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Publications of Christian Gourieroux

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2011

  • Christian Gourieroux and Alain Monfort, "Bilinear Term Structure", Mathematical Finance 21 (2011), 1–19.
  • Christian Gourieroux and Alain Monfort, "Domain Restrictions on Interest Rates Implied By No Arbitrage", Mathematical Finance 22 (2011), 281–291.
  • Christian Gourieroux, Alain Monfort, Razvan Sufana, "International Money and Stock Market Contingent Claims", Journal of International Money and Finance 29 (2011), 1727–1751.

2007

  • Christian Gourieroux and Joann Jasiak, Econometrics of Individual Risks for Credit, Insurance and Marketing, Princeton University Press, 2007.

2006

  • Serge Darolles, Christian Gourieroux, Joann Jasiak, "Structural Laplace Transform and Compound Autoregressive Models", Journal of Time Series Analysis 27 (2006), 477–504.
  • Georges Dionne, Christian Gourieroux, Charles Vanasse, "Informational Content of Household Decisions with Applications to Insurance and Asymmetric Information", in Competitive Failures in Insurance Markets (edited by P.A. Chiappori and G. Gollier), M.I.T. Press, 2006, 159–184.
  • Patrick Gagliardini and Christian Gourieroux, "Efficient Nonparametric Estimation of Models with Nonlinerar Dependence", Journal of Financial Econometrics 3 (2006), 188–226.
  • Patrick Gagliardini and Christian Gourieroux, "Migration Correlation: Definition and Consistent Estimation", Journal of Banking and Finance 29 (2006), 865–891.
  • Patrick Gagliardini and Christian Gourieroux, "Stochastic Migration Models with Application to Corporate Risk", Journal of Financial Econometrics 3 (2006), 188–226.
  • Christian Gourieroux, "Wishart Processes for Stochastic Risk", Econometric Reviews 25 (2006), 1–41.
  • Christian Gourieroux and Joann Jasiak, "Autoregressive Gamma Process", Journal of Forecasting 25 (2006), 129–152.
  • Christian Gourieroux and Joann Jasiak, "Multivariate Smooth Transitions Jacobi Process with Application", Journal of Econometrics 131 (2006), 475–505.
  • Christian Gourieroux, Alain Monfort, Vassillis Polimenis, "Affine Models for Credit Risk Analysis", Journal of Financial Econometrics 4 (2006), 494–530.
  • Christian Gourieroux and Boyer Robert, "Stochastic Unit Root Models", Econometric Theory 22 (6) (2006)
  • Christian Gourieroux and Razvan Sufana, "Classification of Affine Term Structure Models", Journal of Financial Econometrics 4 (2006), 31–52.

2005

  • Christian Gourieroux and Joann Jasiak, "Nonlinear Impulse Response Function", Annales d'Economie et de Statistique 78 (2005), 1–33.

2004

  • Serge Darolles, Jean-Pierre Florens, Christian Gourieroux, "Time Reversibility and Kernel Based Nonlinear Canonical Analysis", Journal of Econometrics 119 (2004), 323–353.
  • Sandra Foulcher, Christian Gourieroux, Andre Tiomo, "Term Structure of Default and Ratings", Insurance and Risk Management 72 (2004), 207–276.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, "Stochastic Volatility Duration Models", Journal of Econometrics 119 (2004), 413–433.
  • Christian Gourieroux and Joann Jasiak, "INAR (1) Model with Application to Car Insurance", Insurance: Mathematics and Econometrics 34 (2004), 177–192.
  • Christian Gourieroux and Alain Monfort, "Infrequent Extreme Risks", Geneva Papers on Risk and Insurance Theory 29 (1) (2004), 5–12.
  • Christian Gourieroux and Alain Monfort, "The Econometrics of Efficient Portfolios", Journal of Empirical Finance 12 (2004), 1–41.

2003

  • Patrick Gagliardini and Christian Gourieroux, "Migration Correlation: Definition and Consistent Estimation", Journal of Banking and Finance 3 (2003), 188–206.

2001

  • Serge Darolles, Jean-Pierre Florens, Christian Gourieroux, "Factor ARMA Representation of a Markov Process", Economics Letters 71 (2) (2001), 165–171.
  • Serge Darolles and Christian Gourieroux, "Truncated Dynamics and Estimation of Diffusion Equations", Journal of Econometrics 102 (2001), 1–22.
  • Georges Dionne, Christian Gourieroux, Charles Vanasse, "Evidence of Adverse Selection in Automobile Insurance Market", Journal of Political Economy 109 (2001), 444–453.
  • Christian Gourieroux and Joann Jasiak, "Dynamic Factor Models", Econometrics Review 20 (2001), 385–424.
  • Christian Gourieroux and Joann Jasiak, Financial Econometrics, Princeton University Press, Princeton, 2001.
  • Christian Gourieroux and Joann Jasiak, "Memory and Infrequent Breaks", Economics Letters 70(1) (2001), 29–41.
  • Christian Gourieroux and Joann Jasiak, "Nonlinear Autocorrelograms: An Application to Intertrade Durations", Journal of Time Series Analysis 23 (2001), 127–154.
  • Christian Gourieroux and Joann Jasiak, "State Space Models with Finite Dimensional Dependence", Journal of Time Series Analysis 23 (2001), 665–678.
  • Christian Gourieroux and Alain Monfort, "Pricing with Splines", Journal of Financial Econometrics (2001)
  • Christian Gourieroux and Carlos Tenreiro, "Local Power Properties of Kernel Based Goodness of Fit Test", Journal of Multivariate Analysis 78 (2001), 161–190.

2000

  • E. Clement, Christian Gourieroux, Alain Monfort, "Econometric Specification of the Risk Neutral Valuation Model", Journal of Econometrics 94 (2000), 117–143.
  • Serge Darolles, Christian Gourieroux, Gaelle Le Fol, "Intraday Transaction Price", Annales d'Economie et de Statistique 60 (2000), 207–238.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, "Causality Between Returns and Traded Volumes", Annales d'Economie et de Statistique 60 (2000), 189–206.
  • Christian Gourieroux and Joann Jasiak, "Duration Models", in Companion in Theoretical Econometrics (edited by B. Baltagi ), Basil Blackwell, 2000.
  • Christian Gourieroux and Joann Jasiak, "Nonlinear Panel Data Models with Dynamic Heterogeneity", in Panel Data Econometrics: Future Directions (edited by J. Krishnakumar and E. Ronchetti), North-Holland, 2000, 127–148.
  • Christian Gourieroux, J.P. Laurent, Olivier Scaillet, "Sensitivity Analysis of VaR", Journal of Empirical Finance 7 (2000), 225–246.
  • Christian Gourieroux, Alain Monfort, Carlos Tenreiro, "Kernel M-Estimators", in Panel Data Econometrics: Future Directions (edited by J. Krishnakumar and E. Ronchetti), North-Holland, 2000, 235–278.
  • Christian Gourieroux, Eric Renault, Nazar Touzi, "Calibration by Simulation for Small Sample Bias Correction", in Simulation Based Inference in Econometrics (edited by R. Mariano, T. Schuerman and M. Week), Cambridge University Press, 2000, 328–358.

1999

  • Christian Gourieroux, "Econometric Modelling: Methodologies and Interpretations", in Economics Beyond the Millenium (edited by A. Kirman and L.A. Gerard-Varet), Oxford University Press, 1999, 222–243.
  • Christian Gourieroux, "Econometrics of Risk Classification in Insurance", Geneva Papers on Risk and Insurance 24 (1999), 119–137.
  • Christian Gourieroux, Joann Jasiak, Gaelle Le Fol, "Intraday Market Activity", Journal of Financial Markets 2 (1999), 193–226.
  • Christian Gourieroux and F. Jouneau, "Econometrics of Efficient Fitted Portfolios", Journal of Empirical Finance 6 (1999), 87–118.

1998

  • Laurence Broze and Christian Gourieroux, "Pseudo Maximum Likelihood Method, Adjusted Pseudo Maximum Likelihood Method and Covariance Estimators", Journal of Econometrics 85 (1) (1998), 75–98.
  • Geert Dhaene, Christian Gourieroux, Olivier Scaillet, "Instrumental Models and Indirect Encompassing", Econometrica 63 (3) (1998), 673–688.
  • Georges Dionne, Christian Gourieroux, Charles Vanasse, "Evidence of Adverse Selection in Automobile Insurance Market", in Automobile Market (edited by G. Dionne and C. Laberge-Nadeau), Kluwer Academic Publishers, 1998, 13–46.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, "Kernel Autocorrelogram for Time Deformed Peocesses", Journal of Statistical Planning and Inference 86 (1) (1998), 185 –192.
  • Christian Gourieroux, "Aspect Statistiques de la methode d'evaluation contingente", Economie Publique 1 (1998), 91–123.
  • Christian Gourieroux, J.P. Laurent, H. Pham, "Mean-Variance Hedging and Numeraire", Mathematical Finance 8 (1998), 179–200.
  • Christian Gourieroux and Gaelle Le Fol, "Effets des modes de negociation sur les echanges", Revue Economique 49 (3) (1998), 195–808.
  • Christian Gourieroux, Gaelle Le Fol, B. Meyer, "Etude du Carnet d'orders", Banque et Marches 36 (1998), 5–20.
  • Christian Gourieroux and Olivier Scaillet, "Multiregime Term Structure Models", Finance 19 (1998), 64–80.

1997

  • Jorg Breitung and Christian Gourieroux, "Rank Tests for Unit Roots", Journal of Econometrics 81 (1997), 7–27.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, "Market and Asset Price Movements: Theory and Estimation", in Statistics in Finance (edited by D. Hand and S. Jacka), Edward Arnold, London, 1997.
  • Christian Gourieroux, "Modeles Heteroscecastiques", in Encyclopedie des marches financiers (edited by Y. Simon), Economica, 1997, 1210–1220.
  • Christian Gourieroux and Alain Monfort, "Modeles de Comptage Semi-Parametriques", Actualite Economique 73 (1997), 525–553.
  • Christian Gourieroux and Olivier Scaillet, "Unemployment Insurance and Mortgages", Insurance: Mathematics and Economics 20 (1997), 173–195.
  • Christian Gourieroux and M. Visser, "A Count Data Model with Unobserved Heterogeneity", Journal of Econometrics 79 (1997), 247–268.

1996

  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, "High Frequency Financial Time Series Data", in Nonlinear Modelling of High Frequency Time Series (edited by C. Dimos amd B. Zhou), Wiley, New York, 1996.
  • Christian Gourieroux, Alain Monfort, Eric Renault, "Two Steps GMM estimators with Application to Heteroscedasticity of Unknown Form", Journal of Statistical Planning and Inference 50 (1996), 37–63.
  • Christian Gourieroux and Irina Peaucelle, "Diffusion et Effets de Vague", Annales d'Economie et de Statistique 44 (1996), 191–218.

1995

  • Laurence Broze, Christian Gourieroux, Ariane Szafarz, "Solutions of Multivariate Rational Expectations Models", Econometric Theory 11 (1995), 229–257.
  • E. Clement, Christian Gourieroux, Alain Monfort, "Linear Factor Models and the Term Structure of Interest Rates", Annales d'Economie et de Statistique 40 (1995), 37–66.
  • M. De Toldi, Christian Gourieroux, Alain Monfort, "Seasonal Duration Data: Application to Prepayment", Journal of Empirical Finance 2 (1995), 45–70.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, "Time Deformation", in Proceedings of the International Conference on Forecasting Financial Markets.... (edited by ), , London, 1995.
  • Christian Gourieroux and Alain Monfort, "Testing, Encompassing and Simulating Dynamic Econometric Models", Econometric Theory 11 (2) (1995), 195–228.

1994

  • Christian Gourieroux, "Creation d'Actifs Financiers et Remboursements Anticipes", Actualite Economique 70 (1994), 227–245.
  • Christian Gourieroux and Alain Monfort, "Testing Non Nested Hypotheses", in Handbook of Econometrics (edited by ), , 1994, 2585–2637.

1993

  • Christian Gourieroux, "Introduction to Nonlinear Models", in The Econometrics of Panel Data (edited by Matyas-Sevestre), Kluwer Academic Publishers, 2nd Edition 1995, 1993.
  • Christian Gourieroux, Alain Monfort, Eric Renault, "Indirect Inference", Journal of Applied Econometrics 8 (1993), 85–118.

1992

  • Christian Gourieroux, "Courbes de performance et de discrimination", Annales d'Economie et de Statistique 28 (1992), 107–124.
  • Christian Gourieroux and Alain Monfort, "Qualitative Threshold ARCH Models", Journal of Econometrics 52 (1992), 159–199.
  • Christian Gourieroux and Alain Monfort, "Simulation Based Inference: A Survey with Special Reference to Panel Data Models", Journal of Econometrics 59 (1992), 5–33.

1991

  • Christian Gourieroux and Irina Peaucelle, "Simulation Based Inference in Models with Heterogeneity", Annales d'Economie et de Statistique 20/21 (1991), 69–108.

1990

  • Christian Gourieroux, "Heterogeneite II: Etude des biais", Annales d'Economie et de Statistique 17 (1990), 185 –204.
  • Christian Gourieroux and Irina Peaucelle, "The Expectations of Demand by Firms and their Effect on Disequilibrium", in Optimal Decisions in Markets and Planned Economies (edited by R. Quandt and D. Triska), Vestview Press, 1990, 210–223.

1989

  • Christian Gourieroux and Alain Monfort, "A General Framework for Testing Null Hyopothesis in a Mixed Form", Econometric Theory 5 (1989), 63–82.
  • Christian Gourieroux, Alain Monfort, Eric Renault, "Testing for Common Roots", Econometrica 57 (1989), 171–186.

1987

  • Christian Gourieroux, Alain Monfort, Eric Renault, Alain Trognon, "Generalized Residuals", Journal of Econometrics 34 (1987), 5–32.
  • Christian Gourieroux, Alain Monfort, Eric Renault, "Kullback Causality Measures", Annales d'Economie et de Statistique 6/7 (1987), 369–410.
  • Christian Gourieroux, Alain Monfort, Eric Renault, Alain Trognon, "Simulated Residuals", Journal of Econometrics 34 (1-2) (1987), 201–252.

1986

  • Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, "Learning Procedures and Convergence to Rationality", Econometrica 54 (1986), 845–868.

1985

  • Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, "Rational Expectations Models and Bounded Memory", Econometrica 53 (1985), 977–986.
  • Christian Gourieroux and Guy Laroque, "The Aggregation of Commodities in Quantity Rationing Models", International Economic Review 26 (1985), 681–699.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, "A General Approach to Autocorrelation", Econometric Theory 1 (1985), 315–340.

1984

  • Laurence Broze, Christian Gourieroux, Ariane Szafarz, "Solutions of a Linear Dynamic Model with Rational Expectations", Econometric Theory 1 (1984), 341–368.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, "Pseudo Maximum Likelihood Methods: Application to Poisson Models", Econometrica 52 (1984), 701–721.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, "Pseudo Maximum Likelihood Methods: Theory", Econometrica 52 (1984), 680–700.
  • Christian Gourieroux and Alain Trognon, "Specification Pre-Test Estimator", Journal of Econometrics, Annals (1984), 15–28.

1983

  • Christian Gourieroux, Alain Monfort, Alain Trognon, "Testing Nested or Non Nested Hypotheses", Journal of Econometrics 21 (1983), 83–115.

1982

  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions", Econometrica 50 (1982), 409–425.

1981

  • Jean-Louis Beguin, Christian Gourieroux, Alain Monfort, "The Applicability of the Corner Method: A Reply", Journal of Operational Research 32 (1981), 1042–1046.
  • Christian Gourieroux and Alain Monfort, "Asymptotic Properties of the Maximum Likelihood Estimator in Dichotomous Logit Models", Journal of Econometrics 17 (1981), 83–97.
  • Christian Gourieroux and Alain Monfort, "On the Problem of Missing Data", Review of Economic Studies 68 (1981), 579–586.

1980

  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, "Disequilibrium Econometrics In Simultaneous Equations Systems", Econometrica 48 (1980), 75–96.
  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, "Test of the Equilibrium vs Disequilibrium Hypothesis: A Comment", International Economic Review 21 (1980), 245–247.
  • Christian Gourieroux and Alain Monfort, "Sufficient Linear Structures", Econometrica 48 (1980), 1083–1097.

1979

  • Christian Gourieroux and Alain Monfort, "On the Characterization of a Joint Probability Distribution", Journal of Econometrics 9 (1979), 115–118.