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Estimated reproduction ratios in the SIR model


Elliott S,Gouriéroux C

Canadian Journal of Statistics, 2021

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


Gourieroux C,Jasiak J,Tong M

Journal of Forecasting, 2021

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


Gourieroux C,Hencic A,Jasiak J

Journal of Forecasting, 2021

Model risk management: Valuation and governance of pseudo-models


Gourieroux C,Monfort A

Econometrics and Statistics, 2021

Stationary bubble equilibria in rational expectation models


Gourieroux C,Jasiak J,Monfort A

Journal of Econometrics, 2020

Identification and Estimation in Non-Fundamental Structural VARMA Models


Gouriéroux C,Monfort A,Renne JP

Review of Economic Studies, 2020

Least impulse response estimator for stress test exercises


Gourieroux C,Lu Y

Journal of Banking and Finance, 2019

Model risk management: Limits and future of Bayesian approaches


Florens JP,Gourieroux C,Monfort A

Annals of Economics and Statistics, 2019

Consistent Pseudo-Maximum Likelihood Estimators and Groups of Transformations


Gouriéroux C,Monfort A,Zakoian JM

Econometrica, 2019