Christian Gouriéroux - Publications, H-index & Citations

Christian Gouriéroux

university of toronto

59H指数

646论文数

1.6W被引数

收录论文 46

发表时间

Long-run risk in stationary vector autoregressive models 平稳向量自回归模型中的长期风险

JOURNAL OF ECONOMETRICS

IF4

2024-11-01

OAAI

Gourieroux, Christian; Jasiak, Joann

Time varying Markov process with partially observed aggregate data: An application to coronavirus 具有部分观察到的聚合数据的时变马尔可夫过程: 在冠状病毒中的应用

JOURNAL OF ECONOMETRICS

IF4

2023-01-01

OAAI

Gourieroux, C.; Jasiak, J.

Convolution-based filtering and forecasting: An application to WTI crude oil prices

JOURNAL OF FORECASTING

IF2.7

2021-02-21

PREAI

Gourieroux, Christian; Jasiak, Joann; Tong, Michelle

Disastrous Defaults

REVIEW OF FINANCE

IF8.4

2021-01-30

OAAI

Gourieroux, Christian; Monfort, Alain; Mouabbi, Sarah; Renne, Jean-Paul

Stationary bubble equilibria in rational expectation models

JOURNAL OF ECONOMETRICS

IF4

2020-10-01

OAAI

Gourieroux, C.; Jasiak, J.; Monfort, A.

Forecast performance and bubble analysis in noncausal MAR(1,1) processes

JOURNAL OF FORECASTING

IF2.7

2020-08-12

PREAI

Gourieroux, Christian; Hencic, Andrew; Jasiak, Joann

Beta Risk in the Cross-Section of Equities

REVIEW OF FINANCIAL STUDIES

IF5.4

2019-12-20

PREAI

Boloorforoosh, Ali; Christoffersen, Peter; Fournier, Mathieu; Gourieroux, Christian

Least impulse response estimator for stress test exercises

JOURNAL OF BANKING & FINANCE

IF3.8

2019-06-01

PREAI

Gourieroux, Christian; Lu, Yang

Identification and Estimation in Non-Fundamental Structural VARMA Models

REVIEW OF ECONOMIC STUDIES

IF6.4

2019-05-17

OAAI

Gourieroux, Christian; Monfort, Alain; Renne, Jean-Paul

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations

ECONOMETRICA

IF7.1

2019-01-01

OAAI

Gourieroux, C.; Monfort, A.; Zakoian, J. -M.

Misspecification of noncausal order in autoregressive processes 自回归过程中非因果顺序的错误指定

JOURNAL OF ECONOMETRICS

IF4

2018-07-01

PREAI

Gourieroux, Christian; Jasiak, Joann

Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation

JOURNAL OF ECONOMETRICS

IF4

2017-09-01

PREAI

Gourieroux, Christian; Jasiak, Joann

Statistical inference for independent component analysis: Application to structural VAR models

JOURNAL OF ECONOMETRICS

IF4

2017-01-01

OAAI

Gourieroux, Christian; Monfort, Alain; Renne, Jean-Paul

Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

ANNALS OF OPERATIONS RESEARCH

IF4.5

2016-07-21

PREAI

Gourieroux, Christian; Nguyen, Hung T.; Sriboonchitta, Songsak

Local explosion modelling by non-causal process

JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY

IF3.6

2016-06-28

OAAI

Gourieroux, Christian; Zakoian, Jean-Michel

Performance fees and hedge fund return dynamics

INTERNATIONAL JOURNAL OF APPROXIMATE REASONING

IF3

2015-10-01

PREAI

Darolles, Serge; Gourieroux, Christian

Pricing with finite dimensional dependence

JOURNAL OF ECONOMETRICS

IF4

2015-08-01

PREAI

Gourieroux, C.; Monfort, A.

Pricing default events: Surprise, exogeneity and contagion (vol 182, pg 397, 2014)

JOURNAL OF ECONOMETRICS

IF4

2014-12-01

PREAI

Gourieroux, C.; Monfort, A.; Renne, J. P.

Pricing default events: Surprise, exogeneity and contagion 定价违约事件: 惊喜、外生性与传染

JOURNAL OF ECONOMETRICS

IF4

2014-10-01

OAAI

Gourieroux, C.; Monfort, A.; Renne, J. P.

Liquidation equilibrium with seniority and hidden CDO

JOURNAL OF BANKING & FINANCE

IF3.8

2013-12-01

OAAI

Gourieroux, C.; Heam, J. C.; Monfort, A.

研究方向