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

  • University of Toronto - Department of Economics

    • Email
    • Tel: 416-978-4349
    • Fax: 416-978-6713

  • Center for Interuniversity Research and Analysis on Organization (CIRANO)

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

    • Email
    • Fax: 33.4117.7666
SCHOLARLY PAPERS

50

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155

CROSSREF CITATIONS

380

Scholarly Papers (50)

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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 Cambridge, University of North Carolina Kenan-Flagler Business School and University of Toronto - Department of Economics
Downloads 1,736 (16,256)
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 1,017 (35,878)
Citation 36

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Stochastic volatility, derivative pricing, Wishart process, credit risk

3.

Beta Risk in the Cross-Section of Equities

Downloads 681 (62,026)
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
Ali Boloor, Peter Christoffersen, Mathieu Fournier and Christian Gourieroux
Concordia University, University of Toronto - Rotman School of Management, UNSW Business School and University of Toronto - Department of Economics
Downloads 598 (72,278)
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
Ali Boloor, Peter Christoffersen, Christian Gourieroux and Mathieu Fournier
Concordia University, University of Toronto - Rotman School of Management, University of Toronto - Department of Economics and UNSW Business School
Downloads 83 (476,485)

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

4.

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 646 (66,369)
Citation 9

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

5.

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 600 (72,873)
Citation 59

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

6.

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 552 (80,866)
Citation 19

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Intertade durations, autoregressive gamma, CIR, high frequency

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
University of Lugano, University of Toronto - Department of Economics and EDHEC Business School
Downloads 498 (91,914)
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 396 (120,360)
Citation 5

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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 342 (141,642)
Citation 1

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

10.

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
University of Lugano and University of Toronto - Department of Economics
Downloads 312 (156,218)
Citation 3

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

11.

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 305 (160,023)

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

12.

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
University of Lugano and University of Toronto - Department of Economics
Downloads 288 (169,875)
Citation 6

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

13.

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
University of Lugano, University of Toronto - Department of Economics and University of North Carolina (UNC) at Chapel Hill - Department of Economics
Downloads 283 (173,015)
Citation 11

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

14.

Stochastic Migration Models with Application to Corporate Risk

Downloads 269 (182,195)

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
University of Lugano and University of Toronto - Department of Economics
Downloads 269 (181,343)
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 University of Lugano

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

15.

Disastrous Defaults

Downloads 228 (214,357)

Disastrous Defaults

Paris December 2018 Finance Meeting EUROFIDAI - AFFI
Number of pages: 73 Posted: 01 Jun 2018 Last Revised: 24 Oct 2020
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), European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 190 (253,166)

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

Disastrous Defaults

Banque de France Working Paper No. 778
Number of pages: 65 Posted: 15 Sep 2020
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), European Central Bank and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 38 (698,136)
Citation 1

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

16.

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 215 (226,581)
Citation 1

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

17.

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 201 (240,941)

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18.

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 191 (252,237)
Citation 3

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

19.

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
University of Lugano and University of Toronto - Department of Economics
Downloads 189 (254,693)
Citation 8

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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

20.

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, University of Lugano and University of Toronto - Department of Economics
Downloads 184 (260,853)
Citation 11

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

21.

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, University of Auckland Business School and Singapore Management University - School of Economics
Downloads 164 (288,115)
Citation 50

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

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, University of Lugano and University of Toronto - Department of Economics
Downloads 160 (294,245)

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Generalized Method of Moments, Derivative pricing, Stochastic Volatility

23.

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 152 (307,051)
Citation 6

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

24.

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 Department of Maths & Statis, Concordia University
Downloads 150 (310,428)

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

25.

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 149 (312,168)
Citation 10

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

26.

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
University of Lugano, University of Toronto - Department of Economics and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 145 (319,027)
Citation 2

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

27.

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 135 (337,510)

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

28.

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 130 (347,326)
Citation 8

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

29.

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 118 (373,048)
Citation 5

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

30.

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 Department of Maths & Statis, Concordia University
Downloads 105 (405,307)
Citation 1

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

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 Department of Maths & Statis, Concordia University
Downloads 103 (410,882)

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

32.

SIR Model with Stochastic Transmission

Number of pages: 50 Posted: 08 Jan 2021
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and Department of Maths & Statis, Concordia University
Downloads 101 (416,637)
Citation 3

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SIR Model, Population-at-Risk, Semi-Parametric Model, Mover-Stayer Model, Herd Immunity, Reproductive Number, Stochastic Transmission, Systemic Risk.

33.

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 95 (433,812)

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

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 Department of Maths & Statis, Concordia University
Downloads 93 (439,747)
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.

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 82 (475,249)
Citation 13

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

36.

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 80 (482,227)
Citation 12

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

37.

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 79 (485,698)
Citation 15

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

38.

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 Department of Maths & Statis, Concordia University
Downloads 66 (536,154)

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

39.

Ultra Long Run Term Structure Models

Number of pages: 67 Posted: 21 Jul 2022 Last Revised: 26 May 2023
Christian Gourieroux, Yang Lu and Alain Monfort
University of Toronto - Department of Economics, Department of Maths & Statis, Concordia University and National Institute of Statistics and Economic Studies (INSEE) - Center for Research in Economics and Statistics (CREST)
Downloads 61 (557,972)
Citation 1

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Term Structure, Ultra Long Run Risk, Ultimate Rates, Absence of Arbitrage Opportunity, Fair Value, Context Effects, Term Sub- stituability, Prudential Supervision, Accounting

40.

Required Capital for Long-run Risks

Number of pages: 40 Posted: 21 Aug 2021
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 56 (581,189)
Citation 1

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Long-Run Risk, Required Capital, Risk Profile, Prudential Supervision, Pension Fund, Transition Risks, Low Carbon, ESG Risk.

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 39 (674,244)

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42.

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: 11 Dec 2022
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 36 (693,367)
Citation 2

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43.

Partial Observability of Volatiliy Matrices: Identification and Covolatilities Imputation

Number of pages: 27 Posted: 20 Oct 2022
Christian Gourieroux and Yang Lu
University of Toronto - Department of Economics and Department of Maths & Statis, Concordia University
Downloads 13 (875,227)

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Volatility, Covolatility, Partial Observability, Missing Data, Imputation Method, Mean-Variance Analysis, Wishart Distribution, Wishart Autoregressive Process, Principal Minor Assignment, Option Pricing.

44.

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

Abstract:

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

45.

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 (981,418)
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default, vulnerable option, counterparty credit risk, counterparty valuation adjustment, value of firm

46.

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

47.

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

48.

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

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

Abstract:

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49.

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, Swiss Finance Institute - University of Geneva, Université de Mons and University of Toronto - Department of Economics

Abstract:

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50.

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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