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~person:"Duffee, Gregory R."
~person:"Gouriéroux, Christian"
~type_genre:"Article in journal"
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Search: subject_exact:"BGM model"
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Duffee, Gregory R.
Gouriéroux, Christian
Rudebusch, Glenn D.
31
Jarrow, Robert A.
23
Batten, Jonathan A.
19
Christensen, Jens H. E.
18
Akram, Tanweer
17
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Li, Haitao
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ECONIS (ZBW)
14
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1
Noncausal affine processes with applications to derivative pricing
Gouriéroux, Christian
;
Lu, Yang
- In:
Mathematical finance : an international journal of …
33
(
2023
)
3
,
pp. 766-796
Persistent link: https://www.econbiz.de/10014329912
Saved in:
2
Spread term structure and default correlation
Gagliardini, Patrick
;
Gouriéroux, Christian
- In:
Annals of economics and statistics
123/124
(
2016
),
pp. 175-223
Persistent link: https://www.econbiz.de/10011592744
Saved in:
3
Pricing with finite dimensional dependence
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of econometrics
187
(
2015
)
2
,
pp. 408-417
Persistent link: https://www.econbiz.de/10011499694
Saved in:
4
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
Saved in:
5
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
Saved in:
6
Linear-price term structure models
Gouriéroux, Christian
;
Monfort, Alain
- In:
Journal of empirical finance
24
(
2013
),
pp. 24-41
Persistent link: https://www.econbiz.de/10010371993
Saved in:
7
Domain restrictions on interest rates implied by no arbitrage
Gouriéroux, Christian
;
Monfort, Alain
- In:
Mathematical finance : an international journal of …
21
(
2011
)
2
,
pp. 281-291
Persistent link: https://www.econbiz.de/10008935668
Saved in:
8
Bilinear term structure model
Gouriéroux, Christian
;
Monfort, Alain
- In:
Mathematical finance : an international journal of …
21
(
2011
)
1
,
pp. 1-19
Persistent link: https://www.econbiz.de/10008935707
Saved in:
9
Discrete time Wishart term structure models
Gouriéroux, Christian
;
Sufana, Razvan
- In:
Journal of economic dynamics & control
35
(
2011
)
6
,
pp. 815-824
Persistent link: https://www.econbiz.de/10009241681
Saved in:
10
International money and stock market contingent claims
Gouriéroux, Christian
;
Monfort, A.
;
Sufana, Razvan
- In:
Journal of international money and finance
29
(
2010
)
8
,
pp. 1727-1751
Persistent link: https://www.econbiz.de/10009239629
Saved in:
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