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Master of Financial Economics Program at the University of Toronto

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Finance Research Publications by Economics Department Faculty

All Department of Economics Publications

Forthcoming

  • Christian Gourieroux and Joann Jasiak, “Semi-Parametric Estimation of Noncausal Vector Autoregression”, Journal of Econometrics, forthcoming.

2023

2022

2021

2019

2018

2017

2016

2015

2014

2013

  • Patrick Gagliardini and Christian Gourieroux, “Correlated Risks vs Contagion in Stochastic Transition Models“, Journal of Economic Dynamics and Control37 (11) (2013), 2241–2269.
  • Patrick Gagliardini and Christian Gourieroux, “Granularity Adjustment for Dynamic Multiple Factor Models: Systematic vs Unsystematic Risks”, International Journal of Approximate Reasoning54 (2013), 717–747.
  • Christian Gourieroux, JC Heam, Alain Monfort, “Liquidation Equilibrium with Seniority and Hidden CDO“, Journal of Banking and Finance37 (12) (2013), 5261–5274.
  • Christian Gourieroux and Joann Jasiak, “Size Distortion in the Analysis of Volatility and Covolatility Effects”, in Uncertainty Analysis in Econometrics with Applications(edited by Van-Nam Huynh, Vladik Kreinovich, Songsak Sriboonchitta, Komsan Suriya), Springer, 2013, 91–118.
  • Christian Gourieroux and Alain Monfort, “Allocating Systematic and Unsystematic Risks in a Regulatory Perspective”, International Journal of Applied and Theoretical Finance16 (2013), 1–20.
  • Christian Gourieroux and Alain Monfort, “Granularity Adjustment for Efficient Portfolios“, Econometric Reviews32 (4) (2013), 449–468.
  • Christian Gourieroux and Alain Monfort, “Linear Price Term Structure Models“, Journal of Empirical Finance24 (2013), 24–41.
  • Christian Gourieroux and Alain Monfort, “Pitfalls in the Estimation of Continuous Time Interest Rate Models: the Case of the CIR Process”, Annales d’Economie et de Statistique109/110 (2013), 25–62.
  • Christian Gourieroux, Alain Monfort, Fulvio Pegoraro, Jean-Paul Renne, “Regime Switching and Bond Pricing“, Journal of Financial Econometrics12 (2) (2013), 237–277.
  • Christian Gourieroux and Jean-Michel Zakoïan, “Estimation Adjusted VaR“, Econometric Theory29 (4) (2013), 735–770.
  • Jordi Mondria and Thomas Wu, “Imperfect Financial Integration and Asymmetric Information: Competing Explanations of the Home Bias Puzzle?“, Canadian Journal of Economics 46 (1) (2013), 310–337.
  • Nathanael Vellekoop (with Charles Noussair, Stefan Trautmann, and Gijs van de Kuilen) Risk Aversion and Religion  Journal of Risk and Uncertainty, October 2013, vol. 47(2) pp. 165-183.
  • Varouj A. Aivazian, Tat-kei Lai, Mohammad Rahaman, “The Market for CEO’s: An Empirical Analysis“, Journal of Economics and Business 67 (2013), 24–54.

2012

2011

  • Patrick Gagliardini and Christian Gourieroux, “Approximate Derivative Pricing for Large Class of Homogeneous Assets with Systematic Risk”, Journal of Financial Econometrics 9 (2011), 237–280.
  • Patrick Gagliardini, Eric Renault, Christian Gourieroux, “Extended Method of Moments with Application to Derivative Pricing”, Econometrica79 (2011), 1181–1232.
  • Christian Gourieroux and Alain Monfort, “Bilinear Term Structure”, Mathematical Finance21 (2011), 1–19.
  • Christian Gourieroux and Alain Monfort, “Domain Restrictions on Interest Rates Implied By No Arbitrage”, Mathematical Finance22 (2011), 281–291.
  • Christian Gourieroux, Alain Monfort, Razvan Sufana, “International Money and Stock Market Contingent Claims”, Journal of International Money and Finance29 (2011), 1727–1751.
  • Christian Gourieroux and Razvan Sufana, “Discrete Time Wishart Quadratic Term Structure Models”, Journal of Economic Dynamics and Control35 (2011), 815–824.
  • Ricard Gil and Jordi Mondria, “Introducing Managerial Attention Allocation in Incentive Contracts”, SERIEs: Journal of the Spanish Economic Association 2 (3) (2011), 335–358.

2010

  • Christian Gourieroux and Joann Jasiak, “Local Likelihood Density Estimation and Value-at-Risk”, Journal of Probability and Statistics 2010 (2010), 754–851.
  • Christian Gourieroux and Joann Jasiak, “Value-at-Risk”, in Handbook of Financial Econometrics(edited by Ait-Sahalia, Y., and L., Hansen), Elsevier, 2010, 553–616.
  • Christian Gourieroux, Alain Monfort, Razvan Sufana, “International Money and Stock Market Contingent Claims”, Journal of International Money and Finance29 (2010), 1727–1751.
  • Christian Gourieroux, Peter C.B. Phillips, Jun Yu, “Indirect Inference for Dynamic Panel Models”, Journal of Econometrics157 (2010), 68–77.
  • Christian Gourieroux and Razvan Sufana, “Derivative Pricing with Multivariate Stochastic Volatility: Application to Credit Risk”, Journal of Business and Economic Statistics28 (2010), 438–451.
  • Angelo Melino, “Measuring the cost of economic fluctuations with preferences that rationalize the equity premium”, Canadian Journal of Economics 43 (2010), 405–422.
  • Jordi Mondria, “Portfolio Choice, Attention Allocation, and Price Comovement”, Journal of Economic Theory145 (5) (2010), 1837–1864. (Freely available)
  • Jordi Mondria, Thomas Wu, Yi Zhang, “The Determinants of International Investment and Attention Allocation: Using Internet Search Query Data”, Journal of International Economics82 (1) (2010), 85–95. (Freely available)
  • Jordi Mondria and Thomas Wu, “The Puzzling Evolution of the Home Bias, Information Processing and Financial Openness”, Journal of Economic Dynamics and Control 34 (5) (2010), 875–896. (Freely available.)

2009

  • Serge Darolles and Christian Gourieroux, “Conditionally Fitted Performance with an Application to Hedge Fund Rating”, Journal of Banking and Finance16 (2009), 671–685.
  • Serge Darolles, Christian Gourieroux, Joann Jasiak, “L-Performance with an Application to Hedge Funds”, Journal of Empirical Finance16 (2009), 671–685.
  • Christian Gourieroux and Monique Jeanblanc, Financial Risks: New Developments in Structured Products and Credit Derivatives, Economica, 2009.
  • Christian Gourieroux and Anne Laferrere, “Managing Hedonic Housing Price Indexes: The French Experience”, Journal of Housing Economics18 (2009), 206–213.
  • Christian Gourieroux and Wei Liu, “Control and Out of Sample Validation of Dependent Risks”, Journal of Risk and Insurance76 (2009), 683–707.
  • Christian Gourieroux and Alain Monfort, “Granularity in a Qualitative Factor Model”, Journal of Credit Risk5 (2009), 29–29.
  • Varouj A. Aivazian, Jeffrey Callen, Susan McCracken, “Experimental Tests of Core Theory and the Coase Theorem:Inefficiency and Cycling”, Journal of Law and Economics 52 (November) (2009), 745–759.

2008

  • Dingan Feng, Christian Gourieroux, Joann Jasiak, “The Ordered Qualitative Model for Credit Rating Transitions”, Journal of Empirical Finance15 (2008), 111–130.
  • Patrick Gagliardini and Christian Gourieroux, “Duration Time Series Model with Proportional Hazard”, Journal of Time Series Analysis29 (2008), 74–124.
  • Christian Gourieroux and Joann Jasiak, “Dynamic Quantile Models”, Journal of Econometrics147 (2008), 198–205.
  • Christian Gourieroux, Joann Jasiak, Razvan Sufana, “The Wishart Autoregressive Process for Stochastic Volatility”, Journal of Econometrics150 (2008), 167–188.
  • Christian Gourieroux and Alain Monfort, “Quadratic Stochastic Intensity and Prospective Mortality Tables”, Insurance: Mathematics and Economics43 (2008), 174–184.
  • Christian Gourieroux and Razvan Sufana, “Pricing with Wishart Risk Factors”, in Handbook of Operational Research and Management Science(edited by J. Birge and V. Linetsky), Elsevier, 2008, 163–182.
  • Angelo Melino and Nash Peerbocus, “High Frequency Export and Price Responses in the Ontario Electricity Market”, Energy Journal 29 (2008), 35–51.
  • Varouj A. Aivazian and E. Santor, “Financial Constraints and Investment: Assessing the Impact of a World Bank Credit Program on Small and Medium Enterprises in Sri Lanka”, Canadian Journal of Economics 41 (2) (2008), 475–500.

2007

  • Ajaz Hussain, “An R&D Race with Uncertain Technical Feasibility and Timing of Innovation“, in Mechanisms & Policies in Economics (edited by John Roufagalas), ATINER, Athens, 2007, 105–125.
  • Sandra Foulcher, Christian Gourieroux, Andre Tiomo, “Migration Corrélation: Estimation Methods and Application to French Corporate Ratings”, Annales d’Economie et de Statistique82 (2007), 71–102.
  • Christian Gourieroux and Patrick Gagliardini, “Efficient Nonparametric Estimator of Models with Nonlinear Dependence”, Journal of Econometrics137 (2007), 183–199.
  • Christian Gourieroux and Joann Jasiak, Econometrics of Individual Risks for Credit, Insurance and Marketing, Princeton University Press, 2007.
  • Christian Gourieroux and Alain Monfort, “Econometric Specification of Stochastic Discount Factor Models”, Journal of Econometrics136 (2007), 509–530.
  • Christian Gourieroux, Eric Renault, Pascale Valery, “Diffusion Processes with Polynomial Eigenfunctions”, Annales d’Economie et de Statistique85 (2007), 115–130.
  • Christian Gourieroux and Andre Tiomo, Risque de Crédit: une approche avancée, Economica, 2007.

2006

  • Ajaz Hussain, “Airline Profitability and Network Design: a Case for Re-regulation?”, in Proceedings of the 6th GCBE Conference, Cambridge, MA (edited by A Gupta), GCBE, VA, 2006, 1–24.
  • Ajaz Hussain, “Fundamental and Secondary R&D Races“, The B.E Journal of Theoretical Economics 6 (1) (2006), 1–20. (Freely available.)
  • Ajaz Hussain, “Oligopoly, Game Theory “, in Encyclopedia of Managerial Economics (edited by Robert McAuliffe), Blackwell Publishers, Boston, MA, 2006, 142–146.
  • Serge Darolles, Christian Gourieroux, Joann Jasiak, “Structural Laplace Transform and Compound Autoregressive Models”, Journal of Time Series Analysis27 (2006), 477–504.
  • Georges Dionne, Christian Gourieroux, Charles Vanasse, “Informational Content of Household Decisions with Applications to Insurance and Asymmetric Information”, in Competitive Failures in Insurance Markets(edited by P.A. Chiappori and G. Gollier), M.I.T. Press, 2006, 159–184.
  • Patrick Gagliardini and Christian Gourieroux, “Efficient Nonparametric Estimation of Models with Nonlinerar Dependence”, Journal of Financial Econometrics3 (2006), 188–226.
  • Patrick Gagliardini and Christian Gourieroux, “Migration Correlation: Definition and Consistent Estimation”, Journal of Banking and Finance29 (2006), 865–891.
  • Patrick Gagliardini and Christian Gourieroux, “Stochastic Migration Models with Application to Corporate Risk”, Journal of Financial Econometrics3 (2006), 188–226.
  • Christian Gourieroux, “Wishart Processes for Stochastic Risk”, Econometric Reviews25 (2006), 1–41.
  • Christian Gourieroux and Joann Jasiak, “Autoregressive Gamma Process”, Journal of Forecasting25 (2006), 129–152.
  • Christian Gourieroux and Joann Jasiak, Microeconometrics for Credit, Insurance and Marketing, Princeton University Press, 2006.
  • Christian Gourieroux and Joann Jasiak, “Multivariate Smooth Transitions Jacobi Process with Application”, Journal of Econometrics131 (2006), 475–505.
  • Christian Gourieroux, Alain Monfort, Vassillis Polimenis, “Affine Models for Credit Risk Analysis”, Journal of Financial Econometrics4 (2006), 494–530.
  • Christian Gourieroux and Boyer Robert, “Stochastic Unit Root Models”, Econometric Theory22 (6) (2006)
  • Christian Gourieroux and Razvan Sufana, “Classification of Affine Term Structure Models”, Journal of Financial Econometrics4 (2006), 31–52.
  • Varouj A. Aivazian, Laurence Booth, S. Cleary, “Why some Firms Smooth Dividends and Others Do Not”, Journal of Financial and Quantitative Analysis (2006)

2005

  • Christian Gourieroux and Joann Jasiak, “Nonlinear Impulse Response Function”, Annales d’Economie et de Statistique78 (2005), 1–33.
  • Christian Gourieroux and Alain Monfort, “The Econometrics of Efficient Portfolios”, Journal of Empirical Finance12 (2005), 1–41.
  • Angelo Melino and Stuart M. Turnbull, “Pricing Foreign Currency Options with Stochastic Volatility”, in Stochastic Volatility: Selected Readings (edited by Neil Shephard), Oxford University Press, 2005, 239–265.
  • Varouj A. Aivazian, Laurence Booth, S. Cleary, “Dividend Policy and the Role of Contracting Environments”, FSR Forum(2005), 13–20.
  • Varouj A. Aivazian, Ying Ge, J. Qiu, “Can Corporatization Improve the Performance of State-Owned Enterprises even without Privatization”, Journal of Corporate Finance(2005), 791–808.
  • Varouj A. Aivazian, Ying Ge, J. Qiu, “Debt Maturity Structure and Firm Investment”, Financial Management34 (2005), 107–119.
  • Varouj A. Aivazian, Ying Ge, J. Qiu, “Manager Turnover and Corporate Governance: An Unusual Social Experiment”, Journal of Banking and Finance(2005), 1459–1481.
  • Varouj A. Aivazian, J. Qiu, Ying Ge, “The Impact of Leverage on Firm Investment: Canadian Evidence”, Journal of Corporate Finance11 (1-2) (2005), 277–291.

2004

  • Serge Darolles, Jean-Pierre Florens, Christian Gourieroux, “Time Reversibility and Kernel Based Nonlinear Canonical Analysis”, Journal of Econometrics119 (2004), 323–353.
  • Sandra Foulcher, Christian Gourieroux, Andre Tiomo, “Term Structure of Default and Ratings”, Insurance and Risk Management72 (2004), 207–276.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, “Stochastic Volatility Duration Models”, Journal of Econometrics119 (2004), 413–433.
  • Christian Gourieroux and Joann Jasiak, “INAR (1) Model with Application to Car Insurance”, Insurance: Mathematics and Econometrics34 (2004), 177–192.
  • Christian Gourieroux and Alain Monfort, “Infrequent Extreme Risks”, Geneva Papers on Risk and Insurance Theory29 (1) (2004), 5–12.
  • Christian Gourieroux and Alain Monfort, “The Econometrics of Efficient Portfolios”, Journal of Empirical Finance12 (2004), 1–41.

2003

  • Angelo Melino and A. Yang, “State-dependent preferences can explain the equity premium puzzle”, Review of Economic Dynamics 6 (4) (2003), 806–830.
  • Ajaz Hussain, Managerial Economics, Study Guide (Samuelson & Marks), Wiley Press, NJ, 2003.
  • Patrick Gagliardini and Christian Gourieroux, “Migration Correlation: Definition and Consistent Estimation”, Journal of Banking and Finance3 (2003), 188–206.
  • Varouj A. Aivazian, “The Core, Transaction Costs, and the Coase Theorem”, Constitutional Political Economy(2003)
  • Varouj A. Aivazian, Laurence Booth, S. Cleary, “Dividend Policy and the Organization of Capital Markets”, Journal of Multinational Financial Management13 (2) (2003), 101–121.
  • Varouj A. Aivazian, Laurence Booth, S. Cleary, “Do Emerging Market Firms Follow Different Dividend Policies from U.S. Firms?”, Journal of Financial Research(2003)

2002

  • Olivier Blanchard, David Johnson, Angelo Melino, Macroeconomics, Second Canadian Edition, Pearson Education Canada, Toronto, 2002.

2001

  • Serge Darolles, Jean-Pierre Florens, Christian Gourieroux, “Factor ARMA Representation of a Markov Process”, Economics Letters71 (2) (2001), 165–171.
  • Serge Darolles and Christian Gourieroux, “Truncated Dynamics and Estimation of Diffusion Equations”, Journal of Econometrics102 (2001), 1–22.
  • Georges Dionne, Christian Gourieroux, Charles Vanasse, “Evidence of Adverse Selection in Automobile Insurance Market”, Journal of Political Economy109 (2001), 444–453.
  • Christian Gourieroux and Joann Jasiak, “Dynamic Factor Models”, Econometrics Review20 (2001), 385–424.
  • Christian Gourieroux and Joann Jasiak, Financial Econometrics, Princeton University Press, Princeton, 2001.
  • Christian Gourieroux and Joann Jasiak, “Memory and Infrequent Breaks”, Economics Letters70(1) (2001), 29–41.
  • Christian Gourieroux and Joann Jasiak, “Nonlinear Autocorrelograms: An Application to Intertrade Durations”, Journal of Time Series Analysis23 (2001), 127–154.
  • Christian Gourieroux and Joann Jasiak, “State Space Models with Finite Dimensional Dependence”, Journal of Time Series Analysis23 (2001), 665–678.
  • Christian Gourieroux and Alain Monfort, “Pricing with Splines”, Journal of Financial Econometrics(2001)
  • Christian Gourieroux and Carlos Tenreiro, “Local Power Properties of Kernel Based Goodness of Fit Test”, Journal of Multivariate Analysis78 (2001), 161–190.
  • Angelo Melino, “Estimation of a Rational Expectations Model of the Term Structure”, Journal of Empirical Finance 8 (5) (2001), 639–668.
  • Varouj A. Aivazian, Laurence Booth, V. Demirguc-Kunt, V. Maksimovic, “Capital Structures in Developing Countries”, Journal of Finance 56 (2001), 87–130.

2000

  • Clement, Christian Gourieroux, Alain Monfort, “Econometric Specification of the Risk Neutral Valuation Model”, Journal of Econometrics94 (2000), 117–143.
  • Serge Darolles, Christian Gourieroux, Gaelle Le Fol, “Intraday Transaction Price”, Annales d’Economie et de Statistique60 (2000), 207–238.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, “Causality Between Returns and Traded Volumes”, Annales d’Economie et de Statistique60 (2000), 189–206.
  • Christian Gourieroux, Econometrics of Qualitative Dependent Variables, Cambridge University Press, 2000.
  • Christian Gourieroux, “La mémoire longue en économie: commentaire”, Journal de la Société Française de Statistique140 (2) (2000), 61–64.
  • Christian Gourieroux and Joann Jasiak, “Duration Models”, in Companion in Theoretical Econometrics(edited by B. Baltagi ), Basil Blackwell, 2000.
  • Christian Gourieroux and Joann Jasiak, “Nonlinear Panel Data Models with Dynamic Heterogeneity”, in Panel Data Econometrics: Future Directions(edited by J. Krishnakumar and E. Ronchetti), North-Holland, 2000, 127–148.
  • Christian Gourieroux, J.P. Laurent, Olivier Scaillet, “Sensitivity Analysis of VaR”, Journal of Empirical Finance7 (2000), 225–246.
  • Christian Gourieroux, Alain Monfort, Carlos Tenreiro, “Kernel M-Estimators”, in Panel Data Econometrics: Future Directions(edited by J. Krishnakumar and E. Ronchetti), North-Holland, 2000, 235–278.
  • Christian Gourieroux, Eric Renault, Nazar Touzi, “Calibration by Simulation for Small Sample Bias Correction”, in Simulation Based Inference in Econometrics(edited by R. Mariano, T. Schuerman and M. Week), Cambridge University Press, 2000, 328–358.
  • Michael Baker and Angelo Melino, “Duration Dependence and Nonparametric Heterogeneity: A Monte Carlo Study”, Journal of Econometrics 96 (2) (2000), 357–393.

1999

  • Christian Gourieroux, “Econometric Modelling: Methodologies and Interpretations”, in Economics Beyond the Millenium(edited by A. Kirman and L.A. Gerard-Varet), Oxford University Press, 1999, 222–243.
  • Christian Gourieroux, “Econometrics of Risk Classification in Insurance”, Geneva Papers on Risk and Insurance24 (1999), 119–137.
  • Christian Gourieroux, Statistique de l’assurance, Economica, 1999.
  • Christian Gourieroux, Joann Jasiak, Gaelle Le Fol, “Intraday Market Activity”, Journal of Financial Markets2 (1999), 193–226.
  • Christian Gourieroux and F. Jouneau, “Econometrics of Efficient Fitted Portfolios”, Journal of Empirical Finance6 (1999), 87–118.

1998

  • Laurence Broze and Christian Gourieroux, “Pseudo Maximum Likelihood Method, Adjusted Pseudo Maximum Likelihood Method and Covariance Estimators”, Journal of Econometrics85 (1) (1998), 75–98.
  • Geert Dhaene, Christian Gourieroux, Olivier Scaillet, “Instrumental Models and Indirect Encompassing”, Econometrica63 (3) (1998), 673–688.
  • Georges Dionne, Christian Gourieroux, Charles Vanasse, “Evidence of Adverse Selection in Automobile Insurance Market”, in Automobile Market(edited by G. Dionne and C. Laberge-Nadeau), Kluwer Academic Publishers, 1998, 13–46.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, “Kernel Autocorrelogram for Time Deformed Peocesses”, Journal of Statistical Planning and Inference86 (1) (1998), 185 –192.
  • Christian Gourieroux, “Aspect Statistiques de la methode d’evaluation contingente”, Economie Publique1 (1998), 91–123.
  • Christian Gourieroux, J.P. Laurent, H. Pham, “Mean-Variance Hedging and Numeraire”, Mathematical Finance8 (1998), 179–200.
  • Christian Gourieroux and Gaelle Le Fol, “Effets des modes de negociation sur les echanges”, Revue Economique49 (3) (1998), 195–808.
  • Christian Gourieroux, Gaelle Le Fol, B. Meyer, “Etude du Carnet d’orders”, Banque et Marches36 (1998), 5–20.
  • Christian Gourieroux and Olivier Scaillet, “Multiregime Term Structure Models”, Finance19 (1998), 64–80.
  • Olivier Blanchard and Angelo Melino, Macroeconomics: First Canadian Edition, Prentice-Hall Canada, Toronto, 1998.
  • Varouj A. Aivazian, “Microeconomic Elements of Financial Liberalization: Perspectives from Finance Theory”, in Financial Reform in DevelopingCountries(edited by M. Fanelli and R. Medhora), MacMillan, London, 1998, 328–351.
  • Varouj A. Aivazian and Michael Berkowitz, “Asset Specificity, Ex-Post Production Flexibility, and Financial Structure”, Journal of Accounting, Auditing, and Finance13 (1) (1998), 1–20.
  • Varouj A. Aivazian, J.D. Han, Walid Hejazi, “How Much Does Finance Matter in East Asia?”, in Fiscal Frameworks and Financial Systems in East Asia: How Much Do They Matter(edited by Wendy Dobson), University of Toronto Press, Toronto, 1998, 91–183.

1997

  • Jorg Breitung and Christian Gourieroux, “Rank Tests for Unit Roots”, Journal of Econometrics81 (1997), 7–27.
  • Danielle Forest, Christian Gourieroux, Lise Salvas-Bronsard, “D’une analyse de variabilités à un modèle d’investissement des firmes”, Actualite Economique73 (1997), 331–350.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, “Market and Asset Price Movements: Theory and Estimation”, in Statistics in Finance(edited by D. Hand and S. Jacka), Edward Arnold, London, 1997.
  • Christian Gourieroux, ARCH Models and Financial Applications, Springer-Verlag, 1997.
  • Christian Gourieroux, “Modeles Heteroscecastiques”, in Encyclopedie des marches financiers(edited by Y. Simon), Economica, 1997, 1210–1220.
  • Christian Gourieroux, Joann Jasiak, Gaelle Le Fol, “Activités de Marché Intrajournalières”, in Organisation et Qualité des Marchés Financiers(edited by Biais, B., Davidoff, D. And B., Jacquillat), Presses universitaires de France, 1997, 203–220.
  • Christian Gourieroux and Gaelle Le Fol, “Volatilités et Mesures de Risque”, Journal de la Société Française de Statistique138 (4) (1997), 1–32.
  • Christian Gourieroux and Thierry Magnac, “Duration, Transition and Count Data Models”, Journal of Econometrics79 (2) (1997), 195–200.
  • Christian Gourieroux and Alain Monfort, “Modeles de Comptage Semi-Parametriques”, Actualite Economique73 (1997), 525–553.
  • Christian Gourieroux and Claude Montmarquette, Econométrie Appliquée, Economica, Paris, 1997.
  • Christian Gourieroux, Olivier Scaillet, Ariane Szafarz, Econométrie de la Finance: Analyses Historiques, Economica, 1997.
  • Christian Gourieroux and Olivier Scaillet, “Unemployment Insurance and Mortgages”, Insurance: Mathematics and Economics20 (1997), 173–195.
  • Christian Gourieroux and M. Visser, “A Count Data Model with Unobserved Heterogeneity”, Journal of Econometrics79 (1997), 247–268.

1996

  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, “High Frequency Financial Time Series Data”, in Nonlinear Modelling of High Frequency Time Series(edited by C. Dimos amd B. Zhou), Wiley, New York, 1996.
  • Christian Gourieroux and Alain Monfort, Simulation Based Econometric Methods, Oxford University Press, 1996.
  • Christian Gourieroux and Alain Monfort, Time Series and Dynamic Models, Cambridge University Press, 1996.
  • Christian Gourieroux, Alain Monfort, Eric Renault, “Two Steps GMM estimators with Application to Heteroscedasticity of Unknown Form”, Journal of Statistical Planning and Inference50 (1996), 37–63.
  • Christian Gourieroux and Irina Peaucelle, “Diffusion et Effets de Vague”, Annales d’Economie et de Statistique44 (1996), 191–218.

1995

  • Jean-Francois Boulier and Christian Gourieroux, “Des Mathématiques Financières à la Finance Quantitative: Evolution Récente des Modèles Mathématiques Utilisés par les Financiers”, Revue d’Economie Financière32 (1995), 167–182.
  • Laurence Broze, Christian Gourieroux, Ariane Szafarz, “Solutions of Multivariate Rational Expectations Models”, Econometric Theory11 (1995), 229–257.
  • Clement, Christian Gourieroux, Alain Monfort, “Linear Factor Models and the Term Structure of Interest Rates”, Annales d’Economie et de Statistique40 (1995), 37–66.
  • De Toldi, Christian Gourieroux, Alain Monfort, “Seasonal Duration Data: Application to Prepayment”, Journal of Empirical Finance2 (1995), 45–70.
  • Antoine Frachot and Christian Gourieroux, Titrisation et remboursements anticipés, Economica, 1995.
  • Eric Ghysels, Christian Gourieroux, Joann Jasiak, “Time Deformation”, in Proceedings of the International Conference on Forecasting Financial Markets….(edited by ), , London, 1995.
  • Christian Gourieroux and Alain Monfort, Statistics and Econometric Models, Cambridge University Press, 1995.
  • Christian Gourieroux and Alain Monfort, “Testing, Encompassing and Simulating Dynamic Econometric Models”, Econometric Theory11 (2) (1995), 195–228.
  • Christian Gourieroux, Eric Renault, Nizar Touzi, “Calibration by Simulation for Small Sample Correction Bias”, in Simulation Based Inference in Econometrics(edited by Geweke, J. and R. Mariano), Cambridge University Press, 1995, 328–358.
  • Larry Epstein and Angelo Melino, “A Revealed Preference Analysis of Asset Pricing under Recursive Utility”, Review of Economic Studies62 (4) (1995), 597–618.
  • Angelo Melino and Stuart M. Turnbull, “Misspecification and the Pricing and Hedging of Long-Term Foreign Currency Options”, Journal of International Money and Finance 14 (3) (1995), 373–393.

1994

  • Christian Gourieroux, “Creation d’Actifs Financiers et Remboursements Anticipes”, Actualite Economique70 (1994), 227–245.
  • Christian Gourieroux and Alain Monfort, “Testing Non Nested Hypotheses”, in Handbook of Econometrics(edited by ), , 1994, 2585–2637.
  • Angelo Melino, “Estimation of Continuous-Time Stochastic Processes in Finance”, in Advances in Econometrics, Sixth World Congress, Vol. II (edited by C. Sims), Cambridge University Press, 1994.

1993

  • Antoine Frachot and Christian Gourieroux, “L’Econométrie des Données Individuelles: l’Exemple des Remboursements Anticipés”, Journal de la Société Française de Statistique134 (1993), 65–72.
  • Christian Gourieroux, “Introduction to Nonlinear Models”, in The Econometrics of Panel Data(edited by Matyas-Sevestre), Kluwer Academic Publishers, 2nd Edition 1995, 1993.
  • Christian Gourieroux, Modèles ARCH: applications financières et monétaires, Economica, 1993.
  • Christian Gourieroux and Alain Monfort, “Encompassing and Indirect Inference”, Statistical Methods & Applications2 (3) (1993), 291–307.
  • Christian Gourieroux, Alain Monfort, Eric Renault, “Indirect Inference”, Journal of Applied Econometrics8 (1993), 85–118.
  • Christian Gourieroux, Alain Monfort, Eric Renault, “Test sur le Noyau, l’Image et le Rang de la Matrice des Coefficients d’un Modèle Linéaire Multivarié”, Annales d’Economie et de Statistique32 (1993), 81–112.
  • Christian Gourieroux and Irina Peaucelle, “Séries Codépendantes: Application à l’Hypothèse de Parité du Pouvoir d’Achat”, Actualite Economique68 (1993), 283–304.

1992

  • Antoine Frachot and Christian Gourieroux, “L’économétrie des modèles dynamiques: avantages et limites des modèles ARCH”, Journal de la Société Française de Statistique133 (1992), 53–64.
  • Christian Gourieroux, “Courbes de performance et de discrimination”, Annales d’Economie et de Statistique28 (1992), 107–124.
  • Christian Gourieroux and Alain Monfort, “Qualitative Threshold ARCH Models”, Journal of Econometrics52 (1992), 159–199.
  • Christian Gourieroux and Alain Monfort, “Simulation Based Inference: A Survey with Special Reference to Panel Data Models”, Journal of Econometrics59 (1992), 5–33.
  • Christian Gourieroux and Irina Peaucelle, “Séries codépendantes”, Actualite Economique68 (1992), 283–304.
  • Varouj A. Aivazian and Michael Berkowitz, “Precommitment and Financial Structure: An Analysis of the Effect of Taxes”, Economica 59 (1992), 93–106.

1991

  • Christian Gourieroux and Irina Peaucelle, “Simulation Based Inference in Models with Heterogeneity”, Annales d’Economie et de Statistique20/21 (1991), 69–108.
  • Angelo Melino and Stuart M. Turnbull, “The Pricing of Foreign Currency Options”, Canadian Journal of Economics 24 (2) (1991), 251–281.

1990

  • Laurence Broze, Christian Gourieroux, Ariane Szafarz, Reduced Forms of Rational Expectations Models, Harwood Academic Publishers, 1990.
  • Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, “Hétérogénéité et dominance des fonctions de hasard”, Annales d’Economie et de Statistique18 (1990), 1–24.
  • Christian Gourieroux, Econométrie des Modèles Qualitatifs, Economica, 1990.
  • Christian Gourieroux, “Heterogeneite II: Etude des biais”, Annales d’Economie et de Statistique17 (1990), 185 –204.
  • Christian Gourieroux, “Quelques développements récents en séries temporelles”, Journal de la Société Française de Statistique131 (1990), 7–15.
  • Christian Gourieroux and Alain Monfort, Séries Temporelles et Modèles Dynamiques, Economica, 1990.
  • Christian Gourieroux and Irina Peaucelle, “Hétérogénéité I: Le cas linéaire”, Annales d’Economie et de Statistique17 (1990), 163–218.
  • Christian Gourieroux and Irina Peaucelle, “The Expectations of Demand by Firms and their Effect on Disequilibrium”, in Optimal Decisions in Markets and Planned Economies(edited by R. Quandt and D. Triska), Vestview Press, 1990, 210–223.
  • Morley K. Gunderson, Angelo Melino, Frank J. Reid, “The Effects of Canadian Labour Relations Legislation on Strike Incidence and Duration”, Labor Law Journal41 (8) (1990), 512–518.
  • Morley K. Gunderson and Angelo Melino, “The Effects of Public Policy on Strike Duration”, Journal of Labor Economics8 (3) (1990), 295–316.
  • Angelo Melino and Glenn Sueyoshi, “A Simple Approach to the Identifiability of the Proportional Hazards Model”, Economic Letters33 (1) (1990), 63–68.
  • Angelo Melino and Stuart M. Turnbull, “Pricing Foreign Currency Options with Stochastic Volatility”, Journal of Econometrics45 (1990), 239–265.
  • Varouj A. Aivazian, I. Krinsky, C. Kwan, “Risk Versus Return in the Substitutability of Debt and Equity Securities”, Journal of Monetary Economics (1990), 161–178.

1989

  • Laurence Broze, Christian Gourieroux, Ariane Szafraz, “Speculative Bubbles and Exchange of Information on the Market of a Storable Good”, in Economic Complexity: Chaos. Sunspots. Bubbles and Nonlinearity(edited by Barnett, Geweke, Shell), Cambridge University Press, 1989, 101–118.
  • Christian Gourieroux and Alain Monfort, “A General Framework for Testing Null Hyopothesis in a Mixed Form”, Econometric Theory5 (1989), 63–82.
  • Christian Gourieroux and Alain Monfort, Statistique des modèles économétriques, Economica, 1989.
  • Christian Gourieroux, Alain Monfort, Eric Renault, “Testing for Common Roots”, Econometrica57 (1989), 171–186.

1988

  • Esmeralda Goncalves and Christian Gourieroux, “Agrégation de processus autorégressifs d’ordre 1”, Annales d’Economie et de Statistique12 (1988), 127–150.
  • Christian Gourieroux, “Une approche géométrique des processus ARMA”, Annales d’Economie et de Statistique8 (1988), 135–160.
  • Christian Gourieroux and Irina Peaucelle, “Fonctions représentatives de fonctions de production à complémentarité stricte”, Actualite Economique64 (1988), 209–230.
  • Angelo Melino, “The Term Structure of Interest Rates: Evidence and Theory”, Journal of Economic Surveys 2 (4) (1988), 335–366.

1987

  • Christian Gourieroux and Pierre Malgrange, “Avant propos”, Annales d’Economie et de Statistique6 (1987), 1–12.
  • Christian Gourieroux, Alain Monfort, Eric Renault, Alain Trognon, “Generalized Residuals”, Journal of Econometrics34 (1987), 5–32.
  • Christian Gourieroux, Alain Monfort, Eric Renault, “Kullback Causality Measures”, Annales d’Economie et de Statistique6/7 (1987), 369–410.
  • Christian Gourieroux, Alain Monfort, Eric Renault, Alain Trognon, “Simulated Residuals”, Journal of Econometrics34 (1-2) (1987), 201–252.
  • Christian Gourieroux and Irina Peaucelle, “Vérification empirique de la rationalité des anticipations de la demande par les entreprises”, Recherches Economiques de Louvain53 (1987), 223–246.
  • Richard Deaves, Angelo Melino, James E. Pesando, “The Response of Interest Rates to the Federal Reserve’s Weekly Money Announcements: The ‘Puzzle’ of Anticipated Money”, Journal of Monetary Economics 19 (3) (1987), 393–404.
  • Sanford J. Grossman, Angelo Melino, Robert J. Shiller, “Estimating the Continuous-Time Consumption-Based Asset Pricing Model”, Journal of Business and Economic Statistics 5 (3) (1987), 315–327.
  • Morley K. Gunderson and Angelo Melino, “Estimating Strike Effects in a General Model of Prices and Quantities”, Journal of Labor Economics 5 (1) (1987), 1–19.
  • Varouj A. Aivazian, M.W.L. Chan, D.C. Mountain, “Economics of Scale Versus Technological Change in the Natural Gas Transmission Industry”, Review of Economics and Statistics(1987), 556–561.
  • Varouj A. Aivazian, “Miller’s Irrelevance Mechanism:A Note”, Journal of Finance(1987), 169–180.
  • Varouj A. Aivazian and I Lipnowski, “The Coase Theorem and Coalitional Stability”, Economica54 (216) (1987), 517–520.
  • Varouj A. Aivazian and Stuart M. Turnbull, “Taxation and Capital Structure: A Selected Review”, in The Impact of Taxation on Business Activity(edited by J. Mintz and D. Purvis), John Deutsch Institute, Queens University, 1987.

1986

  • Laurence Broze, Christian Gourieroux, Ariane Szafraz, “Bulles spéculatives et transmission d’information sur le marché d’un bien stockable”, Actualite Economique62 (1986), 166–184.
  • Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, “Learning Procedures and Convergence to Rationality”, Econometrica54 (1986), 845–868.
  • Olivier Blanchard and Angelo Melino, “Cyclical Behavior of Prices and Quantities in the Automobile Market”, Journal of Monetary Economics 17 (3) (1986), 379–407.
  • Varouj A. Aivazian, I. Krinsky, C. Kwan, “International Exchange Risk and Asset Subsitutability”, Journal of International Money and Finance5 (1986), 449–466.
  • Varouj A. Aivazian, I. Krinsky, C. Kwan, “The Demand for Risky Financial Assets Held by the U.S. Household Sector”, Quarterly Review of Economics and Business26 (2) (1986), 47–65.

1985

  • Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, “Rational Expectations Models and Bounded Memory”, Econometrica53 (1985), 977–986.
  • Christian Gourieroux and Guy Laroque, “The Aggregation of Commodities in Quantity Rationing Models”, International Economic Review26 (1985), 681–699.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, “A General Approach to Autocorrelation”, Econometric Theory1 (1985), 315–340.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, “Moindres carrés asymptotiques”, Annales de l’Insee58 (1985), 91–122.
  • Christian Gourieroux, Alain Monfort, Eric Renault, Alain Trognon, “Résidus généralisés, résidus simulés et leur utilisation dans les modèles non linéaires”, Annales de l’Insee59 (1985), 71–96.
  • Varouj A. Aivazian and Jeffrey Callen, “On Unanimity and Monopoly Power“, Journal of Business Finance and Accounting 12 (1) (1985), 145–149.

1984

  • Laurence Broze, Christian Gourieroux, Ariane Szafarz, “Solutions of a Linear Dynamic Model with Rational Expectations”, Econometric Theory1 (1984), 341–368.
  • Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, “Modèles à anticipations rationnelles: Apprentissage par régression”, Annales de l’Insee54 (1984), 63–78.
  • Claude Fourgeaud, Christian Gourieroux, Jacqueline Pradel, “Some Theoretical Results for Generalized Ridge Regression Estimators”, Journal of Econometrics25 (1984), 191–204.
  • Christian Gourieroux, Econométrie des modèles qualitatifs, Economica, 1984.
  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, “Econométrie des modèles d’équilibre avec rationnement”, Annales de l’Insee55 (1984), 5–38.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, “Pseudo Maximum Likelihood Methods: Application to Poisson Models”, Econometrica52 (1984), 701–721.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, “Pseudo Maximum Likelihood Methods: Theory”, Econometrica52 (1984), 680–700.
  • Christian Gourieroux and Alain Trognon, “Specification Pre-Test Estimator”, Journal of Econometrics, Annals(1984), 15–28
  • Doan, R. Litterman, Angelo Melino, C. Sims, “Comment on ‘Forecasting and Conditional Projection Using Realistic Prior Distributions”, Econometric Reviews3 (1) (1984), 119–123.
  • Varouj A. Aivazian, M. Penny, Michael Trebilcock, “The Law of Contract Modifications: The Uncertain Quest for a Benchmark of Enforceability”, Osgoode Hall Law Journal 22 (2) (1984), 173–212.

1983

  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, “Révision adaptative des anticipations et convergence vers les anticipations rationnelles”, Revue d’Economie Appliquée36 (1983), 9–26.
  • Christian Gourieroux and Alain Monfort, Analyse des séries temporelles, Economica, 1983.
  • Christian Gourieroux and Alain Monfort, “Estimation de marchés avec prix planchers”, Annales de l’Insee50 (1983), 49–71.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, “La méthode du pseudo maximum de vraisemblance”, Cahiers du Seminaire d’Econometrie25 (1983), 29–48.
  • Christian Gourieroux, Alain Monfort, Alain Trognon, “Testing Nested or Non Nested Hypotheses”, Journal of Econometrics21 (1983), 83–115.
  • Varouj A. Aivazian, I. Krinsky, C. Kwan, “Mean-Variance Utility Functions and the Demand for Risky Assets: An Empirical Analysis Using Flexible Functional Forms”, Journal of Financial and Quantitative Analysis(1983)
  • Varouj A. Aivazian, “Reorganization in Bankruptcy and the Issue of Strategic Risk”, in Journal of Banking and Finance(edited by ), North-Holland Publishing Company, 1983, 119–133.
  • Varouj A. Aivazian and Jeffrey Callen, “Core Theory and Uniformity in Accounting: Rationalizing the Accounting Rulemaker“, Journal of Accounting and Public Policy2 (4) (1983), 225–237.

1982

  • Christian Gourieroux, Alberto Holly, Alain Monfort, “Likelihood Ratio Test, Wald Test and Kuhn- Tucker Test in Linear Models with Inequality Constraints on The Regression Parameters”, Econometrica50 (1982), 63–79.
  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, “Rational Expectations in Dynamic Linear Models: Analysis of the Solutions”, Econometrica50 (1982), 409–425.
  • Angelo Melino, “Testing for Sample Selection Bias”, Review of Economic Studies 49 (1) (1982), 151–153.

1981

  • Jean-Louis Beguin, Christian Gourieroux, Alain Monfort, “The Applicability of the Corner Method: A Reply”, Journal of Operational Research32 (1981), 1042–1046.
  • Christian Gourieroux, Théorie des sondages, Economica, 1981.
  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, “Modèles linéaires avec anticipations rationnelles: solutions et critères de sélection”, Cahiers du Seminaire d’Econometrie23 (1981), 15–46.
  • Christian Gourieroux and Francoise Le Gallo, “Construction de moyennes mobiles par minimisation sous contraintes d’une forme quadratique des coefficients”, Annales de l’Insee42 (1981), 93–109.
  • Christian Gourieroux and Alain Monfort, “Asymptotic Properties of the Maximum Likelihood Estimator in Dichotomous Logit Models”, Journal of Econometrics17 (1981), 83–97.
  • Christian Gourieroux and Alain Monfort, “On the Problem of Missing Data”, Review of Economic Studies68 (1981), 579–586.
  • Varouj A. Aivazian, “Capacity Expansion in the U.S. Natural Gas Pipeline Industry”, in Productivity Measurement in Regulated Industries (edited by Thomas Cowing and Rodney Stevenson), New York: Academic Press, New York, 1981.
  • Varouj A. Aivazian, “The Coase Theorem and The Empty Core”, Journal of Law and Economics (1981), 175–181.
  • Varouj A. Aivazian, “The Unanimity Literature and the Security Market Line Criterion: The Additive Risk Case”, Journal of Business Finance and Accounting (1981)

1980

  • Christian Gourieroux, “Note sur la notion d’entourage moyen”, Annales de l’Insee37 (1980), 111–123.
  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, “Coherency Conditions in Simultaneous Linear Equation Models with Endogenous Switching Regimes”, Econometrica48 (1980), 675–695.
  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, “Disequilibrium Econometrics In Simultaneous Equations Systems”, Econometrica48 (1980), 75–96.
  • Christian Gourieroux, Jean-Jacques Laffont, Alain Monfort, “Test of the Equilibrium vs Disequilibrium Hypothesis: A Comment”, International Economic Review21 (1980), 245–247.
  • Christian Gourieroux and Alain Monfort, “Sufficient Linear Structures”, Econometrica48 (1980), 1083–1097.
  • Varouj A. Aivazian, “Corporate Leverage and Growth:The Game-Theoretic Issues”, Journal of Financial Economics (1980), 379–399.
  • Varouj A. Aivazian, “Future Investment Opportunities and the Value of the Call Provision on a Bond: Comment”, Journal of Finance (1980), 1051–1054.
  • Varouj A. Aivazian, “Uncertain Externalities, Liability Rules, and Resource Allocation: Comment”, American Economic Review (1980), 1058–1059.

1979

  • Christian Gourieroux and Alain Monfort, “On the Characterization of a Joint Probability Distribution”, Journal of Econometrics9 (1979), 115–118.
  • Varouj A. Aivazian, “A Note on the Economics of Exhaustible Resourses”, Canadian Journal of Economics (1979), 83–89.
  • Varouj A. Aivazian, “Investment, Market Structure, and the Cost of Capital”, Journal of Finance (1979), 85–92.

1978

  • Christian Gourieroux and Gildas Roy, “Enquête en deux vagues: renouvellement de l’échantillon”, Annales de l’INSEE29 (1978), 115–135.
  • Angelo Melino and Dale J. Poirier, “A Note on the Interpretation of Regression Coefficients within a Class of Truncated Distributions”, Econometrica 46 (5) (1978), 1207–1209.

1977

  • Varouj A. Aivazian, “The Demand for Assets Under Conditions of Risk: Comment”, Journal of Finance XXXII (1977), 927–929.