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Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: Journal of econometrics 196 (2017) 1, pp. 111-126
Persistent link: https://www.econbiz.de/10011743785
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Revisiting identification and estimation in structural VARMA models
Gouriéroux, Christian; Monfort, Alain - 2014 - rev. October 2014
Persistent link: https://www.econbiz.de/10010465167
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Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2017
Persistent link: https://www.econbiz.de/10012197831
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Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2017 - September 2016, revised version
Persistent link: https://www.econbiz.de/10012197832
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Statistical inference for independent component analysis : application to structural VAR models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - 2016 - March 2016, revised version
Persistent link: https://www.econbiz.de/10011855307
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Identification and estimation in non-fundamental structural VARMA models
Gouriéroux, Christian; Monfort, Alain; Renne, Jean-Paul - In: The review of economic studies : RES 87 (2020) 4, pp. 1915-1953
Persistent link: https://www.econbiz.de/10012259682
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Least impulse response estimator for stress test exercises
Gouriéroux, Christian; Lu, Yang - In: Journal of banking & finance 103 (2019), pp. 62-77
Persistent link: https://www.econbiz.de/10012163773
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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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Estimation-adjusted VAR
Gouriéroux, Christian; Zakoïan, Jean-Michel - In: Econometric theory 29 (2013) 4, pp. 735-770
Persistent link: https://www.econbiz.de/10010210164
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Nonlinear innovations and impulse responses with application to VaR sensitivity
Gouriéroux, Christian; Jasiak, Joann - In: Annales d'économie et de statistique 78 (2005), pp. 1-31
Persistent link: https://www.econbiz.de/10003278419