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Efficient derivate pricing by extended method of moments
Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2005
Persistent link: https://www.econbiz.de/10003333856
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Efficient derivative pricing by extended methods of moments
Gagliardini, Patrick (contributor);  … - 2008
Persistent link: https://www.econbiz.de/10003806842
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Efficient derivative pricing by the extended method of moments
Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2010 - this version: October 2009
In this paper we introduce the Extended Method of Moments (XMM) estimator. This estimator accommodates a more general set of moment restrictions than the standard Generalized Method of Moments (GMM) estimator. More specifically, the XMM differs from the GMM in that it can handle not only uniform...
Persistent link: https://www.econbiz.de/10003973066
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Efficient derivative pricing by extended method of moments
Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2004
Persistent link: https://www.econbiz.de/10002597912
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Efficient derivative pricing by the extended method of moments
Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - In: Econometrica : journal of the Econometric Society, an … 79 (2011) 4, pp. 1181-1232
Persistent link: https://www.econbiz.de/10009267024
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Efficient derivative pricing by extended method of moments
Gagliardini, Patrick; Gouriéroux, Christian; Renault, Eric - 2005
Persistent link: https://www.econbiz.de/10002771895
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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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Pricing default events : surprise, exogeneity and contagion
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 182 (2014) 2, pp. 397-411
Persistent link: https://www.econbiz.de/10010497742
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Disastrous defaults
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; … - 2021
Persistent link: https://www.econbiz.de/10012614604
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Disastrous defaults
Gouriéroux, Christian; Monfort, Alain; Mouabbi, Sarah; … - In: Review of finance : journal of the European Finance … 25 (2021) 6, pp. 1727-1772
Persistent link: https://www.econbiz.de/10012694401