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Christian S. Gourieroux

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First Name: Christian
Middle Name: S.
Last Name: Gourieroux
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RePEc Short-ID: pgo144

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Works

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Working papers

  1. Joan Jasiak & D. Feng & C. Gourieroux, 2006. "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers 2006_2, York University, Department of Economics. [Downloadable!]
    Published as:

  2. Joan Jasiak & C. Gourieroux, 2006. "Dynamic Quantile Models," Working Papers 2006_4, York University, Department of Economics. [Downloadable!]

  3. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006. "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers 1550, Cowles Foundation, Yale University. [Downloadable!]

  4. Patrick Gagliardini & C. Gourieroux & E. Renault, 2005. "Efficient Derivative Pricing by Extended Method of Moments," University of St. Gallen Department of Economics working paper series 2005 2005-05, Department of Economics, University of St. Gallen. [Downloadable!]

  5. Joan Jasiak & R. Sufana & C. Gourieroux, 2005. "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers 2005_2, York University, Department of Economics. [Downloadable!]

  6. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003. "Aversion Analysis," Cahiers de recherche 2003-06, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:
    • ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003. "Aversion Analysis," Cahiers de recherche 04-2003, Centre interuniversitaire de recherche en économie quantitative, CIREQ. [Downloadable!]

  7. Darolles, S. & Gourieroux, C. & Jasiak, J., 2001. "Compound Autoregressive Models," Papers 2001-20, Institut National de la Statistique et des Etudes Economiques-.

  8. Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000. "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers 0162, Econometric Society. [Downloadable!]
    Other versions:
    Published as:

  9. Darolles, S. & Florens, J.-P. & Gourieroux, C., 2000. "Factor ARMA Representation of a Markoc Process," Papers 2000-26, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  10. Darolles, S. & Florens, J.-P. & Gourieroux, C., 2000. "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Papers 2000-18, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  11. Darolles, S. & Florens, J.-P. & Gourieroux, C., 1999. "Kernel Based Nonlinear Canonical Analysis," Papers 99.514, Toulouse - GREMAQ.
    Other versions:

  12. Chesher, A. & Dhaene, G. & Gourieroux, C. & Scaillet, O., 1999. "Bartlett Identities Tests," Papers 9939, Catholique de Louvain - Center for Operations Research and Economics.
    Other versions:

  13. Gourieroux, Christian & Jasiak, Joanna, 1999. "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange) 9906, CEPREMAP. [Downloadable!]
    Other versions:

  14. Gourieroux, Christian & Josiak, Joann, 1999. "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange) 9920, CEPREMAP. [Downloadable!]
    Other versions:

  15. Gourieroux, C. & Jasiak, J., 1999. "Dynamic Factor Models," Papers 9908, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  16. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1998. "Causality Between Returns and Trated Volumes," Papers 9840, Institut National de la Statistique et des Etudes Economiques-.

  17. Gourieroux, C. & Jasiak, J., 1998. "Nonlinear Panel Data Models with Dynamic Heterogeneity," Papers 9850, Institut National de la Statistique et des Etudes Economiques-.

  18. Gourieroux, C. & Jasiak, J., 1998. "Truncated Maximum Likelihood, and Nonparametric Tail Analysis," Papers 9825, Institut National de la Statistique et des Etudes Economiques-.

  19. Gourieroux, C. & Monfort, A., 1998. "The Econometrics of Efficient Frontiers," Papers 9834, Institut National de la Statistique et des Etudes Economiques-.

  20. Gourieroux, C. & Jasiak, J., 1998. "Nonlinear Autocorrelograms: an Application to Intra-Trade Durations," Papers 9841, Institut National de la Statistique et des Etudes Economiques-.

  21. Dionne, G. & Gourieroux, C. & Vanasse, C., 1998. "The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection," Papers 9806, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    Other versions:

  22. Dionne, G. & Gourieroux, C. & Vanasse, C., 1998. "Evidence of Adverse Selection in Automobile Insurance Markets," Papers 9822, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor..
    Other versions:

  23. Le Fol, G. & Gourieroux, C., 1998. "Matching Procedures and Market Characteristics," Papers 9815, Institut National de la Statistique et des Etudes Economiques-.

  24. Clément, E. & Gourieroux, Christian & Monfort, Alain, 1997. "Econometric specification of the risk neutral valuation model," CEPREMAP Working Papers (Couverture Orange) 9706, CEPREMAP.
    Other versions:
    Published as:

  25. Gourieroux, C & Tiomo, A & Trognon, A, 1997. "The Portfolio Composition of Households : A Scoring Analysis from French Data," Papers 9706, Institut National de la Statistique et des Etudes Economiques-.

  26. Darolles, S. & Gourieroux, C., 1997. "Dynamiques tronquees et estimation de modeles de diffusion," Papers 9704, Institut National de la Statistique et des Etudes Economiques-.

  27. Dionne, G. & Gourieroux, C. & Vanasse, C., 1997. "The Informational Content of Household Decisions," Papers 9701, Institut National de la Statistique et des Etudes Economiques-.

  28. Gourieroux, C. & Monfort, A., 1997. "Modeles de comptage Semi-parametriques," Papers 9734, Institut National de la Statistique et des Etudes Economiques-.

  29. Darolles, S. & Gourieroux, C., 1997. "Truncated Dynamics and Estimation of Diffusion Equations," Papers 9736, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  30. Gourieroux, Christian & Tiomo, A. & Trognon, A., 1997. "Composition des portefeuilles des ménages: une analyse scores sur données françaises," CEPREMAP Working Papers (Couverture Orange) 9716, CEPREMAP.

  31. Gourieroux, Christian & Le Fol, Gaëlle, 1997. "Modes de négociation et caractéristiques de marché," CEPREMAP Working Papers (Couverture Orange) 9714, CEPREMAP.

  32. Gourieroux, C. & Jasiak, J. & Le Fol, G., 1996. "Intra-Day Market Activity," Papers 9633, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  33. Dhaene, G. & Gourieroux, C. & Scaillet, O., 1996. "Non-Nested Hypothesis and Instrumental Models," Papers 9605, Institut National de la Statistique et des Etudes Economiques-.

  34. Gourieroux, Christian & Laurent, Jean-Paul & Pham, Huyên, 1996. "Mean-variance hedging and numeraire," CEPREMAP Working Papers (Couverture Orange) 9611, CEPREMAP.

  35. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1996. "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," Papers 9655, Institut National de la Statistique et des Etudes Economiques-.
    Other versions:

  36. Breitung, J. & Gourieroux, C., 1996. "Rank Tests for Unit Roots," Papers 9642, Institut National de la Statistique et des Etudes Economiques-.
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    Published as:

  37. Allard, M. & Bronsard, C. & Gourieroux, C., 1996. "Actifs financiers et theorie de la consommation," Cahiers de recherche 9617, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:

  38. Eric Ghysels & Christian Gouriéroux & Joanna Jasiak, 1996. "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers 96s-19, CIRANO. [Downloadable!]

  39. Gourieroux, C. & Laurent, J-P., 1996. "Estimation of a Dynamic Hedge," Papers 9648, Institut National de la Statistique et des Etudes Economiques-.

  40. Gourieroux, C. & Le Fol, G. & Meyer, B., 1996. "Analysis of Order Queues," Papers 9653, Institut National de la Statistique et des Etudes Economiques-.

  41. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996. "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche 9615, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
    Other versions:

  42. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995. "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche 9536, Universite de Montreal, Departement de sciences economiques. [Downloadable!]
    Other versions:

  43. Gourieroux, C. & Laurent, J.P. & Pham, H., 1995. "Quadratic Hedging and Numeraire," Papers 9550, Institut National de la Statistique et des Etudes Economiques-.

  44. Gourieroux, C. & Renault, E. & Touzi, N., 1995. "Calibration by Simulation for Small Sample Bias Correction," Papers 9554, Institut National de la Statistique et des Etudes Economiques-.
    Other versions:

  45. Broze, L. & Gourieroux, C., 1995. "Pseudo Maximum Likelihood Method, Adjusted Pseudo Maximum Likelihood Method and Covariance Estimators," Papers 9541, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  46. Gourieroux, Christian & Tenreiro, C., 1995. "Comparison of Kernel estimator based goodness of fit tests (a)," CEPREMAP Working Papers (Couverture Orange) 9513, CEPREMAP.

  47. Monfort, A. & Gourieroux, C. & Tenreiro, C., 1995. "Kernel M-Estimators and Functional residual Plots," Papers 9546, Institut National de la Statistique et des Etudes Economiques-.

  48. Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994. "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange) 9405, CEPREMAP.

  49. Gourieroux, C. & Jouneau, F., 1994. "Efficient Fitted Portfolios," Papers 9459, Institut National de la Statistique et des Etudes Economiques-.

  50. Gouriéroux, Christian, 1994. "Modèles économétriques : utilisation et interprétation (les)," CEPREMAP Working Papers (Couverture Orange) 9423, CEPREMAP.

  51. Gouriéroux, Christian & Scaillet, O., 1994. "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange) 9415, CEPREMAP.

  52. Gourieroux, C. & Peaucelle, I., 1994. "Diffusion et Effet de Vague," Papers 9455, Institut National de la Statistique et des Etudes Economiques-.

  53. Gouriéroux, Christian & Jouneau, F., 1994. "Multivariate distributions for limited dependent variable models," CEPREMAP Working Papers (Couverture Orange) 9414, CEPREMAP.

  54. Clement, E. & Gourieroux, C. & Monfort, A., 1993. "Prediction of Contingent Price Measures," Papers 9329, Institut National de la Statistique et des Etudes Economiques-.

  55. Clement, E. & Gourieroux, C. & Monfort, A., 1993. "Modeles statistiques de valorisation par arbitrage," Papers 9314, Institut National de la Statistique et des Etudes Economiques-.

  56. Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993. "Prévision de mesures de prix contingents," CEPREMAP Working Papers (Couverture Orange) 9310, CEPREMAP.

  57. Gourieroux, C., 1993. "Contrats d'assurance chomage sur prets immobiliers ; etude descriptive et valorisation du portefeuille," Papers 9323, Institut National de la Statistique et des Etudes Economiques-.

  58. Gourieroux, G. & Jouneau, F., 1993. "Choix de portefeuille dans un environnement d'incvestissement desagrege: le cadre statique," Papers 9308, Institut National de la Statistique et des Etudes Economiques-.

  59. Broze, L. & Gourieroux, C., 1993. "Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method," Papers 9313, Catholique de Louvain - Center for Operations Research and Economics.

  60. Gouriéroux, Christian & Peaucelle, Irina, 1993. "Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques," CEPREMAP Working Papers (Couverture Orange) 9326, CEPREMAP. [Downloadable!]

  61. Clement, E. & Gourieroux, C. & Monfort, A., 1993. "Linear Factor Models and the Term Structure of Interest Rates," Papers 9331, Institut National de la Statistique et des Etudes Economiques-.

  62. Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993. "Modèles linéaires à facteurs et structure à terme des taux d'intérêt," CEPREMAP Working Papers (Couverture Orange) 9306, CEPREMAP.

  63. Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
    Other versions:
    • Gourieroux, C. & Monfort, A & Renault, E., 1992. "Indirect Inference," Papers 9215, Institut National de la Statistique et des Etudes Economiques-.

    Published as:

  64. Gourieroux, C. & De Toldi, M. & Monfort, A., 1992. "On Seasonal Effects in Duration Models," Papers 9216, Institut National de la Statistique et des Etudes Economiques-.

  65. Gourieroux, C. & Monfort, A, 1992. "Testing, Encompassing and Simulating Dynamic Econometric Models," Papers 9214, Institut National de la Statistique et des Etudes Economiques-.
    Other versions:

  66. Gourieroux Christian & Peaucelle Irina, 1992. "Quantité de monnaie (la) : russie, les années 1918-1927," CEPREMAP Working Papers (Couverture Orange) 9201, CEPREMAP. [Downloadable!]

  67. Gourieroux, C. & Monfort, A., 1991. "Simulation Based Inference: A Survey with Special Reference to Panel Data Models," Papers 9106, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  68. Gourieroux, C. & Peaucelle, I., 1991. "Les transitions en economie : les changements de prix en russie dans les annees vingt," Papers 9130, Institut National de la Statistique et des Etudes Economiques-.

  69. Gourieroux, C. & Monfort, A., 1991. "Modeles de duree et effets de generation," Papers 9125, Institut National de la Statistique et des Etudes Economiques-.
    Other versions:

  70. Gourieroux, C. & Monfort, A., 1991. "Pseudo-likelihood methods," Papers 9120, Institut National de la Statistique et des Etudes Economiques-.

  71. Gourieroux, C. & Monfort, A. & Renault, E., 1991. "Two Stage Generalized Moment Method with Applications to Regressions with heteroscedasticity of Unknown Form," Papers 9128, Institut National de la Statistique et des Etudes Economiques-.
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  72. Gourieroux, C. & Monfort, A., 1991. "Testing Non Nested Hypotheses," Papers 9207, Institut National de la Statistique et des Etudes Economiques-.
    Published as:

  73. Gourieroux, C. & Monfort, A. & Renault, E., 1991. "A General Framework for Factor Models," Papers 9107, Institut National de la Statistique et des Etudes Economiques-.

  74. Gourieroux, C., 1991. "M-estimateurs ponderes ou comment corriger des biais de sondage," Papers 9111, Institut National de la Statistique et des Etudes Economiques-.

  75. Broze, L. & Gourieroux, C. & Szafarz, A., 1991. "Computation of multipliers in multivariate rational expectations models," Papers 9116, Catholique de Louvain - Center for Operations Research and Economics.
    Other versions:

  76. Gourieroux Christian & Peaucelle Irina, 1991. "Transitions in economy : price changes in russia in the twenties," CEPREMAP Working Papers (Couverture Orange) 9127, CEPREMAP. [Downloadable!]

  77. Gourieroux, C., 1991. "Classification d'Actifs Financiers selon leurs Performances," Papers 9108, Institut National de la Statistique et des Etudes Economiques-.

  78. Gourieroux, C. & Monfort, A. & Renault, E., 1991. "tests sur le noyau, l'image et le rang de la matrice de coefficients d'un modele lineaire multivarie," Papers 9119, Institut National de la Statistique et des Etudes Economiques-.

  79. Gourieroux, C. & Peaucelle, I., 1990. "Series Codependantes Application a l'Hypothese de Parite du Pouvoir d'achat," Papers 9104, Institut National de la Statistique et des Etudes Economiques-.

  80. Gourieroux, C. & Monfort, A., 1990. "Qualitative Threshold Arch Models," Papers 9009, Institut National de la Statistique et des Etudes Economiques-.
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  81. Gourieroux, C., 1990. "Courbes de performance et de discrimination," Papers 9013, Institut National de la Statistique et des Etudes Economiques-.

  82. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1990. "Sélection de clientèle et tarification de prêt bancaire," CEPREMAP Working Papers (Couverture Orange) 9004, CEPREMAP.

  83. Gourieroux, C. & Monfort, A., 1989. "Additive Log-Differenced Probability Models For Count Data," Papers 8902, Institut National de la Statistique et des Etudes Economiques-.

  84. Gourieroux, C. & Mauriel, F. & Monfort, A., 1989. "Least Squares And Fractionally Integrated Regressors," Papers 8913, Institut National de la Statistique et des Etudes Economiques-.

  85. Gourieroux, C. & Monfort, A., 1989. "Econometrics Based On Endogenous Samples," Papers 8903, Institut National de la Statistique et des Etudes Economiques-.

  86. Gourieroux, C. & Monfort, A., 1989. "Econometrics Of Count Data : The A.L.D.P. Model," Papers 9001, Institut National de la Statistique et des Etudes Economiques-.

  87. Gourieroux Christian & Peaucelle Irina, 1989. "Detecting a long run relationship (with an application to the p.p.p. hypothesis)," CEPREMAP Working Papers (Couverture Orange) 8902, CEPREMAP. [Downloadable!]

  88. Gourieroux Christian & Peaucelle Irina, 1988. "Hétérogénéité/i/cas linéaire (le)," CEPREMAP Working Papers (Couverture Orange) 8809, CEPREMAP. [Downloadable!]

  89. Gourieroux Christian, 1988. "Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible)," CEPREMAP Working Papers (Couverture Orange) 8817, CEPREMAP.

  90. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1988. "Hétérogénéité dans les modèles à représentation linéaire," CEPREMAP Working Papers (Couverture Orange) 8805, CEPREMAP.

  91. Gourieroux Christian & Akonom, J., 1988. "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange) 8801, CEPREMAP.

  92. Trognon, A. & Gourieroux, C., 1988. "Une Note Sur L'Efficacite Des Procedures D'Estimation En Deux Etapes," Papers 8808, Institut National de la Statistique et des Etudes Economiques-.

  93. Gourieroux Christian & Monfort Alain & Renault Eric, 1987. "Consistent m-estimators in a semi-parametric model," CEPREMAP Working Papers (Couverture Orange) 8720, CEPREMAP.

  94. Goncalves E & Gourieroux Christian, 1987. "Agrégation de processus autoregressifs d'ordre 1," CEPREMAP Working Papers (Couverture Orange) 8722, CEPREMAP.

  95. Fourgeaud C & Gourieroux Christian & Pradel J, 1987. "Heterogeneity and hazard dominance in duration data models," CEPREMAP Working Papers (Couverture Orange) 8736, CEPREMAP.

  96. Dujancourt M & Gourieroux Christian, 1987. "Functional averages and statistical inference," CEPREMAP Working Papers (Couverture Orange) 8724, CEPREMAP.

  97. Fourgeaud C & Gourieroux Christian & Pradel J, 1987. "Court et long-terme dans les modèles de durée," CEPREMAP Working Papers (Couverture Orange) 8737, CEPREMAP.

  98. Gourieroux Christian, 1987. "Contraintes linéaires mixtes," CEPREMAP Working Papers (Couverture Orange) 8730, CEPREMAP.

  99. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1986. "Strong concentration ordering," CEPREMAP Working Papers (Couverture Orange) 8612, CEPREMAP.

  100. Gourieroux Christian, 1986. "Approche géométrique des processus arma (une)," CEPREMAP Working Papers (Couverture Orange) 8611, CEPREMAP.

  101. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Identification & consistent estimation of multi-variate linear models with rational expectations of current variables," CEPREMAP Working Papers (Couverture Orange) 8617, CEPREMAP.

  102. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986. "Reduction and identification of simultaneous equations models with rational expectations," CEPREMAP Working Papers (Couverture Orange) 8601, CEPREMAP.

  103. Gourieroux Christian & Monfort Alain & Renault E, 1985. "Testing unknown linear restrictions on parameter functions," CEPREMAP Working Papers (Couverture Orange) 8516, CEPREMAP.

  104. Gourieroux Christian & Monfort Alain & Renault E & Trognon A, 1985. "Simulated residuals," CEPREMAP Working Papers (Couverture Orange) 8502, CEPREMAP.
    Published as:

  105. Gourieroux Christian & Peaucelle Irina, 1985. "Vérification empirique de deux schémas d'anticipation adaptatif et rationnel," CEPREMAP Working Papers (Couverture Orange) 8517, CEPREMAP. [Downloadable!]

  106. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1984. "Learning procedure and convergence to rationality," CEPREMAP Working Papers (Couverture Orange) 8411, CEPREMAP.
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  107. Broze, Laurence & Gourieroux Christian & Szafarz A, 1984. "Solutions of dynamic linear rational expectations models," CEPREMAP Working Papers (Couverture Orange) 8421, CEPREMAP.

  108. Gourieroux Christian & Monfort Alain & Trognon A, 1984. "General approach of serial correlation (a)," CEPREMAP Working Papers (Couverture Orange) 8424, CEPREMAP.

  109. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983. "Modèles a anticipations rationnelles apprentissage par regression," CEPREMAP Working Papers (Couverture Orange) 8327, CEPREMAP.

  110. Gourieroux Christian & Pradel J, 1983. "Direct test of the rational expectations hypothesis (with special attention to qualitative variables)," CEPREMAP Working Papers (Couverture Orange) 8328, CEPREMAP.

  111. Gourieroux, Christian & Laroque, Guy, 1983. "The agregation of commodities in quantity rationing models," CEPREMAP Working Papers (Couverture Orange) 8305, CEPREMAP.
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  112. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983. "Rational expectations models and bounded memory," CEPREMAP Working Papers (Couverture Orange) 8310, CEPREMAP.
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  113. Gourieroux Christian & Laffont Jean-jacques & Monfort Alain, 1982. "Revision adaptative des anticipations et convergence vers les anticipations rationnelles," CEPREMAP Working Papers (Couverture Orange) 8218, CEPREMAP.

  114. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Estimation and test in probit models with serial correlation," CEPREMAP Working Papers (Couverture Orange) 8220, CEPREMAP.

  115. Gourieroux Christian, 1982. "Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e," CEPREMAP Working Papers (Couverture Orange) 8215, CEPREMAP.

  116. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1982. "Some theoretical results for generalized ridge regression estimators," CEPREMAP Working Papers (Couverture Orange) 8207, CEPREMAP.
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  117. Gourieroux Christian & Monfort Alain & Trognon A, 1982. "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange) 8203, CEPREMAP.
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  118. Gourieroux Christian & Monfort Alain & Trognon A, 1981. "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange) 8129, CEPREMAP.
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  119. C. Gourieroux & Jean-Jacques Laffont & A. Monfort, 1979. "Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes," NBER Working Papers 0343, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  120. C. Gouriéroux & J. Jasiak, . "Truncated Maximum Likelihood, Goodness of Fit Tests and Tail Analysis," Sonderforschungsbereich 373 1998-36, Humboldt Universitaet Berlin.

Articles

  1. Gagliardini, Patrick & Gourieroux, Christian, 2007. "An efficient nonparametric estimator for models with nonlinear dependence," Journal of Econometrics, Elsevier, vol. 127(1), pages 189-229, March. [Downloadable!] (restricted)

  2. Gourieroux, C. & Monfort, A., 2007. "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, vol. 127(2), pages 509-530, February. [Downloadable!] (restricted)

  3. Christian Gourieroux & Razvan Sufana, 2006. "A Classification of Two-Factor Affine Diffusion Term Structure Models," Journal of Financial Econometrics, Oxford University Press, vol. 4(1), pages 31-52. [Downloadable!] (restricted)

  4. Joann Jasiak & Christian Gourieroux, 2006. "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 25(2), pages 129-152. [Downloadable!]

  5. Gourieroux, Christian & Jasiak, Joann, 2006. "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, vol. 127(1-2), pages 475-505. [Downloadable!] (restricted)

  6. C. Gourieroux & A. Monfort & V. Polimenis, 2006. "Affine Models for Credit Risk Analysis," Journal of Financial Econometrics, Oxford University Press, vol. 4(3), pages 494-530. [Downloadable!] (restricted)

  7. Gourieroux, Christian & Robert, Christian Y., 2006. "Stochastic Unit Root Models," Econometric Theory, Cambridge University Press, vol. 22(06), pages 1052-1090, November. [Downloadable!]

  8. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006. "Structural Laplace Transform and Compound Autoregressive Models," Journal of Time Series Analysis, Blackwell Publishing, vol. 27(4), pages 477-503, 07. [Downloadable!] (restricted)

  9. Gagliardini, P. & Gourieroux, C., 2005. "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, vol. 29(4), pages 865-894, April. [Downloadable!] (restricted)

  10. Gourieroux, C. & Monfort, A., 2005. "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, vol. 12(1), pages 1-41, January. [Downloadable!] (restricted)

  11. C. Gourieroux & A. Monfort, 2004. "Infrequent Extreme Risks," The Geneva Papers on Risk and Insurance Theory, Springer, vol. 29(1), pages 5-22, 06. [Downloadable!]

  12. Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2004. "Kernel-based nonlinear canonical analysis and time reversibility," Journal of Econometrics, Elsevier, vol. 119(2), pages 323-353, April. [Downloadable!] (restricted)
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  13. Gourieroux, C. & Jasiak, J., 2004. "Heterogeneous INAR(1) model with application to car insurance," Insurance: Mathematics and Economics, Elsevier, vol. 34(2), pages 177-192, April. [Downloadable!] (restricted)

  14. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004. "Stochastic volatility duration models," Journal of Econometrics, Elsevier, vol. 119(2), pages 413-433, April. [Downloadable!] (restricted)

  15. Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2001. "Factor ARMA representation of a Markov process," Economics Letters, Elsevier, vol. 71(2), pages 165-171, May. [Downloadable!] (restricted)
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  16. Gourieroux, Christian & Jasiak, Joann, 2001. "Memory and infrequent breaks," Economics Letters, Elsevier, vol. 70(1), pages 29-41, January. [Downloadable!] (restricted)

  17. Christian Gourieroux & Joann Jasiak, 2001. "Dynamic Factor Models," Econometric Reviews, Taylor and Francis Journals, vol. 20(4), pages 385-424. [Downloadable!] (restricted)
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    • Gourieroux, C. & Jasiak, J., 1999. "Dynamic Factor Models," Papers 9908, Institut National de la Statistique et des Etudes Economiques-.

  18. Georges Dionne & Christian Gourieroux & Charles Vanasse, 2001. "Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment," Journal of Political Economy, University of Chicago Press, vol. 109(2), pages 444-473, April. [Downloadable!] (restricted)

  19. Darolles, Serge & Gourieroux, Christian, 2001. "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, vol. 102(1), pages 1-22, May. [Downloadable!] (restricted)
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  20. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000. "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, vol. 7(3-4), pages 225-245, November. [Downloadable!] (restricted)
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  21. Clement, E. & Gourieroux, C. & Monfort, A., 2000. "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 117-143. [Downloadable!] (restricted)
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  22. Gourieroux, C. & Jouneau, F., 1999. "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, vol. 6(1), pages 87-118, January. [Downloadable!] (restricted)

  23. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999. "Intra-day market activity," Journal of Financial Markets, Elsevier, vol. 2(3), pages 193-226, August. [Downloadable!] (restricted)
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    • Gourieroux, C. & Jasiak, J. & Le Fol, G., 1996. "Intra-Day Market Activity," Papers 9633, Institut National de la Statistique et des Etudes Economiques-.

  24. Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998. "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, vol. 66(3), pages 673-688, May.

  25. Broze, Laurence & Gourieroux, Christian, 1998. "Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators," Journal of Econometrics, Elsevier, vol. 85(1), pages 75-98, July. [Downloadable!] (restricted)
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  26. Gourieroux, Christian & Magnac, Thierry, 1997. "Duration, transition and count data models Introduction," Journal of Econometrics, Elsevier, vol. 79(2), pages 195-199, August. [Downloadable!] (restricted)

  27. Gourieroux, C. & Scaillet, O., 1997. "Unemployment insurance and mortgages," Insurance: Mathematics and Economics, Elsevier, vol. 20(3), pages 173-195, October. [Downloadable!] (restricted)

  28. Gourieroux, C. & Visser, M., 1997. "A count data model with unobserved heterogeneity," Journal of Econometrics, Elsevier, vol. 79(2), pages 247-268, August. [Downloadable!] (restricted)

  29. Breitung, Jorg & Gourieroux, Christian, 1997. "Rank tests for unit roots," Journal of Econometrics, Elsevier, vol. 81(1), pages 7-27, November. [Downloadable!] (restricted)
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  30. De Toldi, M. & Gourieroux, C. & Monfort, A., 1995. "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, vol. 2(1), pages 45-70, March. [Downloadable!] (restricted)

  31. Gourieroux, Christian & Monfort, Alain, 1993. "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, vol. 59(1-2), pages 5-33, September. [Downloadable!] (restricted)
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  32. Gourieroux, C & Monfort, A & Renault, E, 1993. "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 8(S), pages S85-118, Suppl. De. [Downloadable!] (restricted)
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    • Gourieroux, C. & Monfort, A. & Renault, E., 1992. "Indirect Inference," Papers 92.279, Toulouse - GREMAQ.
    • Gourieroux, C. & Monfort, A & Renault, E., 1992. "Indirect Inference," Papers 9215, Institut National de la Statistique et des Etudes Economiques-.

  33. Gourieroux, Christian & Monfort, Alain, 1992. "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, vol. 52(1-2), pages 159-199. [Downloadable!] (restricted)
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  34. Gourieroux, Christian & Monfort, Alan & Renault, Eric, 1989. "Testing for Common Roots," Econometrica, Econometric Society, vol. 57(1), pages 171-85, January. [Downloadable!] (restricted)

  35. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Simulated residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 201-252. [Downloadable!] (restricted)
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  36. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987. "Generalised residuals," Journal of Econometrics, Elsevier, vol. 34(1-2), pages 5-32. [Downloadable!] (restricted)

  37. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986. "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, vol. 54(4), pages 845-68, July. [Downloadable!] (restricted)
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  38. Gourieroux, Christian & Pradel, Jacqueline, 1986. "Direct test of the rational expectation hypothesis," European Economic Review, Elsevier, vol. 30(2), pages 265-284, April. [Downloadable!] (restricted)

  39. Fourgeaud, C & Gourieroux, C & Pradel, J, 1985. "Rational Expectations Models and Bounded Memory," Econometrica, Econometric Society, vol. 53(4), pages 977-85, July. [Downloadable!] (restricted)
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  40. Gourieroux, Christian & Laroque, Guy, 1985. "The Aggregation of Commodities in Quantity Rationing Models," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(3), pages 681-99, October. [Downloadable!] (restricted)
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  41. Fourgeaud, C. & Gourieroux, C. & Pradel, J., 1984. "Some theoretical results for generalized ridge regression estimators," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 191-203. [Downloadable!] (restricted)
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  42. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, vol. 52(3), pages 701-20, May. [Downloadable!] (restricted)
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  43. Gourieroux, C. & Trognon, A., 1984. "Specification pre-test estimator," Journal of Econometrics, Elsevier, vol. 25(1-2), pages 15-27. [Downloadable!] (restricted)

  44. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984. "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, vol. 52(3), pages 681-700, May. [Downloadable!] (restricted)
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  45. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983. "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, vol. 21(1), pages 83-115, January. [Downloadable!] (restricted)

  46. Gourieroux, C & Laffont, J J & Monfort, Alain, 1982. "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions," Econometrica, Econometric Society, vol. 50(2), pages 409-25, March. [Downloadable!] (restricted)

  47. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1982. "Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters," Econometrica, Econometric Society, vol. 50(1), pages 63-80, January. [Downloadable!] (restricted)

  48. Gourieroux, Christian & Monfort, Alain, 1981. "Asymptotic properties of the maximum likelihood estimator in dichotomous logit models," Journal of Econometrics, Elsevier, vol. 17(1), pages 83-97, September. [Downloadable!] (restricted)

  49. Gourieroux, Christian & Monfort, Alain, 1981. "On the Problem of Missing Data in Linear Models," Review of Economic Studies, Blackwell Publishing, vol. 48(4), pages 579-86, October. [Downloadable!] (restricted)

  50. Gourieroux, Christian & Holly, Alberto & Monfort, Alain, 1981. "Kuhn-Tucker, likelihood ratio and Wald tests for nonlinear models with inequality constraints on the parameters," Journal of Econometrics, Elsevier, vol. 16(1), pages 166-166, May. [Downloadable!] (restricted)

  51. Gourieroux, C & Laffont, J-J & Monfort, A, 1980. "Disequilibrium Econometrics in Simultaneous Equations Systems," Econometrica, Econometric Society, vol. 48(1), pages 75-96, January. [Downloadable!] (restricted)

  52. Gourieroux, C. & Laffont, J. J. & Montfort, A., 1980. "On the backward-forward procedure," Economics Letters, Elsevier, vol. 5(3), pages 215-217. [Downloadable!] (restricted)

  53. Gourieroux, C & Laffont, J J & Monfort, A, 1980. "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, vol. 48(3), pages 675-95, April. [Downloadable!] (restricted)
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  54. Gourieroux, Christian & Monfort, Alain, 1980. "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, vol. 48(5), pages 1083-97, July. [Downloadable!] (restricted)

  55. Gourieroux, Christian & Laffont, Jean-Jacques & Monfort, Alain, 1980. "Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(1), pages 245-47, February. [Downloadable!] (restricted)

  56. Gourieroux, Christian & Monfort, Alain, 1979. "On the characterization of a joint probability distribution by conditional distributions," Journal of Econometrics, Elsevier, vol. 10(1), pages 115-118, April. [Downloadable!] (restricted)

  57. RePEc:cup:etheor:v:11:y:1995:i:2:p:195-228 is not listed on IDEAS

  58. RePEc:cup:etheor:v:11:y:1995:i:2:p:229-57 is not listed on IDEAS

Chapters

  1. Gourieroux, C. & Monfort, A., 1986. "Testing non-nested hypotheses," Handbook of Econometrics, in: R. F. Engle & D. McFadden (ed.), Handbook of Econometrics, edition 1, volume 4, chapter 44, pages 2583-2637 Elsevier. [Downloadable!] (restricted)
    Other versions:

NEP Fields

9 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-BEC: Business Economics (1) 2005-05-29
  2. NEP-DCM: Discrete Choice Models (1) 2006-11-18
  3. NEP-ECM: Econometrics (6) 1999-09-17 2000-06-29 2005-05-29 2006-01-24 2006-11-25 2006-11-25 Author is listed
  4. NEP-ETS: Econometric Time Series (4) 1999-09-17 2000-06-29 2006-01-24 2006-11-25 Author is listed
  5. NEP-FIN: Finance (1) 2005-05-29
  6. NEP-MIC: Microeconomics (1) 2003-08-31
  7. NEP-MST: Market Microstructure (1) 2006-11-25
  8. NEP-RMG: Risk Management (3) 2003-08-31 2003-12-14 2006-11-25 Author is listed
  9. NEP-TID: Technology & Industrial Dynamics (1) 1999-09-17
Did you know? IDEAS uses the data collected within the RePEc project, the largest online bibliographic database in Economics.

This page was last updated on 2008-5-9.

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