Similar Search Results

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 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

Robust analysis of the Martingale Hypothesis

Gouriéroux, Christian; Jasiak, Joann - 2016

Persistent link: https://www.econbiz.de/10011855294

Stationary bubble equilibria in rational expectation models

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

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

Composite likelihood for stochastic migration model with unobserved factor

Djogbenou, Antoine; Gouriéroux, Christian; Jasiak, Joann; … - 2024

Persistent link: https://www.econbiz.de/10015338806

Stochastic volatility and time deformation : an application of trading volume and leverage effects

Ghysels, Eric; Jasiak, Joann - 1994

Persistent link: https://www.econbiz.de/10000898668

Stochastic migration models with application to corporate risk

Gagliardini, Patrick; Gouriéroux, Christian - 2004

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

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