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Kernel autocorrelogram for time deformed processes
Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - 1996
Persistent link: https://www.econbiz.de/10000950447
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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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Nonlinear persistence and copersistence
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001485343
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Nonlinear innovations and impulse responses
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001421278
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Nonlinear innovations and impulse responses
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001390185
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Financial econometrics : problems, models, and methods
Gouriéroux, Christian; Jasiak, Joann - 2001
Persistent link: https://www.econbiz.de/10001601613
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A degeneracy in the analysis of volatility and covolatility effects
Gouriéroux, Christian; Jasiak, Joann - 2006
Persistent link: https://www.econbiz.de/10003468054
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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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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
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Robust analysis of the Martingale Hypothesis
Gouriéroux, Christian; Jasiak, Joann - 2016
Persistent link: https://www.econbiz.de/10011855294