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Christian Gouriéroux - MaRDI portal

Christian Gouriéroux

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Person:193890

Available identifiers

zbMath Open gourieroux.christianMaRDI QIDQ193890

List of research outcomes

PublicationDate of PublicationType
Generalized Covariance Estimator2024-03-06Paper
Noncausal affine processes with applications to derivative pricing2024-01-31Paper
Temporally local maximum likelihood with application to SIS model2024-01-22Paper
Dynamic deconvolution and identification of independent autoregressive sources2023-08-24Paper
Time varying Markov process with partially observed aggregate data: an application to coronavirus2022-12-14Paper
Required capital for long-run risks2022-12-12Paper
Identification and Estimation in Non-Fundamental Structural VARMA Models2022-11-11Paper
Estimated reproduction ratios in the SIR model2022-08-02Paper
Granularity Adjustment for Efficient Portfolios2022-05-31Paper
Disastrous Defaults2022-01-19Paper
Noncausal counting processes: a queuing perspective2021-10-11Paper
Stationary bubble equilibria in rational expectation models2021-02-09Paper
Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations2019-07-19Paper
Negative Binomial Autoregressive Process with Stochastic Intensity2019-06-17Paper
Local Explosion Modelling by Non-Causal Process2019-05-09Paper
Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects2019-04-29Paper
Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates2018-11-30Paper
The Dynamics of Hedge Fund Performance2018-11-30Paper
Correlated risks vs contagion in stochastic transition models2018-11-01Paper
Misspecification of noncausal order in autoregressive processes2018-05-31Paper
Nonparametric estimation of a scalar diffusion model from discrete time data: a survey2018-02-16Paper
Double instrumental variable estimation of interaction models with big data2017-11-07Paper
Noncausal vector autoregressive process: representation, identification and semi-parametric estimation2017-08-21Paper
Statistical inference for independent component analysis: application to structural VAR models2016-11-17Paper
Indirect inference for dynamic panel models2016-08-01Paper
The Wishart autoregressive process of multivariate stochastic volatility2016-07-04Paper
Dynamic quantile models2016-06-22Paper
Multivariate Jacobi process with application to smooth transitions2016-06-10Paper
https://portal.mardi4nfdi.de/entity/Q28057632016-05-13Paper
Filtering, Prediction and Simulation Methods for Noncausal Processes2016-05-03Paper
Econometric specification of stochastic discount factor models2016-05-02Paper
An efficient nonparametric estimator for models with nonlinear dependence2016-05-02Paper
Performance fees and hedge fund return dynamics2015-12-07Paper
On Uniqueness of Moving Average Representations of Heavy‐tailed Stationary Processes2015-11-13Paper
Size Distortion in the Analysis of Volatility and Covolatility Effects2015-10-09Paper
Love and death: a Freund model with frailty2015-08-20Paper
The Econometrics of Individual Risk2015-08-11Paper
Granularity adjustment for risk measures: systematic vs unsystematic risks2015-07-10Paper
Pricing with finite dimensional dependence2015-06-08Paper
Erratum to ``Pricing default events: surprise, exogeneity and contagion2014-11-24Paper
Efficiency in large dynamic panel models with common factors2014-11-14Paper
EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS2014-11-14Paper
Pricing default events: surprise, exogeneity and contagion2014-08-06Paper
ESTIMATION-ADJUSTED VAR2014-03-25Paper
Kernel-based nonlinear canonical analysis and time reversibility2014-03-07Paper
Stochastic volatility duration models2014-03-07Paper
ALLOCATING SYSTEMIC RISK IN A REGULATORY PERSPECTIVE2014-02-11Paper
Efficient Derivative Pricing by the Extended Method of Moments2012-10-26Paper
Discrete time Wishart term structure models2011-06-17Paper
Derivative Pricing With Wishart Multivariate Stochastic Volatility2011-04-13Paper
DOMAIN RESTRICTIONS ON INTEREST RATES IMPLIED BY NO ARBITRAGE2011-03-25Paper
BILINEAR TERM STRUCTURE MODEL2011-02-02Paper
Local likelihood density estimation and value-at-risk2010-12-01Paper
https://portal.mardi4nfdi.de/entity/Q36456822009-11-18Paper
Duration time-series models with proportional hazard2009-02-28Paper
Encompassing and indirect inference2009-02-03Paper
Quadratic stochastic intensity and prospective mortality tables2008-08-18Paper
Structural Laplace Transform and Compound Autoregressive Models2007-05-29Paper
STOCHASTIC UNIT ROOT MODELS2007-04-23Paper
The Econometrics of Individual Risk2007-03-07Paper
Heterogeneous INAR(1) model with application to car insurance2007-03-02Paper
Continuous Time Wishart Process for Stochastic Risk2006-08-28Paper
Nonlinear Autocorrelograms: an Application to Inter‐Trade Durations2005-05-20Paper
DYNAMIC FACTOR MODELS2004-06-18Paper
https://portal.mardi4nfdi.de/entity/Q44299172003-10-01Paper
https://portal.mardi4nfdi.de/entity/Q44099442003-07-01Paper
Instrumental Models and Indirect Encompassing2002-05-28Paper
State‐space Models with Finite Dimensional Dependence2002-04-24Paper
Truncated dynamics and estimation of diffusion equations2001-12-05Paper
Factor ARMA representation of a Markov process2001-08-20Paper
Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators2001-06-19Paper
Mean-Variance Hedging and Numeraire2001-03-29Paper
Econometrics of Qualitative Dependent Variables2001-01-24Paper
Local power properties of kernel based goodness of fit tests2001-01-01Paper
Memory and infrequent breaks2000-12-12Paper
Kernel autocorrelogram for time-deformed processes1999-08-23Paper
Unemployment insurance and mortgages1998-03-17Paper
Rank tests for unit roots1997-11-04Paper
ARCH models and financial applications1997-05-27Paper
Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form1996-11-11Paper
https://portal.mardi4nfdi.de/entity/Q48704671996-03-19Paper
Time Series and Dynamic Models1996-03-19Paper
Simulation-based inference. A survey with special reference to panel data models1993-12-02Paper
Qualitative threshold ARCH models1992-06-28Paper
https://portal.mardi4nfdi.de/entity/Q33544191989-01-01Paper
Testing For Common Roots1989-01-01Paper
Simulated residuals1987-01-01Paper
Generalised residuals1987-01-01Paper
Learning Procedures and Convergence to Rationality1986-01-01Paper
The Aggregation of Commodities in Quantity Rationing Models1985-01-01Paper
Rational Expectations Models and Bounded Memory1985-01-01Paper
Some theoretical results for generalized ridge regression estimators1984-01-01Paper
Pseudo Maximum Likelihood Methods: Theory1984-01-01Paper
Pseudo Maximum Likelihood Methods: Applications to Poisson Models1984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q36963461984-01-01Paper
https://portal.mardi4nfdi.de/entity/Q37116221984-01-01Paper
Testing nested or non-nested hypotheses1983-01-01Paper
Rational Expectations in Dynamic Linear Models: Analysis of the Solutions1982-01-01Paper
Likelihood Ratio Test, Wald Test, and Kuhn-Tucker Test in Linear Models with Inequality Constraints on the Regression Parameters1982-01-01Paper
Asymptotic properties of the maximum likelihood estimator in dichotomous logit models1981-01-01Paper
On the Problem of Missing Data in Linear Models1981-01-01Paper
Disequilibrium Econometrics in Simultaneous Equations Systems1980-01-01Paper
Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes1980-01-01Paper
Sufficient Linear Structures: Econometric Applications1980-01-01Paper
https://portal.mardi4nfdi.de/entity/Q38963881980-01-01Paper
Tests of the Equilibrium vs. Disequilibrium Hypotheses: A Comment1980-01-01Paper

Research outcomes over time


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