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L-performance with an application to hedge funds

Darolles, Serge; Gouriéroux, Christian; Jasiak, Joann - In: Journal of empirical finance 16 (2009) 4, pp. 671-685

Persistent link: https://www.econbiz.de/10003899210

The ordered qualitative model for credit rating transitions

Feng, D.; Gouriéroux, Christian; Jasiak, Joann - In: Journal of empirical finance 15 (2008) 1, pp. 111-130

Persistent link: https://www.econbiz.de/10003693020

Linear-price term structure models

Gouriéroux, Christian; Monfort, Alain - In: Journal of empirical finance 24 (2013), pp. 24-41

Persistent link: https://www.econbiz.de/10010371993

The econometrics of efficient portfolios

Gouriéroux, Christian; Monfort, Alain - In: Journal of empirical finance 12 (2005) 1, pp. 1-41

Persistent link: https://www.econbiz.de/10002642993

Econometrics of efficient fitted portfolios

Gouriéroux, Christian; Jouneau, Frédéric - In: Journal of empirical finance 6 (1999) 1, pp. 87-118

Persistent link: https://www.econbiz.de/10001426354

Sensitivity analysis of values at risk

Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - In: Journal of empirical finance 7 (2000) 3/4, pp. 225-245

Persistent link: https://www.econbiz.de/10001557715

Liquidity and conditional portfolio choice : a nonparametric investigation

Ghysels, Eric; Pereira, João Pedro - In: Journal of empirical finance 15 (2008) 4, pp. 679-699

Persistent link: https://www.econbiz.de/10003759747

Which power variation predicts volatility well?

Ghysels, Eric; Sohn, Bumjean - In: Journal of empirical finance 16 (2009) 4, pp. 686-700

We estimate MIDAS regressions with various (bi)power variations to predict future volatility measured via increments in quadratic variation. Instead of pre-determining the (bi)power variation we parameterize it and estimate the intra-daily return power transformation that optimally predicts...

Persistent link: https://www.econbiz.de/10003900365

Emerging markets and trading costs : lessons from Casablanca

Ghysels, Eric; Cherkaoui, Mouna - In: Journal of empirical finance 10 (2003) 1/2, pp. 169-198

Persistent link: https://www.econbiz.de/10001752085

Artificial intelligence alter egos : who might benefit from robo-investing?

D'Hondt, Catherine; De Winne, Rudy; Ghysels, Eric; … - In: Journal of empirical finance 59 (2020), pp. 278-299

Persistent link: https://www.econbiz.de/10012437998