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The tradability premium on the S&P 500 Index
Gouriéroux, Christian; Jasiak, Joann; Xu, Peng - In: Journal of financial econometrics : official journal of … 14 (2016) 3, pp. 461-495
Persistent link: https://www.econbiz.de/10011623634
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Stochastic migration models with application to corporate risk
Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of financial econometrics : official journal of … 3 (2005) 2, pp. 188-226
Persistent link: https://www.econbiz.de/10002811337
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Converting Tail-VaR : an economic study
Gouriéroux, Christian; Liu, Wei - In: Journal of financial econometrics : official journal of … 10 (2012) 2, pp. 233-264
Persistent link: https://www.econbiz.de/10009540550
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Approximate derivative pricing for large classes of homogeneous assets with systematic risk
Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of financial econometrics : official journal of … 9 (2011) 2, pp. 237-280
Persistent link: https://www.econbiz.de/10009125127
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Regime switching and bond pricing
Gouriéroux, Christian; Monfort, Alain; Pegoraro, Fulvio; … - In: Journal of financial econometrics : official journal of … 12 (2014) 2, pp. 237-277
Persistent link: https://www.econbiz.de/10010351547
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Microinformation, nonlinear filtering, and granularity
Gagliardini, Patrick; Gouriéroux, Christian; Monfort, Alain - In: Journal of financial econometrics : official journal of … 10 (2012) 1, pp. 1-53
Persistent link: https://www.econbiz.de/10009519715
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A classification of two-factor affine diffusion term structure models
Gouriéroux, Christian; Sufana, Razvan - In: Journal of financial econometrics : official journal of … 4 (2006) 1, pp. 31-52
Persistent link: https://www.econbiz.de/10003313340
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Positivity conditions for a bivariate autoregressive volatility specification
Gouriéroux, Christian - In: Journal of financial econometrics : official journal of … 5 (2007) 4, pp. 624-636
Persistent link: https://www.econbiz.de/10003570743
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Affine models for credit risk analysis
Gouriéroux, Christian; Monfort, Alain; Polimenis, V. - In: Journal of financial econometrics : official journal of … 4 (2006) 3, pp. 494-530
Persistent link: https://www.econbiz.de/10003354119