Christian Gourieroux
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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, "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.
- 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.
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.