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Robust analysis of the Martingale Hypothesis
Gouriéroux, Christian; Jasiak, Joann - 2016
Persistent link: https://www.econbiz.de/10011855294
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Nonlinear autocorrelograms : an application to intra-trade durations
Gouriéroux, Christian; Jasiak, Joann - 1998
Persistent link: https://www.econbiz.de/10000996742
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Causality between returns and trated volumes
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1998
Persistent link: https://www.econbiz.de/10000996770
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Noncausal vector autoregressive process: representation, identification and semi-parametric estimation
Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 200 (2017) 1, pp. 118-134
Persistent link: https://www.econbiz.de/10011897706
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Causality between returns and traded volumes
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Annales d'économie et de statistique (2000), pp. 189-206
Persistent link: https://www.econbiz.de/10001543508
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Granularity adjustment for default risk factor model with cohorts
Gouriéroux, Christian; Jasiak, Joann - In: Journal of banking & finance 36 (2012) 5, pp. 1464-1477
Persistent link: https://www.econbiz.de/10009615800
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Nonlinear Autocorrelograms : An Application to Inter-Trade Durations
Gourieroux, Christian; Jasiak, Joann - 2004
to estimation, like returns, volumes or inter-trade durations. In examples illustrating our approach, we use series of …
Persistent link: https://www.econbiz.de/10014117506
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Long run predictions
Gouriéroux, Christian; Jasiak, Joann - In: Annals of economics and statistics 145 (2022), pp. 75-90
Persistent link: https://www.econbiz.de/10013464960