Christian Gourieroux and Joann Jasiak, "Semi-Parametric Estimation of Noncausal Vector Autoregression", Journal of Econometrics, forthcoming.
Jean-Pierre Florens, Christian Gourieroux, Alain Monfort, "Model Risk Management: Limits and Future of Bayesian Approaches", Annals of Economics and Statistics 136 (2019), 1–26.
Patrick Gagliardini and Christian Gourieroux, "Identification by Laplace Transforms in Panel on Time Series Models with Unobserved Stochastic Dynamic Effects", Journal of Econometrics 208 (2) (2019), 613–637.
Patrick Gagliardini, Christian Gourieroux, Mirco Rubin, "Positional Portfolio Management", Journal of Financial Econometrics 19 (2019), 650–706.
Christian Gourieroux and Joann Jasiak, "Robust Tests of the Martingale Hypothesis", Econometrics and Statistics 9 (2019), 17–41.
Christian Gourieroux and Yang Lu, "Least Impulse Response Estimator for Stress Test Exercises", Journal of Banking and Finance 103 (2019), 62–77.
Christian Gourieroux and Yang Lu, "Negative Binomial Autoregressive Process with Stochastic Intensity", Journal of Time Series Analysis 40 (2) (2019), 225–247.
Christian Gourieroux, Alain Monfort, Jean-Michel Zakoian, "Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations", Econometrica 87 (1) (2019), 327–345.
Christian Gourieroux and Joann Jasiak, "Misspecification of Noncausal Order in Autoregressive Processes", Journal of Econometrics 205 (1) (2018), 226–248.
Christian Gourieroux and Alain Monfort, "Composite Indirect Inference with Application to Corporate Risks", Econometrics and Statistics 7 (C) (2018), 30–45.
Marie Allard, Camille Bronsard, Christian Gourieroux, "Aversion to Impatience, Uncertainty and Illiquidity", Annales d'Economie et de Statistique 125/126 (2017), 9–39.
Patrick Gagliardini and Christian Gourieroux, "Double Instrumental Variable for Interaction Models with Big Data", Journal of Econometrics 201 (2) (2017), 176–197.
Christian Gourieroux, Alain Monfort, Eric Renault, "Consistent Pseudo-Maximum Likelihood Estimators", Annales d'Economie et de Statistique 125/126 (2017), 187–218.
Christian Gourieroux, Hung T. Nguyen, Songsak Sriboonchitta, "Nonparametric Estimation of a Scalar Diffusion Model from Discrete Time Data: A Survey", Annals of Operations Research 256 (2) (2017), 203–219.
Christian Gourieroux and Jean-Michel Zakoian, "Local Explosion Modelling by Noncausal Cauchy Autoregressive Process", Journal of Royal Statistical Society 79 (2017), 737–756.
Patrick Gagliardini and Christian Gourieroux, "Spread Term Structure and Default Correlation", Annales d'Economie et de Statistique 123 (2016), 175–224.
Christian Gourieroux and Joann Jasiak, "Filtering, Prediction and Simulation Methods for Noncausal Processes", Journal of Time Series Analysis 37 (3) (2016), 405–430.
Christian Gourieroux, Alain Monfort, Jean-Paul Renne, "Statistical Inference for Independent Component Analysis", Journal of Econometrics 196 (2016), 111–126.
Christian Gourieroux and Alain Monfort, "The Double Default Value of the Firm Model", Journal of Credit Risk 12 (2016), 47–76.
Stephane Auray and Christian Gourieroux, "Financial Regulations and Procyclicality", Bankers, Markets & Investors 138 (2015), 45–54.
Serge Darolles and Christian Gourieroux, Contagion Phenomena with Applications in Finance, Elsevier, 2015.
Serge Darolles and Christian Gourieroux, "Performance Fees and Hedge Fund Return Dynamics", International Journal of Approximate Reasoning 65 (2015), 45–58.
Serge Darolles, Christian Gourieroux, Jerome Teiletche, "The Dynamics of Hedge Funds Performance", in Econometrics of Risk (edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya), Springer, 2015, 85–113.
Christian Gourieroux and Andrew Hencic, "Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange Rates", in Econometrics of Risk (edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya), Springer, 2015, 17–40.
Christian Gourieroux, Joann Jasiak, Peng Xu, "The Tradability Premium on the S&P 500 Index", Journal of Financial Econometrics 14 (3) (2015), 461–495.
Christian Gourieroux and Yang Lu, "Love & Death: A Freund Model with Frailty", Insurance: Mathematics and Economics 63 (2015), 191–203.
Christian Gourieroux and Alain Monfort, "Pricing with Finite Dimensional Dependence", Journal of Econometrics 197 (2015), 408–417.
Christian Gourieroux and Jean-Michel Zakoian, "On Uniqueness of Moving Average Representation of Heavy Tailed Stationary Processes", Journal of Time Series Analysis 36 (6) (2015), 876–887.
Serge Darolles and Christian Gourieroux, "The Effects of Management and Provision Accounts on Hedge Fund Returns - Part I: The HighWater Mark Scheme", in Modeling Dependence in Econometrics (edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta), Springer, 2014, 23–45.
Serge Darolles and Christian Gourieroux, "The Effects of Management and Provision Accounts on Hedge Fund Returns. Part 2: Loss Carry Forward Scheme", in Modeling Dependence in Econometrics (edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta), Springer, 2014, 47–62.
Patrick Gagliardini and Christian Gourieroux, "Efficiency in Large Dynamic Panel Models with Common Factor", Econometric Theory 30 (5) (2014), 961–1020.
Patrick Gagliardini and Christian Gourieroux, Granularity Theory with Applications to Finance and Insurance, Cambridge University Press, 2014.
Christian Gourieroux, Alain Monfort, Jean-Paul Renne, "Pricing Default Events: Surprise, Exogeneity Reasoning and Contagion", Journal of Econometrics 182 (2) (2014), 397–411.
Patrick Gagliardini and Christian Gourieroux, "Correlated Risks vs Contagion in Stochastic Transition Models", Journal of Economic Dynamics and Control 37 (11) (2013), 2241–2269.
Patrick Gagliardini and Christian Gourieroux, "Granularity Adjustment for Dynamic Multiple Factor Models: Systematic vs Unsystematic Risks", International Journal of Approximate Reasoning 54 (2013), 717–747.
Christian Gourieroux, JC Heam, Alain Monfort, "Liquidation Equilibrium with Seniority and Hidden CDO", Journal of Banking and Finance 37 (12) (2013), 5261–5274.
Christian Gourieroux and Joann Jasiak, "Size Distortion in the Analysis of Volatility and Covolatility Effects", in Uncertainty Analysis in Econometrics with Applications (edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya), Springer, 2013, 91–118.
Christian Gourieroux and Alain Monfort, "Allocating Systematic and Unsystematic Risks in a Regulatory Perspective", International Journal of Applied and Theoretical Finance 16 (2013), 1–20.
Christian Gourieroux and Alain Monfort, "Granularity Adjustment for Efficient Portfolios", Econometric Reviews 32 (4) (2013), 449–468.
Christian Gourieroux and Alain Monfort, "Linear Price Term Structure Models", Journal of Empirical Finance 24 (2013), 24–41.
Christian Gourieroux and Alain Monfort, "Pitfalls in the Estimation of Continuous Time Interest Rate Models: the Case of the CIR Process", Annales d'Economie et de Statistique 109/110 (2013), 25–62.
Christian Gourieroux, Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne, "Regime Switching and Bond Pricing", Journal of Financial Econometrics 12 (2) (2013), 237–277.
Christian Gourieroux and Jean-Michel Zakoïan, "Estimation Adjusted VaR", Econometric Theory 29 (4) (2013), 735–770.
Patrick Gagliardini, Christian Gourieroux, Alain Monfort, "Microinformation, Nonlinear Filtering and Granularity", Journal of Financial Econometrics 10 (1) (2012), 1–53.
Christian Gourieroux, J-C Heam, Alain Monfort, "Bilateral Exposures and Systemic Solvency Risk", Canadian Journal of Economics 45 (4) (2012), 1273–1309.
Christian Gourieroux and Joann Jasiak, "Granularity Adjustment for Default Risk Factor Model with Cohorts", Journal of Banking and Finance 36 (5) (2012), 1464–1477.
Christian Gourieroux and Wei Liu, "Converting Tail-VaR to VaR : An Econometric Study", Journal of Financial Econometrics 10 (2) (2012), 233–264.
Patrick Gagliardini and Christian Gourieroux, "Approximate Derivative Pricing for Large Class of Homogenous Assets with Systematic Risk", Journal of Financial Econometrics 9 (2011), 237–280.
Patrick Gagliardini, Eric Renault, Christian Gourieroux, "Extended Method of Moments with Application to Derivative Pricing", Econometrica 79 (2011), 1181–1232.
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.
Christian Gourieroux and Razvan Sufana, "Discrete Time Wishart Quadratic Term Structure Models", Journal of Economic Dynamics and Control 35 (2011), 815–824.
Christian Gourieroux and Joann Jasiak, "Local Likelihood Density Estimation and Value-at-Risk", Journal of Probability and Statistics 2010 (2010), 754–851.
Christian Gourieroux and Joann Jasiak, "Value-at-Risk", in Handbook of Financial Econometrics (edited by Ait-Sahalia, Y., and L., Hansen), Elsevier, 2010, 553–616.
Christian Gourieroux, Alain Monfort, Razvan Sufana, "International Money and Stock Market Contingent Claims", Journal of International Money and Finance 29 (2010), 1727–1751.
Christian Gourieroux, Peter C.B. Phillips, Jun Yu, "Indirect Inference for Dynamic Panel Models", Journal of Econometrics 157 (2010), 68–77.
Christian Gourieroux and Razvan Sufana, "Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk", Journal of Business and Economic Statistics 28 (2010), 438–451.
Serge Darolles and Christian Gourieroux, "Conditionally Fitted Performance with an Application to Hedge Fund Rating", Journal of Banking and Finance 16 (2009), 671–685.
Serge Darolles, Christian Gourieroux, Joann Jasiak, "L-Performance with an Application to Hedge Funds", Journal of Empirical Finance 16 (2009), 671–685.
Christian Gourieroux and Monique Jeanblanc, Financial Risks: New Developments in Structured Products and Credit Derivatives, Economica, 2009.
Christian Gourieroux and Anne Laferrere, "Managing Hedonic Housing Price Indexes: The French Experience", Journal of Housing Economics 18 (2009), 206–213.
Christian Gourieroux and Wei Liu, "Control and Out of Sample Validation of Dependent Risks", Journal of Risk and Insurance 76 (2009), 683–707.
Christian Gourieroux and Alain Monfort, "Granularity in a Qualitative Factor Model", Journal of Credit Risk 5 (2009), 29–29.
Dingan Feng, Christian Gourieroux, Joann Jasiak, "The Ordered Qualitative Model for Credit Rating Transitions", Journal of Empirical Finance 15 (2008), 111–130.
Patrick Gagliardini and Christian Gourieroux, "Duration Time Series Model with Proportional Hazard", Journal of Time Series Analysis 29 (2008), 74–124.
Christian Gourieroux and Joann Jasiak, "Dynamic Quantile Models", Journal of Econometrics 147 (2008), 198–205.
Christian Gourieroux, Joann Jasiak, Razvan Sufana, "The Wishart Autoregressive Process for Stochastic Volatility", Journal of Econometrics 150 (2008), 167–188.
Christian Gourieroux and Alain Monfort, "Quadratic Stochastic Intensity and Prospective Mortality Tables", Insurance: Mathematics and Economics 43 (2008), 174–184.
Christian Gourieroux and Razvan Sufana, "Pricing with Wishart Risk Factors", in Handbook of Operational Research and Management Science (edited by J. Birge and V. Linetsky), Elsevier, 2008, 163–182.
Sandra Foulcher, Christian Gourieroux, Andre Tiomo, "Migration Corrélation: Estimation Methods and Application to French Corporate Ratings", Annales d'Economie et de Statistique 82 (2007), 71–102.
Christian Gourieroux and Patrick Gagliardini, "Efficient Nonparametric Estimator of Models with Nonlinear Dependence", Journal of Econometrics 137 (2007), 183–199.
Christian Gourieroux and Joann Jasiak, Econometrics of Individual Risks for Credit, Insurance and Marketing, Princeton University Press, 2007.
Christian Gourieroux and Alain Monfort, "Econometric Specification of Stochastic Discount Factor Models", Journal of Econometrics 136 (2007), 509–530.
Christian Gourieroux, Eric Renault, Pascale Valery, "Diffusion Processes with Polynomial Eigenfunctions", Annales d'Economie et de Statistique 85 (2007), 115–130.
Christian Gourieroux and Andre Tiomo, Risque de Crédit: une approche avancée, Economica, 2007.
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, Microeconometrics for Credit, Insurance and Marketing, Princeton University Press, 2006.
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.
Christian Gourieroux and Joann Jasiak, "Nonlinear Impulse Response Function", Annales d'Economie et de Statistique 78 (2005), 1–33.
Christian Gourieroux and Alain Monfort, "The Econometrics of Efficient Portfolios", Journal of Empirical Finance 12 (2005), 1–41.
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.
Patrick Gagliardini and Christian Gourieroux, "Migration Correlation: Definition and Consistent Estimation", Journal of Banking and Finance 3 (2003), 188–206.
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.
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, Econometrics of Qualitative Dependent Variables, Cambridge University Press, 2000.
Christian Gourieroux, "La mémoire longue en économie: commentaire", Journal de la Société Française de Statistique 140 (2) (2000), 61–64.
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.
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, Statistique de l’assurance, Economica, 1999.
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.
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.
Jorg Breitung and Christian Gourieroux, "Rank Tests for Unit Roots", Journal of Econometrics 81 (1997), 7–27.
Danielle Forest, Christian Gourieroux, Lise Salvas-Bronsard, "D’une analyse de variabilités à un modèle d’investissement des firmes", Actualite Economique 73 (1997), 331–350.
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, ARCH Models and Financial Applications, Springer-Verlag, 1997.
Christian Gourieroux, "Modeles Heteroscecastiques", in Encyclopedie des marches financiers (edited by Y. Simon), Economica, 1997, 1210–1220.
Christian Gourieroux, Joann Jasiak, Gaelle Le Fol, "Activités de Marché Intrajournalières", in Organisation et Qualité des Marchés Financiers (edited by Biais, B., Davidoff, D. And B., Jacquillat), Presses universitaires de France, 1997, 203–220.
Christian Gourieroux and Gaelle Le Fol, "Volatilités et Mesures de Risque", Journal de la Société Française de Statistique 138 (4) (1997), 1–32.
Christian Gourieroux and Thierry Magnac, "Duration, Transition and Count Data Models", Journal of Econometrics 79 (2) (1997), 195–200.
Christian Gourieroux and Alain Monfort, "Modeles de Comptage Semi-Parametriques", Actualite Economique 73 (1997), 525–553.
Christian Gourieroux and Claude Montmarquette, Econométrie Appliquée, Economica, Paris, 1997.
Christian Gourieroux, Olivier Scaillet, Ariane Szafarz, Econométrie de la Finance: Analyses Historiques, Economica, 1997.
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.
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 and Alain Monfort, Simulation Based Econometric Methods, Oxford University Press, 1996.
Christian Gourieroux and Alain Monfort, Time Series and Dynamic Models, Cambridge University Press, 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.
Jean-Francois Boulier and Christian Gourieroux, "Des Mathématiques Financières à la Finance Quantitative: Evolution Récente des Modèles Mathématiques Utilisés par les Financiers", Revue d’Economie Financière 32 (1995), 167–182.
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.
Antoine Frachot and Christian Gourieroux, Titrisation et remboursements anticipés, Economica, 1995.
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, Statistics and Econometric Models, Cambridge University Press, 1995.
Christian Gourieroux and Alain Monfort, "Testing, Encompassing and Simulating Dynamic Econometric Models", Econometric Theory 11 (2) (1995), 195–228.
Christian Gourieroux, Eric Renault, Nizar Touzi, "Calibration by Simulation for Small Sample Correction Bias", in Simulation Based Inference in Econometrics (edited by Geweke, J. and R. Mariano), Cambridge University Press, 1995, 328–358.
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.
Antoine Frachot and Christian Gourieroux, "L'Econométrie des Données Individuelles: l'Exemple des Remboursements Anticipés", Journal de la Société Française de Statistique 134 (1993), 65–72.
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, Modèles ARCH: applications financières et monétaires, Economica, 1993.
Christian Gourieroux and Alain Monfort, "Encompassing and Indirect Inference", Statistical Methods & Applications 2 (3) (1993), 291–307.
Christian Gourieroux, Alain Monfort, Eric Renault, "Indirect Inference", Journal of Applied Econometrics 8 (1993), 85–118.
Christian Gourieroux, Alain Monfort, Eric Renault, "Test sur le Noyau, l'Image et le Rang de la Matrice des Coefficients d'un Modèle Linéaire Multivarié", Annales d'Economie et de Statistique 32 (1993), 81–112.
Christian Gourieroux and Irina Peaucelle, "Séries Codépendantes: Application à l'Hypothèse de Parité du Pouvoir d'Achat", Actualite Economique 68 (1993), 283–304.
Antoine Frachot and Christian Gourieroux, "L'économétrie des modèles dynamiques: avantages et limites des modèles ARCH", Journal de la Société Française de Statistique 133 (1992), 53–64.
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.
Christian Gourieroux and Irina Peaucelle, "Séries codépendantes", Actualite Economique 68 (1992), 283–304.
Christian Gourieroux and Irina Peaucelle, "Simulation Based Inference in Models with Heterogeneity", Annales d'Economie et de Statistique 20/21 (1991), 69–108.
Laurence Broze, Christian Gourieroux, Ariane Szafarz, Reduced Forms of Rational Expectations Models, Harwood Academic Publishers, 1990.
Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, "Hétérogénéité et dominance des fonctions de hasard", Annales d'Economie et de Statistique 18 (1990), 1–24.
Christian Gourieroux, Econométrie des Modèles Qualitatifs, Economica, 1990.
Christian Gourieroux, "Heterogeneite II: Etude des biais", Annales d'Economie et de Statistique 17 (1990), 185 –204.
Christian Gourieroux, "Quelques développements récents en séries temporelles", Journal de la Société Française de Statistique 131 (1990), 7–15.
Christian Gourieroux and Alain Monfort, Séries Temporelles et Modèles Dynamiques, Economica, 1990.
Christian Gourieroux and Irina Peaucelle, "Hétérogénéité I: Le cas linéaire", Annales d'Economie et de Statistique 17 (1990), 163–218.
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.
Laurence Broze, Christian Gourieroux, Ariane Szafraz, "Speculative Bubbles and Exchange of Information on the Market of a Storable Good", in Economic Complexity: Chaos. Sunspots. Bubbles and Nonlinearity (edited by Barnett, Geweke, Shell), Cambridge University Press, 1989, 101–118.
Christian Gourieroux and Alain Monfort, "A General Framework for Testing Null Hyopothesis in a Mixed Form", Econometric Theory 5 (1989), 63–82.
Christian Gourieroux and Alain Monfort, Statistique des modèles économétriques, Economica, 1989.
Christian Gourieroux, Alain Monfort, Eric Renault, "Testing for Common Roots", Econometrica 57 (1989), 171–186.
Esmeralda Goncalves and Christian Gourieroux, "Agrégation de processus autorégressifs d'ordre 1", Annales d'Economie et de Statistique 12 (1988), 127–150.
Christian Gourieroux, "Une approche géométrique des processus ARMA", Annales d'Economie et de Statistique 8 (1988), 135–160.
Christian Gourieroux and Irina Peaucelle, "Fonctions représentatives de fonctions de production à complémentarité stricte", Actualite Economique 64 (1988), 209–230.
Christian Gourieroux and Pierre Malgrange, "Avant propos", Annales d'Economie et de Statistique 6 (1987), 1–12.
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.
Christian Gourieroux and Irina Peaucelle, "Vérification empirique de la rationalité des anticipations de la demande par les entreprises", Recherches Economiques de Louvain 53 (1987), 223–246.
Laurence Broze, Christian Gourieroux, Ariane Szafraz, "Bulles spéculatives et transmission d'information sur le marché d'un bien stockable", Actualite Economique 62 (1986), 166–184.
Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, "Learning Procedures and Convergence to Rationality", Econometrica 54 (1986), 845–868.
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.
Christian Gourieroux, Alain Monfort, Alain Trognon, "Moindres carrés asymptotiques", Annales de l'Insee 58 (1985), 91–122.
Christian Gourieroux, Alain Monfort, Eric Renault, Alain Trognon, "Résidus généralisés, résidus simulés et leur utilisation dans les modèles non linéaires", Annales de l'Insee 59 (1985), 71–96.
Laurence Broze, Christian Gourieroux, Ariane Szafarz, "Solutions of a Linear Dynamic Model with Rational Expectations", Econometric Theory 1 (1984), 341–368.
Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, "Modèles à anticipations rationnelles: Apprentissage par régression", Annales de l'Insee 54 (1984), 63–78.
Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, "Some Theoretical Results for Generalized Ridge Regression Estimators", Journal of Econometrics 25 (1984), 191–204.
Christian Gourieroux, Econométrie des modèles qualitatifs, Economica, 1984.
Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, "Econométrie des modèles d'équilibre avec rationnement", Annales de l'Insee 55 (1984), 5–38.
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.
Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, "Révision adaptative des anticipations et convergence vers les anticipations rationnelles", Revue d'Economie Appliquée 36 (1983), 9–26.
Christian Gourieroux and Alain Monfort, Analyse des séries temporelles, Economica, 1983.
Christian Gourieroux and Alain Monfort, "Estimation de marchés avec prix planchers", Annales de l'Insee 50 (1983), 49–71.
Christian Gourieroux, Alain Monfort, Alain Trognon, "La méthode du pseudo maximum de vraisemblance", Cahiers du Seminaire d'Econometrie 25 (1983), 29–48.
Christian Gourieroux, Alain Monfort, Alain Trognon, "Testing Nested or Non Nested Hypotheses", Journal of Econometrics 21 (1983), 83–115.
Christian Gourieroux, Alberto Holly, Alain Monfort, "Likelihood Ratio Test, Wald Test and Kuhn- Tucker Test in Linear Models with Inequality Constraints on The Regression Parameters", Econometrica 50 (1982), 63–79.
Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, "Rational Expectations in Dynamic Linear Models: Analysis of the Solutions", Econometrica 50 (1982), 409–425.
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, Théorie des sondages, Economica, 1981.
Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, "Modèles linéaires avec anticipations rationnelles: solutions et critères de sélection", Cahiers du Seminaire d'Econometrie 23 (1981), 15–46.
Christian Gourieroux and Francoise Le Gallo, "Construction de moyennes mobiles par minimisation sous contraintes d'une forme quadratique des coefficients", Annales de l'Insee 42 (1981), 93–109.
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.
Christian Gourieroux, "Note sur la notion d'entourage moyen", Annales de l'Insee 37 (1980), 111–123.
Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, "Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes", Econometrica 48 (1980), 675–695.
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.
Christian Gourieroux and Alain Monfort, "On the Characterization of a Joint Probability Distribution", Journal of Econometrics 9 (1979), 115–118.
Christian Gourieroux and Gildas Roy, "Enquête en deux vagues: renouvellement de l'échantillon", Annales de l'Insee 29 (1978), 115–135.