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Publications

by alumni of

Université de Rouen → UFR Droit, Économie et Gestion

University of Rouen → Faculty of Law, Economics and Management

These are publications listed in RePEc written by alumni of the above institution who are registered with the RePEc Author Service and listed in the RePEc Genealogy. List of alumni. For a list of publications by current members of the department, see here. Register yourself.

This page is updated in the first days of each month.

| Working papers | Journal articles | Books | Chapters |

Working papers

2018

  1. Christian Gouriéroux & Yang Lu, 2018, "Negative Binomial Autoregressive Process," Working Papers, Center for Research in Economics and Statistics, number 2018-03, Mar.
  2. Christian Gouriéroux & Alain Monfort & Jean-Michel Zakoian, 2018, "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations," Working Papers, Center for Research in Economics and Statistics, number 2018-08, Jun.

2017

  1. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2017, "Identification and Estimation in Non-Fundamental Structural VARMA Models," Working Papers, Center for Research in Economics and Statistics, number 2017-08, May.
  2. Gouriéroux, Christian & Monfort, Alain & Zakoian, Jean-Michel, 2017, "Pseudo-Maximum Likelihood and Lie Groups of Linear Transformations," MPRA Paper, University Library of Munich, Germany, number 79623, Jun.
  3. Christian Gouriéroux & Alain Monfort, 2017, "Composite Indirect Inference with Application," Working Papers, Center for Research in Economics and Statistics, number 2017-07, Mar.

2016

  1. Gouriéroux, Christian & Zakoian, Jean-Michel, 2016, "Local Explosion Modelling by Noncausal Process," MPRA Paper, University Library of Munich, Germany, number 71105, May.
  2. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2016, "Statistical Inference for Independent Component Analysis: Application to Structural VAR Models," Working Papers, Center for Research in Economics and Statistics, number 2016-20, Mar.
  3. Christian Gouriéroux & Joann Jasiak, 2016, "Robust Analysis of the Martingale Hypothesis," Working Papers, Center for Research in Economics and Statistics, number 2016-18, Apr.
  4. Christian Gouriéroux & Joann Jasiak & Alain Monfort, 2016, "Stationary Bubble Equilibria in Rational Expectation Models," Working Papers, Center for Research in Economics and Statistics, number 2016-31, Oct.
  5. Christian Gouriéroux & Yang Lu, 2016, "A Flexible State-Space Model with Application to Stochastic Volatility," Working Papers, Center for Research in Economics and Statistics, number 2016-39, Nov.
  6. Laurent Calvet & Veronika Czellar & Christian Gouriéroux, 2016, "Structural Dynamic Analysis of Systematic Risk," Working Papers, Center for Research in Economics and Statistics, number 2016-19, Jun.
  7. Christian Gouriéroux & Alain Monfort & Eric Renault, 2016, "Consistent Pseudo-Maximum Likelihood Estimators," Working Papers, Center for Research in Economics and Statistics, number 2016-33, Sep.
  8. Christian Gouriéroux & Alain Monfort, 2016, "Composite Indirect Inference with Application to Corporate Risks," Working Papers, Center for Research in Economics and Statistics, number 2016-32, Oct.

2015

  1. Christian Gouriéroux & Joann Jasiak, 2015, "Semi-Parametric Estimation of Noncausal Vector Autoregression," Working Papers, Center for Research in Economics and Statistics, number 2015-02, May.
  2. Christian Gouriéroux & Alain Monfort, 2015, "Statistical Inference for Independent Component Analysis," Working Papers, Center for Research in Economics and Statistics, number 2015-03, Jun.

2014

  1. Christian Gouriéroux & Alain Monfort, 2014, "Revisiting Identification and estimation in Structural VARMA Models," Working Papers, Center for Research in Economics and Statistics, number 2014-30, Oct.
  2. Christian Gouriéroux & Joann Jasiak, 2014, "Misspecification of Causal and Noncausal Orders in Autoregressive Processes," Working Papers, Center for Research in Economics and Statistics, number 2014-25, Sep.
  3. Gouriéroux, Christian & Zakoian, Jean-Michel, 2014, "On uniqueness of moving average representations of heavy-tailed stationary processes," MPRA Paper, University Library of Munich, Germany, number 54907, Mar.
  4. Christian Gouriéroux & Joann Jasiak, 2014, "Filtering and Prediction in Noncausal Processes," Working Papers, Center for Research in Economics and Statistics, number 2014-15, Apr.
  5. Patrick GAGLIARDINI & Christian GOURIEROUX & Mirco RUBIN, 2014, "Are Behavioral Biases Stable Across Markets and Prevalent Across Individuals? Evidence from Individual Betting Choices," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 14-20, Mar.

2013

  1. Christian Gouriéroux & Jean-Michel Zakoian, 2013, "Explosive Bubble Modelling by Noncausal Process," Working Papers, Center for Research in Economics and Statistics, number 2013-04, Feb.
  2. Christian Gouriéroux & Yang Lu, 2013, "Love and Death : A Freund Model with Frailty," Working Papers, Center for Research in Economics and Statistics, number 2013-09, Apr.
  3. Christian Gouriéroux & Alain Monfort & Jean-Paul Renne, 2013, "Pricing Default Events : Surprise, Exogeneity and Contagion," Working Papers, Center for Research in Economics and Statistics, number 2013-03, Jan.
  4. Christian Gouriéroux & Jean-Cyprien Heam & Alain Monfort, 2013, "Liquidation Equilibrium with Seniority and Hidden CDO," Working Papers, Center for Research in Economics and Statistics, number 2013-06, Feb.
  5. Christian Gouriéroux & Joann Jasiak & Peng Xu, 2013, "Non-tradable S&P 500 Index and the Pricing of Its Traded Derivatives," Working Papers, Center for Research in Economics and Statistics, number 2013-05, Jan.
  6. Christian Gouriéroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2013, "Regime Switching and Bond Pricing," Working Papers, Center for Research in Economics and Statistics, number 2013-48, Jun.
  7. Stéphane Auray & Christian Gouriéroux, 2013, "Procyclité des Régulations des Marchés Financiers," Working Papers, Center for Research in Economics and Statistics, number 2013-35, Dec.
  8. Christian Gourieroux & Yang Lu, 2013, "Long Term Care and Longevity," Working Papers, Center for Research in Economics and Statistics, number 2013-16, Oct.
  9. Serge Darolles & Christian Gouriéroux, 2013, "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I : The High Water Mark Scheme," Working Papers, Center for Research in Economics and Statistics, number 2013-22, Sep.
  10. Christian Gouriéroux & Jean-Cyprien Heam, 2013, "Funding Liquidity Risk from A Regulatory Perspective," Working Papers, Center for Research in Economics and Statistics, number 2013-20, Dec.
  11. Serge Darolles & Christian Gouriéroux, 2013, "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part II : The Loss Carry Forward Scheme," Working Papers, Center for Research in Economics and Statistics, number 2013-23, Sep.

2012

  1. Simon Dubecq & Christian Gourieroux, 2012, "Shock on Variable or Shock on Distribution with Application to Stress-Tests," Working papers, Banque de France, number 368.
  2. Simon Dubecq & Gourieroux , C., 2012, "A term structure model with level factor cannot be realistic and arbitrage free," Working papers, Banque de France, number 359.
  3. Patrick Gagliardini & Christian Gouriéroux, 2012, "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers, Center for Research in Economics and Statistics, number 2012-07, Mar.
  4. Christian Gourieroux & Heam, J.C. & Alain Monfort, 2012, "Bilateral Exposures and Systemic Solvency Risk," Working papers, Banque de France, number 414.
  5. Christian Gouriéroux & Jean-Michel Zakoian, 2012, "Estimation Adjusted VaR," Working Papers, Center for Research in Economics and Statistics, number 2012-16, Sep.
  6. Serge Darolles & Patrick Gagliardini & Christian Gouriéroux, 2012, "Survival of Hedge Funds : Frailty vs Contagion," Working Papers, Center for Research in Economics and Statistics, number 2012-36, Nov.
  7. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012, "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers, Center for Research in Economics and Statistics, number 2012-35, Dec.

2011

  1. Christian GOURIEROUX & Alain MONFORT, 2011, "Allocating Systematic and Unsystematic Risks in a Regulatory Perspective," Working Papers, Center for Research in Economics and Statistics, number 2011-04.
  2. Christian Gouriéroux & University of Lugano, 2011, "Granularity Theory with Application to Finance and Insurance," Working Papers, Center for Research in Economics and Statistics, number 2011-22.

2010

  1. Patrick GAGLIARDINI & Christian GOURIEROUX, 2010, "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Working Papers, Center for Research in Economics and Statistics, number 2010-07.
  2. Patrick GAGLIARDINI & Christian GOURIEROUX & Alain MONFORT, 2010, "Microinformation, Nonlinear Filtering and Granularity," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 10-23, May.
  3. Simon Dubecq & Christian Gourieroux, 2010, "An Analysis of the Ultra Long-Term Yields," Working Papers, Center for Research in Economics and Statistics, number 2010-49.

2009

  1. Patrick GAGLIARDINI & Christian GOURIEROUX, 2009, "Efficiency in Large Dynamic Panel Models with Common Factor," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 09-12, Mar.

2007

  1. Christian Gourieroux & Alain Monfort, 2007, "Quadratic Stochastic Intensity and Prospective Mortality Tables," Working Papers, Center for Research in Economics and Statistics, number 2007-30.

2006

  1. Christian Gourieroux & Peter C. B. Phillips & Jun Yu, 2006, "Indirect Inference for Dynamic Panel Models," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1550, Jan.
  2. Joan Jasiak & D. Feng & C. Gourieroux, 2006, "The Ordered Qualitative Model For Credit Rating Transitions," Working Papers, York University, Department of Economics, number 2006_2, Feb.
  3. Joan Jasiak & C. Gourieroux, 2006, "Dynamic Quantile Models," Working Papers, York University, Department of Economics, number 2006_4, Sep.
  4. Christian Gourieroux & Alain Monfort, 2006, "(Non) consistency of the Beta Kernel Estimator for Recovery Rate Distribution," Working Papers, Center for Research in Economics and Statistics, number 2006-31.
  5. Christian Gourieroux & Wei Liu, 2006, "Sensitivity Analysis of Distortion Risk Measures," Working Papers, Center for Research in Economics and Statistics, number 2006-33.
  6. Christian Gourieroux & Wei Liu, 2006, "Efficient Portfolio Analysis Using Distortion Risk Measures," Working Papers, Center for Research in Economics and Statistics, number 2006-17.
  7. Christian Gourieroux & Joann Jasiak, 2006, "A Degeneracy in the Analysis of Volatility and Covolatility Effects," Working Papers, Center for Research in Economics and Statistics, number 2006-30.

2005

  1. 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, Department of Economics, University of St. Gallen, number 2005-05, Jan.
  2. Joan Jasiak & R. Sufana & C. Gourieroux, 2005, "The Wishart Autoregressive Process of Multivariate Stochastic Volatility," Working Papers, York University, Department of Economics, number 2005_2, Sep.
  3. Christian Gourieroux, 2005, "Wishart Autoregressive Model for Stochastic Risk," Working Papers, Center for Research in Economics and Statistics, number 2005-43.
  4. Christian Gourieroux & Razvan Sufana, 2005, "A Classification of Two Factor Affine Diffusion Term Structure Models," Working Papers, Center for Research in Economics and Statistics, number 2005-42.
  5. Christian Gourieroux & Alain Monfort & Razvan Sufana, 2005, "International Money and Stock Market Contingent Claims," Working Papers, Center for Research in Economics and Statistics, number 2005-41.
  6. Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2005, "Affine Model for Credit Risk Analysis," Working Papers, Center for Research in Economics and Statistics, number 2005-44.

2004

  1. Christian Gourieroux & Joann Jasiak & Razvan Sufana, 2004, "The Wishart Autoregressive of Multivariate Stochastic Volatility," Working Papers, Center for Research in Economics and Statistics, number 2004-32.
  2. Patrick Gagliardini & Christian Gourieroux, 2004, "Stochastic Migration Models with Application to Corporate Risk," Working Papers, Center for Research in Economics and Statistics, number 2004-35.
  3. Christian Gourieroux & Razvan Sufana, 2004, "Derivative Pricing with Multivariate Stochastic Volatility : Application to Credit Risk," Working Papers, Center for Research in Economics and Statistics, number 2004-31.

2003

  1. ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX Christian, 2003, "Aversion Analysis," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 2003-06.
    • ALLARD, Marie & BRONSARD, Camille & GOURIÉROUX, Christian, 2003, "Aversion Analysis," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 04-2003.
  2. Christian Gourieroux & Razvan Sufana, 2003, "Whishart Quadratic Term Structure Models," Working Papers, Center for Research in Economics and Statistics, number 2003-50.

2002

  1. Christian Gourieroux & Alain Monfort, 2002, "Pricing with Splines," Working Papers, Center for Research in Economics and Statistics, number 2002-50.
  2. Christian Gourieroux & Alain Monfort, 2002, "Equidependence in Qualitative and Duration Models with Application to Credit Risk," Working Papers, Center for Research in Economics and Statistics, number 2002-51.
  3. Patrick Gagliardini & Christian Gourieroux, 2002, "Duration Time Series Models with Proportional Hazard," Working Papers, Center for Research in Economics and Statistics, number 2002-21.
  4. Patrick Gagliardini & Christian Gourieroux, 2002, "Constrained Nonparametric Copulas," Working Papers, Center for Research in Economics and Statistics, number 2002-20.
  5. Christian Gourieroux & Alain Monfort & Vassilis Polimenis, 2002, "Affine Term Structure Models," Working Papers, Center for Research in Economics and Statistics, number 2002-49.

2001

  1. Pierre Druilhet, 2001, "Conditions for Optimality in Experimental Designs," Working Papers, Center for Research in Economics and Statistics, number 2001-20.
  2. Cécile Boyer & Christian Gourieroux & Gaëlle Le Fol, 2001, "Ajustement des prix bid et ask en présence d'information privée," Working Papers, Center for Research in Economics and Statistics, number 2001-25.
  3. Christian Gourieroux & Joanna Jasiak, 2001, "Local Likelihood Density Estimation and Value at Risk," Working Papers, Center for Research in Economics and Statistics, number 2001-31.
  4. Christian Gourieroux & Christian Yann Robert, 2001, "Tails and Extremal Behaviour of Stochastic Unit Root Models," Working Papers, Center for Research in Economics and Statistics, number 2001-28.
  5. Serge Darolles & Christian Gourieroux & Joanna Jasiak, 2001, "Compound Autoregressive Models," Working Papers, Center for Research in Economics and Statistics, number 2001-21.

2000

  1. Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000, "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0162, Aug.
  2. Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000, "Kernel Based Nonlinear Canonical Analysis and Time Reversibility," Working Papers, Center for Research in Economics and Statistics, number 2000-18.
  3. Serge Darolles & Jean-Pierre Florens & Christian Gourieroux, 2000, "Factor ARMA Representation of a Markov Process," Working Papers, Center for Research in Economics and Statistics, number 2000-26.

1999

  1. Gourieroux, Christian & Josiak, Joann, 1999, "Nonlinear persistence and copersistence," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9920.
  2. Gourieroux, Christian & Jasiak, Joanna, 1999, "Nonlinear innovations and impulse responses," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9906.
  3. Darolles, S. & Florens, J.-P. & Gourieroux, C., 1999, "Kernel Based Nonlinear Canonical Analysis," Papers, Toulouse - GREMAQ, number 99.514.
  4. Chesher, Andrew & Dhaene, Geert & Gouriéroux, Christian & Scaillet, Olivier, 1999, "Bartlett Identities Tests," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1999019, Jun.
  5. Christian Gourieroux & Joanna Jasiak, 1999, "Dynamic Factor Models," Working Papers, Center for Research in Economics and Statistics, number 99-08.

1998

  1. Dionne, G. & Gourieroux, C. & Vanasse, C., 1998, "Evidence of Adverse Selection in Automobile Insurance Markets," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9822.
  2. Dionne, G. & Gourieroux, C. & Vanasse, C., 1998, "The Informational Content of Household Decisions with Applications to Insurance under Adverse Selection," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 9806.
  3. Christian Gourieroux & Joanna Jasiak, 1998, "Nonlinear Autocorrelograms : An Application to Intra-Trade Durations," Working Papers, Center for Research in Economics and Statistics, number 98-41.
  4. Christian Gourieroux & Joanna Jasiak, 1998, "Nonlinear Panel Data Models with Dynamic Heterogeneity," Working Papers, Center for Research in Economics and Statistics, number 98-50.
  5. Christian Gourieroux & Gaëlle Le Fol, 1998, "Matching Procedures and Market Characteristics," Working Papers, Center for Research in Economics and Statistics, number 98-15.
  6. Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1998, "Causality Between Returns and Trated Volumes," Working Papers, Center for Research in Economics and Statistics, number 98-40.
  7. Christian Gourieroux & Joanna Jasiak, 1998, "Truncated Maximum Likelihood and Nonparametric Tail Analysis," Working Papers, Center for Research in Economics and Statistics, number 98-25.
  8. Christian Gourieroux & Alain Monfort, 1998, "The Econometrics of Efficient Frontiers," Working Papers, Center for Research in Economics and Statistics, number 98-34.
  9. Gourieroux, Christian & Jasiaky, Joanna, 1998, "Truncated maximum likelihood, goodness of fit tests and tail analysis," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1998,36.
  10. BROZE, Laurence & GOURIEROUX, Christian, 1998, "Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators," LIDAM Reprints CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1319, Jan, DOI: 10.1016/S0304-4076(97)00095-X.

1997

  1. Gourieroux, Christian & Tiomo, A. & Trognon, A., 1997, "Composition des portefeuilles des ménages: une analyse scores sur données françaises," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9716.
  2. Clément, E. & Gourieroux, Christian & Monfort, Alain, 1997, "Econometric specification of the risk neutral valuation model," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9706.
  3. Gourieroux, Christian & Le Fol, Gaëlle, 1997, "Modes de négociation et caractéristiques de marché," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9714.
  4. Gouriéroux, C. & Scaillet, O., 1997, "Multiregime Term Structure Models," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1998002, Mar, revised 00 Dec 1997.
  5. Christian Gourieroux & A, Tiomo & Alain Trognon, 1997, "The Portfolio Composition of Households : A Scoring Analysis from French Data," Working Papers, Center for Research in Economics and Statistics, number 97-06.
  6. Christian Gourieroux & Alain Monfort, 1997, "Modèles de comptage semi-paramétriques," Working Papers, Center for Research in Economics and Statistics, number 97-34.
  7. Georges Dionne & Christian Gourieroux & Charles Vanasse, 1997, "The Informational Content of Household Decisions," Working Papers, Center for Research in Economics and Statistics, number 97-01.
  8. Eric Ghysels & Christian Gourieroux & Joanna Jasiak, 1997, "Stochastic Volatility Duration Models," Working Papers, Center for Research in Economics and Statistics, number 97-46.
  9. Serge Darolles & Christian Gourieroux, 1997, "Dynamiques tronquées et estimation de modèles de diffusion," Working Papers, Center for Research in Economics and Statistics, number 97-04.
  10. Denis Fougère & Christian Gourieroux & A, Tiomo & Alain Trognon, 1997, "An Econometric Analysis of Household Portfolio Allocation," Working Papers, Center for Research in Economics and Statistics, number 97-45.
  11. Serge Darolles & Christian Gourieroux, 1997, "Truncated Dynamics and Estimation of DiffusionEquations," Working Papers, Center for Research in Economics and Statistics, number 97-36.
  12. Christian Gourieroux & Olivier Scaillet & Ariane Szafarz, 1997, "Econométrie de la Finance: approches historiques," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/651.

1996

  1. Gourieroux, Christian & Laurent, Jean-Paul & Pham, Huyên, 1996, "Mean-variance hedging and numeraire," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9611.
  2. Allard, M. & Bronsard, C. & Gourieroux, C., 1996, "Actifs financiers et theorie de la consommation," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9617.
  3. Bossaerts, P. & Ghysels, E. & Gourieroux, C., 1996, "Arbitrage-Based Pricing when Volatility is Stochastic," Cahiers de recherche, Centre interuniversitaire de recherche en économie quantitative, CIREQ, number 9615.
  4. Gourieroux, C. & Renault, E. & Touzi, N., 1996, "Calibrarion By Simulation for Small Sample Bias Correction," Papers, Toulouse - GREMAQ, number 96.428.
  5. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1996, "Kernel Autocorrelogram for Time Deformed Processes," CIRANO Working Papers, CIRANO, number 96s-19, Jul.
  6. Breitung, Jörg & Gouriéroux, Christian, 1996, "Rank tests for unit roots," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 1996,9.

1995

  1. Gourieroux, Christian & Tenreiro, C., 1995, "Comparison of Kernel estimator based goodness of fit tests (a)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9513.
  2. Ghysels, E. & Gourieroux, C. & Jasiak, J., 1995, "Market Time and Asset Price Movements: Theory and Estimation," Cahiers de recherche, Universite de Montreal, Departement de sciences economiques, number 9536.
  3. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 1995, "Trading Patterns, Time Deformation and Stochastic Volatility in Foreign Exchange Markets," CIRANO Working Papers, CIRANO, number 95s-42, Oct.
  4. Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1995, "Solutions of Multivariate Rational Expectations Models," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/701.

1994

  1. Gouriéroux, Christian & Monfort, Alain, 1994, "Testing, encompassing and simulating dynamic econometric models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9406.
  2. Gouriéroux, Christian & Monfort, Alain & Tenreiro, Carlos, 1994, "Kernel m-estimators : non parametric diagnostics for structural models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9405.
  3. Gouriéroux, Christian & Jouneau, F., 1994, "Multivariate distributions for limited dependent variable models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9414.
  4. Gouriéroux, Christian & Scaillet, O., 1994, "Estimation of the term structure from bond data," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9415.
  5. Gouriéroux, Christian, 1994, "Modèles économétriques : utilisation et interprétation (les)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9423.

1993

  1. Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993, "Prévision de mesures de prix contingents," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9310.
  2. Gouriéroux, Christian & Monfort, Alain & Clément, E., 1993, "Modèles linéaires à facteurs et structure à terme des taux d'intérêt," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9306.
  3. Gouriéroux, Christian & Peaucelle, Irina, 1993, "Agrégation de dynamiques de prix et modèles à facteurs à coefficients stochastiques," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9326.
  4. BROZE, Laurence & GOURIEROUX , Christian, 1993, "Covariance Estimators and Adjusted Pseudo Maximum Likelihood Method," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1993013, Mar.

1992

  1. Gourieroux, C. & Monfort, A. & Renault, E., 1992, "Indirect Inference," Papers, Toulouse - GREMAQ, number 92.279.
  2. Gourieroux, Christian & Peaucelle, Irina, 1992, "Quantité de monnaie (la) : russie, les années 1918-1927," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9201.

1991

  1. Gourieroux Christian & Monfort A, 1991, "Modèles de durée et effets de génération," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9131.
  2. Gourieroux Christian & Monfort Alain, 1991, "Qualitative threshold arch models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9109.
  3. Gourieroux Christian & Monfort Alain & Renault E, 1991, "Two stages generalized moment method with applications to regressions with heteroscedasticity of unkwnown form," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9110.
  4. Gourieroux Christian & Peaucelle Irina, 1991, "Transitions in economy : price changes in russia in the twenties," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9127.
  5. Broze, L. & Gourieroux, Ch. & Szafarz, A., 1991, "Computation of multipliers in multivariate rational expectations models," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 1991016, Jan.

1990

  1. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1990, "Sélection de clientèle et tarification de prêt bancaire," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 9004.
  2. Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1990, "Reduced Forms of Rational Expectations Models," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/647.

1989

  1. Gourieroux, Christian & Peaucelle, Irina, 1989, "Detecting a long run relationship (with an application to the p.p.p. hypothesis)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8902.
  2. Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1989, "Speculative Bubbles and Exchange of Information on the Market of a Storable Good," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/106047.

1988

  1. Fourgeaud Claude & Gourieroux Christian & Pradel Jacqueline, 1988, "Hétérogénéité dans les modèles à représentation linéaire," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8805.
  2. Gourieroux Christian & Peaucelle Irina, 1988, "Hétérogénéité/i/cas linéaire (le)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8809.
  3. Gourieroux Christian, 1988, "Hétérogénéité/ii/etude de biais (sous l'hypothèse d'exogénéité faible)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8817.
  4. Gourieroux Christian & Akonom, J., 1988, "Functional limit theorem for fractional processes (a)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8801.

1987

  1. Gourieroux Christian, 1987, "Contraintes linéaires mixtes," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8730.
  2. Goncalves E & Gourieroux Christian, 1987, "Agrégation de processus autoregressifs d'ordre 1," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8722.
  3. Fourgeaud C & Gourieroux Christian & Pradel J, 1987, "Court et long-terme dans les modèles de durée," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8737.
  4. Gourieroux Christian & Monfort Alain & Renault Eric, 1987, "Consistent m-estimators in a semi-parametric model," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8720.
  5. Dujancourt M & Gourieroux Christian, 1987, "Functional averages and statistical inference," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8724.
  6. Fourgeaud C & Gourieroux Christian & Pradel J, 1987, "Heterogeneity and hazard dominance in duration data models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8736.
  7. C. Gourieroux & I. Peaucelle, 1987, "vérfication empirique de la rationalité des anticipations de la demande par les entreprises," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 1987032, Sep.

1986

  1. Gourieroux Christian, 1986, "Approche géométrique des processus arma (une)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8611.
  2. 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), CEPREMAP, number 8617.
  3. Broze, Laurence & Gourieroux Christian & Szafarz A, 1986, "Reduction and identification of simultaneous equations models with rational expectations," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8601.
  4. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1986, "Strong concentration ordering," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8612.
  5. Laurence Broze & Christian Gourieroux & Ariane Szafarz, 1986, "Bulles spéculatives et transmission d'information sur le marché d'un bien stockable," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/683.

1985

  1. Gourieroux Christian & Monfort Alain & Renault E & Trognon A, 1985, "Simulated residuals," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8502.
  2. Gourieroux Christian & Peaucelle Irina, 1985, "Vérification empirique de deux schémas d'anticipation adaptatif et rationnel," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8517.
  3. Gourieroux Christian & Monfort Alain & Renault E, 1985, "Testing unknown linear restrictions on parameter functions," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8516.

1984

  1. Broze, Laurence & Gourieroux Christian & Szafarz A, 1984, "Solutions of dynamic linear rational expectations models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8421.
  2. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1984, "Learning procedure and convergence to rationality," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8411.
  3. Gourieroux Christian & Monfort Alain & Trognon A, 1984, "General approach of serial correlation (a)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8424.

1983

  1. Gourieroux, Christian & Laroque, Guy, 1983, "The agregation of commodities in quantity rationing models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8305.
  2. Gourieroux Christian & Pradel J, 1983, "Direct test of the rational expectations hypothesis (with special attention to qualitative variables)," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8328.
  3. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983, "Modèles a anticipations rationnelles apprentissage par regression," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8327.
  4. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1983, "Rational expectations models and bounded memory," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8310.

1982

  1. Gourieroux Christian, 1982, "Asymptotic comparison of tests for non-nested hypotheses by bahadur's a.r.e," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8215.
  2. Fourgeaud Claude & Gourieroux Christian & Pradel J, 1982, "Some theoretical results for generalized ridge regression estimators," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8207.
  3. Gourieroux Christian & Monfort Alain & Trognon A, 1982, "Pseudo maximum lilelihood methods : applications to poisson models," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8203.
  4. Gourieroux Christian & Laffont Jean-jacques & Monfort Alain, 1982, "Revision adaptative des anticipations et convergence vers les anticipations rationnelles," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8218.
  5. Gourieroux Christian & Monfort Alain & Trognon A, 1982, "Estimation and test in probit models with serial correlation," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8220.

1981

  1. Gourieroux Christian & Monfort Alain & Trognon A, 1981, "Pseudo maximum likelihood methods : theory," CEPREMAP Working Papers (Couverture Orange), CEPREMAP, number 8129.

1979

  1. C. Gourieroux & Jean-Jacques Laffont & A. Monfort, 1979, "Coherency Conditions In Simultaneous Linear Equation Models With Endogenous Switching Regimes," NBER Working Papers, National Bureau of Economic Research, Inc, number 0343, May.

Journal articles

2018

  1. Gourieroux, Christian & Jasiak, Joann, 2018, "Misspecification of noncausal order in autoregressive processes," Journal of Econometrics, Elsevier, volume 205, issue 1, pages 226-248, DOI: 10.1016/j.jeconom.2018.03.012.

2017

  1. Gouriéroux, Christian & Monfort, Alain & Renne, Jean-Paul, 2017, "Statistical inference for independent component analysis: Application to structural VAR models," Journal of Econometrics, Elsevier, volume 196, issue 1, pages 111-126, DOI: 10.1016/j.jeconom.2016.09.007.
  2. Christian Gourieroux & Hung T. Nguyen & Songsak Sriboonchitta, 2017, "Nonparametric estimation of a scalar diffusion model from discrete time data: a survey," Annals of Operations Research, Springer, volume 256, issue 2, pages 203-219, September, DOI: 10.1007/s10479-016-2273-6.
  3. Christian Gouriéroux & Jean-Michel Zakoïan, 2017, "Local explosion modelling by non-causal process," Journal of the Royal Statistical Society Series B, Royal Statistical Society, volume 79, issue 3, pages 737-756, June.
  4. Gourieroux, Christian & Jasiak, Joann, 2017, "Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation," Journal of Econometrics, Elsevier, volume 200, issue 1, pages 118-134, DOI: 10.1016/j.jeconom.2017.01.011.
  5. Gagliardini, Patrick & Gouriéroux, Christian, 2017, "Double instrumental variable estimation of interaction models with big data," Journal of Econometrics, Elsevier, volume 201, issue 2, pages 176-197, DOI: 10.1016/j.jeconom.2017.08.002.
  6. Christian Gouriéroux & Alain Monfort & Eric Renault, 2017, "Consistent Pseudo-Maximum Likelihood Estimators," Annals of Economics and Statistics, GENES, issue 125-126, pages 187-218.
  7. Marie Allard & Camille Bronsard & Christian Gouriéroux, 2017, "Aversions to Impatience, Uncertainty and Illiquidity," Annals of Economics and Statistics, GENES, issue 125-126, pages 9-39.

2016

  1. Patrick Gagliardini & Christian Gouriéroux, 2016, "Spread Term Structure and Default Correlation," Annals of Economics and Statistics, GENES, issue 123-124, pages 175-223, DOI: 10.15609/annaeconstat2009.123-124.0.
  2. Serge Darolles & Christian Gouriéroux & Sébastien Laurent, 2016, "Introduction," Annals of Economics and Statistics, GENES, issue 123-124, pages 7-8, DOI: 10.15609/annaeconstat2009.123-124.0.
  3. Christian Gourieroux & Joann Jasiak, 2016, "Filtering, Prediction and Simulation Methods for Noncausal Processes," Journal of Time Series Analysis, Wiley Blackwell, volume 37, issue 3, pages 405-430, May.
  4. Christian Gourieroux & Joann Jasiak & Peng Xu, 2016, "The Tradability Premium on the S&P 500 Index," Journal of Financial Econometrics, Oxford University Press, volume 14, issue 3, pages 461-495.

2015

  1. Gourieroux, Christian & Lu, Yang, 2015, "Love and death: A Freund model with frailty," Insurance: Mathematics and Economics, Elsevier, volume 63, issue C, pages 191-203, DOI: 10.1016/j.insmatheco.2015.03.016.
  2. Gourieroux, C. & Monfort, A., 2015, "Pricing with finite dimensional dependence," Journal of Econometrics, Elsevier, volume 187, issue 2, pages 408-417, DOI: 10.1016/j.jeconom.2015.02.027.
  3. Christian Gouriéroux & Jean-Michel Zakoïan, 2015, "On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes," Journal of Time Series Analysis, Wiley Blackwell, volume 36, issue 6, pages 876-887, November.
  4. Stéphane Auray & Christian Gouriéroux, 2015, "Financial Regulations and Procyclicality," Bankers, Markets & Investors, ESKA Publishing, issue 138, pages 45-54, September.

2014

  1. Christian Gourieroux & Alain Monfort & Fulvio Pegoraro & Jean-Paul Renne, 2014, "Regime Switching and Bond Pricing," Journal of Financial Econometrics, Oxford University Press, volume 12, issue 2, pages 237-277.
  2. Gouriéroux, C. & Monfort, A. & Renne, J.P., 2014, "Pricing default events: Surprise, exogeneity and contagion," Journal of Econometrics, Elsevier, volume 182, issue 2, pages 397-411, DOI: 10.1016/j.jeconom.2014.05.005.
  3. Gagliardini, Patrick & Gourieroux, Christian, 2014, "Efficiency In Large Dynamic Panel Models With Common Factors," Econometric Theory, Cambridge University Press, volume 30, issue 5, pages 961-1020, October.

2013

  1. C. Gourieroux & A. Monfort, 2013, "Granularity Adjustment for Efficient Portfolios," Econometric Reviews, Taylor & Francis Journals, volume 32, issue 4, pages 449-468, December, DOI: 10.1080/07474938.2012.690667.
  2. Christian Gouriéroux & Alain Monfort, 2013, "Pitfalls in the Estimation of Continuous Time Interest Rate Models: The Case of the CIR Model," Annals of Economics and Statistics, GENES, issue 109-110, pages 25-61.
  3. Gourieroux, C. & Heam, J.C. & Monfort, A., 2013, "Liquidation equilibrium with seniority and hidden CDO," Journal of Banking & Finance, Elsevier, volume 37, issue 12, pages 5261-5274, DOI: 10.1016/j.jbankfin.2013.04.016.
  4. Gourieroux, C. & Monfort, A., 2013, "Linear-price term structure models," Journal of Empirical Finance, Elsevier, volume 24, issue C, pages 24-41, DOI: 10.1016/j.jempfin.2013.07.004.
  5. Gourieroux, Christian & Zakoïan, Jean-Michel, 2013, "Estimation-Adjusted Var," Econometric Theory, Cambridge University Press, volume 29, issue 4, pages 735-770, August.
  6. Gagliardini, Patrick & Gouriéroux, Christian, 2013, "Correlated risks vs contagion in stochastic transition models," Journal of Economic Dynamics and Control, Elsevier, volume 37, issue 11, pages 2241-2269, DOI: 10.1016/j.jedc.2013.05.016.
  7. C. Gourieroux & A. Monfort, 2013, "Allocating Systemic Risk In A Regulatory Perspective," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 16, issue 07, pages 1-20, DOI: 10.1142/S0219024913500416.

2012

  1. Gourieroux, C. & Jasiak, J., 2012, "Granularity adjustment for default risk factor model with cohorts," Journal of Banking & Finance, Elsevier, volume 36, issue 5, pages 1464-1477, DOI: 10.1016/j.jbankfin.2011.12.013.
  2. C. Gouriéroux & J.-C. Héam & A. Monfort, 2012, "Bilateral exposures and systemic solvency risk," Canadian Journal of Economics, Canadian Economics Association, volume 45, issue 4, pages 1273-1309, November, DOI: 10.1111/j.1540-5982.2012.01750.x.

2011

  1. Gourieroux, Christian & Sufana, Razvan, 2011, "Discrete time Wishart term structure models," Journal of Economic Dynamics and Control, Elsevier, volume 35, issue 6, pages 815-824, June.
  2. P. Gagliardini & C. Gourieroux & E. Renault, 2011, "Efficient Derivative Pricing by the Extended Method of Moments," Econometrica, Econometric Society, volume 79, issue 4, pages 1181-1232, July.
  3. Patrick Gagliardini & Christian Gouriéroux, 2011, "Approximate Derivative Pricing for Large Classes of Homogeneous Assets with Systematic Risk," Journal of Financial Econometrics, Oxford University Press, volume 9, issue 2, pages 237-280, Spring.

2010

  1. Darolles, Serge & Gourieroux, Christian, 2010, "Conditionally fitted Sharpe performance with an application to hedge fund rating," Journal of Banking & Finance, Elsevier, volume 34, issue 3, pages 578-593, March.
  2. Gouriéroux, Christian & Phillips, Peter C.B. & Yu, Jun, 2010, "Indirect inference for dynamic panel models," Journal of Econometrics, Elsevier, volume 157, issue 1, pages 68-77, July.
  3. Gourieroux, Christian & Sufana, Razvan, 2010, "Derivative Pricing With Wishart Multivariate Stochastic Volatility," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 3, pages 438-451.
  4. Gourieroux, C. & Monfort, A. & Sufana, R., 2010, "International money and stock market contingent claims," Journal of International Money and Finance, Elsevier, volume 29, issue 8, pages 1727-1751, December.
  5. Patrick Gagliardini & Christian Gouriéroux & Alain Monfort, 2010, "Microinformation, Nonlinear Filtering, and Granularity," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 1, pages 1-53, 2012 10 1.

2009

  1. Darolles, Serge & Gourieroux, Christian & Jasiak, Joann, 2009, "L-performance with an application to hedge funds," Journal of Empirical Finance, Elsevier, volume 16, issue 4, pages 671-685, September.
  2. Christian Gourieroux & Wei Liu, 2009, "Control and Out‐of‐Sample Validation of Dependent Risks," Journal of Risk & Insurance, The American Risk and Insurance Association, volume 76, issue 3, pages 683-707, September, DOI: 10.1111/j.1539-6975.2009.01309.x.
  3. Gouriéroux, Christian & Laferrère, Anne, 2009, "Managing hedonic housing price indexes: The French experience," Journal of Housing Economics, Elsevier, volume 18, issue 3, pages 206-213, September.
  4. Gourieroux, C. & Jasiak, J. & Sufana, R., 2009, "The Wishart Autoregressive process of multivariate stochastic volatility," Journal of Econometrics, Elsevier, volume 150, issue 2, pages 167-181, June.

2008

  1. Feng, D. & Gourieroux, C. & Jasiak, J., 2008, "The ordered qualitative model for credit rating transitions," Journal of Empirical Finance, Elsevier, volume 15, issue 1, pages 111-130, January.
  2. Gourieroux, C. & Monfort, A., 2008, "Quadratic stochastic intensity and prospective mortality tables," Insurance: Mathematics and Economics, Elsevier, volume 43, issue 1, pages 174-184, August.
  3. P. Gagliardini & C. Gourieroux, 2008, "Duration time‐series models with proportional hazard," Journal of Time Series Analysis, Wiley Blackwell, volume 29, issue 1, pages 74-124, January, DOI: 10.1111/j.1467-9892.2007.00546.x.
  4. Gourieroux, C. & Jasiak, J., 2008, "Dynamic quantile models," Journal of Econometrics, Elsevier, volume 147, issue 1, pages 198-205, November.
  5. Christian Gouriéroux, 2008, "Bon ou mauvais usage des notations," Revue d'Économie Financière, Programme National Persée, volume 7, issue 1, pages 259-263, DOI: 10.3406/ecofi.2008.5216.
  6. Christian Gourieroux & Wei Liu & Gourieroux Liu, 2008, "Converting Tail-VaR to VaR: An Econometric Study," Journal of Financial Econometrics, Oxford University Press, volume 10, issue 2, pages 233-264, 2012 10 2.

2007

  1. Gourieroux, C. & Monfort, A., 2007, "Econometric specification of stochastic discount factor models," Journal of Econometrics, Elsevier, volume 136, issue 2, pages 509-530, February.
  2. Gagliardini, Patrick & Gourieroux, Christian, 2007, "An efficient nonparametric estimator for models with nonlinear dependence," Journal of Econometrics, Elsevier, volume 137, issue 1, pages 189-229, March.
  3. C. Gourieroux, 2007, "Positivity Conditions for a Bivariate Autoregressive Volatility Specification," Journal of Financial Econometrics, Oxford University Press, volume 5, issue 4, pages 624-636, Fall.
  4. Christian Gouriéroux & Eric Renault & Pascale Valery, 2007, "Diffusion Processes with Polynomial Eigenfunctions," Annals of Economics and Statistics, GENES, issue 85, pages 115-130.

2006

  1. Serge Darolles & Christian Gourieroux & Joann Jasiak, 2006, "Structural Laplace Transform and Compound Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, volume 27, issue 4, pages 477-503, July, DOI: 10.1111/j.1467-9892.2006.00479.x.
  2. Christian Gourieroux & Razvan Sufana, 2006, "A Classification of Two-Factor Affine Diffusion Term Structure Models," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 1, pages 31-52.
  3. Joann Jasiak & Christian Gourieroux, 2006, "Autoregressive gamma processes," Journal of Forecasting, John Wiley & Sons, Ltd., volume 25, issue 2, pages 129-152, DOI: 10.1002/for.978.
  4. Gourieroux, Christian & Jasiak, Joann, 2006, "Multivariate Jacobi process with application to smooth transitions," Journal of Econometrics, Elsevier, volume 131, issue 1-2, pages 475-505.
  5. C. Gourieroux & A. Monfort & V. Polimenis, 2006, "Affine Models for Credit Risk Analysis," Journal of Financial Econometrics, Oxford University Press, volume 4, issue 3, pages 494-530.
  6. Gourieroux, Christian & Robert, Christian Y., 2006, "Stochastic Unit Root Models," Econometric Theory, Cambridge University Press, volume 22, issue 6, pages 1052-1090, December.
  7. C. Gourieroux, 2006, "Continuous Time Wishart Process for Stochastic Risk," Econometric Reviews, Taylor & Francis Journals, volume 25, issue 2-3, pages 177-217, DOI: 10.1080/07474930600713234.
  8. Christian Gouriéroux & Alain Monfort, 2006, "Pricing with Splines," Annals of Economics and Statistics, GENES, issue 82, pages 3-33.
  9. Sandra Foulcher & Christian Gourieroux & André Tiomo, 2006, "Migration Correlation: Estimation Method and Application to French Corporates Ratings," Annals of Economics and Statistics, GENES, issue 82, pages 71-101.

2005

  1. Gourieroux, C. & Monfort, A., 2005, "The econometrics of efficient portfolios," Journal of Empirical Finance, Elsevier, volume 12, issue 1, pages 1-41, January.
  2. Gagliardini, P. & Gourieroux, C., 2005, "Migration correlation: Definition and efficient estimation," Journal of Banking & Finance, Elsevier, volume 29, issue 4, pages 865-894, April.
  3. Christian Gouriéroux & Joann Jasiak, 2005, "Nonlinear Innovations and Impulse Responses with Application to VaR Sensitivity," Annals of Economics and Statistics, GENES, issue 78, pages 1-31.

2004

  1. Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2004, "Kernel-based nonlinear canonical analysis and time reversibility," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 323-353, April.
  2. Ghysels, Eric & Gourieroux, Christian & Jasiak, Joann, 2004, "Stochastic volatility duration models," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 413-433, April.
  3. Gourieroux, C. & Jasiak, J., 2004, "Heterogeneous INAR(1) model with application to car insurance," Insurance: Mathematics and Economics, Elsevier, volume 34, issue 2, pages 177-192, April.
  4. C. Gourieroux & A. Monfort, 2004, "Infrequent Extreme Risks," The Geneva Papers on Risk and Insurance Theory, Springer;International Association for the Study of Insurance Economics (The Geneva Association), volume 29, issue 1, pages 5-22, June.

2003

  1. Christian Gouriéroux, 2003, "Économétrie de la finance : l’exemple du risque de crédit," L'Actualité Economique, Société Canadienne de Science Economique, volume 79, issue 4, pages 399-418.

2001

  1. Darolles, Serge & Florens, Jean-Pierre & Gourieroux, Christian, 2001, "Factor ARMA representation of a Markov process," Economics Letters, Elsevier, volume 71, issue 2, pages 165-171, May.
  2. Gourieroux, Christian & Jasiak, Joann, 2001, "Memory and infrequent breaks," Economics Letters, Elsevier, volume 70, issue 1, pages 29-41, January.
  3. 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, volume 109, issue 2, pages 444-473, April, DOI: 10.1086/319557.
  4. Darolles, Serge & Gourieroux, Christian, 2001, "Truncated dynamics and estimation of diffusion equations," Journal of Econometrics, Elsevier, volume 102, issue 1, pages 1-22, May.
  5. Christian Gourieroux & Joann Jasiak, 2001, "Dynamic Factor Models," Econometric Reviews, Taylor & Francis Journals, volume 20, issue 4, pages 385-424, DOI: 10.1081/ETC-100106997.
  6. Gouriéroux, Christian & Tenreiro, Carlos, 2001, "Local Power Properties of Kernel Based Goodness of Fit Tests," Journal of Multivariate Analysis, Elsevier, volume 78, issue 2, pages 161-190, August.

2000

  1. Clement, E. & Gourieroux, C. & Monfort, A., 2000, "Econometric specification of the risk neutral valuation model," Journal of Econometrics, Elsevier, volume 94, issue 1-2, pages 117-143.
  2. Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000, "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, volume 7, issue 3-4, pages 225-245, November.
  3. Serge Darolles & Christian Gouriéroux & Gaëlle Le Fol, 2000, "Intraday Transaction Price Dynamics," Annals of Economics and Statistics, GENES, issue 60, pages 207-238.
  4. Eric Ghysels & Christian Gouriéroux & Joann Jasiak, 2000, "Causality between Returns and Traded Volumes," Annals of Economics and Statistics, GENES, issue 60, pages 189-206.

1999

  1. Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999, "Intra-day market activity," Journal of Financial Markets, Elsevier, volume 2, issue 3, pages 193-226, August.
  2. Gourieroux, C. & Jouneau, F., 1999, "Econometrics of efficient fitted portfolios," Journal of Empirical Finance, Elsevier, volume 6, issue 1, pages 87-118, January.

1998

  1. Broze, Laurence & Gourieroux, Christian, 1998, "Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators," Journal of Econometrics, Elsevier, volume 85, issue 1, pages 75-98, July.
  2. Geert Dhaene & Christian Gourieroux & Olivier Scaillet, 1998, "Instrumental Models and Indirect Encompassing," Econometrica, Econometric Society, volume 66, issue 3, pages 673-688, May.
  3. Christian Gourieroux & Jean Paul Laurent & Huyên Pham, 1998, "Mean‐Variance Hedging and Numéraire," Mathematical Finance, Wiley Blackwell, volume 8, issue 3, pages 179-200, July, DOI: 10.1111/1467-9965.00052.
  4. Christian Gouriéroux & Gaëlle Le Fol, 1998, "Effet des modes de négociation sur les échanges," Revue Économique, Programme National Persée, volume 49, issue 3, pages 795-808.

1997

  1. Gourieroux, Christian & Magnac, Thierry, 1997, "Duration, transition and count data models Introduction," Journal of Econometrics, Elsevier, volume 79, issue 2, pages 195-199, August.
  2. Breitung, Jorg & Gourieroux, Christian, 1997, "Rank tests for unit roots," Journal of Econometrics, Elsevier, volume 81, issue 1, pages 7-27, November.
  3. Gourieroux, C. & Scaillet, O., 1997, "Unemployment insurance and mortgages," Insurance: Mathematics and Economics, Elsevier, volume 20, issue 3, pages 173-195, October.
  4. Gourieroux, C. & Visser, M., 1997, "A count data model with unobserved heterogeneity," Journal of Econometrics, Elsevier, volume 79, issue 2, pages 247-268, August.
  5. Christian Gouriéroux & Alain Monfort, 1997, "Modèles de comptage semi-paramétriques," L'Actualité Economique, Société Canadienne de Science Economique, volume 73, issue 1, pages 525-550.
  6. Danielle Forest & Christian Gouriéroux & Lise Salvas-Bronsard, 1997, "D’une analyse de variabilités à un modèle d’investissement des firmes," L'Actualité Economique, Société Canadienne de Science Economique, volume 73, issue 1, pages 331-350.

1996

  1. Christian Gouriéroux & Irina Peaucelle, 1996, "Diffusion et effet de vague," Annals of Economics and Statistics, GENES, issue 44, pages 191-217.

1995

  1. De Toldi, M. & Gourieroux, C. & Monfort, A., 1995, "Prepayment analysis for securitization," Journal of Empirical Finance, Elsevier, volume 2, issue 1, pages 45-70, March.
  2. Broze, Laurence & Gouriéroux, Christian & Szafarz, Ariane, 1995, "Solutions of multivariate Rational Expectations Models," Econometric Theory, Cambridge University Press, volume 11, issue 2, pages 229-257, February.
  3. Gouriéroux, Christian & Monfort, Alain, 1995, "Testing, Encompassing, and Simulating Dynamic Econometric Models," Econometric Theory, Cambridge University Press, volume 11, issue 2, pages 195-228, February.
  4. Jean-François Boulier & Christian Gouriéroux, 1995, "Des mathématiques financières à la finance quantitative : Évolution récente des modèles mathématiques utilisés par les financiers," Revue d'Économie Financière, Programme National Persée, volume 32, issue 1, pages 167-182, DOI: 10.3406/ecofi.1995.2169.
  5. Emmanuelle Clément & Christian Gourieroux & Alain Monfort, 1995, "Linear Factor Models and the Term Structure of Interest Rates," Annals of Economics and Statistics, GENES, issue 40, pages 37-65.

1994

  1. Christian Gouriéroux, 1994, "Création d’actifs financiers et remboursements anticipés," L'Actualité Economique, Société Canadienne de Science Economique, volume 70, issue 3, pages 227-245.

1993

  1. Gourieroux, Christian & Monfort, Alain, 1993, "Simulation-based inference : A survey with special reference to panel data models," Journal of Econometrics, Elsevier, volume 59, issue 1-2, pages 5-33, September.
  2. Gourieroux, C & Monfort, A & Renault, E, 1993, "Indirect Inference," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 8, issue S, pages 85-118, Suppl. De.
  3. Christian Gouriéroux & Irina Peaucelle, 1993, "Les transitions en économie. ; Les changements de prix en Russie dans les années vingt," Économie et Prévision, Programme National Persée, volume 109, issue 3, pages 101-113, DOI: 10.3406/ecop.1993.5626.
  4. Christian Gouriéroux & Alain Monfort & Eric Renault, 1993, "Tests sur le noyau, l'image et le rang de la matrice des coefficients d'un modéle linéaire multivarié," Annals of Economics and Statistics, GENES, issue 32, pages 81-111.

1992

  1. Gourieroux, Christian & Monfort, Alain, 1992, "Qualitative threshold ARCH models," Journal of Econometrics, Elsevier, volume 52, issue 1-2, pages 159-199.
  2. Christian Gouriéroux & Irina Peaucelle, 1992, "Séries codépendantes : application à l’hypothèse de parité du pouvoir d’achat," L'Actualité Economique, Société Canadienne de Science Economique, volume 68, issue 1, pages 283-304.
  3. Christian Gouriéroux, 1992, "Courbes de performances, de sélection et de discrimination," Annals of Economics and Statistics, GENES, issue 28, pages 107-123.

1991

  1. Christian Gouriéroux & Alain Monfort, 1991, "Simulation Based Inference in Models with Heterogeneity," Annals of Economics and Statistics, GENES, issue 20-21, pages 69-107.

1990

  1. Christian Gouriéroux & Irina Peaucelle, 1990, "Hétérogénéité - 1. Etude des biais d'estimation dans le cas linéaire," Annals of Economics and Statistics, GENES, issue 17, pages 163-183.
  2. Christian Gouriéroux, 1990, "Hétérogénéité - 2. Etude des biais de représentativité (sous l'hypothèse d'exogénéité faible)," Annals of Economics and Statistics, GENES, issue 17, pages 185-204.
  3. Claude Fourgeaud & Christian Gourieroux & Jacqueline Pradel, 1990, "Hétérogénéité et hasard dans les modèles de durée," Annals of Economics and Statistics, GENES, issue 18, pages 1-23.

1989

  1. Gourieroux, Christian & Monfort, Alan & Renault, Eric, 1989, "Testing for Common Roots," Econometrica, Econometric Society, volume 57, issue 1, pages 171-185, January.
  2. Gourieroux, C. & Monfort, A., 1989, "A General Framework for Testing a Null Hypothesis in a “Mixed” Form," Econometric Theory, Cambridge University Press, volume 5, issue 1, pages 63-82, April.

1988

  1. C. Gourieroux & I. Peaucelle, 1988, "Fonctions de production représentatives de fonctions à complémentarité stricte," L'Actualité Economique, Société Canadienne de Science Economique, volume 64, issue 2, pages 209-230.
  2. Esmeralda Gonçalves & Christian Gourieroux, 1988, "Agrégation de processus autorégressifs d'ordre 1," Annals of Economics and Statistics, GENES, issue 12, pages 127-149.

1987

  1. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987, "Generalised residuals," Journal of Econometrics, Elsevier, volume 34, issue 1-2, pages 5-32.
  2. Gourieroux, Christian & Monfort, Alain & Renault, Eric & Trognon, Alain, 1987, "Simulated residuals," Journal of Econometrics, Elsevier, volume 34, issue 1-2, pages 201-252.
  3. Christian Gouriéroux & Alain Monfort & Eric Renault, 1987, "Kullback Causality Measures," Annals of Economics and Statistics, GENES, issue 6-7, pages 369-410.
  4. Christian Gouriéroux, 1987, "Une approche géométrique des processus ARMA," Annals of Economics and Statistics, GENES, issue 8, pages 135-159.

1986

  1. Fourgeaud, Claude & Gourieroux, Christian & Pradel, Jacqueline, 1986, "Learning Procedures and Convergence to Rationality," Econometrica, Econometric Society, volume 54, issue 4, pages 845-868, July.
  2. Gourieroux, Christian & Pradel, Jacqueline, 1986, "Direct test of the rational expectation hypothesis," European Economic Review, Elsevier, volume 30, issue 2, pages 265-284, April.
  3. L. Broze & C. Gouriéroux & A. Szafarz, 1986, "Bulles spéculatives et transmission d’information sur le marché d’un bien stockable," L'Actualité Economique, Société Canadienne de Science Economique, volume 62, issue 2, pages 166-184.

1985

  1. 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, volume 26, issue 3, pages 681-699, October.
  2. Fourgeaud, C & Gourieroux, C & Pradel, J, 1985, "Rational Expectations Models and Bounded Memory," Econometrica, Econometric Society, volume 53, issue 4, pages 977-985, July.
  3. Gourieroux, C. & Monfort, A. & Trognon, A., 1985, "A General Approach to Serial Correlation," Econometric Theory, Cambridge University Press, volume 1, issue 3, pages 315-340, December.
  4. Broze, L. & Gourieroux, C. & Szafarz, A., 1985, "Solutions of Linear Rational Expectations Models," Econometric Theory, Cambridge University Press, volume 1, issue 3, pages 341-368, December.

1984

  1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984, "Pseudo Maximum Likelihood Methods: Applications to Poisson Models," Econometrica, Econometric Society, volume 52, issue 3, pages 701-720, May.
  2. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1984, "Pseudo Maximum Likelihood Methods: Theory," Econometrica, Econometric Society, volume 52, issue 3, pages 681-700, May.
  3. Fourgeaud, C. & Gourieroux, C. & Pradel, J., 1984, "Some theoretical results for generalized ridge regression estimators," Journal of Econometrics, Elsevier, volume 25, issue 1-2, pages 191-203.
  4. Gourieroux, C. & Trognon, A., 1984, "Specification pre-test estimator," Journal of Econometrics, Elsevier, volume 25, issue 1-2, pages 15-27.

1983

  1. Gourieroux, Christian & Monfort, Alain & Trognon, Alain, 1983, "Testing nested or non-nested hypotheses," Journal of Econometrics, Elsevier, volume 21, issue 1, pages 83-115, January.

1982

  1. 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, volume 50, issue 1, pages 63-80, January.
  2. Gourieroux, C & Laffont, J J & Monfort, Alain, 1982, "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions," Econometrica, Econometric Society, volume 50, issue 2, pages 409-425, March.

1981

  1. 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, volume 16, issue 1, pages 166-166, May.
  2. Gourieroux, Christian & Monfort, Alain, 1981, "Asymptotic properties of the maximum likelihood estimator in dichotomous logit models," Journal of Econometrics, Elsevier, volume 17, issue 1, pages 83-97, September.
  3. Christian Gourieroux & Alain Monfort, 1981, "On the Problem of Missing Data in Linear Models," The Review of Economic Studies, Review of Economic Studies Ltd, volume 48, issue 4, pages 579-586.

1980

  1. 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, volume 21, issue 1, pages 245-247, February.
  2. Gourieroux, Christian & Monfort, Alain, 1980, "Sufficient Linear Structures: Econometric Applications," Econometrica, Econometric Society, volume 48, issue 5, pages 1083-1097, July.
  3. Gourieroux, C & Laffont, J-J & Monfort, A, 1980, "Disequilibrium Econometrics in Simultaneous Equations Systems," Econometrica, Econometric Society, volume 48, issue 1, pages 75-96, January.
  4. Gourieroux, C & Laffont, J J & Monfort, A, 1980, "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes," Econometrica, Econometric Society, volume 48, issue 3, pages 675-695, April.
  5. Gourieroux, C. & Laffont, J. J. & Montfort, A., 1980, "On the backward-forward procedure," Economics Letters, Elsevier, volume 5, issue 3, pages 215-217.

1979

  1. Gourieroux, Christian & Monfort, Alain, 1979, "On the characterization of a joint probability distribution by conditional distributions," Journal of Econometrics, Elsevier, volume 10, issue 1, pages 115-118, April.

Books

2015

  1. Christian Gourieroux & Joann Jasiak, 2015, "The Econometrics of Individual Risk: Credit, Insurance, and Marketing," Economics Books, Princeton University Press, number 8433, edition 1, December.
  2. Gourieroux, Christian (ed.), 2015, "Analyse et mesure du risque systémique," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/14985.

2014

  1. Gagliardini,Patrick & Gouriéroux,Christian, 2014, "Granularity Theory with Applications to Finance and Insurance," Cambridge Books, Cambridge University Press, number 9781107662889.

2013

  1. Gourieroux, Christian (ed.), 2013, "Stress-Test Exercises and the Pricing of Very Long-Term Bonds," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/11793.

2000

  1. Gourieroux,Christian, 2000, "Econometrics of Qualitative Dependent Variables," Cambridge Books, Cambridge University Press, number 9780521589857.

1997

  1. Gourieroux, Christian & Monfort, Alain, 1997, "Simulation-based Econometric Methods," OUP Catalogue, Oxford University Press, number 9780198774754, ISBN: ARRAY(0x81e4cf48).
  2. Gourieroux,Christian & Monfort,Alain, 1997, "Time Series and Dynamic Models," Cambridge Books, Cambridge University Press, number 9780521423083.

1995

  1. Gourieroux,Christian & Monfort,Alain, 1995, "Statistics and Econometric Models," Cambridge Books, Cambridge University Press, number 9780521471626.

Chapters

2015

  1. Christian Gourieroux & Joann Jasiak, 2015, "Introduction," Introductory Chapters, Princeton University Press, "The Econometrics of Individual Risk: Credit, Insurance, and Marketing".

2008

  1. Christian Gourieroux, 2008, "Car And Affine Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Roberto S Mariano & Yiu-Kuen Tse, "Econometric Forecasting And High-Frequency Data Analysis".

2007

  1. Christian Gourieroux & Joann Jasiak, 2007, "Introduction to The Econometrics of Individual Risk: Credit, Insurance, and Marketing," Introductory Chapters, Princeton University Press, "The Econometrics of Individual Risk: Credit, Insurance, and Marketing".

1986

  1. Gourieroux, C. & Monfort, A., 1986, "Testing non-nested hypotheses," Handbook of Econometrics, Elsevier, chapter 44, in: R. F. Engle & D. McFadden, "Handbook of Econometrics".

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