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

  • University of Montreal - Departement de Ciences Economiques

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    • Tel: (514) 343-2394
SCHOLARLY PAPERS

12

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1,538

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33

CROSSREF CITATIONS

26

Scholarly Papers (12)

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1.

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

Number of pages: 73 Posted: 17 Dec 2002
Marine Carrasco, Mikhail Chernov, Eric Ghysels and Jean-Pierre Florens
University of Montreal - Departement de Ciences Economiques, UCLA Anderson, University of North Carolina Kenan-Flagler Business School and University of Toulouse
Downloads 702 (64,209)
Citation 29

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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, Frederique Bec, Melika Ben Salem and Marine Carrasco
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA, Université Paris-Est Marne la Vallée (UPEMLV) and University of Montreal - Departement de Ciences Economiques
Downloads 235 (222,843)
Citation 11

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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 185 (277,666)

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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 133 (365,062)

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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 85 (498,518)
Citation 1

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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 70 (557,489)
Citation 6

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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 62 (593,549)
Citation 10

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

8.

Testing Overidentifying Restrictions with Many Instruments and Heteroskedasticity Using Regularized Jackknife IV

Econometrics Journal (2021), volume 00, pp. 1–27
Number of pages: 28 Posted: 03 Nov 2021 Last Revised: 18 Nov 2021
Marine Carrasco and Mohamed Doukali
University of Montreal - Departement de Ciences Economiques and McGill University, Department of Economics.
Downloads 23 (851,895)
Citation 3

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Overidenti cation tests, Many instruments, Weak instruments, Heteroskedasticity, Regularization method

9.

Efficient estimation using regularized Jackknife IV estimator

Annals of Economics and Statistics No. 128 (December 2017), pp. 109-149.
Number of pages: 47 Posted: 18 Nov 2021
Marine Carrasco and Mohamed Doukali
University of Montreal - Departement de Ciences Economiques and McGill University, Department of Economics.
Downloads 22 (860,981)
Citation 3

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Many instruments, mean square error, Jackknife, regularization methods.

10.

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 21 (870,453)

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

11.

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 (1,055,237)
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factor models, Forecasting, GDP forecasts, large datasets, partial least squares, principal components, regularization methods, Ridge, sparsity, variable selection

12.

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, Frederique Bec, Melika Ben Salem and Marine Carrasco
National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)University of Cergy-Pontoise - THEMA, 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