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Marine Carrasco

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Personal Details

First Name:Marine
Middle Name:
Last Name:Carrasco
Suffix:
RePEc Short-ID:pca65
Email:
Homepage:https://www.webdepot.umontreal.ca/Usagers/carrascm/MonDepotPublic/carrascm/index.htm
Postal Address:University of Montreal Departement de sciences economiques CP 6128, succ Centre Ville Montreal, QC H3C3J7 Canada
Phone:(514) 343-2394
Location: Montréal, Canada
Homepage: http://www.cireqmontreal.com/
Email:
Phone: (514) 343-6557
Fax: (514) 343-7221
Postal: C.P. 6128, Succ. centre-ville, Montréal (PQ) H3C 3J7
Handle: RePEc:edi:cdmtlca (more details at EDIRC)
Location: Montréal, Canada
Homepage: http://www.cirano.qc.ca/
Email:
Phone: (514) 985-4000
Fax: (514) 985-4039
Postal: 1130 rue Sherbrooke Ouest, suite 1400, Montréal, Quéc, H3A 2M8
Handle: RePEc:edi:ciranca (more details at EDIRC)
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  1. Guy Tchuente & Marine Carrasco, 2013. "Regularized LIML for many instruments," CIRANO Working Papers 2013s-20, CIRANO.
  2. Guy Tchuente & Marine Carrasco, 2013. "Efficient estimation with many weak instruments using regularization techniques," CIRANO Working Papers 2013s-21, CIRANO.
  3. Marine Carrasco & Rachidi Kotchoni, 2013. "Efficient Estimation Using the Characteristic Function," Working Papers hal-00867850, HAL.
  4. Marine Carrasco & Rachidi Kotchoni, 2011. "Adaptive Realized Kernels," CIRANO Working Papers 2011s-29, CIRANO.
  5. Xiaohong Chen & Lars P. Hansen & Marine Carrasco, 2008. "Nonlinearity and Temporal Dependence," Cowles Foundation Discussion Papers 1652, Cowles Foundation for Research in Economics, Yale University.
  6. Marine Carrasco & Liang Hu, 2004. "Optimal test for Markov switching," 2004 Meeting Papers 374, Society for Economic Dynamics.
  7. Jean-Pierre Florens & Marine Carrasco, 2004. "On the Asymptotic Efficiency of GMM," Econometric Society 2004 North American Winter Meetings 436, Econometric Society.
  8. Frederique Bec & Melika Ben Salem & Marine Carrasco, 2004. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime STAR Model," RCER Working Papers 509, University of Rochester - Center for Economic Research (RCER).
  9. Marine Carrasco, 2004. "Chi-square Tests for Parameter Stability," RCER Working Papers 508, University of Rochester - Center for Economic Research (RCER).
  10. Eric Ghysels & Jean-Pierre Florens & Mikhail Chernov & Marine Carrasco, 2003. "Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions," CIRANO Working Papers 2003s-02, CIRANO.
  11. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Efficient GMM Estimation Using the Empirical Characteristic Function," IDEI Working Papers 140, Institut d'Économie Industrielle (IDEI), Toulouse.
  12. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Spectral Method for Deconvolving a Density," IDEI Working Papers 138, Institut d'Économie Industrielle (IDEI), Toulouse, revised 2009.
  13. Marine Carrasco, 2000. "Chi-square Tests when a Nuisance Parameter is Present only under the Alternative," Working Papers 2000-34, Centre de Recherche en Economie et Statistique.
  14. Marine H. Carrasco & Jean-Pierre Florens, 2000. "Estimation of a Mixture via the Empirical Characteristic Function," Econometric Society World Congress 2000 Contributed Papers 0514, Econometric Society.
  15. Marine Carrasco & Xiaohong Chen, 1999. "b - Mixing and Moment Properties of Various GARCH, Stochastic Volatility and ACD Models," Working Papers 99-41, Centre de Recherche en Economie et Statistique.
  16. Marine Carrasco, . "Kernel Estimation of the Density of a Change-Point in the Mean," Computing in Economics and Finance 1997 156, Society for Computational Economics.
  1. Carrasco, Marine & Florens, Jean-Pierre, 2014. "On The Asymptotic Efficiency Of Gmm," Econometric Theory, Cambridge University Press, vol. 30(02), pages 372-406, April.
  2. Marine Carrasco & Liang Hu & Werner Ploberger, 2014. "Optimal Test for Markov Switching Parameters," Econometrica, Econometric Society, vol. 82(2), pages 765-784, 03.
  3. Carrasco, Marine, 2012. "A regularization approach to the many instruments problem," Journal of Econometrics, Elsevier, vol. 170(2), pages 383-398.
  4. Carrasco, Marine & Florens, Jean-Pierre, 2011. "A Spectral Method For Deconvolving A Density," Econometric Theory, Cambridge University Press, vol. 27(03), pages 546-581, June.
  5. Frédérique BEC & Mélika BEN SALEM & Marine CARRASCO, 2010. "Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime star Model," Annales d'Economie et de Statistique, ENSAE, issue 99-100, pages 395-427.
  6. Chen, Xiaohong & Hansen, Lars Peter & Carrasco, Marine, 2010. "Nonlinearity and temporal dependence," Journal of Econometrics, Elsevier, vol. 155(2), pages 155-169, April.
  7. Carrasco, Marine & Chernov, Mikhail & Florens, Jean-Pierre & Ghysels, Eric, 2007. "Efficient estimation of general dynamic models with a continuum of moment conditions," Journal of Econometrics, Elsevier, vol. 140(2), pages 529-573, October.
  8. Carrasco, Marine, 2004. "03.1.2 Redundancy of Lagged Regressors in a Conditionally Heteroskedastic Time Series Regression Solution," Econometric Theory, Cambridge University Press, vol. 20(01), pages 228-229, February.
  9. Frederic Bec & Melika Ben Salem & Marine Carrasco, 2004. "Tests for Unit-Root versus Threshold Specification With an Application to the Purchasing Power Parity Relationship," Journal of Business & Economic Statistics, American Statistical Association, vol. 22, pages 382-395, October.
  10. Carrasco, Marine & Chen, Xiaohong, 2002. "Mixing And Moment Properties Of Various Garch And Stochastic Volatility Models," Econometric Theory, Cambridge University Press, vol. 18(01), pages 17-39, February.
  11. Carrasco, Marine & Florens, Jean-Pierre, 2002. "Simulation-Based Method of Moments and Efficiency," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(4), pages 482-92, October.
  12. Marine CARRASCO & Stéphane GREGOIR, 2002. "Policy Evaluation in Macroeconometric Doubly Stochastic Models," Annales d'Economie et de Statistique, ENSAE, issue 67-68, pages 73-109.
  13. Carrasco, Marine, 2002. "Misspecified Structural Change, Threshold, and Markov-switching models," Journal of Econometrics, Elsevier, vol. 109(2), pages 239-273, August.
  14. Carrasco, Marine & Florens, Jean-Pierre, 2000. "Generalization Of Gmm To A Continuum Of Moment Conditions," Econometric Theory, Cambridge University Press, vol. 16(06), pages 797-834, December.
  1. Carrasco, Marine & Florens, Jean-Pierre & Renault, Eric, 2007. "Linear Inverse Problems in Structural Econometrics Estimation Based on Spectral Decomposition and Regularization," Handbook of Econometrics, in: J.J. Heckman & E.E. Leamer (ed.), Handbook of Econometrics, edition 1, volume 6, chapter 77 Elsevier.
16 papers by this author were announced in NEP, and specifically in the following field reports (number of papers):
  1. NEP-CBA: Central Banking (1) 2009-05-16
  2. NEP-ECM: Econometrics (13) 2004-08-16 2004-09-30 2004-09-30 2004-12-02 2008-05-24 2009-02-07 2009-05-16 2009-05-16 2010-07-24 2011-02-26 2013-10-11 2014-04-18 2014-04-18. Author is listed
  3. NEP-ETS: Econometric Time Series (7) 2003-04-27 2004-09-30 2004-09-30 2004-12-02 2008-05-24 2010-07-24 2011-02-26. Author is listed
  4. NEP-FIN: Finance (1) 2004-09-30
  5. NEP-IFN: International Finance (2) 2004-09-30 2009-05-16
  6. NEP-MST: Market Microstructure (2) 2011-02-26 2013-10-11
  7. NEP-ORE: Operations Research (5) 2008-05-24 2009-02-07 2010-07-24 2013-10-11 2014-04-18. Author is listed
  8. NEP-RMG: Risk Management (1) 2003-04-27

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