloadable!]
    Other versions:

  3. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER). [Downloadable!]

  4. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    Other versions:

  5. Marine Carrasco & Liang Hu, 2004. "Optimal test for Markov switching," 2004 Meeting Papers 374, Society for Economic Dynamics.
    Other versions:

  6. Marine Carrasco & Mikhail Chernov & Jean-Pierre Florens & Eric Ghysels, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO. [Downloadable!]
    Other versions:

  7. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Efficient GMM Estimation Using the Empirical Characteristic Function," IDEI Working Papers 140, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]
    Other versions:

  8. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Spectral Method for Deconvolving a Density," IDEI Working Papers 138, Institut d'Économie Industrielle (IDEI), Toulouse. [Downloadable!]

  9. Marine Carrasco, 2000. "Chi-square Tests when a Nuisance Parameter is Present only under the Alternative," Working Papers 2000-34, Centre de Recherche en Economie et Statistique. [Downloadable!]

  10. Marine H. Carrasco & Jean-Pierre Florens, 2000. "Estimation of a Mixture via the Empirical Characteristic Function," Econometric Society World Congress 2000 Contributed Papers 0514, Econometric Society. [Downloadable!]

  11. Marine Carrasco, . "Kernel Estimation of the Density of a Change-Point in the Mean," Computing in Economics and Finance 1997 156, Society for Computational Economics.

Articles

  1. 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, vol. 140(2), pages 529-573, October. [Downloadable!] (restricted)

  2. 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, vol. 22, pages 382-395, October. [Downloadable!] (restricted)

  3. Carrasco, Marine, 2004. "03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression Solution," Econometric Theory, Cambridge University Press, vol. 20(01), pages 228-229, February. [Downloadable!]

  4. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February. [Downloadable!]

  5. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Simulation-Based Method of Moments and Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 482-92, October.

  6. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August. [Downloadable!] (restricted)

  7. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(06), pages 797-834, December. [Downloadable!]

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, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77 Elsevier. [Downloadable!] (restricted)

NEP Fields

6 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-ECM: Econometrics (5) 2004-08-16 2004-09-30 2004-09-30 2004-12-02 2008-05-24 Author is listed
  2. NEP-ETS: Econometric Time Series (5) 2003-04-27 2004-09-30 2004-09-30 2004-12-02 2008-05-24 Author is listed
  3. NEP-FIN: Finance (1) 2004-09-30
  4. NEP-IFN: International Finance (1) 2004-09-30
  5. NEP-ORE: Operations Research (1) 2008-05-24
  6. NEP-RMG: Risk Management (1) 2003-04-27
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This page was last updated on 2009-11-21.

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