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The econometrics of efficient portfolios

Gourieroux, C.; Monfort, A. - In: Journal of Empirical Finance 12 (2005) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10005152446

Gourieroux, C.; Monfort, A. - In: Journal of Empirical Finance 24 (2013) C, pp. 24-41

We characterize the term structure models in which the zero-coupon prices are linear functions of underlying factors. These models are called Linear-price Term Structure Models (LTSM). We provide two types of LTSM where the observable factors predict regimes which are not observed by the...

Persistent link: https://www.econbiz.de/10010729488

The ordered qualitative model for credit rating transitions

Feng, D.; Gourieroux, C.; Jasiak, J. - In: Journal of Empirical Finance 15 (2008) 1, pp. 111-130

Persistent link: https://www.econbiz.de/10005093596

Prepayment analysis for securitization

De Toldi, M.; Gourieroux, C.; Monfort, A. - In: Journal of Empirical Finance 2 (1995) 1, pp. 45-70

Persistent link: https://www.econbiz.de/10005194340

Econometrics of efficient fitted portfolios

Gourieroux, C.; Jouneau, F. - In: Journal of Empirical Finance 6 (1999) 1, pp. 87-118

Persistent link: https://www.econbiz.de/10005199001

Sensitivity analysis of Values at Risk

Gourieroux, C.; Laurent, J. P.; Scaillet, O. - In: Journal of Empirical Finance 7 (2000) 3-4, pp. 225-245

Persistent link: https://www.econbiz.de/10005199046