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Dynamic factor models

Gouriéroux, Christian; Jasiak, Joann - 1999

Persistent link: https://www.econbiz.de/10001380657

Dynamic factor models

Gouriéroux, Christian; Jasiak, Joann - In: Econometric reviews 20 (2001) 4, pp. 385-424

Persistent link: https://www.econbiz.de/10001620897

Stochastic migration models with application to corporate risk

Gagliardini, Patrick; Gouriéroux, Christian - 2004

Persistent link: https://www.econbiz.de/10002598018

Stochastic volatility duration models

Ghysels, Eric; Gouriéroux, Christian; Jasiak, Joann - In: Journal of econometrics 119 (2004) 2, pp. 413-433

Persistent link: https://www.econbiz.de/10001956379

Stochastic migration models with application to corporate risk

Gagliardini, Patrick; Gouriéroux, Christian - In: Journal of financial econometrics : official journal of … 3 (2005) 2, pp. 188-226

Persistent link: https://www.econbiz.de/10002811337

Noncausal Affine Processes with Applications to Derivative Pricing

Gouriéroux, Christian - 2019

Linear factor models, where the factors are affine processes, play a key role in Finance, since they allow for quasi-closed form expressions of the term structure of risks. We introduce the class of noncausal affine linear factor models by considering factors that are affine in reverse time....

Persistent link: https://www.econbiz.de/10012894201