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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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Filtering and prediction in noncausal processes
Gouriéroux, Christian; Jasiak, Joann - 2014
Persistent link: https://www.econbiz.de/10010390217
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Multivariate Jacobi process with application to smooth transitions
Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 131 (2006) 1/2, pp. 475-505
Persistent link: https://www.econbiz.de/10003298607
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Intra-day market activity
Gouriéroux, Christian; Jasiak, Joann; LeFol, Gaëlle - In: Journal of financial markets 2 (1999) 3, pp. 193-226
Persistent link: https://www.econbiz.de/10001426693
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Compound autoregressive models
Darolles, Serge; Gouriéroux, Christian; Jasiak, Joann - 2001
Persistent link: https://www.econbiz.de/10001596247
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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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Dynamic factor models
Gouriéroux, Christian; Jasiak, Joann - In: Econometric reviews 20 (2001) 4, pp. 385-424
Persistent link: https://www.econbiz.de/10001620897
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Local likelihood density estimation and value at risk
Gouriéroux, Christian; Jasiak, Joann - 2001 - Rev. version
Persistent link: https://www.econbiz.de/10001626927
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Memory and infrequent breaks
Gouriéroux, Christian; Jasiak, Joann - In: Economics letters 70 (2001) 1, pp. 29-41
Persistent link: https://www.econbiz.de/10001534701
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Nonlinear persistence and copersistence
Gouriéroux, Christian; Jasiak, Joann - 1999
Persistent link: https://www.econbiz.de/10001485343