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~person:"Gouriéroux, Christian"
~subject:"Duration analysis"
~subject:"Theory"
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Search: subject_exact:"Term structure of interest rates"
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Duration analysis
Theory
Yield curve
30
Zinsstruktur
30
Theorie
19
Credit risk
7
Kreditrisiko
7
Derivat
6
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6
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5
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5
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term structure
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Gouriéroux, Christian
Rudebusch, Glenn D.
55
Bekaert, Geert
35
Gollier, Christian
31
Christensen, Jens H. E.
25
Diebold, Francis X.
25
Monfort, Alain
23
Chiarella, Carl
22
Jarrow, Robert A.
22
Singleton, Kenneth J.
22
Schlögl, Erik
19
Tzavalis, Elias
19
Foresi, Silverio
18
Medvedev, Gennady
18
Meldrum, Andrew
18
Sandmann, Klaus
18
Renne, Jean-Paul
17
Crump, Richard K.
16
Cúrdia, Vasco
16
Engstrom, Eric
16
Friedman, Benjamin M.
16
Goldstein, Robert S.
16
Joshi, Mark S.
16
Orphanides, Athanasios
16
Woodford, Michael
16
Collin-Dufresne, Pierre
15
Hördahl, Peter
15
Lemke, Wolfgang
15
Mishkin, Frederic S.
15
Scaillet, Olivier
15
Uhrig-Homburg, Marliese
15
Wu, Jing Cynthia
15
Mönch, Emanuel
14
Svensson, Lars E. O.
14
Andreasen, Martin Møller
13
Bacchetta, Philippe
13
Balduzzi, Pierluigi
13
Dai, Qiang
13
Durham, J. Benson
13
Eusepi, Stefano
13
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Série des documents de travail / Centre de Recherche en Économie et Statistique
8
Documents de travail / Banque de France
2
Journal of financial econometrics : official journal of the Society for Financial Econometrics
2
Mathematical finance : an international journal of mathematics, statistics and financial theory
2
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2
Annales d'économie et de statistique
1
Centre d'Etudes Prospectives d'Economie Mathématique Appliquées à la Planification : CEPREMAP
1
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Dynamique des marchés financiers et prévisions
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Finance : revue de l'Association Française de Finance
1
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ECONIS (ZBW)
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1
Regime switching and bond pricing
Gouriéroux, Christian
;
Monfort, Alain
;
Pegoraro, Fulvio
; …
-
2013
Persistent link: https://www.econbiz.de/10010200003
Saved in:
2
A term structure model with level factor cannot be realistic and arbitrage free
Dubecq, Simon
;
Gouriéroux, Christian
-
2012
Persistent link: https://www.econbiz.de/10009574575
Saved in:
3
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:
4
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:
5
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:
6
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:
7
A term structure model with level factor cannot be realistic and arbitrage free
Dubec, Simon
;
Gouriéroux, Christian
-
2010
Persistent link: https://www.econbiz.de/10009406003
Saved in:
8
Affine models for credit risk analysis
Gouriéroux, Christian
;
Monfort, Alain
;
Polimenis, V.
- In:
Journal of financial econometrics : official journal of …
4
(
2006
)
3
,
pp. 494-530
Persistent link: https://www.econbiz.de/10003354119
Saved in:
9
Whishart autoregressive model for stochastic risk
Gouriéroux, Christian
-
2005
Persistent link: https://www.econbiz.de/10003333867
Saved in:
10
Affine model for credit risk analysis
Gouriéroux, Christian
;
Monfort, Alain
;
Polimenis, Vassilis
-
2005
Persistent link: https://www.econbiz.de/10003333870
Saved in:
11
Whishart quadratic term structure models
Gouriéroux, Christian
;
Sufana, Razvan
-
2003
Persistent link: https://www.econbiz.de/10002170564
Saved in:
12
Affine term structure models
Gouriéroux, Christian
;
Monfort, Alain
;
Polimenis, Vassilis
-
2002
Persistent link: https://www.econbiz.de/10001742490
Saved in:
13
Multiregime term structure models
Gouriéroux, Christian
;
Scaillet, Olivier
-
1998
Persistent link: https://www.econbiz.de/10000980200
Saved in:
14
Multiregime term structure models
Gouriéroux, Christian
;
Scaillet, Olivier
- In:
Finance : revue de l'Association Française de Finance
19
(
1998
)
2
,
pp. 71-92
Persistent link: https://www.econbiz.de/10001476780
Saved in:
15
Multiregime term structure models
Gouriéroux, Christian
;
Scaillet, Olivier
-
1997
Persistent link: https://www.econbiz.de/10000980279
Saved in:
16
Linear factor models and the term structure of interest rates
Clément, Emmanuelle
- In:
Annales d'économie et de statistique
(
1995
),
pp. 37-65
Persistent link: https://www.econbiz.de/10001333820
Saved in:
17
Estimation of the term structure from bond data
Gouriéroux, Christian
;
Scaillet, Olivier
-
1994
Persistent link: https://www.econbiz.de/10000886669
Saved in:
18
Estimation of the term structure from bond data
Gouriéroux, Christian
;
Scaillet, Olivier
-
1994
Persistent link: https://www.econbiz.de/10000893310
Saved in:
19
Linear factor models and the term structure of interest rates
Clément, Emmanuelle
;
Gouriéroux, Christian
;
Monfort, Alain
-
1993
Persistent link: https://www.econbiz.de/10000871311
Saved in:
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