Welcome to the Finance-Insurance Group. We are a group of driven researchers specialized in the quantitative analysis of finance and insurance problems. The group has accompanied the growth of CREST since its creation, and is now composed of 7 permanent researchers, 2 emeritus professors and 10 PhD students, plus several affiliates from Parisian Universities and Business Schools. 

We publish in the top international journals in our field (Econometrica, Journal of Econometrics, Mathematical Finance, Finance & Stochastics, J. of Financial Econometrics…), regularly participate in major international conferences and organise specialized conferences and seminars.

Our research encompasses a wide spectrum of  domains in Financial Econometrics, Mathematical Finance and Insurance. Historical topics of the Group include among others: i) the study of volatility GARCH-type models, ii) Portfolio optimization, iii) the Econometrics of conditional risks, iv) Regulation, Systemic Risks and Contagion, v) Dependence modeling in credit risks, vi) Dynamic copulas.

We also aim at developing new areas of research, like those related to the emerging risks (cyber-risks, climatic risks, longevity risks..),  new markets (in particular in the Energy sector),  new models (e.g. for  environmental economics), new type of data (e.g. high-frequency data and integer valued financial time series), or new statistical approaches (e.g. Machine learning or the use of noncausal models for Bubble prediction).

We also aim at creating a stimulating learning and research environment for students in Finance, in particular at the Master and PhD levels. Beyond the academic research, we are also motivated by applications to real problems and have developed links with the Finance Industry, in particular through research Chaires.

Contacts

Jean-Michel Zakoian (Director)

Fanda Traoré (Administrative Coordinator)



2021

  • Estimation of convex supports from noisy measurements

    Bernoulli, vol. 27, iss. 2, pp. 772-793, 2021.

    By V. E. Brunel, J. M. Klusowski, and D. Yang

    [DOI] [Bibtex]

    @ARTICLE{Brunel2021EstimationMeasurements,
    author = {Victor Emmanuel Brunel and Jason M. Klusowski and Dana Yang},
    title = {{Estimation of convex supports from noisy measurements}},
    journal = {Bernoulli},
    year = {2021},
    volume = {27},
    number = {2},
    pages = {772-793},
    doi = {10.3150/20-BEJ1229}}
  • Model risk management: valuation and governance of pseudo-models

    Econometrics and statistics, vol. 17, pp. 1-22, 2021.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20211,
    author={Gourieroux, C. and Monfort, A.},
    title={Model risk management: Valuation and governance of pseudo-models},
    journal={Econometrics and Statistics},
    year={2021},
    volume={17},
    pages={1-22},
    doi={10.1016/j.ecosta.2020.08.001},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090560723&doi=10.1016%2fj.ecosta.2020.08.001&partnerID=40&md5=7a713cc7d6af50cdfa3db8e10bc00d97},
    document_type={Article},
    source={Scopus},
    }
  • Convolution-based filtering and forecasting: an application to wti crude oil prices

    Journal of forecasting, , 2021.

    By C. Gourieroux, J. Jasiak, and M. Tong

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2021,
    author={Gourieroux, C. and Jasiak, J. and Tong, M.},
    title={Convolution-based filtering and forecasting: An application to WTI crude oil prices},
    journal={Journal of Forecasting},
    year={2021},
    doi={10.1002/for.2757},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85101111511&doi=10.1002%2ffor.2757&partnerID=40&md5=2374277071658eb0abdc90eee671dcde},
    document_type={Article},
    source={Scopus},
    }
  • Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models

    Advances in applied probability, vol. 53, iss. 1, pp. 220-250, 2021.

    By Z. Grbac, D. Krief, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Grbac2021Long-TimeModels,
    author = {Zorana Grbac and David Krief and Peter Tankov},
    title = {{Long-Time Trajectorial Large Deviations and Importance Sampling for Affine Stochastic Volatility Models}},
    journal = {Advances in Applied Probability},
    year = {2021},
    volume = {53},
    number = {1},
    pages = {220-250},
    doi = {10.1017/apr.2020.58}}
  • Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models

    Scandinavian actuarial journal, , 2021.

    By C. Hillairet and O. Lopez

    [DOI] [Bibtex]

    @ARTICLE{Hillairet2021,
    author={Hillairet, C. and Lopez, O.},
    title={Propagation of cyber incidents in an insurance portfolio: counting processes combined with compartmental epidemiological models},
    journal={Scandinavian Actuarial Journal},
    year={2021},
    doi={10.1080/03461238.2021.1872694},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85100214393&doi=10.1080%2f03461238.2021.1872694&partnerID=40&md5=9f11a5064a8308861b23a7e576439145},
    document_type={Article},
    source={Scopus},
    }
  • The finite sample properties of sparse M-estimators with pseudo-observations

    Annals of the institute of statistical mathematics, vol. None, iss. None, p. -, 2021.

    By B. Poignard and J. D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Poignard2021ThePseudo-Observations,
    author = {Benjamin Poignard and Jean David Fermanian},
    title = {{The finite sample properties of sparse M-estimators with pseudo-observations}},
    journal = {Annals of the Institute of Statistical Mathematics},
    year = {2021},
    volume = {None},
    number = {None},
    pages = {-},
    doi = {10.1007/s10463-021-00785-4}}

2020

  • Count and duration time series with equal conditional stochastic and mean orders

    Econometric theory, , 2020.

    By A. Aknouche and C. Francq

    [DOI] [Bibtex]

    @ARTICLE{Aknouche2020,
    author={Aknouche, A. and Francq, C.},
    title={Count and duration time series with equal conditional stochastic and mean orders},
    journal={Econometric Theory},
    year={2020},
    doi={10.1017/S0266466620000134},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85082704310&doi=10.1017%2fS0266466620000134&partnerID=40&md5=eb53f8beb986b27908789a53300d8297},
    document_type={Article},
    source={Scopus},
    }
  • Measuring the risk of supply and demand imbalance at the monthly to seasonal scale in france

    Energies, vol. 13, iss. 18, 2020.

    By B. Alonzo, P. Drobinski, R. Plougonven, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Alonzo2020,
    author={Alonzo, B. and Drobinski, P. and Plougonven, R. and Tankov, P.},
    title={Measuring the risk of supply and demand imbalance at the monthly to seasonal scale in France},
    journal={Energies},
    year={2020},
    volume={13},
    number={18},
    doi={10.3390/en13184888},
    art_number={4888},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85091849057&doi=10.3390%2fen13184888&partnerID=40&md5=39de49e5285faa8ab27e4fd16b133347},
    document_type={Article},
    source={Scopus},
    }
  • Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height

    International journal of forecasting, vol. 36, iss. 2, pp. 515-530, 2020.

    By B. Alonzo, P. Tankov, P. Drobinski, and R. Plougonven

    [DOI] [Bibtex]

    @ARTICLE{Alonzo2020515,
    author={Alonzo, B. and Tankov, P. and Drobinski, P. and Plougonven, R.},
    title={Probabilistic wind forecasting up to three months ahead using ensemble predictions for geopotential height},
    journal={International Journal of Forecasting},
    year={2020},
    volume={36},
    number={2},
    pages={515-530},
    doi={10.1016/j.ijforecast.2019.07.005},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076201219&doi=10.1016%2fj.ijforecast.2019.07.005&partnerID=40&md5=056a41c1d6ceb8f15ce082a0f6a87470},
    document_type={Article},
    source={Scopus},
    }
  • Multivariate hawkes process for cyber insurance

    Annals of actuarial science, , 2020.

    By Y. Bessy-Roland, A. Boumezoued, and C. Hillairet

    [DOI] [Bibtex]

    @ARTICLE{Bessy-Roland2020,
    author={Bessy-Roland, Y. and Boumezoued, A. and Hillairet, C.},
    title={Multivariate Hawkes process for cyber insurance},
    journal={Annals of Actuarial Science},
    year={2020},
    doi={10.1017/S1748499520000093},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85090495205&doi=10.1017%2fS1748499520000093&partnerID=40&md5=bbbcd0890f4ef4535b1aa6277b58d5df},
    document_type={Article},
    source={Scopus},
    }
  • Beta risk in the cross-section of equities

    Review of financial studies, vol. 33, iss. 9, pp. 4318-4366, 2020.

    By A. Boloorforoosh, P. Christoffersen, M. Fournier, and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Boloorforoosh20204318,
    author={Boloorforoosh, A. and Christoffersen, P. and Fournier, M. and Gourieroux, C.},
    title={Beta risk in the cross-section of equities},
    journal={Review of Financial Studies},
    year={2020},
    volume={33},
    number={9},
    pages={4318-4366},
    doi={10.1093/rfs/hhz139},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85096716095&doi=10.1093%2frfs%2fhhz139&partnerID=40&md5=ee777ce5790a936dd1a49bcc7087d525},
    document_type={Article},
    source={Scopus},
    }
  • Mean-field games of optimal stopping: a relaxed solution approach

    Siam journal on control and optimization, vol. 58, iss. 4, pp. 1795-1821, 2020.

    By G. Bouveret, R. Dumitrescu, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Bouveret20201795,
    author={Bouveret, G. and Dumitrescu, R. and Tankov, P.},
    title={Mean-field games of optimal stopping: A relaxed solution approach},
    journal={SIAM Journal on Control and Optimization},
    year={2020},
    volume={58},
    number={4},
    pages={1795-1821},
    doi={10.1137/18M1233480},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85088965171&doi=10.1137%2f18M1233480&partnerID=40&md5=efcfc7eb48c642c56c47f264adf33eef},
    document_type={Article},
    source={Scopus},
    }
  • On kendall’s regression

    Journal of multivariate analysis, vol. 178, 2020.

    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Derumigny2020,
    author={Derumigny, A. and Fermanian, J.-D.},
    title={On Kendall's regression},
    journal={Journal of Multivariate Analysis},
    year={2020},
    volume={178},
    doi={10.1016/j.jmva.2020.104610},
    art_number={104610},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85082534817&doi=10.1016%2fj.jmva.2020.104610&partnerID=40&md5=3c6806ffa4571bd1b66284f37491c428},
    document_type={Article},
    source={Scopus},
    }
  • The economic value of wind energy nowcasting

    Energies, vol. 13, iss. 20, 2020.

    By A. Dupre, P. Drobinski, J. Badosa, C. Briard, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Dupre2020,
    author={Dupre, A. and Drobinski, P. and Badosa, J. and Briard, C. and Tankov, P.},
    title={The economic value of wind energy nowcasting},
    journal={Energies},
    year={2020},
    volume={13},
    number={20},
    doi={10.3390/en13205266},
    art_number={5266},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85092892529&doi=10.3390%2fen13205266&partnerID=40&md5=b2dee29601475f81260d8265e69d0fe4},
    document_type={Article},
    source={Scopus},
    }
  • Virtual historical simulation for estimating the conditional var of large portfolios

    Journal of econometrics, vol. 217, iss. 2, pp. 356-380, 2020.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2020356,
    author={Francq, C. and Zakoian, J.-M.},
    title={Virtual Historical Simulation for estimating the conditional VaR of large portfolios},
    journal={Journal of Econometrics},
    year={2020},
    volume={217},
    number={2},
    pages={356-380},
    doi={10.1016/j.jeconom.2019.12.008},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076861554&doi=10.1016%2fj.jeconom.2019.12.008&partnerID=40&md5=b98abefb643f2a72ec3bf83559542bfc},
    document_type={Article},
    source={Scopus},
    }
  • Testing the existence of moments for garch processes

    Journal of econometrics, , 2020.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2020,
    author={Francq, C. and Zakoian, J.-M.},
    title={Testing the existence of moments for GARCH processes},
    journal={Journal of Econometrics},
    year={2020},
    doi={10.1016/j.jeconom.2020.05.009},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089738496&doi=10.1016%2fj.jeconom.2020.05.009&partnerID=40&md5=5923fdca7d6399821b600257fbaabdd6},
    document_type={Article},
    source={Scopus},
    }
  • Price formation and optimal trading in intraday electricity markets with a major player

    Risks, vol. 8, iss. 4, pp. 1-21, 2020.

    By O. Feron, P. Tankov, and L. Tinsi

    [DOI] [Bibtex]

    @ARTICLE{Feron20201,
    author={Feron, O. and Tankov, P. and Tinsi, L.},
    title={Price formation and optimal trading in intraday electricity markets with a major player},
    journal={Risks},
    year={2020},
    volume={8},
    number={4},
    pages={1-21},
    doi={10.3390/risks8040133},
    art_number={133},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097553301&doi=10.3390%2frisks8040133&partnerID=40&md5=3ae667c2ea9eb8ca42e02f251daa0320},
    document_type={Article},
    source={Scopus},
    }
  • Optimal importance sampling for levy processes

    Stochastic processes and their applications, vol. 130, iss. 1, pp. 20-46, 2020.

    By A. Genin and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Genin202020,
    author={Genin, A. and Tankov, P.},
    title={Optimal importance sampling for Levy processes},
    journal={Stochastic Processes and their Applications},
    year={2020},
    volume={130},
    number={1},
    pages={20-46},
    doi={10.1016/j.spa.2018.12.019},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85059779944&doi=10.1016%2fj.spa.2018.12.019&partnerID=40&md5=47e9b4e7a46cee964eb7cdbba91b1919},
    document_type={Article},
    source={Scopus},
    }
  • Stationary bubble equilibria in rational expectation models

    Journal of econometrics, vol. 218, iss. 2, pp. 714-735, 2020.

    By C. Gourieroux, J. Jasiak, and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2020714,
    author={Gourieroux, C. and Jasiak, J. and Monfort, A.},
    title={Stationary bubble equilibria in rational expectation models},
    journal={Journal of Econometrics},
    year={2020},
    volume={218},
    number={2},
    pages={714-735},
    doi={10.1016/j.jeconom.2020.04.035},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084479427&doi=10.1016%2fj.jeconom.2020.04.035&partnerID=40&md5=818f4b1129fb9dee19a7590892b39213},
    document_type={Article},
    source={Scopus},
    }
  • Time varying markov process with partially observed aggregate data: an application to coronavirus

    Journal of econometrics, , 2020.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2020,
    author={Gourieroux, C. and Jasiak, J.},
    title={Time varying Markov process with partially observed aggregate data: An application to coronavirus},
    journal={Journal of Econometrics},
    year={2020},
    doi={10.1016/j.jeconom.2020.09.007},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85097770631&doi=10.1016%2fj.jeconom.2020.09.007&partnerID=40&md5=0bcfe350b7fb90b22dc22b8dc96cd0fd},
    document_type={Article},
    source={Scopus},
    }
  • Forecast performance and bubble analysis in noncausal mar(1, 1) processes

    Journal of forecasting, , 2020.

    By C. Gourieroux, A. Hencic, and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2020,
    author={Gourieroux, C. and Hencic, A. and Jasiak, J.},
    title={Forecast performance and bubble analysis in noncausal MAR(1, 1) processes},
    journal={Journal of Forecasting},
    year={2020},
    doi={10.1002/for.2716},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089560296&doi=10.1002%2ffor.2716&partnerID=40&md5=2da1849e8df5c36e86afd16a80826af9},
    document_type={Article},
    source={Scopus},
    }
  • Identification and estimation in non-fundamental structural varma models

    Review of economic studies, vol. 87, iss. 4, pp. 1915-1953, 2020.

    By C. Gourieroux, A. Monfort, and J. -P. Renne

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20201915,
    author={Gourieroux, C. and Monfort, A. and Renne, J.-P.},
    title={Identification and Estimation in Non-Fundamental Structural VARMA Models},
    journal={Review of Economic Studies},
    year={2020},
    volume={87},
    number={4},
    pages={1915-1953},
    doi={10.1093/restud/rdz028},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85089421211&doi=10.1093%2frestud%2frdz028&partnerID=40&md5=9762f4996ab46f25d83fa9e41ea5a954},
    document_type={Article},
    source={Scopus},
    }
  • Volatility options in rough volatility models

    Siam journal on financial mathematics, vol. 11, iss. 2, pp. 437-469, 2020.

    By B. Horvath, A. Jacquier, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Horvath2020437,
    author={Horvath, B. and Jacquier, A. and Tankov, P.},
    title={Volatility options in rough volatility models},
    journal={SIAM Journal on Financial Mathematics},
    year={2020},
    volume={11},
    number={2},
    pages={437-469},
    doi={10.1137/18M1169242},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85086104933&doi=10.1137%2f18M1169242&partnerID=40&md5=5b3ba6e410ce71129387b784ea24929a},
    document_type={Article},
    source={Scopus},
    }
  • Interviews with researchers who started their career in physics but moved to finance

    Journal of derivatives, vol. 28, iss. 1, pp. 143-159, 2020.

    By M. Lorig, P. Tankov, A. Antonov, and A. B. Guerrero

    [DOI] [Bibtex]

    @ARTICLE{Lorig2020143,
    author={Lorig, M. and Tankov, P. and Antonov, A. and Guerrero, A.B.},
    title={Interviews with researchers who started their career in physics but moved to finance},
    journal={Journal of Derivatives},
    year={2020},
    volume={28},
    number={1},
    pages={143-159},
    doi={10.3905/jod.2020.1.112},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85100121097&doi=10.3905%2fjod.2020.1.112&partnerID=40&md5=5a1183e0f71ff8effbe850d33d260608},
    document_type={Note},
    source={Scopus},
    }
  • High-dimensional penalized arch processes

    Econometric reviews, , 2020.

    By B. Poignard and J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Poignard2020,
    author={Poignard, B. and Fermanian, J.-D.},
    title={High-dimensional penalized arch processes},
    journal={Econometric Reviews},
    year={2020},
    doi={10.1080/07474938.2020.1761153},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85084839880&doi=10.1080%2f07474938.2020.1761153&partnerID=40&md5=0ef7e42a56b5a299d088e34d0f219231},
    document_type={Article},
    source={Scopus},
    }
  • Dynamics of variance risk premia: a new model for disentangling the price of risk

    Journal of econometrics, vol. 217, iss. 2, pp. 312-334, 2020.

    By J. V. K. Rombouts, L. Stentoft, and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Rombouts2020312,
    author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
    title={Dynamics of variance risk premia: A new model for disentangling the price of risk},
    journal={Journal of Econometrics},
    year={2020},
    volume={217},
    number={2},
    pages={312-334},
    doi={10.1016/j.jeconom.2019.12.006},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076853471&doi=10.1016%2fj.jeconom.2019.12.006&partnerID=40&md5=bf1b4723a0c7e7676f60edf4b05e382b},
    document_type={Article},
    source={Scopus},
    }
  • Pricing individual stock options using both stock and market index information

    Journal of banking and finance, vol. 111, 2020.

    By J. V. K. Rombouts, L. Stentoft, and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Rombouts2020,
    author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
    title={Pricing individual stock options using both stock and market index information},
    journal={Journal of Banking and Finance},
    year={2020},
    volume={111},
    doi={10.1016/j.jbankfin.2019.105727},
    art_number={105727},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076827272&doi=10.1016%2fj.jbankfin.2019.105727&partnerID=40&md5=bce213a531596495a52f2059c11320c7},
    document_type={Article},
    source={Scopus},
    }
  • Variance swap payoffs, risk premia and extreme market conditions

    Econometrics and statistics, vol. 13, pp. 106-124, 2020.

    By J. V. K. Rombouts, L. Stentoft, and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Rombouts2020106,
    author={Rombouts, J.V.K. and Stentoft, L. and Violante, F.},
    title={Variance swap payoffs, risk premia and extreme market conditions},
    journal={Econometrics and Statistics},
    year={2020},
    volume={13},
    pages={106-124},
    doi={10.1016/j.ecosta.2019.05.003},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85068093458&doi=10.1016%2fj.ecosta.2019.05.003&partnerID=40&md5=80d32ecdc375592021fc41838ea7ec99},
    document_type={Article},
    source={Scopus},
    }
  • Nonlinear financial econometrics joe special issue introduction

    Journal of econometrics, vol. 217, iss. 2, pp. 203-206, 2020.

    By J. V. K. Rombouts, O. Scaillet, D. Veredas, and J. -M. Zakoian

    [DOI] [Bibtex]

    @EDITORIAL{Rombouts2020203,
    author={Rombouts, J.V.K. and Scaillet, O. and Veredas, D. and Zakoian, J.-M.},
    title={Nonlinear financial econometrics JoE special issue introduction},
    journal={Journal of Econometrics},
    year={2020},
    volume={217},
    number={2},
    pages={203-206},
    doi={10.1016/j.jeconom.2019.12.001},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85076844074&doi=10.1016%2fj.jeconom.2019.12.001&partnerID=40&md5=286636c540ad1ebfc8d91327f1affa2f},
    document_type={Editorial},
    source={Scopus},
    }

2019

  • Long-time large deviations for the multiasset wishart stochastic volatility model and option pricing

    Siam journal on financial mathematics, vol. 10, iss. 4, pp. 942-976, 2019.

    By A. Alfonsi, D. Krief, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Alfonsi2019942,
    author={Alfonsi, A. and Krief, D. and Tankov, P.},
    title={Long-time large deviations for the Multiasset Wishart stochastic volatility model and option pricing},
    journal={SIAM Journal on Financial Mathematics},
    year={2019},
    volume={10},
    number={4},
    pages={942-976},
    doi={10.1137/18M1197588},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85077556862&doi=10.1137%2f18M1197588&partnerID=40&md5=97b5c21554c5e37be66e7a8ac118b7b7},
    document_type={Article},
    source={Scopus},
    }
  • A non-structural investigation of vix risk neutral density

    Journal of banking and finance, vol. 99, pp. 1-20, 2019.

    By A. Barletta, P. Santucci de Magistris, and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Barletta20191,
    author={Barletta, A. and Santucci de Magistris, P. and Violante, F.},
    title={A non-structural investigation of VIX risk neutral density},
    journal={Journal of Banking and Finance},
    year={2019},
    volume={99},
    pages={1-20},
    doi={10.1016/j.jbankfin.2018.11.012},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85056771545&doi=10.1016%2fj.jbankfin.2018.11.012&partnerID=40&md5=e9cf42f3258f7a8807cd790b0b2e11e5},
    document_type={Article},
    source={Scopus},
    }
  • Invited editorial “the challenges imposed by low interest rates”

    Journal of asset management, vol. 20, iss. 6, pp. 413-420, 2019.

    By J. -M. Beacco, C. Lubochinsky, M. Briere, A. Monfort, C. Hillairet, and S. Benoît

    [DOI] [Bibtex]

    @EDITORIAL{Beacco2019413,
    author={Beacco, J.-M. and Lubochinsky, C. and Briere, M. and Monfort, A. and Hillairet, C. and Benoît, S.},
    title={Invited Editorial “The challenges imposed by low interest rates”},
    journal={Journal of Asset Management},
    year={2019},
    volume={20},
    number={6},
    pages={413-420},
    doi={10.1057/s41260-019-00124-6},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85067235762&doi=10.1057%2fs41260-019-00124-6&partnerID=40&md5=2cfc42aaf4bd03a60ab20b64429c65ce},
    document_type={Editorial},
    source={Scopus},
    }
  • Combining cumulative sum change-point detection tests for assessing the stationarity of univariate time series

    Journal of time series analysis, vol. 40, iss. 1, pp. 124-150, 2019.

    By A. Bucher, J. -D. Fermanian, and I. Kojadinovic

    [DOI] [Bibtex]

    @ARTICLE{Bucher2019124,
    author={Bucher, A. and Fermanian, J.-D. and Kojadinovic, I.},
    title={Combining Cumulative Sum Change-Point Detection Tests for Assessing the Stationarity of Univariate Time Series},
    journal={Journal of Time Series Analysis},
    year={2019},
    volume={40},
    number={1},
    pages={124-150},
    doi={10.1111/jtsa.12431},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85055475735&doi=10.1111%2fjtsa.12431&partnerID=40&md5=a7d43969e6cff1bff8d5ce8e98a770d4},
    document_type={Article},
    source={Scopus},
    }
  • Functional garch models: the quasi-likelihood approach and its applications

    Journal of econometrics, vol. 209, iss. 2, pp. 353-375, 2019.

    By C. Cerovecki, C. Francq, S. Hörmann, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Cerovecki2019353,
    author={Cerovecki, C. and Francq, C. and Hörmann, S. and Zakoian, J.-M.},
    title={Functional GARCH models: The quasi-likelihood approach and its applications},
    journal={Journal of Econometrics},
    year={2019},
    volume={209},
    number={2},
    pages={353-375},
    doi={10.1016/j.jeconom.2019.01.006},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061362787&doi=10.1016%2fj.jeconom.2019.01.006&partnerID=40&md5=45fafc096d5eb14a95eba9052ec5824f},
    document_type={Article},
    source={Scopus},
    }
  • A classification point-of-view about conditional kendall’s tau

    Computational statistics and data analysis, vol. 135, pp. 70-94, 2019.

    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Derumigny201970,
    author={Derumigny, A. and Fermanian, J.-D.},
    title={A classification point-of-view about conditional Kendall's tau},
    journal={Computational Statistics and Data Analysis},
    year={2019},
    volume={135},
    pages={70-94},
    doi={10.1016/j.csda.2019.01.013},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85061642376&doi=10.1016%2fj.csda.2019.01.013&partnerID=40&md5=65f068ee02cf453e7fc6a41eeb64dbfc},
    document_type={Article},
    source={Scopus},
    }
  • On kernel-based estimation of conditional kendall’s tau: finite-distance bounds and asymptotic behavior

    Dependence modeling, vol. 7, iss. 1, pp. 292-321, 2019.

    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Derumigny2019292,
    author={Derumigny, A. and Fermanian, J.-D.},
    title={On kernel-based estimation of conditional Kendall's tau: Finite-distance bounds and asymptotic behavior},
    journal={Dependence Modeling},
    year={2019},
    volume={7},
    number={1},
    pages={292-321},
    doi={10.1515/demo-2019-0016},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85073830106&doi=10.1515%2fdemo-2019-0016&partnerID=40&md5=3dbd3a5264044440e5434b87e0850412},
    document_type={Article},
    source={Scopus},
    }
  • Model risk management: limits and future of bayesian approaches

    Annals of economics and statistics, , iss. 136, pp. 1-26, 2019.

    By J. P. Florens, C. Gourieroux, and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Florens20191,
    author={Florens, J.P. and Gourieroux, C. and Monfort, A.},
    title={Model risk management: Limits and future of Bayesian approaches},
    journal={Annals of Economics and Statistics},
    year={2019},
    number={136},
    pages={1-26},
    doi={10.15609/annaeconstat2009.136.0001},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079370522&doi=10.15609%2fannaeconstat2009.136.0001&partnerID=40&md5=04947ebd017088f3405cc2985fc5d294},
    document_type={Article},
    source={Scopus},
    }
  • Qml inference for volatility models with covariates

    Econometric theory, vol. 35, iss. 1, pp. 37-72, 2019.

    By C. Francq and L. Q. Thieu

    [DOI] [Bibtex]

    @ARTICLE{Francq201937,
    author={Francq, C. and Thieu, L.Q.},
    title={QML Inference for volatility models with covariates},
    journal={Econometric Theory},
    year={2019},
    volume={35},
    number={1},
    pages={37-72},
    doi={10.1017/S0266466617000512},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060781936&doi=10.1017%2fS0266466617000512&partnerID=40&md5=54af50d50b78418b742909d9c09b8503},
    document_type={Article},
    source={Scopus},
    }
  • Mixed causal-noncausal ar processes and the modelling of explosive bubbles

    Econometric theory, vol. 35, iss. 6, pp. 1234-1270, 2019.

    By S. Fries and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Fries20191234,
    author={Fries, S. and Zakoian, J.-M.},
    title={MIXED CAUSAL-NONCAUSAL AR PROCESSES and the MODELLING of EXPLOSIVE BUBBLES},
    journal={Econometric Theory},
    year={2019},
    volume={35},
    number={6},
    pages={1234-1270},
    doi={10.1017/S0266466618000452},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079505607&doi=10.1017%2fS0266466618000452&partnerID=40&md5=44923d48e5b18208c481320bcbe978e0},
    document_type={Article},
    source={Scopus},
    }
  • Identification by laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects

    Journal of econometrics, vol. 208, iss. 2, pp. 613-637, 2019.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini2019613,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Identification by Laplace transforms in nonlinear time series and panel models with unobserved stochastic dynamic effects},
    journal={Journal of Econometrics},
    year={2019},
    volume={208},
    number={2},
    pages={613-637},
    doi={10.1016/j.jeconom.2018.01.012},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058045129&doi=10.1016%2fj.jeconom.2018.01.012&partnerID=40&md5=4dfeb390a409c8c4766d286b9c0ba8f9},
    document_type={Article},
    source={Scopus},
    }
  • Least impulse response estimator for stress test exercises

    Journal of banking and finance, vol. 103, pp. 62-77, 2019.

    By C. Gourieroux and Y. LU

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux201962,
    author={Gourieroux, C. and LU, Y.},
    title={Least impulse response estimator for stress test exercises},
    journal={Journal of Banking and Finance},
    year={2019},
    volume={103},
    pages={62-77},
    doi={10.1016/j.jbankfin.2019.03.021},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85064254501&doi=10.1016%2fj.jbankfin.2019.03.021&partnerID=40&md5=646267b3f97b6ebd4e1f963484ab9405},
    document_type={Article},
    source={Scopus},
    }
  • Robust analysis of the martingale hypothesis

    Econometrics and statistics, vol. 9, pp. 17-41, 2019.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux201917,
    author={Gourieroux, C. and Jasiak, J.},
    title={Robust analysis of the martingale hypothesis},
    journal={Econometrics and Statistics},
    year={2019},
    volume={9},
    pages={17-41},
    doi={10.1016/j.ecosta.2018.07.001},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85051735657&doi=10.1016%2fj.ecosta.2018.07.001&partnerID=40&md5=828386d6156d90b9e2efc5144768bc5f},
    document_type={Article},
    source={Scopus},
    }
  • Negative binomial autoregressive process with stochastic intensity

    Journal of time series analysis, vol. 40, iss. 2, pp. 225-247, 2019.

    By C. Gourieroux and Y. Lu

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2019225,
    author={Gourieroux, C. and Lu, Y.},
    title={Negative Binomial Autoregressive Process with Stochastic Intensity},
    journal={Journal of Time Series Analysis},
    year={2019},
    volume={40},
    number={2},
    pages={225-247},
    doi={10.1111/jtsa.12441},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85058155086&doi=10.1111%2fjtsa.12441&partnerID=40&md5=31582469e443ed5239914862b0dabc49},
    document_type={Article},
    source={Scopus},
    }
  • Consistent pseudo-maximum likelihood estimators and groups of transformations

    Econometrica, vol. 87, iss. 1, pp. 327-345, 2019.

    By C. Gourieroux, A. Monfort, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2019327,
    author={Gourieroux, C. and Monfort, A. and Zakoian, J.-M.},
    title={Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations},
    journal={Econometrica},
    year={2019},
    volume={87},
    number={1},
    pages={327-345},
    doi={10.3982/ECTA14727},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85060941030&doi=10.3982%2fECTA14727&partnerID=40&md5=84db0982ba3299f9e96a04cdb695d80d},
    document_type={Article},
    source={Scopus},
    }
  • Dynamic asset correlations based on vines

    Econometric theory, vol. 35, iss. 1, pp. 167-197, 2019.

    By B. Poignard and J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Poignard2019167,
    author={Poignard, B. and Fermanian, J.-D.},
    title={Dynamic asset correlations based on vines},
    journal={Econometric Theory},
    year={2019},
    volume={35},
    number={1},
    pages={167-197},
    doi={10.1017/S026646661800004X},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045649269&doi=10.1017%2fS026646661800004X&partnerID=40&md5=369a73e08887ad00bd79709fce0dc33b},
    document_type={Article},
    source={Scopus},
    }
  • E4clim 1.0: the energy for a climate integrated model: description and application to italy

    Energies, vol. 12, iss. 22, 2019.

    By A. Tantet, M. Stefanon, P. Drobinski, J. Badosa, S. Concettini, A. Cretì, C. D’Ambrosio, D. Thomopulos, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Tantet2019,
    author={Tantet, A. and Stefanon, M. and Drobinski, P. and Badosa, J. and Concettini, S. and Cretì, A. and D’Ambrosio, C. and Thomopulos, D. and Tankov, P.},
    title={E4CLIM 1.0: The energy for a climate integrated model: Description and application to Italy},
    journal={Energies},
    year={2019},
    volume={12},
    number={22},
    doi={10.3390/en12224299},
    art_number={4299},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85075970117&doi=10.3390%2fen12224299&partnerID=40&md5=41c2b8be9ad6cc7bb985d87bb151889d},
    document_type={Article},
    source={Scopus},
    }

2018

  • Arbitrage and utility maximization in market models with an insider

    Mathematics and financial economics, vol. 12, iss. 4, pp. 589-614, 2018.

    By H. N. Chau, W. J. Runggaldier, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Chau2018589,
    author={Chau, H.N. and Runggaldier, W.J. and Tankov, P.},
    title={Arbitrage and utility maximization in market models with an insider},
    journal={Mathematics and Financial Economics},
    year={2018},
    volume={12},
    number={4},
    pages={589-614},
    doi={10.1007/s11579-018-0217-4},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046487113&doi=10.1007%2fs11579-018-0217-4&partnerID=40&md5=edbfb038f78ce909c1783026a1a04db6},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotics of cholesky garch models and time-varying conditional betas

    Journal of econometrics, vol. 204, iss. 2, pp. 223-247, 2018.

    By S. Darolles, C. Francq, and S. Laurent

    [DOI] [Bibtex]

    @ARTICLE{Darolles2018223,
    author={Darolles, S. and Francq, C. and Laurent, S.},
    title={Asymptotics of Cholesky GARCH models and time-varying conditional betas},
    journal={Journal of Econometrics},
    year={2018},
    volume={204},
    number={2},
    pages={223-247},
    doi={10.1016/j.jeconom.2018.02.003},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85044334104&doi=10.1016%2fj.jeconom.2018.02.003&partnerID=40&md5=720daa8f6afd21a266e1d41e21505542},
    document_type={Article},
    source={Scopus},
    }
  • Coherent incurred paid (cip) models for claims reserving

    Astin bulletin, vol. 48, iss. 2, pp. 749-777, 2018.

    By G. Dupin, E. Koenig, P. Le Moine, A. Monfort, and E. Ratiarison

    [DOI] [Bibtex]

    @ARTICLE{Dupin2018749,
    author={Dupin, G. and Koenig, E. and Le Moine, P. and Monfort, A. and Ratiarison, E.},
    title={Coherent incurred paid (CIP) models for claims reserving},
    journal={ASTIN Bulletin},
    year={2018},
    volume={48},
    number={2},
    pages={749-777},
    doi={10.1017/asb.2017.36},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85042211328&doi=10.1017%2fasb.2017.36&partnerID=40&md5=80b3f598599ec03312dd666353e74a07},
    document_type={Article},
    source={Scopus},
    }
  • Consistent utility of investment and consumption: a forward/backward spde viewpoint

    Stochastics, vol. 90, iss. 6, pp. 927-954, 2018.

    By N. El Karoui, C. Hillairet, and M. Mrad

    [DOI] [Bibtex]

    @ARTICLE{ElKaroui2018927,
    author={El Karoui, N. and Hillairet, C. and Mrad, M.},
    title={Consistent utility of investment and consumption: a forward/backward SPDE viewpoint},
    journal={Stochastics},
    year={2018},
    volume={90},
    number={6},
    pages={927-954},
    doi={10.1080/17442508.2018.1457676},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85045480681&doi=10.1080%2f17442508.2018.1457676&partnerID=40&md5=a640fef52d73e31e7c0aa1a32c305886},
    document_type={Article},
    source={Scopus},
    }
  • On the link between volatilities, regime switching probabilities and correlation dynamics

    Annals of economics and statistics, , iss. 131, pp. 1-24, 2018.

    By J. -D. Fermanian and H. Malongo

    [DOI] [Bibtex]

    @ARTICLE{Fermanian20181,
    author={Fermanian, J.-D. and Malongo, H.},
    title={On the link between volatilities, regime switching probabilities and correlation dynamics},
    journal={Annals of Economics and Statistics},
    year={2018},
    number={131},
    pages={1-24},
    doi={10.15609/annaeconstat2009.131.0001},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85057817857&doi=10.15609%2fannaeconstat2009.131.0001&partnerID=40&md5=0ecdeed0d7ad163accfc4ee23c95d514},
    document_type={Article},
    source={Scopus},
    }
  • Multifactor granularity adjustments for market and counterparty risks

    Journal of risk, vol. 20, iss. 6, pp. 1-27, 2018.

    By J. -D. Fermanian and C. Florentin

    [DOI] [Bibtex]

    @ARTICLE{Fermanian20181,
    author={Fermanian, J.-D. and Florentin, C.},
    title={Multifactor granularity adjustments for market and counterparty risks},
    journal={Journal of Risk},
    year={2018},
    volume={20},
    number={6},
    pages={1-27},
    doi={10.21314/JOR.2018.387},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85052737415&doi=10.21314%2fJOR.2018.387&partnerID=40&md5=ca9ec9d894eba32d0957910e909542f7},
    document_type={Article},
    source={Scopus},
    }
  • Single-index copulas

    Journal of multivariate analysis, vol. 165, pp. 27-55, 2018.

    By J. -D. Fermanian and O. Lopez

    [DOI] [Bibtex]

    @ARTICLE{Fermanian201827,
    author={Fermanian, J.-D. and Lopez, O.},
    title={Single-index copulas},
    journal={Journal of Multivariate Analysis},
    year={2018},
    volume={165},
    pages={27-55},
    doi={10.1016/j.jmva.2017.11.004},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85038244683&doi=10.1016%2fj.jmva.2017.11.004&partnerID=40&md5=970c2a0e84ba8be0d2c70c9b13906205},
    document_type={Article},
    source={Scopus},
    }
  • An exponential chi-squared qmle for log-garch models via the arma representation

    Journal of financial econometrics, vol. 16, iss. 1, pp. 129-154, 2018.

    By C. Francq and G. Sucarrat

    [DOI] [Bibtex]

    @ARTICLE{Francq2018129,
    author={Francq, C. and Sucarrat, G.},
    title={An exponential Chi-squared QMLE for log-GARCH models via the ARMA representation},
    journal={Journal of Financial Econometrics},
    year={2018},
    volume={16},
    number={1},
    pages={129-154},
    doi={10.1093/jjfinec/nbx032},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85040767519&doi=10.1093%2fjjfinec%2fnbx032&partnerID=40&md5=76b4631663a58c5a7394cf1bb67c25ac},
    document_type={Article},
    source={Scopus},
    }
  • Estimation risk for the var of portfolios driven by semi-parametric multivariate models

    Journal of econometrics, vol. 205, iss. 2, pp. 381-401, 2018.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2018381,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models},
    journal={Journal of Econometrics},
    year={2018},
    volume={205},
    number={2},
    pages={381-401},
    doi={10.1016/j.jeconom.2018.03.018},
    note={cited By 10},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046132506&doi=10.1016%2fj.jeconom.2018.03.018&partnerID=40&md5=c8c256d2e8ec683db241cd47538e6d0b},
    document_type={Article},
    source={Scopus},
    }
  • Goodness-of-fit tests for log-garch and egarch models

    Test, vol. 27, iss. 1, pp. 27-51, 2018.

    By C. Francq, O. Wintenberger, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq201827,
    author={Francq, C. and Wintenberger, O. and Zakoian, J.-M.},
    title={Goodness-of-fit tests for Log-GARCH and EGARCH models},
    journal={Test},
    year={2018},
    volume={27},
    number={1},
    pages={27-51},
    doi={10.1007/s11749-016-0506-2},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84990855985&doi=10.1007%2fs11749-016-0506-2&partnerID=40&md5=31c1ece34f27106017a7cfa17e9272d4},
    document_type={Article},
    source={Scopus},
    }
  • Misspecification of noncausal order in autoregressive processes

    Journal of econometrics, vol. 205, iss. 1, pp. 226-248, 2018.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2018226,
    author={Gourieroux, C. and Jasiak, J.},
    title={Misspecification of noncausal order in autoregressive processes},
    journal={Journal of Econometrics},
    year={2018},
    volume={205},
    number={1},
    pages={226-248},
    doi={10.1016/j.jeconom.2018.03.012},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85046169005&doi=10.1016%2fj.jeconom.2018.03.012&partnerID=40&md5=64633fa93675c64ae76a9aae07f20bde},
    document_type={Article},
    source={Scopus},
    }
  • Composite indirect inference with application to corporate risks

    Econometrics and statistics, vol. 7, pp. 30-45, 2018.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux201830,
    author={Gourieroux, C. and Monfort, A.},
    title={Composite indirect inference with application to corporate risks},
    journal={Econometrics and Statistics},
    year={2018},
    volume={7},
    pages={30-45},
    doi={10.1016/j.ecosta.2017.09.003},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85044762324&doi=10.1016%2fj.ecosta.2017.09.003&partnerID=40&md5=8ead36afa2921ff50b2b7449fd35f907},
    document_type={Article},
    source={Scopus},
    }
  • Analyzing and predicting cat bond premiums: a financial loss premium principle and extreme value modeling

    Astin bulletin, vol. 48, iss. 1, pp. 375-411, 2018.

    By G. Stupfler and F. Yang

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    @ARTICLE{Stupfler2018375,
    author={Stupfler, G. and Yang, F.},
    title={Analyzing and predicting cat bond premiums: A financial loss premium principle and extreme value modeling},
    journal={ASTIN Bulletin},
    year={2018},
    volume={48},
    number={1},
    pages={375-411},
    doi={10.1017/asb.2017.32},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85033375336&doi=10.1017%2fasb.2017.32&partnerID=40&md5=12fa15da64f5d9b9599d7de1a3cfbc98},
    document_type={Article},
    source={Scopus},
    }
  • Optimal trading policies for wind energy producer

    Siam journal on financial mathematics, vol. 9, iss. 1, pp. 315-346, 2018.

    By Z. Tan and P. Tankov

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    @ARTICLE{Tan2018315,
    author={Tan, Z. and Tankov, P.},
    title={Optimal trading policies for wind energy producer},
    journal={SIAM Journal on Financial Mathematics},
    year={2018},
    volume={9},
    number={1},
    pages={315-346},
    doi={10.1137/16M1093069},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85049663311&doi=10.1137%2f16M1093069&partnerID=40&md5=86ddd9a995a840e80f8b6ba2a69432f5},
    document_type={Article},
    source={Scopus},
    }

2017

  • Modelling the variability of the wind energy resource on monthly and seasonal timescales

    Renewable energy, vol. 113, pp. 1434-1446, 2017.

    By B. Alonzo, H. -K. Ringkjob, B. Jourdier, P. Drobinski, R. Plougonven, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Alonzo20171434,
    author={Alonzo, B. and Ringkjob, H.-K. and Jourdier, B. and Drobinski, P. and Plougonven, R. and Tankov, P.},
    title={Modelling the variability of the wind energy resource on monthly and seasonal timescales},
    journal={Renewable Energy},
    year={2017},
    volume={113},
    pages={1434-1446},
    doi={10.1016/j.renene.2017.07.019},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85021936116&doi=10.1016%2fj.renene.2017.07.019&partnerID=40&md5=9531c78d81adf486a27aa2affa6e1e5c},
    document_type={Review},
    source={Scopus},
    }
  • Successive enlargement of filtrations and application to insider information

    Advances in applied probability, vol. 49, iss. 3, pp. 653-685, 2017.

    By C. Blanchet-Scalliet, C. Hillairet, and Y. Jiao

    [DOI] [Bibtex]

    @ARTICLE{Blanchet-Scalliet2017653,
    author={Blanchet-Scalliet, C. and Hillairet, C. and Jiao, Y.},
    title={Successive enlargement of filtrations and application to insider information},
    journal={Advances in Applied Probability},
    year={2017},
    volume={49},
    number={3},
    pages={653-685},
    doi={10.1017/apr.2017.17},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029657837&doi=10.1017%2fapr.2017.17&partnerID=40&md5=dd1600198ca0d2ed8ff7080c0be84692},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotic optimal tracking: feedback strategies

    Stochastics, vol. 89, iss. 6-7, pp. 943-966, 2017.

    By J. Cai, M. Rosenbaum, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cai2017943,
    author={Cai, J. and Rosenbaum, M. and Tankov, P.},
    title={Asymptotic optimal tracking: feedback strategies},
    journal={Stochastics},
    year={2017},
    volume={89},
    number={6-7},
    pages={943-966},
    doi={10.1080/17442508.2017.1285304},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013070402&doi=10.1080%2f17442508.2017.1285304&partnerID=40&md5=a32e1780cf57531d4deea348dc7b3bd4},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotic lower bounds for optimal tracking: a linear programming approach

    Annals of applied probability, vol. 27, iss. 4, pp. 2455-2514, 2017.

    By J. Cai, M. Rosenbaum, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cai20172455,
    author={Cai, J. and Rosenbaum, M. and Tankov, P.},
    title={Asymptotic lower bounds for optimal tracking: A linear programming approach},
    journal={Annals of Applied Probability},
    year={2017},
    volume={27},
    number={4},
    pages={2455-2514},
    doi={10.1214/16-AAP1264},
    note={cited By 9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85028704366&doi=10.1214%2f16-AAP1264&partnerID=40&md5=5473e325f6e4c57cb126fae61f0553d9},
    document_type={Article},
    source={Scopus},
    }
  • Editors’ introduction

    Journal of econometrics, vol. 201, iss. 2, pp. 173-175, 2017.

    By S. Darolles, A. Monfort, and E. Renault

    [DOI] [Bibtex]

    @EDITORIAL{Darolles2017173,
    author={Darolles, S. and Monfort, A. and Renault, E.},
    title={Editors’ introduction},
    journal={Journal of Econometrics},
    year={2017},
    volume={201},
    number={2},
    pages={173-175},
    doi={10.1016/j.jeconom.2017.08.001},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85030626790&doi=10.1016%2fj.jeconom.2017.08.001&partnerID=40&md5=491ca071d1523b7d804e1ef01a0a9a44},
    document_type={Editorial},
    source={Scopus},
    }
  • Shapes of implied volatility with positive mass at zero

    Siam journal on financial mathematics, vol. 8, iss. 1, pp. 709-737, 2017.

    By S. De Marco, C. Hillairet, and A. Jacquier

    [DOI] [Bibtex]

    @ARTICLE{DeMarco2017709,
    author={De Marco, S. and Hillairet, C. and Jacquier, A.},
    title={Shapes of implied volatility with positive mass at zero},
    journal={SIAM Journal on Financial Mathematics},
    year={2017},
    volume={8},
    number={1},
    pages={709-737},
    doi={10.1137/14098065X},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041608356&doi=10.1137%2f14098065X&partnerID=40&md5=3ae20c8ed55c5057b4314b2024f099e8},
    document_type={Article},
    source={Scopus},
    }
  • About tests of the “simplifying” assumption for conditional copulas

    Dependence modeling, vol. 5, iss. 1, pp. 154-197, 2017.

    By A. Derumigny and J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Derumigny2017154,
    author={Derumigny, A. and Fermanian, J.-D.},
    title={About tests of the "simplifying" assumption for conditional copulas},
    journal={Dependence Modeling},
    year={2017},
    volume={5},
    number={1},
    pages={154-197},
    doi={10.1515/demo-2017-0011},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85041531185&doi=10.1515%2fdemo-2017-0011&partnerID=40&md5=6cf045ac59b773d543c3aa1a2062320d},
    document_type={Article},
    source={Scopus},
    }
  • Recent developments in copula models

    Econometrics, vol. 5, iss. 3, 2017.

    By J. -D. Fermanian

    [DOI] [Bibtex]

    @EDITORIAL{Fermanian2017,
    author={Fermanian, J.-D.},
    title={Recent developments in copula models},
    journal={Econometrics},
    year={2017},
    volume={5},
    number={3},
    doi={10.3390/econometrics5030034},
    art_number={34},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85030448832&doi=10.3390%2feconometrics5030034&partnerID=40&md5=6ec7ff5999684393449bcd5d14656e7c},
    document_type={Editorial},
    source={Scopus},
    }
  • On the stationarity of dynamic conditional correlation models

    Econometric theory, vol. 33, iss. 3, pp. 636-663, 2017.

    By J. -D. Fermanian and H. Malongo

    [DOI] [Bibtex]

    @ARTICLE{Fermanian2017636,
    author={Fermanian, J.-D. and Malongo, H.},
    title={ON the STATIONARITY of DYNAMIC CONDITIONAL CORRELATION MODELS},
    journal={Econometric Theory},
    year={2017},
    volume={33},
    number={3},
    pages={636-663},
    doi={10.1017/S0266466616000116},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84965053045&doi=10.1017%2fS0266466616000116&partnerID=40&md5=e3cc478c5e1b4b6aa8a2b20693f22e62},
    document_type={Article},
    source={Scopus},
    }
  • Tests for conditional ellipticity in multivariate garch models

    Journal of econometrics, vol. 196, iss. 2, pp. 305-319, 2017.

    By C. Francq, M. D. Jimenez-Gamero, and S. G. Meintanis

    [DOI] [Bibtex]

    @ARTICLE{Francq2017305,
    author={Francq, C. and Jimenez-Gamero, M.D. and Meintanis, S.G.},
    title={Tests for conditional ellipticity in multivariate GARCH models},
    journal={Journal of Econometrics},
    year={2017},
    volume={196},
    number={2},
    pages={305-319},
    doi={10.1016/j.jeconom.2016.10.001},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85006084794&doi=10.1016%2fj.jeconom.2016.10.001&partnerID=40&md5=d14436131be98b77487cde1223c0b4b9},
    document_type={Article},
    source={Scopus},
    }
  • An equation-by-equation estimator of a multivariate log-garch-x model of financial returns

    Journal of multivariate analysis, vol. 153, pp. 16-32, 2017.

    By C. Francq and G. Sucarrat

    [DOI] [Bibtex]

    @ARTICLE{Francq201716,
    author={Francq, C. and Sucarrat, G.},
    title={An equation-by-equation estimator of a multivariate log-GARCH-X model of financial returns},
    journal={Journal of Multivariate Analysis},
    year={2017},
    volume={153},
    pages={16-32},
    doi={10.1016/j.jmva.2016.09.010},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84988974131&doi=10.1016%2fj.jmva.2016.09.010&partnerID=40&md5=a9f5cee4051c6563641855955df5b54b},
    document_type={Article},
    source={Scopus},
    }
  • Double instrumental variable estimation of interaction models with big data

    Journal of econometrics, vol. 201, iss. 2, pp. 176-197, 2017.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini2017176,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Double instrumental variable estimation of interaction models with big data},
    journal={Journal of Econometrics},
    year={2017},
    volume={201},
    number={2},
    pages={176-197},
    doi={10.1016/j.jeconom.2017.08.002},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029772236&doi=10.1016%2fj.jeconom.2017.08.002&partnerID=40&md5=4549b46a51170a9b928941503247d33e},
    document_type={Article},
    source={Scopus},
    }
  • Noncausal vector autoregressive process: representation, identification and semi-parametric estimation

    Journal of econometrics, vol. 200, iss. 1, pp. 118-134, 2017.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2017118,
    author={Gourieroux, C. and Jasiak, J.},
    title={Noncausal vector autoregressive process: Representation, identification and semi-parametric estimation},
    journal={Journal of Econometrics},
    year={2017},
    volume={200},
    number={1},
    pages={118-134},
    doi={10.1016/j.jeconom.2017.01.011},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85025835857&doi=10.1016%2fj.jeconom.2017.01.011&partnerID=40&md5=6e6539abda6b946cf95564837aa433e4},
    document_type={Article},
    source={Scopus},
    }
  • Nonparametric estimation of a scalar diffusion model from discrete time data: a survey

    Annals of operations research, vol. 256, iss. 2, pp. 203-219, 2017.

    By C. Gourieroux, H. T. Nguyen, and S. Sriboonchitta

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2017203,
    author={Gourieroux, C. and Nguyen, H.T. and Sriboonchitta, S.},
    title={Nonparametric estimation of a scalar diffusion model from discrete time data: a survey},
    journal={Annals of Operations Research},
    year={2017},
    volume={256},
    number={2},
    pages={203-219},
    doi={10.1007/s10479-016-2273-6},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84979266131&doi=10.1007%2fs10479-016-2273-6&partnerID=40&md5=000056f2875ab567146443313ba01549},
    document_type={Article},
    source={Scopus},
    }
  • Statistical inference for independent component analysis: application to structural var models

    Journal of econometrics, vol. 196, iss. 1, pp. 111-126, 2017.

    By C. Gourieroux, A. Monfort, and J. -P. Renne

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2017111,
    author={Gourieroux, C. and Monfort, A. and Renne, J.-P.},
    title={Statistical inference for independent component analysis: Application to structural VAR models},
    journal={Journal of Econometrics},
    year={2017},
    volume={196},
    number={1},
    pages={111-126},
    doi={10.1016/j.jeconom.2016.09.007},
    note={cited By 19},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84995684270&doi=10.1016%2fj.jeconom.2016.09.007&partnerID=40&md5=de26355805da30478535e93bc1ef15ac},
    document_type={Article},
    source={Scopus},
    }
  • Local explosion modelling by non-causal process

    Journal of the royal statistical society. series b: statistical methodology, vol. 79, iss. 3, pp. 737-756, 2017.

    By C. Gourieroux and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2017737,
    author={Gourieroux, C. and Zakoian, J.-M.},
    title={Local explosion modelling by non-causal process},
    journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
    year={2017},
    volume={79},
    number={3},
    pages={737-756},
    doi={10.1111/rssb.12193},
    note={cited By 16},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85018858670&doi=10.1111%2frssb.12193&partnerID=40&md5=3cc5d31fe3eb89fe8e882b8ad52b01bd},
    document_type={Article},
    source={Scopus},
    }
  • Weak diffusion limits of dynamic conditional correlation models

    Econometric theory, vol. 33, iss. 3, pp. 691-716, 2017.

    By C. M. Hafner, S. Laurent, and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Hafner2017691,
    author={Hafner, C.M. and Laurent, S. and Violante, F.},
    title={WEAK DIFFUSION LIMITS of DYNAMIC CONDITIONAL CORRELATION MODELS},
    journal={Econometric Theory},
    year={2017},
    volume={33},
    number={3},
    pages={691-716},
    doi={10.1017/S0266466616000128},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84976539282&doi=10.1017%2fS0266466616000128&partnerID=40&md5=39e3459240628b8b602522a016a6cb2e},
    document_type={Article},
    source={Scopus},
    }
  • Optimal contract with moral hazard for public private partnerships

    Stochastics, vol. 89, iss. 6-7, pp. 1015-1038, 2017.

    By I. Hajjej, C. Hillairet, M. Mnif, and M. Pontier

    [DOI] [Bibtex]

    @ARTICLE{Hajjej20171015,
    author={Hajjej, I. and Hillairet, C. and Mnif, M. and Pontier, M.},
    title={Optimal contract with moral hazard for Public Private Partnerships},
    journal={Stochastics},
    year={2017},
    volume={89},
    number={6-7},
    pages={1015-1038},
    doi={10.1080/17442508.2017.1303068},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85016117099&doi=10.1080%2f17442508.2017.1303068&partnerID=40&md5=59315c937b8f39df15e7eae0dc93be98},
    document_type={Article},
    source={Scopus},
    }
  • Hedging under multiple risk constraints

    Finance and stochastics, vol. 21, iss. 2, pp. 361-396, 2017.

    By Y. Jiao, O. Klopfenstein, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Jiao2017361,
    author={Jiao, Y. and Klopfenstein, O. and Tankov, P.},
    title={Hedging under multiple risk constraints},
    journal={Finance and Stochastics},
    year={2017},
    volume={21},
    number={2},
    pages={361-396},
    doi={10.1007/s00780-017-0326-6},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85015018541&doi=10.1007%2fs00780-017-0326-6&partnerID=40&md5=329ee5d4ac74053416611cac05198f30},
    document_type={Article},
    source={Scopus},
    }
  • Staying at zero with affine processes: an application to term structure modelling

    Journal of econometrics, vol. 201, iss. 2, pp. 348-366, 2017.

    By A. Monfort, F. Pegoraro, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex]

    @ARTICLE{Monfort2017348,
    author={Monfort, A. and Pegoraro, F. and Renne, J.-P. and Roussellet, G.},
    title={Staying at zero with affine processes: An application to term structure modelling},
    journal={Journal of Econometrics},
    year={2017},
    volume={201},
    number={2},
    pages={348-366},
    doi={10.1016/j.jeconom.2017.08.013},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85029574651&doi=10.1016%2fj.jeconom.2017.08.013&partnerID=40&md5=43c832f1a9aaa31262be596b3bdef7b5},
    document_type={Article},
    source={Scopus},
    }

2016

  • Poisson qmle of count time series models

    Journal of time series analysis, vol. 37, iss. 3, pp. 291-314, 2016.

    By A. Ahmad and C. Francq

    [DOI] [Bibtex]

    @ARTICLE{Ahmad2016291,
    author={Ahmad, A. and Francq, C.},
    title={Poisson QMLE of Count Time Series Models},
    journal={Journal of Time Series Analysis},
    year={2016},
    volume={37},
    number={3},
    pages={291-314},
    doi={10.1111/jtsa.12167},
    note={cited By 30},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84949238424&doi=10.1111%2fjtsa.12167&partnerID=40&md5=3ea5013d7bbfe6dc8578971672ff827c},
    document_type={Article},
    source={Scopus},
    }
  • Vertical integration as a source of hold-up

    Review of economic studies, vol. 83, iss. 1, pp. 1-25, 2016.

    By M. -L. Allain, C. Chambolle, and P. Rey

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    @ARTICLE{Allain20161,
    author={Allain, M.-L. and Chambolle, C. and Rey, P.},
    title={Vertical integration as a source of hold-up},
    journal={Review of Economic Studies},
    year={2016},
    volume={83},
    number={1},
    pages={1-25},
    doi={10.1093/restud/rdv035},
    note={cited By 9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84962883671&doi=10.1093%2frestud%2frdv035&partnerID=40&md5=360ad31529551bba7d6f50d83bc88db9},
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    source={Scopus},
    }
  • Special issue on time series econometrics

    Computational statistics and data analysis, vol. 100, pp. 631-632, 2016.

    By H. P. Boswijk, C. Francq, M. Hallin, and R. Taylor

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    @EDITORIAL{Boswijk2016631,
    author={Boswijk, H.P. and Francq, C. and Hallin, M. and Taylor, R.},
    title={Special issue on Time Series Econometrics},
    journal={Computational Statistics and Data Analysis},
    year={2016},
    volume={100},
    pages={631-632},
    doi={10.1016/j.csda.2016.02.006},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84960968330&doi=10.1016%2fj.csda.2016.02.006&partnerID=40&md5=7d20fb045d272a072827dade939de01c},
    document_type={Editorial},
    source={Scopus},
    }
  • Optimal discretization of hedging strategies with directional views

    Siam journal on financial mathematics, vol. 7, iss. 1, pp. 34-69, 2016.

    By J. Cai, M. Fukasawa, M. Rosenbaum, and P. Tankov

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    @ARTICLE{Cai201634,
    author={Cai, J. and Fukasawa, M. and Rosenbaum, M. and Tankov, P.},
    title={Optimal discretization of hedging strategies with directional views},
    journal={SIAM Journal on Financial Mathematics},
    year={2016},
    volume={7},
    number={1},
    pages={34-69},
    doi={10.1137/151004306},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85007326753&doi=10.1137%2f151004306&partnerID=40&md5=782123603d47959fe50bfabcbdbe1ea3},
    document_type={Article},
    source={Scopus},
    }
  • Credit and liquidity in interbank rates: a quadratic approach

    Journal of banking and finance, vol. 68, pp. 29-46, 2016.

    By S. Dubecq, A. Monfort, J. -P. Renne, and G. Roussellet

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    @ARTICLE{Dubecq201629,
    author={Dubecq, S. and Monfort, A. and Renne, J.-P. and Roussellet, G.},
    title={Credit and liquidity in interbank rates: A quadratic approach},
    journal={Journal of Banking and Finance},
    year={2016},
    volume={68},
    pages={29-46},
    doi={10.1016/j.jbankfin.2016.03.014},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84963768344&doi=10.1016%2fj.jbankfin.2016.03.014&partnerID=40&md5=bab329e97fe2487078a5ffb5ebe43954},
    document_type={Article},
    source={Scopus},
    }
  • Consistent estimation of the value at risk when the error distribution of the volatility model is misspecified

    Journal of time series analysis, vol. 37, iss. 1, pp. 46-76, 2016.

    By M. El Ghourabi, C. Francq, and F. Telmoudi

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    @ARTICLE{ElGhourabi201646,
    author={El Ghourabi, M. and Francq, C. and Telmoudi, F.},
    title={Consistent Estimation of the Value at Risk When the Error Distribution of the Volatility Model is Misspecified},
    journal={Journal of Time Series Analysis},
    year={2016},
    volume={37},
    number={1},
    pages={46-76},
    doi={10.1111/jtsa.12136},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929179245&doi=10.1111%2fjtsa.12136&partnerID=40&md5=8fe921b933d6281cfcb31c6b3371816c},
    document_type={Article},
    source={Scopus},
    }
  • Reducing the debt: is it optimal to outsource an investment?

    Mathematics and financial economics, vol. 10, iss. 4, pp. 457-493, 2016.

    By G. E. Espinosa, C. Hillairet, B. Jourdain, and M. Pontier

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    @ARTICLE{Espinosa2016457,
    author={Espinosa, G.E. and Hillairet, C. and Jourdain, B. and Pontier, M.},
    title={Reducing the debt: is it optimal to outsource an investment?},
    journal={Mathematics and Financial Economics},
    year={2016},
    volume={10},
    number={4},
    pages={457-493},
    doi={10.1007/s11579-016-0166-8},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84961200638&doi=10.1007%2fs11579-016-0166-8&partnerID=40&md5=dc292abffa87a9aa669744d3b01b69ae},
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    source={Scopus},
    }
  • Estimating multivariate volatility models equation by equation

    Journal of the royal statistical society. series b: statistical methodology, vol. 78, iss. 3, pp. 613-635, 2016.

    By C. Francq and J. -M. Zakoian

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    @ARTICLE{Francq2016613,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimating multivariate volatility models equation by equation},
    journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
    year={2016},
    volume={78},
    number={3},
    pages={613-635},
    doi={10.1111/rssb.12126},
    note={cited By 16},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84948170163&doi=10.1111%2frssb.12126&partnerID=40&md5=b2089e4aeb12332e319116a1c57d930a},
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    source={Scopus},
    }
  • Fourier-type estimation of the power garch model with stable-paretian innovations

    Metrika, vol. 79, iss. 4, pp. 389-424, 2016.

    By C. Francq and S. G. Meintanis

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    @ARTICLE{Francq2016389,
    author={Francq, C. and Meintanis, S.G.},
    title={Fourier-type estimation of the power GARCH model with stable-Paretian innovations},
    journal={Metrika},
    year={2016},
    volume={79},
    number={4},
    pages={389-424},
    doi={10.1007/s00184-015-0560-x},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84942060541&doi=10.1007%2fs00184-015-0560-x&partnerID=40&md5=64a5891cfa6dbaa269d25f2910405e9e},
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    source={Scopus},
    }
  • Variance targeting estimation of multivariate garch models

    Journal of financial econometrics, vol. 14, iss. 2, pp. 353-382, 2016.

    By C. Francq, L. Hrváth, and J. -M. Zakoian

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    @ARTICLE{Francq2016353,
    author={Francq, C. and Hrváth, L. and Zakoian, J.-M.},
    title={Variance targeting estimation of multivariate GARCH models},
    journal={Journal of Financial Econometrics},
    year={2016},
    volume={14},
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    doi={10.1093/jjfinec/nbu030},
    art_number={nbu030},
    note={cited By 10},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84964327203&doi=10.1093%2fjjfinec%2fnbu030&partnerID=40&md5=727520bbfaafd903c9eaa7be9f864614},
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  • The double default value-of-the-firm model

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    By C. Gourieroux and A. Monfort

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    @ARTICLE{Gourieroux201647,
    author={Gourieroux, C. and Monfort, A.},
    title={The double default value-of-the-firm model},
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    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973454169&doi=10.21314%2fJCR.2016.207&partnerID=40&md5=da3c0fef401dcdd24dca3cf0c02de72a},
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  • Filtering, prediction and simulation methods for noncausal processes

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    By C. Gourieroux and J. Jasiak

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    @ARTICLE{Gourieroux2016405,
    author={Gourieroux, C. and Jasiak, J.},
    title={Filtering, Prediction and Simulation Methods for Noncausal Processes},
    journal={Journal of Time Series Analysis},
    year={2016},
    volume={37},
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    doi={10.1111/jtsa.12165},
    note={cited By 18},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84948151840&doi=10.1111%2fjtsa.12165&partnerID=40&md5=bb223e962a3802634b1848fb001f313c},
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  • Tail behavior of sums and differences of log-normal random variables

    Bernoulli, vol. 22, iss. 1, pp. 444-493, 2016.

    By A. Gulisashvili and P. Tankov

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    @ARTICLE{Gulisashvili2016444,
    author={Gulisashvili, A. and Tankov, P.},
    title={Tail behavior of sums and differences of log-normal random variables},
    journal={Bernoulli},
    year={2016},
    volume={22},
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    pages={444-493},
    doi={10.3150/14-BEJ665},
    note={cited By 18},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85013963774&doi=10.3150%2f14-BEJ665&partnerID=40&md5=98d31717ea90cd99eb4ffba032ba3e55},
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  • Statistical estimation of the residential baseline

    Ieee transactions on power systems, vol. 31, iss. 3, pp. 1752-1759, 2016.

    By L. Hatton, P. Charpentier, and E. Matzner-Lober

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    @ARTICLE{Hatton20161752,
    author={Hatton, L. and Charpentier, P. and Matzner-Lober, E.},
    title={Statistical Estimation of the Residential Baseline},
    journal={IEEE Transactions on Power Systems},
    year={2016},
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    number={3},
    pages={1752-1759},
    doi={10.1109/TPWRS.2015.2453889},
    art_number={7225189},
    note={cited By 32},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940702161&doi=10.1109%2fTPWRS.2015.2453889&partnerID=40&md5=e87f72a022f5b68b2379e39fee40811e},
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  • Evidence for genetic overlap between schizophrenia and age at first birth in women

    Jama psychiatry, vol. 73, iss. 5, pp. 497-505, 2016.

    By D. Mehta, F. C. Tropf, J. Gratten, A. Bakshi, Z. Zhu, S. -A. Bacanu, G. Hemani, P. K. E. Magnusson, N. Barban, T. Esko, A. Metspalu, H. Snieder, B. J. Mowry, K. S. Kendler, J. Yang, P. M. Visscher, J. J. McGrath, M. C. Mills, N. R. Wray, and S. H. Lee

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    @ARTICLE{Mehta2016497,
    author={Mehta, D. and Tropf, F.C. and Gratten, J. and Bakshi, A. and Zhu, Z. and Bacanu, S.-A. and Hemani, G. and Magnusson, P.K.E. and Barban, N. and Esko, T. and Metspalu, A. and Snieder, H. and Mowry, B.J. and Kendler, K.S. and Yang, J. and Visscher, P.M. and McGrath, J.J. and Mills, M.C. and Wray, N.R. and Lee, S.H.},
    title={Evidence for genetic overlap between schizophrenia and age at first birth in women},
    journal={JAMA Psychiatry},
    year={2016},
    volume={73},
    number={5},
    pages={497-505},
    doi={10.1001/jamapsychiatry.2016.0129},
    note={cited By 21},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973332881&doi=10.1001%2fjamapsychiatry.2016.0129&partnerID=40&md5=cdcdfebfac159c5fcdb262087503ddbb},
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  • A new look at short-term implied volatility in asset price models with jumps

    Mathematical finance, vol. 26, iss. 1, pp. 149-183, 2016.

    By A. Mijatović and P. Tankov

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    @ARTICLE{Mijatović2016149,
    author={Mijatović, A. and Tankov, P.},
    title={A new look at short-term implied volatility in asset price models with jumps},
    journal={Mathematical Finance},
    year={2016},
    volume={26},
    number={1},
    pages={149-183},
    doi={10.1111/mafi.12055},
    note={cited By 25},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84954028341&doi=10.1111%2fmafi.12055&partnerID=40&md5=eac747900b6c9bb0b3bca6abd9cfc842},
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    }
  • Approximate indifference pricing in exponential levy models

    Applied mathematical finance, vol. 23, iss. 3, pp. 197-235, 2016.

    By C. Menasse and P. Tankov

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    @ARTICLE{Menasse2016197,
    author={Menasse, C. and Tankov, P.},
    title={Approximate indifference pricing in exponential Levy models},
    journal={Applied Mathematical Finance},
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    volume={23},
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    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986189978&doi=10.1080%2f1350486X.2016.1227270&partnerID=40&md5=87bd28e7133c8f3794f4e3e4de02a108},
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  • A flow-cytometry-based method for detecting simultaneously five allergens in a complex food matrix

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    By G. Otto, A. Lamote, E. Deckers, V. Dumont, P. Delahaut, M. -L. Scippo, J. Pleck, C. Hillairet, and N. Gillard

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    @ARTICLE{Otto20164179,
    author={Otto, G. and Lamote, A. and Deckers, E. and Dumont, V. and Delahaut, P. and Scippo, M.-L. and Pleck, J. and Hillairet, C. and Gillard, N.},
    title={A flow-cytometry-based method for detecting simultaneously five allergens in a complex food matrix},
    journal={Journal of Food Science and Technology},
    year={2016},
    volume={53},
    number={12},
    pages={4179-4186},
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    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85000997227&doi=10.1007%2fs13197-016-2402-x&partnerID=40&md5=4678713e995a16b6b11c3c8205fc55d6},
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  • Tails of weakly dependent random vectors

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    By P. Tankov

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    @ARTICLE{Tankov201673,
    author={Tankov, P.},
    title={Tails of weakly dependent random vectors},
    journal={Journal of Multivariate Analysis},
    year={2016},
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    pages={73-86},
    doi={10.1016/j.jmva.2015.12.008},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84952918512&doi=10.1016%2fj.jmva.2015.12.008&partnerID=40&md5=c0cb0140f0813a372259afb209d5aee6},
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2015

  • Market models with optimal arbitrage

    Siam journal on financial mathematics, vol. 6, iss. 1, pp. 66-85, 2015.

    By H. N. Chau and P. Tankov

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    @ARTICLE{Chau201566,
    author={Chau, H.N. and Tankov, P.},
    title={Market models with optimal arbitrage},
    journal={SIAM Journal on Financial Mathematics},
    year={2015},
    volume={6},
    number={1},
    pages={66-85},
    doi={10.1137/140953666},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925349149&doi=10.1137%2f140953666&partnerID=40&md5=fdc2721e37038d6a2c3dc25725dd3be3},
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  • Performance fees and hedge fund return dynamics

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    By S. Darolles and C. Gourieroux

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    @ARTICLE{Darolles201545,
    author={Darolles, S. and Gourieroux, C.},
    title={Performance fees and hedge fund return dynamics},
    journal={International Journal of Approximate Reasoning},
    year={2015},
    volume={65},
    pages={45-58},
    doi={10.1016/j.ijar.2015.03.006},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84941316799&doi=10.1016%2fj.ijar.2015.03.006&partnerID=40&md5=fdf61ccae69796627e48881b1df06077},
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  • The dynamics of hedge fund performance

    Studies in computational intelligence, vol. 583, pp. 85-113, 2015.

    By S. Darolles, C. Gourieroux, and J. Teiletche

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    @ARTICLE{Darolles201585,
    author={Darolles, S. and Gourieroux, C. and Teiletche, J.},
    title={The dynamics of hedge fund performance},
    journal={Studies in Computational Intelligence},
    year={2015},
    volume={583},
    pages={85-113},
    doi={10.1007/978-3-319-13449-9_7},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84919341506&doi=10.1007%2f978-3-319-13449-9_7&partnerID=40&md5=53277ee5359d8bcd9772d8325166882e},
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  • Numerical methods for the quadratic hedging problem in markov models with jumps

    Journal of computational finance, vol. 19, iss. 2, pp. 29-67, 2015.

    By C. De Franco, P. Tankov, and X. Warin

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    @ARTICLE{DeFranco201529,
    author={De Franco, C. and Tankov, P. and Warin, X.},
    title={Numerical methods for the quadratic hedging problem in Markov models with jumps},
    journal={Journal of Computational Finance},
    year={2015},
    volume={19},
    number={2},
    pages={29-67},
    doi={10.21314/JCF.2015.294},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84973597959&doi=10.21314%2fJCF.2015.294&partnerID=40&md5=2bd66dd89ce316fed17bb4cfada300a4},
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  • Multivariate hypothesis testing using generalized and 2-inverses – with applications

    Statistics, vol. 49, iss. 3, pp. 475-496, 2015.

    By P. Duchesne and C. Francq

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    @ARTICLE{Duchesne2015475,
    author={Duchesne, P. and Francq, C.},
    title={Multivariate hypothesis testing using generalized and {2}-inverses – with applications},
    journal={Statistics},
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    doi={10.1080/02331888.2014.896917},
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  • Understanding volatility dynamics in the eu-ets market

    Energy policy, vol. 82, iss. 1, pp. 321-331, 2015.

    By M. Eugenia Sanin, F. Violante, and M. Mansanet-Bataller

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    @ARTICLE{EugeniaSanin2015321,
    author={Eugenia Sanin, M. and Violante, F. and Mansanet-Bataller, M.},
    title={Understanding volatility dynamics in the EU-ETS market},
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  • Finite-dimensional representations for controlled diffusions with delay

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    By S. Federico and P. Tankov

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    @ARTICLE{Federico2015165,
    author={Federico, S. and Tankov, P.},
    title={Finite-Dimensional Representations for Controlled Diffusions with Delay},
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    note={cited By 4},
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  • On break-even correlation: the way to price structured credit derivatives by replication

    Quantitative finance, vol. 15, iss. 5, pp. 829-840, 2015.

    By J. -D. Fermanian and O. Vigneron

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    @ARTICLE{Fermanian2015829,
    author={Fermanian, J.-D. and Vigneron, O.},
    title={On break-even correlation: the way to price structured credit derivatives by replication},
    journal={Quantitative Finance},
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  • Asymptotic total variation tests for copulas

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    By J. -D. Fermanian, D. Radulović, and M. Wegkamp

    [DOI] [Bibtex]

    @ARTICLE{Fermanian20151911,
    author={Fermanian, J.-D. and Radulović, D. and Wegkamp, M.},
    title={Asymptotic total variation tests for copulas},
    journal={Bernoulli},
    year={2015},
    volume={21},
    number={3},
    pages={1911-1945},
    doi={10.3150/14-BEJ632},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84938563757&doi=10.3150%2f14-BEJ632&partnerID=40&md5=66051faa5458ca7e22ad6d5598d6410a},
    document_type={Article},
    source={Scopus},
    }
  • Risk-parameter estimation in volatility models

    Journal of econometrics, vol. 184, iss. 1, pp. 158-173, 2015.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2015158,
    author={Francq, C. and Zakoian, J.-M.},
    title={Risk-parameter estimation in volatility models},
    journal={Journal of Econometrics},
    year={2015},
    volume={184},
    number={1},
    pages={158-173},
    doi={10.1016/j.jeconom.2014.06.019},
    note={cited By 15},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84913590668&doi=10.1016%2fj.jeconom.2014.06.019&partnerID=40&md5=ae9a1aef10b2c73b059c7b7abaf688f7},
    document_type={Article},
    source={Scopus},
    }
  • Contagion phenomena with applications in finance

    Contagion phenomena with applications in finance, , pp. 1-154, 2015.

    By C. Gourieroux and S. Darolles

    [DOI] [Bibtex]

    @BOOK{Gourieroux20151,
    author={Gourieroux, C. and Darolles, S.},
    title={Contagion Phenomena with Applications in Finance},
    journal={Contagion Phenomena with Applications in Finance},
    year={2015},
    pages={1-154},
    doi={10.1016/C2014-0-04736-3},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84980396127&doi=10.1016%2fC2014-0-04736-3&partnerID=40&md5=b2623e5c4cb83ee0a65b27a4ca66040f},
    document_type={Book},
    source={Scopus},
    }
  • Pricing with finite dimensional dependence

    Journal of econometrics, vol. 187, iss. 2, pp. 408-417, 2015.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2015408,
    author={Gourieroux, C. and Monfort, A.},
    title={Pricing with finite dimensional dependence},
    journal={Journal of Econometrics},
    year={2015},
    volume={187},
    number={2},
    pages={408-417},
    doi={10.1016/j.jeconom.2015.02.027},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945459025&doi=10.1016%2fj.jeconom.2015.02.027&partnerID=40&md5=644ea4f2aa31a12080164ea208115f50},
    document_type={Article},
    source={Scopus},
    }
  • Love and death: a freund model with frailty

    Insurance: mathematics and economics, vol. 63, pp. 191-203, 2015.

    By C. Gourieroux and Y. Lu

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2015191,
    author={Gourieroux, C. and Lu, Y.},
    title={Love and death: A Freund model with frailty},
    journal={Insurance: Mathematics and Economics},
    year={2015},
    volume={63},
    pages={191-203},
    doi={10.1016/j.insmatheco.2015.03.016},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84937970893&doi=10.1016%2fj.insmatheco.2015.03.016&partnerID=40&md5=3cfe7279c38acd308bb0e34431f88c54},
    document_type={Article},
    source={Scopus},
    }
  • On uniqueness of moving average representations of heavy-tailed stationary processes

    Journal of time series analysis, vol. 36, iss. 6, pp. 876-887, 2015.

    By C. Gourieroux and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2015876,
    author={Gourieroux, C. and Zakoian, J.-M.},
    title={On Uniqueness of Moving Average Representations of Heavy-tailed Stationary Processes},
    journal={Journal of Time Series Analysis},
    year={2015},
    volume={36},
    number={6},
    pages={876-887},
    doi={10.1111/jtsa.12139},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84944441178&doi=10.1111%2fjtsa.12139&partnerID=40&md5=d5c80f7c680632e11ae78788baa54d7c},
    document_type={Article},
    source={Scopus},
    }
  • Noncausal autoregressive model in application to bitcoin/usd exchange rates

    Studies in computational intelligence, vol. 583, pp. 17-40, 2015.

    By A. Hencic and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Hencic201517,
    author={Hencic, A. and Gourieroux, C.},
    title={Noncausal autoregressive model in application to bitcoin/USD exchange rates},
    journal={Studies in Computational Intelligence},
    year={2015},
    volume={583},
    pages={17-40},
    doi={10.1007/978-3-319-13449-9_2},
    note={cited By 29},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84919341625&doi=10.1007%2f978-3-319-13449-9_2&partnerID=40&md5=61928c223aec25683d7c3346ffd8f16b},
    document_type={Article},
    source={Scopus},
    }
  • Portfolio optimization with insider’s initial information and counterparty risk

    Finance and stochastics, vol. 19, iss. 1, pp. 109-134, 2015.

    By C. Hillairet and Y. Jiao

    [DOI] [Bibtex]

    @ARTICLE{Hillairet2015109,
    author={Hillairet, C. and Jiao, Y.},
    title={Portfolio optimization with insider’s initial information and counterparty risk},
    journal={Finance and Stochastics},
    year={2015},
    volume={19},
    number={1},
    pages={109-134},
    doi={10.1007/s00780-014-0246-7},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84919475917&doi=10.1007%2fs00780-014-0246-7&partnerID=40&md5=6782b93587f1c085c934e50f0cfcbf95},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotic inference in multiple-threshold double autoregressive models

    Journal of econometrics, vol. 189, iss. 2, pp. 415-427, 2015.

    By D. Li, S. Ling, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Li2015415,
    author={Li, D. and Ling, S. and Zakoian, J.-M.},
    title={Asymptotic inference in multiple-threshold double autoregressive models},
    journal={Journal of Econometrics},
    year={2015},
    volume={189},
    number={2},
    pages={415-427},
    doi={10.1016/j.jeconom.2015.03.033},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84945475841&doi=10.1016%2fj.jeconom.2015.03.033&partnerID=40&md5=2400668b81e4ef3b90a107220e404a2b},
    document_type={Article},
    source={Scopus},
    }
  • A quadratic kalman filter

    Journal of econometrics, vol. 187, iss. 1, pp. 43-56, 2015.

    By A. Monfort, J. -P. Renne, and G. Roussellet

    [DOI] [Bibtex]

    @ARTICLE{Monfort201543,
    author={Monfort, A. and Renne, J.-P. and Roussellet, G.},
    title={A Quadratic Kalman Filter},
    journal={Journal of Econometrics},
    year={2015},
    volume={187},
    number={1},
    pages={43-56},
    doi={10.1016/j.jeconom.2015.01.003},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84929615719&doi=10.1016%2fj.jeconom.2015.01.003&partnerID=40&md5=2171d359aea7d4b643a15fc46eae34a2},
    document_type={Article},
    source={Scopus},
    }
  • Human fertility, molecular genetics, and natural selection in modern societies

    Plos one, vol. 10, iss. 6, 2015.

    By F. C. Tropf, G. Stulp, N. Barban, P. M. Visscher, J. Yang, H. Snieder, and M. C. Mills

    [DOI] [Bibtex]

    @ARTICLE{Tropf2015,
    author={Tropf, F.C. and Stulp, G. and Barban, N. and Visscher, P.M. and Yang, J. and Snieder, H. and Mills, M.C.},
    title={Human fertility, molecular genetics, and natural selection in modern societies},
    journal={PLoS ONE},
    year={2015},
    volume={10},
    number={6},
    doi={10.1371/journal.pone.0126821},
    art_number={e0126821},
    note={cited By 39},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84935873143&doi=10.1371%2fjournal.pone.0126821&partnerID=40&md5=c632d43c54ce2fbab717e97284c5da13},
    document_type={Article},
    source={Scopus},
    }

2014

  • The effects of management and provision accounts on hedge fund returns – part i: the high water mark scheme

    Advances in intelligent systems and computing, vol. 251, pp. 23-43, 2014.

    By S. Darolles and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Darolles201423,
    author={Darolles, S. and Gourieroux, C.},
    title={The effects of management and provision accounts on hedge fund returns - Part I: The High Water Mark Scheme},
    journal={Advances in Intelligent Systems and Computing},
    year={2014},
    volume={251},
    pages={23-43},
    doi={10.1007/978-3-319-03395-2_2},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84897870137&doi=10.1007%2f978-3-319-03395-2_2&partnerID=40&md5=8d12cfb00d574be7760c487cce18e493},
    document_type={Conference Paper},
    source={Scopus},
    }
  • The effects of management and provision accounts on hedge fund returns – part ii: the loss carry forward scheme

    Advances in intelligent systems and computing, vol. 251, pp. 47-61, 2014.

    By S. Darolles and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Darolles201447,
    author={Darolles, S. and Gourieroux, C.},
    title={The effects of management and provision accounts on hedge fund returns - Part II: The Loss Carry Forward scheme},
    journal={Advances in Intelligent Systems and Computing},
    year={2014},
    volume={251},
    pages={47-61},
    doi={10.1007/978-3-319-03395-2_3},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84897835299&doi=10.1007%2f978-3-319-03395-2_3&partnerID=40&md5=f87ea9ff0f4ef10fe193d8e80e5fb9ab},
    document_type={Conference Paper},
    source={Scopus},
    }
  • The limits of granularity adjustments

    Journal of banking and finance, vol. 45, iss. 1, pp. 9-25, 2014.

    By J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Fermanian20149,
    author={Fermanian, J.-D.},
    title={The limits of granularity adjustments},
    journal={Journal of Banking and Finance},
    year={2014},
    volume={45},
    number={1},
    pages={9-25},
    doi={10.1016/j.jbankfin.2014.04.023},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901660604&doi=10.1016%2fj.jbankfin.2014.04.023&partnerID=40&md5=025da4ed354dc530ff29b3e60d442ade},
    document_type={Article},
    source={Scopus},
    }
  • Small-time asymptotics of stopped levy bridges and simulation schemes with controlled bias

    Bernoulli, vol. 20, iss. 3, pp. 1126-1164, 2014.

    By J. E. Figueroa-López and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Figueroa-López20141126,
    author={Figueroa-López, J.E. and Tankov, P.},
    title={Small-time asymptotics of stopped Levy bridges and simulation schemes with controlled bias},
    journal={Bernoulli},
    year={2014},
    volume={20},
    number={3},
    pages={1126-1164},
    doi={10.3150/13-BEJ517},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84903947542&doi=10.3150%2f13-BEJ517&partnerID=40&md5=cf54049902a984a06e095b3df17dd39d},
    document_type={Article},
    source={Scopus},
    }
  • Comment

    Journal of business and economic statistics, vol. 32, iss. 2, pp. 198-201, 2014.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2014198,
    author={Francq, C. and Zakoian, J.-M.},
    title={Comment},
    journal={Journal of Business and Economic Statistics},
    year={2014},
    volume={32},
    number={2},
    pages={198-201},
    doi={10.1080/07350015.2013.879829},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84925940270&doi=10.1080%2f07350015.2013.879829&partnerID=40&md5=350b7b3de2fa85a007343e91ab9d1a0e},
    document_type={Note},
    source={Scopus},
    }
  • Multi-level conditional var estimation in dynamic models

    Advances in intelligent systems and computing, vol. 251, pp. 3-19, 2014.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq20143,
    author={Francq, C. and Zakoian, J.-M.},
    title={Multi-level conditional VaR estimation in dynamic models},
    journal={Advances in Intelligent Systems and Computing},
    year={2014},
    volume={251},
    pages={3-19},
    doi={10.1007/978-3-319-03395-2_1},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84897873310&doi=10.1007%2f978-3-319-03395-2_1&partnerID=40&md5=f335bdbdee6d69c2e7cd72aba863b667},
    document_type={Conference Paper},
    source={Scopus},
    }
  • Efficiency in large dynamic panel models with common factors

    Econometric theory, vol. 30, iss. 5, pp. 961-1020, 2014.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini2014961,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Efficiency in large dynamic panel models with common factors},
    journal={Econometric Theory},
    year={2014},
    volume={30},
    number={5},
    pages={961-1020},
    doi={10.1017/S0266466614000024},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901567879&doi=10.1017%2fS0266466614000024&partnerID=40&md5=6665634c64a454266daca6e8e5bff063},
    document_type={Article},
    source={Scopus},
    }
  • Granularity theory with applications to finance and insurance

    Granularity theory with applications to finance and insurance, , pp. 1-186, 2014.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @BOOK{Gagliardini20141,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Granularity theory with applications to finance and insurance},
    journal={Granularity Theory with Applications to Finance and Insurance},
    year={2014},
    pages={1-186},
    doi={10.1017/CBO9781107709393},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84953374545&doi=10.1017%2fCBO9781107709393&partnerID=40&md5=6621d7cca59f3abb14d920ad055c10cd},
    document_type={Book},
    source={Scopus},
    }
  • Regime switching and bond pricing

    Journal of financial econometrics, vol. 12, iss. 2, pp. 237-277, 2014.

    By C. Gourieroux, A. Monfort, F. Pegoraro, and J. -P. Renne

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2014237,
    author={Gourieroux, C. and Monfort, A. and Pegoraro, F. and Renne, J.-P.},
    title={Regime switching and bond pricing},
    journal={Journal of Financial Econometrics},
    year={2014},
    volume={12},
    number={2},
    pages={237-277},
    doi={10.1093/jjfinec/nbt019},
    art_number={nbt019},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84940248130&doi=10.1093%2fjjfinec%2fnbt019&partnerID=40&md5=239f464b75f1d998f307edf5c944264b},
    document_type={Article},
    source={Scopus},
    }
  • Erratum: pricing default events: surprise, exogeneity and contagion (journal of econometrics (2014) 182:2 (397-411))

    Journal of econometrics, vol. 183, iss. 2, p. 150, 2014.

    By C. Gourieroux, A. Monfort, and J. P. Renne

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2014150,
    author={Gourieroux, C. and Monfort, A. and Renne, J.P.},
    title={Erratum: Pricing default events: Surprise, exogeneity and contagion (Journal of Econometrics (2014) 182:2 (397-411))},
    journal={Journal of Econometrics},
    year={2014},
    volume={183},
    number={2},
    pages={150},
    doi={10.1016/j.jeconom.2014.10.001},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84922655528&doi=10.1016%2fj.jeconom.2014.10.001&partnerID=40&md5=796f47cfa496f9b5dc64b0992068ac35},
    document_type={Erratum},
    source={Scopus},
    }
  • Pricing default events: surprise, exogeneity and contagion

    Journal of econometrics, vol. 182, iss. 2, pp. 397-411, 2014.

    By C. Gourieroux, A. Monfort, and J. P. Renne

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2014397,
    author={Gourieroux, C. and Monfort, A. and Renne, J.P.},
    title={Pricing default events: Surprise, exogeneity and contagion},
    journal={Journal of Econometrics},
    year={2014},
    volume={182},
    number={2},
    pages={397-411},
    doi={10.1016/j.jeconom.2014.05.005},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904968834&doi=10.1016%2fj.jeconom.2014.05.005&partnerID=40&md5=b0421a667620f0c6de257e9c81aeee1a},
    document_type={Article},
    source={Scopus},
    }
  • Optimal simulation schemes for ĺevy driven stochastic differential equations

    Mathematics of computation, vol. 83, iss. 289, pp. 2293-2324, 2014.

    By A. Kohatsu-Higa, S. Ortiz-Latorre, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Kohatsu-Higa20142293,
    author={Kohatsu-Higa, A. and Ortiz-Latorre, S. and Tankov, P.},
    title={Optimal Simulation Schemes For Ĺevy driven stochastic differential equations},
    journal={Mathematics of Computation},
    year={2014},
    volume={83},
    number={289},
    pages={2293-2324},
    doi={10.1090/s0025-5718-2013-02786-x},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84909989563&doi=10.1090%2fs0025-5718-2013-02786-x&partnerID=40&md5=4037a319aff3fe3ffffca35e6474384b},
    document_type={Article},
    source={Scopus},
    }
  • Cfenetwork: the annals of computational and financial econometrics: 2nd issue

    Computational statistics and data analysis, vol. 76, pp. 1-3, 2014.

    By E. J. Kontoghiorghes, H. K. Van Dijk, D. A. Belsley, T. Bollerslev, F. X. Diebold, J. -M. Dufour, R. Engle, A. Harvey, S. J. Koopman, H. Pesaran, P. C. B. Phillips, R. J. Smith, M. West, Q. Yao, A. Amendola, M. Billio, C. W. S. Chen, C. Chiarella, A. Colubi, M. Deistler, C. Francq, M. Hallin, E. Jacquier, K. Judd, G. Koop, H. Lutkepohl, J. G. MacKinnon, S. Mittnik, Y. Omori, D. S. G. Pollock, T. Proietti, J. V. K. Rombouts, O. Scaillet, W. Semmler, M. K. P. So, M. Steel, R. Taylor, E. Tzavalis, J. -M. Zakoian, H. Peter Boswijk, A. Luati, and J. Maheu

    [DOI] [Bibtex]

    @EDITORIAL{Kontoghiorghes20141,
    author={Kontoghiorghes, E.J. and Van Dijk, H.K. and Belsley, D.A. and Bollerslev, T. and Diebold, F.X. and Dufour, J.-M. and Engle, R. and Harvey, A. and Koopman, S.J. and Pesaran, H. and Phillips, P.C.B. and Smith, R.J. and West, M. and Yao, Q. and Amendola, A. and Billio, M. and Chen, C.W.S. and Chiarella, C. and Colubi, A. and Deistler, M. and Francq, C. and Hallin, M. and Jacquier, E. and Judd, K. and Koop, G. and Lutkepohl, H. and MacKinnon, J.G. and Mittnik, S. and Omori, Y. and Pollock, D.S.G. and Proietti, T. and Rombouts, J.V.K. and Scaillet, O. and Semmler, W. and So, M.K.P. and Steel, M. and Taylor, R. and Tzavalis, E. and Zakoian, J.-M. and Peter Boswijk, H. and Luati, A. and Maheu, J.},
    title={CFEnetwork: The Annals of computational and financial econometrics: 2nd issue},
    journal={Computational Statistics and Data Analysis},
    year={2014},
    volume={76},
    pages={1-3},
    doi={10.1016/j.csda.2014.04.006},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901451542&doi=10.1016%2fj.csda.2014.04.006&partnerID=40&md5=74f8e8ce1c760e8a1f879dfd8dce5089},
    document_type={Editorial},
    source={Scopus},
    }
  • Decomposing euro-area sovereign spreads: credit and liquidity risks

    Review of finance, vol. 18, iss. 6, pp. 2103-2115, 2014.

    By A. Monfort and J. -P. Renne

    [DOI] [Bibtex]

    @ARTICLE{Monfort20142103,
    author={Monfort, A. and Renne, J.-P.},
    title={Decomposing Euro-area sovereign spreads: Credit and liquidity risks},
    journal={Review of Finance},
    year={2014},
    volume={18},
    number={6},
    pages={2103-2115},
    doi={10.1093/rof/rft049},
    note={cited By 39},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84927159898&doi=10.1093%2frof%2frft049&partnerID=40&md5=87f9cffc1aba2b80b94999be533f0e59},
    document_type={Article},
    source={Scopus},
    }
  • Vertical restraints in European competition policy

    Concurrences, vol. None, iss. 4, pp. 44-53, 2014.

    By P. Rey and T. Verge

    [Bibtex]

    @ARTICLE{Rey2014VerticalPolicy,
    author = {Patrick Rey and Thibaud Verge},
    title = {{Vertical restraints in European competition policy}},
    journal = {Concurrences},
    year = {2014},
    volume = {None},
    number = {4},
    pages = {44-53}}
  • Vertical restraints in european competition policy

    Concurrences, , iss. 4, pp. 44-53, 2014.

    By P. Rey and T. Verge

    [Bibtex]

    @ARTICLE{Rey201444,
    author={Rey, P. and Verge, T.},
    title={Vertical restraints in European competition policy},
    journal={Concurrences},
    year={2014},
    number={4},
    pages={44-53},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85037361250&partnerID=40&md5=42d1978365f873acd7ecceb70d33ff17},
    document_type={Article},
    source={Scopus},
    }
  • The value of multivariate model sophistication: an application to pricing dow jones industrial average options

    International journal of forecasting, vol. 30, iss. 1, pp. 78-98, 2014.

    By J. Rombouts, L. Stentoft, and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Rombouts201478,
    author={Rombouts, J. and Stentoft, L. and Violante, F.},
    title={The value of multivariate model sophistication: An application to pricing Dow Jones Industrial Average options},
    journal={International Journal of Forecasting},
    year={2014},
    volume={30},
    number={1},
    pages={78-98},
    doi={10.1016/j.ijforecast.2013.07.006},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84886830438&doi=10.1016%2fj.ijforecast.2013.07.006&partnerID=40&md5=c1e737e108270980c81fd68d2e095f28},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotically optimal discretization of hedging strategies with jumps

    Annals of applied probability, vol. 24, iss. 3, pp. 1002-1048, 2014.

    By M. Rosenbaum and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Rosenbaum20141002,
    author={Rosenbaum, M. and Tankov, P.},
    title={Asymptotically optimal discretization of hedging strategies with jumps},
    journal={Annals of Applied Probability},
    year={2014},
    volume={24},
    number={3},
    pages={1002-1048},
    doi={10.1214/13-AAP940},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84899538558&doi=10.1214%2f13-AAP940&partnerID=40&md5=6077021a4076cac3d81238aa5b541c9c},
    document_type={Article},
    source={Scopus},
    }

2013

  • Reduced forms of rational expectations models

    Reduced forms of rational expectations models, , pp. 1-120, 2013.

    By L. Broze, C. Gourieroux, and A. Szafarz

    [DOI] [Bibtex]

    @BOOK{Broze20131,
    author={Broze, L. and Gourieroux, C. and Szafarz, A.},
    title={Reduced forms of rational expectations models},
    journal={Reduced Forms of Rational Expectations Models},
    year={2013},
    pages={1-120},
    doi={10.4324/9781315014685},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85079526721&doi=10.4324%2f9781315014685&partnerID=40&md5=003796c2946567a13510a137fbdede7d},
    document_type={Book},
    source={Scopus},
    }
  • A top-down approach for asset-backed securities: a consistent way of managing prepayment, default and interest rate risks

    Journal of real estate finance and economics, vol. 46, iss. 3, pp. 480-515, 2013.

    By J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Fermanian2013480,
    author={Fermanian, J.-D.},
    title={A Top-Down Approach for Asset-Backed Securities: A Consistent Way of Managing Prepayment, Default and Interest Rate Risks},
    journal={Journal of Real Estate Finance and Economics},
    year={2013},
    volume={46},
    number={3},
    pages={480-515},
    doi={10.1007/s11146-011-9331-2},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874956562&doi=10.1007%2fs11146-011-9331-2&partnerID=40&md5=c56b3a65c78944d22f7cf74421406be6},
    document_type={Article},
    source={Scopus},
    }
  • Optimal predictions of powers of conditionally heteroscedastic processes

    Journal of the royal statistical society. series b: statistical methodology, vol. 75, iss. 2, pp. 345-367, 2013.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2013345,
    author={Francq, C. and Zakoian, J.-M.},
    title={Optimal predictions of powers of conditionally heteroscedastic processes},
    journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
    year={2013},
    volume={75},
    number={2},
    pages={345-367},
    doi={10.1111/j.1467-9868.2012.01045.x},
    note={cited By 24},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84873303984&doi=10.1111%2fj.1467-9868.2012.01045.x&partnerID=40&md5=9bafacbc3f3b1884cb8d4f7f72df6f67},
    document_type={Article},
    source={Scopus},
    }
  • Estimating the marginal law of a time series with applications to heavy-tailed distributions

    Journal of business and economic statistics, vol. 31, iss. 4, pp. 412-425, 2013.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2013412,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimating the marginal law of a time series with applications to heavy-tailed distributions},
    journal={Journal of Business and Economic Statistics},
    year={2013},
    volume={31},
    number={4},
    pages={412-425},
    doi={10.1080/07350015.2013.801776},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84901624855&doi=10.1080%2f07350015.2013.801776&partnerID=40&md5=83222dfc5db5d733d094bccdcd6fff51},
    document_type={Article},
    source={Scopus},
    }
  • Inference in nonstationary asymmetric garch models

    Annals of statistics, vol. 41, iss. 4, pp. 1970-1998, 2013.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq20131970,
    author={Francq, C. and Zakoian, J.-M.},
    title={Inference in nonstationary asymmetric GARCH models},
    journal={Annals of Statistics},
    year={2013},
    volume={41},
    number={4},
    pages={1970-1998},
    doi={10.1214/13-AOS1132},
    note={cited By 21},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84899888886&doi=10.1214%2f13-AOS1132&partnerID=40&md5=90a782f8e1136c16384c3436040ea950},
    document_type={Article},
    source={Scopus},
    }
  • Garch models without positivity constraints: exponential or log garch?

    Journal of econometrics, vol. 177, iss. 1, pp. 34-46, 2013.

    By C. Francq, O. Wintenberger, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq201334,
    author={Francq, C. and Wintenberger, O. and Zakoian, J.-M.},
    title={GARCH models without positivity constraints: Exponential or log GARCH?},
    journal={Journal of Econometrics},
    year={2013},
    volume={177},
    number={1},
    pages={34-46},
    doi={10.1016/j.jeconom.2013.05.004},
    note={cited By 25},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883460405&doi=10.1016%2fj.jeconom.2013.05.004&partnerID=40&md5=8b0aa2c212edb9ba90c588ba223c16fd},
    document_type={Article},
    source={Scopus},
    }
  • Correlated risks vs contagion in stochastic transition models

    Journal of economic dynamics and control, vol. 37, iss. 11, pp. 2241-2269, 2013.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini20132241,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Correlated risks vs contagion in stochastic transition models},
    journal={Journal of Economic Dynamics and Control},
    year={2013},
    volume={37},
    number={11},
    pages={2241-2269},
    doi={10.1016/j.jedc.2013.05.016},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883144469&doi=10.1016%2fj.jedc.2013.05.016&partnerID=40&md5=33d45bff128a24f694d7fadf47869ac0},
    document_type={Article},
    source={Scopus},
    }
  • Granularity adjustment for risk measures: systematic vs unsystematic risks

    International journal of approximate reasoning, vol. 54, iss. 6, pp. 717-747, 2013.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini2013717,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Granularity adjustment for risk measures: Systematic vs unsystematic risks},
    journal={International Journal of Approximate Reasoning},
    year={2013},
    volume={54},
    number={6},
    pages={717-747},
    doi={10.1016/j.ijar.2013.01.003},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84877818007&doi=10.1016%2fj.ijar.2013.01.003&partnerID=40&md5=87a6852f0d96d31c857a22eb4df230f5},
    document_type={Article},
    source={Scopus},
    }
  • Linear-price term structure models

    Journal of empirical finance, vol. 24, pp. 24-41, 2013.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux201324,
    author={Gourieroux, C. and Monfort, A.},
    title={Linear-price term structure models},
    journal={Journal of Empirical Finance},
    year={2013},
    volume={24},
    pages={24-41},
    doi={10.1016/j.jempfin.2013.07.004},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84883523553&doi=10.1016%2fj.jempfin.2013.07.004&partnerID=40&md5=b0356ea49f8debecd7691d0e27fb4f0a},
    document_type={Article},
    source={Scopus},
    }
  • Liquidation equilibrium with seniority and hidden cdo

    Journal of banking and finance, vol. 37, iss. 12, pp. 5261-5274, 2013.

    By C. Gourieroux, J. C. Heam, and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20135261,
    author={Gourieroux, C. and Heam, J.C. and Monfort, A.},
    title={Liquidation equilibrium with seniority and hidden CDO},
    journal={Journal of Banking and Finance},
    year={2013},
    volume={37},
    number={12},
    pages={5261-5274},
    doi={10.1016/j.jbankfin.2013.04.016},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84886089497&doi=10.1016%2fj.jbankfin.2013.04.016&partnerID=40&md5=a455d2662f09ce950e360277779f36b5},
    document_type={Article},
    source={Scopus},
    }
  • Allocating systemic risk in a regulatory perspective

    International journal of theoretical and applied finance, vol. 16, iss. 7, 2013.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2013,
    author={Gourieroux, C. and Monfort, A.},
    title={Allocating systemic risk in a regulatory perspective},
    journal={International Journal of Theoretical and Applied Finance},
    year={2013},
    volume={16},
    number={7},
    doi={10.1142/S0219024913500416},
    art_number={1350041},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84894115970&doi=10.1142%2fS0219024913500416&partnerID=40&md5=7457e05c1b98493400f9a7db5a40fff2},
    document_type={Article},
    source={Scopus},
    }
  • Estimation-adjusted var

    Econometric theory, vol. 29, iss. 4, pp. 735-770, 2013.

    By C. Gourieroux and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2013735,
    author={Gourieroux, C. and Zakoian, J.-M.},
    title={Estimation-adjusted var},
    journal={Econometric Theory},
    year={2013},
    volume={29},
    number={4},
    pages={735-770},
    doi={10.1017/S0266466612000680},
    note={cited By 14},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84880857098&doi=10.1017%2fS0266466612000680&partnerID=40&md5=c5331251732ba03a591180c9bf8b02e6},
    document_type={Article},
    source={Scopus},
    }
  • Granularity adjustment for efficient portfolios

    Econometric reviews, vol. 32, iss. 4, pp. 449-468, 2013.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2013449,
    author={Gourieroux, C. and Monfort, A.},
    title={Granularity Adjustment for Efficient Portfolios},
    journal={Econometric Reviews},
    year={2013},
    volume={32},
    number={4},
    pages={449-468},
    doi={10.1080/07474938.2012.690667},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84873112825&doi=10.1080%2f07474938.2012.690667&partnerID=40&md5=adc39ff027a7d3f74d42f707bfd802a1},
    document_type={Article},
    source={Scopus},
    }
  • Size distortion in the analysis of volatility and covolatility effects

    Advances in intelligent systems and computing, vol. 200 AISC, pp. 91-118, 2013.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux201391,
    author={Gourieroux, C. and Jasiak, J.},
    title={Size distortion in the analysis of volatility and covolatility effects},
    journal={Advances in Intelligent Systems and Computing},
    year={2013},
    volume={200 AISC},
    pages={91-118},
    doi={10.1007/978-3-642-35443-4_7},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84872816344&doi=10.1007%2f978-3-642-35443-4_7&partnerID=40&md5=c2295e210bc3c5225c918f3bf9c3c8be},
    document_type={Conference Paper},
    source={Scopus},
    }
  • No-arbitrage near-cointegrated var(p) term structure models, term premia and gdp growth

    Journal of banking and finance, vol. 37, iss. 2, pp. 389-402, 2013.

    By C. Jardet, A. Monfort, and F. Pegoraro

    [DOI] [Bibtex]

    @ARTICLE{Jardet2013389,
    author={Jardet, C. and Monfort, A. and Pegoraro, F.},
    title={No-arbitrage Near-Cointegrated VAR(p) term structure models, term premia and GDP growth},
    journal={Journal of Banking and Finance},
    year={2013},
    volume={37},
    number={2},
    pages={389-402},
    doi={10.1016/j.jbankfin.2012.09.003},
    note={cited By 18},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84869871533&doi=10.1016%2fj.jbankfin.2012.09.003&partnerID=40&md5=24b51c8dc2cab95af0b842884e067521},
    document_type={Article},
    source={Scopus},
    }
  • On loss functions and ranking forecasting performances of multivariate volatility models

    Journal of econometrics, vol. 173, iss. 1, pp. 1-10, 2013.

    By S. Laurent, J. V. K. Rombouts, and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Laurent20131,
    author={Laurent, S. and Rombouts, J.V.K. and Violante, F.},
    title={On loss functions and ranking forecasting performances of multivariate volatility models},
    journal={Journal of Econometrics},
    year={2013},
    volume={173},
    number={1},
    pages={1-10},
    doi={10.1016/j.jeconom.2012.08.004},
    note={cited By 56},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84872978263&doi=10.1016%2fj.jeconom.2012.08.004&partnerID=40&md5=fa167deddf1e0821f7ee805e56ce0a91},
    document_type={Article},
    source={Scopus},
    }
  • Default, liquidity, and crises: an econometric framework

    Journal of financial econometrics, vol. 11, iss. 2, pp. 221-262, 2013.

    By A. Monfort and J. -P. Renne

    [DOI] [Bibtex]

    @ARTICLE{Monfort2013221,
    author={Monfort, A. and Renne, J.-P.},
    title={Default, liquidity, and crises: An econometric framework},
    journal={Journal of Financial Econometrics},
    year={2013},
    volume={11},
    number={2},
    pages={221-262},
    doi={10.1093/jjfinec/nbs020},
    art_number={nbs020},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84875255758&doi=10.1093%2fjjfinec%2fnbs020&partnerID=40&md5=15a0f8aa4ce0742ad76f2b29b8b5e3c3},
    document_type={Article},
    source={Scopus},
    }

2012

  • The sixth special issue on computational econometrics

    Computational statistics and data analysis, vol. 56, iss. 11, pp. 3307-3308, 2012.

    By D. A. Belsley, C. W. S. Chen, C. Francq, G. Gallo, L. Khalaf, E. J. Kontoghiorghes, and H. K. Van Dijk

    [DOI] [Bibtex]

    @EDITORIAL{Belsley20123307,
    author={Belsley, D.A. and Chen, C.W.S. and Francq, C. and Gallo, G. and Khalaf, L. and Kontoghiorghes, E.J. and Van Dijk, H.K.},
    title={The sixth special issue on computational econometrics},
    journal={Computational Statistics and Data Analysis},
    year={2012},
    volume={56},
    number={11},
    pages={3307-3308},
    doi={10.1016/j.csda.2012.04.005},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862011172&doi=10.1016%2fj.csda.2012.04.005&partnerID=40&md5=e0e71f264e334e299fadd578e36d4743},
    document_type={Editorial},
    source={Scopus},
    }
  • The annals of computational and financial econometrics, first issue

    Computational statistics and data analysis, vol. 56, iss. 11, pp. 2991-2992, 2012.

    By D. A. Belsley, E. J. Kontoghiorghes, H. K. Van Dijk, L. Bauwens, S. J. Koopman, M. McAleer, A. Amendola, M. Billio, C. Croux, C. W. S. Chen, R. Davidson, P. Duchesne, P. Foschi, C. Francq, A. -M. Fuertes, G. Koop, L. Khalaf, M. Paolella, D. S. G. Pollock, E. Ruiz, R. Paap, T. Proietti, P. Winker, P. L. H. Yu, J. -M. Zakoian, and A. Zeileis

    [DOI] [Bibtex]

    @EDITORIAL{Belsley20122991,
    author={Belsley, D.A. and Kontoghiorghes, E.J. and Van Dijk, H.K. and Bauwens, L. and Koopman, S.J. and McAleer, M. and Amendola, A. and Billio, M. and Croux, C. and Chen, C.W.S. and Davidson, R. and Duchesne, P. and Foschi, P. and Francq, C. and Fuertes, A.-M. and Koop, G. and Khalaf, L. and Paolella, M. and Pollock, D.S.G. and Ruiz, E. and Paap, R. and Proietti, T. and Winker, P. and Yu, P.L.H. and Zakoian, J.-M. and Zeileis, A.},
    title={The Annals of Computational and Financial Econometrics, first issue},
    journal={Computational Statistics and Data Analysis},
    year={2012},
    volume={56},
    number={11},
    pages={2991-2992},
    doi={10.1016/j.csda.2012.04.004},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862016370&doi=10.1016%2fj.csda.2012.04.004&partnerID=40&md5=6eae9ea60f78c95ca6aed5b122c7a3fe},
    document_type={Editorial},
    source={Scopus},
    }
  • Computing and estimating information matrices of weak arma models

    Computational statistics and data analysis, vol. 56, iss. 2, pp. 345-361, 2012.

    By Y. Boubacar Mainassara, M. Carbon, and C. Francq

    [DOI] [Bibtex]

    @ARTICLE{BoubacarMainassara2012345,
    author={Boubacar Mainassara, Y. and Carbon, M. and Francq, C.},
    title={Computing and estimating information matrices of weak ARMA models},
    journal={Computational Statistics and Data Analysis},
    year={2012},
    volume={56},
    number={2},
    pages={345-361},
    doi={10.1016/j.csda.2011.07.006},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053238453&doi=10.1016%2fj.csda.2011.07.006&partnerID=40&md5=17e7ba584a2ee34cdf3271ba13e2adc4},
    document_type={Article},
    source={Scopus},
    }
  • Time-dependent copulas

    Journal of multivariate analysis, vol. 110, pp. 19-29, 2012.

    By J. -D. Fermanian and M. H. Wegkamp

    [DOI] [Bibtex]

    @ARTICLE{Fermanian201219,
    author={Fermanian, J.-D. and Wegkamp, M.H.},
    title={Time-dependent copulas},
    journal={Journal of Multivariate Analysis},
    year={2012},
    volume={110},
    pages={19-29},
    doi={10.1016/j.jmva.2012.02.018},
    note={cited By 33},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84862000228&doi=10.1016%2fj.jmva.2012.02.018&partnerID=40&md5=2b196ecc700bbf80c85802e389a6fea9},
    document_type={Article},
    source={Scopus},
    }
  • Strict stationarity testing and estimation of explosive and stationary generalized autoregressive conditional heteroscedasticity models

    Econometrica, vol. 80, iss. 2, pp. 821-861, 2012.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2012821,
    author={Francq, C. and Zakoian, J.-M.},
    title={Strict Stationarity Testing and Estimation of Explosive and Stationary Generalized Autoregressive Conditional Heteroscedasticity Models},
    journal={Econometrica},
    year={2012},
    volume={80},
    number={2},
    pages={821-861},
    doi={10.3982/ECTA9405},
    note={cited By 40},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84858599878&doi=10.3982%2fECTA9405&partnerID=40&md5=bd3c453094b5230e1687f09f947e7ee0},
    document_type={Article},
    source={Scopus},
    }
  • Qml estimation of a class of multivariate asymmetric garch models

    Econometric theory, vol. 28, iss. 1, pp. 179-206, 2012.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2012179,
    author={Francq, C. and Zakoian, J.-M.},
    title={QML estimation of a class of multivariate asymmetric GARCH models},
    journal={Econometric Theory},
    year={2012},
    volume={28},
    number={1},
    pages={179-206},
    doi={10.1017/S0266466611000156},
    note={cited By 26},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84857335523&doi=10.1017%2fS0266466611000156&partnerID=40&md5=6cc87e92302bf6597e03e8d56653d47a},
    document_type={Article},
    source={Scopus},
    }
  • Microinformation, nonlinear filtering, and granularity

    Journal of financial econometrics, vol. 10, iss. 1, pp. 1-53, 2012.

    By P. Gagliardini, C. Gourieroux, and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini20121,
    author={Gagliardini, P. and Gourieroux, C. and Monfort, A.},
    title={Microinformation, nonlinear filtering, and granularity},
    journal={Journal of Financial Econometrics},
    year={2012},
    volume={10},
    number={1},
    pages={1-53},
    doi={10.1093/jjfinec/nbr010},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84855407558&doi=10.1093%2fjjfinec%2fnbr010&partnerID=40&md5=f42ab724122e9f76025dd47b0c30e14d},
    document_type={Article},
    source={Scopus},
    }
  • Granularity adjustment for default risk factor model with cohorts

    Journal of banking and finance, vol. 36, iss. 5, pp. 1464-1477, 2012.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20121464,
    author={Gourieroux, C. and Jasiak, J.},
    title={Granularity adjustment for default risk factor model with cohorts},
    journal={Journal of Banking and Finance},
    year={2012},
    volume={36},
    number={5},
    pages={1464-1477},
    doi={10.1016/j.jbankfin.2011.12.013},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84858284581&doi=10.1016%2fj.jbankfin.2011.12.013&partnerID=40&md5=6c71ce91b07878e7bc2ba72d1eaa0323},
    document_type={Article},
    source={Scopus},
    }
  • Converting tail-var to var: an econometric study

    Journal of financial econometrics, vol. 10, iss. 2, pp. 233-264, 2012.

    By C. Gourieroux and W. Liu

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2012233,
    author={Gourieroux, C. and Liu, W.},
    title={Converting Tail-VaR to VaR: An econometric study},
    journal={Journal of Financial Econometrics},
    year={2012},
    volume={10},
    number={2},
    pages={233-264},
    doi={10.1093/jjfinec/nbs001},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84863270762&doi=10.1093%2fjjfinec%2fnbs001&partnerID=40&md5=88877fa1ef5a88626c8f78e00f25d831},
    document_type={Article},
    source={Scopus},
    }
  • Bilateral exposures and systemic solvency risk

    Canadian journal of economics, vol. 45, iss. 4, pp. 1273-1309, 2012.

    By C. Gourieroux, J. -C. Heam, and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20121273,
    author={Gourieroux, C. and Heam, J.-C. and Monfort, A.},
    title={Bilateral exposures and systemic solvency risk},
    journal={Canadian Journal of Economics},
    year={2012},
    volume={45},
    number={4},
    pages={1273-1309},
    doi={10.1111/j.1540-5982.2012.01750.x},
    note={cited By 19},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84874746866&doi=10.1111%2fj.1540-5982.2012.01750.x&partnerID=40&md5=022cdb902fd0990deabf57622b1e6494},
    document_type={Article},
    source={Scopus},
    }
  • Credit risk with asymmetric information on the default threshold

    Stochastics, vol. 84, iss. 2-3, pp. 183-198, 2012.

    By C. Hillairet and Y. Jiao

    [DOI] [Bibtex]

    @ARTICLE{Hillairet2012183,
    author={Hillairet, C. and Jiao, Y.},
    title={Credit risk with asymmetric information on the default threshold},
    journal={Stochastics},
    year={2012},
    volume={84},
    number={2-3},
    pages={183-198},
    doi={10.1080/17442508.2011.575944},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860345837&doi=10.1080%2f17442508.2011.575944&partnerID=40&md5=4d5136f760efbfe83c6aae39bb10e92e},
    document_type={Article},
    source={Scopus},
    }
  • On the forecasting accuracy of multivariate garch models

    Journal of applied econometrics, vol. 27, iss. 6, pp. 934-955, 2012.

    By S. Laurent, J. V. K. Rombouts, and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Laurent2012934,
    author={Laurent, S. and Rombouts, J.V.K. and Violante, F.},
    title={On the forecasting accuracy of multivariate GARCH models},
    journal={Journal of Applied Econometrics},
    year={2012},
    volume={27},
    number={6},
    pages={934-955},
    doi={10.1002/jae.1248},
    note={cited By 102},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84866454518&doi=10.1002%2fjae.1248&partnerID=40&md5=ff943be5bcc8fbe318bee31470de1514},
    document_type={Article},
    source={Scopus},
    }
  • Volatility forecasts evaluation and comparison

    Wiley interdisciplinary reviews: computational statistics, vol. 4, iss. 1, pp. 1-12, 2012.

    By S. Laurent and F. Violante

    [DOI] [Bibtex]

    @ARTICLE{Laurent20121,
    author={Laurent, S. and Violante, F.},
    title={Volatility forecasts evaluation and comparison},
    journal={Wiley Interdisciplinary Reviews: Computational Statistics},
    year={2012},
    volume={4},
    number={1},
    pages={1-12},
    doi={10.1002/wics.190},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860397641&doi=10.1002%2fwics.190&partnerID=40&md5=6aecd124c73c52fb801b766013112acd},
    document_type={Review},
    source={Scopus},
    }
  • Joint econometric modeling of spot electricity prices, forwards and options

    Review of derivatives research, vol. 15, iss. 3, pp. 217-256, 2012.

    By A. Monfort and O. Feron

    [DOI] [Bibtex]

    @ARTICLE{Monfort2012217,
    author={Monfort, A. and Feron, O.},
    title={Joint econometric modeling of spot electricity prices, forwards and options},
    journal={Review of Derivatives Research},
    year={2012},
    volume={15},
    number={3},
    pages={217-256},
    doi={10.1007/s11147-012-9075-z},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84866441766&doi=10.1007%2fs11147-012-9075-z&partnerID=40&md5=88e77488e8b6d93d8e28191b25583842},
    document_type={Article},
    source={Scopus},
    }
  • Asset pricing with second-order esscher transforms

    Journal of banking and finance, vol. 36, iss. 6, pp. 1678-1687, 2012.

    By A. Monfort and F. Pegoraro

    [DOI] [Bibtex]

    @ARTICLE{Monfort20121678,
    author={Monfort, A. and Pegoraro, F.},
    title={Asset pricing with Second-Order Esscher Transforms},
    journal={Journal of Banking and Finance},
    year={2012},
    volume={36},
    number={6},
    pages={1678-1687},
    doi={10.1016/j.jbankfin.2012.01.014},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859636881&doi=10.1016%2fj.jbankfin.2012.01.014&partnerID=40&md5=cb2e55c1f285c01cacd4790ee6d50811},
    document_type={Article},
    source={Scopus},
    }

2011

  • A finite-dimensional approximation for pricing moving average options

    Siam journal on financial mathematics, vol. 2, iss. 1, pp. 989-1013, 2011.

    By M. Bernhart, P. Tankov, and X. Warin

    [DOI] [Bibtex]

    @ARTICLE{Bernhart2011989,
    author={Bernhart, M. and Tankov, P. and Warin, X.},
    title={A finite-dimensional approximation for pricing moving average options},
    journal={SIAM Journal on Financial Mathematics},
    year={2011},
    volume={2},
    number={1},
    pages={989-1013},
    doi={10.1137/100815566},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871069787&doi=10.1137%2f100815566&partnerID=40&md5=ce1f17736b5e33294f0f39f2fc1ce55b},
    document_type={Article},
    source={Scopus},
    }
  • Estimating structural varma models with uncorrelated but non-independent error terms

    Journal of multivariate analysis, vol. 102, iss. 3, pp. 496-505, 2011.

    By Y. Boubacar Mainassara and C. Francq

    [DOI] [Bibtex]

    @ARTICLE{BoubacarMainassara2011496,
    author={Boubacar Mainassara, Y. and Francq, C.},
    title={Estimating structural VARMA models with uncorrelated but non-independent error terms},
    journal={Journal of Multivariate Analysis},
    year={2011},
    volume={102},
    number={3},
    pages={496-505},
    doi={10.1016/j.jmva.2010.10.009},
    note={cited By 23},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651257946&doi=10.1016%2fj.jmva.2010.10.009&partnerID=40&md5=28e194e550090631f049ab96a5593145},
    document_type={Article},
    source={Scopus},
    }
  • Tracking errors from discrete hedging in exponential levy models

    International journal of theoretical and applied finance, vol. 14, iss. 6, pp. 803-837, 2011.

    By M. Broden and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Broden2011803,
    author={Broden, M. and Tankov, P.},
    title={Tracking errors from discrete hedging in exponential Levy models},
    journal={International Journal of Theoretical and Applied Finance},
    year={2011},
    volume={14},
    number={6},
    pages={803-837},
    doi={10.1142/S0219024911006760},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053418772&doi=10.1142%2fS0219024911006760&partnerID=40&md5=33503f2971d7b474b878f06bc1c2a5ce},
    document_type={Article},
    source={Scopus},
    }
  • Preface

    Lecture notes in mathematics, vol. 2003, p. v-vi, 2011.

    By A. Cousin, J. -M. Lasry, S. Crepey, J. -P. Laurent, O. Gueant, P. -L. Lions, D. Hobson, P. Tankov, and M. Jeanblanc

    [Bibtex]

    @EDITORIAL{Cousin2011v,
    author={Cousin, A. and Lasry, J.-M. and Crepey, S. and Laurent, J.-P. and Gueant, O. and Lions, P.-L. and Hobson, D. and Tankov, P. and Jeanblanc, M.},
    title={Preface},
    journal={Lecture Notes in Mathematics},
    year={2011},
    volume={2003},
    pages={v-vi},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-85072856742&partnerID=40&md5=22fea6d80f6db2247e6e16f386cbab51},
    document_type={Editorial},
    source={Scopus},
    }
  • Optimal consumption policies in illiquid markets

    Finance and stochastics, vol. 15, iss. 1, pp. 85-115, 2011.

    By A. Cretarola, F. Gozzi, H. Pham, and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cretarola201185,
    author={Cretarola, A. and Gozzi, F. and Pham, H. and Tankov, P.},
    title={Optimal consumption policies in illiquid markets},
    journal={Finance and Stochastics},
    year={2011},
    volume={15},
    number={1},
    pages={85-115},
    doi={10.1007/s00780-010-0123-y},
    note={cited By 9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651447545&doi=10.1007%2fs00780-010-0123-y&partnerID=40&md5=d33a1f2b00fa395e5f42d2e2ba30be4e},
    document_type={Article},
    source={Scopus},
    }
  • Portfolio insurance under a risk-measure constraint

    Insurance: mathematics and economics, vol. 49, iss. 3, pp. 361-370, 2011.

    By C. De Franco and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{DeFranco2011361,
    author={De Franco, C. and Tankov, P.},
    title={Portfolio insurance under a risk-measure constraint},
    journal={Insurance: Mathematics and Economics},
    year={2011},
    volume={49},
    number={3},
    pages={361-370},
    doi={10.1016/j.insmatheco.2011.05.009},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79959663154&doi=10.1016%2fj.insmatheco.2011.05.009&partnerID=40&md5=96db70397b76537222bc52b29658289a},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotic properties of weighted least squares estimation in weak parma models

    Journal of time series analysis, vol. 32, iss. 6, pp. 699-723, 2011.

    By C. Francq, R. Roy, and A. Saidi

    [DOI] [Bibtex]

    @ARTICLE{Francq2011699,
    author={Francq, C. and Roy, R. and Saidi, A.},
    title={Asymptotic properties of weighted least squares estimation in weak PARMA models},
    journal={Journal of Time Series Analysis},
    year={2011},
    volume={32},
    number={6},
    pages={699-723},
    doi={10.1111/j.1467-9892.2011.00728.x},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053927899&doi=10.1111%2fj.1467-9892.2011.00728.x&partnerID=40&md5=496cf0b44d7a68783fa01a3e828e6b3a},
    document_type={Article},
    source={Scopus},
    }
  • Merits and drawbacks of variance targeting in garch models

    Journal of financial econometrics, vol. 9, iss. 4, pp. 619-656, 2011.

    By C. Francq, L. Horváth, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2011619,
    author={Francq, C. and Horváth, L. and Zakoian, J.-M.},
    title={Merits and drawbacks of variance targeting in GARCH models},
    journal={Journal of Financial Econometrics},
    year={2011},
    volume={9},
    number={4},
    pages={619-656},
    doi={10.1093/jjfinec/nbr004},
    note={cited By 34},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80053192102&doi=10.1093%2fjjfinec%2fnbr004&partnerID=40&md5=3397fbfa50ac0f898dc6754378ff5637},
    document_type={Article},
    source={Scopus},
    }
  • Two-stage non gaussian qml estimation of garch models and testing the efficiency of the gaussian qmle

    Journal of econometrics, vol. 165, iss. 2, pp. 246-257, 2011.

    By C. Francq, G. Lepage, and J. -M. Zakoan

    [DOI] [Bibtex]

    @ARTICLE{Francq2011246,
    author={Francq, C. and Lepage, G. and Zakoan, J.-M.},
    title={Two-stage non Gaussian QML estimation of GARCH models and testing the efficiency of the Gaussian QMLE},
    journal={Journal of Econometrics},
    year={2011},
    volume={165},
    number={2},
    pages={246-257},
    doi={10.1016/j.jeconom.2011.08.001},
    note={cited By 23},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80054701924&doi=10.1016%2fj.jeconom.2011.08.001&partnerID=40&md5=01e040097824302f9891ace1151486bc},
    document_type={Article},
    source={Scopus},
    }
  • Efficient derivative pricing by the extended method of moments

    Econometrica, vol. 79, iss. 4, pp. 1181-1232, 2011.

    By P. Gagliardini, C. Gourieroux, and E. Renault

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini20111181,
    author={Gagliardini, P. and Gourieroux, C. and Renault, E.},
    title={Efficient derivative pricing by the extended method of moments},
    journal={Econometrica},
    year={2011},
    volume={79},
    number={4},
    pages={1181-1232},
    doi={10.3982/ECTA7192},
    note={cited By 26},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79959908854&doi=10.3982%2fECTA7192&partnerID=40&md5=51c2ed18e884180c85caf03d302063c0},
    document_type={Article},
    source={Scopus},
    }
  • Approximate derivative pricing for large classes of homogeneous assets with systematic risk

    Journal of financial econometrics, vol. 9, iss. 2, pp. 237-280, 2011.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini2011237,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Approximate derivative pricing for large classes of homogeneous assets with systematic risk},
    journal={Journal of Financial Econometrics},
    year={2011},
    volume={9},
    number={2},
    pages={237-280},
    doi={10.1093/jjfinec/nbr001},
    art_number={nbr001},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79954624861&doi=10.1093%2fjjfinec%2fnbr001&partnerID=40&md5=f4325c05c93ac15ba5999e56f74e652c},
    document_type={Article},
    source={Scopus},
    }
  • The econometrics of individual risk: credit, insurance, and marketing

    The econometrics of individual risk: credit, insurance, and marketing, , pp. 1-241, 2011.

    By C. Gourieroux and J. Jasiak

    [Bibtex]

    @BOOK{Gourieroux20111,
    author={Gourieroux, C. and Jasiak, J.},
    title={The econometrics of individual risk: Credit, insurance, and marketing},
    journal={The Econometrics of Individual Risk: Credit, Insurance, and Marketing},
    year={2011},
    pages={1-241},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84923990963&partnerID=40&md5=50349a43b2c896890eacdbfd234fbfc4},
    document_type={Book},
    source={Scopus},
    }
  • The econometrics of individual risk: credit, insurance, and marketing

    The econometrics of individual risk: credit, insurance, and marketing, , 2011.

    By C. Gourieroux and J. Jasiak

    [Bibtex]

    @BOOK{Gourieroux2011,
    author={Gourieroux, C. and Jasiak, J.},
    title={The econometrics of individual risk: Credit, insurance, and marketing},
    journal={The Econometrics of Individual Risk: Credit, Insurance, and Marketing},
    year={2011},
    page_count={241},
    note={cited By 9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-37049032289&partnerID=40&md5=4670907f82292e24183701c88225ed8e},
    document_type={Book},
    source={Scopus},
    }
  • Discrete time wishart term structure models

    Journal of economic dynamics and control, vol. 35, iss. 6, pp. 815-824, 2011.

    By C. Gourieroux and R. Sufana

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2011815,
    author={Gourieroux, C. and Sufana, R.},
    title={Discrete time Wishart term structure models},
    journal={Journal of Economic Dynamics and Control},
    year={2011},
    volume={35},
    number={6},
    pages={815-824},
    doi={10.1016/j.jedc.2011.01.007},
    note={cited By 14},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79953287012&doi=10.1016%2fj.jedc.2011.01.007&partnerID=40&md5=0c4d47699031a3192521e0d0d8fc5a94},
    document_type={Article},
    source={Scopus},
    }
  • Domain restrictions on interest rates implied by no arbitrage

    Mathematical finance, vol. 21, iss. 2, pp. 281-291, 2011.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2011281,
    author={Gourieroux, C. and Monfort, A.},
    title={Domain Restrictions On Interest Rates Implied By No Arbitrage},
    journal={Mathematical Finance},
    year={2011},
    volume={21},
    number={2},
    pages={281-291},
    doi={10.1111/j.1467-9965.2010.00429.x},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79851479819&doi=10.1111%2fj.1467-9965.2010.00429.x&partnerID=40&md5=afb2ffc5120593c972007f35f3eef4c7},
    document_type={Article},
    source={Scopus},
    }
  • Bilinear term structure model

    Mathematical finance, vol. 21, iss. 1, pp. 1-19, 2011.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20111,
    author={Gourieroux, C. and Monfort, A.},
    title={Bilinear term structure model},
    journal={Mathematical Finance},
    year={2011},
    volume={21},
    number={1},
    pages={1-19},
    doi={10.1111/j.1467-9965.2010.00424.x},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78650116712&doi=10.1111%2fj.1467-9965.2010.00424.x&partnerID=40&md5=ced5c242c2cd906f82f820d655a1ffef},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotic properties of ls and qml estimators for a class of nonlinear garch processes

    Journal of statistical planning and inference, vol. 141, iss. 1, pp. 488-507, 2011.

    By T. Hamadeh and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Hamadeh2011488,
    author={Hamadeh, T. and Zakoian, J.-M.},
    title={Asymptotic properties of LS and QML estimators for a class of nonlinear GARCH processes},
    journal={Journal of Statistical Planning and Inference},
    year={2011},
    volume={141},
    number={1},
    pages={488-507},
    doi={10.1016/j.jspi.2010.06.026},
    note={cited By 26},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956278644&doi=10.1016%2fj.jspi.2010.06.026&partnerID=40&md5=c6f875ef23276400b005baa86db60d90},
    document_type={Article},
    source={Scopus},
    }
  • Information asymmetry in pricing of credit derivatives

    International journal of theoretical and applied finance, vol. 14, iss. 5, pp. 611-633, 2011.

    By C. Hillairet and Y. Jiao

    [DOI] [Bibtex]

    @ARTICLE{Hillairet2011611,
    author={Hillairet, C. and Jiao, Y.},
    title={Information asymmetry in pricing of credit derivatives},
    journal={International Journal of Theoretical and Applied Finance},
    year={2011},
    volume={14},
    number={5},
    pages={611-633},
    doi={10.1142/S0219024911006413},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84860400360&doi=10.1142%2fS0219024911006413&partnerID=40&md5=5f68d185c963aca137ab6bb2fd7ed09b},
    document_type={Article},
    source={Scopus},
    }
  • Fourth order pseudo maximum likelihood methods

    Journal of econometrics, vol. 162, iss. 2, pp. 278-293, 2011.

    By A. Holly, A. Monfort, and M. Rockinger

    [DOI] [Bibtex]

    @ARTICLE{Holly2011278,
    author={Holly, A. and Monfort, A. and Rockinger, M.},
    title={Fourth order pseudo maximum likelihood methods},
    journal={Journal of Econometrics},
    year={2011},
    volume={162},
    number={2},
    pages={278-293},
    doi={10.1016/j.jeconom.2011.01.004},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79955072472&doi=10.1016%2fj.jeconom.2011.01.004&partnerID=40&md5=a0301cdef77c05af178b5854e8cce7bf},
    document_type={Article},
    source={Scopus},
    }
  • Arbitrage opportunities in misspecified stochastic volatility models

    Siam journal on financial mathematics, vol. 2, iss. 1, pp. 317-341, 2011.

    By R. P. Jena and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Jena2011317,
    author={Jena, R.P. and Tankov, P.},
    title={Arbitrage opportunities in misspecified stochastic volatility models},
    journal={SIAM Journal on Financial Mathematics},
    year={2011},
    volume={2},
    number={1},
    pages={317-341},
    doi={10.1137/100786678},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84871081161&doi=10.1137%2f100786678&partnerID=40&md5=b5e05f30658fc7244094e3217a6f9679},
    document_type={Article},
    source={Scopus},
    }
  • Hedging default risks of cdos in markovian contagion models

    Quantitative finance, vol. 11, iss. 12, pp. 1773-1791, 2011.

    By J. -P. Laurent, A. Cousin, and J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Laurent20111773,
    author={Laurent, J.-P. and Cousin, A. and Fermanian, J.-D.},
    title={Hedging default risks of CDOs in Markovian contagion models},
    journal={Quantitative Finance},
    year={2011},
    volume={11},
    number={12},
    pages={1773-1791},
    doi={10.1080/14697680903390126},
    note={cited By 13},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859224548&doi=10.1080%2f14697680903390126&partnerID=40&md5=ca8f162361e75f8624dc819072d85617},
    document_type={Article},
    source={Scopus},
    }
  • Buyer power and intrabrand coordination

    Journal of the european economic association, vol. 9, iss. 4, pp. 721-741, 2011.

    By J. Miklós-Thal, P. Rey, and T. Verge

    [DOI] [Bibtex]

    @ARTICLE{Miklós-Thal2011721,
    author={Miklós-Thal, J. and Rey, P. and Verge, T.},
    title={Buyer power and intrabrand coordination},
    journal={Journal of the European Economic Association},
    year={2011},
    volume={9},
    number={4},
    pages={721-741},
    doi={10.1111/j.1542-4774.2011.01019.x},
    note={cited By 36},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79960046194&doi=10.1111%2fj.1542-4774.2011.01019.x&partnerID=40&md5=68b17e12248a47f03c2898aa0c6d1875},
    document_type={Article},
    source={Scopus},
    }
  • A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices

    Energy economics, vol. 33, iss. 6, pp. 1240-1251, 2011.

    By N. Regnard and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Regnard20111240,
    author={Regnard, N. and Zakoian, J.-M.},
    title={A conditionally heteroskedastic model with time-varying coefficients for daily gas spot prices},
    journal={Energy Economics},
    year={2011},
    volume={33},
    number={6},
    pages={1240-1251},
    doi={10.1016/j.eneco.2011.02.004},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80755189038&doi=10.1016%2fj.eneco.2011.02.004&partnerID=40&md5=e70491f2220cf6cb6b845308a2be8a35},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotic results for time-changed levy processes sampled at hitting times

    Stochastic processes and their applications, vol. 121, iss. 7, pp. 1607-1632, 2011.

    By M. Rosenbaum and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Rosenbaum20111607,
    author={Rosenbaum, M. and Tankov, P.},
    title={Asymptotic results for time-changed Levy processes sampled at hitting times},
    journal={Stochastic Processes and their Applications},
    year={2011},
    volume={121},
    number={7},
    pages={1607-1632},
    doi={10.1016/j.spa.2011.03.013},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79956199041&doi=10.1016%2fj.spa.2011.03.013&partnerID=40&md5=ca139cd3069425d9cd23cb0a85b13690},
    document_type={Article},
    source={Scopus},
    }
  • Improved frechet bounds and model-free pricing of multi-asset options

    Journal of applied probability, vol. 48, iss. 2, pp. 389-403, 2011.

    By P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Tankov2011389,
    author={Tankov, P.},
    title={Improved frechet bounds and model-free pricing of multi-asset options},
    journal={Journal of Applied Probability},
    year={2011},
    volume={48},
    number={2},
    pages={389-403},
    doi={10.1239/jap/1308662634},
    note={cited By 40},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-80054875295&doi=10.1239%2fjap%2f1308662634&partnerID=40&md5=733e0144953d58ad7893b759c1abffb0},
    document_type={Article},
    source={Scopus},
    }
  • Pricing and hedging in exponential levy models: review of recent results

    Lecture notes in mathematics, vol. 2003, pp. 319-359, 2011.

    By P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Tankov2011319,
    author={Tankov, P.},
    title={Pricing and hedging in exponential Levy models: Review of recent results},
    journal={Lecture Notes in Mathematics},
    year={2011},
    volume={2003},
    pages={319-359},
    doi={10.1007/978-3-642-14660-2_5},
    note={cited By 34},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77958474311&doi=10.1007%2f978-3-642-14660-2_5&partnerID=40&md5=af89646af6661ac0b04b5a83aa2bec57},
    document_type={Article},
    source={Scopus},
    }

2010

  • Asymptotic normality of frequency polygons for random fields

    Journal of statistical planning and inference, vol. 140, iss. 2, pp. 502-514, 2010.

    By M. Carbon, C. Francq, and L. Tat Tran

    [DOI] [Bibtex]

    @ARTICLE{Carbon2010502,
    author={Carbon, M. and Francq, C. and Tat Tran, L.},
    title={Asymptotic normality of frequency polygons for random fields},
    journal={Journal of Statistical Planning and Inference},
    year={2010},
    volume={140},
    number={2},
    pages={502-514},
    doi={10.1016/j.jspi.2009.07.028},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350621611&doi=10.1016%2fj.jspi.2009.07.028&partnerID=40&md5=c6f396a0e8c1d5ab758be9fdae4693dd},
    document_type={Article},
    source={Scopus},
    }
  • Properties of nested sampling

    Biometrika, vol. 97, iss. 3, pp. 741-755, 2010.

    By N. Chopin and C. P. Robert

    [DOI] [Bibtex]

    @ARTICLE{Chopin2010741,
    author={Chopin, N. and Robert, C.P.},
    title={Properties of nested sampling},
    journal={Biometrika},
    year={2010},
    volume={97},
    number={3},
    pages={741-755},
    doi={10.1093/biomet/asq021},
    note={cited By 49},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955861158&doi=10.1093%2fbiomet%2fasq021&partnerID=40&md5=cc05fc1a85b552e1b5c326d62949bd07},
    document_type={Article},
    source={Scopus},
    }
  • Combining nonparametric and optimal linear time series predictions

    Journal of the american statistical association, vol. 105, iss. 492, pp. 1554-1565, 2010.

    By S. Dabo-Niang, C. Francq, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Dabo-Niang20101554,
    author={Dabo-Niang, S. and Francq, C. and Zakoian, J.-M.},
    title={Combining nonparametric and optimal linear time series predictions},
    journal={Journal of the American Statistical Association},
    year={2010},
    volume={105},
    number={492},
    pages={1554-1565},
    doi={10.1198/jasa.2010.tm09549},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78651311765&doi=10.1198%2fjasa.2010.tm09549&partnerID=40&md5=8a270f33c2d3bdfbfd4b6614eed50b3c},
    document_type={Article},
    source={Scopus},
    }
  • Conditionally fitted sharpe performance with an application to hedge fund rating

    Journal of banking and finance, vol. 34, iss. 3, pp. 578-593, 2010.

    By S. Darolles and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Darolles2010578,
    author={Darolles, S. and Gourieroux, C.},
    title={Conditionally fitted Sharpe performance with an application to hedge fund rating},
    journal={Journal of Banking and Finance},
    year={2010},
    volume={34},
    number={3},
    pages={578-593},
    doi={10.1016/j.jbankfin.2009.08.025},
    note={cited By 16},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-74149085975&doi=10.1016%2fj.jbankfin.2009.08.025&partnerID=40&md5=70305da2f0efd1c5bcd819d50a19af64},
    document_type={Article},
    source={Scopus},
    }
  • Inconsistency of the mle and inference based on weighted ls for larch models

    Journal of econometrics, vol. 159, iss. 1, pp. 151-165, 2010.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2010151,
    author={Francq, C. and Zakoian, J.-M.},
    title={Inconsistency of the MLE and inference based on weighted LS for LARCH models},
    journal={Journal of Econometrics},
    year={2010},
    volume={159},
    number={1},
    pages={151-165},
    doi={10.1016/j.jeconom.2010.05.003},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84755161373&doi=10.1016%2fj.jeconom.2010.05.003&partnerID=40&md5=ca67daa17c496f52bd7020991e29526e},
    document_type={Article},
    source={Scopus},
    }
  • Sup-tests for linearity in a general nonlinear ar(1) model

    Econometric theory, vol. 26, iss. 4, pp. 965-993, 2010.

    By C. Francq, L. Horvath, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2010965,
    author={Francq, C. and Horvath, L. and Zakoian, J.-M.},
    title={Sup-tests for linearity in a general nonlinear AR(1) model},
    journal={Econometric Theory},
    year={2010},
    volume={26},
    number={4},
    pages={965-993},
    doi={10.1017/S0266466609990430},
    note={cited By 10},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77957283222&doi=10.1017%2fS0266466609990430&partnerID=40&md5=3e60a015551f06d06bc511f58705bc61},
    document_type={Article},
    source={Scopus},
    }
  • Garch models: structure, statistical inference and financial applications

    Garch models: structure, statistical inference and financial applications, , 2010.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @BOOK{Francq2010,
    author={Francq, C. and Zakoian, J.-M.},
    title={GARCH Models: Structure, Statistical Inference and Financial Applications},
    journal={GARCH Models: Structure, Statistical Inference and Financial Applications},
    year={2010},
    page_count={489},
    doi={10.1002/9780470670057},
    note={cited By 335},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84891583720&doi=10.1002%2f9780470670057&partnerID=40&md5=1cda1ba18505c20762a76ca00db3d950},
    document_type={Book},
    source={Scopus},
    }
  • Local likelihood density estimation and value-at-risk

    Journal of probability and statistics, , 2010.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2010,
    author={Gourieroux, C. and Jasiak, J.},
    title={Local likelihood density estimation and value-at-risk},
    journal={Journal of Probability and Statistics},
    year={2010},
    doi={10.1155/2010/754851},
    art_number={754851},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84859199027&doi=10.1155%2f2010%2f754851&partnerID=40&md5=b42a299e8251e09cff0f94225313e6f8},
    document_type={Article},
    source={Scopus},
    }
  • International money and stock market contingent claims

    Journal of international money and finance, vol. 29, iss. 8, pp. 1727-1751, 2010.

    By C. Gourieroux, A. Monfort, and R. Sufana

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20101727,
    author={Gourieroux, C. and Monfort, A. and Sufana, R.},
    title={International money and stock market contingent claims},
    journal={Journal of International Money and Finance},
    year={2010},
    volume={29},
    number={8},
    pages={1727-1751},
    doi={10.1016/j.jimonfin.2010.06.001},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78149470599&doi=10.1016%2fj.jimonfin.2010.06.001&partnerID=40&md5=a46527c1997904d4f4bcd7b6a50e2168},
    document_type={Article},
    source={Scopus},
    }
  • Derivative pricing with wishart multivariate stochastic volatility

    Journal of business and economic statistics, vol. 28, iss. 3, pp. 438-451, 2010.

    By C. Gourieroux and R. Sufana

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2010438,
    author={Gourieroux, C. and Sufana, R.},
    title={Derivative pricing with wishart multivariate stochastic volatility},
    journal={Journal of Business and Economic Statistics},
    year={2010},
    volume={28},
    number={3},
    pages={438-451},
    doi={10.1198/jbes.2009.08105},
    note={cited By 47},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78649406765&doi=10.1198%2fjbes.2009.08105&partnerID=40&md5=9b92bed4862305dd376c01fab9acbbc6},
    document_type={Article},
    source={Scopus},
    }
  • Indirect inference for dynamic panel models

    Journal of econometrics, vol. 157, iss. 1, pp. 68-77, 2010.

    By C. Gourieroux, P. C. B. Phillips, and J. Yu

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux201068,
    author={Gourieroux, C. and Phillips, P.C.B. and Yu, J.},
    title={Indirect inference for dynamic panel models},
    journal={Journal of Econometrics},
    year={2010},
    volume={157},
    number={1},
    pages={68-77},
    doi={10.1016/j.jeconom.2009.10.024},
    note={cited By 51},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-79951935104&doi=10.1016%2fj.jeconom.2009.10.024&partnerID=40&md5=49f8d0f445d40323731ada6694c22458},
    document_type={Conference Paper},
    source={Scopus},
    }
  • Jump-adapted discretization schemes for levy-driven sdes

    Stochastic processes and their applications, vol. 120, iss. 11, pp. 2258-2285, 2010.

    By A. Kohatsu-Higa and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Kohatsu-Higa20102258,
    author={Kohatsu-Higa, A. and Tankov, P.},
    title={Jump-adapted discretization schemes for Levy-driven SDEs},
    journal={Stochastic Processes and their Applications},
    year={2010},
    volume={120},
    number={11},
    pages={2258-2285},
    doi={10.1016/j.spa.2010.07.001},
    note={cited By 27},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77956393590&doi=10.1016%2fj.spa.2010.07.001&partnerID=40&md5=06a7d8cfcfd8eeb3cc2a9c7c5595bfaa},
    document_type={Article},
    source={Scopus},
    }
  • Vertical relations

    International journal of industrial organization, vol. 28, iss. 4, pp. 345-349, 2010.

    By J. Miklós-Thal, P. Rey, and T. Verge

    [DOI] [Bibtex]

    @ARTICLE{Miklós-Thal2010345,
    author={Miklós-Thal, J. and Rey, P. and Verge, T.},
    title={Vertical relations},
    journal={International Journal of Industrial Organization},
    year={2010},
    volume={28},
    number={4},
    pages={345-349},
    doi={10.1016/j.ijindorg.2010.02.007},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955663783&doi=10.1016%2fj.ijindorg.2010.02.007&partnerID=40&md5=e18583ea8b2cf584a955d611f1ea8220},
    document_type={Article},
    source={Scopus},
    }
  • Structure and estimation of a class of nonstationary yet nonexplosive garch models

    Journal of time series analysis, vol. 31, iss. 5, pp. 348-364, 2010.

    By N. Regnard and J. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Regnard2010348,
    author={Regnard, N. and Zakoian, J.},
    title={Structure and estimation of a class of nonstationary yet nonexplosive GARCH models},
    journal={Journal of Time Series Analysis},
    year={2010},
    volume={31},
    number={5},
    pages={348-364},
    doi={10.1111/j.1467-9892.2010.00669.x},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955736170&doi=10.1111%2fj.1467-9892.2010.00669.x&partnerID=40&md5=bcce1bca736e36dd9b672aede4b8621d},
    document_type={Article},
    source={Scopus},
    }
  • Resale price maintenance and interlocking relationships

    Journal of industrial economics, vol. 58, iss. 4, pp. 928-961, 2010.

    By P. Rey and T. Verge

    [DOI] [Bibtex]

    @ARTICLE{Rey2010928,
    author={Rey, P. and Verge, T.},
    title={Resale price maintenance and interlocking relationships},
    journal={Journal of Industrial Economics},
    year={2010},
    volume={58},
    number={4},
    pages={928-961},
    doi={10.1111/j.1467-6451.2010.00439.x},
    note={cited By 53},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-78650545201&doi=10.1111%2fj.1467-6451.2010.00439.x&partnerID=40&md5=ed5f81fcae599944f0f68de5faf5d44c},
    document_type={Article},
    source={Scopus},
    }

2009

  • Constant proportion portfolio insurance in the presence of jumps in asset prices

    Mathematical finance, vol. 19, iss. 3, pp. 379-401, 2009.

    By R. Cont and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cont2009379,
    author={Cont, R. and Tankov, P.},
    title={Constant proportion portfolio insurance in the presence of jumps in asset prices},
    journal={Mathematical Finance},
    year={2009},
    volume={19},
    number={3},
    pages={379-401},
    doi={10.1111/j.1467-9965.2009.00377.x},
    note={cited By 35},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650851506&doi=10.1111%2fj.1467-9965.2009.00377.x&partnerID=40&md5=d6f8d48eec2d54c7c882e15f775ccf3e},
    document_type={Article},
    source={Scopus},
    }
  • L-performance with an application to hedge funds

    Journal of empirical finance, vol. 16, iss. 4, pp. 671-685, 2009.

    By S. Darolles, C. Gourieroux, and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Darolles2009671,
    author={Darolles, S. and Gourieroux, C. and Jasiak, J.},
    title={L-performance with an application to hedge funds},
    journal={Journal of Empirical Finance},
    year={2009},
    volume={16},
    number={4},
    pages={671-685},
    doi={10.1016/j.jempfin.2009.05.003},
    note={cited By 18},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650471821&doi=10.1016%2fj.jempfin.2009.05.003&partnerID=40&md5=be6565cc230fac03468bc3e0c784bc99},
    document_type={Article},
    source={Scopus},
    }
  • An empirical central limit theorem with applications to copulas under weak dependence

    Statistical inference for stochastic processes, vol. 12, iss. 1, pp. 65-87, 2009.

    By P. Doukhan, J. -D. Fermanian, and G. Lang

    [DOI] [Bibtex]

    @ARTICLE{Doukhan200965,
    author={Doukhan, P. and Fermanian, J.-D. and Lang, G.},
    title={An empirical central limit theorem with applications to copulas under weak dependence},
    journal={Statistical Inference for Stochastic Processes},
    year={2009},
    volume={12},
    number={1},
    pages={65-87},
    doi={10.1007/s11203-008-9026-3},
    note={cited By 16},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-61849161751&doi=10.1007%2fs11203-008-9026-3&partnerID=40&md5=9d025fd825745c06fd937b5093ca0c8e},
    document_type={Article},
    source={Scopus},
    }
  • Bartlett’s formula for a general class of nonlinear processes

    Journal of time series analysis, vol. 30, iss. 4, pp. 449-465, 2009.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2009449,
    author={Francq, C. and Zakoian, J.-M.},
    title={Bartlett's formula for a general class of nonlinear processes},
    journal={Journal of Time Series Analysis},
    year={2009},
    volume={30},
    number={4},
    pages={449-465},
    doi={10.1111/j.1467-9892.2009.00623.x},
    note={cited By 23},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67650677380&doi=10.1111%2fj.1467-9892.2009.00623.x&partnerID=40&md5=fa1f1300ddcb866a59c8249014b93cef},
    document_type={Article},
    source={Scopus},
    }
  • Testing the nullity of garch coefficients: correction of the standard tests and relative efficiency comparisons

    Journal of the american statistical association, vol. 104, iss. 485, pp. 313-324, 2009.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2009313,
    author={Francq, C. and Zakoian, J.-M.},
    title={Testing the nullity of GARCH coefficients: Correction of the standard tests and relative efficiency comparisons},
    journal={Journal of the American Statistical Association},
    year={2009},
    volume={104},
    number={485},
    pages={313-324},
    doi={10.1198/jasa.2009.0117},
    note={cited By 25},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350335991&doi=10.1198%2fjasa.2009.0117&partnerID=40&md5=f820ade5311fbdf0dd0a5f4ccb58061c},
    document_type={Article},
    source={Scopus},
    }
  • Control and out-of-sample validation of dependent risks

    Journal of risk and insurance, vol. 76, iss. 3, pp. 683-707, 2009.

    By C. Gourieroux and W. Liu

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2009683,
    author={Gourieroux, C. and Liu, W.},
    title={Control and out-of-sample validation of dependent risks},
    journal={Journal of Risk and Insurance},
    year={2009},
    volume={76},
    number={3},
    pages={683-707},
    doi={10.1111/j.1539-6975.2009.01309.x},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-69449105404&doi=10.1111%2fj.1539-6975.2009.01309.x&partnerID=40&md5=f1307fbb7399bc77496e1394f7da4117},
    document_type={Conference Paper},
    source={Scopus},
    }
  • The wishart autoregressive process of multivariate stochastic volatility

    Journal of econometrics, vol. 150, iss. 2, pp. 167-181, 2009.

    By C. Gourieroux, J. Jasiak, and R. Sufana

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2009167,
    author={Gourieroux, C. and Jasiak, J. and Sufana, R.},
    title={The Wishart Autoregressive process of multivariate stochastic volatility},
    journal={Journal of Econometrics},
    year={2009},
    volume={150},
    number={2},
    pages={167-181},
    doi={10.1016/j.jeconom.2008.12.016},
    note={cited By 122},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-67349083871&doi=10.1016%2fj.jeconom.2008.12.016&partnerID=40&md5=8cb3e18bd53f6e8ffb393bf933692114},
    document_type={Article},
    source={Scopus},
    }
  • Managing hedonic housing price indexes: the french experience

    Journal of housing economics, vol. 18, iss. 3, pp. 206-213, 2009.

    By C. Gourieroux and A. Laferrere

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2009206,
    author={Gourieroux, C. and Laferrere, A.},
    title={Managing hedonic housing price indexes: The French experience},
    journal={Journal of Housing Economics},
    year={2009},
    volume={18},
    number={3},
    pages={206-213},
    doi={10.1016/j.jhe.2009.07.012},
    note={cited By 34},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70349844862&doi=10.1016%2fj.jhe.2009.07.012&partnerID=40&md5=8d8bb8042525137258d3275e9e41641a},
    document_type={Article},
    source={Scopus},
    }
  • A coupled system of integrodifferential equations arising in liquidity risk model

    Applied mathematics and optimization, vol. 59, iss. 2, pp. 147-173, 2009.

    By H. Pham and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Pham2009147,
    author={Pham, H. and Tankov, P.},
    title={A Coupled System of Integrodifferential Equations Arising in Liquidity Risk Model},
    journal={Applied Mathematics and Optimization},
    year={2009},
    volume={59},
    number={2},
    pages={147-173},
    doi={10.1007/s00245-008-9046-9},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-60349123439&doi=10.1007%2fs00245-008-9046-9&partnerID=40&md5=6e69e4bb92fc9fd81b5fe42a47bad41a},
    document_type={Article},
    source={Scopus},
    }
  • Harold jeffreys’s theory of probability revisited

    Statistical science, vol. 24, iss. 2, pp. 141-172, 2009.

    By C. P. Robert, N. Chopin, and J. Rousseau

    [DOI] [Bibtex]

    @ARTICLE{Robert2009141,
    author={Robert, C.P. and Chopin, N. and Rousseau, J.},
    title={Harold Jeffreys's theory of probability revisited},
    journal={Statistical Science},
    year={2009},
    volume={24},
    number={2},
    pages={141-172},
    doi={10.1214/09-STS284},
    note={cited By 63},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955125911&doi=10.1214%2f09-STS284&partnerID=40&md5=99b149c49998619659c3edf9995d63a2},
    document_type={Article},
    source={Scopus},
    }
  • Rejoinder: harold jeffreys’s theory of probability revisited

    Statistical science, vol. 24, iss. 2, pp. 191-194, 2009.

    By C. P. Robert, N. Chopin, and J. Rousseau

    [DOI] [Bibtex]

    @ARTICLE{Robert2009191,
    author={Robert, C.P. and Chopin, N. and Rousseau, J.},
    title={Rejoinder: Harold Jeffreys's theory of probability revisited},
    journal={Statistical Science},
    year={2009},
    volume={24},
    number={2},
    pages={191-194},
    doi={10.1214/09-STS284REJ},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77955137079&doi=10.1214%2f09-STS284REJ&partnerID=40&md5=de5f5deb12cc0822e852fec52b5cb610},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotic analysis of hedging errors in models with jumps

    Stochastic processes and their applications, vol. 119, iss. 6, pp. 2004-2027, 2009.

    By P. Tankov and E. Voltchkova

    [DOI] [Bibtex]

    @ARTICLE{Tankov20092004,
    author={Tankov, P. and Voltchkova, E.},
    title={Asymptotic analysis of hedging errors in models with jumps},
    journal={Stochastic Processes and their Applications},
    year={2009},
    volume={119},
    number={6},
    pages={2004-2027},
    doi={10.1016/j.spa.2008.10.002},
    note={cited By 23},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-64549129187&doi=10.1016%2fj.spa.2008.10.002&partnerID=40&md5=5db670d871913648206ce0f232eb9c03},
    document_type={Article},
    source={Scopus},
    }

2008

  • Econometric asset pricing modelling

    Journal of financial econometrics, vol. 6, iss. 4, pp. 407-458, 2008.

    By H. Bertholon, A. Monfort, and F. Pegoraro

    [DOI] [Bibtex]

    @ARTICLE{Bertholon2008407,
    author={Bertholon, H. and Monfort, A. and Pegoraro, F.},
    title={Econometric asset pricing modelling},
    journal={Journal of Financial Econometrics},
    year={2008},
    volume={6},
    number={4},
    pages={407-458},
    doi={10.1093/jjfinec/nbn011},
    note={cited By 29},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-53849147903&doi=10.1093%2fjjfinec%2fnbn011&partnerID=40&md5=b1f916ddb71abeac3603d7a77d161d30},
    document_type={Article},
    source={Scopus},
    }
  • The ordered qualitative model for credit rating transitions

    Journal of empirical finance, vol. 15, iss. 1, pp. 111-130, 2008.

    By D. Feng, C. Gourieroux, and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Feng2008111,
    author={Feng, D. and Gourieroux, C. and Jasiak, J.},
    title={The ordered qualitative model for credit rating transitions},
    journal={Journal of Empirical Finance},
    year={2008},
    volume={15},
    number={1},
    pages={111-130},
    doi={10.1016/j.jempfin.2006.12.003},
    note={cited By 33},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-37049018465&doi=10.1016%2fj.jempfin.2006.12.003&partnerID=40&md5=0ebe7a35d0700db015ba8e6ce2d131b7},
    document_type={Article},
    source={Scopus},
    }
  • Deriving the autocovariances of powers of markov-switching garch models, with applications to statistical inference

    Computational statistics and data analysis, vol. 52, iss. 6, pp. 3027-3046, 2008.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq20083027,
    author={Francq, C. and Zakoian, J.-M.},
    title={Deriving the autocovariances of powers of Markov-switching GARCH models, with applications to statistical inference},
    journal={Computational Statistics and Data Analysis},
    year={2008},
    volume={52},
    number={6},
    pages={3027-3046},
    doi={10.1016/j.csda.2007.08.003},
    note={cited By 27},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-39049146619&doi=10.1016%2fj.csda.2007.08.003&partnerID=40&md5=65c3c99cecc593cabe3c1aefdc2a492c},
    document_type={Article},
    source={Scopus},
    }
  • A class of stochastic unit-root bilinear processes: mixing properties and unit-root test

    Journal of econometrics, vol. 142, iss. 1, pp. 312-326, 2008.

    By C. Francq, S. Makarova, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2008312,
    author={Francq, C. and Makarova, S. and Zakoian, J.-M.},
    title={A class of stochastic unit-root bilinear processes: Mixing properties and unit-root test},
    journal={Journal of Econometrics},
    year={2008},
    volume={142},
    number={1},
    pages={312-326},
    doi={10.1016/j.jeconom.2007.04.003},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-36148967680&doi=10.1016%2fj.jeconom.2007.04.003&partnerID=40&md5=9968e93dcecd26ab9f73462a042f730e},
    document_type={Article},
    source={Scopus},
    }
  • Duration time-series models with proportional hazard

    Journal of time series analysis, vol. 29, iss. 1, pp. 74-124, 2008.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini200874,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Duration time-series models with proportional hazard},
    journal={Journal of Time Series Analysis},
    year={2008},
    volume={29},
    number={1},
    pages={74-124},
    doi={10.1111/j.1467-9892.2007.00546.x},
    note={cited By 9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-36849089165&doi=10.1111%2fj.1467-9892.2007.00546.x&partnerID=40&md5=06c1104c763a1ba05b269b7ad17bfb32},
    document_type={Article},
    source={Scopus},
    }
  • Dynamic quantile models

    Journal of econometrics, vol. 147, iss. 1, pp. 198-205, 2008.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2008198,
    author={Gourieroux, C. and Jasiak, J.},
    title={Dynamic quantile models},
    journal={Journal of Econometrics},
    year={2008},
    volume={147},
    number={1},
    pages={198-205},
    doi={10.1016/j.jeconom.2008.09.028},
    note={cited By 39},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-55349121814&doi=10.1016%2fj.jeconom.2008.09.028&partnerID=40&md5=700d472fd6804b137a31acaf2aac3e43},
    document_type={Article},
    source={Scopus},
    }
  • Quadratic stochastic intensity and prospective mortality tables

    Insurance: mathematics and economics, vol. 43, iss. 1, pp. 174-184, 2008.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2008174,
    author={Gourieroux, C. and Monfort, A.},
    title={Quadratic stochastic intensity and prospective mortality tables},
    journal={Insurance: Mathematics and Economics},
    year={2008},
    volume={43},
    number={1},
    pages={174-184},
    doi={10.1016/j.insmatheco.2008.05.010},
    note={cited By 17},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-47249103759&doi=10.1016%2fj.insmatheco.2008.05.010&partnerID=40&md5=ec26f6e565bce13a6da5eb57a746cc0d},
    document_type={Article},
    source={Scopus},
    }
  • Multi-factor jump-diffusion models of electricity prices

    International journal of theoretical and applied finance, vol. 11, iss. 5, pp. 503-528, 2008.

    By T. Meyer-Brandis and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Meyer-Brandis2008503,
    author={Meyer-Brandis, T. and Tankov, P.},
    title={Multi-factor jump-diffusion models of electricity prices},
    journal={International Journal of Theoretical and Applied Finance},
    year={2008},
    volume={11},
    number={5},
    pages={503-528},
    doi={10.1142/S0219024908004907},
    note={cited By 45},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-50949104370&doi=10.1142%2fS0219024908004907&partnerID=40&md5=f6261ffbd798860f928aa82225ffba69},
    document_type={Article},
    source={Scopus},
    }
  • A model of optimal consumption under liquidity risk with random trading times

    Mathematical finance, vol. 18, iss. 4, pp. 613-627, 2008.

    By H. Pham and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Pham2008613,
    author={Pham, H. and Tankov, P.},
    title={A model of optimal consumption under liquidity risk with random trading times},
    journal={Mathematical Finance},
    year={2008},
    volume={18},
    number={4},
    pages={613-627},
    doi={10.1111/j.1467-9965.2008.00350.x},
    note={cited By 20},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-52249122631&doi=10.1111%2fj.1467-9965.2008.00350.x&partnerID=40&md5=04afd320f7497e8bf243573bad11e79a},
    document_type={Conference Paper},
    source={Scopus},
    }

2007

  • Kernel regression estimation for random fields

    Journal of statistical planning and inference, vol. 137, iss. 3, pp. 778-798, 2007.

    By M. Carbon, C. Francq, and L. T. Tran

    [DOI] [Bibtex]

    @ARTICLE{Carbon2007778,
    author={Carbon, M. and Francq, C. and Tran, L.T.},
    title={Kernel regression estimation for random fields},
    journal={Journal of Statistical Planning and Inference},
    year={2007},
    volume={137},
    number={3},
    pages={778-798},
    doi={10.1016/j.jspi.2006.06.008},
    note={cited By 35},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750576929&doi=10.1016%2fj.jspi.2006.06.008&partnerID=40&md5=3ef610902ae2f91f10abfad3e1f55ae6},
    document_type={Article},
    source={Scopus},
    }
  • Kernel estimation of greek weights by parameter randomization

    Annals of applied probability, vol. 17, iss. 4, pp. 1399-1423, 2007.

    By R. Elie, J. -D. Fermanian, and N. Touzi

    [DOI] [Bibtex]

    @ARTICLE{Elie20071399,
    author={Elie, R. and Fermanian, J.-D. and Touzi, N.},
    title={Kernel estimation of Greek weights by parameter randomization},
    journal={Annals of Applied Probability},
    year={2007},
    volume={17},
    number={4},
    pages={1399-1423},
    doi={10.1214/105051607000000186},
    note={cited By 10},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-52949086846&doi=10.1214%2f105051607000000186&partnerID=40&md5=26b184c651f1380cbc7f9043c6a64212},
    document_type={Article},
    source={Scopus},
    }
  • Quasi-maximum likelihood estimation in garch processes when some coefficients are equal to zero

    Stochastic processes and their applications, vol. 117, iss. 9, pp. 1265-1284, 2007.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq20071265,
    author={Francq, C. and Zakoian, J.-M.},
    title={Quasi-maximum likelihood estimation in GARCH processes when some coefficients are equal to zero},
    journal={Stochastic Processes and their Applications},
    year={2007},
    volume={117},
    number={9},
    pages={1265-1284},
    doi={10.1016/j.spa.2007.01.001},
    note={cited By 37},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34447535241&doi=10.1016%2fj.spa.2007.01.001&partnerID=40&md5=4329adf26fc0c503c5cf0a56c46f5df1},
    document_type={Article},
    source={Scopus},
    }
  • Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors

    Journal of time series analysis, vol. 28, iss. 3, pp. 454-470, 2007.

    By C. Francq and H. Raissi

    [DOI] [Bibtex]

    @ARTICLE{Francq2007454,
    author={Francq, C. and Raissi, H.},
    title={Multivariate portmanteau test for autoregressive models with uncorrelated but nonindependent errors},
    journal={Journal of Time Series Analysis},
    year={2007},
    volume={28},
    number={3},
    pages={454-470},
    doi={10.1111/j.1467-9892.2006.00521.x},
    note={cited By 24},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34247343354&doi=10.1111%2fj.1467-9892.2006.00521.x&partnerID=40&md5=dd39a7d0d986c4396adff68a0588f4a7},
    document_type={Article},
    source={Scopus},
    }
  • Hac estimation and strong linearity testing in weak arma models

    Journal of multivariate analysis, vol. 98, iss. 1, pp. 114-144, 2007.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2007114,
    author={Francq, C. and Zakoian, J.-M.},
    title={HAC estimation and strong linearity testing in weak ARMA models},
    journal={Journal of Multivariate Analysis},
    year={2007},
    volume={98},
    number={1},
    pages={114-144},
    doi={10.1016/j.jmva.2006.02.003},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750213990&doi=10.1016%2fj.jmva.2006.02.003&partnerID=40&md5=5bf638f8c40af14dac3d443556df5ead},
    document_type={Article},
    source={Scopus},
    }
  • An efficient nonparametric estimator for models with nonlinear dependence

    Journal of econometrics, vol. 137, iss. 1, pp. 189-229, 2007.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini2007189,
    author={Gagliardini, P. and Gourieroux, C.},
    title={An efficient nonparametric estimator for models with nonlinear dependence},
    journal={Journal of Econometrics},
    year={2007},
    volume={137},
    number={1},
    pages={189-229},
    doi={10.1016/j.jeconom.2006.03.011},
    note={cited By 10},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846544404&doi=10.1016%2fj.jeconom.2006.03.011&partnerID=40&md5=8d71c47e17a687baab168379fdb3fd9f},
    document_type={Article},
    source={Scopus},
    }
  • Positivity conditions for a bivariate autoregressive volatility specification

    Journal of financial econometrics, vol. 5, iss. 4, pp. 624-636, 2007.

    By C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2007624,
    author={Gourieroux, C.},
    title={Positivity conditions for a bivariate autoregressive volatility specification},
    journal={Journal of Financial Econometrics},
    year={2007},
    volume={5},
    number={4},
    pages={624-636},
    doi={10.1093/jjfinec/nbm010},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-43449093808&doi=10.1093%2fjjfinec%2fnbm010&partnerID=40&md5=a591bbb42255284b4f77a55c71696fdf},
    document_type={Article},
    source={Scopus},
    }
  • Chapter 4 pricing with wishart risk factors

    Handbooks in operations research and management science, vol. 15, iss. C, pp. 163-182, 2007.

    By C. Gourieroux and R. Sufana

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2007163,
    author={Gourieroux, C. and Sufana, R.},
    title={Chapter 4 Pricing with Wishart Risk Factors},
    journal={Handbooks in Operations Research and Management Science},
    year={2007},
    volume={15},
    number={C},
    pages={163-182},
    doi={10.1016/S0927-0507(07)15004-0},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-77950625309&doi=10.1016%2fS0927-0507%2807%2915004-0&partnerID=40&md5=22545914438492fd99e4c2bf64f7d8ab},
    document_type={Review},
    source={Scopus},
    }
  • Econometric specification of stochastic discount factor models

    Journal of econometrics, vol. 136, iss. 2, pp. 509-530, 2007.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2007509,
    author={Gourieroux, C. and Monfort, A.},
    title={Econometric specification of stochastic discount factor models},
    journal={Journal of Econometrics},
    year={2007},
    volume={136},
    number={2},
    pages={509-530},
    doi={10.1016/j.jeconom.2005.11.015},
    note={cited By 39},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845313926&doi=10.1016%2fj.jeconom.2005.11.015&partnerID=40&md5=43804ae8bf71dc8681004c25e067c582},
    document_type={Article},
    source={Scopus},
    }
  • Switching varma term structure models

    Journal of financial econometrics, vol. 5, iss. 1, pp. 105-153, 2007.

    By A. Monfort and F. Pegoraro

    [DOI] [Bibtex]

    @ARTICLE{Monfort2007105,
    author={Monfort, A. and Pegoraro, F.},
    title={Switching VARMA term structure models},
    journal={Journal of Financial Econometrics},
    year={2007},
    volume={5},
    number={1},
    pages={105-153},
    doi={10.1093/jjfinec/nbl009},
    note={cited By 28},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846688166&doi=10.1093%2fjjfinec%2fnbl009&partnerID=40&md5=aa1f6668db1a0b9448ad7ad71107b07b},
    document_type={Article},
    source={Scopus},
    }

2006

  • Special issue on nonlinear modelling and financial econometrics

    Computational statistics and data analysis, vol. 51, iss. 4, pp. 2115-2117, 2006.

    By A. Amendola, C. Francq, and S. J. Koopman

    [DOI] [Bibtex]

    @EDITORIAL{Amendola20062115,
    author={Amendola, A. and Francq, C. and Koopman, S.J.},
    title={Special Issue on Nonlinear Modelling and Financial Econometrics},
    journal={Computational Statistics and Data Analysis},
    year={2006},
    volume={51},
    number={4},
    pages={2115-2117},
    doi={10.1016/j.csda.2006.09.022},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750999916&doi=10.1016%2fj.csda.2006.09.022&partnerID=40&md5=2b0dfca630058f357b6d7e35521bbddc},
    document_type={Editorial},
    source={Scopus},
    }
  • Retrieving levy processes from option prices: regularization of an ill-posed inverse problem

    Siam journal on control and optimization, vol. 45, iss. 1, pp. 1-25, 2006.

    By R. Cont and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Cont20061,
    author={Cont, R. and Tankov, P.},
    title={Retrieving levy processes from option prices: Regularization of an ill-posed inverse problem},
    journal={SIAM Journal on Control and Optimization},
    year={2006},
    volume={45},
    number={1},
    pages={1-25},
    doi={10.1137/040616267},
    note={cited By 35},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33847071261&doi=10.1137%2f040616267&partnerID=40&md5=7a58c28a80a8817c3577557e6d15265b},
    document_type={Article},
    source={Scopus},
    }
  • Structural laplace transform and compound autoregressive models

    Journal of time series analysis, vol. 27, iss. 4, pp. 477-503, 2006.

    By S. Darolles, C. Gourieroux, and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Darolles2006477,
    author={Darolles, S. and Gourieroux, C. and Jasiak, J.},
    title={Structural laplace transform and compound autoregressive models},
    journal={Journal of Time Series Analysis},
    year={2006},
    volume={27},
    number={4},
    pages={477-503},
    doi={10.1111/j.1467-9892.2006.00479.x},
    note={cited By 45},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33745302681&doi=10.1111%2fj.1467-9892.2006.00479.x&partnerID=40&md5=063f5ed038ef136ae3d134745090d448},
    document_type={Article},
    source={Scopus},
    }
  • Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process

    Econometric theory, vol. 22, iss. 5, pp. 815-834, 2006.

    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Franco2006815,
    author={Franco, C. and Zakoian, J.-M.},
    title={Mixing properties of a general class of garch(1,1) models without moment assumptions on the observed process},
    journal={Econometric Theory},
    year={2006},
    volume={22},
    number={5},
    pages={815-834},
    doi={10.1017/S0266466606060373},
    note={cited By 55},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33749368377&doi=10.1017%2fS0266466606060373&partnerID=40&md5=678f2017dfc982c99cbfa4b9c3195b8f},
    document_type={Article},
    source={Scopus},
    }
  • Linear-representation based estimation of stochastic volatility models

    Scandinavian journal of statistics, vol. 33, iss. 4, pp. 785-806, 2006.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2006785,
    author={Francq, C. and Zakoian, J.-M.},
    title={Linear-representation based estimation of stochastic volatility models},
    journal={Scandinavian Journal of Statistics},
    year={2006},
    volume={33},
    number={4},
    pages={785-806},
    doi={10.1111/j.1467-9469.2006.00495.x},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33750995253&doi=10.1111%2fj.1467-9469.2006.00495.x&partnerID=40&md5=f5dadd2e55a74b0ddcf4ca95ac8df4ff},
    document_type={Review},
    source={Scopus},
    }
  • Asymptotic relative efficiency of goodness-of-fit tests based on inverse and ordinary autocorrelations

    Journal of time series analysis, vol. 27, iss. 6, pp. 843-855, 2006.

    By A. E. Ghini and C. Francq

    [DOI] [Bibtex]

    @ARTICLE{El Ghini2006AsymptoticAutocorrelations,
    author = {Ahmed El Ghini and Christian Francq},
    title = {{Asymptotic relative efficiency of goodness-of-fit tests based on inverse and ordinary autocorrelations}},
    journal = {Journal of Time Series Analysis},
    year = {2006},
    volume = {27},
    number = {6},
    pages = {843-855},
    doi = {10.1111/j.1467-9892.2006.00491.x}}
  • Stochastic unit root models

    Econometric theory, vol. 22, iss. 6, pp. 1052-1090, 2006.

    By C. Gourieroux and C. Y. Robert

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20061052,
    author={Gourieroux, C. and Robert, C.Y.},
    title={Stochastic unit root models},
    journal={Econometric Theory},
    year={2006},
    volume={22},
    number={6},
    pages={1052-1090},
    doi={10.1017/S0266466606060518},
    note={cited By 15},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33845738227&doi=10.1017%2fS0266466606060518&partnerID=40&md5=e0e294b1918f69f61ebd96209f04e93b},
    document_type={Article},
    source={Scopus},
    }
  • A classification of two-factor affine diffusion term structure models

    Journal of financial econometrics, vol. 4, iss. 1, pp. 31-52, 2006.

    By C. Gourieroux and R. Sufana

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux200631,
    author={Gourieroux, C. and Sufana, R.},
    title={A classification of two-factor affine diffusion term structure models},
    journal={Journal of Financial Econometrics},
    year={2006},
    volume={4},
    number={1},
    pages={31-52},
    doi={10.1093/jjfinec/nbj003},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-30744477710&doi=10.1093%2fjjfinec%2fnbj003&partnerID=40&md5=b08b18719d7051dbd6dcb7c738c11644},
    document_type={Article},
    source={Scopus},
    }
  • Continuous time wishart process for stochastic risk

    Econometric reviews, vol. 25, iss. 2-3, pp. 177-217, 2006.

    By C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2006177,
    author={Gourieroux, C.},
    title={Continuous time Wishart process for stochastic risk},
    journal={Econometric Reviews},
    year={2006},
    volume={25},
    number={2-3},
    pages={177-217},
    doi={10.1080/07474930600713234},
    note={cited By 62},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33747805037&doi=10.1080%2f07474930600713234&partnerID=40&md5=71f091f5f7e060dc1a9b765cff527063},
    document_type={Article},
    source={Scopus},
    }
  • Affine models for credit risk analysis

    Journal of financial econometrics, vol. 4, iss. 3, pp. 494-530, 2006.

    By C. Gourieroux, A. Monfort, and V. Polimenis

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2006494,
    author={Gourieroux, C. and Monfort, A. and Polimenis, V.},
    title={Affine models for credit risk analysis},
    journal={Journal of Financial Econometrics},
    year={2006},
    volume={4},
    number={3},
    pages={494-530},
    doi={10.1093/jjfinec/nbj012},
    note={cited By 25},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33748105105&doi=10.1093%2fjjfinec%2fnbj012&partnerID=40&md5=1566039f4c452fa3259a7333d8524f98},
    document_type={Article},
    source={Scopus},
    }
  • Autoregressive gamma processes

    Journal of forecasting, vol. 25, iss. 2, pp. 129-152, 2006.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2006129,
    author={Gourieroux, C. and Jasiak, J.},
    title={Autoregressive gamma processes},
    journal={Journal of Forecasting},
    year={2006},
    volume={25},
    number={2},
    pages={129-152},
    doi={10.1002/for.978},
    note={cited By 80},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33646508385&doi=10.1002%2ffor.978&partnerID=40&md5=83ef81fc40de5c68056d2c8170c7f999},
    document_type={Article},
    source={Scopus},
    }
  • Multivariate jacobi process with application to smooth transitions

    Journal of econometrics, vol. 131, iss. 1-2, pp. 475-505, 2006.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2006475,
    author={Gourieroux, C. and Jasiak, J.},
    title={Multivariate Jacobi process with application to smooth transitions},
    journal={Journal of Econometrics},
    year={2006},
    volume={131},
    number={1-2},
    pages={475-505},
    doi={10.1016/j.jeconom.2005.01.014},
    note={cited By 34},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33644532586&doi=10.1016%2fj.jeconom.2005.01.014&partnerID=40&md5=f961394192b3e31b26ce5242e06c931a},
    document_type={Conference Paper},
    source={Scopus},
    }
  • Characterization of dependence of multidimensional levy processes using levy copulas

    Journal of multivariate analysis, vol. 97, iss. 7, pp. 1551-1572, 2006.

    By J. Kallsen and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Kallsen20061551,
    author={Kallsen, J. and Tankov, P.},
    title={Characterization of dependence of multidimensional Levy processes using Levy copulas},
    journal={Journal of Multivariate Analysis},
    year={2006},
    volume={97},
    number={7},
    pages={1551-1572},
    doi={10.1016/j.jmva.2005.11.001},
    note={cited By 90},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33646774356&doi=10.1016%2fj.jmva.2005.11.001&partnerID=40&md5=583b0b178cb7a8e0d39a7be4dfa8a8c7},
    document_type={Article},
    source={Scopus},
    }
  • Monte carlo option pricing for tempered stable (cgmy) processes

    Asia-pacific financial markets, vol. 13, iss. 4, pp. 327-344, 2006.

    By J. Poirot and P. Tankov

    [DOI] [Bibtex]

    @ARTICLE{Poirot2006327,
    author={Poirot, J. and Tankov, P.},
    title={Monte Carlo option pricing for tempered stable (CGMY) processes},
    journal={Asia-Pacific Financial Markets},
    year={2006},
    volume={13},
    number={4},
    pages={327-344},
    doi={10.1007/s10690-007-9048-7},
    note={cited By 37},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-34548666654&doi=10.1007%2fs10690-007-9048-7&partnerID=40&md5=8e803c18c5471f893aaccfb65f53a2c4},
    document_type={Conference Paper},
    source={Scopus},
    }
  • Stationarity and geometric ergodicity of a class of nonlinear arch models

    Annals of applied probability, vol. 16, iss. 4, pp. 2256-2271, 2006.

    By Y. Saidi and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Saidi20062256,
    author={Saidi, Y. and Zakoian, J.-M.},
    title={Stationarity and geometric ergodicity of a class of nonlinear ARCH models},
    journal={Annals of Applied Probability},
    year={2006},
    volume={16},
    number={4},
    pages={2256-2271},
    doi={10.1214/105051606000000565},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33846893175&doi=10.1214%2f105051606000000565&partnerID=40&md5=e18a28f14b225b91d03cbdae5978a365},
    document_type={Article},
    source={Scopus},
    }

2005

  • Goodness-of-fit tests for copulas

    Journal of multivariate analysis, vol. 95, iss. 1, pp. 119-152, 2005.

    By J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Fermanian2005119,
    author={Fermanian, J.-D.},
    title={Goodness-of-fit tests for copulas},
    journal={Journal of Multivariate Analysis},
    year={2005},
    volume={95},
    number={1},
    pages={119-152},
    doi={10.1016/j.jmva.2004.07.004},
    note={cited By 207},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18744406022&doi=10.1016%2fj.jmva.2004.07.004&partnerID=40&md5=9ff0935e14d9d552601920be103aed89},
    document_type={Article},
    source={Scopus},
    }
  • Sensitivity analysis of var and expected shortfall for portfolios under netting agreements

    Journal of banking and finance, vol. 29, iss. 4, pp. 927-958, 2005.

    By J. -D. Fermanian and O. Scaillet

    [DOI] [Bibtex]

    @ARTICLE{Fermanian2005927,
    author={Fermanian, J.-D. and Scaillet, O.},
    title={Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements},
    journal={Journal of Banking and Finance},
    year={2005},
    volume={29},
    number={4},
    pages={927-958},
    doi={10.1016/j.jbankfin.2004.08.007},
    note={cited By 29},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12444253075&doi=10.1016%2fj.jbankfin.2004.08.007&partnerID=40&md5=6999da630d393152e963cf2a78d6bc6d},
    document_type={Article},
    source={Scopus},
    }
  • Diagnostic checking in arma models with uncorrelated errors

    Journal of the american statistical association, vol. 100, iss. 470, pp. 532-544, 2005.

    By C. Franco, R. Roy, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Franco2005532,
    author={Franco, C. and Roy, R. and Zakoian, J.-M.},
    title={Diagnostic checking in ARMA models with uncorrelated errors},
    journal={Journal of the American Statistical Association},
    year={2005},
    volume={100},
    number={470},
    pages={532-544},
    doi={10.1198/016214504000001510},
    note={cited By 90},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-20444444745&doi=10.1198%2f016214504000001510&partnerID=40&md5=00ec8409ef0b426e548f995b12038c30},
    document_type={Article},
    source={Scopus},
    }
  • A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size

    Econometric theory, vol. 21, iss. 6, pp. 1165-1171, 2005.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq20051165,
    author={Francq, C. and Zakoian, J.-M.},
    title={A central limit theorem for mixing triangular arrays of variables whose dependence is allowed to grow with the sample size},
    journal={Econometric Theory},
    year={2005},
    volume={21},
    number={6},
    pages={1165-1171},
    doi={10.1017/S0266466605050577},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-25644454310&doi=10.1017%2fS0266466605050577&partnerID=40&md5=8ea9213a2e9e7d81011ed8fc383ca06c},
    document_type={Article},
    source={Scopus},
    }
  • The l2-structures of standard and switching-regime garch models

    Stochastic processes and their applications, vol. 115, iss. 9, pp. 1557-1582, 2005.

    By C. Francq and J. -M. Zaköan

    [DOI] [Bibtex]

    @ARTICLE{Francq20051557,
    author={Francq, C. and Zaköan, J.-M.},
    title={The L2-structures of standard and switching-regime GARCH models},
    journal={Stochastic Processes and their Applications},
    year={2005},
    volume={115},
    number={9},
    pages={1557-1582},
    doi={10.1016/j.spa.2005.04.005},
    note={cited By 40},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-23044457404&doi=10.1016%2fj.spa.2005.04.005&partnerID=40&md5=ef01d33acde672deb5566242965db614},
    document_type={Article},
    source={Scopus},
    }
  • Migration correlation: definition and efficient estimation

    Journal of banking and finance, vol. 29, iss. 4, pp. 865-894, 2005.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini2005865,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Migration correlation: Definition and efficient estimation},
    journal={Journal of Banking and Finance},
    year={2005},
    volume={29},
    number={4},
    pages={865-894},
    doi={10.1016/j.jbankfin.2004.08.006},
    note={cited By 16},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12444290992&doi=10.1016%2fj.jbankfin.2004.08.006&partnerID=40&md5=53ab771f60c4750dcb1db12211c3b49b},
    document_type={Article},
    source={Scopus},
    }
  • Stochastic migration models with application to corporate risk

    Journal of financial econometrics, vol. 3, iss. 2, pp. 188-226, 2005.

    By P. Gagliardini and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gagliardini2005188,
    author={Gagliardini, P. and Gourieroux, C.},
    title={Stochastic migration models with application to corporate risk},
    journal={Journal of Financial Econometrics},
    year={2005},
    volume={3},
    number={2},
    pages={188-226},
    doi={10.1093/jjfinec/nbi013},
    note={cited By 24},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-27244441009&doi=10.1093%2fjjfinec%2fnbi013&partnerID=40&md5=81be233b8d75ecbdcbb635d4bcee1684},
    document_type={Article},
    source={Scopus},
    }
  • The econometrics of efficient portfolios

    Journal of empirical finance, vol. 12, iss. 1, pp. 1-41, 2005.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20051,
    author={Gourieroux, C. and Monfort, A.},
    title={The econometrics of efficient portfolios},
    journal={Journal of Empirical Finance},
    year={2005},
    volume={12},
    number={1},
    pages={1-41},
    doi={10.1016/j.jempfin.2003.07.001},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12744272959&doi=10.1016%2fj.jempfin.2003.07.001&partnerID=40&md5=ebdc4e9792021ac40e6462cb7182e6bd},
    document_type={Article},
    source={Scopus},
    }
  • Comparison of insiders’ optimal strategies depending on the type of side-information

    Stochastic processes and their applications, vol. 115, iss. 10, pp. 1603-1627, 2005.

    By C. Hillairet

    [DOI] [Bibtex]

    @ARTICLE{Hillairet20051603,
    author={Hillairet, C.},
    title={Comparison of insiders' optimal strategies depending on the type of side-information},
    journal={Stochastic Processes and their Applications},
    year={2005},
    volume={115},
    number={10},
    pages={1603-1627},
    doi={10.1016/j.spa.2005.05.005},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-24144456493&doi=10.1016%2fj.spa.2005.05.005&partnerID=40&md5=f334810c6310e5c7951c0d096ed2790a},
    document_type={Article},
    source={Scopus},
    }
  • Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial σ-fields

    Mathematical finance, vol. 15, iss. 1, pp. 99-117, 2005.

    By C. Hillairet

    [DOI] [Bibtex]

    @ARTICLE{Hillairet200599,
    author={Hillairet, C.},
    title={Existence of an equilibrium with discontinuous prices, asymmetric information, and nontrivial initial σ-fields},
    journal={Mathematical Finance},
    year={2005},
    volume={15},
    number={1},
    pages={99-117},
    doi={10.1111/j.0960-1627.2005.00212.x},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-14544284005&doi=10.1111%2fj.0960-1627.2005.00212.x&partnerID=40&md5=886c7341942037820d0737b3ae2b3f04},
    document_type={Article},
    source={Scopus},
    }

2004

  • Kernel-based nonlinear canonical analysis and time reversibility

    Journal of econometrics, vol. 119, iss. 2, pp. 323-353, 2004.

    By S. Darolles, J. -P. Florens, and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Darolles2004323,
    author={Darolles, S. and Florens, J.-P. and Gourieroux, C.},
    title={Kernel-based nonlinear canonical analysis and time reversibility},
    journal={Journal of Econometrics},
    year={2004},
    volume={119},
    number={2},
    pages={323-353},
    doi={10.1016/S0304-4076(03)00199-4},
    note={cited By 15},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1642309374&doi=10.1016%2fS0304-4076%2803%2900199-4&partnerID=40&md5=870b54aea311c68129336611413491db},
    document_type={Conference Paper},
    source={Scopus},
    }
  • Weak convergence of empirical copula processes

    Bernoulli, vol. 10, iss. 5, pp. 847-860, 2004.

    By J. -D. Fermanian, D. Radulović, and M. Wegkamp

    [DOI] [Bibtex]

    @ARTICLE{Fermanian2004847,
    author={Fermanian, J.-D. and Radulović, D. and Wegkamp, M.},
    title={Weak convergence of empirical copula processes},
    journal={Bernoulli},
    year={2004},
    volume={10},
    number={5},
    pages={847-860},
    doi={10.3150/bj/1099579158},
    note={cited By 202},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-20444459804&doi=10.3150%2fbj%2f1099579158&partnerID=40&md5=9467cb185881dd4e635e2237ba6439d3},
    document_type={Article},
    source={Scopus},
    }
  • A nonparametric simulated maximum likelihood estimation method

    Econometric theory, vol. 20, iss. 4, pp. 701-734, 2004.

    By J. -D. Fermanian and B. Salanie

    [DOI] [Bibtex]

    @ARTICLE{Fermanian2004701,
    author={Fermanian, J.-D. and Salanie, B.},
    title={A nonparametric simulated maximum likelihood estimation method},
    journal={Econometric Theory},
    year={2004},
    volume={20},
    number={4},
    pages={701-734},
    doi={10.1017/S0266466604204054},
    note={cited By 27},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-4344651234&doi=10.1017%2fS0266466604204054&partnerID=40&md5=17526bfd5bcf8d58e3715a4e944ccdfd},
    document_type={Article},
    source={Scopus},
    }
  • Estimation of time-varying arma models with markovian changes in regime

    Statistics and probability letters, vol. 70, iss. 4, pp. 243-251, 2004.

    By C. Francq and A. Gautier

    [DOI] [Bibtex]

    @ARTICLE{Francq2004243,
    author={Francq, C. and Gautier, A.},
    title={Estimation of time-varying ARMA models with Markovian changes in regime},
    journal={Statistics and Probability Letters},
    year={2004},
    volume={70},
    number={4},
    pages={243-251},
    doi={10.1016/j.spl.2004.10.009},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-22944432150&doi=10.1016%2fj.spl.2004.10.009&partnerID=40&md5=1b17c80f1f4ec060a7da00e1b812c5b2},
    document_type={Article},
    source={Scopus},
    }
  • Large sample properties of parameter least squares estimates for time-varying arma models

    Journal of time series analysis, vol. 25, iss. 5, pp. 765-783, 2004.

    By C. Francq and A. Gautier

    [DOI] [Bibtex]

    @ARTICLE{Francq2004765,
    author={Francq, C. and Gautier, A.},
    title={Large sample properties of parameter least squares estimates for time-varying ARMA models},
    journal={Journal of Time Series Analysis},
    year={2004},
    volume={25},
    number={5},
    pages={765-783},
    doi={10.1111/j.1467-9892.2004.02003.x},
    note={cited By 15},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3943108820&doi=10.1111%2fj.1467-9892.2004.02003.x&partnerID=40&md5=75781deb2cc7e95a4483054ce9fd5080},
    document_type={Article},
    source={Scopus},
    }
  • Maximum likelihood estimation of pure garch and arma-garch processes

    Bernoulli, vol. 10, iss. 4, pp. 605-637, 2004.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2004605,
    author={Francq, C. and Zakoian, J.-M.},
    title={Maximum likelihood estimation of pure GARCH and ARMA-GARCH processes},
    journal={Bernoulli},
    year={2004},
    volume={10},
    number={4},
    pages={605-637},
    doi={10.3150/bj/1093265632},
    note={cited By 265},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33645008897&doi=10.3150%2fbj%2f1093265632&partnerID=40&md5=718dd1f4b8b35274ac496253140a5873},
    document_type={Article},
    source={Scopus},
    }
  • Estimating arma models with recurrent regime changes [estimation de modeles arma a changements de regime recurrents]

    Comptes rendus mathematique, vol. 339, iss. 1, pp. 55-58, 2004.

    By C. Francq and A. Gautier

    [DOI] [Bibtex]

    @ARTICLE{Francq200455,
    author={Francq, C. and Gautier, A.},
    title={Estimating ARMA models with recurrent regime changes [Estimation de modeles ARMA a changements de regime recurrents]},
    journal={Comptes Rendus Mathematique},
    year={2004},
    volume={339},
    number={1},
    pages={55-58},
    doi={10.1016/j.crma.2004.04.014},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-2942535844&doi=10.1016%2fj.crma.2004.04.014&partnerID=40&md5=b07ffab32514ba27970728b3fcc59370},
    document_type={Article},
    source={Scopus},
    }
  • Stochastic volatility duration models

    Journal of econometrics, vol. 119, iss. 2, pp. 413-433, 2004.

    By E. Ghysels, C. Gourieroux, and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Ghysels2004413,
    author={Ghysels, E. and Gourieroux, C. and Jasiak, J.},
    title={Stochastic volatility duration models},
    journal={Journal of Econometrics},
    year={2004},
    volume={119},
    number={2},
    pages={413-433},
    doi={10.1016/S0304-4076(03)00202-1},
    note={cited By 60},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1642359757&doi=10.1016%2fS0304-4076%2803%2900202-1&partnerID=40&md5=40ce48a8e91370e525f1c1a191901005},
    document_type={Conference Paper},
    source={Scopus},
    }
  • Infrequent extreme risks

    Geneva papers on risk and insurance theory, vol. 29, iss. 1, pp. 5-22, 2004.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux20045,
    author={Gourieroux, C. and Monfort, A.},
    title={Infrequent extreme risks},
    journal={GENEVA Papers on Risk and Insurance Theory},
    year={2004},
    volume={29},
    number={1},
    pages={5-22},
    doi={10.1023/B:GEPA.0000032563.83435.50},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3142720428&doi=10.1023%2fB%3aGEPA.0000032563.83435.50&partnerID=40&md5=f39e5e76d3ee119402b4fecba5b3c1c7},
    document_type={Article},
    source={Scopus},
    }
  • Heterogeneous inar(1) model with application to car insurance

    Insurance: mathematics and economics, vol. 34, iss. 2, pp. 177-192, 2004.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2004177,
    author={Gourieroux, C. and Jasiak, J.},
    title={Heterogeneous INAR(1) model with application to car insurance},
    journal={Insurance: Mathematics and Economics},
    year={2004},
    volume={34},
    number={2},
    pages={177-192},
    doi={10.1016/j.insmatheco.2003.11.005},
    note={cited By 42},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1842502048&doi=10.1016%2fj.insmatheco.2003.11.005&partnerID=40&md5=b34c84dbdb94ad853840762a3b99be63},
    document_type={Article},
    source={Scopus},
    }
  • On the crush behaviour of ultralight foam-filled structures

    Materials and design, vol. 25, iss. 3, pp. 183-189, 2004.

    By S. A. Meguid, M. S. Attia, and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Meguid2004183,
    author={Meguid, S.A. and Attia, M.S. and Monfort, A.},
    title={On the crush behaviour of ultralight foam-filled structures},
    journal={Materials and Design},
    year={2004},
    volume={25},
    number={3},
    pages={183-189},
    doi={10.1016/j.matdes.2003.10.006},
    note={cited By 66},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1442289492&doi=10.1016%2fj.matdes.2003.10.006&partnerID=40&md5=92e6e623aba415a36482bf17034835f4},
    document_type={Article},
    source={Scopus},
    }
  • Dicussion on the meeting on ‘statistical approaches to inverse problems’

    Journal of the royal statistical society. series b: statistical methodology, vol. 66, iss. 3, pp. 627-652, 2004.

    By G. Nason, E. Moulines, C. P. Robert, C. Andrieu, A. Stoffelen, D. Paul, F. Abramovich, R. G. Aykroyd, R. M. West, S. Meng, C. Butucea, L. Cavalier, N. Cressie, M. Davy, D. De Canditiis, M. Pensky, Y. Golubev, R. N. Hoffman, E. Khabie-Zeitoune, A. Munk, F. H. Ruymgaart, S. C. Olhede, A. Tsybakov, G. Wahba, I. M. Johnstone, G. Kerkyacharian, D. Picard, M. Raimondo, P. J. Wolfe, S. J. Godsill, W. -J. Ng, H. Haario, M. Laine, M. Lehtinen, E. Saksman, J. Tamminen, D. Cornford, L. Csató, D. J. Evans, and M. Opper

    [DOI] [Bibtex]

    @ARTICLE{Nason2004627,
    author={Nason, G. and Moulines, E. and Robert, C.P. and Andrieu, C. and Stoffelen, A. and Paul, D. and Abramovich, F. and Aykroyd, R.G. and West, R.M. and Meng, S. and Butucea, C. and Cavalier, L. and Cressie, N. and Davy, M. and De Canditiis, D. and Pensky, M. and Golubev, Yu. and Hoffman, R.N. and Khabie-Zeitoune, E. and Munk, A. and Ruymgaart, F.H. and Olhede, S.C. and Tsybakov, A. and Wahba, G. and Johnstone, I.M. and Kerkyacharian, G. and Picard, D. and Raimondo, M. and Wolfe, P.J. and Godsill, S.J. and Ng, W.-J. and Haario, H. and Laine, M. and Lehtinen, M. and Saksman, E. and Tamminen, J. and Cornford, D. and Csató, L. and Evans, D.J. and Opper, M.},
    title={Dicussion on the meeting on 'Statistical approaches to inverse problems'},
    journal={Journal of the Royal Statistical Society. Series B: Statistical Methodology},
    year={2004},
    volume={66},
    number={3},
    pages={627-652},
    doi={10.1111/j.1467-9868.2004.2060d.x},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-3543029866&doi=10.1111%2fj.1467-9868.2004.2060d.x&partnerID=40&md5=2248eed47eeba4507b850cf6aa116606},
    document_type={Conference Paper},
    source={Scopus},
    }
  • Bilateral control with vertical contracts

    Rand journal of economics, vol. 35, iss. 4, pp. 728-746, 2004.

    By P. Rey and T. Verge

    [DOI] [Bibtex]

    @ARTICLE{Rey2004728,
    author={Rey, P. and Verge, T.},
    title={Bilateral control with vertical contracts},
    journal={RAND Journal of Economics},
    year={2004},
    volume={35},
    number={4},
    pages={728-746},
    doi={10.2307/1593770},
    note={cited By 94},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-17044363611&doi=10.2307%2f1593770&partnerID=40&md5=0e6a650f0d6d92a98184385be7161514},
    document_type={Article},
    source={Scopus},
    }

2003

  • Consistent and asymptotically normal estimators for cyclically time-dependent linear models

    Annals of the institute of statistical mathematics, vol. 55, iss. 1, pp. 41-68, 2003.

    By A. Bibi and C. Francq

    [DOI] [Bibtex]

    @ARTICLE{Bibi200341,
    author={Bibi, A. and Francq, C.},
    title={Consistent and asymptotically normal estimators for cyclically time-dependent linear models},
    journal={Annals of the Institute of Statistical Mathematics},
    year={2003},
    volume={55},
    number={1},
    pages={41-68},
    doi={10.1023/A:1024674428698},
    note={cited By 21},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-12444297522&doi=10.1023%2fA%3a1024674428698&partnerID=40&md5=d8acbf382d6c2b31ff4f6fa4214e8bed},
    document_type={Article},
    source={Scopus},
    }
  • Nonparametric estimation of competing risks models with covariates

    Journal of multivariate analysis, vol. 85, iss. 1, pp. 156-191, 2003.

    By J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Fermanian2003156,
    author={Fermanian, J.-D.},
    title={Nonparametric estimation of competing risks models with covariates},
    journal={Journal of Multivariate Analysis},
    year={2003},
    volume={85},
    number={1},
    pages={156-191},
    doi={10.1016/S0047-259X(02)00069-6},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0038367861&doi=10.1016%2fS0047-259X%2802%2900069-6&partnerID=40&md5=d2c18d88918e36753787e21cae466a78},
    document_type={Article},
    source={Scopus},
    }

2002

  • Efficient use of higher-lag autocorrelations for estimating autoregressive processes

    Journal of time series analysis, vol. 23, iss. 3, pp. 287-312, 2002.

    By L. Broze, C. Francq, and J. M. Zakoiani

    [DOI] [Bibtex]

    @ARTICLE{Broze2002EfficientProcesses,
    author = {Laurence Broze and Christian Francq and Jean Michel Zakoiani},
    title = {{Efficient use of higher-lag autocorrelations for estimating autoregressive processes}},
    journal = {Journal of Time Series Analysis},
    year = {2002},
    volume = {23},
    number = {3},
    pages = {287-312},
    doi = {10.1111/1467-9892.00265}}
  • Comments on the paper by minxian yang: “some properties of vector autoregressive processes with markov-switching coefficients”

    Econometric theory, vol. 18, iss. 3, pp. 815-818, 2002.

    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Franco2002815,
    author={Franco, C. and Zakoian, J.-M.},
    title={Comments on the paper by Minxian Yang: "Some properties of vector autoregressive processes with Markov-switching coefficients"},
    journal={Econometric Theory},
    year={2002},
    volume={18},
    number={3},
    pages={815-818},
    doi={10.1017/S0266466602183125},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036627459&doi=10.1017%2fS0266466602183125&partnerID=40&md5=13789f5b1d8a5a40996949ba31515913},
    document_type={Review},
    source={Scopus},
    }
  • Nonparametric estimation of density, regression and dependence coefficients

    Journal of nonparametric statistics, vol. 14, iss. 6, pp. 729-747, 2002.

    By C. Francq and L. T. Tran

    [DOI] [Bibtex]

    @ARTICLE{Francq2002729,
    author={Francq, C. and Tran, L.T.},
    title={Nonparametric estimation of density, regression and dependence coefficients},
    journal={Journal of Nonparametric Statistics},
    year={2002},
    volume={14},
    number={6},
    pages={729-747},
    doi={10.1080/10485250215316},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0036904092&doi=10.1080%2f10485250215316&partnerID=40&md5=4ead8ea011e980bf098f38bc24fe605f},
    document_type={Article},
    source={Scopus},
    }
  • Autocovariance structure of powers of switching-regime arma processes

    Esaim – probability and statistics, vol. 6, pp. 259-270, 2002.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2002259,
    author={Francq, C. and Zakoian, J.-M.},
    title={Autocovariance structure of powers of switching-regime ARMA processes},
    journal={ESAIM - Probability and Statistics},
    year={2002},
    volume={6},
    pages={259-270},
    doi={10.1051/ps:2002014},
    note={cited By 13},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0037002888&doi=10.1051%2fps%3a2002014&partnerID=40&md5=c49ffeb1c49c74e4ca139ccab83aab98},
    document_type={Article},
    source={Scopus},
    }
  • Nonlinear autocorrelograms: an application to inter-trade durations

    Journal of time series analysis, vol. 23, iss. 2, pp. 127-154, 2002.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2002127,
    author={Gourieroux, C. and Jasiak, J.},
    title={Nonlinear autocorrelograms: An application to inter-trade durations},
    journal={Journal of Time Series Analysis},
    year={2002},
    volume={23},
    number={2},
    pages={127-154},
    doi={10.1111/1467-9892.00259},
    note={cited By 14},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-19044363771&doi=10.1111%2f1467-9892.00259&partnerID=40&md5=7c06f2936249e4d3456bc6e79a719e05},
    document_type={Article},
    source={Scopus},
    }

2001

  • Non-redundancy of high order moment conditions for efficient gmm estimation of weak ar processes

    Economics letters, vol. 71, iss. 3, pp. 317-322, 2001.

    By L. Broze, C. Francq, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Broze2001317,
    author={Broze, L. and Francq, C. and Zakoian, J.-M.},
    title={Non-redundancy of high order moment conditions for efficient GMM estimation of weak AR processes},
    journal={Economics Letters},
    year={2001},
    volume={71},
    number={3},
    pages={317-322},
    doi={10.1016/S0165-1765(01)00387-1},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035614562&doi=10.1016%2fS0165-1765%2801%2900387-1&partnerID=40&md5=36a85460cf769bfc415715b42b69f8aa},
    document_type={Article},
    source={Scopus},
    }
  • Truncated dynamics and estimation of diffusion equations

    Journal of econometrics, vol. 102, iss. 1, pp. 1-22, 2001.

    By S. Darolles and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Darolles20011,
    author={Darolles, S. and Gourieroux, C.},
    title={Truncated dynamics and estimation of diffusion equations},
    journal={Journal of Econometrics},
    year={2001},
    volume={102},
    number={1},
    pages={1-22},
    doi={10.1016/S0304-4076(00)00085-3},
    note={cited By 9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18044403136&doi=10.1016%2fS0304-4076%2800%2900085-3&partnerID=40&md5=5aec5f64f57a52c14e94646d40a60f58},
    document_type={Article},
    source={Scopus},
    }
  • Factor arma representation of a markov process

    Economics letters, vol. 71, iss. 2, pp. 165-171, 2001.

    By S. Darolles, J. -P. Florens, and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Darolles2001165,
    author={Darolles, S. and Florens, J.-P. and Gourieroux, C.},
    title={Factor ARMA representation of a Markov process},
    journal={Economics Letters},
    year={2001},
    volume={71},
    number={2},
    pages={165-171},
    doi={10.1016/S0165-1765(01)00367-6},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035589357&doi=10.1016%2fS0165-1765%2801%2900367-6&partnerID=40&md5=71f151633b35190af97beba722260c7c},
    document_type={Article},
    source={Scopus},
    }
  • Contemporaneous asymmetry in garch processes

    Journal of econometrics, vol. 101, iss. 2, pp. 257-294, 2001.

    By M. El Babsiri and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{ElBabsiri2001257,
    author={El Babsiri, M. and Zakoian, J.-M.},
    title={Contemporaneous asymmetry in GARCH processes},
    journal={Journal of Econometrics},
    year={2001},
    volume={101},
    number={2},
    pages={257-294},
    doi={10.1016/S0304-4076(00)00084-1},
    note={cited By 30},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0012680138&doi=10.1016%2fS0304-4076%2800%2900084-1&partnerID=40&md5=364fcffff8f38bc670ae5c43686c554a},
    document_type={Article},
    source={Scopus},
    }
  • Lower bounds on bandwidth selection in hazard estimation

    Journal of nonparametric statistics, vol. 13, iss. 4, pp. 515-567, 2001.

    By J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Fermanian2001515,
    author={Fermanian, J.-D.},
    title={Lower bounds on bandwidth selection in hazard estimation},
    journal={Journal of Nonparametric Statistics},
    year={2001},
    volume={13},
    number={4},
    pages={515-567},
    doi={10.1080/10485250108832864},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0347748074&doi=10.1080%2f10485250108832864&partnerID=40&md5=5db5d82b4f27627ba67a00db93758636},
    document_type={Article},
    source={Scopus},
    }
  • Stationarity of multivariate markov-switching arma models

    Journal of econometrics, vol. 102, iss. 2, pp. 339-364, 2001.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2001339,
    author={Francq, C. and Zakoian, J.-M.},
    title={Stationarity of multivariate Markov-switching ARMA models},
    journal={Journal of Econometrics},
    year={2001},
    volume={102},
    number={2},
    pages={339-364},
    doi={10.1016/S0304-4076(01)00057-4},
    note={cited By 124},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-18044399313&doi=10.1016%2fS0304-4076%2801%2900057-4&partnerID=40&md5=93cafb0a4fa9f846fa475b47d42ab128},
    document_type={Article},
    source={Scopus},
    }
  • Conditional heteroskedasticity driven by hidden markov chains

    Journal of time series analysis, vol. 22, iss. 2, pp. 197-220, 2001.

    By C. Francq, M. Roussignol, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2001197,
    author={Francq, C. and Roussignol, M. and Zakoian, J.-M.},
    title={Conditional heteroskedasticity driven by hidden Markov chains},
    journal={Journal of Time Series Analysis},
    year={2001},
    volume={22},
    number={2},
    pages={197-220},
    doi={10.1111/1467-9892.00219},
    note={cited By 54},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0039296750&doi=10.1111%2f1467-9892.00219&partnerID=40&md5=7aad5dc4a2fa94aade25743d33bfbb23},
    document_type={Article},
    source={Scopus},
    }
  • Dynamic factor models

    Econometric reviews, vol. 20, iss. 4, pp. 385-424, 2001.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2001385,
    author={Gourieroux, C. and Jasiak, J.},
    title={Dynamic factor models},
    journal={Econometric Reviews},
    year={2001},
    volume={20},
    number={4},
    pages={385-424},
    doi={10.1081/ETC-100106997},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-1642284774&doi=10.1081%2fETC-100106997&partnerID=40&md5=89f0382a6a03b2c33c7519bd00fe250e},
    document_type={Article},
    source={Scopus},
    }
  • State-space models with finite dimensional dependence

    Journal of time series analysis, vol. 22, iss. 6, pp. 665-678, 2001.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2001665,
    author={Gourieroux, C. and Jasiak, J.},
    title={State-space models with finite dimensional dependence},
    journal={Journal of Time Series Analysis},
    year={2001},
    volume={22},
    number={6},
    pages={665-678},
    doi={10.1111/1467-9892.00247},
    note={cited By 9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0039146064&doi=10.1111%2f1467-9892.00247&partnerID=40&md5=eecddae057fa40f423b247679689af2d},
    document_type={Article},
    source={Scopus},
    }
  • Memory and infrequent breaks

    Economics letters, vol. 70, iss. 1, pp. 29-41, 2001.

    By C. Gourieroux and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux200129,
    author={Gourieroux, C. and Jasiak, J.},
    title={Memory and infrequent breaks},
    journal={Economics Letters},
    year={2001},
    volume={70},
    number={1},
    pages={29-41},
    doi={10.1016/S0165-1765(00)00346-3},
    note={cited By 65},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035545521&doi=10.1016%2fS0165-1765%2800%2900346-3&partnerID=40&md5=f3fbf7542b7c0100f2e776a871bb9ab7},
    document_type={Article},
    source={Scopus},
    }
  • Local power properties of kernel based goodness of fit tests

    Journal of multivariate analysis, vol. 78, iss. 2, pp. 161-190, 2001.

    By C. Gourieroux and C. Tenreiro

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2001161,
    author={Gourieroux, C. and Tenreiro, C.},
    title={Local power properties of kernel based goodness of fit tests},
    journal={Journal of Multivariate Analysis},
    year={2001},
    volume={78},
    number={2},
    pages={161-190},
    doi={10.1006/jmva.2000.1950},
    note={cited By 15},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0035429655&doi=10.1006%2fjmva.2000.1950&partnerID=40&md5=825d35ffafdf50ea85b7a1081cbe709d},
    document_type={Article},
    source={Scopus},
    }

2000

  • Econometric specification of the risk neutral valuation model

    Journal of econometrics, vol. 94, iss. 1-2, pp. 117-143, 2000.

    By E. Clement, C. Gourieroux, and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Clement2000117,
    author={Clement, E. and Gourieroux, C. and Monfort, A.},
    title={Econometric specification of the risk neutral valuation model},
    journal={Journal of Econometrics},
    year={2000},
    volume={94},
    number={1-2},
    pages={117-143},
    doi={10.1016/S0304-4076(99)00019-6},
    art_number={2063},
    note={cited By 5},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0346932402&doi=10.1016%2fS0304-4076%2899%2900019-6&partnerID=40&md5=0d964d76b370755251e95c7bf8c52d6b},
    document_type={Article},
    source={Scopus},
    }
  • Estimating weak garch representations

    Econometric theory, vol. 16, iss. 5, pp. 692-728, 2000.

    By C. Franco and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Franco2000692,
    author={Franco, C. and Zakoian, J.-M.},
    title={Estimating weak garch representations},
    journal={Econometric Theory},
    year={2000},
    volume={16},
    number={5},
    pages={692-728},
    doi={10.1017/s0266466600165041},
    note={cited By 17},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034359589&doi=10.1017%2fs0266466600165041&partnerID=40&md5=2baa77e02f0f0f7bc5eaa4ad68496c4d},
    document_type={Article},
    source={Scopus},
    }
  • Stationarity of markov-switching arma models [stationnarite des modeles arma a changement de regime markovien]

    Comptes rendus de l’academie des sciences – series i: mathematics, vol. 330, iss. 11, pp. 1031-1034, 2000.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq20001031,
    author={Francq, C. and Zakoian, J.-M.},
    title={Stationarity of Markov-switching ARMA models [Stationnarite des modeles ARMA a changement de regime markovien]},
    journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
    year={2000},
    volume={330},
    number={11},
    pages={1031-1034},
    doi={10.1016/s0764-4442(00)00302-5},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034196324&doi=10.1016%2fs0764-4442%2800%2900302-5&partnerID=40&md5=fe724e49e9b3513eeb69fec74cb88ec7},
    document_type={Article},
    source={Scopus},
    }
  • Markov-switching arch models [modeles arch avec changement de regime markovien]

    Comptes rendus de l’academie des sciences – series i: mathematics, vol. 330, iss. 10, pp. 921-924, 2000.

    By C. Francq, M. Roussignol, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2000921,
    author={Francq, C. and Roussignol, M. and Zakoian, J.-M.},
    title={Markov-switching ARCH models [Modeles ARCH avec changement de regime markovien]},
    journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
    year={2000},
    volume={330},
    number={10},
    pages={921-924},
    doi={10.1016/s0764-4442(00)00291-3},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034656478&doi=10.1016%2fs0764-4442%2800%2900291-3&partnerID=40&md5=afd976e9c1796e00160289a3407be94b},
    document_type={Article},
    source={Scopus},
    }
  • Covariance matrix estimation for estimators of mixing weak arma models

    Journal of statistical planning and inference, vol. 83, iss. 2, pp. 369-394, 2000.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2000369,
    author={Francq, C. and Zakoian, J.-M.},
    title={Covariance matrix estimation for estimators of mixing weak ARMA models},
    journal={Journal of Statistical Planning and Inference},
    year={2000},
    volume={83},
    number={2},
    pages={369-394},
    doi={10.1016/s0378-3758(99)00109-3},
    note={cited By 22},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0011422677&doi=10.1016%2fs0378-3758%2899%2900109-3&partnerID=40&md5=222c9a63e3af8334a027b5ebeb3371c3},
    document_type={Article},
    source={Scopus},
    }
  • Multivariate arma models with generalized autoregressive linear innovation

    Stochastic analysis and applications, vol. 18, iss. 2, pp. 231-260, 2000.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq2000231,
    author={Francq, C. and Zakoian, J.-M.},
    title={Multivariate arma models with generalized autoregressive linear innovation},
    journal={Stochastic Analysis and Applications},
    year={2000},
    volume={18},
    number={2},
    pages={231-260},
    doi={10.1080/07362990008809666},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0034339356&doi=10.1080%2f07362990008809666&partnerID=40&md5=663ea858974e82b899fd524b44b2f89a},
    document_type={Article},
    source={Scopus},
    }
  • Sensitivity analysis of values at risk

    Journal of empirical finance, vol. 7, iss. 3-4, pp. 225-245, 2000.

    By C. Gourieroux, J. P. Laurent, and O. Scaillet

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux2000225,
    author={Gourieroux, C. and Laurent, J.P. and Scaillet, O.},
    title={Sensitivity analysis of Values at Risk},
    journal={Journal of Empirical Finance},
    year={2000},
    volume={7},
    number={3-4},
    pages={225-245},
    doi={10.1016/S0927-5398(00)00011-6},
    note={cited By 172},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000740327&doi=10.1016%2fS0927-5398%2800%2900011-6&partnerID=40&md5=b1e3f4e99fc90c32296a127d9398cc4e},
    document_type={Article},
    source={Scopus},
    }

1999

  • Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivaries

    Canadian journal of statistics, vol. 27, iss. 3, pp. 525-546, 1999.

    By A. Berlinet and C. Francq

    [DOI] [Bibtex]

    @ARTICLE{Berlinet1999525,
    author={Berlinet, A. and Francq, C.},
    title={Estimation du comportement asymptotique des autocovariances et autocorrelations empiriques de processus multivaries},
    journal={Canadian Journal of Statistics},
    year={1999},
    volume={27},
    number={3},
    pages={525-546},
    doi={10.2307/3316109},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033263684&doi=10.2307%2f3316109&partnerID=40&md5=86979dfa9b3bdd3ce1e5ebceefc9789b},
    document_type={Article},
    source={Scopus},
    }
  • Bayesian estimation of switching arma models

    Journal of econometrics, vol. 93, iss. 2, pp. 229-255, 1999.

    By M. Billio, A. Monfort, and C. P. Robert

    [DOI] [Bibtex]

    @ARTICLE{Billio1999229,
    author={Billio, M. and Monfort, A. and Robert, C.P.},
    title={Bayesian estimation of switching ARMA models},
    journal={Journal of Econometrics},
    year={1999},
    volume={93},
    number={2},
    pages={229-255},
    doi={10.1016/S0304-4076(99)00010-X},
    note={cited By 37},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001958038&doi=10.1016%2fS0304-4076%2899%2900010-X&partnerID=40&md5=a165d6c95e81d778f58f986177ef2d58},
    document_type={Article},
    source={Scopus},
    }
  • A new bandwidth selector in hazard estimation

    Journal of nonparametric statistics, vol. 10, iss. 2, pp. 137-182, 1999.

    By J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Fermanian1999137,
    author={Fermanian, J.-D.},
    title={A new bandwidth selector in hazard estimation},
    journal={Journal of Nonparametric Statistics},
    year={1999},
    volume={10},
    number={2},
    pages={137-182},
    doi={10.1080/10485259908832758},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345825183&doi=10.1080%2f10485259908832758&partnerID=40&md5=6aa67dd02579c1635ebc7c9239e0d4c4},
    document_type={Article},
    source={Scopus},
    }
  • Arma models with bilinear innovations

    Communications in statistics. part c: stochastic models, vol. 15, iss. 1, pp. 29-52, 1999.

    By C. Francq

    [DOI] [Bibtex]

    @ARTICLE{Francq199929,
    author={Francq, C.},
    title={ARMA models with bilinear innovations},
    journal={Communications in Statistics. Part C: Stochastic Models},
    year={1999},
    volume={15},
    number={1},
    pages={29-52},
    doi={10.1080/15326349908807524},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0013355333&doi=10.1080%2f15326349908807524&partnerID=40&md5=5940b472136d57dea7f412b02e3a1122},
    document_type={Article},
    source={Scopus},
    }
  • The econometrics of risk classification in insurance

    Geneva papers on risk and insurance theory, vol. 24, iss. 2, pp. 119-137, 1999.

    By C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1999119,
    author={Gourieroux, C.},
    title={The Econometrics of Risk Classification in Insurance},
    journal={GENEVA Papers on Risk and Insurance Theory},
    year={1999},
    volume={24},
    number={2},
    pages={119-137},
    doi={10.1023/A:1008725710136},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345759743&doi=10.1023%2fA%3a1008725710136&partnerID=40&md5=0ff4299d2ddd3249d5634ba431ad9a3f},
    document_type={Article},
    source={Scopus},
    }
  • Econometrics of efficient fitted portfolios

    Journal of empirical finance, vol. 6, iss. 1, pp. 87-118, 1999.

    By C. Gourieroux and F. Jouneau

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux199987,
    author={Gourieroux, C. and Jouneau, F.},
    title={Econometrics of efficient fitted portfolios},
    journal={Journal of Empirical Finance},
    year={1999},
    volume={6},
    number={1},
    pages={87-118},
    doi={10.1016/S0927-5398(98)00010-3},
    note={cited By 12},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0005899355&doi=10.1016%2fS0927-5398%2898%2900010-3&partnerID=40&md5=c34e1a4f39617562893a58d366f5eec5},
    document_type={Article},
    source={Scopus},
    }
  • Intra-day market activity

    Journal of financial markets, vol. 2, iss. 3, pp. 193-226, 1999.

    By C. Gourieroux, J. Jasiak, and G. Le Fol

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1999193,
    author={Gourieroux, C. and Jasiak, J. and Le Fol, G.},
    title={Intra-day market activity},
    journal={Journal of Financial Markets},
    year={1999},
    volume={2},
    number={3},
    pages={193-226},
    doi={10.1016/S1386-4181(99)00004-X},
    note={cited By 58},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0033175553&doi=10.1016%2fS1386-4181%2899%2900004-X&partnerID=40&md5=6601009937c7e0fb202fec96571037e1},
    document_type={Article},
    source={Scopus},
    }

1998

  • Switching state-space models likelihood function, filtering and smoothing

    Journal of statistical planning and inference, vol. 68, iss. 1, pp. 65-103, 1998.

    By M. Billio and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Billio199865,
    author={Billio, M. and Monfort, A.},
    title={Switching state-space models likelihood function, filtering and smoothing},
    journal={Journal of Statistical Planning and Inference},
    year={1998},
    volume={68},
    number={1},
    pages={65-103},
    doi={10.1016/S0378-3758(97)00136-5},
    note={cited By 14},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063451&doi=10.1016%2fS0378-3758%2897%2900136-5&partnerID=40&md5=ba3b9f849f6c70df14978d271286b96d},
    document_type={Article},
    source={Scopus},
    }
  • Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators

    Journal of econometrics, vol. 85, iss. 1, pp. 75-98, 1998.

    By L. Broze and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Broze199875,
    author={Broze, L. and Gourieroux, C.},
    title={Pseudo-maximum likelihood method, adjusted pseudo-maximum likelihood method and covariance estimators},
    journal={Journal of Econometrics},
    year={1998},
    volume={85},
    number={1},
    pages={75-98},
    doi={10.1016/S0304-4076(97)00095-X},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041350478&doi=10.1016%2fS0304-4076%2897%2900095-X&partnerID=40&md5=73bf3de96354a044bd0423f50c920e9e},
    document_type={Article},
    source={Scopus},
    }
  • Quasi-indirect inference for diffusion processes

    Econometric theory, vol. 14, iss. 2, pp. 161-186, 1998.

    By L. Broze, O. Scaillet, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Broze1998161,
    author={Broze, L. and Scaillet, O. and Zakoian, J.-M.},
    title={Quasi-indirect inference for diffusion processes},
    journal={Econometric Theory},
    year={1998},
    volume={14},
    number={2},
    pages={161-186},
    doi={10.1017/s0266466698142019},
    note={cited By 25},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032329416&doi=10.1017%2fs0266466698142019&partnerID=40&md5=a03b56f2ccc9687ea3cb43b45523a4f2},
    document_type={Article},
    source={Scopus},
    }
  • Instrumental models and indirect encompassing

    Econometrica, vol. 66, iss. 3, pp. 673-688, 1998.

    By G. Dhaene, C. Gourieroux, and O. Scaillet

    [DOI] [Bibtex]

    @ARTICLE{Dhaene1998673,
    author={Dhaene, G. and Gourieroux, C. and Scaillet, O.},
    title={Instrumental models and indirect encompassing},
    journal={Econometrica},
    year={1998},
    volume={66},
    number={3},
    pages={673-688},
    doi={10.2307/2998579},
    note={cited By 9},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0010742736&doi=10.2307%2f2998579&partnerID=40&md5=301e799de0ea68ff9d1f206cdc7d8615},
    document_type={Article},
    source={Scopus},
    }
  • Estimating linear representations of nonlinear processes

    Journal of statistical planning and inference, vol. 68, iss. 1, pp. 145-165, 1998.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq1998145,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimating linear representations of nonlinear processes},
    journal={Journal of Statistical Planning and Inference},
    year={1998},
    volume={68},
    number={1},
    pages={145-165},
    doi={10.1016/S0378-3758(97)00139-0},
    note={cited By 58},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032063592&doi=10.1016%2fS0378-3758%2897%2900139-0&partnerID=40&md5=8cd68488baf1d28371901a9f1a93fdf7},
    document_type={Article},
    source={Scopus},
    }
  • Covariance matrix estimation for estimators of weak arma models [estimation de la precision asymptotique dans l’estimation de modeles arma faibles]

    Comptes rendus de l’academie des sciences – series i: mathematics, vol. 326, iss. 3, pp. 377-380, 1998.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq1998377,
    author={Francq, C. and Zakoian, J.-M.},
    title={Covariance matrix estimation for estimators of weak ARMA models [Estimation de la precision asymptotique dans l'estimation de modeles ARMA faibles]},
    journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
    year={1998},
    volume={326},
    number={3},
    pages={377-380},
    doi={10.1016/s0764-4442(97)82998-9},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-17044451140&doi=10.1016%2fs0764-4442%2897%2982998-9&partnerID=40&md5=bdabaacabb8b0f970107ab93f6e8b241},
    document_type={Article},
    source={Scopus},
    }
  • Ergodicity of autoregressive processes with markov-switching and consistency of the maximum-likelihood estimator

    Statistics, vol. 32, iss. 2, pp. 151-173, 1998.

    By C. Francq and M. Roussignol

    [DOI] [Bibtex]

    @ARTICLE{Francq1998151,
    author={Francq, C. and Roussignol, M.},
    title={Ergodicity of Autoregressive Processes with Markov-switching and Consistency of the Maximum-likelihood Estimator},
    journal={Statistics},
    year={1998},
    volume={32},
    number={2},
    pages={151-173},
    doi={10.1080/02331889808802659},
    note={cited By 26},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-11744382461&doi=10.1080%2f02331889808802659&partnerID=40&md5=6147d4001f476aff88da610c2bc904d8},
    document_type={Article},
    source={Scopus},
    }
  • Estimating weak garch representations [estimation de representations garch faibles]

    Comptes rendus de l’academie des sciences – series i: mathematics, vol. 326, iss. 4, pp. 495-498, 1998.

    By C. Francq and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Francq1998495,
    author={Francq, C. and Zakoian, J.-M.},
    title={Estimating weak GARCH representations [Estimation de representations GARCH faibles]},
    journal={Comptes Rendus de l'Academie des Sciences - Series I: Mathematics},
    year={1998},
    volume={326},
    number={4},
    pages={495-498},
    doi={10.1016/S0764-4442(97)89798-4},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0040675179&doi=10.1016%2fS0764-4442%2897%2989798-4&partnerID=40&md5=70bd66d141ffa5d1fa76896f1a49081f},
    document_type={Article},
    source={Scopus},
    }
  • Kernel autocorrelogram for time-deformed processes

    Journal of statistical planning and inference, vol. 68, iss. 1, pp. 167-191, 1998.

    By E. Ghysels, C. Gourieroux, and J. Jasiak

    [DOI] [Bibtex]

    @ARTICLE{Ghysels1998167,
    author={Ghysels, E. and Gourieroux, C. and Jasiak, J.},
    title={Kernel autocorrelogram for time-deformed processes},
    journal={Journal of Statistical Planning and Inference},
    year={1998},
    volume={68},
    number={1},
    pages={167-191},
    doi={10.1016/S0378-3758(97)00140-7},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032065990&doi=10.1016%2fS0378-3758%2897%2900140-7&partnerID=40&md5=d2a201962c6feb0c1066f37f64de7481},
    document_type={Article},
    source={Scopus},
    }
  • Mean-variance hedging and numeraire

    Mathematical finance, vol. 8, iss. 3, pp. 179-200, 1998.

    By C. Gourieroux, J. P. Laurent, and H. Pham

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1998179,
    author={Gourieroux, C. and Laurent, J.P. and Pham, H.},
    title={Mean-variance hedging and numeraire},
    journal={Mathematical Finance},
    year={1998},
    volume={8},
    number={3},
    pages={179-200},
    doi={10.1111/1467-9965.00052},
    note={cited By 105},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032114522&doi=10.1111%2f1467-9965.00052&partnerID=40&md5=f90ff7aa9e2ecc3d485bffa50e4e6502},
    document_type={Article},
    source={Scopus},
    }
  • Nonparametric vector autoregression

    Journal of statistical planning and inference, vol. 68, iss. 2, pp. 221-245, 1998.

    By W. Hardle, A. Tsybakov, and L. Yang

    [DOI] [Bibtex]

    @ARTICLE{Hardle1998221,
    author={Hardle, W. and Tsybakov, A. and Yang, L.},
    title={Nonparametric vector autoregression},
    journal={Journal of Statistical Planning and Inference},
    year={1998},
    volume={68},
    number={2},
    pages={221-245},
    doi={10.1016/s0378-3758(97)00143-2},
    note={cited By 53},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0032523349&doi=10.1016%2fs0378-3758%2897%2900143-2&partnerID=40&md5=c8e8f6df184f93512106fde56597ec51},
    document_type={Article},
    source={Scopus},
    }

1997

  • On bartlett’s formula for non-linear processes

    Journal of time series analysis, vol. 18, iss. 6, pp. 535-552, 1997.

    By A. Berlinet and C. Francq

    [DOI] [Bibtex]

    @ARTICLE{Berlinet1997535,
    author={Berlinet, A. and Francq, C.},
    title={On Bartlett's formula for non-linear processes},
    journal={Journal of Time Series Analysis},
    year={1997},
    volume={18},
    number={6},
    pages={535-552},
    doi={10.1111/1467-9892.00067},
    note={cited By 14},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0347739270&doi=10.1111%2f1467-9892.00067&partnerID=40&md5=7dee9925b06c1eeafaf4bbda98173e74},
    document_type={Article},
    source={Scopus},
    }
  • Rank tests for unit roots

    Journal of econometrics, vol. 81, iss. 1, pp. 7-27, 1997.

    By J. Breitung and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Breitung19977,
    author={Breitung, J. and Gourieroux, C.},
    title={Rank tests for unit roots},
    journal={Journal of Econometrics},
    year={1997},
    volume={81},
    number={1},
    pages={7-27},
    doi={10.1016/S0304-4076(97)00031-6},
    note={cited By 35},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0010050495&doi=10.1016%2fS0304-4076%2897%2900031-6&partnerID=40&md5=96d417aec39b577c3530a7d8632fc0f6},
    document_type={Article},
    source={Scopus},
    }
  • Multivariate hazard rates under random censorship

    Journal of multivariate analysis, vol. 62, iss. 2, pp. 273-309, 1997.

    By J. -D. Fermanian

    [DOI] [Bibtex]

    @ARTICLE{Fermanian1997273,
    author={Fermanian, J.-D.},
    title={Multivariate hazard rates under random censorship},
    journal={Journal of Multivariate Analysis},
    year={1997},
    volume={62},
    number={2},
    pages={273-309},
    doi={10.1006/jmva.1997.1692},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0031211788&doi=10.1006%2fjmva.1997.1692&partnerID=40&md5=7d710324f40c2ae6548d4e722f90dab6},
    document_type={Article},
    source={Scopus},
    }
  • On white noises driven by hidden markov chains

    Journal of time series analysis, vol. 18, iss. 6, pp. 553-578, 1997.

    By C. Francq and M. Roussignol

    [DOI] [Bibtex]

    @ARTICLE{Francq1997553,
    author={Francq, C. and Roussignol, M.},
    title={On white noises driven by hidden Markov chains},
    journal={Journal of Time Series Analysis},
    year={1997},
    volume={18},
    number={6},
    pages={553-578},
    doi={10.1111/1467-9892.00068},
    note={cited By 20},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001225880&doi=10.1111%2f1467-9892.00068&partnerID=40&md5=8c406b1c10984210f2321eaf83bf8c82},
    document_type={Article},
    source={Scopus},
    }
  • Unemployment insurance and mortgages

    Insurance: mathematics and economics, vol. 20, iss. 3, pp. 173-195, 1997.

    By C. Gourieroux and O. Scaillet

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1997173,
    author={Gourieroux, C. and Scaillet, O.},
    title={Unemployment insurance and mortgages},
    journal={Insurance: Mathematics and Economics},
    year={1997},
    volume={20},
    number={3},
    pages={173-195},
    doi={10.1016/S0167-6687(97)00003-6},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0031572639&doi=10.1016%2fS0167-6687%2897%2900003-6&partnerID=40&md5=63b0650aefe5eb0dbd5af488cf14722f},
    document_type={Article},
    source={Scopus},
    }
  • A count data model with unobserved heterogeneity

    Journal of econometrics, vol. 79, iss. 2, pp. 247-268, 1997.

    By C. Gourieroux and M. Visser

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1997247,
    author={Gourieroux, C. and Visser, M.},
    title={A count data model with unobserved heterogeneity},
    journal={Journal of Econometrics},
    year={1997},
    volume={79},
    number={2},
    pages={247-268},
    doi={10.1016/S0304-4076(97)00022-5},
    note={cited By 20},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0041544142&doi=10.1016%2fS0304-4076%2897%2900022-5&partnerID=40&md5=815cee8375b78a1a52b5935a613cdd1e},
    document_type={Article},
    source={Scopus},
    }

1996

  • A model for the am (km) planetary geomagnetic activity index and application to prediction

    Geophysical journal international, vol. 125, iss. 3, pp. 729-746, 1996.

    By C. Francq and M. Menvielle

    [DOI] [Bibtex]

    @ARTICLE{Francq1996729,
    author={Francq, C. and Menvielle, M.},
    title={A model for the am (Km) planetary geomagnetic activity index and application to prediction},
    journal={Geophysical Journal International},
    year={1996},
    volume={125},
    number={3},
    pages={729-746},
    doi={10.1111/j.1365-246X.1996.tb06020.x},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0029729942&doi=10.1111%2fj.1365-246X.1996.tb06020.x&partnerID=40&md5=0dfa44c6cf707781bc0afad2479f62ec},
    document_type={Article},
    source={Scopus},
    }
  • Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form

    Journal of statistical planning and inference, vol. 50, iss. 1, pp. 37-63, 1996.

    By C. Gourieroux, A. Monfort, and E. Renault

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux199637,
    author={Gourieroux, C. and Monfort, A. and Renault, E.},
    title={Two-stage generalized moment method with applications to regressions with heteroscedasticity of unknown form},
    journal={Journal of Statistical Planning and Inference},
    year={1996},
    volume={50},
    number={1},
    pages={37-63},
    doi={10.1016/0378-3758(95)00044-5},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0030584334&doi=10.1016%2f0378-3758%2895%2900044-5&partnerID=40&md5=8d1aeb73f2f5a9a91b3ec3ba1d88973e},
    document_type={Article},
    source={Scopus},
    }
  • A reappraisal of misspecified econometric models

    Econometric theory, vol. 12, iss. 4, pp. 597-619, 1996.

    By A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Monfort1996597,
    author={Monfort, A.},
    title={A reappraisal of misspecified econometric models},
    journal={Econometric Theory},
    year={1996},
    volume={12},
    number={4},
    pages={597-619},
    doi={10.1017/s0266466600006952},
    note={cited By 13},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0030502804&doi=10.1017%2fs0266466600006952&partnerID=40&md5=41d04ca6967aa78d5b9e19a170fc9d14},
    document_type={Article},
    source={Scopus},
    }

1995

  • Solutions of multivariate rational expectations models

    Econometric theory, vol. 11, iss. 2, pp. 229-257, 1995.

    By L. Broze, C. Gourieroux, and A. Szafarz

    [DOI] [Bibtex]

    @ARTICLE{Broze1995229,
    author={Broze, L. and Gourieroux, C. and Szafarz, A.},
    title={Solutions of multivariate rational expectations models},
    journal={Econometric Theory},
    year={1995},
    volume={11},
    number={2},
    pages={229-257},
    doi={10.1017/S0266466600009154},
    note={cited By 11},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84974191754&doi=10.1017%2fS0266466600009154&partnerID=40&md5=bdc920776cd3d6242bb96b40d839e1d0},
    document_type={Article},
    source={Scopus},
    }
  • Testing for continuous-time models of the short-term interest rate

    Journal of empirical finance, vol. 2, iss. 3, pp. 199-223, 1995.

    By L. Broze, O. Scaillet, and J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Broze1995199,
    author={Broze, L. and Scaillet, O. and Zakoian, J.-M.},
    title={Testing for continuous-time models of the short-term interest rate},
    journal={Journal of Empirical Finance},
    year={1995},
    volume={2},
    number={3},
    pages={199-223},
    doi={10.1016/0927-5398(95)00003-D},
    note={cited By 42},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000113487&doi=10.1016%2f0927-5398%2895%2900003-D&partnerID=40&md5=fe49849a51d1814f4fc5421a7346d8a0},
    document_type={Article},
    source={Scopus},
    }
  • Prepayment analysis for securitization

    Journal of empirical finance, vol. 2, iss. 1, pp. 45-70, 1995.

    By M. De Toldi, C. Gourieroux, and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{DeToldi199545,
    author={De Toldi, M. and Gourieroux, C. and Monfort, A.},
    title={Prepayment analysis for securitization},
    journal={Journal of Empirical Finance},
    year={1995},
    volume={2},
    number={1},
    pages={45-70},
    doi={10.1016/0927-5398(94)00010-E},
    note={cited By 6},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0345898755&doi=10.1016%2f0927-5398%2894%2900010-E&partnerID=40&md5=d2f21bbdc996c385bd46b98267ce4c48},
    document_type={Article},
    source={Scopus},
    }
  • Testing, encompassing, and simulating dynamic econometric models

    Econometric theory, vol. 11, iss. 2, pp. 195-228, 1995.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1995195,
    author={Gourieroux, C. and Monfort, A.},
    title={Testing, encompassing, and simulating dynamic econometric models},
    journal={Econometric Theory},
    year={1995},
    volume={11},
    number={2},
    pages={195-228},
    doi={10.1017/S0266466600009142},
    note={cited By 20},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84974160172&doi=10.1017%2fS0266466600009142&partnerID=40&md5=82c7a5277d8907a64ab71014d2672847},
    document_type={Article},
    source={Scopus},
    }

1994

  • Chapter 44 testing non-nested hypotheses

    Handbook of econometrics, vol. 4, pp. 2583-2637, 1994.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux19942583,
    author={Gourieroux, C. and Monfort, A.},
    title={Chapter 44 Testing non-nested hypotheses},
    journal={Handbook of Econometrics},
    year={1994},
    volume={4},
    pages={2583-2637},
    doi={10.1016/S1573-4412(05)80013-3},
    note={cited By 36},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350089836&doi=10.1016%2fS1573-4412%2805%2980013-3&partnerID=40&md5=48d7936d01f487f029441a19d6b23aa8},
    document_type={Review},
    source={Scopus},
    }
  • Threshold heteroskedastic models

    Journal of economic dynamics and control, vol. 18, iss. 5, pp. 931-955, 1994.

    By J. -M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Zakoian1994931,
    author={Zakoian, J.-M.},
    title={Threshold heteroskedastic models},
    journal={Journal of Economic Dynamics and Control},
    year={1994},
    volume={18},
    number={5},
    pages={931-955},
    doi={10.1016/0165-1889(94)90039-6},
    note={cited By 912},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000560198&doi=10.1016%2f0165-1889%2894%2990039-6&partnerID=40&md5=5e82f329b9b9558f373677e3259b5737},
    document_type={Article},
    source={Scopus},
    }

1993

  • Introduction

    Journal of applied econometrics, vol. 8, iss. 1 S, p. S1-S3, 1993.

    By B. W. Brown, A. Monfort, and H. K. Van Dijk

    [DOI] [Bibtex]

    @EDITORIAL{Brown1993S1,
    author={Brown, B.W. and Monfort, A. and Van Dijk, H.K.},
    title={Introduction},
    journal={Journal of Applied Econometrics},
    year={1993},
    volume={8},
    number={1 S},
    pages={S1-S3},
    doi={10.1002/jae.3950080502},
    note={cited By 2},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986384458&doi=10.1002%2fjae.3950080502&partnerID=40&md5=df9a34e646919774c6de8b242a2fe3c1},
    document_type={Editorial},
    source={Scopus},
    }
  • 12 pseudo-likelihood methods

    Handbook of statistics, vol. 11, pp. 335-362, 1993.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1993335,
    author={Gourieroux, C. and Monfort, A.},
    title={12 Pseudo-likelihood methods},
    journal={Handbook of Statistics},
    year={1993},
    volume={11},
    pages={335-362},
    doi={10.1016/S0169-7161(05)80047-1},
    note={cited By 13},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-70350341201&doi=10.1016%2fS0169-7161%2805%2980047-1&partnerID=40&md5=bffa92381ee7f6e7d82d6b0324e8e63d},
    document_type={Review},
    source={Scopus},
    }
  • Simulation-based inference. a survey with special reference to panel data models

    Journal of econometrics, vol. 59, iss. 1-2, pp. 5-33, 1993.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux19935,
    author={Gourieroux, C. and Monfort, A.},
    title={Simulation-based inference. A survey with special reference to panel data models},
    journal={Journal of Econometrics},
    year={1993},
    volume={59},
    number={1-2},
    pages={5-33},
    doi={10.1016/0304-4076(93)90037-6},
    note={cited By 87},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-38249003548&doi=10.1016%2f0304-4076%2893%2990037-6&partnerID=40&md5=069259dd51e506fadf95943900bf798c},
    document_type={Article},
    source={Scopus},
    }
  • Indirect inference

    Journal of applied econometrics, vol. 8, iss. 1 S, p. S85-S118, 1993.

    By C. Gourieroux, A. Monfort, and E. Renault

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1993S85,
    author={Gourieroux, C. and Monfort, A. and Renault, E.},
    title={Indirect inference},
    journal={Journal of Applied Econometrics},
    year={1993},
    volume={8},
    number={1 S},
    pages={S85-S118},
    doi={10.1002/jae.3950080507},
    note={cited By 625},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84904755473&doi=10.1002%2fjae.3950080507&partnerID=40&md5=76262cae36116178b7b69f3b6f070341},
    document_type={Article},
    source={Scopus},
    }
  • Encompassing and indirect inference

    Journal of the italian statistical society, vol. 2, iss. 3, pp. 291-307, 1993.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1993291,
    author={Gourieroux, C. and Monfort, A.},
    title={Encompassing and indirect inference},
    journal={Journal of the Italian Statistical Society},
    year={1993},
    volume={2},
    number={3},
    pages={291-307},
    doi={10.1007/BF02589066},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-51649136711&doi=10.1007%2fBF02589066&partnerID=40&md5=b6978d0d103a2a221e9935a029dab4b1},
    document_type={Article},
    source={Scopus},
    }
  • Threshold arch models and asymmetries in volatility

    Journal of applied econometrics, vol. 8, iss. 1, pp. 31-49, 1993.

    By R. Rabemananjara and J. M. Zakoian

    [DOI] [Bibtex]

    @ARTICLE{Rabemananjara199331,
    author={Rabemananjara, R. and Zakoian, J.M.},
    title={Threshold arch models and asymmetries in volatility},
    journal={Journal of Applied Econometrics},
    year={1993},
    volume={8},
    number={1},
    pages={31-49},
    doi={10.1002/jae.3950080104},
    note={cited By 199},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986409844&doi=10.1002%2fjae.3950080104&partnerID=40&md5=fab4ffdf3247eec5231eecea4159f4b1},
    document_type={Article},
    source={Scopus},
    }

1992

  • Qualitative threshold arch models

    Journal of econometrics, vol. 52, iss. 1-2, pp. 159-199, 1992.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1992159,
    author={Gourieroux, C. and Monfort, A.},
    title={Qualitative threshold ARCH models},
    journal={Journal of Econometrics},
    year={1992},
    volume={52},
    number={1-2},
    pages={159-199},
    doi={10.1016/0304-4076(92)90069-4},
    note={cited By 80},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-27844549943&doi=10.1016%2f0304-4076%2892%2990069-4&partnerID=40&md5=d3da4f5eb74aa04b0dc052a7ffc1f050},
    document_type={Article},
    source={Scopus},
    }
  • Exogenous and endogenous sampling

    Econometric theory, vol. 8, iss. 3, pp. 427-428, 1992.

    By A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Monfort1992427,
    author={Monfort, A.},
    title={Exogenous and Endogenous Sampling},
    journal={Econometric Theory},
    year={1992},
    volume={8},
    number={3},
    pages={427-428},
    doi={10.1017/S0266466600013086},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84972208849&doi=10.1017%2fS0266466600013086&partnerID=40&md5=59971b53025175f648b20511a367e4a3},
    document_type={Article},
    source={Scopus},
    }

1990

  • From a var model to a structural model, with an application to the wage–price spiral

    Journal of applied econometrics, vol. 5, iss. 3, pp. 203-227, 1990.

    By A. Monfort and R. Rabemananjara

    [DOI] [Bibtex]

    @ARTICLE{Monfort1990203,
    author={Monfort, A. and Rabemananjara, R.},
    title={From a var model to a structural model, with an application to the wage–price spiral},
    journal={Journal of Applied Econometrics},
    year={1990},
    volume={5},
    number={3},
    pages={203-227},
    doi={10.1002/jae.3950050302},
    note={cited By 17},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84986413086&doi=10.1002%2fjae.3950050302&partnerID=40&md5=40a845317731aed57c49df1d72fbcd47},
    document_type={Article},
    source={Scopus},
    }

1989

  • A general framework for testing a null hypothesis in a “mixed” form

    Econometric theory, vol. 5, iss. 1, pp. 63-82, 1989.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux198963,
    author={Gourieroux, C. and Monfort, A.},
    title={A general framework for testing a null hypothesis in a “mixed” form},
    journal={Econometric Theory},
    year={1989},
    volume={5},
    number={1},
    pages={63-82},
    doi={10.1017/S0266466600012263},
    note={cited By 22},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84974267586&doi=10.1017%2fS0266466600012263&partnerID=40&md5=5bb8f9dc64b164737f81ce68f8d0b82a},
    document_type={Article},
    source={Scopus},
    }
  • Adverse selection and moral hazard with risk neutral agents

    European economic review, vol. 33, iss. 4, pp. 807-823, 1989.

    By R. Guesnerie, P. Picard, and P. Rey

    [DOI] [Bibtex]

    @ARTICLE{Guesnerie1989807,
    author={Guesnerie, R. and Picard, P. and Rey, P.},
    title={Adverse selection and moral hazard with risk neutral agents},
    journal={European Economic Review},
    year={1989},
    volume={33},
    number={4},
    pages={807-823},
    doi={10.1016/0014-2921(89)90027-5},
    note={cited By 18},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-38249022947&doi=10.1016%2f0014-2921%2889%2990027-5&partnerID=40&md5=aa7322703330ec005fe34af2896ec983},
    document_type={Article},
    source={Scopus},
    }

1987

  • Simulated residuals

    Journal of econometrics, vol. 34, iss. 1-2, pp. 201-252, 1987.

    By C. Gourieroux, A. Monfort, E. Renault, and A. Trognon

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1987201,
    author={Gourieroux, C. and Monfort, A. and Renault, E. and Trognon, A.},
    title={Simulated residuals},
    journal={Journal of Econometrics},
    year={1987},
    volume={34},
    number={1-2},
    pages={201-252},
    doi={10.1016/0304-4076(87)90073-X},
    note={cited By 40},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-38249036807&doi=10.1016%2f0304-4076%2887%2990073-X&partnerID=40&md5=371bcd353f6e1f95677b20a82f9b1418},
    document_type={Article},
    source={Scopus},
    }
  • Generalised residuals

    Journal of econometrics, vol. 34, iss. 1-2, pp. 5-32, 1987.

    By C. Gourieroux, A. Monfort, E. Renault, and A. Trognon

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux19875,
    author={Gourieroux, C. and Monfort, A. and Renault, E. and Trognon, A.},
    title={Generalised residuals},
    journal={Journal of Econometrics},
    year={1987},
    volume={34},
    number={1-2},
    pages={5-32},
    doi={10.1016/0304-4076(87)90065-0},
    note={cited By 201},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0002627325&doi=10.1016%2f0304-4076%2887%2990065-0&partnerID=40&md5=6155d5f2fb6e1912842b7b4e34d0cb6c},
    document_type={Article},
    source={Scopus},
    }
  • Cooperation and research-development: some theoretical thoughts drawn from esprit programme [recherche – developpement et cooperation: quelques reflexions theoriques inspirees par le programme esprit]

    Annales des telecommunications, vol. 42, iss. 11-12, pp. 710-719, 1987.

    By P. Picard and P. Rey

    [DOI] [Bibtex]

    @ARTICLE{Picard1987710,
    author={Picard, P. and Rey, P.},
    title={Cooperation and research-development: Some theoretical thoughts drawn from esprit programme [Recherche - developpement et cooperation: quelques reflexions theoriques inspirees par le programme Esprit]},
    journal={Annales Des Telecommunications},
    year={1987},
    volume={42},
    number={11-12},
    pages={710-719},
    doi={10.1007/BF02997670},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0023452502&doi=10.1007%2fBF02997670&partnerID=40&md5=f900e4cdb654b2943facfcfe65bbf1e0},
    document_type={Article},
    source={Scopus},
    }

1986

  • Direct test of the rational expectation hypothesis

    European economic review, vol. 30, iss. 2, pp. 265-284, 1986.

    By C. Gourieroux and J. Pradel

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1986265,
    author={Gourieroux, C. and Pradel, J.},
    title={Direct test of the rational expectation hypothesis},
    journal={European Economic Review},
    year={1986},
    volume={30},
    number={2},
    pages={265-284},
    doi={10.1016/0014-2921(86)90044-9},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-45949130160&doi=10.1016%2f0014-2921%2886%2990044-9&partnerID=40&md5=cf6a8ce0186e08b4260f537563a4a0d1},
    document_type={Article},
    source={Scopus},
    }
  • Some useful equivalence properties of hausman’s test

    Economics letters, vol. 20, iss. 1, pp. 39-43, 1986.

    By A. Holly and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Holly198639,
    author={Holly, A. and Monfort, A.},
    title={Some useful equivalence properties of Hausman's test},
    journal={Economics Letters},
    year={1986},
    volume={20},
    number={1},
    pages={39-43},
    doi={10.1016/0165-1765(86)90076-5},
    note={cited By 8},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-46149141071&doi=10.1016%2f0165-1765%2886%2990076-5&partnerID=40&md5=4b022b8280d43813bda66d01cee1fb71},
    document_type={Article},
    source={Scopus},
    }

1985

  • Solutions of linear rational expectations models

    Econometric theory, vol. 1, iss. 3, pp. 341-368, 1985.

    By L. Broze, C. Gourieroux, and A. Szafarz

    [DOI] [Bibtex]

    @ARTICLE{Broze1985341,
    author={Broze, L. and Gourieroux, C. and Szafarz, A.},
    title={Solutions of linear rational expectations models},
    journal={Econometric Theory},
    year={1985},
    volume={1},
    number={3},
    pages={341-368},
    doi={10.1017/S0266466600011257},
    note={cited By 21},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84916146124&doi=10.1017%2fS0266466600011257&partnerID=40&md5=8f8b2350d546ae992114a5f80f4e450d},
    document_type={Article},
    source={Scopus},
    }
  • A general approach to serial correlation

    Econometric theory, vol. 1, iss. 3, pp. 315-340, 1985.

    By C. Gourieroux, A. Monfort, and A. Trognon

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1985315,
    author={Gourieroux, C. and Monfort, A. and Trognon, A.},
    title={A general approach to serial correlation},
    journal={Econometric Theory},
    year={1985},
    volume={1},
    number={3},
    pages={315-340},
    doi={10.1017/S0266466600011245},
    note={cited By 41},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0000895478&doi=10.1017%2fS0266466600011245&partnerID=40&md5=b9325188f58c7c79c66e3b92d78e7247},
    document_type={Article},
    source={Scopus},
    }

1984

  • Some theoretical results for generalized ridge regression estimators

    Journal of econometrics, vol. 25, iss. 1-2, pp. 191-203, 1984.

    By C. Fourgeaud, C. Gourieroux, and J. Pradel

    [DOI] [Bibtex]

    @ARTICLE{Fourgeaud1984191,
    author={Fourgeaud, C. and Gourieroux, C. and Pradel, J.},
    title={Some theoretical results for generalized ridge regression estimators},
    journal={Journal of Econometrics},
    year={1984},
    volume={25},
    number={1-2},
    pages={191-203},
    doi={10.1016/0304-4076(84)90046-0},
    note={cited By 4},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-33847318390&doi=10.1016%2f0304-4076%2884%2990046-0&partnerID=40&md5=409d59e4ec1fb27580ce91c3ef503fc9},
    document_type={Article},
    source={Scopus},
    }
  • Specification pre-test estimator

    Journal of econometrics, vol. 25, iss. 1-2, pp. 15-27, 1984.

    By C. Gourieroux and A. Trognon

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux198415,
    author={Gourieroux, C. and Trognon, A.},
    title={Specification pre-test estimator},
    journal={Journal of Econometrics},
    year={1984},
    volume={25},
    number={1-2},
    pages={15-27},
    doi={10.1016/0304-4076(84)90033-2},
    note={cited By 7},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-48549108267&doi=10.1016%2f0304-4076%2884%2990033-2&partnerID=40&md5=0a88cb3caa1e78148b5d81e5931383b3},
    document_type={Article},
    source={Scopus},
    }

1983

  • Testing nested or non-nested hypotheses

    Journal of econometrics, vol. 21, iss. 1, pp. 83-115, 1983.

    By C. Gourieroux, A. Monfort, and A. Trognon

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux198383,
    author={Gourieroux, C. and Monfort, A. and Trognon, A.},
    title={Testing nested or non-nested hypotheses},
    journal={Journal of Econometrics},
    year={1983},
    volume={21},
    number={1},
    pages={83-115},
    doi={10.1016/0304-4076(83)90121-5},
    note={cited By 52},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0002617682&doi=10.1016%2f0304-4076%2883%2990121-5&partnerID=40&md5=61b3b51313946cc737ae76ab221f26bc},
    document_type={Article},
    source={Scopus},
    }

1981

  • The applicability of the corner method: a reply

    Journal of the operational research society, vol. 32, iss. 11, pp. 1042-1045, 1981.

    By J. M. Beguin, A. Monfort, and C. Gourieroux

    [DOI] [Bibtex]

    @ARTICLE{Beguin19811042,
    author={Beguin, J.M. and Monfort, A. and Gourieroux, C.},
    title={The applicability of the corner method: A reply},
    journal={Journal of the Operational Research Society},
    year={1981},
    volume={32},
    number={11},
    pages={1042-1045},
    doi={10.1057/jors.1981.213},
    note={cited By 1},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-84974857091&doi=10.1057%2fjors.1981.213&partnerID=40&md5=8151b960f76eaf783ea8ed2d1e84e33e},
    document_type={Article},
    source={Scopus},
    }
  • Asymptotic properties of the maximum likelihood estimator in dichotomous logit models

    Journal of econometrics, vol. 17, iss. 1, pp. 83-97, 1981.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux198183,
    author={Gourieroux, C. and Monfort, A.},
    title={Asymptotic properties of the maximum likelihood estimator in dichotomous logit models},
    journal={Journal of Econometrics},
    year={1981},
    volume={17},
    number={1},
    pages={83-97},
    doi={10.1016/0304-4076(81)90060-9},
    note={cited By 35},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0012546229&doi=10.1016%2f0304-4076%2881%2990060-9&partnerID=40&md5=5d2bf06602f2cc08899cdb0f208f49f7},
    document_type={Article},
    source={Scopus},
    }

1980

  • On the backward-forward procedure

    Economics letters, vol. 5, iss. 3, pp. 215-217, 1980.

    By C. Gourieroux, J. J. Laffont, and A. Montfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1980215,
    author={Gourieroux, C. and Laffont, J.J. and Montfort, A.},
    title={On the backward-forward procedure},
    journal={Economics Letters},
    year={1980},
    volume={5},
    number={3},
    pages={215-217},
    doi={10.1016/0165-1765(80)90033-6},
    note={cited By 0},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-45949129342&doi=10.1016%2f0165-1765%2880%2990033-6&partnerID=40&md5=a7a9457c85c9592da2ceb059e8240822},
    document_type={Article},
    source={Scopus},
    }

1979

  • On the characterization of a joint probability distribution by conditional distributions

    Journal of econometrics, vol. 10, iss. 1, pp. 115-118, 1979.

    By C. Gourieroux and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Gourieroux1979115,
    author={Gourieroux, C. and Monfort, A.},
    title={On the characterization of a joint probability distribution by conditional distributions},
    journal={Journal of Econometrics},
    year={1979},
    volume={10},
    number={1},
    pages={115-118},
    doi={10.1016/0304-4076(79)90070-8},
    note={cited By 17},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-0001397847&doi=10.1016%2f0304-4076%2879%2990070-8&partnerID=40&md5=f3b88114c2bcc65887d8aa592efd314c},
    document_type={Article},
    source={Scopus},
    }
  • Disequilibrium econometrics in dynamic models

    Journal of econometrics, vol. 11, iss. 2-3, pp. 353-361, 1979.

    By J. -J. Laffont and A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Laffont1979353,
    author={Laffont, J.-J. and Monfort, A.},
    title={Disequilibrium econometrics in dynamic models},
    journal={Journal of Econometrics},
    year={1979},
    volume={11},
    number={2-3},
    pages={353-361},
    doi={10.1016/0304-4076(79)90045-9},
    note={cited By 14},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-13144297356&doi=10.1016%2f0304-4076%2879%2990045-9&partnerID=40&md5=5c4b6f20e879080e46708a9814812eca},
    document_type={Article},
    source={Scopus},
    }

1978

  • First-order identification in linear models

    Journal of econometrics, vol. 7, iss. 3, pp. 333-350, 1978.

    By A. Monfort

    [DOI] [Bibtex]

    @ARTICLE{Monfort1978333,
    author={Monfort, A.},
    title={First-order identification in linear models},
    journal={Journal of Econometrics},
    year={1978},
    volume={7},
    number={3},
    pages={333-350},
    doi={10.1016/0304-4076(78)90058-1},
    note={cited By 3},
    url={https://www.scopus.com/inward/record.uri?eid=2-s2.0-49349123442&doi=10.1016%2f0304-4076%2878%2990058-1&partnerID=40&md5=fae9abb862d6cc8f6e6268136b7fef56},
    document_type={Article},
    source={Scopus},
    }