Search Results - "Gouriéroux, Christian"

Generalized Covariance Estimator by Gourieroux, Christian, Jasiak, Joann

“…We consider a class of semi-parametric dynamic models with iid errors, including the nonlinear mixed causal-noncausal Vector Autoregressive (VAR),…”
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Noncausal affine processes with applications to derivative pricing by Gouriéroux, Christian, Lu, Yang

“…Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi‐closed form expressions of the term…”
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Statistical inference for independent component analysis: Application to structural VAR models by Gouriéroux, Christian, Monfort, Alain, Renne, Jean-Paul

“…The well-known problem of non-identifiability of structural VAR models disappears if the structural shocks are independent and if at most one of them is…”
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Least impulse response estimator for stress test exercises by Gourieroux, Christian, Lu, Yang

“…We introduce new semi-parametric models for the analysis of rates and proportions, such as proportions of default, (expected) loss-given-default and credit…”
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Beta Risk in the Cross-Section of Equities by Boloorforoosh, Ali, Christoffersen, Peter, Fournier, Mathieu, Gouriéroux, Christian

“…We develop a conditional capital asset pricing model in continuous time that allows for stochastic beta exposure. When beta comoves with market variance and…”
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Misspecification of noncausal order in autoregressive processes by Gourieroux, Christian, Jasiak, Joann

“…This paper examines noncausal order misspecification in noncausal and mixed processes. We consider the constrained maximum likelihood (ML) estimators of…”
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Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects by Gagliardini, Patrick, Gouriéroux, Christian

“…We consider nonlinear parametric and semi-parametric models for time series and panel data including unobserved dynamic effects. These regression models have…”
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Estimated reproduction ratios in the SIR model by Elliott, Sean, Gouriéroux, Christian

“…The aim of this article is to understand the extreme variability in estimates of the reproduction ratio R0 observed in practice. For expository purposes, we…”
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Identification and Estimation in Non-Fundamental Structural VARMA Models by GOURIÉROUX, CHRISTIAN, MONFORT, ALAIN, RENNE, JEAN-PAUL

“…The basic assumption of a structural vector autoregressive moving average (SVARMA) model is that it is driven by a white noise whose components are…”
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Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation by Gourieroux, Christian, Jasiak, Joann

“…This paper introduces a representation theorem for a mixed VAR(p) process by distinguishing its causal and noncausal components. That representation is used to…”
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Local explosion modelling by non-causal process by Gourieroux, Christian, Zakoian, Jean-Michel

“…The non-causal auto-regressive process with heavy-tailed errors has non-linear causal dynamics, which allow for local explosion or asymmetric cycles that are…”
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Double instrumental variable estimation of interaction models with big data by Gagliardini, Patrick, Gouriéroux, Christian

“…The factor analysis of a (n,m) matrix of observations Y is based on the joint spectral decomposition of the matrix squares YY′ and Y′Y for Principal Component…”
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Composite Likelihood for Stochastic Migration Model with Unobserved Factor by Djogbenou, Antoine, Gouriéroux, Christian, Jasiak, Joann, Bandehali, Maygol

“…Abstract We introduce the conditional maximum composite likelihood (MCL) estimation method for the stochastic factor ordered probit model of credit rating…”
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Negative Binomial Autoregressive Process with Stochastic Intensity by Gouriéroux, Christian, Lu, Yang

“…We introduce negative binomial‐60 autoregressive (NBAR) processes with stochastic intensity for (univariate and bivariate) count processes. The univariate NBAR…”
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Love and death: A Freund model with frailty by Gourieroux, Christian, Lu, Yang

“…We introduce new models for analyzing the mortality dependence between individuals in a couple. The mortality risk dependence is usually taken into account in…”
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Noncausal counting processes: A queuing perspective by Gouriéroux, Christian, Lu, Yang

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Derivative Pricing With Wishart Multivariate Stochastic Volatility by Gourieroux, Christian, Sufana, Razvan

“…This paper deals with the pricing of derivatives written on several underlying assets or factors satisfying a multivariate model with Wishart stochastic…”
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Transition model for coronavirus management by Djogbenou, Antoine, Gourieroux, Christian, Jasiak, Joann, Rilstone, Paul, Bandehali, Maygol

“…This paper examines the individual records of patients treated for COVID‐19 during the early phase of the pandemic in Ontario. We trace out daily transitions…”
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Disastrous Defaults by Gouriéroux, Christian, Monfort, Alain, Mouabbi, Sarah, Renne, Jean-Paul

“…Abstract We define a disastrous default as the default of a systemic entity. Such an event is expected to have a negative effect on the economy and to be…”
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EFFICIENCY IN LARGE DYNAMIC PANEL MODELS WITH COMMON FACTORS by Gagliardini, Patrick, Gourieroux, Christian

“…This paper deals with asymptotically efficient estimation in exchangeable nonlinear dynamic panel models with common unobservable factors. These models are…”
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