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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

  • 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.
  • Christian Gourieroux and Joann Jasiak, Financial Econometrics, Princeton University Press, Princeton, 2001.
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.