RESEARCH

CESG 2017 Econometrics of Risk and Uncertainty link

Econometrics at CEA 2017, June 2-3, St. Francis Xavier University, Antigonish NS link

Working Papers on NONCAUSAL PROCESSES
  • Robust Analysis of the Martingale Hypothesis by Gourieroux, Jasiak Download
  • Stationary Bubble Equilibria in Rational Expectation Models" by Gourieroux, Monfort, Jasiak Download
  • Revisiting Identification and Estimation in Structural VARMA Models by Gourieroux, Monfort Download
  • SIMULATION RESULTS FOR "Misspecification": CAUCHY MIXTURE Download T-STUDENT MIXTURE Download
  • Noncausal Autoregressive Model in Application to Bitcoin/USD Exchange rates (C. Gourieroux, A. Hencic) Download
  • RESEARCH GATE link
    REPEC at IDEAS link
    CREST link
Technical Papers
  • VAR: Complementary Material Download APPENDIX On-Line Download Explanatory analysis for VAR(1) Download
  • Appendices to Robust Analysis of the MartingaleDownload
  • Appendices to Dynamic Quantile Models Download
  • The Ordered Qualitative Model for Credit Rating Transitions: Additional Tables Download
Publications

Published Papers

  • 2017 Misspecification of Causal and Noncausal Orders in Autoregressive Processes by Gourieroux, Jasiak, Journal of Econometrics, forthcoming
  • 2017 Noncausal Vector Autoregressive Processes: Representation, Identification and Semi-Parametric Estimation by Gourieroux, Jasiak, Journal of Econometrics, Vol 200, 118-134
  • 2016 Filtering, Prediction and Simulation Methods for Noncausal Processes, with Gourieroux, Journal of Time Series Analysis, Vol 37, 405-430
  • 2016 The Tradability Premium on the S&P 500 Index with Gourieroux and P. Xu, Journal of Financial Econometrics, Vol 14, 461-495
  • 2012 Granularity Adjustment for Default Risk Factor Model with Cohorts, with C. Gourieroux, Journal of Banking and Finance, Vol 36, 1464 -1477
  • 2010 Local Likelihood Density Estimation and Value at Risk, with Christian Gourieroux, Journal of Probability and Statistics, Vol 2010, 754851
  • 2009 L-Performance with an Application to Hedge Funds, with S. Darolles and C. Gourieroux, Journal of Empirical Finance, Vol 16, 671-685
  • 2009 The Wishart Autoregressive Process of Multivariate Stochastic Volatility (with C. Gourieroux R. Sufana), Journal of Econometrics, Vol 150, 167-181
  • 2008 Dynamic Quantile Models(with C. Gourieroux), Journal of Econometrics 147, 198-205
  • 2008 The Ordered Qualitative Model for Credit Rating Transitions (with D. Feng and C. Gourieroux), Journal of Empirical Finance, 15, 111-130
  • 2006 Structural Laplace Transform and Compound Autoregressive Models (with S. Darolles and C. Gourieroux), Journal of Time Series Analysis, 27, 477-50
  • 2006 Autoregressive Gamma Processes, Journal of Forecasting (with C. Gourieroux), 25, 129-152
  • 2006 Multivariate Jacobi Process with Application to Smooth Transitions, Journal of Econometrics, (with C. Gourieroux) 131,475-507.
  • 2005 Nonlinear Innovations and Impulse Responses, Annales d'Economie et de Statistique, (with C. Gourieroux), 78, 1-30.
  • Download
  • 2004 Heterogeneous INAR(1) Model with Application to Car Insurance, Insurance: Mathematics and Economics, 34, 177-192. (with C. Gourieroux)
  • 2004 Stochastic Volatility Duration Models (with E. Ghysels and C. Gourieroux), Journal of Econometrics, 119, 413-433 .
  • 2003 First-Order Autoregressive Processes with Heterogeneous Persistence, Journal of Time Series Analysis, Vol 24, No 3, 283-311.
  • 2001 Dynamic Factor Models (with C. Gourieroux), Econometric Reviews, Vol. 20, No. 4, 385-424.
  • 2001 State Space Models with Finite Dimensional Dependence (with C. Gourieroux), Journal of Time Series Analysis, Vol. 22, No. 6, 665-678.
  • 2001 Nonlinear Autocorrelograms; an Application to Inter-Trade Durations (with C. Gourieroux), Journal of Time Series Analysis, Vol. 23, No 2, 1-28.
  • 2001 Finite Sample Inference Methods for Simultaneous Equations and Models with Unobserved and Generated Regressors (with J.M. Dufour), International Economic Review, Vol. 42,815-843.
  • 2000 Causality in Return and Volume State Transitions (with E. Ghysels and C. Gourieroux), Annales d'Economie et de Statistique, No. 60, 189-206.
  • Download
  • 1999 Long Memory in Economics, Journal de la Societe Francaise de Statistique, Vol.140, No.2, 61-67.
  • Download
  • 1999 Intra-Day Market Activity (with C. Gourieroux and G. LeFol), Journal of Financial Markets, Vol.2 No.3, 193-226.
  • 1998 Persistence in Intertrade Durations, Finance, Vol.19, No. 2, 166-195.
  • Download
  • 1998 GARCH for Irregularly Spaced Data: The ACD-GARCH (with E. Ghysels) Studies in Nonlinear Dynamics and Econometrics, Vol.2, No.4, 133-149.
  • Download
  • 1998 Kernel Autocorrelogram for Time Deformed Processes (with E. Ghysels and C. Gourieroux) Journal of Statistical Planning and Inference, Vol.68, No.1, 167-192.
  • 1994 Bayesian Analysis of Stochastic Volatility Models (with E. Ghysels), Journal of Business and Economic Statistics 12, October 1994, 399-402.

Books

  • 2001 Financial Econometrics (with C. Gourieroux), 500 pp., Princeton University Press, Princeton.
  • 2006 Econometrics of Individual Risk; Credit, Insurance and Marketing, 500pp, Princeton University Press, (with C. Gourieroux),

Chapters in Books

  • 2013 Size Distortion in the Analysis of Volatility and Covolatility Effects (with C. Gourieroux) in Advances in Intelligent Systems and Computing, 200, "Uncertainty Analysis in Econometrics with Applications", Huynh, V.N;, Kreinovich, V.,Sriboonchita, S.,and Suriya, K. (ed), Springer, p91-118. Download
  • 2011 Nonlinear Persistence and Copersistence (with C. Gourieroux) in .Nonlinear Financial Econometrics., G. Gregoriou, R. Pascalau (ed), (Palgrave Macmillan) p. 77-104.
  • 2009 Value at Risk (with C. Gourieroux) in "Handbook of Financial Econometrics", Y. Ait-Sahalia, L.P. Hansen (ed), (Elsevier)
  • 2000 Durations (with C. Gourieroux) in " A Companion to Theoretical Econometrics," B. Baltagi (ed.) (Blackwell).
  • 2000 Nonlinear Panel Data Models with Dynamic Heterogeneity (with C. Gourieroux) in "Panel Data Econometrics: Future Directions," J. Krishnakumar and E. Ronchetti (ed.) (Elsevier).
  • Download
  • 1998 Market Time and Asset Price Movements: Theory and Estimation (with E. Ghysels and C. Gourieroux) in D. Hand and S. Jacka (ed.), "Statistics in Finance" (Arnold)
  • 1998 High Frequency Financial Time Series Data: Some Stylized Facts and Models of Stochastic Volatility (with E. Ghysels and C. Gourieroux) in C. Dunis and B. Zhou (ed.), "Nonlinear Modelling of High Frequency Financial Time Series," (Wiley)
  • 1997 Activite de marches intra-journalieres (with C. Gourieroux and G. Le Fol) in B. Biais, D. Davydoff and B. Jacquillat (ed.), "Organisation et qualite des marches financiers," (Presses Universitaires de France)