Christian Gourieroux
|
Professor
Ph.D. (Rouen, 1982)
Office: Max Gluskin House, 150 St. George Street, 252. Phone: 416-978-5146. Fax: 416-978-6713.
Email address:
Research fields: Econometrics
|
Selected research
- Christian Gourieroux and Joann Jasiak, Financial Econometrics, Princeton University Press, Princeton, 2001.
- Serge Darolles and Christian Gourieroux, "Truncated Dynamics and Estimation of Diffusion Equations", Journal of Econometrics 102 (2001), 1–22.
- Christian Gourieroux and Alain Monfort, "Pricing with Splines", Journal of Financial Econometrics (2001)
- Christian Gourieroux and Joann Jasiak, "Dynamic Factor Models", Econometrics Review 20 (2001), 385–424.
- Christian Gourieroux and Joann Jasiak, "State Space Models with Finite Dimensional Dependence", Journal of Time Series Analysis 23 (2001), 665–678.
All publications
Honors and awards
- Doctorat Honoris Causa: Mons University (Belgium), 2000.
- Bi-Annual Award of the Journal of Empirical Finance for 'Sensitivity Analysis of Value at Risk', 2000.
- French Market Award for the paper 'Intraday Market Activity', 1996.
Courses taught 2023–2024
-
Fall
-
ECO3401H1F, section L0101 (St. George)
•
Advanced Econometrics
• W11-1
• BL327
-
ECO462/2411H1F, section L0101 (St. George)
•
Financial Econometrics
• R11-1
• UC85
Last updated on October 12, 2022