Jean-Francois Richard

University of Pittsburgh - Department of Economics

Professor

4901 Wesley Posvar Hall

230 South Bouquet Street

Pittsburgh, PA 15260

United States

SCHOLARLY PAPERS

17

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CITATIONS
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29

Scholarly Papers (17)

Economic Development, Legality and the Transplant Effect

Number of pages: 49 Posted: 03 Jan 2000
Katharina Pistor, Daniel Berkowitz and Jean-Francois Richard
Columbia University School of Law, University of Pittsburgh - Department of Economics and University of Pittsburgh - Department of Economics
Downloads 1,695 (9,265)
Citation 9

Abstract:

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Economic Development, Legality, and the Transplant Effect

European Economic Review, Vol. 47, No. 1, February 2003
Posted: 02 May 2003
Daniel Berkowitz, Katharina Pistor and Jean-Francois Richard
University of Pittsburgh - Department of Economics, Columbia University School of Law and University of Pittsburgh - Department of Economics

Abstract:

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2.

A Non-Linear Forecasting Model of GDP Growth

Number of pages: 40 Posted: 13 Aug 2003
David N. DeJong, Roman Liesenfeld and Jean-Francois Richard
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 480 (57,979)
Citation 2

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business cycles, regime switching, error correction

3.

Dynamic Factor Models for Multivariate Count Data: An Application to Stock-Market Trading Activity

Number of pages: 37 Posted: 22 Jul 2008 Last Revised: 27 Jul 2008
Robert Jung, Roman Liesenfeld and Jean-Francois Richard
University of Hohenheim - Institute of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 247 (122,930)

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Dynamic latent variables, Importance sampling, Mixture of distribution models, Poisson distribution, Simulated Maximum Likelihood

4.

A Structural Break in U.S. GDP?

Number of pages: 26 Posted: 13 Aug 2003
David N. DeJong, Roman Liesenfeld and Jean-Francois Richard
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 192 (156,743)
Citation 1

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business cycles, encompassing, regime switching, error correction, conditional heteroscedasticity

5.

Improving MCMC Using Efficient Importance Sampling

Number of pages: 34 Posted: 19 May 2006
Roman Liesenfeld and Jean-Francois Richard
University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 184 (162,890)
Citation 1

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Autoregressive models, Bayesian posterior analysis, Dynamic latent variables, Gibbs sampling, Metropolis Hastings, Stochastic volatility

6.

Likelihood Evaluation of High-Dimensional Spatial Latent Gaussian Models with Non-Gaussian Response Variables

Number of pages: 42 Posted: 04 Jan 2013 Last Revised: 16 Apr 2015
Roman Liesenfeld, Jean-Francois Richard and Jan Vogler
University of Cologne, Department of Economics, University of Pittsburgh - Department of Economics and University of Cologne, Department of Economics
Downloads 170 (174,818)
Citation 3

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count data models, discrete choice models, firm location choice, importance sampling, Monte Carlo integration, spatial econometrics

7.

Dynamic Panel Probit Models for Current Account Reversals and Their Efficient Estimation

Number of pages: 46 Posted: 31 May 2007
Roman Liesenfeld, Guilherme valle Moura and Jean-Francois Richard
University of Cologne, Department of Economics, University of Kiel - Faculty of Economics and Social Sciences and University of Pittsburgh - Department of Economics
Downloads 137 (209,170)
Citation 1

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Panel data, Dynamic discrete choice, Importance sampling, Monte Carlo integration, State dependence, Spillover effects

8.

The Multinomial Multiperiod Probit Model: Identification and Efficient Estimation

Number of pages: 45 Posted: 17 Sep 2007
Roman Liesenfeld and Jean-Francois Richard
University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 100 (263,557)
Citation 1

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discrete choice, importance sampling, Monte-Carlo integration, panel data, parameter identification, simulated maximum likelihood

9.

A Stochastic Volatility and Leverage: Application to a Panel of S&P Stocks

Number of pages: 16 Posted: 06 May 2012
Serda Ozturk and Jean-Francois Richard
Istanbul Bilgi University and University of Pittsburgh - Department of Economics
Downloads 94 (274,442)

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stochastic volatility, leverage, importance

10.

Efficient Filtering in State-Space Representations

Number of pages: 30 Posted: 04 Feb 2009
University of Pittsburgh - Department of Economics, University of Pittsburgh, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 91 (280,146)
Citation 2

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particle filter, adaption, efficient importance sampling, kernel density approximation

11.

Timing Structural Change: A Conditional Probabilistic Approach

Number of pages: 25 Posted: 13 Aug 2003
David N. DeJong, Roman Liesenfeld and Jean-Francois Richard
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics
Downloads 87 (288,249)

Abstract:

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classification analysis, Monte Carlo experimentation, non-parametric approximation

12.

Likelihood Based Inference and Prediction in Spatio-Temporal Panel Count Models for Urban Crimes

Number of pages: 49 Posted: 11 Jun 2015 Last Revised: 16 Jun 2015
Roman Liesenfeld, Jean-Francois Richard and Jan Vogler
University of Cologne, Department of Economics, University of Pittsburgh - Department of Economics and University of Cologne, Department of Economics
Downloads 85 (292,484)

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Broken-windows hypothesis, Efficient Importance sampling, Empirical crime model, Out-of-sample crime forecasts, Spatio-temporal econometrics

13.

Efficient Likelihood Evaluation of State-Space Representations

Number of pages: 44 Posted: 11 Feb 2012
University of Pittsburgh - Department of Economics, University of Cologne, Department of Economics, Universidade Federal de Santa Catarina (UFSC) - Department of Economics, University of Pittsburgh - Department of Economics and University of Pittsburgh
Downloads 71 (324,875)
Citation 3

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dynamic stochastic general equilibrium model, efficient importance sampling, kernel density approximation, particle filter

14.

Finite Gaussian Mixture Approximations to Analytically Intractable Density Kernels

Computational Economics, Vol. 53(3), 2019
Number of pages: 24 Posted: 04 Jul 2016 Last Revised: 21 Mar 2019
Natalia Khorunzhina and Jean-Francois Richard
Copenhagen Business School - Faculty of Economics and Business Administration and University of Pittsburgh - Department of Economics
Downloads 37 (434,209)

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Finite mixture, Distance measure, Gaussian quadrature, Importance sampling, Adaptive algorithm, Stochastic volatility, Density kernel

15.

Tax Interaction Dynamics Among Belgian Municipalities 1984-1997

CORE Discussion Paper No. 2005/48
Number of pages: 22 Posted: 30 Jun 2006
Jean-Francois Richard, Henry Tulkens and Magali Verdonck
University of Pittsburgh - Department of Economics, Catholic University of Louvain - Center for Operations Research and Econometrics (CORE) and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads 35 (442,411)
Citation 3

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16.

Univariate and Multivariate Stochastic Volatility Models: Estimation and Diagnostics

Journal of Empirical Finance, Forthcoming
Posted: 12 Dec 2002
Roman Liesenfeld and Jean-Francois Richard
University of Cologne, Department of Economics and University of Pittsburgh - Department of Economics

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Efficient Importance Sampling, Latent Variables, Maximum likelihood

17.

Bidder Collusion at Forest Service Timber Sales

JOURNAL OF POLITICAL ECONOMY, Vol. 105, No. 4, August 1997
Posted: 24 Sep 1997
Laura H. Baldwin, Robert C. Marshall and Jean-Francois Richard
Rand Corporation, Pennsylvania State University, College of the Liberal Arts - Department of Economic and University of Pittsburgh - Department of Economics

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