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Quadratic stochastic intensity and prospective mortality tables
Gouriéroux, Christian; Monfort, Alain - 2007
Persistent link: https://www.econbiz.de/10003618126
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Granularity in a qualitative factor model
Gouriéroux, Christian; Monfort, Alain - In: The journal of credit risk : published quarterly by … 5 (2009/10) 4, pp. 29-61
Persistent link: https://www.econbiz.de/10003927492
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Vérification empirique de la rationalité des anticipations de la demande par les entreprises
Gouriéroux, Christian - In: Recherches économiques de Louvain 53 (1987) 3, pp. 223-246
Persistent link: https://www.econbiz.de/10001061131
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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
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Coherent incurred paid (cip) models for claims reserving
Dupin, Gilles; Koenig, Emmanuel; Le Moine, Pierre; … - In: Astin bulletin : the journal of the International … 48 (2018) 2, pp. 749-777
Persistent link: https://www.econbiz.de/10011875689
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Forecasting seasonal time series
Ghysels, Eric; Osborn, Denise R.; Rodrigues, Paulo M. M. - 2006
Persistent link: https://www.econbiz.de/10003338442
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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
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Annals journal of econometrics: predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger
Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - 2006
Persistent link: https://www.econbiz.de/10003376072
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Predictive methodology and application in economics finance : volume in honor of the accomplishments of Clive W. J. Granger ; editor's introduction
Swanson, Norman R.; Elliott, Graham; Ghysels, Eric; … - In: Journal of econometrics 135 (2006) 1/2, pp. 1-9
Persistent link: https://www.econbiz.de/10003376073
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Why do absolute returns predict volatility so well?
Forsberg, Lars; Ghysels, Eric - In: Journal of financial econometrics : official journal of … 5 (2007) 1, pp. 31-67
Persistent link: https://www.econbiz.de/10003518282