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Stationary bubble equilibria in rational expectation models

Gouriéroux, Christian; Jasiak, Joann; Monfort, Alain - 2016

Persistent link: https://www.econbiz.de/10012182001

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

Stochastic volatility duration models

Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 119 (2004) 2, pp. 413-434

Persistent link: https://www.econbiz.de/10006757701

Causality between Returns and Traded Volumes

Ghysels, Éric; Gouriéroux, Christian; Jasiak, Joann - In: Annales d'économie et de statistique (2000) 60, pp. 189-206

Persistent link: https://www.econbiz.de/10007919760

Time varying Markov process with partially observed aggregate data : an application to coronavirus

Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 232 (2023) 1, pp. 35-51

Persistent link: https://www.econbiz.de/10013472828

Testing for endogeneity of Covid-19 patient assignments

Gouriéroux, Christian; Djogbenou, A.; Jasiak, Joann - In: Journal of financial econometrics 20 (2022) 5, pp. 875-901

Persistent link: https://www.econbiz.de/10013460030

Generalized covariance estimator

Gouriéroux, Christian; Jasiak, Joann - In: Journal of business & economic statistics : JBES ; a … 41 (2023) 4, pp. 1315-1327

Persistent link: https://www.econbiz.de/10014448640

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

Causality between Returns and Traded Volumes

GHYSELS, Eric; GOURIÉROUX, Christian; JASIAK, Joann - In: Annales d'Economie et de Statistique (2000) 60, pp. 189-206

This paper examines causality between the series of returns and transaction volumes in high frequency data. The dynamics of both series is restricted to transitions between a finite number of states. Depending on the state selection criteria, this approach approximates the dynamics of varying...

Persistent link: https://www.econbiz.de/10004987425

The econometrics of individual risk : credit, insurance, and marketing

Gouriéroux, Christian; Jasiak, Joann - 2007

Persistent link: https://www.econbiz.de/10003420329