Christian Gourieroux

University of Toronto - Department of Economics

Professor

150 St. George Street

Toronto, Ontario M5S 3G7

Canada

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th Floor

Montreal, Quebec H3C 3J7

Canada

Ecole Nationale de la Statistique et de l'Administration Economique (ENSAE)

Professor

15 Boulevard Gabriel Peri

92245 Malakoff Cedex

France

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

55

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9,530

SSRN CITATIONS
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Top 2,361

in Total Papers Citations

23

CROSSREF CITATIONS

412

Scholarly Papers (55)

1.

Arbitrage-Based Pricing When Volatility is Stochastic

Caltech Social Science Working Paper 977
Number of pages: 41 Posted: 05 Sep 1996
Peter Bossaerts, Eric Ghysels and Christian Gourieroux
University of Melbourne - Department of Finance, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,696 (9,542)
Citation 1

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2.

Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk

Les Cahiers du CREF of HEC Montréal Working Paper No. CREF 04-09
Number of pages: 49 Posted: 18 Jul 2005
Christian Gourieroux and Razvan Sufana
University of Toronto - Department of Economics and University of Toronto - Department of Economics
Downloads 935 (23,895)
Citation 31

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Stochastic volatility, derivative pricing, Wishart process, credit risk

3.

Robust Portfolio Allocation with Systematic Risk Contribution Restrictions

Number of pages: 48 Posted: 22 Dec 2012
Serge Darolles, Christian Gourieroux and Jay Emmanuelle
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and QUANTED
Downloads 586 (45,347)
Citation 5

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Asset Allocation, Portfolio Turnover, Risk Diversification, Minimum Variance Portfolio, Risk Parity Portfolio, Systematic Risk, Euler Allocation, Hedge Fund

4.

Wishart Quadratic Term Structure Models

Les Cahiers du CREF of HEC Montreal Working Paper No. 03-10
Number of pages: 35 Posted: 18 Jul 2005
Christian Gourieroux and Razvan Sufana
University of Toronto - Department of Economics and University of Toronto - Department of Economics
Downloads 546 (49,569)
Citation 54

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Affine Term Structure, Quadratic Term Structure, CAR Process, Affine Process, WAR Process

5.

Autoregressive Gamma Processes

Les Cahiers du CREF of HEC Montréal Working Paper No. 05-03
Number of pages: 38 Posted: 18 Jul 2005
Christian Gourieroux and Joann Jasiak
University of Toronto - Department of Economics and York University - Department of Economics
Downloads 492 (56,600)
Citation 2

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Intertade durations, autoregressive gamma, CIR, high frequency

6.
Downloads 450 ( 63,243)
Citation 3

Beta Risk in the Cross-Section of Equities

Rotman School of Management Working Paper No. 2926511
Number of pages: 86 Posted: 03 Mar 2017 Last Revised: 23 Jul 2019
Concordia University, University of Toronto - Rotman School of Management, HEC Montreal and University of Toronto - Department of Economics
Downloads 406 (70,988)
Citation 4

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Factor Models, Stochastic Beta, Option-Implied Beta, Wishart Processes

Beta Risk in the Cross-Section of Equities

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 86 Posted: 05 Jun 2018
Concordia University, University of Toronto - Rotman School of Management, University of Toronto - Department of Economics and HEC Montreal
Downloads 44 (417,798)

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Factor models; stochastic beta; option-implied beta; Wishart processes

7.

Positional Portfolio Management

Swiss Finance Institute Research Paper No. 14-20
Number of pages: 83 Posted: 07 Mar 2014 Last Revised: 12 Dec 2018
Patrick Gagliardini, Christian Gourieroux and Mirco Rubin
USI Università della Svizzera italiana, University of Toronto - Department of Economics and University of Bristol
Downloads 409 (70,988)
Citation 2

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Positional Good, Robust Portfolio Management, Rank, Fund Tournament, Factor Model, Big Data, Equally Weighted Portfolio, Momentum, Reversal, Positional Risk Aversion.

8.

The Ordered Qualitative Model for Credit Rating Transitions

Les Cahiers du CREF of HEC Montréal Working Paper No. 04-05
Number of pages: 56 Posted: 18 Jul 2005
Dingan Feng, Christian Gourieroux and Joann Jasiak
York University - Department of Economics, University of Toronto - Department of Economics and York University - Department of Economics
Downloads 362 (81,803)
Citation 3

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Credit rating, migration

9.

L-Performance with an Application to Hedge Funds

Number of pages: 28 Posted: 27 Jun 2008 Last Revised: 15 Jun 2015
Christian Gourieroux, Joann Jasiak and Serge Darolles
University of Toronto - Department of Economics, York University - Department of Economics and Université Paris Dauphine - DRM-CEREG
Downloads 319 (94,370)
Citation 1

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Hedge Fund, Sharpe Performance, L-moment, Distortion Risk Measure, Ranking

10.

Conditionally Fitted Sharpe Performance with an Application to Hedge Fund Rating

Number of pages: 47 Posted: 30 Jun 2008 Last Revised: 15 Jun 2015
Christian Gourieroux and Serge Darolles
University of Toronto - Department of Economics and Université Paris Dauphine - DRM-CEREG
Downloads 277 (109,960)

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Hedge Fund, Sharpe Performance, Sharpe Ratio, Fitted Performance, Fund Rating, Segmentation, Standardisation, Term Structure

11.

Migration Correlation: Definition and Efficient Estimation

Les Cahiers du CREF of HEC Montréal Working Paper No. 04-13
Number of pages: 47 Posted: 18 Jul 2005
Patrick Gagliardini and Christian Gourieroux
USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 272 (112,061)
Citation 3

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Credit risk, migration, migration correlation, stochastic transition, rating

12.

Efficient Derivative Pricing by the Extended Method of Moments

Swiss Finance Institute Research Paper No. 10-07
Number of pages: 55 Posted: 10 Feb 2010
Patrick Gagliardini, Christian Gourieroux and Eric Renault
USI Università della Svizzera italiana, University of Toronto - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 252 (121,353)
Citation 6

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Derivative Pricing, Trading Activity, GMM, Information Theoretic Estimation, KLIC, Identification, Weak Instrument, Nonparametric Efficiency, Semiparametric Efficiency

13.

Spread Term Structure and Default Correlation

Les Cahiers du CREF of HEC Montréal Working Paper No. 03-02
Number of pages: 62 Posted: 18 Jul 2005
Patrick Gagliardini and Christian Gourieroux
USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 246 (124,378)
Citation 5

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Corporate bonds, credit risk, default correlation, jumps in intensities, Copula, credit derivatives

Stochastic Migration Models with Application to Corporate Risk

Les Cahiers du CREF of HEC Montréal Working Paper No. 04-11
Number of pages: 71 Posted: 18 Jul 2005
Patrick Gagliardini and Christian Gourieroux
USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 209 (145,529)
Citation 7

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Migration, rating, migration correlation, credit risk, stochastic intensity, autoregressive gamma process, Jacobi process, ordered qualitative model, Kalman filter, panel data

Stochastic Migration Models with Application to Corporate Risk

Journal of Financial Econometrics, Vol. 3, No. 2, pp. 188-226, 2005
Posted: 29 Feb 2008
Christian Gourieroux and Patrick Gagliardini
University of Toronto - Department of Economics and USI Università della Svizzera italiana

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credit risk, Jacobi process, Kalman filter, migration correlation, rating, stochastic intensity

15.

Latent Variable Approach to Modelling Dependence of Credit Risks: Application to French Firms and Implications for Regulatory Capital

HEC Montreal Working Paper No. CREF 05-01
Number of pages: 27 Posted: 18 Jul 2005
Sandra Foulcher, Christian Gourieroux and André Tiomo
Banque de France, University of Toronto - Department of Economics and University Paris-Est Créteil (UPEC) - Institut de Recherche en Gestion
Downloads 188 (160,935)

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Latent correlation, default correlaiton, rating, credit risk, factor models, new basel accord

16.

Regularization of the Kalman Filter for Exogenous Outlier Removal: Application to Hedge Funds Analysis

CAMSAP 2011, Puerto Rico, December 13-17, 2011
Number of pages: 4 Posted: 26 Oct 2011
Jay Emmanuelle, Patrick Duvaut, Serge Darolles and Christian Gourieroux
QUANTED, ENSEA-ETIS, Université Paris Dauphine - DRM-CEREG and University of Toronto - Department of Economics
Downloads 170 (176,044)

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17.

Efficiency in Large Dynamic Panel Models with Common Factor

Swiss Finance Institute Research Paper No. 09-12
Number of pages: 67 Posted: 01 May 2009
Patrick Gagliardini and Christian Gourieroux
USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 161 (184,372)
Citation 6

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Nonlinear Panel Model, Factor Model, Exchangeability, Systematic Risk, Efficiency Bound, Semi-parametric Efficiency, Fixed Effects Estimator, Bayesian Statistics, Stochastic Migration, Granularity

18.

Survival of Hedge Funds: Frailty vs Contagion

Number of pages: 75 Posted: 22 Dec 2012 Last Revised: 15 Jun 2015
Serge Darolles, Patrick Gagliardini and Christian Gourieroux
Université Paris Dauphine - DRM-CEREG, USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 150 (195,684)
Citation 11

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Hedge Fund, Contagion, Systemic Risk, Stress-Tests, Funding Liquidity

19.

Contagion Analysis in the Banking Sector

Number of pages: 37 Posted: 19 Jun 2014
Serge Darolles, Simon Dubecq and Christian Gourieroux
Université Paris Dauphine - DRM-CEREG, affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 147 (198,916)

Abstract:

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Contagion, Systemic Risk, Default Dependence, Credit Default Swaps, Canonical Correlation

20.

Indirect Inference for Dynamic Panel Models

Cowles Foundation Discussion Paper No. 1550
Number of pages: 21 Posted: 12 Jan 2006
Christian Gourieroux, Peter C. B. Phillips and Jun Yu
University of Toronto - Department of Economics, Yale University - Cowles Foundation and Singapore Management University
Downloads 140 (206,939)
Citation 3

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Autoregression, Bias reduction, Dynamic panel, Fixed effects, Indirect inference

21.

Nonlinear Innovations and Impulse Responses with Application to VAR Sensitivity

Les Cahiers du CREF of HEC Montréal Working Paper No. 03-08
Number of pages: 42 Posted: 18 Jul 2005
Christian Gourieroux and Joann Jasiak
University of Toronto - Department of Economics and York University - Department of Economics
Downloads 135 (213,182)
Citation 2

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Nonlinear Dynamics, Gaussian Innovations, Volterra Expansion, Impulse Response, ACD Model, Value at Risk

22.

Efficient Derivative Pricing by Extended Method of Moments

Number of pages: 72 Posted: 04 Mar 2005
Eric Renault, Patrick Gagliardini and Christian Gourieroux
University of North Carolina (UNC) at Chapel Hill - Department of Economics, USI Università della Svizzera italiana and University of Toronto - Department of Economics
Downloads 131 (218,330)

Abstract:

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Generalized Method of Moments, Derivative pricing, Stochastic Volatility

23.

Microinformation, Nonlinear Filtering and Granularity

Swiss Finance Institute Research Paper No. 10-23
Number of pages: 59 Posted: 13 Jun 2010 Last Revised: 23 Jun 2010
Patrick Gagliardini, Christian Gourieroux and Alain Monfort
USI Università della Svizzera italiana, University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 121 (231,908)
Citation 1

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Kalman Filter, Nonlinear State Space, Granularity, Repeated Observations, Value-at-Risk, Credit Risk, Loss Given Default, Basel 2

24.

Bilateral Exposures and Systemic Solvency Risk

Banque de France Working Paper No. 414
Number of pages: 52 Posted: 22 Dec 2012
Christian Gourieroux, Jean-Cyprien Heam and Alain Monfort
University of Toronto - Department of Economics, Banque de France and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 120 (233,307)
Citation 4

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contagion, systemic risk, solvency, clearing, liquidation equilibrium, impulse response, Value-of-the Firm Model

25.

Long-Term Care and Longevity

Number of pages: 69 Posted: 01 Nov 2013 Last Revised: 31 Jul 2014
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 112 (245,277)
Citation 1

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Longevity, Long-Term Care (LTC), Semi-Competing Risks, Treatment effect, Unobserved Heterogeneity, Dynamic Frailty, Partial Observability, Identi

26.

The Tradability Premium on the S&P 500 Index

Forthcoming, Journal of Financial Econometrics , 27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 58 Posted: 23 Jan 2013 Last Revised: 18 Aug 2015
Christian Gourieroux, Joann Jasiak and Peng Xu
University of Toronto - Department of Economics, York University - Department of Economics and ESSEC Business School
Downloads 109 (250,132)

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Index Derivatives, Non-tradable Index, Generalized Method of Moments, Mispricing, Liquidity Premium, Tradability Premium

27.

The Effects of Management and Provision Accounts on Hedge Fund Returns

Number of pages: 50 Posted: 12 Oct 2009
Serge Darolles and Christian Gourieroux
Université Paris Dauphine - DRM-CEREG and University of Toronto - Department of Economics
Downloads 107 (253,330)
Citation 8

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Hedge Fund, Sharpe Performance, Persistence of Returns, Bias Ratio, Manager Incentive, Risk Appetite, High Water Mark, Management Account

28.

An Analysis of the Ultra Long-Term Yields

Paris December 2011 Finance Meeting EUROFIDAI - AFFI
Number of pages: 53 Posted: 13 Oct 2011
Simon Dubecq and Christian Gourieroux
affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 77 (312,451)
Citation 2

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Long Term Interest Rates, Affine Term Structure Model, Nelson-Siegel, STRIPS market

29.

Shock on Variable or Shock on Distribution with Application to Stress-Tests

Banque de France Working Paper No. 368
Number of pages: 52 Posted: 07 Mar 2012 Last Revised: 15 Mar 2012
Simon Dubecq and Christian Gourieroux
affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 76 (314,860)
Citation 8

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Shock, Copula, Extreme Risk, Stress-Test, Factor Model, Systemic Risk, Portfolio Management, Sovereign Bonds

30.

A Term Structure Model with Level Factor Cannot Be Realistic and Arbitrage Free

Banque de France Working Paper No. 359
Number of pages: 36 Posted: 27 Jan 2012
Simon Dubecq and Christian Gourieroux
affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 62 (351,297)
Citation 12

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Interest Rate, Term Structure, Affine Model, No Arbitrage, Level Factor, Slope Factor

31.

A Flexible State-Space Model with Application to Stochastic Volatility

Number of pages: 42 Posted: 23 Nov 2016 Last Revised: 27 Dec 2016
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 60 (357,124)

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Endogenous regime switching, polynomial expansion, composite likelihood, time irreversibility, volatility feedback, copula

32.

Pricing Default Events: Surprise, Exogeneity and Contagion

Banque de France Working Paper No. 455
Number of pages: 51 Posted: 22 Oct 2013
Christian Gourieroux, Alain Monfort and Jean-Paul Renne
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 60 (357,124)
Citation 13

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Credit Derivative, Default Event, Default Intensity, Frailty, Contagion, Credit Spread Puzzle

33.

Regime Switching and Bond Pricing

Banque de France Working Paper No. 456
Number of pages: 49 Posted: 22 Oct 2013
Christian Gourieroux, Alain Monfort, Fulvio Pegoraro and Jean-Paul Renne
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France - Economics and Finance Research Center and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 57 (366,198)
Citation 12

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term structure, regime switching, affine models, car process, multi-horizon Laplace transform, contagion, default risk, monetary policy

34.

Negative Binomial Autoregressive Process with Stochastic Intensity

Number of pages: 36 Posted: 04 Mar 2018 Last Revised: 08 Nov 2018
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 49 (392,204)
Citation 1

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Negative Binomial Process, Autoregressive Gamma, Poisson-Gamma Conjugacy, Intensity, Compound Autoregressive Process, Common Factor, Pairwise Analysis, Health Insurance

35.

Least Impulse Response Estimator for Stress Test Exercises

Number of pages: 33 Posted: 04 Aug 2018
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 41 (421,143)

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Basel Regulation, Stress Test, Loss-Given-Default, Impulse Response, Pseudo-Maximum Likelihood, LIR Estimation, Beta Regression, Moebius Transformation

36.

Nonlinear Autocorrelograms: An Application to Inter-Trade Durations

Journal of Time Series Analysis, Vol. 23, No. 2, pp. 127-154, 2002
Number of pages: 28 Posted: 24 Nov 2002
Christian Gourieroux and Joann Jasiak
University of Toronto - Department of Economics and York University - Department of Economics
Downloads 37 (437,222)
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37.

Structural Laplace Transform and Compound Autoregressive Models

Journal of Time Series Analysis, Vol. 27, No. 4, pp. 477-503, July 2006
Number of pages: 27 Posted: 02 Jun 2006
Serge Darolles, Christian Gourieroux and Joann Jasiak
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and York University - Department of Economics
Downloads 35 (445,490)
Citation 1
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38.

Disastrous Defaults

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 01 Jun 2018 Last Revised: 15 Sep 2019
Christian Gourieroux, Alain Monfort, Sarah Mouabbi and Jean-Paul Renne
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST), Banque de France and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 33 (454,157)

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Disaster Risk, Systemic Entities, Default Dependencies, Credit Derivatives, Equilibrium Model

39.

Noncausal Affine Processes with Applications to Derivative Pricing

Number of pages: 45 Posted: 08 Feb 2019
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and University of Paris 13
Downloads 31 (463,289)
Citation 1

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Derivative Pricing, Term Structure, Affine Process, Noncausal Process, Speculative Bubble, Reverse Time

40.

Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes

NBER Working Paper No. w0343
Number of pages: 49 Posted: 15 Feb 2001 Last Revised: 16 Jan 2002
Christian Gourieroux, Jean-Jacques Laffont and Alain Monfort
University of Toronto - Department of Economics, University of Southern California - Department of Economics (Deceased) and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 23 (505,176)
Citation 1

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41.

Supplementary Material for 'The Tradability Premium on the S&P 500 Index'

Number of pages: 7 Posted: 18 Aug 2015
Peng Xu, Christian Gourieroux and Joann Jasiak
ESSEC Business School, University of Toronto - Department of Economics and York University - Department of Economics
Downloads 21 (516,939)

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42.

Duration Time-Series Models with Proportional Hazard

Journal of Time Series Analysis, Vol. 29, Issue 1, pp. 74-124, January 2008
Number of pages: 51 Posted: 11 Dec 2007
P. Gagliardini and Christian Gourieroux
affiliation not provided to SSRN and University of Toronto - Department of Economics
Downloads 17 (540,440)
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43.

Control and Out-of-Sample Validation of Dependent Risks

Journal of Risk and Insurance, Vol. 76, Issue 3, pp. 683-707, September 2009
Number of pages: 25 Posted: 13 Oct 2009
Christian Gourieroux and Wei Liu
University of Toronto - Department of Economics and University of Toronto
Downloads 5 (615,945)
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44.

Bilinear Term Structure Model

Mathematical Finance, Vol. 21, Issue 1, pp. 1-19, 2010
Number of pages: 19 Posted: 01 Jan 2011
Christian Gourieroux and Alain Monfort
University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 2 (640,706)
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affine term structure, quadratic term structure, monetary policy, credit risk, Wishart process, bilinear process

45.

Filtering, Prediction and Simulation Methods for Noncausal Processes

Journal of Time Series Analysis, Vol. 37, Issue 3, pp. 405-430, 2016
Number of pages: 26 Posted: 11 Apr 2016
Christian Gourieroux and Joann Jasiak
University of Toronto - Department of Economics and York University - Department of Economics
Downloads 1 (653,188)
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Noncausal process, nonlinear prediction, look‐ahead estimator, speculative bubble

46.

Domain Restrictions on Interest Rates Implied by No Arbitrage

Mathematical Finance, Vol. 21, Issue 2, pp. 281-291, 2011
Number of pages: 11 Posted: 14 Feb 2011
Christian Gourieroux and Alain Monfort
University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 1 (653,188)
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arbitrage free, interest rates, affine term structure, BrennanSchwartz model, regulation

47.

Intraday Transaction Price Dynamics

Annales d'Economie et de Statistique, Vol. 60, 2000, 207-238
Posted: 21 Nov 2017
Serge Darolles, Christian Gourieroux and Gaëlle Le Fol
Université Paris Dauphine - DRM-CEREG, University of Toronto - Department of Economics and Université Paris-Dauphine, PSL Research University, CNRS, UMR 7088, DRM, Finance, 75016 Paris, France

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High Frequency trading, Intraday transaction price dynamics, Markov Chain prices, random dates

48.

The Double Default Value-of-the-Firm Model

Journal of Credit Risk, Vol. 12, No. 2, 2016
Number of pages: 30 Posted: 14 Jun 2016
Christian Gourieroux and Alain Monfort
University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 0 (670,915)
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default, vulnerable option, counterparty credit risk, counterparty valuation adjustment, value of firm

49.

On Uniqueness of Moving Average Representations of Heavy‐Tailed Stationary Processes

Journal of Time Series Analysis, Vol. 36, Issue 6, pp. 876-887, 2015
Number of pages: 12 Posted: 20 Oct 2015
Christian Gourieroux and Jean-Michel Zakoïan
University of Toronto - Department of Economics and Université de Lille III
Downloads 0 (670,915)
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α‐stable distribution, domain of attraction, identification, infinite moving average, linear process, mixed causal/noncausal process

50.

Bilateral Exposures and Systemic Solvency Risk (Expositions Bilatérales Et Risque Systémique Pour La Solvabilité)

Canadian Journal of Economics/Revue canadienne d'économique, Vol. 45, Issue 4, pp. 1273-1309, 2012
Number of pages: 37 Posted: 10 Sep 2015
Christian Gourieroux, Jean-Cyprien Heam and Alain Monfort
University of Toronto - Department of Economics, Banque de France and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 0 (670,915)
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51.

Positivity Conditions for a Bivariate Autoregressive Volatility Specification

Journal of Financial Econometrics, Vol. 5, Issue 4, pp. 624-636, 2007
Posted: 01 Jun 2009
Christian Gourieroux
University of Toronto - Department of Economics

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GARCH model, nonlinear causality, stochastic volatility, Wishart process

52.

Affine Models for Credit Risk Analysis

Journal of Financial Econometrics, Vol. 4, Issue 3, pp. 494-530, 2006
Posted: 29 Feb 2008
Christian Gourieroux, Alain Monfort and Vassilis Polimenis
University of Toronto - Department of Economics, National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST) and Aristotle University of Thessaloniki

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affine model, affine process, CaR process, credit risk, loss-given-default, stochastic discount factor, term structure, through-the-cycle, WAR process

53.

Testing for Evidence of Adverse Selection in the Automobile Insurance Market: A Comment

Journal of Political Economy, April 2001
Posted: 01 May 2001
Georges Dionne, Christian Gourieroux and Charles Vanasse
HEC Montreal - Department of Finance, University of Toronto - Department of Economics and TD Asset Management

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54.

Bartlett Identities Tests

Working Paper No. 9919
Posted: 04 May 2000
Andrew Chesher, O. Scaillet, G. Dhaene and Christian Gourieroux
University College London - Department of Economics, University of Geneva GSEM and GFRI, Université de Mons-Hainaut and University of Toronto - Department of Economics

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55.

Market Time and Asset Price Movements: Theory and Estimation

Posted: 26 Apr 1998
Eric Ghysels, Christian Gourieroux and Joann Jasiak
University of North Carolina Kenan-Flagler Business School, University of Toronto - Department of Economics and York University - Department of Economics

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