Marine Carrasco

University of Montreal - Departement de Ciences Economiques

Professor

C.P. 6128, succursale Centre-Ville

Montreal, Quebec H3C 3J7

Canada

http://www.sceco.umontreal.ca/liste_personnel/carrasco/index.htm

SCHOLARLY PAPERS

10

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1,271

SSRN CITATIONS
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SSRN RANKINGS

Top 19,329

in Total Papers Citations

21

CROSSREF CITATIONS

27

Scholarly Papers (10)

1.

Efficient Estimation of Jump Diffusions and General Dynamic Models with a Continuum of Moment Conditions

Number of pages: 73 Posted: 17 Dec 2002
University of Montreal - Departement de Ciences Economiques, UCLA Anderson, University of North Carolina Kenan-Flagler Business School and University of Toulouse
Downloads 636 (44,962)
Citation 30

Abstract:

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maximum likelihood estimation, jump diffusion processes, generalized method of moments, continuum of moment conditions, characteristic function, term structure models

2.

Detecting Mean Reversion in Real Exchange Rates from a Multiple Regime Star Model

Number of pages: 36 Posted: 17 Jun 2004
Frederique Bec, Melika Ben Salem and Marine Carrasco
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Université Paris-Est Marne la Vallée (UPEMLV) and University of Montreal - Departement de Ciences Economiques
Downloads 227 (147,432)
Citation 8

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Half-life, purchasing power parity, mixing conditions, smooth transition autoregressive model, unit-root test, real exchange rate

3.

Nonlinearity and Temporal Dependence

Cowles Foundation Discussion Paper No. 1652, Yale Economics Department Working Paper No. 48
Number of pages: 32 Posted: 21 May 2008
Xiaohong Chen, Lars Peter Hansen and Marine Carrasco
Yale University - Cowles Foundation, University of Chicago - Department of Economics and University of Montreal - Departement de Ciences Economiques
Downloads 157 (205,459)

Abstract:

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Mixing, Diffusion, Strong dependence, Long memory, Poisson sampling

4.

Chi-Square Tests for Parameter Stability

Number of pages: 29 Posted: 08 Jun 2004
Marine Carrasco
University of Montreal - Departement de Ciences Economiques
Downloads 107 (275,723)

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Admissibility, smooth transition, structural change test, Threshold autoregressive models

5.

Efficient Estimation with Many Weak Instruments Using Regularization Techniques

CIRANO - Scientific Publications 2013s-20
Number of pages: 31 Posted: 19 Oct 2013 Last Revised: 26 Jan 2019
Marine Carrasco and Guy Tchuente
University of Montreal - Departement de Ciences Economiques and University of Kent
Downloads 59 (391,061)

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Many weak instruments, LIML, 2SLS, regularization methods

6.

Regularized LIML for Many Instruments

CIRANO - Scientific Publications 2013s-20
Number of pages: 49 Posted: 19 Oct 2013
Marine Carrasco and Guy Tchuente
University of Montreal - Departement de Ciences Economiques and University of Kent
Downloads 42 (452,802)
Citation 5

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High-dimensional models, LIML, many instruments, MSE, regularization methods

7.

Efficient Estimation Using the Characteristic Function

CIRANO - Scientific Publications 2013s-22
Number of pages: 47 Posted: 19 Oct 2013
Marine Carrasco and Rachidi Kotchoni
University of Montreal - Departement de Ciences Economiques and Université Paris Nanterre
Downloads 38 (469,847)
Citation 10

Abstract:

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Conditional moment restriction, continuum of moment conditions, generalized method of moments, mean square error, stochastic expansion, Tikhonov regularization

8.

Adaptive Realized Kernels

Journal of Financial Econometrics, Vol. 0, No. 0, 1-41, 2014
Number of pages: 40 Posted: 23 Aug 2009 Last Revised: 13 Apr 2016
Marine Carrasco and Rachidi Kotchoni
University of Montreal - Departement de Ciences Economiques and Université Paris Nanterre
Downloads 5 (669,930)

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Integrated Volatility, Method of Moment, Microstructure Noise, Realized Kernel, Shrinkage

9.

In-Sample Inference and Forecasting in Misspecified Factor Models

CEPR Discussion Paper No. DP11388
Number of pages: 58 Posted: 18 Jul 2016
Marine Carrasco and Barbara Rossi
University of Montreal - Departement de Ciences Economiques and Universitat Pompeu Fabra - Centre de Recerca en Economia Internacional (CREI)
Downloads 0 (726,220)
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factor models, Forecasting, GDP forecasts, large datasets, partial least squares, principal components, regularization methods, Ridge, sparsity, variable selection

10.

Tests for Unit-Root Versus Threshold Specification with an Application to the Purchasing Power Parity Relationship

Journal of Business and Economic Statistics, Forthcoming
Posted: 08 Jun 2004
Frederique Bec, Melika Ben Salem and Marine Carrasco
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Université Paris-Est Marne la Vallée (UPEMLV) and University of Montreal - Departement de Ciences Economiques

Abstract:

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Mixing conditions, real exchange rate, Threshold autoregressive model